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: 811-22250
PIMCO ETF Trust
(Exact name of registrant as specified in charter)
650 Newport Center Drive, Newport Beach, CA 92660
(Address of principal executive offices)
Trent W. Walker
Treasurer and Principal Financial Officer
PIMCO ETF Trust
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
Brendan C. Fox
Dechert LLP
1900 K Street, N.W.
Washington, D.C. 20006
Registrant’s telephone number, including area code: (888) 400-4383
Date of fiscal year end: June 30
Date of reporting period: June 30, 2014
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 Stockholders. |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30e-1).
Your Global Investment Authority
PIMCO ETF Trust
Annual Report
June 30, 2014
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
PIMCO Australia Bond Index Exchange-Traded Fund
PIMCO Canada Bond Index Exchange-Traded Fund
PIMCO Germany Bond Index Exchange-Traded Fund
Actively Managed Exchange-Traded Funds
PIMCO Build America Bond Exchange-Traded Fund
PIMCO Diversified Income Exchange-Traded Fund
PIMCO Enhanced Short Maturity Exchange-Traded Fund
PIMCO Foreign Currency Strategy Exchange-Traded Fund
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
PIMCO Intermediate Municipal Bond Exchange-Traded Fund
PIMCO Low Duration Exchange-Traded Fund
PIMCO Short Term Municipal Bond Exchange-Traded Fund
PIMCO Total Return Exchange-Traded Fund
Table of Contents
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
Chairman’s Letter
Dear Shareholder,
Please find enclosed the Annual Report for the PIMCO ETF Trust covering the twelve-month reporting period ended June 30, 2014. On the following pages, you’ll find specific details on investment performance and a discussion of the factors that most affected performance.
Over the past twelve months, investors faced periods of heightened market volatility brought on by uncertainty around monetary and fiscal policy, geopolitical tension in the Middle East and Ukraine, growing concern over China’s economic health, and fears of deflation in the Eurozone.
In contrast to the market reaction during the summer of 2013 in which the Federal Reserve’s (“Fed”) new “taper talk” caused significant market turmoil, investor risk appetite returned during the second half of the reporting period due to better clarity regarding central bank policy and an easing of global geopolitical risks towards the latter part of the period. Global bond markets generally rallied (with yields lower and prices therefore higher) as central banks remained accommodative.
The outlook for the U.S. economy improved on steady though historically slow employment growth and renewed business investment activity during the reporting period. However, while the Fed noted in its June 2014 meeting that the U.S. economy had “rebounded”, the central bank reiterated its view that the economy still had some distance to go to meet its employment and specific inflation targets. Investors became more comfortable with the idea that the Fed would keep its policy rate lower than historical norms, leading to a flattening of the U.S. Treasury yield curve during a recovery.
This sentiment was reinforced by a series of actions announced by the European Central Bank (“ECB”) on June 5, 2014. ECB President Mario Draghi lowered the ECB’s benchmark rate by 10 basis points, reduced its deposit rate into unprecedented negative territory to help mitigate potential deflationary forces (making the ECB the first major central bank to do so), opened a new liquidity channel to help encourage bank lending, and mentioned plans to begin a future quantitative easing asset purchase program. These measures reflected the ECB’s decision to attempt to tackle the threat of deflation in the Eurozone amid slower-than-historical and expected economic growth. Consequently, yields on Spanish and Italian bonds ended the period closer to their ten-year U.S. Treasury counterparts.
Within Asia, Japan raised its consumption tax, leading to a decline in household spending and retail sales. China, also facing a more challenging growth outlook, launched a mini-stimulus program and continued to fine-tune its monetary policies amid lingering concerns regarding shadow banking-related defaults.
Highlights of the financial markets during our twelve-month reporting period include:
| | n | | U.S. Treasuries, as represented by the Barclays U.S. Treasury Index, returned 2.04% over the reporting period. Investors continued pricing in low policy rates and lower long-term yields in reaction to the Fed signaling towards the latter part of the period that it was in no hurry to start raising interest rates. The benchmark ten-year U.S. Treasury note yielded 2.53% at the end of the reporting period, virtually unchanged as compared to 2.49% on June 30, 2013. |
| | n | | U.S. Treasury Inflation-Protected Securities (“TIPS”), as represented by the Barclays U.S. TIPS Index, returned 4.44% over the reporting period. The asset class generally gained on supportive inflationary data and returning investor demand. U.S. TIPS outperformed nominal U.S. Treasuries as the level and expectations of inflation increased over the period. Higher heating costs during the winter and the conflict in Iraq towards the latter part of the period contributed to higher energy prices, which impacted near-term headline inflation, while increasing rent prices continued to contribute to core inflation. Global inflation-linked bonds (“ILBs”) also posted strong returns with emerging market ILBs showing significant strength. |
| | n | | Tax-exempt municipal bonds, as represented by the Barclays Municipal Bond Index, returned 6.14%, and taxable municipal bonds, as measured by the Barclays Municipal Taxable Index, returned 9.47% over the reporting period. Positive municipal performance was driven by healthy supply and demand conditions, which outweighed negative credit headlines surrounding select issuers. Primary municipal bond market supply remained below average, and such technical support was exacerbated by accelerated net inflows into municipal bond mutual funds. Demand was concentrated within the long duration and high yield segments and therefore drove credit spreads tighter. |
| | n | | U.S. investment grade credit, as measured by the Barclays U.S. Credit Index, returned 7.44% over the reporting period. The sector outperformed like-duration U.S. Treasuries as spreads narrowed. The high yield corporate bond sector also posted positive returns, benefiting from robust inflows and overall low market volatility. Spreads tightened in spite of falling U.S. Treasury yields, primarily due to improvements in global growth, solid corporate fundamentals and continued accommodative global central bank policy. |
PIMCO ETFs are designed to provide well-engineered solutions to meet a broad range of investor needs, offering access to PIMCO’s unique investment process and world-class portfolio management expertise in the ETF vehicle, which features portfolio transparency and intra-day pricing in a conveniently traded format. PIMCO ETFs include a range of actively-managed and Smart Passive strategies, providing investors access to a variety of sectors, geographical regions and investment objectives.
If you have any questions regarding your PIMCO ETF Trust investment, please contact your financial advisor, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
Thank you again for the trust you have placed in PIMCO. We are privileged to serve you through our ETF offerings.
| | |
 | | Sincerely, 
Brent R. Harris President and Chairman of the Board, PIMCO ETF Trust July 24, 2014 |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 3 |
Important Information About the Funds
The PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund and PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund are exchange-traded funds (“ETFs”) that seek to provide total return that closely corresponds, before fees and expenses, to the total return of a specified index (collectively, the “Index Funds”). Each Index Fund employs a representative sampling strategy in seeking to achieve its investment objective and as a result may not hold all of the securities that are included in the underlying index. The PIMCO Build America Bond Exchange-Traded Fund, PIMCO Diversified Income Exchange-Traded Fund, PIMCO Enhanced Short Maturity Exchange-Traded Fund, PIMCO Foreign Currency Strategy Exchange-Traded Fund, PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Exchange-Traded Fund, PIMCO Low Duration Exchange-Traded Fund, PIMCO Short Term Municipal Bond Exchange-Traded Fund and PIMCO Total Return Exchange-Traded Fund, unlike the Index Funds, are actively managed ETFs that do not seek to track the performance of a specified index (collectively, the “Active Funds” and together with the Index Funds, the “Funds”). Shares of the Funds will be listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for each Fund’s shares may be different from the Fund’s net asset value (“NAV”). Each Fund issues and redeems shares at its NAV only in blocks of a specified number of shares (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares from the Funds at NAV.
The Funds invest in particular segments of the securities markets, which are not representative of the broader securities markets. While we believe that bond funds have an important role to play in a well-diversified investment portfolio, an investment in a Fund alone should not constitute an entire investment program. It is important to note 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 held by the Funds are likely to decrease in value. A number of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation
rates, general economic conditions). Accordingly, changes in interest rates can be sudden, and there is no guarantee that Fund management will anticipate such movement.
As of the date of this report, interest rates in the U.S. 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 since the Federal Reserve Board has begun tapering its quantitative easing program. Further, while the U.S. bond market has steadily grown over the past three decades, dealer inventories of corporate bonds have remained relatively stagnant. As a result, there has been a significant reduction in the ability of dealers to “make markets.” All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets, which could result in losses to a Fund.
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. If the performance of a Fund were to be negatively impacted by rising interest rates, the Fund could face increased redemptions by its shareholders, which could further reduce the value of the Fund.
The Funds may be subject to various risks in addition to those described above. Some of these risks may include, but are not limited to, the following: market trading risk, limited issuance risk, interest rate risk, inflation-indexed security risk, credit risk, high yield risk, market risk, municipal bond risk, liquidity risk, equity risk, mortgage-related and other asset-backed risk, foreign (non-U.S.) investment risk, currency risk, short sale risk, convertible securities risk, derivatives risk, issuer non-diversification risk, leveraging risk, management and tracking error risk, indexing risk, issuer risk, emerging markets risk, management risk, municipal project-specific risk, Australian securities risk, Canadian securities risk and German securities risk. A complete description of these and other risks is contained in each Fund’s prospectus. The use of derivatives may subject the Funds to greater volatility than investments in traditional securities. The Index Funds 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, credit risk, management risk and the risk that a Fund could not close out a position when it would be most advantageous to do so. Certain derivative transactions may have a leveraging effect on an Index Fund. For example, a small investment in a derivative instrument may have a significant impact on an Index Fund’s exposure to interest rates, currency exchange rates or other investments. As a result, a relatively small price movement in a derivative instrument may cause an immediate and substantial loss or gain, which translates into heightened volatility for the Fund. An Index Fund may engage in such transactions regardless of whether the Index
Fund owns the asset, instrument or components of the index underlying the derivative instrument. An Index Fund may invest a significant portion of its assets in these types of instruments. If it does, the Index Fund’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. A Fund’s investment in non-U.S. securities may entail risk due to non-U.S. economic and political developments; this risk may be increased when investing in emerging markets. For example, if a Fund 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 issuer.
High-yield 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 such markets. Thus, high yield investments increase the chance that a Fund will lose money. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio. Mortgage- and Asset-Backed Securities represent ownership interests in “pools” of mortgages or other assets such as consumer loans or receivables. As a general matter, Mortgage- and Asset-Backed Securities are subject to interest rate risk, extension risk, prepayment risk, and credit risk. These risks largely stem from the fact that returns on Mortgage- and Asset-Backed Securities depend on the ability of the underlying assets to generate cash flow.
On each individual Fund 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) Fund distributions; or (ii) the redemption of Fund shares. Each Fund’s performance is measured against the performance of a broad-based securities market index (“benchmark index”).
An investment in a Fund 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 Funds.
The Index Funds may make available a complete schedule of portfolio holdings and the percentages they represent of the Index Fund’s net assets. On each business day, before commencement of trading on NYSE Arca, each Active Fund will disclose on www.pimcoetfs.com the identities and quantities of the Active Fund’s portfolio holdings that will form the basis for the Active Fund’s calculation of NAV at the end of the business day. The frequency at which the daily market prices were at a discount or premium to each Fund’s NAV is disclosed on www.pimcoetfs.com. Please see “Disclosure of Portfolio Holdings” in the Statement of Additional Information for information about the availability of the complete schedule of each Fund’s holdings. Fund fact sheets provide additional information regarding a Fund and may be requested by calling (888) 400-4ETF and are available on the Fund’s website at www.pimcoetfs.com.
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, as amended. The Proxy Policy has been adopted by PIMCO ETF Trust as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund 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 Trust at (888) 400-4ETF, on the Funds’ website at www.pimcoetfs.com, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
PIMCO ETF Trust files a complete schedule of each Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. A copy of the Funds’ 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 Trust at (888) 400-4ETF and on the Funds’ website at www.pimcoetfs.com. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 5 |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
U.S. Treasury Obligations | | | 98.9% | |
Short-Term Instruments | | | 1.1% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | 5 Year | | | Fund Inception
(06/01/2009) | |
| | PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 0.68% | | | | 1.08% | | | | 1.05% | |
| | PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
(At Market Price)(1) | | | 0.66% | | | | 1.07% | | | | 1.05% | |
| | The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± | | | 0.76% | | | | 1.18% | | | | 1.15% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM 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. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-3 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Changes in yields in the 1- to 3-year segment of the U.S. Treasury yield curve were mixed over the course of the reporting period, with an increase in 2-year and 3-year yields negatively impacting the price return of the Fund and the Underlying Index. Returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 98.9% | |
| Short-Term Instruments | | | 1.1% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(10/30/2009) | |
| | PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 1.78% | | | | 3.30% | |
| | PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
(At Market Price)(1) | | | 1.75% | | | | 3.29% | |
| | The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM± | | | 1.91% | | | | 3.40% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 3 years and less than 7 years. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 3-7 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Yields in the 3- to 7-year segment of the U.S. Treasury yield curve moved higher over the course of the reporting period, negatively impacting performance. Returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 7 |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 99.7% | |
| Short-Term Instruments | | | 0.3% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(09/10/2009) | |
| | PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 3.07% | | | | 5.11% | |
| | PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
(At Market Price)(1) | | | 3.09% | | | | 5.11% | |
| | The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM± | | | 3.22% | | | | 5.26% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 7 years and less than 15 years. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 7-15 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Yields in the 7- to 15-year segment of the U.S. Treasury yield curve rose over the course of the reporting period. Although this resulted in flat price performance, returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 100.0% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(10/30/2009) | |
| | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 9.70% | | | | 9.76% | |
| | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
(At Market Price)(1) | | | 9.91% | | | | 9.84% | |
| | The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± | | | 10.44% | | | | 9.84% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long US Treasury Principal STRIPS IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve declined over the reporting period, positively contributing to performance for the Fund and the Underlying Index. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 9 |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 100.0% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(08/20/2009) | |
| | PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 2.28% | | | | 2.80% | |
| | PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
(At Market Price)(1) | | | 2.32% | | | | 2.80% | |
| | The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± | | | 2.55% | | | | 3.03% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 1 year and less than 5 years. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-5 Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Real yields, or the rates of return in excess of expected future inflation, declined across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 100.0% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(09/03/2009) | |
| | PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 8.83% | | | | 8.13% | |
| | PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
(At Market Price)(1) | | | 8.98% | | | | 8.13% | |
| | The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± | | | 9.16% | | | | 8.39% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 15 years. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 15+ Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Real yields, or the rates of return in excess of expected future inflation, declined above the 15-year point along the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 11 |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| U.S. Treasury Obligations | | | 99.1% | |
| Short-Term Instruments | | | 0.9% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(09/03/2009) | |
| | PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 4.50% | | | | 5.34% | |
| | PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
(At Market Price)(1) | | | 4.65% | | | | 5.35% | |
| | The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± | | | 4.74% | | | | 5.56% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities). It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Broad U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Real yields, or the rates of return in excess of expected future inflation, declined across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
Corporate Bonds & Notes | | | 90.9% | |
Short-Term Instruments | | | 5.6% | |
U.S. Treasury Obligations | | | 2.7% | |
U.S. Government Agencies | | | 0.8% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(06/16/2011) | |
| | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 8.98% | | | | 7.50% | |
| | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
(At Market Price)(1) | | | 8.84% | | | | 7.53% | |
| | The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM± | | | 9.48% | | | | 8.21% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM tracks the performance of short-term U.S. dollar denominated below investment grade corporate debt issued in the U.S. domestic market with less than five years remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million, issued publicly. Allocations to an individual issuer will not exceed 2%. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in fixed-income instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Over the reporting period, yields in the short-term segment of the U.S. high yield market declined which positively contributed to performance. Coupon returns also contributed to performance for the Fund and the Underlying Index. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 13 |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
Industrials | | | 47.1% | |
Banking & Finance | | | 36.0% | |
Utilities | | | 16.6% | |
Short-Term Instruments | | | 0.2% | |
U.S. Treasury Obligations | | | 0.1% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(09/20/2010) | |
| | PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 8.24% | | | | 5.44% | |
| | PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
(At Market Price)(1) | | | 8.62% | | | | 5.43% | |
| | The BofA Merrill Lynch U.S. Corporate IndexSM± | | | 7.98% | | | | 5.70% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Corporate IndexSM is an unmanaged index comprised of U.S. dollar denominated investment grade, fixed rate corporate debt securities publicly issued in the U.S. domestic market with at least one year remaining term to final maturity and at least $250 million outstanding. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch US Corporate IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund may invest the remainder of its assets in fixed-income instruments that are not component securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | A decrease in investment grade corporate yields, tightening option-adjusted spreads, and coupon returns combined to result in positive returns for both the Fund and the Underlying Index over the reporting period. |
PIMCO Australia Bond Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
Australia | | | 67.2% | |
| Supranational | | | 13.3% | |
| Germany | | | 4.7% | |
| Short-Term Instruments | | | 4.3% | |
| United Kingdom | | | 3.0% | |
| Other | | | 7.5% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(10/31/2011) | |
| | PIMCO Australia Bond Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 9.82% | | | | 2.01% | |
| | PIMCO Australia Bond Index Exchange-Traded Fund
(At Market Price)(1) | | | 10.96% | | | | 1.58% | |
| | The BofA Merrill Lynch Diversified Australia Bond IndexSM± | | | 10.15% | | | | 2.39% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Australia Bond IndexSM tracks the performance of large, Australian dollar (“AUD”)-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi government, corporate, securitized and collateralized securities. All qualifying securities must have at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying Australian sovereign securities must have a minimum amount outstanding of AUD 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of AUD 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Australia Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Australia Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Australian dollar-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi-government, corporate, securitized and collateralized securities. Qualifying constituents must have an investment-grade rating (based on an average of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Declining Australian government yields combined with a strengthening Australian dollar over the reporting period resulted in positive performance for both the Fund and the Underlying Index. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 15 |
PIMCO Canada Bond Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(11/09/2011) | |
| | PIMCO Canada Bond Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 4.14% | | | | 1.22% | |
| | PIMCO Canada Bond Index Exchange-Traded Fund
(At Market Price)(1) | | | 3.79% | | | | 0.90% | |
| | The BofA Merrill Lynch Diversified Canada Government Bond IndexSM± | | | 5.13% | | | | 1.38% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Canada Government Bond IndexSM tracks the performance of large, Canadian dollar (“CAD”)-denominated investment grade debt instruments publicly issued in the Canadian domestic market including Canadian sovereign and quasi-government securities. All Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of CAD 1 billion for Canadian sovereign securities and a minimum amount outstanding of CAD 200 million for Canadian quasi-government-securities. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Canada Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Canada Government Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Canadian dollar-denominated investment grade debt instruments publicly issued in the Canadian domestic market, including Canadian sovereign and quasi-government securities. Qualifying constituents must have an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Canadian government yields declined across the yield curve over the reporting period, resulting in positive price performance. Although a weakening Canadian dollar slightly detracted from overall performance, the net total return for both the Fund and the Underlying Index was positive. |
PIMCO Germany Bond Index Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| Germany | | | 76.5% | |
| Netherlands | | | 16.5% | |
| France | | | 4.5% | |
| Ireland | | | 2.5% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(11/09/2011) | |
| | PIMCO Germany Bond Index Exchange-Traded Fund
(Based on Net Asset Value) | | | 9.35% | | | | 4.00% | |
| | PIMCO Germany Bond Index Exchange-Traded Fund
(At Market Price)(1) | | | 10.24% | | | | 4.28% | |
| | The BofA Merrill Lynch Diversified Germany Bond IndexSM± | | | 9.91% | | | | 4.34% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Germany Bond IndexSM tracks the performance of large, Euro (“EUR”)-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euro member domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. All Qualifying securities must be an obligation of a German entity with at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying German sovereign securities must have a minimum amount outstanding of EUR 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of EUR 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Germany Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Diversified Germany Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, euro-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euro member domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. Qualifying constituents must be an obligation of a German entity with an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
| » | | Declining German government yields combined with a strengthening euro over the reporting period resulted in positive performance for both the Fund and the Underlying Index. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 17 |
PIMCO Build America Bond Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| California | | | 41.6% | |
| New York | | | 10.3% | |
| Ohio | | | 8.6% | |
| Short-Term Instruments | | | 4.3% | |
| Illinois | | | 4.0% | |
| Other | | | 31.2% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(09/20/2010) | |
| | PIMCO Build America Bond Exchange-Traded Fund
(Based on Net Asset Value) | | | 9.72% | | | | 8.16% | |
| | PIMCO Build America Bond Exchange-Traded Fund
(At Market Price)(1) | | | 10.67% | | | | 8.19% | |
| | Barclays Build America Bond Index± | | | 11.61% | | | | 8.80% | * |
All Fund returns are net of fees and expenses.
* Average annual total return since 09/30/2010.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Build America Bond Index is a subset of the Barclays Taxable Municipal Bond Index. The sub-Index consists of all direct pay Build America Bonds that satisfy the rules of the Barclays Taxable Municipal Bond Index. The Barclays Taxable Municipal Bond Index represents securities that are SEC-registered, taxable, dollar denominated, and have at least one year to final maturity, at least $250 million par amount outstanding and are determined to be investment-grade by Barclays. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Build America Bond Exchange-Traded Fund seeks maximum income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in taxable municipal debt securities publicly issued under the Build America Bond program. |
| » | | The Fund commenced operations on September 20, 2010. The Build America Bonds (“BABs”) program expired on December 31, 2010. |
| » | | Security selection in the special tax sector was a material detractor from relative performance as these securities underperformed the Fund’s benchmark index during the reporting period. |
| » | | Duration (or sensitivity to changes in market interest rates) positioning was managed below the Fund’s benchmark index throughout the majority of the reporting period, which contributed to performance as yields generally moved higher across intermediate and long maturities of the taxable municipal bond yield curve. |
| » | | An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An overweight to the industrial revenue sector throughout the majority of the reporting period contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An overweight to the lease-backed sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An underweight to the healthcare sector throughout the majority of the reporting period detracted from performance as the segment outperformed the general municipal bond market. |
PIMCO Diversified Income Exchange-Traded Fund
Allocation Breakdown‡
| | | | |
| Corporate Bonds & Notes | | | 76.3% | |
| Sovereign Issues | | | 12.6% | |
| Short-Term Instruments | | | 4.0% | |
| Asset-Backed Securities | | | 2.3% | |
| Common Stocks | | | 1.6% | |
| Other | | | 3.2% | |
| ‡ | % of Investments, at value as of 06/30/14 |
A line graph is not included since the Fund has less than six months of performance.
| | | | |
| Cumulative Total Return for the period ended June 30, 2014 | | | |
| | | Fund Inception
(01/22/2014) | |
PIMCO Diversified Income Exchange-Traded Fund
(Based on Net Asset Value) | | | 5.30 | % |
PIMCO Diversified Income Exchange-Traded Fund
(At Market Price)(1) | | | 5.10 | % |
| Barclays Global Credit Hedged USD Index± | | | 4.22 | % |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Global Credit Hedged USD contains investment grade and high yield credit securities from the Multiverse represented in U.S. Dollars on a hedged basis, (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield). It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.87%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Diversified Income Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
| » | | The Fund commenced operations on January 22, 2014. |
| » | | An underweight to emerging markets (“EM”) spread duration (or sensitivity to changes in credit spreads) detracted from relative performance as EM spreads tightened over the period since the Fund’s inception through the end of the reporting period. |
| » | | An overweight to high yield spread duration benefited relative performance as high yield spreads tightened. |
| » | | Exposure to the financials sector benefited performance as the sector was supported by declining yields. |
| » | | Positive exposure to U.S. duration (or sensitivity to changes in market interest rates) benefited performance as U.S. interest rates fell. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 19 |
PIMCO Enhanced Short Maturity Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
Corporate Bonds & Notes | | | 66.7% | |
Short-Term Instruments | | | 10.4% | |
Asset-Backed Securities | | | 8.8% | |
U.S. Government Agencies | | | 5.0% | |
Mortgage-Backed Securities | | | 4.6% | |
Other | | | 4.5% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(11/16/2009) | |
| | PIMCO Enhanced Short Maturity Exchange-Traded Fund
(Based on Net Asset Value) | | | 1.02% | | | | 1.26% | |
| | PIMCO Enhanced Short Maturity Exchange-Traded Fund
(At Market Price)(1) | | | 0.96% | | | | 1.25% | |
| | Citi 3-Month Treasury Bill Index± | | | 0.04% | | | | 0.08% | * |
All Fund returns are net of fees and expenses.
* Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Citi 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Enhanced Short Maturity Exchange-Traded Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The Fund primarily invests in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. |
| » | | Exposure to investment grade credit benefited performance as credit spreads narrowed during the reporting period. |
| » | | Exposure to securities with longer maturities versus the Fund’s benchmark index benefited performance due to a steepening yield curve, which allowed for higher reinvestment yields and greater total return. |
| » | | An overweight to Korean duration (or sensitivity to changes in market interest rates) during the last half of the reporting period benefited performance as Korean yields decreased. |
| » | | An overweight to non-Agency mortgages benefited performance as prices for these securities generally rose during the reporting period. |
| » | | There were no notable detractors for the reporting period. |
PIMCO Foreign Currency Strategy Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
Short-Term Instruments | | | 69.0% | |
Mexico | | | 13.4% | |
United States | | | 8.1% | |
Brazil | | | 6.6% | |
New Zealand | | | 2.9% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(02/11/2013) | |
| | PIMCO Foreign Currency Strategy Exchange-Traded Fund
(Based on Net Asset Value) | | | 3.27% | | | | -1.92% | |
| | PIMCO Foreign Currency Strategy Exchange-Traded Fund
(At Market Price)(1) | | | 3.40% | | | | -2.34% | |
| | The BofA Merrill Lynch 1-3 Year Trade-Weighted Global Government Index± | | | 6.37% | | | | 2.09% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year Trade-Weighted Global Government Index tracks the performance of a fixed-weighted blend of select short-dated sovereign indices whose securities are publicly issued and denominated in the issuer’s own domestic market and currency. The weights of constituent markets are re-set on each calendar month-end rebalancing date with the following weights: Canada (9.1%); Euro member countries (57.6%); Japan (13.6%); Sweden (4.2%); Switzerland (3.6%) and the U.K. (11.9%). It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.65%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Foreign Currency Strategy Exchange-Traded Fund seeks maximum total return, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in currencies of, or Fixed Income Instruments denominated in the currencies of, foreign (non-U.S.) countries, including, but not limited to, a combination of short-term Fixed Income Instruments, money market securities and currency forwards backed by high-quality, low duration securities. “Foreign Currency Strategy” in the Fund’s name refers to the Fund’s proprietary investment strategy of seeking exposure to foreign (non-U.S.) currencies likely to outperform the U.S. dollar over the long-term. Assets not invested in currencies, currency forwards or Fixed Income Instruments denominated in currencies of non-U.S. countries may be invested in other types of Fixed Income Instruments. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
| » | | Long exposure to the New Zealand dollar and British pound added to performance as these developed market currencies appreciated relative to the U.S. dollar during the reporting period. |
| » | | Long exposure to the Brazilian real, Indian rupee, Malaysian ringgit, and Mexican peso added to performance as these emerging market currencies appreciated relative to the U.S. dollar during the reporting period. |
| » | | Short exposure to the Japanese yen detracted from performance as this developed market currency appreciated relative to the U.S. dollar during the reporting period. |
| » | | Long exposure to the Canadian dollar and Swedish krona detracted from performance as these developed market currencies depreciated relative to the U.S. dollar during the reporting period. |
| » | | Long exposure to the Chinese renminbi, Chilean peso, and Russian ruble detracted from performance as these emerging market currencies depreciated relative to the U.S. dollar during the reporting period. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 21 |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| United States | | | 20.1% | |
| Brazil | | | 16.8% | |
| Italy | | | 12.1% | |
| Germany | | | 8.8% | |
| United Kingdom | | | 5.8% | |
| Australia | | | 5.6% | |
| Short-Term Instruments | | | 1.7% | |
| Other | | | 29.1% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(04/30/2012) | |
| | PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
(Based on Net Asset Value) | | | 7.55% | | | | 2.45% | |
| | PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
(At Market Price)(1) | | | 7.40% | | | | 2.29% | |
| | Barclays Universal Government Inflation-Linked Bond Index± | | | 9.84% | | | | 3.10% | |
| | PIMCO Global Advantage Inflation-Linked Bond Index®
(USD Unhedged) (NY Close)±± | | | 8.70% | �� | | | 2.52% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The Barclays Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets. The index includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea. The index is market capitalization weighted and rebalances monthly. It is not possible to invest directly in an unmanaged index.
±± PIMCO Global Advantage Inflation-Linked Bond Index® (USD Unhedged) (NY Close). The PIMCO GLADI ILB represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the principles of the PIMCO Global Advantage Indices when applicable to the global inflation-linked bond market. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.63%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund seeks total return which exceeds that of its benchmark indexes, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in inflation-linked bonds that are economically tied to at least three developed and emerging market countries (one of which may be the United States). Inflation-linked bonds are fixed income securities that are structured to provide protection against inflation. |
| » | | Exposure to global inflation-linked bonds benefited absolute performance as global inflation-linked bonds, as measured by the Barclays Universal Government Inflation-Linked Bond Index, generally posted positive returns during the reporting period. |
| » | | An underweight to French real duration (or sensitivity to changes in real interest rates) detracted from relative performance as French real yields decreased over the reporting period. |
| » | | An underweight to Japanese real duration detracted from relative performance as Japanese real yields decreased over the reporting period. |
| » | | An overweight to Italian real duration for most of the reporting period benefited relative performance as Italian real yields decreased over the reporting period. |
| » | | An underweight to Canadian real duration detracted from relative performance as Canadian real yields decreased over the reporting period. |
| » | | An overweight to Australian real duration benefited relative performance as Australian real yields decreased over the reporting period. |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| New York | | | 13.6% | |
| California | | | 12.2% | |
| Texas | | | 12.2% | |
| Short-Term Instruments | | | 8.4% | |
| Ohio | | | 7.6% | |
| Illinois | | | 6.2% | |
| Florida | | | 5.5% | |
| Other | | | 34.3% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(11/30/2009) | |
| | PIMCO Intermediate Municipal Bond Exchange-Traded Fund
(Based on Net Asset Value) | | | 4.23% | | | | 3.70% | |
| | PIMCO Intermediate Municipal Bond Exchange-Traded Fund
(At Market Price)(1) | | | 4.59% | | | | 3.69% | |
| | Barclays 1-15 Year Municipal Bond Index± | | | 5.19% | | | | 4.24% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. It is an unmanaged index representative of the tax exempt bond market. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Intermediate Municipal Bond Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“PIMCO”) to be of comparable quality. The Fund may invest 25% or more of its total assets in municipal bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
| » | | Duration (or sensitivity to changes in market interest rates) positioning was managed below the Fund’s benchmark index throughout the reporting period, which detracted from performance as municipal bond yields moved lower across the yield curve. |
| » | | An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An underweight to the special tax sector throughout the majority of the reporting period contributed to performance as the segment underperformed the general municipal bond market. |
| » | | An underweight to the electric utility sector contributed to performance as the segment underperformed the general municipal bond market during the reporting period. |
| » | | An overweight to the industrial revenue sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An underweight to the transportation sector detracted from performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An underweight to the resource recovery sector detracted from performance as the segment outperformed the general municipal bond market during the reporting period. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 23 |
PIMCO Low Duration Exchange-Traded Fund
Allocation Breakdown‡
| | | | |
Corporate Bonds & Notes | | | 63.5% | |
| U.S. Treasury Obligations | | | 20.5% | |
| Sovereign Issues | | | 4.7% | |
| Asset-Backed Securities | | | 4.5% | |
| Short-Term Instruments | | | 3.3% | |
| Other | | | 3.5% | |
| ‡ | % of Investments, at value as of 06/30/14 |
A line graph is not included since the Fund has less than six months of performance.
| | | | |
| Cumulative Total Return for the period ended June 30, 2014 | | | |
| | | Fund Inception
(01/22/2014) | |
PIMCO Low Duration Exchange-Traded Fund
(Based on Net Asset Value) | | | 1.52 | % |
PIMCO Low Duration Exchange-Traded Fund
(At Market Price)(1) | | | 2.97 | % |
The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± | | | 0.42 | % |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM 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. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.57%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Low Duration Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The average portfolio duration of this Fund normally varies from one to three years based on PIMCO’s forecast for interest rates. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates. |
| » | | The Fund commenced operations on January 22, 2014. |
| » | | Tactical positioning in U.S. duration (or sensitivity to changes in market interest rates) benefited performance as U.S. interest rates generally fluctuated during the period since the Fund’s inception through the end of the reporting period, providing additional income to the portfolio. |
| » | | An overweight to non-Agency residential mortgage-backed securities (“RMBS”) benefited performance as prices on these securities generally rose. |
| » | | An overweight to investment grade credit benefited performance as investment grade credit spreads narrowed. |
| » | | An overweight to Korean duration benefited performance as Korean yields decreased. |
| » | | Short exposure to the Japanese yen detracted from performance as the Japanese yen appreciated versus the U.S. dollar. |
| » | | Short exposure to the euro detracted from performance as the euro appreciated versus the U.S. dollar. |
PIMCO Short Term Municipal Bond Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| New York | | | 16.2% | |
| Florida | | | 12.0% | |
| Texas | | | 10.0% | |
| Ohio | | | 6.1% | |
| Nevada | | | 5.7% | |
| Other | | | 50.0% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(02/01/2010) | |
| | PIMCO Short Term Municipal Bond Exchange-Traded Fund
(Based on Net Asset Value) | | | 1.10% | | | | 1.13% | |
| | PIMCO Short Term Municipal Bond Exchange-Traded Fund
(At Market Price)(1) | | | 1.24% | | | | 1.12% | |
| | Barclays 1 Year Municipal Bond Index± | | | 0.96% | | | | 1.06% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1 Year Municipal Bond Index is an unmanaged index comprised of national municipal bond issues having a maturity of at least one year and less than two years. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Short Term Municipal Bond Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“PIMCO”) to be of comparable quality. The Fund may invest 25% or more of its total assets in municipal bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
| » | | Duration (or sensitivity to changes in market interest rates) positioning detracted from performance as municipal yields moved slightly lower in short maturities when the Fund was underweight duration (from June 2013 through October 2013), and slightly higher when the Fund was overweight duration (from October 2013 through June 2014). |
| » | | An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An overweight to the transportation sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An overweight to the education sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
| » | | An underweight to pre-refunded municipal securities detracted from performance as the sector generally outperformed the general municipal bond market during the reporting period. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 25 |
PIMCO Total Return Exchange-Traded Fund
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
| | | | |
| Corporate Bonds & Notes | | | 43.5% | |
| Sovereign Issues | | | 17.9% | |
| U.S. Government Agencies | | | 13.2% | |
| Mortgage-Backed Securities | | | 10.9% | |
| U.S. Treasury Obligations | | | 6.1% | |
| Asset-Backed Securities | | | 5.8% | |
| Other | | | 2.6% | |
| ‡ | % of Investments, at value as of 06/30/14 |
| | | | | | | | | | |
| Average Annual Total Return for the period ended June 30, 2014 | |
| | | | | 1 Year | | | Fund Inception
(02/29/2012) | |
| | PIMCO Total Return Exchange-Traded Fund
(Based on Net Asset Value) | | | 5.10% | | | | 6.24% | |
| | PIMCO Total Return Exchange-Traded Fund
(At Market Price)(1) | | | 5.40% | | | | 6.32% | |
| | Barclays U.S. Aggregate Index± | | | 4.37% | | | | 2.20% | |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. It is not possible to invest directly in an unmanaged index.
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. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
| » | | The PIMCO Total Return Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of fixed income instruments of varying maturities. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
| » | | An underweight to the 30-year portion of the U.S. Treasury yield curve detracted from performance as longer-dated yields fell during the reporting period. |
| » | | Positive exposure to Italian and Spanish duration contributed to returns as yields in these countries fell during the reporting period. |
| » | | Exposure to non-Agency mortgage-backed securities added to returns as prices on these securities generally rose during the reporting period. |
| » | | An underweight to investment grade credit detracted from performance as the investment grade sector outperformed the Fund’s benchmark index during the reporting period. |
| » | | An allocation to high yield corporate bonds added to performance as the sector outperformed the Fund’s benchmark index during the reporting period. |
| » | | A short position in the Japanese yen initiated in late 2013 detracted from performance as the Japanese yen appreciated in the second half of the reporting period. |
| » | | An allocation to U.S. Treasury Inflation-Protected Securities contributed to performance as breakeven inflation rose during the reporting period. |
Expense Examples
Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded 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 Funds is from January 1, 2014 to June 30, 2014 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 columns, 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 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 Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’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 Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded 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, such as brokerage commissions paid on purchases and sales of shares of the Funds. 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 exchange-traded 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 not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Actual | | | | | Hypothetical
(5% return before expenses) | | | | | | |
| | | | | Beginning
Account Value
(01/01/14) | | | Ending
Account Value
(06/30/14) | | | Expenses Paid
During Period* | | | | | Beginning
Account Value
(01/01/14) | | | Ending
Account Value
(06/30/14) | | | Expenses Paid
During Period* | | | | | Net Annualized
Expense
Ratio** | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 1,000.00 | | | $ | 1,003.50 | | | $ | 0.45 | | | | | $ | 1,000.00 | | | $ | 1,024.35 | | | $ | 0.45 | | | | | | 0.09 | % |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,019.40 | | | | 0.75 | | | | | | 1,000.00 | | | | 1,024.05 | | | | 0.75 | | | | | | 0.15 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,053.30 | | | | 0.76 | | | | | | 1,000.00 | | | | 1,024.05 | | | | 0.75 | | | | | | 0.15 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,230.90 | | | | 0.83 | | | | | | 1,000.00 | | | | 1,024.05 | | | | 0.75 | | | | | | 0.15 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,018.90 | | | | 1.00 | | | | | | 1,000.00 | | | | 1,023.80 | | | | 1.00 | | | | | | 0.20 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,151.60 | | | | 1.07 | | | | | | 1,000.00 | | | | 1,023.80 | | | | 1.00 | | | | | | 0.20 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,062.70 | | | | 1.02 | | | | | | 1,000.00 | | | | 1,023.80 | | | | 1.00 | | | | | | 0.20 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,026.30 | | | | 2.76 | | | | | | 1,000.00 | | | | 1,022.07 | | | | 2.76 | | | | | | 0.55 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,059.50 | | | | 1.02 | | | | | | 1,000.00 | | | | 1,023.80 | | | | 1.00 | | | | | | 0.20 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,106.20 | | | | 2.35 | | | | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | | | | | | 0.45 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,054.00 | | | | 2.29 | | | | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | | | | | | 0.45 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,031.80 | | | | 2.27 | | | | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | | | | | | 0.45 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,110.10 | | | | 2.35 | | | | | | 1,000.00 | | | | 1,022.56 | | | | 2.26 | | | | | | 0.45 | |
PIMCO Diversified Income Exchange-Traded Fund(a) | | | | | 1,000.00 | | | | 1,053.00 | | | | 3.80 | | | | | | 1,000.00 | | | | 1,020.58 | | | | 4.26 | | | | | | 0.85 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,004.90 | | | | 1.74 | | | | | | 1,000.00 | | | | 1,023.06 | | | | 1.76 | | | | | | 0.35 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 27 |
Expense Examples (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Actual | | | | | Hypothetical
(5% return before expenses) | | | | | | |
| | | | | Beginning
Account Value
(01/01/14) | | | Ending
Account Value
(06/30/14) | | | Expenses Paid
During Period* | | | | | Beginning
Account Value
(01/01/14) | | | Ending
Account Value
(06/30/14) | | | Expenses Paid
During Period* | | | | | Net Annualized
Expense
Ratio** | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | $ | 1,000.00 | | | $ | 1,024.20 | | | $ | 3.26 | | | | | $ | 1,000.00 | | | $ | 1,021.57 | | | $ | 3.26 | | | | | | 0.65 | % |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,084.90 | | | | 3.21 | | | | | | 1,000.00 | | | | 1,021.72 | | | | 3.11 | | | | | | 0.62 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,034.80 | | | | 1.77 | | | | | | 1,000.00 | | | | 1,023.06 | | | | 1.76 | | | | | | 0.35 | |
PIMCO Low Duration Exchange-Traded Fund(a) | | | | | 1,000.00 | | | | 1,015.20 | | | | 2.46 | | | | | | 1,000.00 | | | | 1,022.02 | | | | 2.81 | | | | | | 0.56 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,007.10 | | | | 1.74 | | | | | | 1,000.00 | | | | 1,023.06 | | | | 1.76 | | | | | | 0.35 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 1,000.00 | | | | 1,042.80 | | | | 2.89 | | | | | | 1,000.00 | | | | 1,021.97 | | | | 2.86 | | | | | | 0.57 | |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** The Net Annualized Expense Ratio is reflective of any applicable waivers related to contractual agreements for contractual fee waivers or voluntary fee waivers. Details regarding fee waivers can be found in Note 8 in the Notes to Financial Statements.
(a) The Beginning Account Value is reflective as of 1/22/14 for Actual Performance. Expenses paid in the Actual Performance section are equal to the Net Annualized Expense Ratio for the Funds’, multiplied by the average account value over the period, multiplied by 159/365 for the PIMCO Diversified Income Exchange-Traded Fund and PIMCO Low Duration Exchange-Traded Fund (to reflect the period since the inception date of 1/22/14). Hypothetical expenses reflect an amount as if the Funds’ had been operational for the entire fiscal half year.
(THIS PAGE INTENTIONALLY LEFT BLANK)
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 29 |
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| Selected Per Share Data for the Year or Period Ended: | | Net Asset Value
Beginning of
Year or Period | | | Net Investment
Income (a) | | | Net Realized/
Unrealized
Gain (Loss) | | |
Total
Income
(Loss) from
Investment
Operations | | | Dividends from
Net Investment
Income | | | Distributions from
Net Realized
Capital Gains | |
| | | | | | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 50.78 | | | $ | 0.16 | | | $ | 0.19 | | | $ | 0.35 | | | $ | (0.16 | ) | | $ | (0.03 | ) |
06/30/2013 | | | 50.98 | | | | 0.17 | | | | (0.07 | ) | | | 0.10 | | | | (0.16 | ) | | | (0.14 | ) |
06/30/2012 | | | 51.00 | | | | 0.29 | | | | 0.08 | | | | 0.37 | | | | (0.29 | ) | | | (0.10 | ) |
06/30/2011 | | | 50.76 | | | | 0.40 | | | | 0.24 | | | | 0.64 | | | | (0.40 | ) | | | 0.00 | |
06/30/2010 | | | 49.94 | | | | 0.43 | | | | 0.84 | | | | 1.27 | | | | (0.43 | ) | | | (0.02 | ) |
| | | | | | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 79.28 | | | $ | 1.01 | | | $ | 0.38 | | | $ | 1.39 | | | $ | (0.92 | ) | | $ | (0.24 | ) |
06/30/2013 | | | 81.94 | | | | 1.16 | | | | (2.11 | ) | | | (0.95 | ) | | | (1.09 | ) | | | (0.62 | ) |
06/30/2012 | | | 78.36 | | | | 1.29 | | | | 3.91 | | | | 5.20 | | | | (1.28 | ) | | | (0.34 | ) |
06/30/2011 | | | 77.91 | | | | 1.44 | | | | 1.24 | | | | 2.68 | | | | (1.49 | ) | | | (0.74 | ) |
10/30/2009 - 06/30/2010 | | | 75.34 | | | | 1.08 | | | | 2.53 | | | | 3.61 | | | | (1.04 | ) | | | 0.00 | |
| | | | | | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 82.66 | | | $ | 1.80 | | | $ | 0.69 | | | $ | 2.49 | | | $ | (1.73 | ) | | $ | 0.00 | |
06/30/2013 | | | 87.76 | | | | 1.27 | | | | (4.35 | ) | | | (3.08 | ) | | | (1.47 | ) | | | (0.55 | ) |
06/30/2012 | | | 78.21 | | | | 1.86 | | | | 10.13 | | | | 11.99 | | | | (1.77 | ) | | | (0.67 | ) |
06/30/2011 | | | 79.23 | | | | 2.27 | | | | 0.05 | | | | 2.32 | | | | (2.29 | ) | | | (1.05 | ) |
09/10/2009 - 06/30/2010 | | | 75.67 | | | | 1.94 | | | | 3.65 | | | | 5.59 | | | | (1.98 | ) | | | (0.05 | ) |
| | | | | | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index
Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 94.57 | | | $ | 3.26 | | | $ | 5.46 | | | $ | 8.72 | | | $ | (3.42 | ) | | $ | 0.00 | |
06/30/2013 | | | 116.38 | | | | 3.20 | | | | (21.44 | ) | | | (18.24 | ) | | | (3.57 | ) | | | 0.00 | |
06/30/2012 | | | 70.18 | | | | 3.27 | | | | 46.15 | | | | 49.42 | | | | (3.22 | ) | | | 0.00 | |
06/30/2011 | | | 83.02 | | | | 3.25 | | | | (12.86 | ) | | | (9.61 | ) | | | (3.23 | ) | | | 0.00 | |
10/30/2009 - 06/30/2010 | | | 76.98 | | | | 2.24 | | | | 5.93 | | | | 8.17 | | | | (2.13 | ) | | | 0.00 | |
| | | | | | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 52.69 | | | $ | 0.34 | | | $ | 0.86 | | | $ | 1.20 | | | $ | (0.31 | ) | | $ | 0.00 | |
06/30/2013 | | | 53.39 | | | | 0.02 | | | | (0.62 | ) | | | (0.60 | ) | | | (0.07 | ) | | | (0.03 | ) |
06/30/2012 | | | 53.30 | | | | 0.81 | | | | 0.10 | | | | 0.91 | | | | (0.75 | ) | | | (0.07 | ) |
06/30/2011 | | | 51.79 | | | | 1.86 | | | | 1.08 | | | | 2.94 | | | | (1.42 | ) | | | (0.01 | ) |
08/20/2009 - 06/30/2010 | | | 50.00 | | | | 0.86 | | | | 1.71 | | | | 2.57 | | | | (0.78 | ) | | | 0.00 | |
| | | | | | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 61.05 | | | $ | 1.09 | | | $ | 4.23 | | | $ | 5.32 | | | $ | (1.35 | ) | | $ | 0.00 | |
06/30/2013 | | | 69.22 | | | | 0.39 | | | | (8.19 | ) | | | (7.80 | ) | | | (0.37 | ) | | | 0.00 | |
06/30/2012 | | | 56.04 | | | | 1.65 | | | | 13.11 | | | | 14.76 | | | | (1.58 | ) | | | 0.00 | |
06/30/2011 | | | 54.17 | | | | 2.63 | | | | 1.41 | | | | 4.04 | | | | (2.17 | ) | | | 0.00 | |
09/03/2009 - 06/30/2010 | | | 50.01 | | | | 1.22 | | | | 4.20 | | | | 5.42 | | | | (1.26 | ) | | | 0.00 | |
| | | | | | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 56.40 | | | $ | 0.71 | | | $ | 1.81 | | | $ | 2.52 | | | $ | (0.78 | ) | | $ | 0.00 | |
06/30/2013 | | | 59.93 | | | | 0.44 | | | | (3.66 | ) | | | (3.22 | ) | | | (0.31 | ) | | | (0.00 | )^ |
06/30/2012 | | | 54.58 | | | | 1.40 | | | | 5.23 | | | | 6.63 | | | | (1.28 | ) | | | 0.00 | |
06/30/2011 | | | 52.95 | | | | 2.18 | | | | 1.67 | | | | 3.85 | | | | (1.91 | ) | | | (0.31 | ) |
09/03/2009 - 06/30/2010 | | | 50.01 | | | | 0.96 | | | | 2.97 | | | | 3.93 | | | | (0.92 | ) | | | (0.07 | ) |
| | | | | | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 102.54 | | | $ | 4.23 | | | $ | 4.83 | | | $ | 9.06 | | | $ | (4.59 | ) | | $ | (0.25 | ) |
06/30/2013 | | | 99.62 | | | | 4.70 | | | | 3.37 | | | | 8.07 | | | | (5.15 | ) | | | 0.00 | |
06/30/2012 | | | 100.29 | | | | 6.06 | | | | (1.13 | ) | | | 4.93 | | | | (5.60 | ) | | | 0.00 | |
06/16/2011 - 06/30/2011 | | | 100.00 | | | | 0.18 | | | | 0.27 | | | | 0.45 | | | | (0.16 | ) | | | 0.00 | |
| | | | | | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 102.11 | | | $ | 3.42 | | | $ | 4.64 | | | $ | 8.06 | | | $ | (3.28 | ) | | $ | (3.68 | ) |
06/30/2013 | | | 105.46 | | | | 3.40 | | | | (2.29 | ) | | | 1.11 | | | | (3.71 | ) | | | (0.75 | ) |
06/30/2012 | | | 99.76 | | | | 3.44 | | | | 5.61 | | | | 9.05 | | | | (3.35 | ) | | | 0.00 | |
09/20/2010 - 06/30/2011 | | | 100.00 | | | | 2.60 | | | | (0.23 | ) | | | 2.37 | | | | (2.56 | ) | | | (0.05 | ) |
| | | | | | |
| 30 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Basis
Return of
Capital | | | Total
Distributions | | | Net Asset
Value End
of Year or
Period | | | Total
Return | | | Net Assets
End of
Year or
Period (000s) | | | Ratio of
Expenses
to Average
Net Assets | | | Ratio of
Expenses
to Average
Net Assets
Excluding
Waivers | | | Ratio of
Net Investment
Income to
Average
Net Assets | | | Portfolio
Turnover Rate (b) | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.19 | ) | | $ | 50.94 | | | | 0.68 | % | | $ | 127,442 | | | | 0.10 | % | | | 0.16 | % | | | 0.32 | % | | | 61 | % |
| | 0.00 | | | | (0.30 | ) | | | 50.78 | | | | 0.20 | | | | 129,595 | | | | 0.09 | | | | 0.15 | | | | 0.33 | | | | 15 | |
| | 0.00 | | | | (0.39 | ) | | | 50.98 | | | | 0.74 | | | | 132,657 | | | | 0.09 | | | | 0.15 | | | | 0.57 | | | | 8 | |
| | 0.00 | | | | (0.40 | ) | | | 51.00 | | | | 1.26 | | | | 107,206 | | | | 0.09 | | | | 0.15 | | | | 0.78 | | | | 18 | |
| | 0.00 | | | | (0.45 | ) | | | 50.76 | | | | 2.56 | | | | 86,400 | | | | 0.09 | | | | 0.19 | | | | 0.83 | | | | 256 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (1.16 | ) | | $ | 79.51 | | | | 1.78 | % | | $ | 13,251 | | | | 0.16 | % | | | 0.16 | % | | | 1.28 | % | | | 39 | % |
| | 0.00 | | | | (1.71 | ) | | | 79.28 | | | | (1.20 | ) | | | 21,140 | | | | 0.15 | | | | 0.15 | | | | 1.42 | | | | 4 | |
| | 0.00 | | | | (1.62 | ) | | | 81.94 | | | | 6.67 | | | | 21,852 | | | | 0.15 | | | | 0.15 | | | | 1.59 | | | | 37 | |
| | 0.00 | | | | (2.23 | ) | | | 78.36 | | | | 3.49 | | | | 20,895 | | | | 0.15 | | | | 0.15 | | | | 1.83 | | | | 48 | |
| | 0.00 | | | | (1.04 | ) | | | 77.91 | | | | 4.85 | | | | 51,942 | | | | 0.15 | * | | | 0.41 | * | | | 2.14 | * | | | 178 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (1.73 | ) | | $ | 83.42 | | | | 3.07 | % | | $ | 73,969 | | | | 0.15 | % | | | 0.15 | % | | | 2.19 | % | | | 52 | % |
| | 0.00 | | | | (2.02 | ) | | | 82.66 | | | | (3.61 | ) | | | 11,296 | | | | 0.15 | | | | 0.15 | | | | 1.45 | | | | 26 | |
| | 0.00 | | | | (2.44 | ) | | | 87.76 | | | | 15.47 | | | | 37,446 | | | | 0.15 | | | | 0.15 | | | | 2.17 | | | | 24 | |
| | 0.00 | | | | (3.34 | ) | | | 78.21 | | | | 3.00 | | | | 8,342 | | | | 0.15 | | | | 0.15 | | | | 2.87 | | | | 76 | |
| | 0.00 | | | | (2.03 | ) | | | 79.23 | | | | 7.54 | | | | 14,790 | | | | 0.15 | * | | | 0.86 | * | | | 3.31 | * | | | 209 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (3.42 | ) | | $ | 99.87 | | | | 9.70 | % | | $ | 76,902 | | | | 0.16 | % | | | 0.16 | % | | | 3.61 | % | | | 18 | % |
| | 0.00 | | | | (3.57 | ) | | | 94.57 | | | | (15.97 | ) | | | 82,276 | | | | 0.15 | | | | 0.15 | | | | 2.89 | | | | 8 | |
| | 0.00 | | | | (3.22 | ) | | | 116.38 | | | | 70.82 | | | | 169,915 | | | | 0.15 | | | | 0.15 | | | | 3.15 | | | | 11 | |
| | 0.00 | | | | (3.23 | ) | | | 70.18 | | | | (11.69 | ) | | | 40,705 | | | | 0.15 | | | | 0.15 | | | | 4.41 | | | | 50 | |
| | 0.00 | | | | (2.13 | ) | | | 83.02 | | | | 11.02 | | | | 21,586 | | | | 0.15 | * | | | 0.83 | * | | | 4.56 | * | | | 39 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.31 | ) | | $ | 53.58 | | | | 2.28 | % | | $ | 1,337,875 | | | | 0.20 | % | | | 0.20 | % | | | 0.63 | % | | | 33 | % |
| | 0.00 | | | | (0.10 | ) | | | 52.69 | | | | (1.13 | ) | | | 1,041,609 | | | | 0.20 | | | | 0.20 | | | | 0.04 | | | | 11 | |
| | 0.00 | | | | (0.82 | ) | | | 53.39 | | | | 1.71 | | | | 999,496 | | | | 0.20 | | | | 0.20 | | | | 1.51 | | | | 31 | |
| | 0.00 | | | | (1.43 | ) | | | 53.30 | | | | 5.70 | | | | 1,184,369 | | | | 0.20 | | | | 0.21 | | | | 3.50 | | | | 17 | |
| | 0.00 | | | | (0.78 | ) | | | 51.79 | | | | 5.17 | | | | 539,680 | | | | 0.20 | * | | | 0.23 | * | | | 2.02 | * | | | 5 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (1.35 | ) | | $ | 65.02 | | | | 8.83 | % | | $ | 69,570 | | | | 0.21 | % | | | 0.21 | % | | | 1.81 | % | | | 47 | % |
| | 0.00 | | | | (0.37 | ) | | | 61.05 | | | | (11.33 | ) | | | 105,004 | | | | 0.20 | | | | 0.20 | | | | 0.56 | | | | 16 | |
| | 0.00 | | | | (1.58 | ) | | | 69.22 | | | | 26.53 | | | | 375,182 | | | | 0.20 | | | | 0.20 | | | | 2.53 | | | | 11 | |
| | 0.00 | | | | (2.17 | ) | | | 56.04 | | | | 7.58 | | | | 258,901 | | | | 0.20 | | | | 0.20 | | | | 4.76 | | | | 38 | |
| | 0.00 | | | | (1.26 | ) | | | 54.17 | | | | 10.95 | | | | 22,753 | | | | 0.20 | * | | | 0.70 | * | | | 3.02 | * | | | 35 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.78 | ) | | $ | 58.14 | | | | 4.50 | % | | $ | 106,402 | | | | 0.21 | % | | | 0.21 | % | | | 1.26 | % | | | 19 | % |
| | 0.00 | | | | (0.31 | ) | | | 56.40 | | | | (5.41 | ) | | | 72,186 | | | | 0.20 | | | | 0.20 | | | | 0.72 | | | | 11 | |
| | 0.00 | | | | (1.28 | ) | | | 59.93 | | | | 12.21 | | | | 109,678 | | | | 0.20 | | | | 0.20 | | | | 2.38 | | | | 6 | |
| | 0.00 | | | | (2.22 | ) | | | 54.58 | | | | 7.39 | | | | 56,219 | | | | 0.20 | | | | 0.21 | | | | 4.04 | | | | 20 | |
| | 0.00 | | | | (0.99 | ) | | | 52.95 | | | | 7.91 | | | | 28,063 | | | | 0.20 | * | | | 0.61 | * | | | 2.35 | * | | | 122 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (4.84 | ) | | $ | 106.76 | | | | 8.98 | % | | $ | 5,119,202 | | | | 0.55 | % | | | 0.55 | % | | | 3.98 | % | | | 28 | % |
| | 0.00 | | | | (5.15 | ) | | | 102.54 | | | | 8.21 | | | | 2,307,178 | | | | 0.55 | | | | 0.55 | | | | 4.52 | | | | 33 | |
| | 0.00 | | | | (5.60 | ) | | | 99.62 | | | | 5.16 | | | | 323,771 | | | | 0.55 | | | | 0.55 | | | | 6.14 | | | | 33 | |
| | 0.00 | | | | (0.16 | ) | | | 100.29 | | | | 0.45 | | | | 25,073 | | | | 0.55 | * | | | 7.30 | * | | | 4.65 | * | | | 0 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (6.96 | ) | | $ | 103.21 | | | | 8.24 | % | | $ | 199,196 | | | | 0.20 | % | | | 0.20 | % | | | 3.36 | % | | | 17 | % |
| | 0.00 | | | | (4.46 | ) | | | 102.11 | | | | 0.92 | | | | 140,916 | | | | 0.20 | | | | 0.20 | | | | 3.15 | | | | 34 | |
| | 0.00 | | | | (3.35 | ) | | | 105.46 | | | | 9.20 | | | | 256,267 | | | | 0.20 | | | | 0.20 | | | | 3.32 | | | | 5 | |
| | 0.00 | | | | (2.61 | ) | | | 99.76 | | | | 2.40 | | | | 72,821 | | | | 0.20 | * | | | 0.34 | * | | | 3.36 | * | | | 69 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 31 |
Financial Highlights (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Selected Per Share Data for the Year or Period Ended: | | Net Asset Value
Beginning of
Year or Period | | | Net Investment
Income (a) | | | Net Realized/
Unrealized
Gain (Loss) | | |
Total
Income
(Loss) from
Investment
Operations | | | Dividends from
Net Investment
Income | | | Distributions from
Net Realized
Capital Gains | |
| | | | | | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 90.93 | | | $ | 3.40 | | | $ | 5.53 | | | $ | 8.93 | | | $ | 0.00 | | | $ | 0.00 | |
06/30/2013 | | | 101.86 | | | | 3.62 | | | | (11.22 | ) | | | (7.60 | ) | | | (3.21 | ) | | | (0.08 | ) |
10/31/2011 - 06/30/2012 | | | 100.00 | | | | 2.53 | | | | 1.56 | | | | 4.09 | | | | (2.23 | ) | | | 0.00 | |
| | | | | | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 95.85 | | | $ | 2.27 | | | $ | 1.65 | | | $ | 3.92 | | | $ | (0.96 | ) | | $ | 0.00 | |
06/30/2013 | | | 103.13 | | | | 2.22 | | | | (7.03 | ) | | | (4.81 | ) | | | (2.17 | ) | | | (0.30 | ) |
11/09/2011 - 06/30/2012 | | | 100.00 | | | | 1.32 | | | | 2.86 | | | | 4.18 | | | | (1.05 | ) | | | 0.00 | |
| | | | | | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 99.78 | | | $ | 1.35 | | | $ | 7.94 | | | $ | 9.29 | | | $ | (1.31 | ) | | $ | (0.12 | ) |
06/30/2013 | | | 95.91 | | | | 1.40 | | | | 3.30 | | | | 4.70 | | | | (0.83 | ) | | | 0.00 | |
11/09/2011 - 06/30/2012 | | | 100.00 | | | | 0.88 | | | | (4.17 | ) | | | (3.29 | ) | | | (0.21 | ) | | | 0.00 | |
| | | | | | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 50.90 | | | $ | 2.07 | | | $ | 2.52 | | | $ | 4.59 | | | $ | (1.99 | ) | | $ | (2.12 | ) |
06/30/2013 | | | 56.21 | | | | 2.28 | | | | (3.53 | ) | | | (1.25 | ) | | | (2.36 | ) | | | (1.70 | ) |
06/30/2012 | | | 49.36 | | | | 2.53 | | | | 8.17 | | | | 10.70 | | | | (2.55 | ) | | | (1.30 | ) |
09/20/2010 - 06/30/2011 | | | 50.00 | | | | 2.09 | | | | (0.72 | ) | | | 1.37 | | | | (2.01 | ) | | | 0.00 | |
| | | | | | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
01/22/2014 - 06/30/2014 | | $ | 50.00 | | | $ | 0.77 | | | $ | 1.87 | | | $ | 2.64 | | | $ | (0.66 | ) | | $ | 0.00 | |
| | | | | | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 101.26 | | | $ | 0.67 | | | $ | 0.36 | | | $ | 1.03 | | | $ | (0.69 | ) | | $ | (0.15 | ) |
06/30/2013 | | | 101.08 | | | | 0.88 | | | | 0.22 | | | | 1.10 | | | | (0.92 | ) | | | 0.00 | |
06/30/2012 | | | 101.04 | | | | 1.06 | | | | 0.07 | | | | 1.13 | | | | (1.03 | ) | | | (0.06 | ) |
06/30/2011 | | | 100.34 | | | | 0.86 | | | | 1.03 | | | | 1.89 | | | | (0.90 | ) | | | (0.29 | ) |
11/16/2009 - 06/30/2010 | | | 100.00 | | | | 0.32 | | | | 0.37 | | | | 0.69 | | | | (0.35 | ) | | | 0.00 | |
| | | | | | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 47.14 | | | $ | 0.35 | | | $ | 1.19 | | | $ | 1.54 | | | $ | 0.00 | | | $ | 0.00 | |
02/11/2013 - 06/30/2013 | | | 50.00 | | | | 0.13 | | | | (2.99 | ) | | | (2.86 | ) | | | 0.00 | | | | 0.00 | |
| | | | | | |
PIMCO Global Advantage® Inflation-Linked Bond
Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 48.55 | | | $ | 1.94 | | | $ | 1.71 | | | $ | 3.65 | | | $ | (0.35 | ) | | $ | (0.19 | ) |
06/30/2013 | | | 50.28 | | | | 1.34 | | | | (2.57 | ) | | | (1.23 | ) | | | (0.34 | ) | | | (0.16 | ) |
04/30/2012 - 06/30/2012 | | | 50.00 | | | | 0.30 | | | | (0.02 | ) | | | 0.28 | | | | 0.00 | | | | 0.00 | |
| | | | | | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 52.06 | | | $ | 1.05 | | | $ | 1.13 | | | $ | 2.18 | | | $ | (1.07 | ) | | $ | 0.00 | |
06/30/2013 | | | 53.70 | | | | 1.23 | | | | (1.60 | ) | | | (0.37 | ) | | | (1.20 | ) | | | (0.07 | ) |
06/30/2012 | | | 51.44 | | | | 1.22 | | | | 2.29 | | | | 3.51 | | | | (1.19 | ) | | | (0.06 | ) |
06/30/2011 | | | 50.63 | | | | 1.21 | | | | 0.90 | | | | 2.11 | | | | (1.21 | ) | | | (0.09 | ) |
11/30/2009 - 06/30/2010 | | | 50.00 | | | | 0.63 | | | | 0.61 | | | | 1.24 | | | | (0.61 | ) | | | 0.00 | |
| | | | | | |
PIMCO Low Duration Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
01/22/2014 - 06/30/2014 | | $ | 100.00 | | | $ | 0.30 | | | $ | 1.22 | | | $ | 1.52 | | | $ | (0.25 | ) | | $ | 0.00 | |
| | | | | | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 50.14 | | | $ | 0.26 | | | $ | 0.29 | | | $ | 0.55 | | | $ | (0.22 | ) | | $ | 0.00 | |
06/30/2013 | | | 50.54 | | | | 0.40 | | | | (0.33 | ) | | | 0.07 | | | | (0.47 | ) | | | (0.00 | )^ |
06/30/2012 | | | 50.36 | | | | 0.48 | | | | 0.20 | | | | 0.68 | | | | (0.47 | ) | | | (0.03 | ) |
06/30/2011 | | | 50.13 | | | | 0.61 | | | | 0.22 | | | | 0.83 | | | | (0.60 | ) | | | 0.00 | |
02/01/2010 - 06/30/2010 | | | 50.00 | | | | 0.21 | | | | 0.14 | | | | 0.35 | | | | (0.22 | ) | | | 0.00 | |
| | | | | | |
| 32 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Basis
Return of
Capital | | | Total
Distributions | | | Net Asset
Value End
of Year or
Period | | | Total
Return | | | Net Assets
End of
Year or
Period (000s) | | | Ratio of
Expenses
to Average
Net Assets | | | Ratio of
Expenses
to Average
Net Assets
Excluding
Waivers | | | Ratio of
Net Investment
Income to
Average
Net Assets | | | Portfolio
Turnover Rate (b) | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | 0.00 | | | $ | 99.86 | | | | 9.82 | % | | $ | 22,968 | | | | 0.46 | % | | | 0.46 | % | | | 3.65 | % | | | 39 | % |
| | (0.04 | ) | | | (3.33 | ) | | | 90.93 | | | | (7.81 | ) | | | 39,099 | | | | 0.45 | | | | 0.45 | | | | 3.53 | | | | 49 | |
| | 0.00 | | | | (2.23 | ) | | | 101.86 | | | | 4.16 | | | | 28,521 | | | | 0.45 | * | | | 0.70 | * | | | 3.89 | * | | | 37 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.96 | ) | | $ | 98.81 | | | | 4.14 | % | | $ | 17,786 | | | | 0.46 | % | | | 0.46 | % | | | 2.39 | % | | | 17 | % |
| | 0.00 | | | | (2.47 | ) | | | 95.85 | | | | (4.83 | ) | | | 31,630 | | | | 0.45 | | | | 0.45 | | | | 2.14 | | | | 7 | |
| | 0.00 | | | | (1.05 | ) | | | 103.13 | | | | 4.18 | | | | 18,564 | | | | 0.45 | * | | | 0.88 | * | | | 2.05 | * | | | 91 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (1.43 | ) | | $ | 107.64 | | | | 9.35 | % | | $ | 3,229 | | | | 0.46 | % | | | 0.46 | % | | | 1.29 | % | | | 46 | % |
| | 0.00 | | | | (0.83 | ) | | | 99.78 | | | | 4.89 | | | | 2,994 | | | | 0.45 | | | | 0.45 | | | | 1.40 | | | | 33 | |
| | (0.59 | ) | | | (0.80 | ) | | | 95.91 | | | | (3.29 | ) | | | 2,877 | | | | 0.45 | * | | | 0.95 | * | | | 1.43 | * | | | 130 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (4.11 | ) | | $ | 51.38 | | | | 9.72 | % | | $ | 23,634 | | | | 0.45 | % | | | 0.45 | % | | | 4.17 | % | | | 67 | % |
| | 0.00 | | | | (4.06 | ) | | | 50.90 | | | | (2.63 | ) | | | 31,051 | | | | 0.45 | | | | 0.45 | | | | 4.07 | | | | 105 | |
| | 0.00 | | | | (3.85 | ) | | | 56.21 | | | | 22.27 | | | | 37,101 | | | | 0.45 | | | | 0.45 | | | | 4.65 | | | | 71 | |
| | 0.00 | | | | (2.01 | ) | | | 49.36 | | | | 2.93 | | | | 27,644 | | | | 0.45 | * | | | 0.89 | * | | | 5.60 | * | | | 115 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.66 | ) | | $ | 51.98 | | | | 5.30 | % | | $ | 44,706 | | | | 0.85 | %* | | | 1.04 | %* | | | 3.45 | %* | | | 61 | % |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.84 | ) | | $ | 101.45 | | | | 1.02 | % | | $ | 3,773,896 | | | | 0.35 | %† | | | 0.35 | %† | | | 0.66 | % | | | 188 | % |
| | 0.00 | | | | (0.92 | ) | | | 101.26 | | | | 1.09 | | | | 3,752,615 | | | | 0.35 | | | | 0.35 | | | | 0.87 | | | | 100 | |
| | 0.00 | | | | (1.09 | ) | | | 101.08 | | | | 1.13 | | | | 1,715,342 | | | | 0.35 | | | | 0.35 | | | | 1.05 | | | | 229 | |
| | 0.00 | | | | (1.19 | ) | | | 101.04 | | | | 1.89 | | | | 1,233,727 | | | | 0.35 | | | | 0.36 | | | | 0.85 | | | | 280 | |
| | 0.00 | | | | (0.35 | ) | | | 100.34 | | | | 0.69 | | | | 656,227 | | | | 0.35 | * | | | 0.41 | * | | | 0.57 | * | | | 276 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | 0.00 | | | $ | 48.68 | | | | 3.27 | % | | $ | 21,417 | | | | 0.66 | % | | | 0.66 | % | | | 0.73 | % | | | 39 | % |
| | 0.00 | | | | 0.00 | | | | 47.14 | | | | (5.72 | ) | | | 25,456 | | | | 0.65 | * | | | 1.22 | * | | | 0.70 | * | | | 37 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.54 | ) | | $ | 51.66 | | | | 7.55 | % | | $ | 137,415 | | | | 0.62 | %(c) | | | 0.62 | %(c) | | | 3.93 | % | | | 80 | % |
| | 0.00 | | | | (0.50 | ) | | | 48.55 | | | | (2.55 | ) | | | 119,436 | | | | 0.63 | (d) | | | 0.64 | (c) | | | 2.54 | | | | 216 | |
| | 0.00 | | | | 0.00 | | | | 50.28 | | | | 0.56 | | | | 28,156 | | | | 0.61 | *(d) | | | 2.14 | *(e) | | | 3.63 | * | | | 381 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (1.07 | ) | | $ | 53.17 | | | | 4.23 | % | | $ | 210,548 | | | | 0.35 | % | | | 0.35 | % | | | 2.01 | % | | | 15 | % |
| | 0.00 | | | | (1.27 | ) | | | 52.06 | | | | (0.76 | ) | | | 187,931 | | | | 0.35 | | | | 0.35 | | | | 2.26 | | | | 35 | |
| | 0.00 | | | | (1.25 | ) | | | 53.70 | | | | 6.88 | | | | 153,576 | | | | 0.35 | | | | 0.35 | | | | 2.30 | | | | 11 | |
| | 0.00 | | | | (1.30 | ) | | | 51.44 | | | | 4.20 | | | | 90,529 | | | | 0.35 | | | | 0.36 | | | | 2.37 | | | | 44 | |
| | 0.00 | | | | (0.61 | ) | | | 50.63 | | | | 2.50 | | | | 43,543 | | | | 0.35 | * | | | 0.91 | * | | | 2.14 | * | | | 72 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.25 | ) | | $ | 101.27 | | | | 1.52 | % | | $ | 139,750 | | | | 0.56 | %* | | | 0.69 | %* | | | 0.69 | %* | | | 4,098 | % |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (0.22 | ) | | $ | 50.47 | | | | 1.10 | % | | $ | 76,211 | | | | 0.35 | % | | | 0.35 | % | | | 0.51 | % | | | 44 | % |
| | 0.00 | | | | (0.47 | ) | | | 50.14 | | | | 0.14 | | | | 60,671 | | | | 0.35 | | | | 0.35 | | | | 0.79 | | | | 42 | |
| | 0.00 | | | | (0.50 | ) | | | 50.54 | | | | 1.36 | | | | 43,463 | | | | 0.35 | | | | 0.35 | | | | 0.96 | | | | 17 | |
| | 0.00 | | | | (0.60 | ) | | | 50.36 | | | | 1.67 | | | | 23,168 | | | | 0.35 | | | | 0.35 | | | | 1.20 | | | | 35 | |
| | 0.00 | | | | (0.22 | ) | | | 50.13 | | | | 0.70 | | | | 18,046 | | | | 0.35 | * | | | 2.17 | * | | | 1.09 | * | | | 4 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 33 |
Financial Highlights (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Selected Per Share Data for the Year or Period Ended: | | Net Asset Value
Beginning of
Year or Period | | | Net Investment
Income (a) | | | Net Realized/
Unrealized
Gain (Loss) | | |
Total
Income
(Loss) from
Investment
Operations | | | Dividends from
Net Investment
Income | | | Distributions from
Net Realized
Capital Gains | |
| | | | | | |
PIMCO Total Return Exchange-Traded Fund | | | | | | | | | | | | | | | | | | | | | | | | |
06/30/2014 | | $ | 105.66 | | | $ | 2.38 | | | $ | 2.94 | | | $ | 5.32 | | | $ | (1.69 | ) | | $ | (0.44 | ) |
06/30/2013 | | | 105.55 | | | | 2.46 | | | | 0.87 | | | | 3.33 | | | | (2.34 | ) | | | (0.88 | ) |
02/29/2012 - 06/30/2012 | | | 100.00 | | | | 1.00 | | | | 5.26 | | | | 6.26 | | | | (0.71 | ) | | | 0.00 | |
| ^ | Reflects an amount rounding to less than one cent. |
| † | Reflects an interest expense rounding to less than 0.01%. |
| (a) | Per share amounts based on average number of shares outstanding during the year or period. |
| (b) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions. |
| (c) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.61%. |
| (d) | Ratio of expenses to average net assets excluding interest expense was 0.60%. |
| (e) | Ratio of expenses to average net assets excluding waivers and interest expense was 2.13%. |
| (f) | Ratio of expenses to average net assets excluding interest expense was 0.55%. |
| (g) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.56%. |
| | | | | | |
| 34 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Tax Basis
Return of
Capital | | | Total
Distributions | | | Net Asset
Value End
of Year or
Period | | | Total
Return | | | Net Assets
End of
Year or
Period (000s) | | | Ratio of
Expenses
to Average
Net Assets | | | Ratio of
Expenses
to Average
Net Assets
Excluding
Waivers | | | Ratio of
Net Investment
Income to
Average
Net Assets | | | Portfolio
Turnover Rate (b) | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0.00 | | | $ | (2.13 | ) | | $ | 108.85 | | | | 5.10 | % | | $ | 3,431,844 | | | | 0.56 | %(f) | | | 0.57 | %(g) | | | 2.24 | % | | | 577 | % |
| | 0.00 | | | | (3.22 | ) | | | 105.66 | | | | 3.11 | | | | 4,398,592 | | | | 0.55 | | | | 0.55 | | | | 2.26 | | | | 449 | |
| | 0.00 | | | | (0.71 | ) | | | 105.55 | | | | 6.27 | | | | 1,765,865 | | | | 0.55 | * | | | 0.62 | * | | | 2.86 | * | | | 322 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 35 |
Statements of Assets and Liabilities
| | | | | | | | | | | | | | | | | | | | | | | | |
| (Amounts in thousands, except per share amounts) | | PIMCO
1-3 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
3-7 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
7-15 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
25+ Year
Zero Coupon
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
1-5 Year
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
15+ Year
U.S. TIPS
Index Exchange-
Traded Fund | |
| | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities* | | $ | 127,326 | | | $ | 13,254 | | | $ | 73,513 | | | $ | 77,496 | | | $ | 1,330,684 | | | $ | 69,175 | |
Investments in Affiliates | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Cash | | | 0 | | | | 0 | | | | 0 | | | | 4 | | | | 0 | | | | 51 | |
Deposits with counterparty | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Foreign currency, at value | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Receivable for investments sold | | | 5,031 | | | | 322 | | | | 1,485 | | | | 0 | | | | 4,899 | | | | 4,154 | |
Receivable for Fund shares sold | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 2,679 | | | | 0 | |
Interest receivable | | | 333 | | | | 50 | | | | 620 | | | | 0 | | | | 6,045 | | | | 326 | |
| | | | 132,690 | | | | 13,626 | | | | 75,618 | | | | 77,500 | | | | 1,344,307 | | | | 73,706 | |
| | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
Over the counter | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Payable for investments purchased | | | 5,196 | | | | 360 | | | | 1,505 | | | | 0 | | | | 2,684 | | | | 3,778 | |
Payable upon return of securities loaned | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Dividends payable | | | 37 | | | | 12 | | | | 133 | | | | 585 | | | | 3,489 | | | | 343 | |
Accrued management fees | | | 9 | | | | 2 | | | | 9 | | | | 9 | | | | 218 | | | | 11 | |
Reimbursement to PIMCO | | | 4 | | | | 1 | | | | 1 | | | | 3 | | | | 19 | | | | 3 | |
Other liabilities | | | 2 | | | | 0 | | | | 1 | | | | 1 | | | | 22 | | | | 1 | |
| | | | 5,248 | | | | 375 | | | | 1,649 | | | | 598 | | | | 6,432 | | | | 4,136 | |
| | | | | | |
Net Assets | | $ | 127,442 | | | $ | 13,251 | | | $ | 73,969 | | | $ | 76,902 | | | $ | 1,337,875 | | | $ | 69,570 | |
| | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 127,226 | | | $ | 13,282 | | | $ | 73,934 | | | $ | 97,740 | | | $ | 1,333,992 | | | $ | 81,401 | |
Undistributed (overdistributed) net investment income | | | (39 | ) | | | (37 | ) | | | (5 | ) | | | 0 | | | | 576 | | | | 140 | |
Accumulated undistributed net realized gain (loss) | | | 89 | | | | 68 | | | | (493 | ) | | | (17,787 | ) | | | (2,502 | ) | | | (8,071 | ) |
Net unrealized appreciation (depreciation) | | | 166 | | | | (62 | ) | | | 533 | | | | (3,051 | ) | | | 5,809 | | | | (3,900 | ) |
| | | $ | 127,442 | | | $ | 13,251 | | | $ | 73,969 | | | $ | 76,902 | | | $ | 1,337,875 | | | $ | 69,570 | |
| | | | | | |
Shares Issued and Outstanding: | | | 2,502 | | | | 167 | | | | 887 | | | | 770 | | | | 24,970 | | | | 1,070 | |
| | | | | | |
Net Asset Value Per Share: | | $ | 50.94 | | | $ | 79.51 | | | $ | 83.42 | | | $ | 99.87 | | | $ | 53.58 | | | $ | 65.02 | |
| | | | | | |
Cost of Investments in Securities | | $ | 127,160 | | | $ | 13,316 | | | $ | 72,980 | | | $ | 80,547 | | | $ | 1,324,875 | | | $ | 73,075 | |
Cost of Investments in Affiliates | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
Cost of Foreign Currency Held | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | | | | | |
* Includes repurchase agreements of: | | $ | 1,416 | | | $ | 143 | | | $ | 222 | | | $ | 0 | | | $ | 605 | | | $ | 0 | |
| | | | | | |
| 36 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PIMCO
Broad
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
0-5 Year
High Yield
Corporate Bond
Index Exchange-
Traded Fund | | | PIMCO
Investment Grade
Corporate Bond
Index Exchange-
Traded Fund | | | PIMCO
Australia Bond
Index Exchange-
Traded Fund | | | PIMCO
Canada Bond
Index Exchange-
Traded Fund | | | PIMCO
Germany Bond
Index Exchange-
Traded Fund | | | PIMCO
Build America
Bond Exchange-
Traded Fund | | | PIMCO
Diversified
Income Exchange-
Traded Fund | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 106,465 | | | $ | 5,061,301 | | | $ | 197,315 | | | $ | 22,853 | | | $ | 17,223 | | | $ | 3,182 | | | $ | 23,399 | | | $ | 43,366 | |
| | 0 | | | | 70,609 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 24 | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 79 | | | | 123 | |
| | 0 | | | | 995 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | 0 | | | | 0 | | | | 27 | | | | 472 | | | | 29 | | | | 0 | | | | 2 | |
| | 0 | | | | 21,876 | | | | 0 | | | | 1 | | | | 0 | | | | 0 | | | | 0 | | | | 1,471 | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 661 | | | | 76,507 | | | | 2,487 | | | | 318 | | | | 98 | | | | 52 | | | | 364 | | | | 657 | |
| | 107,126 | | | | 5,231,288 | | | | 199,802 | | | | 23,199 | | | | 17,793 | | | | 3,263 | | | | 23,842 | | | | 45,643 | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 0 | | | $ | 463 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 74 | |
| | 375 | | | | 21,355 | | | | 0 | | | | 220 | | | | 0 | | | | 29 | | | | 124 | | | | 676 | |
| | 0 | | | | 70,609 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 330 | | | | 17,262 | | | | 569 | | | | 0 | | | | 0 | | | | 4 | | | | 76 | | | | 155 | |
| | 16 | | | | 2,310 | | | | 33 | | | | 10 | | | | 6 | | | | 1 | | | | 8 | | | | 31 | |
| | 1 | | | | 4 | | | | 0 | | | | 1 | | | | 1 | | | | 0 | | | | 0 | | | | 0 | |
| | 2 | | | | 83 | | | | 4 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | |
| | 724 | | | | 112,086 | | | | 606 | | | | 231 | | | | 7 | | | | 34 | | | | 208 | | | | 937 | |
| | | | | | | |
| $ | 106,402 | | | $ | 5,119,202 | | | $ | 199,196 | | | $ | 22,968 | | | $ | 17,786 | | | $ | 3,229 | | | $ | 23,634 | | | $ | 44,706 | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 107,604 | | | $ | 5,027,386 | | | $ | 191,394 | | | $ | 24,750 | | | $ | 19,403 | | | $ | 3,008 | | | $ | 23,581 | | | $ | 43,050 | |
| | 9 | | | | (2,696 | ) | | | 55 | | | | (1,248 | ) | | | (621 | ) | | | 6 | | | | (71 | ) | | | 49 | |
| | (535 | ) | | | 25,318 | | | | 45 | | | | (180 | ) | | | 0 | | | | 18 | | | | (1,367 | ) | | | 322 | |
| | (676 | ) | | | 69,194 | | | | 7,702 | | | | (354 | ) | | | (996 | ) | | | 197 | | | | 1,491 | | | | 1,285 | |
| $ | 106,402 | | | $ | 5,119,202 | | | $ | 199,196 | | | $ | 22,968 | | | $ | 17,786 | | | $ | 3,229 | | | $ | 23,634 | | | $ | 44,706 | |
| | | | | | | |
| | 1,830 | | | | 47,950 | | | | 1,930 | | | | 230 | | | | 180 | | | | 30 | | | | 460 | | | | 860 | |
| | | | | | | |
| $ | 58.14 | | | $ | 106.76 | | | $ | 103.21 | | | $ | 99.86 | | | $ | 98.81 | | | $ | 107.64 | | | $ | 51.38 | | | $ | 51.98 | |
| | | | | | | |
| $ | 107,141 | | | $ | 5,000,128 | | | $ | 189,613 | | | $ | 23,213 | | | $ | 18,229 | | | $ | 2,985 | | | $ | 21,908 | | | $ | 42,032 | |
| $ | 0 | | | $ | 70,609 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 27 | | | $ | 465 | | | $ | 29 | | | $ | 0 | | | $ | 2 | |
| | | | | | | |
| $ | 959 | | | $ | 38,833 | | | $ | 521 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 1,051 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 37 |
Statements of Assets and Liabilities (Cont.)
June 30, 2014
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (Amounts in thousands, except per share amounts) | | PIMCO
Enhanced
Short Maturity
Exchange-
Traded Fund | | | PIMCO
Foreign
Currency
Strategy
Exchange-
Traded Fund | | | PIMCO
Global
Advantage®
Inflation-
Linked Bond
Exchange-
Traded Fund | | | PIMCO
Intermediate
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Low Duration
Exchange-
Traded Fund | | | PIMCO
Short Term
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Total Return
Exchange-
Traded Fund | |
| | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments, at value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities* | | $ | 3,860,476 | | | $ | 21,283 | | | $ | 152,118 | | | $ | 211,315 | | | $ | 159,699 | | | $ | 76,725 | | | $ | 4,295,676 | |
Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | 0 | | | | 313 | | | | 753 | | | | 0 | | | | 18 | | | | 0 | | | | 7,403 | |
Cash | | | 9 | | | | 0 | | | | 8 | | | | 0 | | | | 733 | | | | 0 | | | | 4,835 | |
Deposits with counterparty | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 2 | | | | 0 | | | | 0 | |
Foreign currency, at value | | | 0 | | | | 28 | | | | 495 | | | | 0 | | | | 10 | | | | 0 | | | | 0 | |
Receivable for investments sold | | | 2,823 | | | | 0 | | | | 0 | | | | 0 | | | | 106,091 | | | | 0 | | | | 94,593 | |
Receivable for Fund shares sold | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 10,885 | |
Interest receivable | | | 13,443 | | | | 9 | | | | 1,223 | | | | 1,908 | | | | 945 | | | | 703 | | | | 29,728 | |
Reimbursement receivable from PIMCO | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1 | | | | 0 | | | | 0 | |
Other assets | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 15 | |
| | | | 3,876,751 | | | | 21,633 | | | | 154,597 | | | | 213,223 | | | | 267,499 | | | | 77,428 | | | | 4,443,135 | |
| | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Borrowings & Other Financing Transactions | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Payable for reverse repurchase agreements | | $ | 41,448 | | | $ | 0 | | | $ | 318 | | | $ | 0 | | | $ | 20,174 | | | $ | 0 | | | $ | 679,735 | |
Payable for sale-buyback transactions | | | 0 | | | | 0 | | | | 14,822 | | | | 0 | | | | 0 | | | | 0 | | | | 96,551 | |
Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | 0 | | | | 198 | | | | 731 | | | | 0 | | | | 61 | | | | 0 | | | | 20,588 | |
Payable for investments purchased | | | 29,623 | | | | 6 | | | | 0 | | | | 2,301 | | | | 107,380 | | | | 1,151 | | | | 207,341 | |
Deposits from counterparty | | | 0 | | | | 0 | | | | 280 | | | | 0 | | | | 0 | | | | 0 | | | | 2,831 | |
Payable for Fund shares redeemed | | | 28,406 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Dividends payable | | | 2,211 | | | | 0 | | | | 931 | | | | 305 | | | | 69 | | | | 41 | | | | 1,571 | |
Overdraft due to custodian | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,384 | |
Accrued management fees | | | 1,094 | | | | 11 | | | | 67 | | | | 60 | | | | 63 | | | | 22 | | | | 1,134 | |
Accrued taxes payable | | | 0 | | | | 0 | | | | 20 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Reimbursement to PIMCO | | | 0 | | | | 1 | | | | 3 | | | | 6 | | | | 0 | | | | 2 | | | | 100 | |
Other liabilities | | | 73 | | | | 0 | | | | 10 | | | | 3 | | | | 2 | | | | 1 | | | | 56 | |
| | | | 102,855 | | | | 216 | | | | 17,182 | | | | 2,675 | | | | 127,749 | | | | 1,217 | | | �� | 1,011,291 | |
| | | | | | | |
Net Assets | | $ | 3,773,896 | | | $ | 21,417 | | | $ | 137,415 | | | $ | 210,548 | | | $ | 139,750 | | | $ | 76,211 | | | $ | 3,431,844 | |
| | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid in capital | | $ | 3,762,275 | | | $ | 21,952 | | | $ | 140,586 | | | $ | 207,094 | | | $ | 139,490 | | | $ | 75,987 | | | $ | 3,398,412 | |
Undistributed (overdistributed) net investment income | | | 1,534 | | | | (417 | ) | | | 1,580 | | | | (69 | ) | | | 0 | | | | (19 | ) | | | 559 | |
Accumulated undistributed net realized gain (loss) | | | 2,018 | | | | (385 | ) | | | (3,359 | ) | | | (1,848 | ) | | | 94 | | | | (182 | ) | | | (90,924 | ) |
Net unrealized appreciation (depreciation) | | | 8,069 | | | | 267 | | | | (1,392 | ) | | | 5,371 | | | | 166 | | | | 425 | | | | 123,797 | |
| | | $ | 3,773,896 | | | $ | 21,417 | | | $ | 137,415 | | | $ | 210,548 | | | $ | 139,750 | | | $ | 76,211 | | | $ | 3,431,844 | |
| | | | | | | |
Shares Issued and Outstanding: | | | 37,200 | | | | 440 | | | | 2,660 | | | | 3,960 | | | | 1,380 | | | | 1,510 | | | | 31,530 | |
| | | | | | | |
Net Asset Value Per Share: | | $ | 101.45 | | | $ | 48.68 | | | $ | 51.66 | | | $ | 53.17 | | | $ | 101.27 | | | $ | 50.47 | | | $ | 108.85 | |
| | | | | | | |
Cost of Investments in Securities | | $ | 3,852,407 | | | $ | 21,126 | | | $ | 153,532 | | | $ | 205,944 | | | $ | 159,493 | | | $ | 76,300 | | | $ | 4,158,861 | |
Cost of Foreign Currency Held | | $ | 0 | | | $ | 27 | | | $ | 489 | | | $ | 0 | | | $ | 10 | | | $ | 0 | | | $ | 0 | |
| | | | | | | |
* Includes repurchase agreements of: | | $ | 219 | | | $ | 3,078 | | | $ | 1,870 | | | $ | 513 | | | $ | 0 | | | $ | 425 | | | $ | 0 | |
| | | | | | |
| 38 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Statements of Operations
| | | | | | | | | | | | | | | | | | | | | | | | |
| Year Ended June 30, 2014 | | | | | | | | | | | | | | | | | | |
| (Amounts in thousands) | | PIMCO
1-3 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
3-7 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
7-15 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
25+ Year
Zero Coupon
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
1-5 Year
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
15+ Year
U.S. TIPS
Index Exchange-
Traded Fund | |
| | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest | | $ | 555 | | | $ | 221 | | | $ | 1,000 | | | $ | 2,962 | | | $ | 10,676 | | | $ | 1,567 | |
Securities lending income | | | 0 | | | | 0 | | | | 2 | | | | 0 | | | | 0 | | | | 0 | |
Total Income | | | 555 | | | | 221 | | | | 1,002 | | | | 2,962 | | | | 10,676 | | | | 1,567 | |
| | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Management fees | | | 199 | | | | 23 | | | | 64 | | | | 118 | | | | 2,551 | | | | 155 | |
Trustee fees | | | 2 | | | | 0 | | | | 1 | | | | 1 | | | | 21 | | | | 1 | |
Miscellaneous expense | | | 7 | | | | 1 | | | | 2 | | | | 4 | | | | 42 | | | | 4 | |
Total Expenses | | | 208 | | | | 24 | | | | 67 | | | | 123 | | | | 2,614 | | | | 160 | |
Waiver and/or Reimbursement by PIMCO | | | (82 | ) | | | 0 | | | | (1 | ) | | | (1 | ) | | | (22 | ) | | | (1 | ) |
Net Expenses | | | 126 | | | | 24 | | | | 66 | | | | 122 | | | | 2,592 | | | | 159 | |
| | | | | | |
Net Investment Income | | | 429 | | | | 197 | | | | 936 | | | | 2,840 | | | | 8,084 | | | | 1,408 | |
| | | | | | |
Net Realized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | 115 | | | | 85 | | | | (404 | ) | | | (3,203 | ) | | | (1,676 | ) | | | (5,030 | ) |
In-kind redemptions | | | 131 | | | | 155 | | | | (303 | ) | | | (5,416 | ) | | | 1,729 | | | | (6,693 | ) |
Net Realized Gain (Loss) | | | 246 | | | | 240 | | | | (707 | ) | | | (8,619 | ) | | | 53 | | | | (11,723 | ) |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation): | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | 271 | | | | (138 | ) | | | 1,108 | | | | 7,861 | | | | 19,880 | | | | 15,728 | |
Net Change in Unrealized Appreciation (Depreciation) | | | 271 | | | | (138 | ) | | | 1,108 | | | | 7,861 | | | | 19,880 | | | | 15,728 | |
Net Gain (Loss) | | | 517 | | | | 102 | | | | 401 | | | | (758 | ) | | | 19,933 | | | | 4,005 | |
| | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 946 | | | $ | 299 | | | $ | 1,337 | | | $ | 2,082 | | | $ | 28,017 | | | $ | 5,413 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 39 |
Statements of Operations (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | |
| Year Ended June 30, 2014 | | | | | | | | | | | | | | | | | | |
| (Amounts in thousands) | | PIMCO
Broad
U.S. TIPS
Index Exchange-
Traded Fund | | |
PIMCO
0-5 Year
High Yield
Corporate Bond
Index Exchange-
Traded Fund | | | PIMCO
Investment Grade
Corporate Bond
Index Exchange-
Traded Fund | | | PIMCO
Australia Bond
Index Exchange-
Traded Fund | | | PIMCO
Canada Bond
Index Exchange-
Traded Fund | | | PIMCO
Germany Bond
Index Exchange-
Traded Fund | |
| | | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | | | | | |
Interest, net of foreign taxes* | | $ | 863 | | | $ | 173,124 | | | $ | 6,008 | | | $ | 1,225 | | | $ | 627 | | | $ | 55 | |
Dividends | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Dividends from Investments in Affiliates | | | 0 | | | | 6 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Securities lending income | | | 0 | | | | 1,146 | | | | 1 | | | | 0 | | | | 0 | | | | 0 | |
Miscellaneous income | | | 0 | | | | 0 | | | | 0 | | | | 3 | | | | 0 | | | | 0 | |
Total Income | | | 863 | | | | 174,276 | | | | 6,009 | | | | 1,228 | | | | 627 | | | | 55 | |
| | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | |
Management fees | | | 118 | | | | 21,080 | | | | 337 | | | | 135 | | | | 100 | | | | 14 | |
Trustee fees | | | 2 | | | | 82 | | | | 3 | | | | 0 | | | | 0 | | | | 0 | |
Organization expense | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Interest expense | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Miscellaneous expense | | | 3 | | | | 88 | | | | 3 | | | | 2 | | | | 1 | | | | 0 | |
Total Expenses | | | 123 | | | | 21,250 | | | | 343 | | | | 137 | | | | 101 | | | | 14 | |
Waiver and/or Reimbursement by PIMCO | | | (2 | ) | | | (83 | ) | | | (3 | ) | | | 0 | | | | 0 | | | | 0 | |
Net Expenses | | | 121 | | | | 21,167 | | | | 340 | | | | 137 | | | | 101 | | | | 14 | |
| | | | | | |
Net Investment Income | | | 742 | | | | 153,109 | | | | 5,669 | | | | 1,091 | | | | 526 | | | | 41 | |
| | | | | | |
Net Realized Gain (Loss): | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | (293 | ) | | | 17,645 | | | | 77 | | | | (2,695 | ) | | | (892 | ) | | | 41 | |
In-kind redemptions | | | (626 | ) | | | 10,145 | | | | 556 | | | | 0 | | | | (402 | ) | | | 0 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 0 | | | | 24,713 | | | | 595 | | | | 0 | | | | 1 | | | | 0 | |
Over the counter financial derivative instruments | | | 0 | | | | 0 | | | | 0 | | | | 116 | | | | (19 | ) | | | 0 | |
Foreign currency | | | 0 | | | | 0 | | | | 0 | | | | (135 | ) | | | (3 | ) | | | 3 | |
Net Realized Gain (Loss) | | | (919 | ) | | | 52,503 | | | | 1,228 | | | | (2,714 | ) | | | (1,315 | ) | | | 44 | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation): | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in securities | | | 2,492 | | | | 81,019 | | | | 7,101 | | | | 4,101 | | | | 1,453 | | | | 193 | |
Exchange-traded or centrally cleared financial derivative instruments | | | 0 | | | | 10,850 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Over the counter financial derivative instruments | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
Foreign currency assets and liabilities | | | 0 | | | | 0 | | | | 0 | | | | 69 | | | | 21 | | | | 0 | |
Net Change in Unrealized Appreciation | | | 2,492 | | | | 91,869 | | | | 7,101 | | | | 4,170 | | | | 1,474 | | | | 193 | |
Net Gain | | | 1,573 | | | | 144,372 | | | | 8,329 | | | | 1,456 | | | | 159 | | | | 237 | |
| | | | | | |
Net Increase in Net Assets Resulting from Operations | | $ | 2,315 | | | $ | 297,481 | | | $ | 13,998 | | | $ | 2,547 | | | $ | 685 | | | $ | 278 | |
| | | | | | |
* Foreign tax withholdings | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| (1) | Period from January 22, 2014 to June 30, 2014. |
| | | | | | |
| 40 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
PIMCO
Build America
Bond Exchange-
Traded Fund | | | PIMCO
Diversified
Income Exchange-
Traded Fund (1) | | | PIMCO
Enhanced
Short Maturity
Exchange-
Traded Fund | | | PIMCO
Foreign
Currency
Strategy
Exchange-
Traded Fund | | | PIMCO
Global
Advantage®
Inflation-
Linked Bond
Exchange-
Traded Fund | | | PIMCO
Intermediate
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Low Duration
Exchange-
Traded Fund (1) | | | PIMCO
Short Term
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Total Return
Exchange-
Traded Fund | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,059 | | | $ | 774 | | | $ | 40,247 | | | $ | 319 | | | $ | 5,458 | | | $ | 4,656 | | | $ | 270 | | | $ | 658 | | | $ | 103,129 | |
| | 0 | | | | 2 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 322 | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | 0 | | | | 6 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 1,059 | | | | 776 | | | | 40,253 | | | | 319 | | | | 5,458 | | | | 4,656 | | | | 270 | | | | 658 | | | | 103,451 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 103 | | | | 153 | | | | 13,838 | | | | 150 | | | | 720 | | | | 689 | | | | 119 | | | | 266 | | | | 20,316 | |
| | 0 | | | | 1 | | | | 60 | | | | 1 | | | | 2 | | | | 3 | | | | 2 | | | | 1 | | | | 53 | |
| | 0 | | | | 35 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 28 | | | | 0 | | | | 0 | |
| | 0 | | | | 0 | | | | 115 | | | | 0 | | | | 13 | | | | 0 | | | | 0 | | | | 0 | | | | 505 | |
| | 1 | | | | 0 | | | | 62 | | | | 1 | | | | 6 | | | | 10 | | | | 0 | | | | 4 | | | | 567 | |
| | 104 | | | | 189 | | | | 14,075 | | | | 152 | | | | 741 | | | | 702 | | | | 149 | | | | 271 | | | | 21,441 | |
| | 0 | | | | (35 | ) | | | (62 | ) | | | 0 | | | | (2 | ) | | | (3 | ) | | | (29 | ) | | | (1 | ) | | | (464 | ) |
| | 104 | | | | 154 | | | | 14,013 | | | | 152 | | | | 739 | | | | 699 | | | | 120 | | | | 270 | | | | 20,977 | |
| | | | | | | | |
| | 955 | | | | 622 | | | | 26,240 | | | | 167 | | | | 4,719 | | | | 3,957 | | | | 150 | | | | 388 | | | | 82,474 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (1,367 | ) | | | 383 | | | | 7,018 | | | | (473 | ) | | | (4,125 | ) | | | (1,260 | ) | | | 92 | | | | (180 | ) | | | (79,738 | ) |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
|
0 |
| | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | (16 | ) | | | 0 | | | | (393 | ) | | | (674 | ) | | | 0 | | | | 7 | | | | 0 | | | | (52,957 | ) |
| | 0 | | | | (49 | ) | | | 0 | | | | 17 | | | | 48 | | | | 0 | | | | (13 | ) | | | 0 | | | | (1,081 | ) |
| | (1,367 | ) | | | 318 | | | | 7,018 | | | | (849 | ) | | | (4,751 | ) | | | (1,260 | ) | | | 86 | | | | (180 | ) | | | (133,776 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2,282 | | | | 1,334 | | | | 7,016 | | | | 698 | | | | 10,225 | | | | 5,494 | | | | 206 | | | | 616 | | | | 235,170 | |
| 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | 0 | | | | (50 | ) | | | 0 | | | | 671 | | | | (121 | ) | | | 0 | | | | (43 | ) | | | 0 | | | | (10,318 | ) |
| | 0 | | | | 1 | | | | 0 | | | | 0 | | | | 103 | | | | 0 | | | | 3 | | | | 0 | | | | 209 | |
| | 2,282 | | | | 1,285 | | | | 7,016 | | | | 1,369 | | | | 10,207 | | | | 5,494 | | | | 166 | | | | 616 | | | | 225,061 | |
| | 915 | | | | 1,603 | | | | 14,034 | | | | 520 | | | | 5,456 | | | | 4,234 | | | | 252 | | | | 436 | | | | 91,285 | |
| | | | | | | | |
| $ | 1,870 | | | $ | 2,225 | | | $ | 40,274 | | | $ | 687 | | | $ | 10,175 | | | $ | 8,191 | | | $ | 402 | | | $ | 824 | | | $ | 173,759 | |
| | | | | | | | |
| $ | 0 | | | $ | 0 | | | $ | 11 | | | $ | 0 | | | $ | 15 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 41 |
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | PIMCO
1-3 Year
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
3-7 Year
U.S. Treasury
Index Exchange-
Traded Fund | | |
PIMCO
7-15 Year
U.S. Treasury
Index Exchange-
Traded Fund | |
| | | | | | |
| (Amounts in thousands) | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | |
| | | | | | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Operations:(a) | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 429 | | | $ | 431 | | | $ | 197 | | | $ | 308 | | | $ | 936 | | | $ | 295 | |
Net realized gain (loss) | | | 246 | | | | 337 | | | | 240 | | | | 332 | | | | (707 | ) | | | 1,323 | |
Net change in unrealized appreciation (depreciation) | | | 271 | | | | (500 | ) | | | (138 | ) | | | (896 | ) | | | 1,108 | | | | (1,977 | ) |
Net increase (decrease) resulting from operations | | | 946 | | | | 268 | | | | 299 | | | | (256 | ) | | | 1,337 | | | | (359 | ) |
| | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (406 | ) | | | (400 | ) | | | (183 | ) | | | (291 | ) | | | (891 | ) | | | (332 | ) |
From net realized capital gains | | | (70 | ) | | | (346 | ) | | | (41 | ) | | | (165 | ) | | | 0 | | | | (146 | ) |
| | | | | | |
Total Distributions | | | (476 | ) | | | (746 | ) | | | (224 | ) | | | (456 | ) | | | (891 | ) | | | (478 | ) |
| | | | | | |
Fund Share Transactions:(a) | | | | | | | | | | | | | | | | | | | | | | | | |
Receipts for shares sold | | | 45,761 | | | | 53,479 | | | | 7,926 | | | | 18,660 | | | | 111,298 | | | | 25,291 | |
Cost of shares redeemed | | | (48,384 | ) | | | (56,063 | ) | | | (15,890 | ) | | | (18,660 | ) | | | (49,071 | ) | | | (50,604 | ) |
Net increase (decrease) resulting from Fund share transactions** | | | (2,623 | ) | | | (2,584 | ) | | | (7,964 | ) | | | 0 | | | | 62,227 | | | | (25,313 | ) |
| | | | | | |
Total Increase (Decrease) in Net Assets | | | (2,153 | ) | | | (3,062 | ) | | | (7,889 | ) | | | (712 | ) | | | 62,673 | | | | (26,150 | ) |
| | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | 129,595 | | | | 132,657 | | | | 21,140 | | | | 21,852 | | | | 11,296 | | | | 37,446 | |
End of year* | | $ | 127,442 | | | $ | 129,595 | | | $ | 13,251 | | | $ | 21,140 | | | $ | 73,969 | | | $ | 11,296 | |
| | | | | | |
* Including undistributed (overdistributed) net investment income of: | | $ | (39 | ) | | $ | (62 | ) | | $ | (37 | ) | | $ | (51 | ) | | $ | (5 | ) | | $ | (50 | ) |
| | | | | | |
Shares of Beneficial Interest: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Sold | | | 900 | | | | 1,050 | | | | 100 | | | | 230 | | | | 1,350 | | | | 290 | |
Shares Redeemed | | | (950 | ) | | | (1,100 | ) | | | (200 | ) | | | (230 | ) | | | (600 | ) | | | (580 | ) |
Net increase (decrease) in shares outstanding | | | (50 | ) | | | (50 | ) | | | (100 | ) | | | 0 | | | | 750 | | | | (290 | ) |
| ** | See Note 12 in the Notes to Financial Statements. |
| (a) | See Note 2(d) in the Notes to Financial Statements. |
| | | | | | |
| 42 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PIMCO
25+ Year
Zero Coupon
U.S. Treasury
Index Exchange-
Traded Fund | | | PIMCO
1-5 Year
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
15+ Year
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
Broad
U.S. TIPS
Index Exchange-
Traded Fund | | | PIMCO
0-5 Year
High Yield
Corporate Bond
Index Exchange-
Traded Fund | |
| | | | | | | | | |
Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 2,840 | | | $ | 2,975 | | | $ | 8,084 | | | $ | 464 | | | $ | 1,408 | | | $ | 1,266 | | | $ | 742 | | | $ | 843 | | | $ | 153,109 | | | $ | 46,891 | |
| | (8,619 | ) | | | 14,006 | | | | 53 | | | | 6,558 | | | | (11,723 | ) | | | 46,807 | | | | (919 | ) | | | 6,102 | | | | 52,503 | | | | 12,776 | |
| | 7,861 | | | | (33,785 | ) | | | 19,880 | | | | (21,286 | ) | | | 15,728 | | | | (60,733 | ) | | | 2,492 | | | | (11,975 | ) | | | 91,869 | | | | (25,248 | ) |
| | 2,082 | | | | (16,804 | ) | | | 28,017 | | | | (14,264 | ) | | | 5,413 | | | | (12,660 | ) | | | 2,315 | | | | (5,030 | ) | | | 297,481 | | | | 34,419 | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (2,765 | ) | | | (3,075 | ) | | | (7,653 | ) | | | (1,333 | ) | | | (1,698 | ) | | | (819 | ) | | | (933 | ) | | | (680 | ) | | | (170,299 | ) | | | (50,883 | ) |
| | 0 | | | | 0 | | | | 0 | | | | (599 | ) | | | 0 | | | | 0 | | | | 0 | | | | (10 | ) | | | (8,529 | ) | | | 0 | |
| | | | | | | | | |
| | (2,765 | ) | | | (3,075 | ) | | | (7,653 | ) | | | (1,932 | ) | | | (1,698 | ) | | | (819 | ) | | | (933 | ) | | | (690 | ) | | | (178,828 | ) | | | (50,883 | ) |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 112,640 | | | | 94,185 | | | | 429,595 | | | | 334,900 | | | | 3,018 | | | | 349,802 | | | | 60,731 | | | | 36,828 | | | | 2,968,939 | | | | 2,098,777 | |
| | (117,331 | ) | | | (161,945 | ) | | | (153,693 | ) | | | (276,591 | ) | | | (42,167 | ) | | | (606,501 | ) | | | (27,897 | ) | | | (68,600 | ) | | | (275,568 | ) | | | (98,906 | ) |
| | (4,691 | ) | | | (67,760 | ) | | | 275,902 | | | | 58,309 | | | | (39,149 | ) | | | (256,699 | ) | | | 32,834 | | | | (31,772 | ) | | | 2,693,371 | | | | 1,999,871 | |
| | | | | | | | | |
| | (5,374 | ) | | | (87,639 | ) | | | 296,266 | | | | 42,113 | | | | (35,434 | ) | | | (270,178 | ) | | | 34,216 | | | | (37,492 | ) | | | 2,812,024 | | | | 1,983,407 | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 82,276 | | | | 169,915 | | | | 1,041,609 | | | | 999,496 | | | | 105,004 | | | | 375,182 | | | | 72,186 | | | | 109,678 | | | | 2,307,178 | | | | 323,771 | |
| $ | 76,902 | | | $ | 82,276 | | | $ | 1,337,875 | | | $ | 1,041,609 | | | $ | 69,570 | | | $ | 105,004 | | | $ | 106,402 | | | $ | 72,186 | | | $ | 5,119,202 | | | $ | 2,307,178 | |
| | | | | | | | | |
| $ | 0 | | | $ | (74 | ) | | $ | 576 | | | $ | (394 | ) | | $ | 140 | | | $ | 429 | | | $ | 9 | | | $ | 185 | | | $ | (2,696 | ) | | $ | 41 | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1,250 | | | | 860 | | | | 8,100 | | | | 6,200 | | | | 50 | | | | 4,850 | | | | 1,050 | | | | 600 | | | | 28,050 | | | | 20,200 | |
| | (1,350 | ) | | | (1,450 | ) | | | (2,900 | ) | | | (5,150 | ) | | | (700 | ) | | | (8,550 | ) | | | (500 | ) | | | (1,150 | ) | | | (2,600 | ) | | | (950 | ) |
| | (100 | ) | | | (590 | ) | | | 5,200 | | | | 1,050 | | | | (650 | ) | | | (3,700 | ) | | | 550 | | | | (550 | ) | | | 25,450 | | | | 19,250 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 43 |
Statements of Changes in Net Assets (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PIMCO
Investment Grade
Corporate Bond
Index Exchange-
Traded Fund | | | PIMCO
Australia Bond
Index Exchange-
Traded Fund | | | PIMCO
Canada Bond
Index Exchange-
Traded Fund | | | PIMCO
Germany Bond
Index Exchange-
Traded Fund | |
| | | | | | | | |
| (Amounts in thousands) | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | |
| | | | | | | | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Operations:(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 5,669 | | | $ | 6,824 | | | $ | 1,091 | | | $ | 1,450 | | | $ | 526 | | | $ | 610 | | | $ | 41 | | | $ | 42 | |
Net realized gain (loss) | | | 1,228 | | | | 7,706 | | | | (2,714 | ) | | | (203 | ) | | | (1,315 | ) | | | (30 | ) | | | 44 | | | | (12 | ) |
Net change in unrealized appreciation (depreciation) | | | 7,101 | | | | (8,595 | ) | | | 4,170 | | | | (5,283 | ) | | | 1,474 | | | | (2,791 | ) | | | 193 | | | | 112 | |
Net increase (decrease) resulting from operations | | | 13,998 | | | | 5,935 | | | | 2,547 | | | | (4,036 | ) | | | 685 | | | | (2,211 | ) | | | 278 | | | | 142 | |
| | | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (5,512 | ) | | | (7,178 | ) | | | 0 | | | | (1,273 | ) | | | (233 | ) | | | (584 | ) | | | (39 | ) | | | (25 | ) |
From net realized capital gains | | | (6,182 | ) | | | (1,529 | ) | | | 0 | | | | (30 | ) | | | 0 | | | | (85 | ) | | | (4 | ) | | | 0 | |
Tax basis return of capital | | | 0 | | | | 0 | | | | 0 | | | | (16 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | | | | | | | |
Total Distributions | | | (11,694 | ) | | | (8,707 | ) | | | 0 | | | | (1,319 | ) | | | (233 | ) | | | (669 | ) | | | (43 | ) | | | (25 | ) |
| | | | | | | | |
Fund Share Transactions:(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receipts for shares sold | | | 86,738 | | | | 70,504 | | | | 4,860 | | | | 31,218 | | | | 0 | | | | 15,946 | | | | 0 | | | | 0 | |
Cost of shares redeemed | | | (30,762 | ) | | | (183,083 | ) | | | (23,538 | ) | | | (15,285 | ) | | | (14,296 | ) | | | 0 | | | | 0 | | | | 0 | |
Net increase (decrease) resulting from Fund share transactions** | | | 55,976 | | | | (112,579 | ) | | | (18,678 | ) | | | 15,933 | | | | (14,296 | ) | | | 15,946 | | | | 0 | | | | 0 | |
| | | | | | | | |
Total Increase (Decrease) in Net Assets | | | 58,280 | | | | (115,351 | ) | | | (16,131 | ) | | | 10,578 | | | | (13,844 | ) | | | 13,066 | | | | 235 | | | | 117 | |
| | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year or period | | | 140,916 | | | | 256,267 | | | | 39,099 | | | | 28,521 | | | | 31,630 | | | | 18,564 | | | | 2,994 | | | | 2,877 | |
End of year or period* | | $ | 199,196 | | | $ | 140,916 | | | $ | 22,968 | | | $ | 39,099 | | | $ | 17,786 | | | $ | 31,630 | | | $ | 3,229 | | | $ | 2,994 | |
| | | | | | | | |
* Including undistributed (overdistributed) net investment income of: | | $ | 55 | | | $ | (158 | ) | | $ | (1,248 | ) | | $ | (32 | ) | | $ | (621 | ) | | $ | (2 | ) | | $ | 6 | | | $ | (21 | ) |
| | | | | | | | |
Shares of Beneficial Interest: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Sold | | | 850 | | | | 650 | | | | 50 | | | | 300 | | | | 0 | | | | 150 | | | | 0 | | | | 0 | |
Shares Redeemed | | | (300 | ) | | | (1,700 | ) | | | (250 | ) | | | (150 | ) | | | (150 | ) | | | 0 | | | | 0 | | | | 0 | |
Net increase (decrease) in shares outstanding | | | 550 | | | | (1,050 | ) | | | (200 | ) | | | 150 | | | | (150 | ) | | | 150 | | | | 0 | | | | 0 | |
| ** | See Note 12 in the Notes to Financial Statements. |
| (a) | See Note 2(d) in the Notes to Financial Statements. |
| | | | | | |
| 44 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
PIMCO
Build America
Bond Exchange-
Traded Fund | | | PIMCO
Diversified
Income Exchange-
Traded Fund | | | PIMCO
Enhanced Short
Maturity Exchange-
Traded Fund | | | PIMCO
Foreign Currency
Strategy Exchange-
Traded Fund | | | PIMCO
Global Advantage®
Inflation-Linked
Bond Exchange-
Traded Fund | |
| | | | | | | | |
Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Period from
January 22, 2014 to
June 30, 2014 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | | | Year Ended
June 30,
2014 | | | Period from
February 11, 2013 to
June 30, 2013 | | | Year Ended
June 30,
2014 | | | Year Ended
June 30,
2013 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 955 | | | $ | 1,653 | | | $ | 622 | | | $ | 26,240 | | | $ | 20,751 | | | $ | 167 | | | $ | 66 | | | $ | 4,719 | | | $ | 2,421 | |
| | (1,367 | ) | | | 938 | | | | 318 | | | | 7,018 | | | | 4,981 | | | | (849 | ) | | | (563 | ) | | | (4,751 | ) | | | (2,011 | ) |
|
2,282 |
| | | (3,374 | ) | | | 1,285 | | | | 7,016 | | | | (4,929 | ) | | | 1,369 | | | | (1,102 | ) | | | 10,207 | | | | (11,316 | ) |
|
1,870 |
| | | (783 | ) | | | 2,225 | | | | 40,274 | | | | 20,803 | | | | 687 | | | | (1,599 | ) | | | 10,175 | | | | (10,906 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (903 | ) | | | (1,711 | ) | | | (568 | ) | | | (26,777 | ) | | | (21,767 | ) | | | 0 | | | | 0 | | | | (931 | ) | | | (690 | ) |
| | (868 | ) | | | (1,124 | ) | | | 0 | | | | (5,604 | ) | | | 0 | | | | 0 | | | | 0 | | | | (431 | ) | | | (312 | ) |
| | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
| | | | | | | | |
| | (1,771 | ) | | | (2,835 | ) | | | (568 | ) | | | (32,381 | ) | | | (21,767 | ) | | | 0 | | | | 0 | | | | (1,362 | ) | | | (1,002 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 4,973 | | | | 19,928 | | | | 63,166 | | | | 1,469,252 | | | | 2,450,336 | | | | 0 | | | | 36,923 | | | | 33,649 | | | | 108,001 | |
| | (12,489 | ) | | | (22,360 | ) | | | (20,117 | ) | | | (1,455,864 | ) | | | (412,099 | ) | | | (4,726 | ) | | | (9,868 | ) | | | (24,483 | ) | | | (4,813 | ) |
|
(7,516 |
) | | | (2,432 | ) | | | 43,049 | | | | 13,388 | | | | 2,038,237 | | | | (4,726 | ) | | | 27,055 | | | | 9,166 | | | | 103,188 | |
| | | | | | | | |
| | (7,417 | ) | | | (6,050 | ) | | | 44,706 | | | | 21,281 | | | | 2,037,273 | | | | (4,039 | ) | | | 25,456 | | | | 17,979 | | | | 91,280 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 31,051 | | | | 37,101 | | | | 0 | | | | 3,752,615 | | | | 1,715,342 | | | | 25,456 | | | | 0 | | | | 119,436 | | | | 28,156 | |
| $ | 23,634 | | | $ | 31,051 | | | $ | 44,706 | | | $ | 3,773,896 | | | $ | 3,752,615 | | | $ | 21,417 | | | $ | 25,456 | | | $ | 137,415 | | | $ | 119,436 | |
| | | | | | | | |
$ | (71 | ) | | $ | (122 | ) | | $ | 49 | | | $ | 1,534 | | | $ | 124 | | | $ | (417 | ) | | $ | (48 | ) | | $ | 1,580 | | | $ | (436 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 100 | | | | 350 | | | | 1,260 | | | | 14,490 | | | | 24,150 | | | | 0 | | | | 740 | | | | 700 | | | | 2,000 | |
| | (250 | ) | | | (400 | ) | | | (400 | ) | | | (14,350 | ) | | | (4,060 | ) | | | (100 | ) | | | (200 | ) | | | (500 | ) | | | (100 | ) |
| | (150 | ) | | | (50 | ) | | | 860 | | | | 140 | | | | 20,090 | | | | (100 | ) | | | 540 | | | | 200 | | | | 1,900 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 45 |
Statements of Changes in Net Assets (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PIMCO
Intermediate
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Low Duration
Exchange-
Traded Fund | | | PIMCO
Short Term
Municipal Bond
Exchange-
Traded Fund | | | PIMCO
Total Return
Exchange-
Traded Fund | |
| | | | | | | |
| (Amounts in thousands) | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Period from
January 22, 2014 to
June 30, 2014 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | | | Year Ended
June 30, 2014 | | | Year Ended
June 30, 2013 | |
| | | | | | | |
Increase (Decrease) in Net Assets from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Operations:(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 3,957 | | | $ | 4,450 | | | $ | 150 | | | $ | 388 | | | $ | 420 | | | $ | 82,474 | | | $ | 84,979 | |
Net realized gain (loss) | | | (1,260 | ) | | | (543 | ) | | | 86 | | | | (180 | ) | | | (2 | ) | | | (133,776 | ) | | | 59,381 | |
Net change in unrealized appreciation (depreciation) | | | 5,494 | | | | (6,052 | ) | | | 166 | | | | 616 | | | | (440 | ) | | | 225,061 | | | | (123,471 | ) |
Net increase (decrease) resulting from operations | | | 8,191 | | | | (2,145 | ) | | | 402 | | | | 824 | | | | (22 | ) | | | 173,759 | | | | 20,889 | |
| | | | | | | |
Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (4,026 | ) | | | (4,408 | ) | | | (138 | ) | | | (332 | ) | | | (498 | ) | | | (60,989 | ) | | | (83,503 | ) |
From net realized capital gains | | | 0 | | | | (264 | ) | | | 0 | | | | 0 | | | | (5 | ) | | | (14,866 | ) | | | (31,360 | ) |
| | | | | | | |
Total Distributions | | | (4,026 | ) | | | (4,672 | ) | | | (138 | ) | | | (332 | ) | | | (503 | ) | | | (75,855 | ) | | | (114,863 | ) |
| | | | | | | |
Fund Share Transactions:(a) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receipts for shares sold | | | 36,706 | | | | 78,630 | | | | 154,645 | | | | 20,087 | | | | 27,784 | | | | 97,253 | | | | 3,467,911 | |
Cost of shares redeemed | | | (18,254 | ) | | | (37,458 | ) | | | (15,159 | ) | | | (5,039 | ) | | | (10,051 | ) | | | (1,161,905 | ) | | | (741,210 | ) |
Net increase (decrease) resulting from Fund share transactions** | | | 18,452 | | | | 41,172 | | | | 139,486 | | | | 15,048 | | | | 17,733 | | | | (1,064,652 | ) | | | 2,726,701 | |
| | | | | | | |
Total Increase (Decrease) in Net Assets | | | 22,617 | | | | 34,355 | | | | 139,750 | | | | 15,540 | | | | 17,208 | | | | (966,748 | ) | | | 2,632,727 | |
| | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year or period | | | 187,931 | | | | 153,576 | | | | 0 | | | | 60,671 | | | | 43,463 | | | | 4,398,592 | | | | 1,765,865 | |
End of year or period* | | $ | 210,548 | | | $ | 187,931 | | | $ | 139,750 | | | $ | 76,211 | | | $ | 60,671 | | | $ | 3,431,844 | | | $ | 4,398,592 | |
| | | | | | | |
* Including undistributed (overdistributed) net investment income of: | | $ | (69 | ) | | $ | 0 | | | $ | 0 | | | $ | (19 | ) | | $ | (75 | ) | | $ | 559 | | | $ | 29,317 | |
| | | | | | | |
Shares of Beneficial Interest: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares Sold | | | 700 | | | | 1,450 | | | | 1,530 | | | | 400 | | | | 550 | | | | 900 | | | | 31,800 | |
Shares Redeemed | | | (350 | ) | | | (700 | ) | | | (150 | ) | | | (100 | ) | | | (200 | ) | | | (11,000 | ) | | | (6,900 | ) |
Net increase (decrease) in shares outstanding | | | 350 | | | | 750 | | | | 1,380 | | | | 300 | | | | 350 | | | | (10,100 | ) | | | 24,900 | |
| ** | See Note 12 in the Notes to Financial Statements. |
| (a) | See Note 2(d) in the Notes to Financial Statements. |
| | | | | | |
| 46 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.9% | |
| |
U.S. TREASURY OBLIGATIONS 98.8% | |
|
U.S. Treasury Bonds | |
7.250% due 05/15/2016 | | $ | | | 2,960 | | | $ | | | 3,339 | |
|
U.S. Treasury Notes | |
0.250% due 07/15/2015 | | | | | 4,330 | | | | | | 4,334 | |
0.250% due 08/15/2015 | | | | | 7,690 | | | | | | 7,698 | |
0.250% due 09/15/2015 | | | | | 1,560 | | | | | | 1,562 | |
0.250% due 09/30/2015 | | | | | 1,635 | | | | | | 1,637 | |
0.250% due 10/15/2015 | | | | | 8,330 | | | | | | 8,339 | |
0.250% due 10/31/2015 | | | | | 1,720 | | | | | | 1,721 | |
0.250% due 11/30/2015 | | | | | 1,040 | | | | | | 1,040 | |
0.250% due 12/15/2015 | | | | | 4,170 | | | | | | 4,171 | |
0.250% due 02/29/2016 | | | | | 3,120 | | | | | | 3,117 | |
0.250% due 04/15/2016 | | | | | 2,790 | | | | | | 2,784 | |
0.375% due 11/15/2015 | | | | | 2,080 | | | | | | 2,085 | |
0.375% due 03/15/2016 | | | | | 3,210 | | | | | | 3,212 | |
0.500% due 06/15/2016 | | | | | 4,800 | | | | | | 4,806 | |
0.625% due 07/15/2016 | | | | | 2,780 | | | | | | 2,788 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.625% due 08/15/2016 | | $ | | | 2,780 | | | $ | | | 2,787 | |
0.625% due 10/15/2016 | | | | | 2,600 | | | | | | 2,603 | |
0.625% due 11/15/2016 | | | | | 5,635 | | | | | | 5,636 | |
0.625% due 02/15/2017 | | | | | 2,080 | | | | | | 2,075 | |
0.750% due 03/15/2017 | | | | | 3,020 | | | | | | 3,020 | |
0.875% due 09/15/2016 | | | | | 3,385 | | | | | | 3,410 | |
0.875% due 11/30/2016 | | | | | 5,210 | | | | | | 5,242 | |
0.875% due 12/31/2016 | | | | | 5,290 | | | | | | 5,317 | |
0.875% due 01/31/2017 | | | | | 5,210 | | | | | | 5,233 | |
0.875% due 04/15/2017 | | | | | 3,120 | | | | | | 3,128 | |
0.875% due 05/15/2017 | | | | | 3,000 | | | | | | 3,004 | |
0.875% due 06/15/2017 | | | | | 3,000 | | | | | | 3,001 | |
1.000% due 09/30/2016 | | | | | 1,720 | | | | | | 1,737 | |
1.750% due 05/31/2016 | | | | | 3,980 | | | | | | 4,081 | |
2.000% due 01/31/2016 | | | | | 3,305 | | | | | | 3,394 | |
2.000% due 04/30/2016 | | | | | 2,940 | | | | | | 3,027 | |
2.375% due 03/31/2016 | | | | | 3,620 | | | | | | 3,749 | |
2.750% due 05/31/2017 | | | | | 1,000 | | | | | | 1,055 | |
3.000% due 08/31/2016 | | | | | 1,040 | | | | | | 1,096 | |
3.125% due 04/30/2017 | | | | | 3,500 | | | | | | 3,726 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
3.250% due 07/31/2016 | | $ | | | 3,240 | | | $ | | | 3,426 | |
4.500% due 02/15/2016 | | | | | 3,305 | | | | | | 3,530 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $125,744) | | | 125,910 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 1.1% | |
| |
REPURCHASE AGREEMENTS (a) 1.1% | |
| | | | | | | | | | | 1,416 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $1,416) | | | | | | | | | | | 1,416 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $127,160) | | | | | | | | | | | 127,326 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.9%
(Cost $127,160) | | | $ | | | 127,326 | |
| |
Other Assets and Liabilities, net 0.1% | | | | | | 116 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 127,442 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 1,416 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (1,447 | ) | | $ | 1,416 | | | $ | 1,416 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (1,447 | ) | | $ | 1,416 | | | $ | 1,416 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 1,416 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 1,416 | | | $ | (1,447 | ) | | $ | (31 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 1,416 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 125,910 | | | $ | 0 | | | $ | 125,910 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 1,416 | | | | 0 | | | | 1,416 | |
Total Investments | | | | $ | 0 | | | $ | 127,326 | | | $ | 0 | | | $ | 127,326 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 47 |
Schedule of Investments PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 100.0% | |
| |
U.S. TREASURY OBLIGATIONS 98.9% | |
|
U.S. Treasury Bonds | |
7.875% due 02/15/2021 | | $ | | | 120 | | | $ | | | 164 | |
8.750% due 08/15/2020 | | | | | 285 | | | | | | 398 | |
|
U.S. Treasury Notes | |
0.500% due 07/31/2017 | | | | | 200 | | | | | | 197 | |
0.625% due 08/31/2017 | | | | | 600 | | | | | | 593 | |
0.625% due 11/30/2017 | | | | | 1,250 | | | | | | 1,231 | |
0.750% due 02/28/2018 | | | | | 220 | | | | | | 217 | |
0.875% due 07/31/2019 | | | | | 450 | | | | | | 433 | |
1.000% due 06/30/2019 | | | | | 265 | | | | | | 257 | |
1.000% due 09/30/2019 | | | | | 160 | | | | | | 154 | |
1.000% due 11/30/2019 | | | | | 410 | | | | | | 394 | |
1.125% due 03/31/2020 | | | | | 220 | | | | | | 211 | |
1.125% due 04/30/2020 | | | | | 360 | | | | | | 345 | |
1.250% due 10/31/2018 | | | | | 325 | | | | | | 322 | |
1.250% due 01/31/2019 | | | | | 638 | | | | | | 631 | |
1.250% due 04/30/2019 | | | | | 250 | | | | | | 246 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
1.250% due 02/29/2020 | | $ | | | 160 | | | $ | | | 155 | |
1.375% due 11/30/2018 | | | | | 184 | | | | | | 184 | |
1.375% due 12/31/2018 | | | | | 310 | | | | | | 309 | |
1.375% due 01/31/2020 | | | | | 190 | | | | | | 186 | |
1.375% due 05/31/2020 | | | | | 220 | | | | | | 214 | |
1.500% due 08/31/2018 | | | | | 171 | | | | | | 172 | |
1.500% due 03/31/2019 | | | | | 875 | | | | | | 873 | |
1.750% due 10/31/2018 | | | | | 474 | | | | | | 481 | |
1.750% due 10/31/2020 | | | | | 695 | | | | | | 685 | |
1.875% due 06/30/2020 | | | | | 160 | | | | | | 160 | |
2.000% due 09/30/2020 | | | | | 230 | | | | | | 230 | |
2.250% due 07/31/2018 | | | | | 323 | | | | | | 335 | |
2.250% due 03/31/2021 | | | | | 100 | | | | | | 101 | |
2.375% due 05/31/2018 | | | | | 287 | | | | | | 299 | |
2.375% due 06/30/2018 | | | | | 183 | | | | | | 191 | |
2.375% due 12/31/2020 | | | | | 375 | | | | | | 383 | |
2.500% due 06/30/2017 | | | | | 461 | | | | | | 483 | |
2.625% due 04/30/2018 | | | | | 600 | | | | | | 631 | |
2.625% due 08/15/2020 | | | | | 385 | | | | | | 401 | |
2.750% due 02/28/2018 | | | | | 190 | | | | | | 201 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
3.125% due 05/15/2021 | | $ | | | 410 | | | $ | | | 438 | |
3.375% due 11/15/2019 | | | | | 190 | | | | | | 206 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $13,173) | | | 13,111 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 1.1% | |
| |
REPURCHASE AGREEMENTS (a) 1.1% | |
| | | | | | | | | | | 143 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $143) | | | | | | | | | | | 143 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $13,316) | | | | | | | | | | | 13,254 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 100.0%
(Cost $13,316) | | | | | | $ | | | 13,254 | |
| |
Other Assets and Liabilities, net 0.0% | | | | | | (3 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 13,251 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 143 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (150 | ) | | $ | 143 | | | $ | 143 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (150 | ) | | $ | 143 | | | $ | 143 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 143 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 143 | | | $ | (150 | ) | | $ | (7 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 143 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 13,111 | | | $ | 0 | | | $ | 13,111 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 143 | | | | 0 | | | | 143 | |
Total Investments | | | | $ | 0 | | | $ | 13,254 | | | $ | 0 | | | $ | 13,254 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 48 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.4% | |
| |
U.S. TREASURY OBLIGATIONS 99.1% | |
|
U.S. Treasury Bonds | |
5.250% due 11/15/2028 | | $ | | | 1,600 | | | $ | | | 2,048 | |
5.500% due 08/15/2028 | | | | | 1,070 | | | | | | 1,399 | |
6.000% due 02/15/2026 | | | | | 2,980 | | | | | | 3,982 | |
6.125% due 11/15/2027 | | | | | 395 | | | | | | 542 | |
6.250% due 08/15/2023 | | | | | 3,018 | | | | | | 3,980 | |
6.375% due 08/15/2027 | | | | | 2,210 | | | | | | 3,090 | |
7.625% due 02/15/2025 | | | | | 1,000 | | | | | | 1,476 | |
8.125% due 08/15/2021 | | | | | 3,670 | | | | | | 5,144 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
U.S. Treasury Notes | |
1.625% due 11/15/2022 | | $ | | | 12,475 | | | $ | | | 11,786 | |
1.750% due 05/15/2022 | | | | | 2,230 | | | | | | 2,146 | |
1.750% due 05/15/2023 | | | | | 2,610 | | | | | | 2,471 | |
2.000% due 11/15/2021 | | | | | 6,825 | | | | | | 6,738 | |
2.000% due 02/15/2022 | | | | | 4,520 | | | | | | 4,449 | |
2.000% due 02/15/2023 | | | | | 7,100 | | | | | | 6,891 | |
2.125% due 08/15/2021 | | | | | 3,580 | | | | | | 3,577 | |
2.500% due 05/15/2024 | | | | | 3,855 | | | | | | 3,847 | |
2.750% due 11/15/2023 | | | | | 4,420 | | | | | | 4,528 | |
2.750% due 02/15/2024 | | | | | 5,085 | | | | | | 5,197 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $72,758) | | | 73,291 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 0.3% | |
| |
REPURCHASE AGREEMENTS (a) 0.3% | | | | |
| | | | | | $ | | | 222 | |
| | | | | | | | | | |
Total Short-Term Instruments
(Cost $222) | | | | | | | | | 222 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments in Securities
(Cost $72,980) | | | | | | | | | 73,513 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments 99.4%
(Cost $72,980) | | | | | | $ | | | 73,513 | |
| |
Other Assets and Liabilities, net 0.6% | | | | | 456 | |
| | | | | | | | | | |
Net Assets 100.0% | | | | | | $ | | | 73,969 | |
| | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 222 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (229 | ) | | $ | 222 | | | $ | 222 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (229 | ) | | $ | 222 | | | $ | 222 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 222 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 222 | | | $ | (229 | ) | | $ | (7 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 222 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 73,291 | | | $ | 0 | | | $ | 73,291 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 222 | | | | 0 | | | | 222 | |
Total Investments | | | | $ | 0 | | | $ | 73,513 | | | $ | 0 | | | $ | 73,513 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 49 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 100.8% | |
| |
U.S. TREASURY OBLIGATIONS 100.8% | |
|
U.S. Treasury Strips | |
0.000% due 05/15/2039 | | $ | | | 9,987 | | | $ | | | 4,301 | |
0.000% due 08/15/2039 | | | | | 9,646 | | | | | | 4,116 | |
0.000% due 11/15/2039 | | | | | 10,203 | | | | | | 4,315 | |
0.000% due 02/15/2040 | | | | | 9,545 | | | | | | 4,009 | |
0.000% due 05/15/2040 | | | | | 9,748 | | | | | | 4,051 | |
0.000% due 08/15/2040 | | | | | 9,978 | | | | | | 4,107 | |
0.000% due 11/15/2040 | | | | | 9,711 | | | | | | 3,962 | |
0.000% due 02/15/2041 | | | | | 10,416 | | | | | | 4,227 | |
0.000% due 05/15/2041 | | | | | 9,336 | | | | | | 3,748 | |
0.000% due 08/15/2041 | | | | | 10,416 | | | | | | 4,126 | |
0.000% due 11/15/2041 | | | | | 9,336 | | | | | | 3,648 | |
0.000% due 02/15/2042 | | | | | 10,416 | | | | | | 4,024 | |
0.000% due 05/15/2042 | | | | | 8,866 | | | | | | 3,389 | |
0.000% due 08/15/2042 | | | | | 10,518 | | | | | | 3,971 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.000% due 11/15/2042 | | $ | | | 9,614 | | | $ | | | 3,590 | |
0.000% due 02/15/2043 | | | | | 9,871 | | | | | | 3,650 | |
0.000% due 05/15/2043 | | | | | 9,908 | | | | | | 3,624 | |
0.000% due 08/15/2043 | | | | | 10,069 | | | | | | 3,647 | |
0.000% due 11/15/2043 | | | | | 9,604 | | | | | | 3,444 | |
0.000% due 02/15/2044 | | | | | 9,999 | | | | | | 3,547 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $80,547) | | | | | | | | | | | 77,496 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $80,547) | | | | | | | | | | | 77,496 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 100.8%
(Cost $80,547) | | | | | | | | $ | | | 77,496 | |
| |
Other Assets and Liabilities, net (0.8%) | | | | | | (594 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 76,902 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 77,496 | | | $ | 0 | | | $ | 77,496 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 50 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.5% | |
| |
U.S. TREASURY OBLIGATIONS 99.5% | |
|
U.S. Treasury Inflation Protected Securities (a) | |
0.125% due 04/15/2016 | | $ | | | 171,524 | | | $ | | | 176,101 | |
0.125% due 04/15/2017 | | | | | 188,707 | | | | | | 195,260 | |
0.125% due 04/15/2018 | | | | | 207,153 | | | | | | 214,015 | |
0.125% due 04/15/2019 | | | | | 74,710 | | | | | | 76,925 | |
1.375% due 07/15/2018 | | | | | 68,561 | | | | | | 74,933 | |
1.625% due 01/15/2018 | | | | | 76,823 | | | | | | 83,815 | |
1.875% due 07/15/2015 | | | | | 81,022 | | | | | | 84,187 | |
2.000% due 01/15/2016 | | | | | 82,451 | | | | | | 86,967 | |
2.125% due 01/15/2019 | | | | | 66,007 | | | | | | 74,356 | |
2.375% due 01/15/2017 | | | | | 84,307 | | | | | | 92,263 | |
2.500% due 07/15/2016 | | | | | 91,142 | | | | | | 98,946 | |
2.625% due 07/15/2017 | | | | | 64,575 | | | | | | 72,311 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $1,324,270) | | | 1,330,079 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 0.0% | |
| |
REPURCHASE AGREEMENTS (b) 0.0% | | | | |
| | | | | | $ | | | 605 | |
| | | | | | | | | | |
Total Short-Term Instruments
(Cost $605) | | | 605 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments in Securities
(Cost $1,324,875) | | | 1,330,684 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments 99.5%
(Cost $1,324,875) | | $ | | | 1,330,684 | |
| |
Other Assets and Liabilities, net 0.5% | | | 7,191 | |
| | | | | | | | | | |
Net Assets 100.0% | | $ | | | 1,337,875 | |
| | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
| (a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
| | (b) REPURCHASE | AGREEMENTS: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 605 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (618 | ) | | $ | 605 | | | $ | 605 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (618 | ) | | $ | 605 | | | $ | 605 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 605 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 605 | | | $ | (618 | ) | | $ | (13 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 605 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 1,330,079 | | | $ | 0 | | | $ | 1,330,079 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 605 | | | | 0 | | | | 605 | |
Total Investments | | | | $ | 0 | | | $ | 1,330,684 | | | $ | 0 | | | $ | 1,330,684 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 51 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.4% | |
| |
U.S. TREASURY OBLIGATIONS 99.4% | |
|
U.S. Treasury Inflation Protected Securities (a) | |
0.625% due 02/15/2043 | | $ | | | 13,821 | | | $ | | | 12,530 | |
0.750% due 02/15/2042 | | | | | 12,507 | | | | | | 11,754 | |
1.375% due 02/15/2044 | | | | | 8,920 | | | | | | 9,794 | |
2.125% due 02/15/2040 | | | | | 8,346 | | | | | | 10,603 | |
2.125% due 02/15/2041 | | | | | 15,005 | | | | | | 19,210 | |
3.375% due 04/15/2032 | | | | | 3,662 | | | | | | 5,284 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $73,075) | | | 69,175 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities (Cost $73,075) | | | | | | | | | | | 69,175 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.4%
(Cost $73,075) | | | | | | | | $ | | | 69,175 | |
| |
Other Assets and Liabilities, net 0.6% | | | | | | 395 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 69,570 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
| (a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 69,175 | | | $ | 0 | | | $ | 69,175 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 52 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 100.1% | |
| |
U.S. TREASURY OBLIGATIONS 99.2% | |
|
U.S. Treasury Inflation Protected Securities (a) | |
0.125% due 01/15/2022 | | $ | | | 3,795 | | | $ | | | 3,821 | |
0.125% due 07/15/2022 | | | | | 4,113 | | | | | | 4,140 | |
0.125% due 01/15/2023 | | | | | 4,734 | | | | | | 4,718 | |
0.625% due 01/15/2024 | | | | | 6,309 | | | | | | 6,535 | |
0.625% due 02/15/2043 | | | | | 2,691 | | | | | | 2,440 | |
0.750% due 02/15/2042 | | | | | 3,685 | | | | | | 3,463 | |
1.125% due 01/15/2021 | | | | | 9,926 | | | | | | 10,754 | |
1.375% due 01/15/2020 | | | | | 6,842 | | | | | | 7,506 | |
1.625% due 01/15/2018 | | | | | 8,449 | | | | | | 9,218 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
1.750% due 01/15/2028 | | $ | | | 3,731 | | | $ | | | 4,293 | |
1.875% due 07/15/2019 | | | | | 4,838 | | | | | | 5,447 | |
2.000% due 01/15/2016 | | | | | 3,105 | | | | | | 3,275 | |
2.000% due 01/15/2026 | | | | | 3,957 | | | | | | 4,660 | |
2.125% due 02/15/2040 | | | | | 1,783 | | | | | | 2,266 | |
2.125% due 02/15/2041 | | | | | 3,148 | | | | | | 4,030 | |
2.375% due 01/15/2017 | | | | | 5,354 | | | | | | 5,859 | |
2.375% due 01/15/2025 | | | | | 4,408 | | | | | | 5,340 | |
2.500% due 07/15/2016 | | | | | 5,608 | | | | | | 6,088 | |
2.500% due 01/15/2029 | | | | | 6,474 | | | | | | 8,163 | |
2.625% due 07/15/2017 | | | | | 3,117 | | | | | | 3,490 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $106,182) | | | | | | | | | | | 105,506 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 0.9% | |
| |
REPURCHASE AGREEMENTS (b) 0.9% | |
| | | | | | $ | | | 959 | |
| | | | | | | | | | |
Total Short-Term Instruments
(Cost $959) | | | | | | | | | 959 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments in Securities
(Cost $107,141) | | | | | | | | | 106,465 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments 100.1%
(Cost $107,141) | | | | | | $ | | | 106,465 | |
| |
Other Assets and Liabilities, net (0.1%) | | | (63 | ) |
| | | | | | | | | | |
Net Assets 100.0% | | | | | | $ | | | 106,402 | |
| | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
| (a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
| | (b) REPURCHASE | AGREEMENTS: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 959 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (978 | ) | | $ | 959 | | | $ | 959 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (978 | ) | | $ | 959 | | | $ | 959 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 959 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 959 | | | $ | (978 | ) | | $ | (19 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 959 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | $ | 0 | | | $ | 105,506 | | | $ | 0 | | | $ | 105,506 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 959 | | | | 0 | | | | 959 | |
Total Investments | | | | $ | 0 | | | $ | 106,465 | | | $ | 0 | | | $ | 106,465 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 53 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 98.8% | |
| |
CORPORATE BONDS & NOTES 91.1% | |
| |
BANKING & FINANCE 20.8% | |
|
AerCap Ireland Capital Ltd. | |
2.750% due 05/15/2017 | | $ | | | 400 | | | $ | | | 403 | |
3.750% due 05/15/2019 | | | | | 11,175 | | | | | | 11,273 | |
|
Affinion Investments LLC | |
13.500% due 08/15/2018 (e) | | | | | 4,000 | | | | | | 4,180 | |
|
AGFC Capital Trust | |
6.000% due 01/15/2067 | | | | | 1,500 | | | | | | 1,297 | |
|
Aircastle Ltd. | |
6.750% due 04/15/2017 | | | | | 15,104 | | | | | | 16,841 | |
|
Ally Financial, Inc. | |
2.750% due 01/30/2017 | | | | | 1,800 | | | | | | 1,825 | |
3.125% due 01/15/2016 | | | | | 750 | | | | | | 772 | |
3.500% due 07/18/2016 | | | | | 12,500 | | | | | | 12,922 | |
3.500% due 01/27/2019 | | | | | 11,623 | | | | | | 11,765 | |
4.625% due 06/26/2015 | | | | | 33,400 | | | | | | 34,527 | |
4.750% due 09/10/2018 | | | | | 1,000 | | | | | | 1,064 | |
5.500% due 02/15/2017 | | | | | 49,983 | | | | | | 54,263 | |
6.250% due 12/01/2017 | | | | | 2,000 | | | | | | 2,240 | |
|
Barclays Bank PLC | |
7.750% due 04/10/2023 | | | | | 11,125 | | | | | | 12,396 | |
|
Cantor Commercial Real Estate Co. LP | |
7.750% due 02/15/2018 | | | | | 6,900 | | | | | | 7,486 | |
|
CIT Group, Inc. | |
3.875% due 02/19/2019 | | | | | 150 | | | | | | 153 | |
4.250% due 08/15/2017 | | | | | 51,683 | | | | | | 54,041 | |
4.750% due 02/15/2015 | | | | | 9,003 | | | | | | 9,200 | |
5.000% due 05/15/2017 | | | | | 57,718 | | | | | | 61,650 | |
6.625% due 04/01/2018 | | | | | 675 | | | | | | 761 | |
|
ContourGlobal Power Holdings S.A. | |
7.125% due 06/01/2019 | | | | | 500 | | | | | | 501 | |
|
Credit Agricole S.A. | |
6.637% due 05/31/2017 (c)(e) | | | | | 8,025 | | | | | | 8,542 | |
|
E*TRADE Financial Corp. | |
6.000% due 11/15/2017 | | | | | 31,270 | | | | | | 32,677 | |
6.375% due 11/15/2019 | | | | | 5,641 | | | | | | 6,135 | |
6.750% due 06/01/2016 | | | | | 1,700 | | | | | | 1,853 | |
|
Eksportfinans ASA | |
2.000% due 09/15/2015 | | | | | 26,565 | | | | | | 26,605 | |
2.375% due 05/25/2016 | | | | | 43,493 | | | | | | 43,602 | |
3.000% due 11/17/2014 | | | | | 1,100 | | | | | | 1,108 | |
5.500% due 05/25/2016 | | | | | 35,115 | | | | | | 37,485 | |
5.500% due 06/26/2017 | | | | | 1,375 | | | | | | 1,478 | |
|
General Motors Financial Co., Inc. | |
2.750% due 05/15/2016 | | | | | 8,400 | | | | | | 8,542 | |
3.250% due 05/15/2018 | | | | | 17,050 | | | | | | 17,306 | |
4.750% due 08/15/2017 | | | | | 41,025 | | | | | | 43,743 | |
|
Genworth Holdings, Inc. | |
6.150% due 11/15/2066 | | | | | 750 | | | | | | 715 | |
|
HBOS PLC | |
6.750% due 05/21/2018 | | | | | 9,875 | | | | | | 11,395 | |
|
Icahn Enterprises LP | |
3.500% due 03/15/2017 | | | | | 14,370 | | | | | | 14,568 | |
4.875% due 03/15/2019 | | | | | 14,509 | | | | | | 14,981 | |
|
International Lease Finance Corp. | |
6.250% due 05/15/2019 | | | | | 8,000 | | | | | | 8,980 | |
6.500% due 09/01/2014 | | | | | 2,290 | | | | | | 2,310 | |
6.750% due 09/01/2016 | | | | | 28,270 | | | | | | 31,415 | |
8.625% due 09/15/2015 | | | | | 39,740 | | | | | | 43,118 | |
8.750% due 03/15/2017 | | | | | 30,350 | | | | | | 35,339 | |
|
iStar Financial, Inc. | |
4.000% due 11/01/2017 | | | | | 6,000 | | | | | | 6,045 | |
5.000% due 07/01/2019 | | | | | 3,700 | | | | | | 3,718 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
7.125% due 02/15/2018 | | $ | | | 2,975 | | | $ | | | 3,317 | |
9.000% due 06/01/2017 | | | | | 1,500 | | | | | | 1,740 | |
|
Nationstar Mortgage LLC | |
6.500% due 08/01/2018 | | | | | 4,000 | | | | | | 4,130 | |
|
Nuveen Investments, Inc. | |
9.125% due 10/15/2017 | | | | | 9,900 | | | | | | 10,779 | |
|
Radian Group, Inc. | |
5.500% due 06/01/2019 | | | | | 4,200 | | | | | | 4,310 | |
|
Realogy Group LLC | |
4.500% due 04/15/2019 | | | | | 4,200 | | | | | | 4,210 | |
|
Resona Preferred Global Securities Cayman Ltd. | |
7.191% due 07/30/2015 (c) | | | | | 21,820 | | | | | | 23,047 | |
|
Royal Bank of Scotland Group PLC | |
5.000% due 10/01/2014 | | | | | 24,538 | | | | | | 24,770 | |
5.050% due 01/08/2015 | | | | | 24,524 | | | | | | 24,979 | |
6.990% due 10/05/2017 (c) | | | | | 1,500 | | | | | | 1,755 | |
7.648% due 09/30/2031 (c) | | | | | 9,383 | | | | | | 11,400 | |
|
SLM Corp. | |
3.875% due 09/10/2015 | | | | | 26,434 | | | | | | 27,095 | |
4.875% due 06/17/2019 | | | | | 5,000 | | | | | | 5,165 | |
5.050% due 11/14/2014 | | | | | 17,915 | | | | | | 18,206 | |
5.500% due 01/15/2019 | | | | | 10,820 | | | | | | 11,523 | |
6.000% due 01/25/2017 | | | | | 150 | | | | | | 163 | |
6.250% due 01/25/2016 | | | | | 29,925 | | | | | | 31,908 | |
7.250% due 01/25/2022 | | | | | 500 | | | | | | 554 | |
8.450% due 06/15/2018 | | | | | 27,860 | | | | | | 32,997 | |
|
SMFG Preferred Capital Ltd. | |
6.078% due 01/25/2017 (c) | | | | | 1,750 | | | | | | 1,907 | |
|
Societe Generale S.A. | |
5.922% due 04/05/2017 (c) | | | | | 1,450 | | | | | | 1,555 | |
|
Sophia Holding Finance LP (9.625% Cash or 9.625% PIK) | |
9.625% due 12/01/2018 (a) | | | | | 4,175 | | | | | | 4,363 | |
|
Springleaf Finance Corp. | |
5.400% due 12/01/2015 | | | | | 19,765 | | | | | | 20,813 | |
5.750% due 09/15/2016 | | | | | 2,000 | | | | | | 2,130 | |
6.900% due 12/15/2017 | | | | | 45,077 | | | | | | 50,148 | |
|
TMX Finance LLC | |
8.500% due 09/15/2018 | | | | | 4,000 | | | | | | 4,260 | |
|
UBS Preferred Funding Trust | |
6.243% due 05/15/2016 (c)(e) | | | | | 34,805 | | | | | | 37,198 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,065,642 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 60.6% | | | | | | | |
|
21st Century Oncology, Inc. | |
8.875% due 01/15/2017 | | | | | 8,500 | | | | | | 8,808 | |
9.875% due 04/15/2017 (e) | | | | | 1,250 | | | | | | 1,156 | |
|
ADT Corp. | |
2.250% due 07/15/2017 | | | | | 9,025 | | | | | | 8,963 | |
3.500% due 07/15/2022 | | | | | 575 | | | | | | 525 | |
4.125% due 04/15/2019 (e) | | | | | 5,450 | | | | | | 5,498 | |
|
Advanced Micro Devices, Inc. | |
6.750% due 03/01/2019 | | | | | 7,475 | | | | | | 7,989 | |
|
Affinion Group Holdings, Inc. | |
11.625% due 11/15/2015 | | | | | 1,050 | | | | | | 1,061 | |
|
Affinion Group, Inc. | |
7.875% due 12/15/2018 | | | | | 3,350 | | | | | | 3,057 | |
11.500% due 10/15/2015 | | | | | 1,000 | | | | | | 1,010 | |
|
Afren PLC | |
11.500% due 02/01/2016 (e) | | | | | 6,750 | | | | | | 7,568 | |
|
Aguila S.A. | |
7.875% due 01/31/2018 | | | | | 27,318 | | | | | | 28,838 | |
|
Ainsworth Lumber Co. Ltd. | |
7.500% due 12/15/2017 | | | | | 720 | | | | | | 762 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Alcoa, Inc. | |
5.550% due 02/01/2017 | | $ | | | 1,350 | | | $ | | | 1,474 | |
5.720% due 02/23/2019 | | | | | 10,175 | | | | | | 11,324 | |
6.750% due 07/15/2018 | | | | | 6,175 | | | | | | 7,100 | |
|
Alere, Inc. | |
6.500% due 06/15/2020 | | | | | 2,000 | | | | | | 2,110 | |
8.625% due 10/01/2018 | | | | | 21,842 | | | | | | 23,098 | |
|
Aleris International, Inc. | |
7.625% due 02/15/2018 | | | | | 5,900 | | | | | | 6,129 | |
7.875% due 11/01/2020 | | | | | 5,375 | | | | | | 5,630 | |
|
Algeco Scotsman Global Finance PLC | |
8.500% due 10/15/2018 | | | | | 40,410 | | | | | | 43,138 | |
10.750% due 10/15/2019 | | | | | 7,550 | | | | | | 7,814 | |
|
Alion Science and Technology Corp. (10.000% Cash and 2.000% PIK) | |
12.000% due 11/01/2014 (a) | | | | | 3,442 | | | | | | 3,418 | |
|
Alpha Natural Resources, Inc. | |
9.750% due 04/15/2018 (e) | | | | | 4,200 | | | | | | 3,864 | |
|
American Achievement Corp. | |
10.875% due 04/15/2016 | | | | | 1,350 | | | | | | 1,394 | |
|
Ancestry.com, Inc. (9.625% Cash or 10.375% PIK) | |
9.625% due 10/15/2018 (a) | | | | | 11,725 | | | | | | 12,179 | |
|
ArcelorMittal | |
4.250% due 08/05/2015 | | | | | 36,825 | | | | | | 37,930 | |
5.000% due 02/25/2017 | | | | | 36,715 | | | | | | 38,964 | |
|
Arch Coal, Inc. | |
8.000% due 01/15/2019 | | | | | 13,250 | | | | | | 13,151 | |
|
ARD Finance S.A. (11.125% Cash or 11.125% PIK) | |
11.125% due 06/01/2018 (a) | | | | | 8,135 | | | | | | 8,611 | |
|
Ardagh Packaging Finance PLC | |
7.375% due 10/15/2017 | | | | | 31,030 | | | | | | 32,765 | |
|
Ashland, Inc. | |
3.000% due 03/15/2016 | | | | | 800 | | | | | | 820 | |
3.875% due 04/15/2018 | | | | | 38,659 | | | | | | 39,964 | |
|
Associated Materials LLC | |
9.125% due 11/01/2017 | | | | | 38,555 | | | | | | 40,145 | |
|
AutoNation, Inc. | |
6.750% due 04/15/2018 | | | | | 14,545 | | | | | | 16,836 | |
|
Avaya, Inc. | |
7.000% due 04/01/2019 | | | | | 14,100 | | | | | | 14,170 | |
|
Aviation Capital Group Corp. | |
3.875% due 09/27/2016 | | | | | 3,800 | | | | | | 3,935 | |
4.625% due 01/31/2018 | | | | | 4,810 | | | | | | 5,077 | |
|
Barminco Finance Pty. Ltd. | |
9.000% due 06/01/2018 | | | | | 2,900 | | | | | | 2,864 | |
|
Beazer Homes USA, Inc. | |
8.125% due 06/15/2016 | | | | | 9,733 | | | | | | 10,804 | |
|
Berry Plastics Corp. | |
9.750% due 01/15/2021 | | | | | 24,835 | | | | | | 28,436 | |
|
Beverage Packaging Holdings Luxembourg S.A. | |
5.625% due 12/15/2016 | | | | | 1,000 | | | | | | 1,028 | |
6.000% due 06/15/2017 | | | | | 8,525 | | | | | | 8,759 | |
|
BlueLine Rental Finance Corp. | |
7.000% due 02/01/2019 | | | | | 21,664 | | | | | | 23,180 | |
|
Bombardier, Inc. | |
4.250% due 01/15/2016 | | | | | 14,710 | | | | | | 15,262 | |
7.500% due 03/15/2018 | | | | | 3,000 | | | | | | 3,397 | |
|
Boxer Parent Co., Inc. (9.000% Cash or 9.750% PIK) | |
9.000% due 10/15/2019 (a) | | | | | 29,475 | | | | | | 28,885 | |
|
Brinker International, Inc. | |
2.600% due 05/15/2018 | | | | | 4,490 | | | | | | 4,494 | |
|
Bumble Bee Holdings, Inc. | |
9.000% due 12/15/2017 | | | | | 37,404 | | | | | | 40,022 | |
| | | | | | |
| 54 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Cablevision Systems Corp. | |
7.750% due 04/15/2018 | | $ | | | 6,000 | | | $ | | | 6,810 | |
8.625% due 09/15/2017 | | | | | 14,450 | | | | | | 16,852 | |
|
Caesars Entertainment Operating Co., Inc. | |
10.000% due 12/15/2018 | | | | | 35,460 | | | | | | 13,608 | |
10.000% due 12/15/2018 (e) | | | | | 9,566 | | | | | | 3,970 | |
10.750% due 02/01/2016 | | | | | 11,175 | | | | | | 8,130 | |
11.250% due 06/01/2017 | | | | | 19,484 | | | | | | 17,925 | |
12.750% due 04/15/2018 | | | | | 13,750 | | | | | | 6,187 | |
|
Calcipar S.A. | |
6.875% due 05/01/2018 | | | | | 12,475 | | | | | | 13,223 | |
|
Capella Healthcare, Inc. | |
9.250% due 07/01/2017 | | | | | 18,125 | | | | | | 19,077 | |
|
Capsugel S.A. (7.000% Cash or 7.750% PIK) | |
7.000% due 05/15/2019 (a) | | | | | 3,876 | | | | | | 4,000 | |
|
Case New Holland Industrial, Inc. | |
7.875% due 12/01/2017 | | | | | 36,405 | | | | | | 42,594 | |
|
CCO Holdings LLC | |
7.250% due 10/30/2017 | | | | | 3,110 | | | | | | 3,289 | |
|
CDW LLC | |
8.500% due 04/01/2019 | | | | | 4,200 | | | | | | 4,567 | |
|
Centex Corp. | |
6.500% due 05/01/2016 | | | | | 1,025 | | | | | | 1,122 | |
|
Central Garden and Pet Co. | |
8.250% due 03/01/2018 (e) | | | | | 14,277 | | | | | | 14,884 | |
|
Cenveo Corp. | |
6.000% due 08/01/2019 | | | | | 4,450 | | | | | | 4,472 | |
11.500% due 05/15/2017 | | | | | 1,000 | | | | | | 1,060 | |
|
Ceridian LLC | |
8.125% due 11/15/2017 | | | | | 8,450 | | | | | | 8,556 | |
|
Chesapeake Energy Corp. | |
6.500% due 08/15/2017 | | | | | 1,250 | | | | | | 1,406 | |
7.250% due 12/15/2018 | | | | | 5,000 | | | | | | 5,925 | |
|
Chrysler Group LLC | |
8.000% due 06/15/2019 | | | | | 19,565 | | | | | | 21,277 | |
|
Claire’s Stores, Inc. | |
8.875% due 03/15/2019 (e) | | | | | 3,750 | | | | | | 3,281 | |
9.000% due 03/15/2019 | | | | | 14,775 | | | | | | 15,495 | |
|
Clear Channel Communications, Inc. | |
10.000% due 01/15/2018 | | | | | 7,450 | | | | | | 7,236 | |
10.750% due 08/01/2016 | | | | | 2,750 | | | | | | 2,774 | |
|
Clear Channel Communications, Inc. (11.000% Cash or 11.750% PIK) | |
11.000% due 08/01/2016 (a) | | | | | 2,001 | | | | | | 2,019 | |
|
CMA CGM S.A. | |
8.500% due 04/15/2017 | | | | | 11,900 | | | | | | 12,346 | |
|
CNH America LLC | |
7.250% due 01/15/2016 | | | | | 1,000 | | | | | | 1,080 | |
|
CNH Capital LLC | |
3.625% due 04/15/2018 | | | | | 750 | | | | | | 770 | |
3.875% due 11/01/2015 | | | | | 32,720 | | | | | | 33,538 | |
|
Commercial Metals Co. | |
6.500% due 07/15/2017 | | | | | 750 | | | | | | 839 | |
|
Community Health Systems, Inc. | |
5.125% due 08/15/2018 | | | | | 24,455 | | | | | | 25,708 | |
|
Constellation Brands, Inc. | |
7.250% due 09/01/2016 | | | | | 1,400 | | | | | | 1,564 | |
7.250% due 05/15/2017 | | | | | 33,445 | | | | | | 38,399 | |
8.375% due 12/15/2014 | | | | | 2,850 | | | | | | 2,948 | |
|
ConvaTec Finance International S.A. (8.250% Cash or 9.000% PIK) | |
8.250% due 01/15/2019 (a) | | | | | 24,750 | | | | | | 25,369 | |
|
CSC Holdings LLC | |
8.625% due 02/15/2019 | | | | | 11,425 | | | | | | 13,624 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
D.R. Horton, Inc. | |
3.750% due 03/01/2019 | | $ | | | 6,975 | | | $ | | | 7,027 | |
4.750% due 05/15/2017 | | | | | 12,404 | | | | | | 13,210 | |
|
Dean Foods Co. | |
7.000% due 06/01/2016 | | | | | 18,949 | | | | | | 20,797 | |
|
Dell, Inc. | |
2.300% due 09/10/2015 | | | | | 26,121 | | | | | | 26,423 | |
3.100% due 04/01/2016 | | | | | 4,850 | | | | | | 4,971 | |
|
Diamond Foods, Inc. | |
7.000% due 03/15/2019 | | | | | 650 | | | | | | 683 | |
|
DISH DBS Corp. | |
4.250% due 04/01/2018 | | | | | 24,250 | | | | | | 25,281 | |
6.625% due 10/01/2014 | | | | | 400 | | | | | | 406 | |
7.125% due 02/01/2016 | | | | | 56,316 | | | | | | 61,032 | |
7.750% due 05/31/2015 | | | | | 100 | | | | | | 106 | |
|
DJO Finance LLC | |
7.750% due 04/15/2018 | | | | | 11,785 | | | | | | 12,433 | |
9.750% due 10/15/2017 | | | | | 2,550 | | | | | | 2,684 | |
9.875% due 04/15/2018 | | | | | 35,835 | | | | | | 38,881 | |
|
DynCorp International, Inc. | |
10.375% due 07/01/2017 | | | | | 1,000 | | | | | | 1,046 | |
|
El Paso LLC | |
7.000% due 06/15/2017 | | | | | 24,269 | | | | | | 27,515 | |
|
Endeavour International Corp. | |
12.000% due 03/01/2018 | | | | | 2,950 | | | | | | 2,707 | |
|
Enterprise Products Operating LLC | |
8.375% due 08/01/2066 | | | | | 1,250 | | | | | | 1,408 | |
|
Essar Steel Algoma, Inc. | |
9.875% due 06/15/2015 (e) | | | | | 925 | | | | | | 601 | |
|
Florida East Coast Holdings Corp. | |
6.750% due 05/01/2019 | | | | | 3,675 | | | | | | 3,891 | |
|
FMG Resources Pty. Ltd. | |
6.000% due 04/01/2017 | | | | | 28,340 | | | | | | 29,350 | |
6.875% due 02/01/2018 | | | | | 2,500 | | | | | | 2,631 | |
|
Forest Laboratories, Inc. | |
4.375% due 02/01/2019 | | | | | 6,400 | | | | | | 6,920 | |
|
Fresenius Medical Care U.S. Finance, Inc. | |
6.875% due 07/15/2017 | | | | | 12,810 | | | | | | 14,571 | |
|
Fresenius U.S. Finance, Inc. | |
9.000% due 07/15/2015 | | | | | 17,851 | | | | | | 19,324 | |
|
General Motors Co. | |
3.500% due 10/02/2018 | | | | | 2,000 | | | | | | 2,050 | |
|
Global Ship Lease, Inc. | |
10.000% due 04/01/2019 | | | | | 500 | | | | | | 540 | |
|
GLP Capital LP | |
4.375% due 11/01/2018 | | | | | 8,290 | | | | | | 8,580 | |
|
Greif, Inc. | |
6.750% due 02/01/2017 | | | | | 15,171 | | | | | | 16,916 | |
|
Guitar Center, Inc. | |
6.500% due 04/15/2019 | | | | | 4,200 | | | | | | 4,168 | |
|
Hanson Ltd. | |
6.125% due 08/15/2016 | | | | | 14,285 | | | | | | 15,642 | |
|
Hapag-Lloyd AG | |
9.750% due 10/15/2017 (e) | | | | | 11,930 | | | | | | 12,855 | |
| | | | |
Harvest Operations Corp. | | | | | | | | | | | | |
6.875% due 10/01/2017 | | | | | 9,200 | | | | | | 10,028 | |
|
HCA, Inc. | |
3.750% due 03/15/2019 | | | | | 6,500 | | | | | | 6,573 | |
6.500% due 02/15/2016 | | | | | 48,175 | | | | | | 51,969 | |
|
HD Supply, Inc. | |
8.125% due 04/15/2019 | | | | | 6,500 | | | | | | 7,182 | |
|
Headwaters, Inc. | |
7.250% due 01/15/2019 | | | | | 3,275 | | | | | | 3,480 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Hertz Corp. | |
4.250% due 04/01/2018 | | $ | | | 3,200 | | | $ | | | 3,296 | |
|
Hexion U.S. Finance Corp. | |
8.875% due 02/01/2018 | | | | | 21,050 | | | | | | 21,945 | |
|
Hospira, Inc. | |
5.200% due 08/12/2020 | | | | | 4,616 | | | | | | 5,058 | |
6.050% due 03/30/2017 | | | | | 6,681 | | | | | | 7,374 | |
|
Huntington Ingalls Industries, Inc. | |
6.875% due 03/15/2018 | | | | | 22,322 | | | | | | 23,717 | |
|
Hyva Global BV | |
8.625% due 03/24/2016 | | | | | 7,850 | | | | | | 8,184 | |
|
Igloo Holdings Corp. (8.250% Cash or 9.000% PIK) | |
8.250% due 12/15/2017 (a) | | | | | 1,200 | | | | | | 1,226 | |
|
Imperial Metals Corp. | |
7.000% due 03/15/2019 | | | | | 400 | | | | | | 412 | |
|
INEOS Group Holdings S.A. | |
6.125% due 08/15/2018 | | | | | 41,205 | | | | | | 42,802 | |
|
Infor U.S., Inc. | |
9.375% due 04/01/2019 | | | | | 5,000 | | | | | | 5,587 | |
|
Intelsat Luxembourg S.A. | |
6.750% due 06/01/2018 | | | | | 33,350 | | | | | | 35,476 | |
|
Interactive Data Corp. | |
5.875% due 04/15/2019 | | | | | 9,250 | | | | | | 9,435 | |
|
Intrepid Aviation Group Holdings LLC | |
6.875% due 02/15/2019 | | | | | 1,225 | | | | | | 1,295 | |
|
inVentiv Health, Inc. | |
9.000% due 01/15/2018 | | | | | 19,725 | | | | | | 21,303 | |
11.000% due 08/15/2018 | | | | | 3,180 | | | | | | 3,053 | |
|
Jaguar Holding Co. (9.375% Cash or 10.125% PIK) | |
9.375% due 10/15/2017 (a) | | | | | 35,276 | | | | | | 36,687 | |
|
Jaguar Land Rover Automotive PLC | |
4.125% due 12/15/2018 | | | | | 2,000 | | | | | | 2,070 | |
|
Jarden Corp. | |
7.500% due 05/01/2017 | | | | | 1,500 | | | | | | 1,710 | |
|
JC Penney Corp., Inc. | |
5.750% due 02/15/2018 | | | | | 1,000 | | | | | | 925 | |
6.875% due 10/15/2015 (e) | | | | | 6,475 | | | | | | 6,596 | |
7.950% due 04/01/2017 (e) | | | | | 1,250 | | | | | | 1,269 | |
|
JMC Steel Group, Inc. | |
8.250% due 03/15/2018 | | | | | 25,040 | | | | | | 25,666 | |
|
KB Home | |
4.750% due 05/15/2019 | | | | | 4,350 | | | | | | 4,393 | |
6.250% due 06/15/2015 | | | | | 735 | | | | | | 769 | |
|
Kinetic Concepts, Inc. | |
10.500% due 11/01/2018 | | | | | 34,507 | | | | | | 39,079 | |
|
Kratos Defense & Security Solutions, Inc. | |
7.000% due 05/15/2019 | | | | | 4,200 | | | | | | 4,378 | |
|
L Brands, Inc. | |
8.500% due 06/15/2019 | | | | | 755 | | | | | | 931 | |
|
Lafarge S.A. | |
6.200% due 07/09/2015 | | | | | 1,500 | | | | | | 1,579 | |
6.500% due 07/15/2016 | | | | | 16,181 | | | | | | 17,799 | |
|
Lantheus Medical Imaging, Inc. | |
9.750% due 05/15/2017 | | | | | 500 | | | | | | 521 | |
|
Lennar Corp. | |
4.125% due 12/01/2018 | | | | | 500 | | | | | | 513 | |
4.750% due 12/15/2017 | | | | | 3,995 | | | | | | 4,245 | |
5.600% due 05/31/2015 | | | | | 14,920 | | | | | | 15,498 | |
12.250% due 06/01/2017 | | | | | 1,000 | | | | | | 1,275 | |
|
Level 3 Financing, Inc. | |
8.125% due 07/01/2019 | | | | | 250 | | | | | | 274 | |
|
Logan’s Roadhouse, Inc. | |
10.750% due 10/15/2017 | | | | | 19,394 | | | | | | 15,855 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 55 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Mallinckrodt International Finance S.A. | |
3.500% due 04/15/2018 | | $ | | | 15,070 | | | $ | | | 15,070 | |
|
Masco Corp. | |
6.125% due 10/03/2016 | | | | | 25,055 | | | | | | 27,717 | |
|
McClatchy Co. | |
9.000% due 12/15/2022 | | | | | 27,761 | | | | | | 31,821 | |
|
Meritor, Inc. | |
8.125% due 09/15/2015 | | | | | 1,050 | | | | | | 1,131 | |
|
MGM Resorts International | |
6.625% due 07/15/2015 | | | | | 25,377 | | | | | | 26,709 | |
7.625% due 01/15/2017 | | | | | 24,120 | | | | | | 27,316 | |
10.000% due 11/01/2016 | | | | | 18,925 | | | | | | 22,473 | |
|
Michaels Stores, Inc. | |
7.750% due 11/01/2018 | | | | | 6,560 | | | | | | 6,954 | |
|
Modular Space Corp. | |
10.250% due 01/31/2019 | | | | | 800 | | | | | | 844 | |
|
Mohegan Tribal Gaming Authority | |
7.125% due 08/15/2014 | | | | | 975 | | | | | | 980 | |
|
Mylan, Inc. | |
6.000% due 11/15/2018 | | | | | 1,700 | | | | | | 1,778 | |
|
New Enterprise Stone & Lime Co., Inc. | |
11.000% due 09/01/2018 | | | | | 2,500 | | | | | | 2,400 | |
|
New York Times Co. | |
6.625% due 12/15/2016 | | | | | 250 | | | | | | 278 | |
|
Novelis, Inc. | |
8.375% due 12/15/2017 | | | | | 34,495 | | | | | | 36,815 | |
|
Numericable Group S.A. | |
4.875% due 05/15/2019 | | | | | 29,200 | | | | | | 30,003 | |
|
NXP BV | |
3.500% due 09/15/2016 | | | | | 8,300 | | | | | | 8,476 | |
|
Orion Engineered Carbons Finance & Co. S.C.A. (9.250% Cash or 10.000% PIK) | |
9.250% due 08/01/2019 (a) | | | | | 3,100 | | | | | | 3,241 | |
|
Owens-Brockway Glass Container, Inc. | |
7.375% due 05/15/2016 | | | | | 30,869 | | | | | | 34,110 | |
|
Pacific Drilling Ltd. | |
7.250% due 12/01/2017 | | | | | 2,000 | | | | | | 2,125 | |
|
Packaging Dynamics Corp. | |
8.750% due 02/01/2016 | | | | | 2,175 | | | | | | 2,242 | |
|
Peabody Energy Corp. | |
6.000% due 11/15/2018 | | | | | 23,006 | | | | | | 24,099 | |
7.375% due 11/01/2016 | | | | | 4,150 | | | | | | 4,581 | |
|
Perstorp Holding AB | |
8.750% due 05/15/2017 (e) | | | | | 16,665 | | | | | | 17,957 | |
11.000% due 08/15/2017 (e) | | | | | 14,000 | | | | | | 15,120 | |
|
Petco Holdings, Inc. (8.500% Cash or 9.250% PIK) | |
8.500% due 10/15/2017 (a) | | | | | 24,680 | | | | | | 25,359 | |
|
PHH Corp. | |
7.375% due 09/01/2019 | | | | | 20,325 | | | | | | 23,425 | |
9.250% due 03/01/2016 | | | | | 1,000 | | | | | | 1,125 | |
|
PHI, Inc. | |
5.250% due 03/15/2019 | | | | | 1,050 | | | | | | 1,074 | |
|
Pittsburgh Glass Works LLC | |
8.000% due 11/15/2018 | | | | | 32,537 | | | | | | 35,547 | |
|
PQ Corp. | |
8.750% due 05/01/2018 | | | | | 18,110 | | | | | | 19,717 | |
|
Reynolds Group Issuer, Inc. | |
5.750% due 10/15/2020 | | | | | 1,000 | | | | | | 1,060 | |
8.500% due 05/15/2018 | | | | | 36,355 | | | | | | 38,082 | |
|
Rockies Express Pipeline LLC | |
3.900% due 04/15/2015 | | | | | 750 | | | | | | 759 | |
6.000% due 01/15/2019 | | | | | 10,950 | | | | | | 11,525 | |
6.850% due 07/15/2018 | | | | | 4,550 | | | | | | 4,937 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Royal Caribbean Cruises Ltd. | |
11.875% due 07/15/2015 | | $ | | | 1,350 | | | $ | | | 1,502 | |
|
RR Donnelley & Sons Co. | |
6.125% due 01/15/2017 | | | | | 98 | | | | | | 108 | |
7.250% due 05/15/2018 | | | | | 19,366 | | | | | | 22,513 | |
|
Ryerson, Inc. | |
9.000% due 10/15/2017 | | | | | 12,970 | | | | | | 13,910 | |
|
Ryland Group, Inc. | |
6.625% due 05/01/2020 | | | | | 250 | | | | | | 273 | |
|
Sabine Pass LNG LP | |
7.500% due 11/30/2016 | | | | | 50,671 | | | | | | 56,245 | |
|
Sabre Holdings Corp. | |
8.350% due 03/15/2016 | | | | | 750 | | | | | | 833 | |
|
Sanmina Corp. | |
4.375% due 06/01/2019 | | | | | 4,200 | | | | | | 4,205 | |
|
Schaeffler Finance BV | |
7.750% due 02/15/2017 | | | | | 36,030 | | | | | | 40,804 | |
|
Schaeffler Holding Finance BV (6.875% Cash or 7.625% PIK) | |
6.875% due 08/15/2018 (a) | | | | | 17,150 | | | | | | 18,158 | |
|
Sears Holdings Corp. | |
6.625% due 10/15/2018 (e) | | | | | 13,500 | | | | | | 12,504 | |
|
Sequa Corp. | |
7.000% due 12/15/2017 | | | | | 30,068 | | | | | | 29,617 | |
|
Service Corp. International | |
7.000% due 06/15/2017 | | | | | 1,250 | | | | | | 1,403 | |
|
Sitel LLC | |
11.000% due 08/01/2017 | | | | | 2,300 | | | | | | 2,461 | |
11.500% due 04/01/2018 | | | | | 8,950 | | | | | | 8,860 | |
|
Smithfield Foods, Inc. | |
7.750% due 07/01/2017 | | | | | 22,168 | | | | | | 25,604 | |
|
SPX Corp. | |
6.875% due 09/01/2017 | | | | | 1,250 | | | | | | 1,412 | |
|
Standard Pacific Corp. | |
8.375% due 05/15/2018 | | | | | 3,000 | | | | | | 3,555 | |
|
STHI Holding Corp. | |
8.000% due 03/15/2018 | | | | | 17,809 | | | | | | 18,900 | |
|
SUPERVALU, Inc. | |
8.000% due 05/01/2016 | | | | | 14,950 | | | | | | 16,501 | |
|
T-Mobile USA, Inc. | |
5.250% due 09/01/2018 | | | | | 12,100 | | | | | | 12,750 | |
6.464% due 04/28/2019 | | | | | 20,400 | | | | | | 21,522 | |
|
Telesat Canada | |
6.000% due 05/15/2017 | | | | | 23,725 | | | | | | 24,496 | |
|
Tenet Healthcare Corp. | |
5.000% due 03/01/2019 | | | | | 8,230 | | | | | | 8,364 | |
9.250% due 02/01/2015 | | | | | 20,779 | | | | | | 21,851 | |
|
Tervita Corp. | |
8.000% due 11/15/2018 | | | | | 7,950 | | | | | | 8,328 | |
|
Tesoro Corp. | |
4.250% due 10/01/2017 | | | | | 2,000 | | | | | | 2,100 | |
|
Thompson Creek Metals Co., Inc. | |
9.750% due 12/01/2017 | | | | | 5,900 | | | | | | 6,711 | |
|
Tops Holding Corp. | |
8.750% due 06/15/2018 | | | | | 1,000 | | | | | | 1,048 | |
|
Toys “R” Us, Inc. | |
7.375% due 09/01/2016 (e) | | | | | 17,250 | | | | | | 16,042 | |
10.375% due 08/15/2017 (e) | | | | | 2,000 | | | | | | 1,695 | |
|
TransUnion Holding Co., Inc. | |
9.625% due 06/15/2018 | | | | | 36,325 | | | | | | 38,341 | |
|
Travelport LLC | |
13.875% due 03/01/2016 | | | | | 1,957 | | | | | | 2,026 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Trinseo Materials Operating S.C.A. | |
8.750% due 02/01/2019 | | $ | | | 34,775 | | | $ | | | 37,557 | |
|
TRW Automotive, Inc. | |
7.250% due 03/15/2017 | | | | | 1,750 | | | | | | 1,999 | |
|
UCI International, Inc. | |
8.625% due 02/15/2019 | | | | | 4,200 | | | | | | 4,011 | |
|
United Airlines, Inc. | |
6.750% due 09/15/2015 | | | | | 2,850 | | | | | | 2,882 | |
|
United Rentals North America, Inc. | |
5.750% due 07/15/2018 | | | | | 7,000 | | | | | | 7,437 | |
|
United States Steel Corp. | |
6.050% due 06/01/2017 | | | | | 1,000 | | | | | | 1,088 | |
|
Univision Communications, Inc. | |
6.875% due 05/15/2019 | | | | | 5,650 | | | | | | 6,045 | |
|
USG Corp. | |
6.300% due 11/15/2016 | | | | | 26,126 | | | | | | 28,347 | |
9.750% due 01/15/2018 | | | | | 10,720 | | | | | | 12,891 | |
|
Valeant Pharmaceuticals International, Inc. | |
6.750% due 10/01/2017 | | | | | 14,845 | | | | | | 15,513 | |
6.750% due 08/15/2018 | | | | | 28,615 | | | | | | 30,904 | |
|
Vander Intermediate Holding Corp. (9.750% Cash or 10.500% PIK) | |
9.750% due 02/01/2019 (a) | | | | | 2,705 | | | | | | 2,888 | |
|
Venoco, Inc. | |
8.875% due 02/15/2019 | | | | | 2,900 | | | | | | 2,835 | |
|
Verso Paper Holdings LLC | |
11.750% due 01/15/2019 | | | | | 6,850 | | | | | | 6,845 | |
|
Vertellus Specialties, Inc. | |
9.375% due 10/01/2015 (e) | | | | | 2,100 | | | | | | 2,116 | |
|
Viasystems, Inc. | |
7.875% due 05/01/2019 | | | | | 1,700 | | | | | | 1,806 | |
|
Visant Corp. | |
10.000% due 10/01/2017 | | | | | 2,000 | | | | | | 1,875 | |
|
Vulcan Materials Co. | |
6.500% due 12/01/2016 | | | | | 268 | | | | | | 298 | |
7.000% due 06/15/2018 | | | | | 1,700 | | | | | | 1,966 | |
|
VWR Funding, Inc. | |
7.250% due 09/15/2017 | | | | | 23,456 | | | | | | 24,893 | |
|
Wave Holdco LLC (8.250% Cash or 9.000% PIK) | |
8.250% due 07/15/2019 (a) | | | | | 400 | | | | | | 413 | |
|
Whiting Petroleum Corp. | |
5.000% due 03/15/2019 | | | | | 4,350 | | | | | | 4,600 | |
6.500% due 10/01/2018 | | | | | 2,175 | | | | | | 2,273 | |
|
Wind Acquisition Finance S.A. | |
7.250% due 02/15/2018 | | | | | 14,000 | | | | | | 14,805 | |
7.375% due 04/23/2021 | | | | | 12,350 | | | | | | 13,214 | |
|
Windstream Corp. | |
7.875% due 11/01/2017 | | | | | 22,589 | | | | | | 26,119 | |
|
Wise Metals Group LLC | |
8.750% due 12/15/2018 | | | | | 26,350 | | | | | | 28,721 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,101,239 | |
| | | | | | | | | | | | |
| |
UTILITIES 9.7% | | | | | | | | | | | | |
|
AES Corp. | |
3.229% due 06/01/2019 | | | | | 4,200 | | | | | | 4,242 | |
7.750% due 10/15/2015 | | | | | 10,014 | | | | | | 10,765 | |
9.750% due 04/15/2016 | | | | | 20,930 | | | | | | 23,756 | |
|
Alcatel-Lucent USA, Inc. | |
4.625% due 07/01/2017 | | | | | 25,450 | | | | | | 26,404 | |
|
CenturyLink, Inc. | |
5.150% due 06/15/2017 | | | | | 22,695 | | | | | | 24,624 | |
6.000% due 04/01/2017 | | | | | 24,267 | | | | | | 26,906 | |
| | | | | | |
| 56 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Cincinnati Bell, Inc. | |
8.750% due 03/15/2018 | | $ | | | 1,000 | | | $ | | | 1,050 | |
|
DPL, Inc. | |
6.500% due 10/15/2016 | | | | | 595 | | | | | | 644 | |
|
Drill Rigs Holdings, Inc. | |
6.500% due 10/01/2017 | | | | | 15,175 | | | | | | 15,592 | |
|
EXCO Resources, Inc. | |
7.500% due 09/15/2018 | | | | | 19,109 | | | | | | 19,682 | |
|
Expro Finance Luxembourg S.C.A. | |
8.500% due 12/15/2016 | | | | | 26,935 | | | | | | 28,248 | |
|
Frontier Communications Corp. | |
8.125% due 10/01/2018 | | | | | 21,873 | | | | | | 25,701 | |
8.250% due 04/15/2017 | | | | | 8,215 | | | | | | 9,581 | |
| | | | |
GenOn Energy, Inc. | | | | | | | | | | | | |
7.875% due 06/15/2017 | | | | | 22,275 | | | | | | 23,779 | |
| | | | |
Ipalco Enterprises, Inc. | | | | | | | | | | | | |
7.250% due 04/01/2016 | | | | | 1,000 | | | | | | 1,095 | |
| | | | |
Kinder Morgan Finance Co. LLC | | | | | | | | | | | | |
5.700% due 01/05/2016 | | | | | 24,740 | | | | | | 26,101 | |
| | | | |
Midwest Generation LLC | | | | | | | | | | | | |
8.560% due 01/02/2016 | | | | | 2,597 | | | | | | 2,669 | |
| | | | |
NGPL PipeCo LLC | | | | | | | | | | | | |
7.119% due 12/15/2017 | | | | | 15,169 | | | | | | 15,472 | |
| | | | |
NII Capital Corp. | | | | | | | | | | | | |
10.000% due 08/15/2016 | | | | | 3,000 | | | | | | 945 | |
| | |
Niska Gas Storage Canada ULC | | | | | | | |
6.500% due 04/01/2019 | | | | | 4,100 | | | | | | 3,951 | |
| | | | |
NRG Energy, Inc. | | | | | | | | | | | | |
7.625% due 01/15/2018 | | | | | 15,700 | | | | | | 18,016 | |
| | | | |
Sabine Oil & Gas LLC | | | | | | | | | | | | |
9.750% due 02/15/2017 | | | | | 14,128 | | | | | | 14,834 | |
| | | | |
Sprint Communications, Inc. | | | | | | | | | | | | |
6.000% due 12/01/2016 | | | | | 63,040 | | | | | | 68,792 | |
8.375% due 08/15/2017 | | | | | 2,000 | | | | | | 2,343 | |
9.000% due 11/15/2018 | | | | | 44,135 | | | | | | 53,624 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Talos Production LLC | |
9.750% due 02/15/2018 | | $ | | | 400 | | | $ | | | 426 | |
|
Telecom Italia Capital S.A. | |
5.250% due 10/01/2015 | | | | | 4,500 | | | | | | 4,714 | |
6.999% due 06/04/2018 | | | | | 36,885 | | | | | | 42,510 | |
|
Texas Competitive Electric Holdings Co. LLC | |
10.250% due 11/01/2015 ^ | | | | | 7,375 | | | | | | 1,189 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 497,655 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $4,603,393) | | | | | | | | | 4,664,536 | |
| | | | | | | | | | | | |
| |
U.S. GOVERNMENT AGENCIES 0.8% | |
|
Fannie Mae | |
5.000% due 04/15/2015 | | | | | 40,050 | | | | | | 41,584 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $41,586) | | | | | | 41,584 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 2.7% | |
|
U.S. Treasury Notes | |
0.250% due 08/31/2014 | | | | | 9,458 | | | | | | 9,461 | |
0.250% due 09/15/2014 | | | | | 67 | | | | | | 67 | |
0.250% due 09/30/2014 | | | | | 1,000 | | | | | | 1,000 | |
0.250% due 10/31/2014 | | | | | 21,100 | | | | | | 21,114 | |
0.250% due 01/15/2015 | | | | | 23,100 | | | | | | 23,123 | |
0.250% due 01/31/2015 | | | | | 12,300 | | | | | | 12,313 | |
0.250% due 02/28/2015 | | | | | 10,700 | | | | | | 10,712 | |
0.250% due 03/31/2015 | | | | | 2,300 | | | | | | 2,303 | |
0.375% due 11/15/2014 | | | | | 4,800 | | | | | | 4,806 | |
0.375% due 06/30/2015 | | | | | 800 | | | | | | 802 | |
0.500% due 08/15/2014 | | | | | 6,300 | | | | | | 6,303 | |
0.500% due 10/15/2014 | | | | | 11,131 | | | | | | 11,146 | |
0.625% due 07/15/2014 | | | | | 36,700 | | | | | | 36,708 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $139,826) | | | 139,858 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 4.2% | |
| |
REPURCHASE AGREEMENTS (f) 0.8% | | | | |
| | | | | | | | $ | | | 38,833 | |
| | | | | | | | | | | | |
| |
SHORT-TERM NOTES 0.9% | |
|
Federal Home Loan Bank | |
0.100% due 03/09/2015 | | $ | | | 47,700 | | | | | | 47,691 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY BILLS 2.5% | |
0.039% due 08/14/2014 - 11/20/2014 (b)(h) | | | 128,808 | | | | | | 128,799 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $215,323) | | | 215,323 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $5,000,128) | | | 5,061,301 | |
| | | | | | | | | | | | |
| | | | |
| | | | | SHARES | | | | | | |
INVESTMENTS IN AFFILIATES 1.4% | |
| |
SHORT-TERM INSTRUMENTS 1.4% | |
| |
MUTUAL FUNDS 1.4% | |
| | | |
PIMCO Money Market Fund (d)(e) | | | 70,608,997 | | | | | | 70,609 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $70,609) | | | 70,609 | |
| | | | | | | | | | | | |
| |
Total Investments in Affiliates
(Cost $70,609) | | | 70,609 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 100.2%
(Cost $5,070,737) | | | $ | | | 5,131,910 | |
| |
Financial Derivative
Instruments (g) 0.0% (Cost or Premiums, net $0) | | | | | | (463 | ) |
| |
Other Assets and Liabilities, net (0.2%) | | | (12,245 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 5,119,202 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Payment in-kind bond security. |
| (b) | Coupon represents a weighted average yield to maturity. |
| (c) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| (d) | Institutional Class Shares of each Fund. |
| (e) | Securities with an aggregate market value of $69,744 were out on loan in exchange for $70,609 of cash collateral as of June 30, 2014. The collateral was invested in a cash collateral reinvestment vehicle as described in Note 5(d) in the Notes to Financial Statements. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
JPS | | | | | 0.200 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 26,100 | | | Fannie Mae 1.670% due 12/17/2018 | | $ | (26,663 | ) | | $ | 26,100 | | | $ | 26,100 | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | | 12,733 | | | Freddie Mac 2.000% due 01/30/2023 | | | (12,991 | ) | | | 12,733 | | | | 12,733 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (39,654 | ) | | $ | 38,833 | | | $ | 38,833 | |
| (1) | Includes accrued interest. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 57 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received)/
Pledged | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
JPS | | | | $ | 26,100 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 26,100 | | | $ | (26,663 | ) | | $ | (563 | ) |
SSB | | | | | 12,733 | | | | 0 | | | | 0 | | | | 0 | | | | 12,733 | | | | (12,991 | ) | | | (258 | ) |
| | | | | | | | |
Master Securities Lending Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BCY | | | | | 0 | | | | 0 | | | | 0 | | | | (42,833 | ) | | | (42,833 | ) | | | 43,155 | | | | 322 | |
DEU | | | | | 0 | | | | 0 | | | | 0 | | | | (8,669 | ) | | | (8,669 | ) | | | 8,850 | | | | 181 | |
SAL | | | | | 0 | | | | 0 | | | | 0 | | | | (18,242 | ) | | | (18,242 | ) | | | 18,604 | | | | 362 | |
Total Borrowings and Other Financing Transactions | | | | $ | 38,833 | | | $ | 0 | | | $ | 0 | | | $ | (69,744 | ) | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Fixed Deal
Receive Rate | | | Maturity
Date | | | Notional
Amount (2) | | | Market
Value (3) | | | Unrealized
Appreciation | | | Variation Margin | |
| Index/Tranches | | | | | | | | | Asset | | | Liability | |
CDX.HY-20 5-Year Index | | | | | 5.000 | % | | | 06/20/2018 | | | $ | 110,583 | | | $ | 10,685 | | | $ | 5,244 | | | $ | 0 | | | $ | (150 | ) |
CDX.HY-21 5-Year Index | | | | | 5.000 | % | | | 12/20/2018 | | | | 33,363 | | | | 3,093 | | | | 735 | | | | 0 | | | | (43 | ) |
CDX.HY-22 5-Year Index | | | | | 5.000 | % | | | 06/20/2019 | | | | 195,030 | | | | 17,187 | | | | 2,042 | | | | 0 | | | | (270 | ) |
| | | | | | | | | | | | | | | | | $ | 30,965 | | | $ | 8,021 | | | $ | 0 | | | $ | (463 | ) |
Total Swap Agreements | | | | | | | | | | | | | | | | $ | 30,965 | | | $ | 8,021 | | | $ | 0 | | | $ | (463 | ) |
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash 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. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The prices and resulting values for credit default swap agreements on credit indices serve as an indicator 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. |
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 June 30, 2014:
| (h) | Securities with an aggregate market value of $14,393 and cash of $995 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | $ | 0 | | | $ | (463 | ) | | $ | (463 | ) |
| | | | | | |
| 58 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 Swap Agreements | | | | $ | 0 | | | $ | 463 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 463 | |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared Swap Agreements | | | | $ | 0 | | | $ | 24,713 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 24,713 | |
| | | | | | | |
Net Change in Unrealized Appreciation on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared Swap Agreements | | | | $ | 0 | | | $ | 10,850 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 10,850 | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 0 | | | $ | 1,065,642 | | | $ | 0 | | | $ | 1,065,642 | |
Industrials | | | | | 0 | | | | 3,101,239 | | | | 0 | | | | 3,101,239 | |
Utilities | | | | | 0 | | | | 497,655 | | | | 0 | | | | 497,655 | |
U.S. Government Agencies | | | | | 0 | | | | 41,584 | | | | 0 | | | | 41,584 | |
U.S. Treasury Obligations | | | | | 0 | | | | 139,858 | | | | 0 | | | | 139,858 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 38,833 | | | | 0 | | | | 38,833 | |
Short-Term Notes | | | | | 0 | | | | 47,691 | | | | 0 | | | | 47,691 | |
U.S. Treasury Bills | | | | | 0 | | | | 128,799 | | | | 0 | | | | 128,799 | |
| | | | | $ | 0 | | | $ | 5,061,301 | | | $ | 0 | | | $ | 5,061,301 | |
| | | | | |
Investments in Affiliates, at Value | | | | | | | | | | | | | | | | | | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Mutual Funds | | | | | 70,609 | | | | 0 | | | | 0 | | | | 70,609 | |
Total Investments | | | | $ | 70,609 | | | $ | 5,061,301 | | | $ | 0 | | | $ | 5,131,910 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | | $ | 0 | | | $ | (463 | ) | | $ | 0 | | | $ | (463 | ) |
Totals | | | | $ | 70,609 | | | $ | 5,060,838 | | | $ | 0 | | | $ | 5,131,447 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 59 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.1% | |
| |
CORPORATE BONDS & NOTES 98.7% | |
| |
BANKING & FINANCE 35.6% | |
|
American Express Co. | |
2.650% due 12/02/2022 | | $ | | | 850 | | | $ | | | 830 | |
|
American Honda Finance Corp. | |
2.600% due 09/20/2016 | | | | | 1,005 | | | | | | 1,045 | |
|
American International Group, Inc. | |
5.850% due 01/16/2018 | | | | | 1,040 | | | | | | 1,188 | |
|
AON PLC Co. | |
4.600% due 06/14/2044 | | | | | 500 | | | | | | 501 | |
|
Banco do Brasil S.A. | |
6.000% due 01/22/2020 | | | | | 725 | | | | | | 807 | |
|
Banco Santander Brasil S.A. | |
4.625% due 02/13/2017 | | | | | 1,000 | | | | | | 1,069 | |
|
Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander | |
4.125% due 11/09/2022 | | | | | 600 | | | | | | 614 | |
|
Bank of America Corp. | |
3.875% due 03/22/2017 | | | | | 250 | | | | | | 267 | |
4.000% due 04/01/2024 | | | | | 1,000 | | | | | | 1,024 | |
5.625% due 07/01/2020 | | | | | 100 | | | | | | 115 | |
6.500% due 08/01/2016 | | | | | 475 | | | | | | 527 | |
6.875% due 04/25/2018 | | | | | 1,175 | | | | | | 1,384 | |
7.750% due 05/14/2038 | | | | | 425 | | | | | | 584 | |
|
Bank of New York Mellon Corp. | |
1.969% due 06/20/2017 | | | | | 850 | | | | | | 869 | |
|
Bank of Nova Scotia | |
3.400% due 01/22/2015 | | | | | 925 | | | | | | 941 | |
|
Bank of Tokyo-Mitsubishi UFJ Ltd. | |
2.350% due 02/23/2017 | | | | | 450 | | | | | | 463 | |
|
Barclays Bank PLC | |
6.050% due 12/04/2017 | | | | | 700 | | | | | | 796 | |
|
Bear Stearns Cos. LLC | |
5.300% due 10/30/2015 | | | | | 300 | | | | | | 318 | |
|
Berkshire Hathaway Finance Corp. | |
5.750% due 01/15/2040 | | | | | 300 | | | | | | 360 | |
|
BM&FBovespa S.A. | |
5.500% due 07/16/2020 | | | | | 500 | | | | | | 546 | |
|
BNP Paribas S.A. | |
3.600% due 02/23/2016 | | | | | 740 | | | | | | 772 | |
|
Boeing Capital Corp. | |
3.250% due 10/27/2014 | | | | | 85 | | | | | | 86 | |
|
Boston Properties LP | |
3.800% due 02/01/2024 | | | | | 600 | | | | | | 608 | |
|
Capital One Financial Corp. | |
4.750% due 07/15/2021 | | | | | 725 | | | | | | 807 | |
|
Citigroup, Inc. | |
1.700% due 07/25/2016 | | | | | 500 | | | | | | 506 | |
5.375% due 08/09/2020 | | | | | 40 | | | | | | 46 | |
5.500% due 02/15/2017 | | | | | 575 | | | | | | 633 | |
6.010% due 01/15/2015 | | | | | 202 | | | | | | 208 | |
8.125% due 07/15/2039 | | | | | 500 | | | | | | 753 | |
8.500% due 05/22/2019 | | | | | 675 | | | | | | 865 | |
|
CME Group, Inc. | |
3.000% due 09/15/2022 | | | | | 925 | | | | | | 922 | |
|
Commonwealth Bank of Australia | |
1.950% due 03/16/2015 | | | | | 1,200 | | | | | | 1,214 | |
|
Compass Bank | |
6.400% due 10/01/2017 | | | | | 1,000 | | | | | | 1,114 | |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | |
3.875% due 02/08/2022 | | | | | 750 | | | | | | 795 | |
5.250% due 05/24/2041 | | | | | 610 | | | | | | 681 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Credit Agricole S.A. | |
8.125% due 09/19/2033 | | $ | | | 750 | | | $ | | | 856 | |
|
Credit Suisse | |
6.500% due 08/08/2023 | | | | | 1,300 | | | | | | 1,446 | |
|
Deutsche Bank AG | |
3.250% due 01/11/2016 | | | | | 575 | | | | | | 597 | |
|
Duke Realty LP | |
3.875% due 10/15/2022 | | | | | 250 | | | | | | 255 | |
|
Essex Portfolio LP | |
3.250% due 05/01/2023 | | | | | 1,000 | | | | | | 978 | |
|
Fidelity National Financial, Inc. | |
5.500% due 09/01/2022 | | | | | 700 | | | | | | 765 | |
|
Ford Motor Credit Co. LLC | |
2.500% due 01/15/2016 | | | | | 600 | | | | | | 615 | |
5.875% due 08/02/2021 | | | | | 1,625 | | | | | | 1,910 | |
|
General Electric Capital Corp. | |
2.300% due 04/27/2017 | | | | | 250 | | | | | | 258 | |
3.100% due 01/09/2023 | | | | | 775 | | | | | | 770 | |
5.500% due 01/08/2020 | | | | | 2,860 | | | | | | 3,319 | |
|
Goldman Sachs Group, Inc. | |
5.375% due 03/15/2020 | | | | | 670 | | | | | | 760 | |
5.750% due 01/24/2022 | | | | | 800 | | | | | | 927 | |
6.750% due 10/01/2037 | | | | | 850 | | | | | | 1,020 | |
|
Hospitality Properties Trust | |
5.000% due 08/15/2022 | | | | | 600 | | | | | | 635 | |
|
HSBC Bank USA N.A. | |
4.875% due 08/24/2020 | | | | | 1,735 | | | | | | 1,931 | |
|
ING Bank NV | |
4.000% due 03/15/2016 | | | | | 600 | | | | | | 631 | |
|
IntercontinentalExchange Group, Inc. | |
2.500% due 10/15/2018 | | | | | 1,000 | | | | | | 1,024 | |
|
Intesa Sanpaolo SpA | |
3.125% due 01/15/2016 | | | | | 500 | | | | | | 514 | |
|
Itau Unibanco Holding S.A. | |
5.650% due 03/19/2022 | | | | | 625 | | | | | | 648 | |
|
John Deere Capital Corp. | |
2.950% due 03/09/2015 | | | | | 100 | | | | | | 102 | |
3.900% due 07/12/2021 | | | | | 275 | | | | | | 296 | |
5.750% due 09/10/2018 | | | | | 200 | | | | | | 232 | |
|
JPMorgan Chase & Co. | |
3.700% due 01/20/2015 | | | | | 1,830 | | | | | | 1,863 | |
5.400% due 01/06/2042 | | | | | 600 | | | | | | 686 | |
|
JPMorgan Chase Bank N.A. | |
5.875% due 06/13/2016 | | | | | 1,355 | | | | | | 1,483 | |
|
Kilroy Realty LP | |
3.800% due 01/15/2023 | | | | | 500 | | | | | | 505 | |
|
Lazard Group LLC | |
4.250% due 11/14/2020 | | | | | 500 | | | | | | 524 | |
|
LeasePlan Corp. NV | |
3.000% due 10/23/2017 | | | | | 425 | | | | | | 443 | |
|
Lloyds Bank PLC | |
5.800% due 01/13/2020 | | | | | 1,100 | | | | | | 1,278 | |
|
LYB International Finance BV | |
4.000% due 07/15/2023 | | | | | 600 | | | | | | 631 | |
|
Macquarie Bank Ltd. | |
6.625% due 04/07/2021 | | | | | 230 | | | | | | 264 | |
|
MetLife, Inc. | |
5.700% due 06/15/2035 | | | | | 525 | | | | | | 633 | |
5.875% due 02/06/2041 | | | | | 585 | | | | | | 723 | |
|
Moody’s Corp. | |
5.500% due 09/01/2020 | | | | | 300 | | | | | | 342 | |
|
Morgan Stanley | |
5.500% due 07/24/2020 | | | | | 950 | | | | | | 1,093 | |
7.300% due 05/13/2019 | | | | | 1,530 | | | | | | 1,873 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
MUFG Capital Finance Ltd. | |
6.346% due 07/25/2016 (a) | | $ | | | 575 | | | $ | | | 625 | |
|
National City Corp. | |
6.875% due 05/15/2019 | | | | | 500 | | | | | | 598 | |
|
Nordea Bank AB | |
4.875% due 01/14/2021 | | | | | 535 | | | | | | 602 | |
|
PNC Bank N.A. | |
3.800% due 07/25/2023 | | | | | 450 | | | | | | 467 | |
|
PNC Funding Corp. | |
3.300% due 03/08/2022 | | | | | 250 | | | | | | 255 | |
|
ProLogis LP | |
6.625% due 05/15/2018 | | | | | 629 | | | | | | 735 | |
|
Prudential Financial, Inc. | |
4.750% due 09/17/2015 | | | | | 1,375 | | | | | | 1,443 | |
|
Sberbank of Russia Via SB Capital S.A. | |
6.125% due 02/07/2022 | | | | | 600 | | | | | | 644 | |
|
Simon Property Group LP | |
5.650% due 02/01/2020 | | | | | 100 | | | | | | 117 | |
|
Sumitomo Life Insurance Co. | |
6.500% due 09/20/2073 | | | | | 500 | | | | | | 590 | |
|
Sumitomo Mitsui Banking Corp. | |
3.200% due 07/18/2022 | | | | | 850 | | | | | | 855 | |
|
Toyota Motor Credit Corp. | |
3.200% due 06/17/2015 | | | | | 625 | | | | | | 642 | |
|
U.S. Bancorp | |
2.950% due 07/15/2022 | | | | | 1,000 | | | | | | 986 | |
|
UBS AG | |
5.750% due 04/25/2018 | | | | | 600 | | | | | | 688 | |
|
Union Bank N.A. | |
1.500% due 09/26/2016 | | | | | 475 | | | | | | 482 | |
|
Ventas Realty LP | |
4.000% due 04/30/2019 | | | | | 250 | | | | | | 269 | |
|
Wachovia Bank N.A. | |
6.600% due 01/15/2038 | | | | | 575 | | | | | | 778 | |
|
Wells Fargo & Co. | |
4.125% due 08/15/2023 | | | | | 1,075 | | | | | | 1,118 | |
|
Weyerhaeuser Co. | |
7.375% due 03/15/2032 | | | | | 1,150 | | | | | | 1,556 | |
|
WR Berkley Corp. | |
4.625% due 03/15/2022 | | | | | 450 | | | | | | 484 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 71,022 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 46.6% | | | | | | | | | | | | |
|
21st Century Fox America, Inc. | |
6.400% due 12/15/2035 | | | | | 700 | | | | | | 873 | |
|
AbbVie, Inc. | |
2.900% due 11/06/2022 | | | | | 1,200 | | | | | | 1,162 | |
|
Actavis, Inc. | |
3.250% due 10/01/2022 | | | | | 600 | | | | | | 590 | |
|
Altria Group, Inc. | |
2.950% due 05/02/2023 | | | | | 650 | | | | | | 623 | |
|
America Movil S.A.B. de C.V. | |
6.125% due 03/30/2040 | | | | | 555 | | | | | | 665 | |
|
American Tower Corp. | |
4.500% due 01/15/2018 | | | | | 770 | | | | | | 840 | |
|
Amgen, Inc. | |
3.450% due 10/01/2020 | | | | | 870 | | | | | | 911 | |
3.625% due 05/22/2024 | | | | | 500 | | | | | | 505 | |
6.150% due 06/01/2018 | | | | | 200 | | | | | | 232 | |
|
Anadarko Petroleum Corp. | |
6.375% due 09/15/2017 | | | | | 800 | | | | | | 922 | |
| | | | | | |
| 60 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Anglo American Capital PLC | |
2.625% due 09/27/2017 | | $ | | | 625 | | | $ | | | 641 | |
|
Anheuser-Busch Cos. LLC | |
5.500% due 01/15/2018 | | | | | 500 | | | | | | 569 | |
|
Anheuser-Busch InBev Worldwide, Inc. | |
7.750% due 01/15/2019 | | | | | 825 | | | | | | 1,020 | |
|
Barrick PD Australia Finance Pty. Ltd. | |
4.950% due 01/15/2020 | | | | | 800 | | | | | | 880 | |
|
BHP Billiton Finance USA Ltd. | |
6.500% due 04/01/2019 | | | | | 575 | | | | | | 693 | |
|
Boeing Co. | |
3.500% due 02/15/2015 | | | | | 475 | | | | | | 484 | |
|
Boston Scientific Corp. | |
2.650% due 10/01/2018 | | | | | 1,100 | | | | | | 1,125 | |
|
Bunge Ltd. Finance Corp. | |
4.100% due 03/15/2016 | | | | | 500 | | | | | | 525 | |
|
Burlington Northern Santa Fe LLC | |
5.400% due 06/01/2041 | | | | | 715 | | | | | | 823 | |
|
Caterpillar, Inc. | |
3.803% due 08/15/2042 | | | | | 1,003 | | | | | | 929 | |
|
Cenovus Energy, Inc. | |
6.750% due 11/15/2039 | | | | | 260 | | | | | | 339 | |
|
CenterPoint Energy Resources Corp. | |
4.500% due 01/15/2021 | | | | | 605 | | | | | | 665 | |
|
China Resources Gas Group Ltd. | |
4.500% due 04/05/2022 | | | | | 1,000 | | | | | | 1,041 | |
|
Cigna Corp. | |
5.375% due 02/15/2042 | | | | | 500 | | | | | | 572 | |
|
Cisco Systems, Inc. | |
4.450% due 01/15/2020 | | | | | 270 | | | | | | 299 | |
|
CNOOC Finance Ltd. | |
3.875% due 05/02/2022 | | | | | 1,875 | | | | | | 1,913 | |
|
Coca-Cola Co. | |
1.650% due 03/14/2018 | | | | | 250 | | | | | | 253 | |
|
Coca-Cola Enterprises, Inc. | |
2.000% due 08/19/2016 | | | | | 830 | | | | | | 850 | |
|
Comcast Corp. | |
6.950% due 08/15/2037 | | | | | 800 | | | | | | 1,080 | |
|
Continental Resources, Inc. | |
4.500% due 04/15/2023 | | | | | 1,000 | | | | | | 1,070 | |
|
Corning, Inc. | |
5.750% due 08/15/2040 | | | | | 285 | | | | | | 344 | |
|
Corp. Nacional del Cobre de Chile | |
3.000% due 07/17/2022 | | | | | 625 | | | | | | 608 | |
|
COX Communications, Inc. | |
3.250% due 12/15/2022 | | | | | 575 | | | | | | 564 | |
|
CSX Corp. | |
6.220% due 04/30/2040 | | | | | 275 | | | | | | 346 | |
|
CVS Caremark Corp. | |
6.125% due 09/15/2039 | | | | | 425 | | | | | | 530 | |
|
Deutsche Telekom International Finance BV | |
3.125% due 04/11/2016 | | | | | 250 | | | | | | 260 | |
|
Devon Energy Corp. | |
3.250% due 05/15/2022 | | | | | 975 | | | | | | 983 | |
|
Diageo Capital PLC | |
5.875% due 09/30/2036 | | | | | 1,000 | | | | | | 1,213 | |
|
DIRECTV Holdings LLC | |
3.125% due 02/15/2016 | | | | | 900 | | | | | | 933 | |
|
Discovery Communications LLC | |
5.050% due 06/01/2020 | | | | | 250 | | | | | | 281 | |
|
Dow Chemical Co. | |
5.250% due 11/15/2041 | | | | | 650 | | | | | | 709 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Eli Lilly & Co. | |
5.950% due 11/15/2037 | | $ | | | 530 | | | $ | | | 662 | |
|
Encana Corp. | |
5.150% due 11/15/2041 | | | | | 630 | | | | | | 688 | |
|
Energy Transfer Partners LP | |
4.650% due 06/01/2021 | | | | | 600 | | | | | | 650 | |
|
Ensco PLC | |
4.700% due 03/15/2021 | | | | | 540 | | | | | | 589 | |
|
Enterprise Products Operating LLC | |
5.200% due 09/01/2020 | | | | | 725 | | | | | | 829 | |
|
Exxon Mobil Corp. | |
3.176% due 03/15/2024 | | | | | 1,000 | | | | | | 1,021 | |
|
Freeport-McMoRan Copper & Gold, Inc. | |
3.550% due 03/01/2022 | | | | | 775 | | | | | | 768 | |
|
Fresnillo PLC | |
5.500% due 11/13/2023 | | | | | 500 | | | | | | 525 | |
|
Gilead Sciences, Inc. | |
4.400% due 12/01/2021 | | | | | 825 | | | | | | 907 | |
|
GlaxoSmithKline Capital, Inc. | |
2.800% due 03/18/2023 | | | | | 1,125 | | | | | | 1,096 | |
|
Glencore Finance Canada Ltd. | |
4.250% due 10/25/2022 | | | | | 500 | | | | | | 507 | |
|
GTL Trade Finance, Inc. | |
5.893% due 04/29/2024 | | | | | 1,000 | | | | | | 1,052 | |
|
Hewlett-Packard Co. | |
2.125% due 09/13/2015 | | | | | 1,360 | | | | | | 1,384 | |
|
Home Depot, Inc. | |
5.400% due 03/01/2016 | | | | | 955 | | | | | | 1,031 | |
|
Hutchison Whampoa International Ltd. | |
7.450% due 11/24/2033 | | | | | 600 | | | | | | 844 | |
|
Imperial Tobacco Finance PLC | |
3.500% due 02/11/2023 | | | | | 750 | | | | | | 744 | |
|
International Business Machines Corp. | |
4.000% due 06/20/2042 | | | | | 692 | | | | | | 667 | |
5.600% due 11/30/2039 | | | | | 29 | | | | | | 35 | |
|
International Paper Co. | |
7.500% due 08/15/2021 | | | | | 655 | | | | | | 835 | |
|
Johnson & Johnson | |
5.550% due 08/15/2017 | | | | | 625 | | | | | | 712 | |
|
KazMunayGas National Co. JSC | |
7.000% due 05/05/2020 | | | | | 1,125 | | | | | | 1,285 | |
|
Kinder Morgan Energy Partners LP | |
5.300% due 09/15/2020 | | | | | 810 | | | | | | 910 | |
|
Kraft Foods Group, Inc. | |
6.125% due 08/23/2018 | | | | | 625 | | | | | | 726 | |
|
Kroger Co. | |
6.150% due 01/15/2020 | | | | | 700 | | | | | | 823 | |
|
L-3 Communications Corp. | |
4.750% due 07/15/2020 | | | | | 630 | | | | | | 691 | |
|
Lockheed Martin Corp. | |
4.250% due 11/15/2019 | | | | | 785 | | | | | | 867 | |
|
Lowe’s Cos., Inc. | |
4.650% due 04/15/2042 | | | | | 1,000 | | | | | | 1,052 | |
|
Marriott International, Inc. | |
6.200% due 06/15/2016 | | | | | 100 | | | | | | 110 | |
|
Medtronic, Inc. | |
4.450% due 03/15/2020 | | | | | 250 | | | | | | 277 | |
|
Merck Sharp & Dohme Corp. | |
5.000% due 06/30/2019 | | | | | 960 | | | | | | 1,093 | |
|
Microsoft Corp. | |
1.625% due 09/25/2015 | | | | | 660 | | | | | | 671 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Mondelez International, Inc. | |
4.125% due 02/09/2016 | | $ | | | 100 | | | $ | | | 105 | |
6.500% due 02/09/2040 | | | | | 312 | | | | | | 400 | |
|
Mylan, Inc. | |
3.125% due 01/15/2023 | | | | | 1,100 | | | | | | 1,059 | |
|
Noble Holding International Ltd. | |
4.900% due 08/01/2020 | | | | | 100 | | | | | | 110 | |
|
Norfolk Southern Corp. | |
3.250% due 12/01/2021 | | | | | 100 | | | | | | 103 | |
|
Novartis Capital Corp. | |
2.900% due 04/24/2015 | | | | | 160 | | | | | | 163 | |
|
ONEOK Partners LP | |
3.200% due 09/15/2018 | | | | | 500 | | | | | | 522 | |
5.000% due 09/15/2023 | | | | | 250 | | | | | | 276 | |
|
Oracle Corp. | |
3.750% due 07/08/2014 | | | | | 815 | | | | | | 815 | |
5.375% due 07/15/2040 | | | | | 800 | | | | | | 911 | |
|
PepsiCo, Inc. | |
1.250% due 08/13/2017 | | | | | 250 | | | | | | 251 | |
3.100% due 01/15/2015 | | | | | 300 | | | | | | 305 | |
5.500% due 01/15/2040 | | | | | 500 | | | | | | 588 | |
|
Petrobras International Finance Co. | |
5.750% due 01/20/2020 | | | | | 600 | | | | | | 643 | |
6.875% due 01/20/2040 | | | | | 645 | | | | | | 682 | |
|
Pfizer, Inc. | |
6.200% due 03/15/2019 | | | | | 1,450 | | | | | | 1,723 | |
|
Philip Morris International, Inc. | |
3.600% due 11/15/2023 | | | | | 850 | | | | | | 880 | |
5.650% due 05/16/2018 | | | | | 325 | | | | | | 373 | |
|
Pioneer Natural Resources Co. | |
6.875% due 05/01/2018 | | | | | 200 | | | | | | 237 | |
7.500% due 01/15/2020 | | | | | 700 | | | | | | 865 | |
|
Procter & Gamble Co. | |
3.500% due 02/15/2015 | | | | | 1,030 | | | | | | 1,050 | |
|
Republic Services, Inc. | |
5.250% due 11/15/2021 | | | | | 320 | | | | | | 365 | |
|
Reynolds American, Inc. | |
4.850% due 09/15/2023 | | | | | 625 | | | | | | 671 | |
|
Rio Tinto Finance USA Ltd. | |
3.750% due 09/20/2021 | | | | | 275 | | | | | | 290 | |
|
Roche Holdings, Inc. | |
6.000% due 03/01/2019 | | | | | 688 | | | | | | 809 | |
|
Rogers Communications, Inc. | |
6.800% due 08/15/2018 | | | | | 805 | | | | | | 957 | |
|
SABMiller Holdings, Inc. | |
1.850% due 01/15/2015 | | | | | 650 | | | | | | 655 | |
|
Southern Copper Corp. | |
6.750% due 04/16/2040 | | | | | 775 | | | | | | 850 | |
|
Southwestern Energy Co. | |
4.100% due 03/15/2022 | | | | | 850 | | | | | | 902 | |
|
Statoil ASA | |
3.125% due 08/17/2017 | | | | | 300 | | | | | | 318 | |
|
Target Corp. | |
3.875% due 07/15/2020 | | | | | 250 | | | | | | 270 | |
|
Teck Resources Ltd. | |
4.750% due 01/15/2022 | | | | | 900 | | | | | | 945 | |
|
Telefonica Emisiones S.A.U. | |
3.729% due 04/27/2015 | | | | | 200 | | | | | | 205 | |
5.462% due 02/16/2021 | | | | | 725 | | | | | | 824 | |
|
Thermo Fisher Scientific, Inc. | |
3.150% due 01/15/2023 | | | | | 1,100 | | | | | | 1,088 | |
|
Time Warner Cable, Inc. | |
5.000% due 02/01/2020 | | | | | 500 | | | | | | 561 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 61 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
5.875% due 11/15/2040 | | $ | | | 600 | | | $ | | | 701 | |
8.750% due 02/14/2019 | | | | | 250 | | | | | | 320 | |
|
Time Warner, Inc. | |
3.400% due 06/15/2022 | | | | | 500 | | | | | | 507 | |
4.750% due 03/29/2021 | | | | | 1,100 | | | | | | 1,221 | |
|
Total Capital S.A. | |
3.000% due 06/24/2015 | | | | | 805 | | | | | | 826 | |
|
TransCanada PipeLines Ltd. | |
3.800% due 10/01/2020 | | | | | 915 | | | | | | 986 | |
|
Transocean, Inc. | |
4.950% due 11/15/2015 | | | | | 300 | | | | | | 316 | |
6.500% due 11/15/2020 | | | | | 780 | | | | | | 903 | |
|
Union Pacific Corp. | |
4.750% due 09/15/2041 | | | | | 775 | | | | | | 846 | |
|
United Technologies Corp. | |
3.100% due 06/01/2022 | | | | | 575 | | | | | | 583 | |
|
UnitedHealth Group, Inc. | |
6.875% due 02/15/2038 | | | | | 465 | | | | | | 631 | |
|
Vale Overseas Ltd. | |
4.375% due 01/11/2022 | | | | | 250 | | | | | | 258 | |
6.875% due 11/21/2036 | | | | | 715 | | | | | | 794 | |
|
Viacom, Inc. | |
4.250% due 09/01/2023 | | | | | 1,700 | | | | | | 1,786 | |
|
Wal-Mart Stores, Inc. | |
2.250% due 07/08/2015 | | | | | 100 | | | | | | 102 | |
5.375% due 04/05/2017 | | | | | 480 | | | | | | 538 | |
5.625% due 04/15/2041 | | | | | 100 | | | | | | 121 | |
6.200% due 04/15/2038 | | | | | 1,025 | | | | | | 1,314 | |
|
Walgreen Co. | |
1.800% due 09/15/2017 | | | | | 575 | | | | | | 581 | |
|
Walt Disney Co. | |
0.875% due 12/01/2014 | | | | | 625 | | | | | | 627 | |
|
Weatherford International Ltd. | |
5.125% due 09/15/2020 | | | | | 730 | | | | | | 819 | |
|
WellPoint, Inc. | |
3.125% due 05/15/2022 | | | | | 575 | | | | | | 575 | |
|
Whirlpool Corp. | |
3.700% due 03/01/2023 | | | | | 250 | | | | | | 253 | |
5.150% due 03/01/2043 | | | | | 300 | | | | | | 320 | |
|
Williams Partners LP | |
4.300% due 03/04/2024 | | | | | 500 | | | | | | 522 | |
5.400% due 03/04/2044 | | | | | 500 | | | | | | 538 | |
|
WPP Finance U.K. | |
8.000% due 09/15/2014 | | | | | 210 | | | | | | 213 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 92,888 | |
| | | | | | | | | | | | |
| |
UTILITIES 16.5% | |
|
American Water Capital Corp. | |
3.850% due 03/01/2024 | | | | | 1,000 | | | | | | 1,034 | |
|
Appalachian Power Co. | |
7.000% due 04/01/2038 | | | | | 700 | | | | | | 955 | |
|
AT&T, Inc. | |
2.500% due 08/15/2015 | | | | | 110 | | | | | | 112 | |
6.300% due 01/15/2038 | | | | | 1,275 | | | | | | 1,546 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Atmos Energy Corp. | |
4.150% due 01/15/2043 | | $ | | | 450 | | | $ | | | 448 | |
|
Berkshire Hathaway Energy Co. | |
6.125% due 04/01/2036 | | | | | 490 | | | | | | 609 | |
|
BG Energy Capital PLC | |
5.125% due 10/15/2041 | | | | | 815 | | | | | | 903 | |
|
BP Capital Markets PLC | |
3.245% due 05/06/2022 | | | | | 725 | | | | | | 735 | |
4.500% due 10/01/2020 | | | | | 300 | | | | | | 332 | |
|
Commonwealth Edison Co. | |
4.000% due 08/01/2020 | | | | | 870 | | | | | | 940 | |
|
Consumers Energy Co. | |
2.850% due 05/15/2022 | | | | | 600 | | | | | | 601 | |
|
Dominion Resources, Inc. | |
4.450% due 03/15/2021 | | | | | 1,020 | | | | | | 1,122 | |
|
Duke Energy Corp. | |
3.950% due 10/15/2023 | | | | | 1,000 | | | | | | 1,053 | |
|
E.ON International Finance BV | |
5.800% due 04/30/2018 | | | | | 745 | | | | | | 851 | |
|
Electricite de France | |
4.600% due 01/27/2020 | | | | | 300 | | | | | | 334 | |
4.875% due 01/22/2044 | | | | | 1,000 | | | | | | 1,068 | |
|
Enel Finance International NV | |
6.250% due 09/15/2017 | | | | | 340 | | | | | | 388 | |
|
Entergy Corp. | |
5.125% due 09/15/2020 | | | | | 300 | | | | | | 333 | |
|
Exelon Generation Co. LLC | |
6.200% due 10/01/2017 | | | | | 100 | | | | | | 114 | |
|
FirstEnergy Corp. | |
7.375% due 11/15/2031 | | | | | 410 | | | | | | 485 | |
|
Florida Power & Light Co. | |
4.125% due 02/01/2042 | | | | | 600 | | | | | | 604 | |
|
Gazprom OAO Via Gaz Capital S.A. | |
4.950% due 02/06/2028 | | | | | 500 | | | | | | 471 | |
5.092% due 11/29/2015 | | | | | 780 | | | | | | 817 | |
|
Kentucky Utilities Co. | |
5.125% due 11/01/2040 | | | | | 1,000 | | | | | | 1,158 | |
|
Pacific Gas & Electric Co. | |
3.500% due 10/01/2020 | | | | | 330 | | | | | | 348 | |
5.800% due 03/01/2037 | | | | | 855 | | | | | | 1,033 | |
|
Pemex Project Funding Master Trust | |
5.750% due 03/01/2018 | | | | | 670 | | | | | | 757 | |
|
Pennsylvania Electric Co. | |
5.200% due 04/01/2020 | | | | | 70 | | | | | | 78 | |
|
Petroleos Mexicanos | |
4.875% due 01/24/2022 | | | | | 575 | | | | | | 624 | |
|
Plains All American Pipeline LP | |
5.150% due 06/01/2042 | | | | | 700 | | | | | | 761 | |
|
Progress Energy, Inc. | |
4.400% due 01/15/2021 | | | | | 705 | | | | | | 773 | |
|
Rosneft Finance S.A. | |
7.500% due 07/18/2016 | | | | | 850 | | | | | | 934 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Sempra Energy | |
2.300% due 04/01/2017 | | $ | | | 625 | | | $ | | | 642 | |
|
Shell International Finance BV | |
3.100% due 06/28/2015 | | | | | 495 | | | | | | 509 | |
4.375% due 03/25/2020 | | | | | 230 | | | | | | 256 | |
6.375% due 12/15/2038 | | | | | 450 | | | | | | 594 | |
|
Sinopec Group Overseas Development Ltd. | |
4.375% due 04/10/2024 | | | | | 1,000 | | | | | | 1,037 | |
|
Southern California Edison Co. | |
3.875% due 06/01/2021 | | | | | 650 | | | | | | 703 | |
|
Southern Power Co. | |
5.150% due 09/15/2041 | | | | | 465 | | | | | | 517 | |
|
Southwestern Public Service Co. | |
6.000% due 10/01/2036 | | | | | 500 | | | | | | 616 | |
|
Verizon Communications, Inc. | |
2.450% due 11/01/2022 | | | | | 975 | | | | | | 916 | |
3.850% due 11/01/2042 | | | | | 1,100 | | | | | | 979 | |
5.150% due 09/15/2023 | | | | | 1,100 | | | | | | 1,233 | |
6.400% due 09/15/2033 | | | | | 1,050 | | | | | | 1,288 | |
6.400% due 02/15/2038 | | | | | 50 | | | | | | 61 | |
7.350% due 04/01/2039 | | | | | 129 | | | | | | 173 | |
8.750% due 11/01/2018 | | | | | 41 | | | | | | 52 | |
|
Vodafone Group PLC | |
2.500% due 09/26/2022 | | | | | 700 | | | | | | 658 | |
4.375% due 03/16/2021 | | | | | 210 | | | | | | 229 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,784 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $188,992) | | | | | | | | | | | 196,694 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 0.1% | |
|
U.S. Treasury Notes | |
0.250% due 02/28/2015 | | | | | 100 | | | | | | 100 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $100) | | | | | | | | | | | 100 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 0.3% | |
| |
REPURCHASE AGREEMENTS (b) 0.3% | |
| | | | | | | | | | | 521 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $521) | | | | | | | | | | | 521 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $189,613) | | | | | | | | | | | 197,315 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.1%
(Cost $189,613) | | | | | | | | $ | | | 197,315 | |
| |
Other Assets and Liabilities, net 0.9% | | | 1,881 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 199,196 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
| | | | | | |
| 62 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 521 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (534 | ) | | $ | 521 | | | $ | 521 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (534 | ) | | $ | 521 | | | $ | 521 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 521 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 521 | | | $ | (534 | ) | | $ | (13 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 521 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, 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 Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded or centrally cleared | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 385 | | | $ | 385 | |
Swap Agreements | | | | | 0 | | | | 210 | | | | 0 | | | | 0 | | | | 0 | | | | 210 | |
| | | | $ | 0 | | | $ | 210 | | | $ | 0 | | | $ | 0 | | | $ | 385 | | | $ | 595 | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 0 | | | $ | 71,022 | | | $ | 0 | | | $ | 71,022 | |
Industrials | | | | | 0 | | | | 92,888 | | | | 0 | | | | 92,888 | |
Utilities | | | | | 0 | | | | 32,784 | | | | 0 | | | | 32,784 | |
U.S. Treasury Obligations | | | | | 0 | | | | 100 | | | | 0 | | | | 100 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 521 | | | | 0 | | | | 521 | |
Total Investments | | | | $ | 0 | | | $ | 197,315 | | | $ | 0 | | | $ | 197,315 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 63 |
Schedule of Investments PIMCO Australia Bond Index Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.5% | |
| |
AUSTRALIA 66.9% | |
| |
CORPORATE BONDS & NOTES 14.4% | |
|
National Australia Bank Ltd. | |
7.250% due 03/07/2018 | | AUD | | | 790 | | | $ | | | 838 | |
|
Suncorp-Metway Ltd. | |
4.000% due 11/09/2018 | | | | | 200 | | | | | | 191 | |
|
Telstra Corp. Ltd. | |
6.250% due 04/15/2015 | | | | | 1,000 | | | | | | 967 | |
|
Wesfarmers Ltd. | |
4.750% due 03/12/2020 | | | | | 300 | | | | | | 291 | |
|
Westpac Banking Corp. | |
6.500% due 11/09/2015 | | | | | 500 | | | | | | 493 | |
|
Woolworths Ltd. | |
6.000% due 03/21/2019 | | | | | 500 | | | | | | 515 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,295 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 52.5% | |
|
Australia Government Bond | |
4.250% due 07/21/2017 | | | | | 470 | | | | | | 463 | |
4.500% due 04/21/2033 | | | | | 337 | | | | | | 337 | |
5.500% due 01/21/2018 | | | | | 720 | | | | | | 741 | |
5.500% due 04/21/2023 | | | | | 640 | | | | | | 697 | |
5.750% due 05/15/2021 | | | | | 900 | | | | | | 979 | |
6.000% due 02/15/2017 | | | | | 300 | | | | | | 307 | |
|
Australian Postal Corp. | |
5.000% due 11/13/2020 | | | | | 500 | | | | | | 493 | |
|
New South Wales Treasury Corp. | |
3.500% due 03/20/2019 | | | | | 820 | | | | | | 785 | |
5.000% due 08/20/2024 | | | | | 400 | | | | | | 413 | |
6.000% due 02/01/2018 | | | | | 1,810 | | | | | | 1,883 | |
6.000% due 03/01/2022 | | | | | 200 | | | | | | 218 | |
|
Northern Territory Treasury Corp. | |
6.250% due 10/20/2015 | | | | | 500 | | | | | | 493 | |
|
Queensland Treasury Corp. | |
4.250% due 07/21/2023 | | | | | 820 | | | | | | 793 | |
5.500% due 06/21/2021 | | | | | 860 | | | | | | 904 | |
|
South Australian Government Financing Authority | |
5.750% due 09/20/2017 | | | | | 590 | | | | | | 604 | |
|
Treasury Corp. of Victoria | |
5.500% due 11/15/2018 | | | | | 420 | | | | | | 435 | |
5.500% due 12/17/2024 | | | | | 820 | | | | | | 879 | |
|
Western Australia Treasury Corp. | |
7.000% due 10/15/2019 | | | | | 570 | | | | | | 633 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,057 | |
| | | | | | | | | | | | |
Total Australia
(Cost $15,416) | | | | | | | | | | | 15,352 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
CANADA 1.9% | |
| |
SOVEREIGN ISSUES 1.9% | |
|
Province of Ontario | |
6.250% due 09/29/2020 | | AUD | | | 420 | | | $ | | | 444 | |
| | | | | | | | | | | | |
Total Canada
(Cost $481) | | | | | | | | | | | 444 | |
| | | | | | | | | | | | |
| |
GERMANY 4.7% | |
| |
CORPORATE BONDS & NOTES 4.7% | |
|
KFW | |
5.500% due 02/09/2022 | | AUD | | | 630 | | | | | | 654 | |
6.000% due 08/20/2020 | | | | | 400 | | | | | | 424 | |
| | | | | | | | | | | | |
Total Germany
(Cost $1,095) | | | | | | | | | | | 1,078 | |
| | | | | | | | | | | | |
| |
NETHERLANDS 2.1% | |
| |
CORPORATE BONDS & NOTES 2.1% | |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | |
6.500% due 04/20/2015 | | AUD | | | 500 | | | | | | 485 | |
| | | | | | | | | | | | |
Total Netherlands
(Cost $534) | | | | | | 485 | |
| | | | | | | | | | | | |
| |
NORWAY 1.3% | |
| |
SOVEREIGN ISSUES 1.3% | |
| | | | |
Kommunalbanken A/S | | | | | | | | | | | | |
6.500% due 04/12/2021 | | AUD | | | 280 | | | | | | 303 | |
| | | | | | | | | | | | |
Total Norway
(Cost $328) | | | | | | | | | | | 303 | |
| | | | | | | | | | | | |
| |
SUPRANATIONAL 13.3% | |
| |
CORPORATE BONDS & NOTES 13.3% | |
|
African Development Bank | |
5.750% due 01/25/2016 | | AUD | | | 500 | | | | | | 492 | |
|
Council of Europe Development Bank | |
5.750% due 09/16/2014 | | | | | 90 | | | | | | 86 | |
6.000% due 10/08/2020 | | | | | 580 | | | | | | 609 | |
|
European Investment Bank | |
6.250% due 04/15/2015 | | | | | 100 | | | | | | 97 | |
6.250% due 06/08/2021 | | | | | 500 | | | | | | 540 | |
6.500% due 08/07/2019 | | | | | 610 | | | | | | 655 | |
|
Nordic Investment Bank | |
5.000% due 04/19/2022 | | | | | 560 | | | | | | 564 | |
| | | | | | | | | | | | |
Total Supranational
(Cost $3,049) | | | | | | | | | | | 3,043 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
SWEDEN 2.1% | |
| |
CORPORATE BONDS & NOTES 2.1% | |
|
Stadshypotek AB | |
4.250% due 10/10/2017 | | AUD | | | 500 | | | $ | | | 481 | |
| | | | | | | | | | | | |
Total Sweden
(Cost $521) | | | | | | | | | | | 481 | |
| | | | | | | | | | | | |
| |
UNITED KINGDOM 2.9% | |
| |
CORPORATE BONDS & NOTES 2.9% | |
|
HSBC Bank PLC | |
6.750% due 03/12/2015 | | AUD | | | 700 | | | | | | 676 | |
| | | | | | | | | | | | |
Total United Kingdom
(Cost $714) | | | | | | | | | | | 676 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 4.3% | |
| |
CERTIFICATES OF DEPOSIT 4.3% | |
|
Australia & New Zealand Banking Group Ltd. | |
6.750% due 05/09/2016 | | AUD | | | 500 | | | | | | 502 | |
|
Commonwealth Bank of Australia | |
6.500% due 07/21/2015 | | | | | 500 | | | | | | 489 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 991 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $1,075) | | | | | | | | | | | 991 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $23,213) | | | | | | | | | 22,853 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.5%
(Cost $23,213) | | | | | | | | $ | | | 22,853 | |
| |
Other Assets and Liabilities, net 0.5% | | | | | | 115 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 22,968 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
WRITTEN OPTIONS:
AS OF JUNE 30, 2014 THERE WERE NO OPEN WRITTEN OPTIONS. TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED JUNE 30, 2014:
| | | | | | | | | | |
| | | | | Notional
Amount in EUR | | | Premiums | |
Balance at Beginning of Period | | | | EUR | 0 | | | $ | 0 | |
Sales | | | | | 300 | | | | (1 | ) |
Closing Buys | | | | | (300 | ) | | | 1 | |
Expirations | | | | | 0 | | | | 0 | |
Exercised | | | | | 0 | | | | 0 | |
Balance at End of Period | | | | EUR | 0 | | | $ | 0 | |
| | | | | | |
| 64 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 116 | | | $ | 0 | | | $ | 116 | |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Australia | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | $ | 0 | | | $ | 3,295 | | | $ | 0 | | | $ | 3,295 | |
Sovereign Issues | | | | | 0 | | | | 12,057 | | | | 0 | | | | 12,057 | |
Canada | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 444 | | | | 0 | | | | 444 | |
Germany | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 1,078 | | | | 0 | | | | 1,078 | |
Netherlands | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 485 | | | | 0 | | | | 485 | |
Norway | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 303 | | | | 0 | | | | 303 | |
Supranational | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 3,043 | | | | 0 | | | | 3,043 | |
Sweden | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 481 | | | | 0 | | | | 481 | |
United Kingdom | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 676 | | | | 0 | | | | 676 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 0 | | | | 991 | | | | 0 | | | | 991 | |
Total Investments | | | | $ | 0 | | | $ | 22,853 | | | $ | 0 | | | $ | 22,853 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 65 |
Schedule of Investments PIMCO Canada Bond Index Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 96.8% | |
| |
CANADA 96.8% | |
| |
SOVEREIGN ISSUES 96.8% | |
|
Alberta Capital Finance Authority | |
4.650% due 06/15/2017 | | CAD | | | 385 | | | $ | | | 394 | |
|
Canada Government International Bond | |
1.500% due 06/01/2023 | | | | | 270 | | | | | | 240 | |
2.000% due 12/01/2041 (a) | | | | | 236 | | | | | | 289 | |
3.500% due 12/01/2045 | | | | | 60 | | | | | | 65 | |
4.000% due 06/01/2041 | | | | | 210 | | | | | | 242 | |
5.750% due 06/01/2033 | | | | | 130 | | | | | | 177 | |
|
Canada Housing Trust | |
1.850% due 12/15/2016 | | | | | 240 | | | | | | 228 | |
2.050% due 06/15/2017 | | | | | 350 | | | | | | 334 | |
2.750% due 06/15/2016 | | | | | 960 | | | | | | 926 | |
|
Canada Post Corp. | |
4.080% due 07/16/2025 | | | | | 200 | | | | | | 211 | |
|
City of Montreal Canada | |
5.450% due 12/01/2019 | | | | | 665 | | | | | | 720 | |
|
City of Toronto Canada | |
4.500% due 12/02/2019 | | | | | 710 | | | | | | 739 | |
|
Financement-Quebec | |
2.400% due 12/01/2018 | | | | | 290 | | | | | | 277 | |
3.500% due 12/01/2016 | | | | | 270 | | | | | | 266 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Hydro-Quebec | |
5.000% due 02/15/2045 | | CAD | | | 700 | | | $ | | | 803 | |
6.000% due 02/15/2040 | | | | | 170 | | | | | | 217 | |
|
Muskrat Falls / Labrador Transmission Assets Funding Trust | |
3.630% due 06/01/2029 | | | | | 570 | | | | | | 572 | |
|
Province of Alberta | |
2.750% due 12/01/2014 | | | | | 65 | | | | | | 61 | |
4.000% due 12/01/2019 | | | | | 350 | | | | | | 362 | |
|
Province of British Columbia | |
4.100% due 12/18/2019 | | | | | 440 | | | | | | 457 | |
4.300% due 06/18/2042 | | | | | 360 | | | | | | 382 | |
|
Province of Manitoba | |
4.400% due 09/05/2025 | | | | | 780 | | | | | | 819 | |
|
Province of New Brunswick | |
4.500% due 06/02/2020 | | | | | 780 | | | | | | 820 | |
|
Province of Newfoundland | |
4.650% due 10/17/2040 | | | | | 595 | | | | | | 642 | |
|
Province of Nova Scotia | |
4.100% due 06/01/2021 | | | | | 500 | | | | | | 516 | |
4.400% due 06/01/2042 | | | | | 310 | | | | | | 325 | |
|
Province of Ontario | |
3.150% due 06/02/2022 | | | | | 400 | | | | | | 386 | |
3.500% due 06/02/2043 | | | | | 80 | | | | | | 72 | |
4.000% due 06/02/2021 | | | | | 450 | | | | | | 461 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
4.650% due 06/02/2041 | | CAD | | | 510 | | | $ | | | 553 | |
5.850% due 03/08/2033 | | | | | 1,065 | | | | | | 1,299 | |
6.500% due 03/08/2029 | | | | | 150 | | | | | | 190 | |
|
Province of Quebec | |
3.000% due 09/01/2023 | | | | | 290 | | | | | | 272 | |
3.500% due 12/01/2022 | | | | | 990 | | | | | | 974 | |
5.000% due 12/01/2041 | | | | | 270 | | | | | | 305 | |
6.250% due 06/01/2032 | | | | | 130 | | | | | | 164 | |
|
Province of Saskatchewan | |
5.800% due 09/05/2033 | | | | | 575 | | | | | | 714 | |
|
Regional Municipality of Peel Ontario | |
5.100% due 06/29/2040 | | | | | 300 | | | | | | 333 | |
|
Regional Municipality of York | |
4.000% due 06/30/2021 | | | | | 410 | | | | | | 416 | |
| | | | | | | | | | | | |
Total Canada
(Cost $18,229) | | | | | | | | | | | 17,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $18,229) | | | 17,223 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 96.8%
(Cost $18,229) | | | $ | | | 17,223 | |
| | | | | | | | | | | | |
Financial Derivative
Instruments (b) 0% (Cost or Premiums, net $0) | | | 0 | |
| |
Other Assets and Liabilities, net 3.2% | | | 563 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 17,786 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Principal amount of security is adjusted for inflation. |
(b) 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 | |
BRC | | | | | 09/2014 | | | | $ | | | | 5 | | | | CAD | | | | 5 | | | $ | 0 | | | $ | 0 | |
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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| Counterparty | | | | Forward
Foreign
Currency
Contracts | | | Purchased
Options | | | Swap
Agree
ments | | | Total
Over
the
Counter | | | | | Forward
Foreign
Currency
Contracts | | | Written
Options | | | Swap
Agree
ments | | | Total
Over
the
Counter | | | Net
Market
Value of
OTC
Derivatives | | | Colla
teral
(Rece
ived)/
Pledged | | | Net
Exposure (1) | |
BRC | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
Total Over
the Counter | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (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 7, Principal Risks, 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 Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
| | | | | | |
| 66 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | $ | 1 | | | $ | 1 | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (19 | ) | | $ | 0 | | | $ | (19 | ) |
| | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (19 | ) | | $ | 1 | | | $ | (18 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Canada | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | $ | 0 | | | $ | 17,223 | | | $ | 0 | | | $ | 17,223 | |
Total Investments | | | | $ | 0 | | | $ | 17,223 | | | $ | 0 | | | $ | 17,223 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
Totals | | | | $ | 0 | | | $ | 17,223 | | | $ | 0 | | | $ | 17,223 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 67 |
Schedule of Investments PIMCO Germany Bond Index Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 98.5% | |
| |
FRANCE 4.4% | |
| |
SOVEREIGN ISSUES 4.4% | |
|
Caisse d’Amortissement de la Dette Sociale | |
2.500% due 10/25/2022 | | EUR | | | 30 | | | $ | | | 45 | |
3.750% due 10/25/2020 | | | | | 60 | | | | | | 97 | |
| | | | | | | | | | | | |
Total France
(Cost $132) | | | | | | 142 | |
| | | | | | | | | | | | |
| |
GERMANY 75.3% | |
| |
CORPORATE BONDS & NOTES 38.1% | |
|
Bayerische Landesbank | |
3.375% due 09/04/2017 | | | | | 80 | | | | | | 120 | |
|
Continental AG | |
3.000% due 07/16/2018 | | | | | 30 | | | | | | 44 | |
|
Deutsche Bank AG | |
5.125% due 08/31/2017 | | | | | 50 | | | | | | 78 | |
|
EnBW Energie Baden-Wuerttemberg AG | |
7.375% due 04/02/2072 | | | | | 30 | | | | | | 46 | |
|
Erste Abwicklungsanstalt | |
0.635% due 08/15/2016 | | | | | 100 | | | | | | 138 | |
|
Eurogrid GmbH | |
3.875% due 10/22/2020 | | | | | 50 | | | | | | 78 | |
|
Evonik Industries AG | |
7.000% due 10/14/2014 | | | | | 20 | | | | | | 28 | |
|
Hella KGaA Hueck & Co. | |
2.375% due 01/24/2020 | | | | | 25 | | | | | | 36 | |
|
K+S AG | |
5.000% due 09/24/2014 | | | | | 10 | | | | | | 14 | |
|
KFW | |
2.500% due 01/17/2022 | | | | | 140 | | | | | | 213 | |
|
Merck Financial Services GmbH | |
3.375% due 03/24/2015 | | | | | 30 | | | | | | 42 | |
|
Metro AG | |
7.625% due 03/05/2015 | | | | | 10 | | | | | | 14 | |
|
Muenchener Rueckversicherungs AG | |
5.767% due 06/12/2017 (a) | | | | | 50 | | | | | | 75 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Norddeutsche Landesbank Girozentrale | |
1.625% due 07/17/2017 | | EUR | | | 100 | | | $ | | | 142 | |
|
NRW Bank | |
3.875% due 01/27/2020 | | | | | 10 | | | | | | 16 | |
|
UniCredit Bank AG | |
2.625% due 05/31/2017 | | | | | 80 | | | | | | 117 | |
|
Voith GmbH | |
5.375% due 06/21/2017 | | | | | 20 | | | | | | 31 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,232 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 37.2% | |
|
Republic of Germany | |
1.500% due 09/04/2022 | | | | | 60 | | | | | | 86 | |
1.500% due 05/15/2023 | | | | | 60 | | | | | | 85 | |
1.750% due 07/04/2022 | | | | | 115 | | | | | | 168 | |
1.875% due 10/01/2015 | | | | | 30 | | | | | | 42 | |
3.500% due 10/07/2019 | | | | | 60 | | | | | | 94 | |
5.625% due 01/04/2028 | | | | | 20 | | | | | | 40 | |
6.250% due 01/04/2024 | | | | | 48 | | | | | | 96 | |
|
State of Berlin | |
3.750% due 03/23/2015 | | | | | 16 | | | | | | 22 | |
|
State of North Rhine-Westphalia | |
2.875% due 05/20/2016 | | | | | 20 | | | | | | 29 | |
3.500% due 07/07/2021 | | | | | 180 | | | | | | 287 | |
4.375% due 04/29/2022 | | | | | 67 | | | | | | 113 | |
4.500% due 02/15/2018 | | | | | 70 | | | | | | 110 | |
|
State of Saxony-Anhalt | |
4.000% due 09/26/2016 | | | | | 20 | | | | | | 30 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,202 | |
| | | | | | | | | | | | |
Total Germany
(Cost $2,286) | | | | | | | | | | | 2,434 | |
| | | | | | | | | | | | |
| |
IRELAND 2.5% | |
| |
CORPORATE BONDS & NOTES 2.5% | |
|
German Postal Pensions Securitisation PLC | |
3.750% due 01/18/2021 | | | | | 50 | | | | | | 80 | |
| | | | | | | | | | | | |
Total Ireland
(Cost $75) | | | | | | | | | | | 80 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
NETHERLANDS 16.3% | |
| |
CORPORATE BONDS & NOTES 16.3% | |
|
Bayer Capital Corp. BV | |
4.625% due 09/26/2014 | | EUR | | | 20 | | | $ | | | 28 | |
|
Deutsche Bahn Finance BV | |
4.875% due 03/12/2019 | | | | | 50 | | | | | | 81 | |
|
Deutsche Telekom International Finance BV | |
6.000% due 01/20/2017 | | | | | 20 | | | | | | 31 | |
7.500% due 01/24/2033 | | | | | 40 | | | | | | 89 | |
|
E.ON International Finance BV | |
5.750% due 05/07/2020 | | | | | 30 | | | | | | 51 | |
|
EnBW International Finance BV | |
4.125% due 07/07/2015 | | | | | 30 | | | | | | 43 | |
|
RWE Finance BV | |
6.500% due 08/10/2021 | | | | | 30 | | | | | | 54 | |
|
Siemens Financieringsmaatschappij NV | |
5.625% due 06/11/2018 | | | | | 10 | | | | | | 16 | |
|
Volkswagen International Finance NV | |
1.875% due 05/15/2017 | | | | | 40 | | | | | | 57 | |
7.000% due 02/09/2016 | | | | | 30 | | | | | | 45 | |
|
Wuerth Finance International BV | |
3.750% due 05/25/2018 | | | | | 20 | | | | | | 31 | |
| | | | | | | | | | | | |
Total Netherlands
(Cost $492) | | | | | | | | | | | 526 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $2,985) | | | | | | | | | | | 3,182 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 98.5%
(Cost $2,985) | | | | | | | | $ | | | 3,182 | |
| |
Other Assets and Liabilities, net 1.5% | | | | | | 47 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 3,229 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
| (a) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
France | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | $ | 0 | | | $ | 142 | | | $ | 0 | | | $ | 142 | |
Germany | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 1,232 | | | | 0 | | | | 1,232 | |
Sovereign Issues | | | | | 0 | | | | 1,202 | | | | 0 | | | | 1,202 | |
Ireland | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 80 | | | | 0 | | | | 80 | |
Netherlands | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 526 | | | | 0 | | | | 526 | |
Total Investments | | | | $ | 0 | | | $ | 3,182 | | | $ | 0 | | | $ | 3,182 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 68 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Build America Bond Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.0% | |
| |
MUNICIPAL BONDS & NOTES 92.2% | |
| |
ARIZONA 2.3% | |
|
Salt River Project Agricultural Improvement & Power District, Arizona Revenue Bonds, (BABs), Series 2010 | |
4.839% due 01/01/2041 | | $ | | | 480 | | | $ | | | 545 | |
| | | | | | | | | | | | |
| |
CALIFORNIA 41.2% | |
|
California State General Obligation Bonds, (BABs), Series 2010 | |
7.700% due 11/01/2030 | | | | | 100 | | | | | | 123 | |
7.950% due 03/01/2036 | | | | | 1,000 | | | | | | 1,220 | |
|
East Bay Municipal Utility District Water System, California Revenue Bonds, (BABs), Series 2010 | |
5.874% due 06/01/2040 | | | | | 800 | | | | | | 1,011 | |
|
Los Angeles Community College District, California General Obligation Bonds, (BABs), Series 2010 | |
6.600% due 08/01/2042 | | | | | 500 | | | | | | 693 | |
|
Los Angeles County, California Metropolitan Transportation Authority Revenue Bonds, (BABs), Series 2010 | |
5.735% due 06/01/2039 | | | | | 750 | | | | | | 898 | |
|
Los Angeles County, California Public Works Financing Authority Revenue Bonds, (BABs), Series 2010 | |
7.488% due 08/01/2033 | | | | | 1,000 | | | | | | 1,263 | |
|
Los Angeles Department of Airports, California Revenue Bonds, (BABs), Series 2009 | |
6.582% due 05/15/2039 | | | | | 740 | | | | | | 927 | |
|
Los Angeles, California Wastewater System Revenue Bonds, (BABs), Series 2010 | |
5.813% due 06/01/2040 | | | | | 250 | | | | | | 303 | |
|
Sacramento Municipal Utility District, California Revenue Bonds, (BABs), Series 2010 | |
6.156% due 05/15/2036 | | | | | 1,000 | | | | | | 1,198 | |
|
San Diego County, California Regional Airport Authority Revenue Bonds, (BABs), Series 2010 | |
6.628% due 07/01/2040 | | | | | 800 | | | | | | 871 | |
|
San Francisco, California Public Utilities Commission Water Revenue Bonds, (BABs), Series 2010 | |
6.000% due 11/01/2040 | | | | | 500 | | | | | | 629 | |
|
University of California Revenue Bonds, (BABs),
Series 2010 | |
6.296% due 05/15/2050 | | | | | 500 | | | | | | 600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,736 | |
| | | | | | | | | | | | |
| |
GEORGIA 2.8% | |
|
Municipal Electric Authority of Georgia Revenue Bonds, (BABs), Series 2010 | |
6.637% due 04/01/2057 | | | | | 550 | | | | | | 674 | |
| | | | | | | | | | | | |
| |
ILLINOIS 4.0% | |
|
Illinois Municipal Electric Agency Revenue Bonds, (BABs), Series 2009 | |
6.832% due 02/01/2035 | | | | | 100 | | | | | | 113 | |
|
Illinois State Toll Highway Authority Revenue Bonds, (BABs), Series 2009 | |
6.184% due 01/01/2034 | | | | | 655 | | | | | | 822 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 935 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
KENTUCKY 2.7% | |
|
Louisville & Jefferson County, Kentucky Metropolitan Sewer District Revenue Bonds, (BABs), Series 2010 | |
6.250% due 05/15/2043 | | $ | | | 500 | | | $ | | | 644 | |
| | | | | | | | | | | | |
| |
MARYLAND 2.6% | |
|
Maryland State Transportation Authority Revenue Bonds, (BABs), Series 2009 | |
5.788% due 07/01/2029 | | | | | 500 | | | | | | 604 | |
| | | | | | | | | | | | |
| |
MINNESOTA 2.1% | |
|
Southern Minnesota Municipal Power Agency Revenue Bonds, (BABs), Series 2010 | |
5.926% due 01/01/2043 | | | | | 450 | | | | | | 495 | |
| | | | | | | | | | | | |
| |
NEBRASKA 2.4% | |
|
Public Power Generation Agency, Nebraska Revenue Bonds, (BABs), Series 2009 | |
7.242% due 01/01/2041 | | | | | 500 | | | | | | 567 | |
| | | | | | | | | | | | |
| |
NEVADA 3.7% | |
Clark County, Nevada Airport System Revenue Bonds, (BABs), Series 2009 | |
6.881% due 07/01/2042 | | | | | 790 | | | | | | 866 | |
| | | | | | | | | | | | |
| |
NEW YORK 10.2% | |
Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2009 | |
5.871% due 11/15/2039 | | | | | 500 | | | | | | 610 | |
|
Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2010 | |
6.548% due 11/15/2031 | | | | | 500 | | | | | | 630 | |
|
New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, (BABs), Series 2010 | |
5.932% due 11/01/2036 | | | | | 500 | | | | | | 556 | |
|
New York City, New York Water & Sewer System Revenue Bonds, (BABs), Series 2010 | |
6.282% due 06/15/2042 | | | | | 350 | | | | | | 393 | |
|
New York State Dormitory Authority Revenue Bonds, Series 2010 | |
5.051% due 09/15/2027 | | | | | 200 | | | | | | 228 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,417 | |
| | | | | | | | | | | | |
| |
NORTH CAROLINA 0.5% | |
|
North Carolina Turnpike Authority Revenue Bonds, (BABs), Series 2009 | |
6.700% due 01/01/2039 | | | | | 100 | | | | | | 110 | |
| | | | | | | | | | | | |
| |
OHIO 8.5% | |
|
American Municipal Power, Inc., Ohio Revenue Bonds, (BABs), Series 2010 | |
6.270% due 02/15/2050 | | | | | 1,000 | | | | | | 1,231 | |
|
JobsOhio Beverage System Revenue Bonds, Series 2013 | |
4.532% due 01/01/2035 | | | | | 750 | | | | | | 775 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,006 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
PENNSYLVANIA 1.2% | |
|
Pennsylvania Turnpike Commission Revenue Bonds, (BABs), Series 2009 | |
5.848% due 12/01/2037 | | $ | | | 250 | | | $ | | | 292 | |
| | | | | | | | | | | | |
| |
SOUTH CAROLINA 3.3% | |
South Carolina State Public Service Authority Revenue Bonds, (BABs), Series 2010 | |
6.454% due 01/01/2050 | | | | | 600 | | | | | | 780 | |
| | | | | | | | | | | | |
| |
TENNESSEE 0.5% | |
Metropolitan Government of Nashville & Davidson County, Tennessee Convention Center Authority Revenue Bonds, (BABs), Series 2010 | |
6.731% due 07/01/2043 | | | | | 100 | | | | | | 128 | |
| | | | | | | | | | | | |
| |
TEXAS 1.5% | |
Dallas Convention Center Hotel Development Corp., Texas Revenue Bonds, (BABs), Series 2009 | |
7.088% due 01/01/2042 | | | | | 290 | | | | | | 366 | |
| | | | | | | | | | | | |
| |
WASHINGTON 2.7% | |
Washington Biomedical Research Facilities Revenue Bonds, (BABs), Series 2010 | |
6.516% due 07/01/2042 | | | | | 500 | | | | | | 633 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $20,308) | | | | | | | | | | | 21,798 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 2.6% | |
| | | | |
U.S. Treasury Notes | | | | | | | | | | | | |
0.250% due 01/15/2015 | | | | | 300 | | | | | | 300 | |
0.250% due 01/31/2015 | | | | | 300 | | | | | | 301 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $600) | | | 601 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 4.2% | |
| |
U.S. TREASURY BILLS 4.2% | |
0.089% due 08/14/2014 | | | | | 1,000 | | | | | | 1,000 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $1,000) | | | 1,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $21,908) | | | 23,399 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.0%
(Cost $21,908) | | | $ | | | 23,399 | |
| |
Other Assets and Liabilities, net 1.0% | | | 235 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 23,634 | |
| | | | | | | | | | | | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 69 |
Schedule of Investments PIMCO Build America Bond Exchange-Traded Fund (Cont.)
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
Arizona | | | | $ | 0 | | | $ | 545 | | | $ | 0 | | | $ | 545 | |
California | | | | | 0 | | | | 9,736 | | | | 0 | | | | 9,736 | |
Georgia | | | | | 0 | | | | 674 | | | | 0 | | | | 674 | |
Illinois | | | | | 0 | | | | 935 | | | | 0 | | | | 935 | |
Kentucky | | | | | 0 | | | | 644 | | | | 0 | | | | 644 | |
Maryland | | | | | 0 | | | | 604 | | | | 0 | | | | 604 | |
Minnesota | | | | | 0 | | | | 495 | | | | 0 | | | | 495 | |
Nebraska | | | | | 0 | | | | 567 | | | | 0 | | | | 567 | |
Nevada | | | | | 0 | | | | 866 | | | | 0 | | | | 866 | |
New York | | | | | 0 | | | | 2,417 | | | | 0 | | | | 2,417 | |
North Carolina | | | | | 0 | | | | 110 | | | | 0 | | | | 110 | |
Ohio | | | | | 0 | | | | 2,006 | | | | 0 | | | | 2,006 | |
Pennsylvania | | | | | 0 | | | | 292 | | | | 0 | | | | 292 | |
South Carolina | | | | | 0 | | | | 780 | | | | 0 | | | | 780 | |
Tennessee | | | | | 0 | | | | 128 | | | | 0 | | | | 128 | |
Texas | | | | | 0 | | | | 366 | | | | 0 | | | | 366 | |
Washington | | | | | 0 | | | | 633 | | | | 0 | | | | 633 | |
U.S. Treasury Obligations | | | | | 0 | | | | 601 | | | | 0 | | | | 601 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | | | 0 | | | | 1,000 | | | | 0 | | | | 1,000 | |
Total Investments | | | | $ | 0 | | | $ | 23,399 | | | $ | 0 | | | $ | 23,399 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 70 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Diversified Income Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 97.0% | |
| |
BANK LOAN OBLIGATIONS 0.7% | |
|
Energy Future Holdings Corp. | |
4.250% due 06/19/2016 | | $ | | | 300 | | | $ | | | 302 | |
| | | | | | | | | | | | |
Total Bank Loan Obligations
(Cost $297) | | | | | | 302 | |
| | | | | | | | | | | | |
| |
CORPORATE BONDS & NOTES 74.1% | |
| |
BANKING & FINANCE 28.5% | |
|
AerCap Ireland Capital Ltd. | |
3.750% due 05/15/2019 | | | | | 150 | | | | | | 151 | |
4.500% due 05/15/2021 | | | | | 150 | | | | | | 153 | |
|
Ally Financial, Inc. | |
7.500% due 09/15/2020 | | | | | 700 | | | | | | 846 | |
|
Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander | |
4.125% due 11/09/2022 | | | | | 1,400 | | | | | | 1,431 | |
|
Bank of America Corp. | |
3.300% due 01/11/2023 | | | | | 700 | | | | | | 690 | |
|
Barclays Bank PLC | |
7.750% due 04/10/2023 | | | | | 400 | | | | | | 446 | |
|
Barclays PLC | |
8.250% due 12/15/2018 (b) | | | | | 400 | | | | | | 425 | |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | |
8.400% due 06/29/2017 (b) | | | | | 550 | | | | | | 621 | |
|
Credit Agricole S.A. | |
8.125% due 09/19/2033 | | | | | 200 | | | | | | 228 | |
|
Credit Suisse | |
6.500% due 08/08/2023 | | | | | 200 | | | | | | 223 | |
|
Denali Borrower LLC | |
5.625% due 10/15/2020 | | | | | 200 | | | | | | 213 | |
|
EDC Finance Ltd. | |
4.875% due 04/17/2020 | | | | | 500 | | | | | | 491 | |
|
Fiat Finance & Trade S.A. | |
7.750% due 10/17/2016 | | EUR | | | 200 | | | | | | 303 | |
|
Hockey Merger Sub, Inc. | |
7.875% due 10/01/2021 | | $ | | | 200 | | | | | | 215 | |
|
HSBC Finance Corp. | |
6.676% due 01/15/2021 | | | | | 1,000 | | | | | | 1,197 | |
|
Hypo Alpe-Adria-Bank International AG | |
4.250% due 10/31/2016 | | EUR | | | 200 | | | | | | 264 | |
4.375% due 01/24/2017 | | | | | 100 | | | | | | 131 | |
|
Intesa Sanpaolo SpA | |
6.500% due 02/24/2021 | | $ | | | 300 | | | | | | 355 | |
|
iStar Financial, Inc. | |
5.000% due 07/01/2019 | | | | | 100 | | | | | | 101 | |
|
KBC Bank NV | |
8.000% due 01/25/2023 | | | | | 200 | | | | | | 229 | |
|
LBG Capital PLC | |
15.000% due 12/21/2019 | | GBP | | | 200 | | | | | | 498 | |
|
Rio Oil Finance Trust Series 2014-1 | |
6.250% due 07/06/2024 | | $ | | | 300 | | | | | | 315 | |
|
Sberbank of Russia Via SB Capital S.A. | |
6.125% due 02/07/2022 | | | | | 800 | | | | | | 859 | |
|
SLM Corp. | |
8.450% due 06/15/2018 | | | | | 800 | | | | | | 947 | |
|
UBS AG | |
7.625% due 08/17/2022 | | | | | 250 | | | | | | 301 | |
|
Virgin Media Secured Finance PLC | |
5.500% due 01/15/2021 | | GBP | | | 500 | | | | | | 893 | |
|
Vnesheconombank Via VEB Finance PLC | |
6.025% due 07/05/2022 | | $ | | | 200 | | | | | | 207 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,733 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INDUSTRIALS 25.7% | |
|
Activision Blizzard, Inc. | |
6.125% due 09/15/2023 | | $ | | | 200 | | | $ | | | 220 | |
|
CNOOC Finance Ltd. | |
3.875% due 05/02/2022 | | | | | 400 | | | | | | 408 | |
|
Columbus International, Inc. | |
7.375% due 03/30/2021 | | | | | 400 | | | | | | 432 | |
|
Community Health Systems, Inc. | |
6.875% due 02/01/2022 | | | | | 800 | | | | | | 852 | |
|
CONSOL Energy, Inc. | |
5.875% due 04/15/2022 | | | | | 100 | | | | | | 105 | |
|
Continental Airlines Pass-Through Trust | |
4.000% due 04/29/2026 | | | | | 486 | | | | | | 496 | |
|
Crown Castle International Corp. | |
5.250% due 01/15/2023 | | | | | 200 | | | | | | 210 | |
|
DISH DBS Corp. | |
7.875% due 09/01/2019 | | | | | 800 | | | | | | 952 | |
|
Ecopetrol S.A. | |
5.875% due 09/18/2023 | | | | | 100 | | | | | | 113 | |
7.625% due 07/23/2019 | | | | | 800 | | | | | | 984 | |
|
Endo Finance LLC & Endo Finco, Inc. | |
5.375% due 01/15/2023 | | | | | 100 | | | | | | 100 | |
|
ENTEL Chile S.A. | |
4.875% due 10/30/2024 | | | | | 400 | | | | | | 417 | |
|
GTL Trade Finance, Inc. | |
5.893% due 04/29/2024 | | | | | 500 | | | | | | 526 | |
|
HCA, Inc. | |
6.500% due 02/15/2020 | | | | | 900 | | | | | | 1,015 | |
|
KazMunayGas National Co. JSC | |
9.125% due 07/02/2018 | | | | | 100 | | | | | | 121 | |
|
MCE Finance Ltd. | |
5.000% due 02/15/2021 | | | | | 200 | | | | | | 203 | |
|
Petrobras International Finance Co. | |
5.375% due 01/27/2021 | | | | | 500 | | | | | | 524 | |
|
Petroleos de Venezuela S.A. | |
5.375% due 04/12/2027 | | | | | 2,400 | | | | | | 1,498 | |
|
Sabine Pass Liquefaction LLC | |
5.625% due 04/15/2023 | | | | | 200 | | | | | | 209 | |
5.750% due 05/15/2024 | | | | | 100 | | | | | | 104 | |
|
Sibur Securities Ltd. | |
3.914% due 01/31/2018 | | | | | 200 | | | | | | 194 | |
|
Tenet Healthcare Corp. | |
5.000% due 03/01/2019 | | | | | 200 | | | | | | 203 | |
|
Tesoro Logistics LP | |
6.125% due 10/15/2021 | | | | | 200 | | | | | | 214 | |
|
Tullow Oil PLC | |
6.000% due 11/01/2020 | | | | | 400 | | | | | | 417 | |
|
Vedanta Resources PLC | |
6.000% due 01/31/2019 | | | | | 200 | | | | | | 208 | |
|
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC | |
7.748% due 02/02/2021 | | | | | 200 | | | | | | 220 | |
|
Whiting Petroleum Corp. | |
5.000% due 03/15/2019 | | | | | 100 | | | | | | 106 | |
|
Wind Acquisition Finance S.A. | |
7.375% due 04/23/2021 | | | | | 200 | | | | | | 214 | |
|
Zhaikmunai LLP | |
7.125% due 11/13/2019 | | | | | 200 | | | | | | 218 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,483 | |
| | | | | | | | | | | | |
| |
UTILITIES 19.9% | |
|
BG Energy Capital PLC | |
6.500% due 11/30/2072 | | | | | 200 | | | | | | 222 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
CenturyLink, Inc. | |
5.625% due 04/01/2020 | | $ | | | 200 | | | $ | | | 213 | |
|
CNOOC Nexen Finance ULC | |
4.250% due 04/30/2024 | | | | | 200 | | | | | | 205 | |
|
Electricite de France | |
5.250% due 01/29/2023 (b) | | | | | 100 | | | | | | 102 | |
5.625% due 01/22/2024 (b) | | | | | 200 | | | | | | 209 | |
|
Gazprom OAO Via Gaz Capital S.A. | |
6.510% due 03/07/2022 | | | | | 800 | | | | | | 871 | |
|
Koninklijke KPN NV | |
6.125% due 09/14/2018 (b) | | EUR | | | 100 | | | | | | 148 | |
|
Novatek OAO via Novatek Finance Ltd. | |
4.422% due 12/13/2022 | | $ | | | 1,000 | | | | | | 939 | |
|
Petrobras Global Finance BV | |
6.250% due 03/17/2024 | | | | | 200 | | | | | | 213 | |
7.250% due 03/17/2044 | | | | | 400 | | | | | | 443 | |
|
Petroleos Mexicanos | |
4.875% due 01/24/2022 | | | | | 900 | | | | | | 976 | |
6.375% due 01/23/2045 | | | | | 300 | | | | | | 349 | |
|
RWE AG | |
7.000% due 03/20/2019 (b) | | GBP | | | 200 | | | | | | 372 | |
|
Sinopec Group Overseas Development Ltd. | |
4.375% due 04/10/2024 | | $ | | | 200 | | | | | | 207 | |
|
Sprint Corp. | |
7.875% due 09/15/2023 | | | | | 1,200 | | | | | | 1,338 | |
|
SSE PLC | |
5.625% due 10/01/2017 (b) | | EUR | | | 100 | | | | | | 150 | |
5.625% due 10/01/2017 (b) | | $ | | | 200 | | | | | | 216 | |
|
Targa Resources Partners LP | |
4.250% due 11/15/2023 | | | | | 200 | | | | | | 200 | |
|
Verizon Communications, Inc. | |
5.150% due 09/15/2023 | | | | | 1,000 | | | | | | 1,121 | |
| | | | |
VimpelCom Holdings BV | | | | | | | | | | | | |
5.950% due 02/13/2023 | | | | | 400 | | | | | | 398 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,892 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $32,006) | | | | | | | | | 33,108 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS & NOTES 0.4% | |
| |
IOWA 0.4% | |
|
Iowa Tobacco Settlement Authority Revenue Bonds, Series 2005 | |
6.500% due 06/01/2023 | | | | | 200 | | | | | | 199 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $199) | | | | | | | | | 199 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 0.4% | |
|
U.S. Treasury Notes | |
0.109% due 04/30/2016 | | | | | 200 | | | | | | 200 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $200) | | | | | | | | | 200 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES 0.7% | |
|
Lehman Mortgage Trust | |
6.000% due 07/25/2036 | | | | | 380 | | | | | | 308 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $306) | | | | | | | | | 308 | |
| | | | | | | | | | | | |
| |
ASSET-BACKED SECURITIES 2.2% | |
|
Accredited Mortgage Loan Trust | |
0.412% due 09/25/2036 | | | | | 400 | | | | | | 324 | |
|
Asset-Backed Funding Certificates Trust | |
0.372% due 01/25/2037 | | | | | 175 | | | | | | 111 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 71 |
Schedule of Investments PIMCO Diversified Income Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Countrywide Asset-Backed Certificates | |
0.512% due 02/25/2036 | | $ | | | 154 | | | $ | | | 145 | |
0.732% due 11/25/2035 | | | | | 100 | | | | | | 89 | |
|
JPMorgan Mortgage Acquisition Trust | |
0.392% due 08/25/2036 | | | | | 100 | | | | | | 80 | |
|
Residential Asset Securities Corp. Trust | |
0.552% due 02/25/2036 | | | | | 300 | | | | | | 235 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $975) | | | | | | | | | 984 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 12.2% | |
|
Brazil Government International Bond | |
4.875% due 01/22/2021 | | | | | 1,400 | | | | | | 1,533 | |
|
Hellenic Republic Government International Bond | |
3.800% due 08/08/2017 | | JPY | | | 4,000 | | | | | | 38 | |
|
Indonesia Government International Bond | |
5.875% due 03/13/2020 | | $ | | | 1,300 | | | | | | 1,449 | |
|
Mexico Government International Bond | |
3.625% due 03/15/2022 | | | | | 400 | | | | | | 416 | |
|
Morocco Government International Bond | |
4.500% due 10/05/2020 | | EUR | | | 100 | | | | | | 149 | |
|
Panama Government International Bond | |
6.700% due 01/26/2036 | | $ | | | 100 | | | | | | 124 | |
|
Poland Government International Bond | |
5.000% due 03/23/2022 | | | | | 600 | | | | | | 668 | |
|
Republic of Germany | |
2.500% due 08/15/2046 | | EUR | | | 600 | | | | | | 880 | |
|
Turkey Government International Bond | |
5.750% due 03/22/2024 | | $ | | | 200 | | | | | | 220 | |
| | | | | | | | | | | | |
Total Sovereign Issues
(Cost $5,265) | | | | | | | | | 5,477 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | SHARES | | | | | MARKET
VALUE
(000s) | |
COMMON STOCKS 1.6% | |
| |
CONSUMER DISCRETIONARY 0.6% | |
| | | | |
Melco Crown Entertainment
Ltd. - ADR | | | | | 4,214 | | | $ | | | 151 | |
| | | | |
Wynn Resorts Ltd. | | | | | 672 | | | | | | 139 | |
| | | | | | | | | | | | |
| | | | | | 290 | |
| | | | | | | | | | | | |
| |
ENERGY 0.2% | |
| | | | |
Seadrill Partners LLC | | | | | 2,830 | | | | | | 94 | |
| | | | | | | | | | | | |
| |
FINANCIALS 0.5% | |
| | | | |
Barclays PLC | | | | | 56,360 | | | | | | 205 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 0.3% | |
| | | | |
USG Corp. (a) | | | | | 3,710 | | | | | | 112 | |
| | | | | | | | | | | | |
Total Common Stocks
(Cost $697) | | | | | | | | | | | 701 | |
| | | | | | | | | | | | |
| |
PREFERRED SECURITIES 0.0% | |
| |
UTILITIES 0.0% | |
| | | | |
Entergy Texas, Inc. | | | | | | | | | | | | |
5.625% due 06/01/2064 | | | | | 100 | | | | | | 3 | |
| | | | | | | | | | | | |
Total Preferred Securities
(Cost $3) | | | | | | | | | | | 3 | |
| | | | | | | | | | | | |
| |
REAL ESTATE INVESTMENT TRUSTS 0.7% | |
| |
FINANCIALS 0.7% | |
| | | | |
American Realty Capital Properties, Inc. | | | | | 17,710 | | | | | | 222 | |
| | | | |
Gaming and Leisure Properties, Inc. | | | | | 3,300 | | | | | | 112 | |
| | | | | | | | | | | | |
Total Real Estate Investment Trusts
(Cost $334) | | | | | | | | | | | 334 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 4.0% | |
| |
REPURCHASE AGREEMENTS (c) 2.4% | | | | |
| | | | | | | | $ | | | 1,051 | |
| | | | | | | | | | | | |
| |
SHORT-TERM NOTES 1.6% | |
| | | | |
Freddie Mac | | | | | | | | | | | | |
0.132% due 06/09/2015 | | $ | | | 700 | | | | | | 699 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $1,750) | | | | | | | | | | | 1,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $42,032) | | | | | | 43,366 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 97.0%
(Cost $42,032) | | | $ | | | 43,366 | |
| |
Financial Derivative
Instruments (d) (0.1%) (Cost or Premiums, net $0) | | | | | | (50 | ) |
| |
Other Assets and Liabilities, net 3.1% | | | 1,390 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 44,706 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Security did not produce income within the last twelve months. |
| (b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
JPS | | | | | 0.200 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 800 | | | Fannie Mae 1.670% due 12/17/2018 | | $ | (822 | ) | | $ | 800 | | | $ | 800 | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | | 251 | | | Fannie Mae 2.110% due 11/07/2022 | | | (259 | ) | | | 251 | | | | 251 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (1,081 | ) | | $ | 1,051 | | | $ | 1,051 | |
| (1) | Includes accrued interest. |
| | | | | | |
| 72 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
JPS | | | | $ | 800 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 800 | | | $ | (822 | ) | | $ | (22 | ) |
SSB | | | | | 251 | | | | 0 | | | | 0 | | | | 0 | | | | 251 | | | | (259 | ) | | | (8 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 1,051 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(d) 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 | | | | | 08/2014 | | | | EUR | | | | 104 | | | | $ | | | | 141 | | | $ | 0 | | | $ | (2 | ) |
BPS | | | | | 09/2014 | | | | GBP | | | | 303 | | | | | | | | 508 | | | | 0 | | | | (10 | ) |
BRC | | | | | 07/2014 | | | | $ | | | | 38 | | | | JPY | | | | 3,800 | | | | 0 | | | | 0 | |
| | | | | | 08/2014 | | | | EUR | | | | 2,874 | | | | $ | | | | 3,924 | | | | 0 | | | | (12 | ) |
| | | | | | 08/2014 | | | | JPY | | | | 3,800 | | | | | | | | 37 | | | | 0 | | | | 0 | |
| | | | | | 09/2014 | | | | GBP | | | | 1,509 | | | | | | | | 2,533 | | | | 0 | | | | (48 | ) |
| | | | | | 09/2014 | | | | $ | | | | 1,389 | | | | GBP | | | | 819 | | | | 11 | | | | 0 | |
CBK | | | | | 07/2014 | | | | JPY | | | | 3,800 | | | | $ | | | | 37 | | | | 0 | | | | 0 | |
| | | | | | 09/2014 | | | | GBP | | | | 132 | | | | | | | | 224 | | | | 0 | | | | (2 | ) |
RBC | | | | | 08/2014 | | | | $ | | | | 1,043 | | | | EUR | | | | 771 | | | | 13 | | | | 0 | |
Total Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | $ | 24 | | | $ | (74 | ) |
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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| | | | 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
(Received)/
Pledged | | | Net
Exposure (1) | |
BOA | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | $ | (2 | ) | | $ | 0 | | | $ | 0 | | | $ | (2 | ) | | $ | (2 | ) | | $ | 0 | | | $ | (2 | ) |
BPS | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (10 | ) | | | 0 | | | | 0 | | | | (10 | ) | | | (10 | ) | | | 0 | | | | (10 | ) |
BRC | | | | | 11 | | | | 0 | | | | 0 | | | | 11 | | | | | | (60 | ) | | | 0 | | | | 0 | | | | (60 | ) | | | (49 | ) | | | 0 | | | | (49 | ) |
CBK | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (2 | ) | | | 0 | | | | 0 | | | | (2 | ) | | | (2 | ) | | | 0 | | | | (2 | ) |
RBC | | | | | 13 | | | | 0 | | | | 0 | | | | 13 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 13 | | | | 0 | | | | 13 | |
Total Over the Counter | | | | $ | 24 | | | $ | 0 | | | $ | 0 | | | $ | 24 | | | | | $ | (74 | ) | | $ | 0 | | | $ | 0 | | | $ | (74 | ) | | | | | | | | | | | | |
| (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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 73 |
Schedule of Investments PIMCO Diversified Income Exchange-Traded Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 24 | | | $ | 0 | | | $ | 24 | |
| | | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 74 | | | $ | 0 | | | $ | 74 | |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (16 | ) | | $ | 0 | | | $ | (16 | ) |
| | | | | | | |
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (50 | ) | | $ | 0 | | | $ | (50 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Bank Loan Obligations | | | | $ | 0 | | | $ | 302 | | | $ | 0 | | | $ | 302 | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | | 0 | | | | 12,733 | | | | 0 | | | | 12,733 | |
Industrials | | | | | 0 | | | | 10,987 | | | | 496 | | | | 11,483 | |
Utilities | | | | | 0 | | | | 8,892 | | | | 0 | | | | 8,892 | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
Iowa | | | | | 0 | | | | 199 | | | | 0 | | | | 199 | |
U.S. Treasury Obligations | | | | | 0 | | | | 200 | | | | 0 | | | | 200 | |
Mortgage-Backed Securities | | | | | 0 | | | | 308 | | | | 0 | | | | 308 | |
Asset-Backed Securities | | | | | 0 | | | | 984 | | | | 0 | | | | 984 | |
Sovereign Issues | | | | | 0 | | | | 5,477 | | | | 0 | | | | 5,477 | |
Common Stocks | | | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | | | 290 | | | | 0 | | | | 0 | | | | 290 | |
Energy | | | | | 94 | | | | 0 | | | | 0 | | | | 94 | |
Financials | | | | | 205 | | | | 0 | | | | 0 | | | | 205 | |
Industrials | | | | | 112 | | | | 0 | | | | 0 | | | | 112 | |
Preferred Securities | | | | | | | | | | | | | | | | | | |
Utilities | | | | | 0 | | | | 3 | | | | 0 | | | | 3 | |
| | | | | | |
| 74 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Real Estate Investment Trusts | | | | | | | | | | | | | | | | | | |
Financials | | | | $ | 334 | | | $ | 0 | | | $ | 0 | | | $ | 334 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 1,051 | | | | 0 | | | | 1,051 | |
Short-Term Notes | | | | | 0 | | | | 699 | | | | 0 | | | | 699 | |
Total Investments | | | | $ | 1,035 | | | $ | 41,835 | | | $ | 496 | | | $ | 43,366 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 24 | | | $ | 0 | | | $ | 24 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | (74 | ) | | $ | 0 | | | $ | (74 | ) |
Totals | | | | $ | 1,035 | | | $ | 41,785 | | | $ | 496 | | | $ | 43,316 | |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Beginning
Balance
at 01/22/2014 | | | 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 06/30/2014 | | | Net Change in
Unrealized
Appreciation/
(Depreciation)
on Investments
Held at
06/30/2014 (1) | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Industrials | | | | $ | 0 | | | $ | 506 | | | $ | (14 | ) | | $ | 0 | | | $ | 0 | | | $ | 4 | | | $ | 0 | | | $ | 0 | | | $ | 496 | | | $ | 4 | |
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 06/30/2014 | | | Valuation
Technique | | | Unobservable
Inputs | | | Input Value(s)
(% Unless
Noted
Otherwise) | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Industrials | | | | $ | 496 | | | | Third Party Vendor | | | | Broker Quote | | | | 102.00 | |
| | | | | | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 75 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 102.3% | |
| |
CORPORATE BONDS & NOTES 68.2% | |
| |
BANKING & FINANCE 38.3% | |
|
American Express Credit Corp. | |
0.497% due 06/05/2017 | | $ | | | 45,000 | | | $ | | | 45,027 | |
0.737% due 07/29/2016 | | | | | 23,025 | | | | | | 23,185 | |
|
American Honda Finance Corp. | |
0.602% due 05/26/2016 | | | | | 10,000 | | | | | | 10,048 | |
1.000% due 08/11/2015 | | | | | 12,550 | | | | | | 12,612 | |
1.450% due 02/27/2015 | | | | | 18,275 | | | | | | 18,400 | |
|
American International Group, Inc. | |
5.050% due 10/01/2015 | | | | | 6,000 | | | | | | 6,327 | |
|
Banco Bradesco S.A. | |
4.500% due 01/12/2017 | | | | | 4,000 | | | | | | 4,235 | |
|
Banco Santander Brasil S.A. | |
4.500% due 04/06/2015 | | | | | 5,100 | | | | | | 5,227 | |
|
Banco Santander Chile | |
1.126% due 04/11/2017 | | | | | 7,400 | | | | | | 7,405 | |
3.750% due 09/22/2015 | | | | | 1,900 | | | | | | 1,959 | |
|
Bank Nederlandse Gemeenten | |
0.504% due 05/15/2018 | | | | | 13,600 | | | | | | 13,688 | |
2.500% due 01/11/2016 | | | | | 2,500 | | | | | | 2,581 | |
|
Bank of America Corp. | |
1.500% due 10/09/2015 | | | | | 5,000 | | | | | | 5,047 | |
4.500% due 04/01/2015 | | | | | 32,825 | | | | | | 33,809 | |
|
Bank of Nova Scotia | |
0.538% due 04/11/2017 | | | | | 30,000 | | | | | | 30,029 | |
|
Bank of Tokyo-Mitsubishi UFJ Ltd. | |
0.677% due 02/26/2016 | | | | | 20,000 | | | | | | 20,055 | |
0.841% due 09/09/2016 | | | | | 2,000 | | | | | | 2,012 | |
|
Banque Federative du Credit Mutuel S.A. | |
1.078% due 10/28/2016 | | | | | 4,000 | | | | | | 4,030 | |
1.078% due 01/20/2017 | | | | | 7,900 | | | | | | 7,973 | |
|
BBVA Bancomer S.A. | |
4.500% due 03/10/2016 | | | | | 1,000 | | | | | | 1,057 | |
|
BPCE S.A. | |
0.862% due 06/17/2017 | | | | | 20,000 | | | | | | 20,009 | |
|
Branch Banking & Trust Co. | |
0.558% due 10/28/2015 | | | | | 4,600 | | | | | | 4,606 | |
|
Caisse Centrale Desjardins | |
1.600% due 03/06/2017 | | | | | 1,400 | | | | | | 1,423 | |
2.550% due 03/24/2016 | | | | | 10,000 | | | | | | 10,341 | |
|
Citigroup, Inc. | |
2.250% due 08/07/2015 | | | | | 7,000 | | | | | | 7,117 | |
2.650% due 03/02/2015 | | | | | 24,480 | | | | | | 24,832 | |
4.750% due 05/19/2015 | | | | | 510 | | | | | | 529 | |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | |
2.250% due 07/31/2015 | | | | | 5,000 | | | | | | 5,085 | |
|
Credit Agricole S.A. | |
1.026% due 04/15/2019 | | | | | 2,600 | | | | | | 2,623 | |
3.500% due 04/13/2015 | | | | | 6,500 | | | | | | 6,643 | |
|
Dexia Credit Local S.A. | |
0.508% due 01/21/2016 | | | | | 5,000 | | | | | | 5,002 | |
0.524% due 11/13/2015 | | | | | 55,000 | | | | | | 55,003 | |
0.526% due 01/17/2016 | | | | | 23,000 | | | | | | 23,009 | |
0.603% due 11/07/2016 | | | | | 5,000 | | | | | | 5,018 | |
0.628% due 01/11/2017 | | | | | 12,700 | | | | | | 12,753 | |
1.250% due 10/18/2016 | | | | | 11,600 | | | | | | 11,686 | |
|
DNB Boligkreditt A/S | |
1.450% due 03/21/2019 | | | | | 3,500 | | | | | | 3,490 | |
2.100% due 10/14/2016 | | | | | 29,500 | | | | | | 30,128 | |
2.900% due 03/29/2017 | | | | | 25,200 | | | | | | 26,188 | |
|
Export-Import Bank of Korea | |
0.927% due 11/26/2016 | | | | | 7,000 | | | | | | 7,041 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.977% due 01/14/2017 | | $ | | | 7,500 | | | $ | | | 7,555 | |
1.082% due 09/17/2016 | | | | | 17,900 | | | | | | 18,018 | |
1.250% due 11/20/2015 | | | | | 17,550 | | | | | | 17,660 | |
2.030% due 03/21/2015 | | | | | 7,000 | | | | | | 7,063 | |
3.750% due 10/20/2016 | | | | | 2,500 | | | | | | 2,653 | |
4.125% due 09/09/2015 | | | | | 1,500 | | | | | | 1,560 | |
5.875% due 01/14/2015 | | | | | 7,600 | | | | | | 7,811 | |
|
FMS Wertmanagement AoeR | |
0.274% due 09/27/2016 | | | | | 39,000 | | | | | | 39,018 | |
|
Ford Motor Credit Co. LLC | |
1.006% due 01/17/2017 | | | | | 3,000 | | | | | | 3,023 | |
2.500% due 01/15/2016 | | | | | 400 | | | | | | 410 | |
2.750% due 05/15/2015 | | | | | 3,000 | | | | | | 3,058 | |
5.625% due 09/15/2015 | | | | | 310 | | | | | | 328 | |
12.000% due 05/15/2015 | | | | | 4,600 | | | | | | 5,056 | |
|
General Electric Capital Corp. | |
0.430% due 01/08/2016 | | | | | 18,700 | | | | | | 18,719 | |
5.000% due 01/08/2016 | | | | | 6,600 | | | | | | 7,038 | |
|
Goldman Sachs Group, Inc. | |
0.852% due 06/04/2017 | | | | | 70,000 | | | | | | 70,059 | |
1.600% due 11/23/2015 | | | | | 18,000 | | | | | | 18,192 | |
3.700% due 08/01/2015 | | | | | 2,888 | | | | | | 2,980 | |
|
Hana Bank | |
1.349% due 11/09/2016 | | | | | 7,100 | | | | | | 7,169 | |
1.375% due 02/05/2016 | | | | | 3,400 | | | | | | 3,416 | |
4.000% due 11/03/2016 | | | | | 3,800 | | | | | | 4,041 | |
4.500% due 10/30/2015 | | | | | 125 | | | | | | 131 | |
|
Harley-Davidson Financial Services, Inc. | |
1.150% due 09/15/2015 | | | | | 4,000 | | | | | | 4,022 | |
|
HSBC Finance Corp. | |
0.657% due 06/01/2016 | | | | | 19,854 | | | | | | 19,869 | |
3.750% due 11/15/2014 | | | | | 1,000 | | | | | | 1,010 | |
5.000% due 06/30/2015 | | | | | 1,300 | | | | | | 1,357 | |
5.500% due 01/19/2016 | | | | | 1,355 | | | | | | 1,451 | |
|
HSH Nordbank AG | |
0.373% due 12/31/2015 | | | | | 27,700 | | | | | | 27,636 | |
|
Hypothekenbank Frankfurt AG | |
0.098% due 09/20/2017 | | | | | 1,200 | | | | | | 1,174 | |
|
Hypothekenbank Frankfurt International S.A. | |
0.098% due 03/20/2017 | | | | | 4,100 | | | | | | 3,878 | |
|
Hyundai Capital Services, Inc. | |
1.031% due 03/18/2017 | | | | | 5,800 | | | | | | 5,821 | |
4.375% due 07/27/2016 | | | | | 5,000 | | | | | | 5,320 | |
6.000% due 05/05/2015 | | | | | 11,009 | | | | | | 11,479 | |
|
Industrial Bank of Korea | |
4.375% due 08/04/2015 | | | | | 8,375 | | | | | | 8,700 | |
|
International Lease Finance Corp. | |
5.750% due 05/15/2016 | | | | | 1,150 | | | | | | 1,234 | |
6.500% due 09/01/2014 | | | | | 4,450 | | | | | | 4,489 | |
8.625% due 09/15/2015 | | | | | 2,000 | | | | | | 2,170 | |
|
IPIC GMTN Ltd. | |
1.750% due 11/30/2015 | | | | | 9,600 | | | | | | 9,756 | |
3.125% due 11/15/2015 | | | | | 4,400 | | | | | | 4,547 | |
|
John Deere Capital Corp. | |
0.750% due 01/22/2016 | | | | | 3,400 | | | | | | 3,416 | |
|
JPMorgan Chase & Co. | |
0.744% due 02/15/2017 | | | | | 48,000 | | | | | | 48,206 | |
0.847% due 02/26/2016 | | | | | 14,600 | | | | | | 14,689 | |
0.886% due 10/15/2015 | | | | | 23,692 | | | | | | 23,831 | |
|
JPMorgan Chase Bank N.A. | |
0.647% due 06/02/2017 | | | | | 7,500 | | | | | | 7,510 | |
|
Kookmin Bank | |
0.881% due 03/11/2016 | | | | | 8,000 | | | | | | 8,001 | |
0.981% due 03/14/2017 | | | | | 18,500 | | | | | | 18,473 | |
1.103% due 01/27/2017 | | | | | 10,800 | | | | | | 10,866 | |
1.375% due 01/15/2016 | | | | | 2,000 | | | | | | 2,016 | |
1.478% due 10/11/2016 | | | | | 4,400 | | | | | | 4,469 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Korea Development Bank | |
0.681% due 06/11/2015 | | $ | | | 10,000 | | | $ | | | 10,000 | |
0.853% due 01/22/2017 | | | | | 11,800 | | | | | | 11,821 | |
3.250% due 03/09/2016 | | | | | 1,200 | | | | | | 1,246 | |
4.375% due 08/10/2015 | | | | | 10,940 | | | | | | 11,386 | |
|
Korea Exchange Bank | |
1.750% due 09/27/2015 | | | | | 3,000 | | | | | | 3,031 | |
3.125% due 06/26/2017 | | | | | 4,800 | | | | | | 5,001 | |
|
Landwirtschaftliche Rentenbank | |
0.337% due 12/05/2018 | | | | | 4,800 | | | | | | 4,818 | |
3.125% due 07/15/2015 | | | | | 7,000 | | | | | | 7,208 | |
|
Macquarie Bank Ltd. | |
1.021% due 03/24/2017 | | | | | 39,500 | | | | | | 39,654 | |
3.450% due 07/27/2015 | | | | | 1,000 | | | | | | 1,029 | |
|
MBNA Corp. | |
5.000% due 06/15/2015 | | | | | 1,730 | | | | | | 1,802 | |
|
Metropolitan Life Global Funding | |
0.607% due 04/10/2017 | | | | | 33,800 | | | | | | 33,897 | |
|
Morgan Stanley | |
4.000% due 07/24/2015 | | | | | 2,000 | | | | | | 2,072 | |
6.000% due 04/28/2015 | | | | | 21,750 | | | | | | 22,765 | |
|
Muenchener Hypothekenbank eG | |
1.125% due 07/13/2015 | | | | | 1,800 | | | | | | 1,812 | |
|
National Rural Utilities Cooperative Finance Corp. | |
0.527% due 11/23/2016 | | | | | 750 | | | | | | 753 | |
3.050% due 03/01/2016 | | | | | 1,700 | | | | | | 1,770 | |
|
Nordea Bank AB | |
0.590% due 04/04/2017 | | | | | 11,300 | | | | | | 11,323 | |
|
Nordea Eiendomskreditt A/S | |
2.125% due 09/22/2017 | | | | | 4,000 | | | | | | 4,116 | |
|
NRW Bank | |
0.469% due 10/16/2017 | | | | | 4,430 | | | | | | 4,451 | |
0.475% due 01/31/2017 | | | | | 10,000 | | | | | | 10,050 | |
|
PACCAR Financial Corp. | |
0.495% due 02/08/2016 | | | | | 5,500 | | | | | | 5,518 | |
0.800% due 02/08/2016 | | | | | 2,500 | | | | | | 2,512 | |
1.050% due 06/05/2015 | | | | | 1,000 | | | | | | 1,007 | |
|
Prudential Covered Trust | |
2.997% due 09/30/2015 | | | | | 15,680 | | | | | | 16,065 | |
|
Qatari Diar Finance Co. | |
3.500% due 07/21/2015 | | | | | 6,500 | | | | | | 6,682 | |
|
QNB Finance Ltd. | |
3.125% due 11/16/2015 | | | | | 16,358 | | | | | | 16,890 | |
|
Royal Bank of Canada | |
1.200% due 09/19/2018 | | | | | 19,000 | | | | | | 18,963 | |
|
Royal Bank of Scotland Group PLC | |
2.550% due 09/18/2015 | | | | | 2,000 | | | | | | 2,042 | |
|
Shinhan Bank | |
0.880% due 04/08/2017 | | | | | 22,700 | | | | | | 22,784 | |
|
SLM Corp. | |
3.875% due 09/10/2015 | | | | | 700 | | | | | | 717 | |
5.050% due 11/14/2014 | | | | | 300 | | | | | | 305 | |
6.250% due 01/25/2016 | | | | | 2,000 | | | | | | 2,132 | |
|
Standard Chartered PLC | |
3.200% due 05/12/2016 | | | | | 20,816 | | | | | | 21,702 | |
3.850% due 04/27/2015 | | | | | 17,590 | | | | | | 18,056 | |
|
Sumitomo Mitsui Banking Corp. | |
0.657% due 01/10/2017 | | | | | 13,100 | | | | | | 13,138 | |
|
Svenska Handelsbanken AB | |
0.680% due 03/21/2016 | | | | | 28,830 | | | | | | 28,988 | |
|
Swedbank Hypotek AB | |
2.125% due 08/31/2016 | | | | | 1,100 | | | | | | 1,132 | |
|
Temasek Financial Ltd. | |
4.500% due 09/21/2015 | | | | | 1,000 | | | | | | 1,048 | |
| | | | | | |
| 76 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Toyota Motor Credit Corp. | |
0.516% due 05/17/2016 | | $ | | | 21,400 | | | $ | | | 21,479 | |
|
Union Bank N.A. | |
0.984% due 09/26/2016 | | | | | 5,400 | | | | | | 5,457 | |
|
WEA Finance LLC | |
5.750% due 09/02/2015 | | | | | 5,400 | | | | | | 5,840 | |
|
Wells Fargo & Co. | |
0.688% due 04/22/2019 | | | | | 20,000 | | | | | | 20,071 | |
|
Woori Bank Co. Ltd. | |
7.000% due 02/02/2015 | | | | | 6,407 | | | | | | 6,634 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,446,747 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 20.1% | |
|
AbbVie, Inc. | |
1.200% due 11/06/2015 | | | | | 39,750 | | | | | | 40,030 | |
|
Agilent Technologies, Inc. | |
5.500% due 09/14/2015 | | | | | 1,500 | | | | | | 1,583 | |
|
America Movil S.A.B. de C.V. | |
1.230% due 09/12/2016 | | | | | 33,900 | | | | | | 34,325 | |
3.625% due 03/30/2015 | | | | | 11,000 | | | | | | 11,250 | |
5.750% due 01/15/2015 | | | | | 400 | | | | | | 411 | |
|
Amgen, Inc. | |
0.608% due 05/22/2017 | | | | | 18,000 | | | | | | 18,023 | |
|
Anglo American Capital PLC | |
1.176% due 04/15/2016 | | | | | 2,000 | | | | | | 2,007 | |
|
Anheuser-Busch Cos. LLC | |
5.000% due 01/15/2015 | | | | | 1,445 | | | | | | 1,481 | |
|
Anheuser-Busch InBev Worldwide, Inc. | |
0.800% due 07/15/2015 | | | | | 12,100 | | | | | | 12,157 | |
4.125% due 01/15/2015 | | | | | 1,318 | | | | | | 1,345 | |
|
Apple, Inc. | |
0.523% due 05/06/2019 | | | | | 15,000 | | | | | | 15,032 | |
|
BAT International Finance PLC | |
1.400% due 06/05/2015 | | | | | 7,500 | | | | | | 7,565 | |
|
BMW U.S. Capital LLC | |
0.567% due 06/02/2017 | | | | | 17,000 | | | | | | 16,956 | |
|
Boston Scientific Corp. | |
6.250% due 11/15/2015 | | | | | 6,000 | | | | | | 6,439 | |
|
Cameron International Corp. | |
1.150% due 12/15/2016 | | | | | 5,400 | | | | | | 5,403 | |
1.600% due 04/30/2015 | | | | | 985 | | | | | | 993 | |
|
Canadian Natural Resources Ltd. | |
0.609% due 03/30/2016 | | | | | 6,000 | | | | | | 6,016 | |
|
Cisco Systems, Inc. | |
0.507% due 03/03/2017 | | | | | 12,600 | | | | | | 12,658 | |
|
CNPC General Capital Ltd. | |
1.450% due 04/16/2016 | | | | | 3,350 | | | | | | 3,358 | |
|
Covidien International Finance S.A. | |
1.350% due 05/29/2015 | | | | | 5,500 | | | | | | 5,546 | |
2.800% due 06/15/2015 | | | | | 3,000 | | | | | | 3,063 | |
|
COX Communications, Inc. | |
5.450% due 12/15/2014 | | | | | 1,465 | | | | | | 1,497 | |
5.500% due 10/01/2015 | | | | | 792 | | | | | | 839 | |
|
CRH America, Inc. | |
4.125% due 01/15/2016 | | | | | 1,269 | | | | | | 1,331 | |
|
Daimler Finance North America LLC | |
0.580% due 03/10/2017 | | | | | 6,600 | | | | | | 6,611 | |
0.905% due 08/01/2016 | | | | | 2,000 | | | | | | 2,019 | |
1.300% due 07/31/2015 | | | | | 6,500 | | | | | | 6,554 | |
1.650% due 04/10/2015 | | | | | 550 | | | | | | 555 | |
|
Devon Energy Corp. | |
0.681% due 12/15/2015 | | | | | 23,150 | | | | | | 23,249 | |
0.771% due 12/15/2016 | | | | | 3,000 | | | | | | 3,016 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Ecolab, Inc. | |
1.000% due 08/09/2015 | | $ | | | 2,500 | | | $ | | | 2,513 | |
|
Enbridge, Inc. | |
0.678% due 06/02/2017 | | | | | 3,800 | | | | | | 3,810 | |
|
Ensco PLC | |
3.250% due 03/15/2016 | | | | | 4,000 | | | | | | 4,164 | |
|
Enterprise Products Operating LLC | |
5.000% due 03/01/2015 | | | | | 2,400 | | | | | | 2,473 | |
5.600% due 10/15/2014 | | | | | 1,500 | | | | | | 1,522 | |
|
Express Scripts Holding Co. | |
2.750% due 11/21/2014 | | | | | 31,989 | | | | | | 32,292 | |
|
FBG Finance Pty. Ltd. | |
5.125% due 06/15/2015 | | | | | 16,000 | | | | | | 16,664 | |
|
Foster’s Finance Corp. | |
4.875% due 10/01/2014 | | | | | 1,200 | | | | | | 1,213 | |
|
Freeport-McMoRan Copper & Gold, Inc. | |
1.400% due 02/13/2015 | | | | | 3,300 | | | | | | 3,314 | |
|
Georgia-Pacific LLC | |
7.700% due 06/15/2015 | | | | | 3,770 | | | | | | 4,022 | |
|
Gilead Sciences, Inc. | |
2.400% due 12/01/2014 | | | | | 2,550 | | | | | | 2,571 | |
|
Glencore Finance Canada Ltd. | |
2.850% due 11/10/2014 | | | | | 2,700 | | | | | | 2,716 | |
|
Harley-Davidson Funding Corp. | |
5.750% due 12/15/2014 | | | | | 5,110 | | | | | | 5,230 | |
|
Hutchison Whampoa International Ltd. | |
4.625% due 09/11/2015 | | | | | 8,186 | | | | | | 8,573 | |
|
Hyundai Capital America | |
1.450% due 02/06/2017 | | | | | 7,500 | | | | | | 7,532 | |
1.625% due 10/02/2015 | | | | | 10,860 | | | | | | 10,961 | |
1.875% due 08/09/2016 | | | | | 3,400 | | | | | | 3,452 | |
|
Hyundai Motor Manufacturing Czech s.r.o. | |
4.500% due 04/15/2015 | | | | | 800 | | | | | | 823 | |
|
International Business Machines Corp. | |
1.950% due 07/22/2016 | | | | | 4,323 | | | | | | 4,438 | |
|
Kansas City Southern de Mexico S.A. de C.V. | |
0.928% due 10/28/2016 | | | | | 7,920 | | | | | | 7,952 | |
|
KazMunayGas National Co. JSC | |
11.750% due 01/23/2015 | | | | | 4,000 | | | | | | 4,232 | |
|
Kellogg Co. | |
0.454% due 02/13/2015 | | | | | 1,200 | | | | | | 1,201 | |
|
Korea National Oil Corp. | |
3.125% due 04/03/2017 | | | | | 5,000 | | | | | | 5,215 | |
5.375% due 07/30/2014 | | | | | 2,985 | | | | | | 2,996 | |
|
Maytag Corp. | |
6.450% due 08/15/2014 | | | | | 850 | | | | | | 856 | |
|
McKesson Corp. | |
0.630% due 09/10/2015 | | | | | 4,765 | | | | | | 4,775 | |
|
Merck Sharp & Dohme Corp. | |
4.000% due 06/30/2015 | | | | | 2,850 | | | | | | 2,954 | |
|
Nabors Industries, Inc. | |
2.350% due 09/15/2016 | | | | | 2,750 | | | | | | 2,809 | |
|
NBCUniversal Enterprise, Inc. | |
0.763% due 04/15/2016 | | | | | 11,500 | | | | | | 11,567 | |
0.911% due 04/15/2018 | | | | | 17,200 | | | | | | 17,408 | |
|
NBCUniversal Media LLC | |
2.875% due 04/01/2016 | | | | | 2,556 | | | | | | 2,654 | |
3.650% due 04/30/2015 | | | | | 7,500 | | | | | | 7,705 | |
|
Newell Rubbermaid, Inc. | |
2.000% due 06/15/2015 | | | | | 1,500 | | | | | | 1,519 | |
|
Nexen Energy ULC | |
5.200% due 03/10/2015 | | | | | 700 | | | | | | 724 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Nissan Motor Acceptance Corp. | |
0.934% due 09/26/2016 | | $ | | | 32,775 | | | $ | | | 33,011 | |
1.950% due 09/12/2017 | | | | | 2,200 | | | | | | 2,229 | |
4.500% due 01/30/2015 | | | | | 8,845 | | | | | | 9,038 | |
|
Oracle Corp. | |
0.744% due 10/08/2019 (a) | | | | | 10,000 | | | | | | 10,000 | |
|
Penerbangan Malaysia Bhd. | |
5.625% due 03/15/2016 | | | | | 6,100 | | | | | | 6,571 | |
|
Penske Truck Leasing Co. LP | |
2.500% due 07/11/2014 | | | | | 10,400 | | | | | | 10,405 | |
2.500% due 03/15/2016 | | | | | 1,200 | | | | | | 1,234 | |
3.125% due 05/11/2015 | | | | | 6,935 | | | | | | 7,087 | |
|
PepsiCo, Inc. | |
0.437% due 02/26/2016 | | | | | 6,000 | | | | | | 6,009 | |
|
Petrobras International Finance Co. | |
2.875% due 02/06/2015 | | | | | 34,800 | | | | | | 35,258 | |
|
Phillips 66 | |
1.950% due 03/05/2015 | | | | | 5,284 | | | | | | 5,338 | |
|
SABIC Capital BV | |
3.000% due 11/02/2015 | | | | | 5,100 | | | | | | 5,249 | |
|
SABMiller Holdings, Inc. | |
0.915% due 08/01/2018 | | | | | 4,500 | | | | | | 4,530 | |
1.850% due 01/15/2015 | | | | | 14,940 | | | | | | 15,047 | |
|
SABMiller PLC | |
6.500% due 07/01/2016 | | | | | 1,125 | | | | | | 1,244 | |
|
Symantec Corp. | |
2.750% due 09/15/2015 | | | | | 5,561 | | | | | | 5,689 | |
|
Telefonica Emisiones S.A.U. | |
0.880% due 06/23/2017 | | | | | 10,000 | | | | | | 10,001 | |
3.729% due 04/27/2015 | | | | | 5,920 | | | | | | 6,066 | |
3.992% due 02/16/2016 | | | | | 785 | | | | | | 822 | |
4.949% due 01/15/2015 | | | | | 1,200 | | | | | | 1,227 | |
|
Tesco PLC | |
2.000% due 12/05/2014 | | | | | 4,150 | | | | | | 4,174 | |
|
Teva Pharmaceutical Finance BV | |
3.000% due 06/15/2015 | | | | | 12,222 | | | | | | 12,522 | |
|
Thermo Fisher Scientific, Inc. | |
2.250% due 08/15/2016 | | | | | 500 | | | | | | 513 | |
3.200% due 05/01/2015 | | | | | 3,955 | | | | | | 4,044 | |
3.200% due 03/01/2016 | | | | | 1,250 | | | | | | 1,299 | |
3.250% due 11/20/2014 | | | | | 12,363 | | | | | | 12,497 | |
|
Total Capital Canada Ltd. | |
0.606% due 01/15/2016 | | | | | 10,900 | | | | | | 10,954 | |
|
Tyco Electronics Group S.A. | |
1.600% due 02/03/2015 | | | | | 1,500 | | | | | | 1,510 | |
|
UnitedHealth Group, Inc. | |
0.850% due 10/15/2015 | | | | | 2,500 | | | | | | 2,511 | |
|
Volkswagen Group of America Finance LLC | |
0.597% due 05/23/2017 | | | | | 8,000 | | | | | | 8,015 | |
|
Volkswagen International Finance NV | |
0.666% due 11/18/2016 | | | | | 30,100 | | | | | | 30,232 | |
1.150% due 11/20/2015 | | | | | 6,500 | | | | | | 6,538 | |
|
Volvo Treasury AB | |
5.950% due 04/01/2015 | | | | | 8,805 | | | | | | 9,144 | |
|
WellPoint, Inc. | |
1.250% due 09/10/2015 | | | | | 4,000 | | | | | | 4,032 | |
5.250% due 01/15/2016 | | | | | 9,400 | | | | | | 10,047 | |
|
Williams Partners LP | |
3.800% due 02/15/2015 | | | | | 5,408 | | | | | | 5,513 | |
|
Woodside Finance Ltd. | |
4.500% due 11/10/2014 | | | | | 1,450 | | | | | | 1,470 | |
|
Woolworths Ltd. | |
2.550% due 09/22/2015 | | | | | 4,200 | | | | | | 4,293 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 77 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
WPP Finance U.K. | |
8.000% due 09/15/2014 | | $ | | | 6,540 | | | $ | | | 6,638 | |
|
Xerox Corp. | |
4.250% due 02/15/2015 | | | | | 1,672 | | | | | | 1,711 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 757,874 | |
| | | | | | | | | | | | |
| |
UTILITIES 9.8% | |
|
AT&T, Inc. | |
0.654% due 03/30/2017 | | | | | 20,000 | | | | | | 20,052 | |
|
BellSouth Corp. | |
4.182% due 04/26/2021 | | | | | 15,000 | | | | | | 15,434 | |
|
BP Capital Markets PLC | |
0.553% due 11/06/2015 | | | | | 2,000 | | | | | | 2,006 | |
0.643% due 11/07/2016 | | | | | 7,300 | | | | | | 7,338 | |
0.700% due 11/06/2015 | | | | | 200 | | | | | | 201 | |
0.864% due 09/26/2018 | | | | | 29,450 | | | | | | 29,752 | |
3.125% due 10/01/2015 | | | | | 5,075 | | | | | | 5,239 | |
|
Dominion Resources, Inc. | |
1.950% due 08/15/2016 | | | | | 2,445 | | | | | | 2,501 | |
5.150% due 07/15/2015 | | | | | 2,357 | | | | | | 2,468 | |
|
Duke Energy Carolinas LLC | |
1.750% due 12/15/2016 | | | | | 9,000 | | | | | | 9,206 | |
|
Duke Energy Corp. | |
0.611% due 04/03/2017 | | | | | 3,000 | | | | | | 3,011 | |
|
Electricite de France | |
0.688% due 01/20/2017 | | | | | 21,000 | | | | | | 21,098 | |
|
Entergy Corp. | |
3.625% due 09/15/2015 | | | | | 8,600 | | | | | | 8,875 | |
|
Gazprom OAO Via Gaz Capital S.A. | |
5.092% due 11/29/2015 | | | | | 1,500 | | | | | | 1,570 | |
8.125% due 07/31/2014 | | | | | 11,800 | | | | | | 11,858 | |
|
Iberdrola Finance Ireland Ltd. | |
3.800% due 09/11/2014 | | | | | 7,230 | | | | | | 7,274 | |
|
Korea East-West Power Co. Ltd. | |
2.500% due 07/16/2017 | | | | | 12,500 | | | | | | 12,783 | |
|
Korea Electric Power Corp. | |
3.000% due 10/05/2015 | | | | | 6,500 | | | | | | 6,672 | |
5.500% due 07/21/2014 | | | | | 434 | | | | | | 435 | |
|
Korea Gas Corp. | |
6.000% due 07/15/2014 | | | | | 950 | | | | | | 952 | |
|
Korea Hydro & Nuclear Power Co. Ltd. | |
3.125% due 09/16/2015 | | | | | 12,703 | | | | | | 13,034 | |
|
Korea Western Power Co. Ltd. | |
3.125% due 05/10/2017 | | | | | 3,500 | | | | | | 3,642 | |
|
NextEra Energy Capital Holdings, Inc. | |
1.339% due 09/01/2015 | | | | | 4,900 | | | | | | 4,937 | |
|
Petrobras Global Finance BV | |
1.849% due 05/20/2016 | | | | | 7,170 | | | | | | 7,197 | |
|
Petroleos Mexicanos | |
4.875% due 03/15/2015 | | | | | 675 | | | | | | 695 | |
|
Petronas Global Sukuk Ltd. | |
4.250% due 08/12/2014 | | | | | 12,950 | | | | | | 13,000 | |
|
Plains All American Pipeline LP | |
5.875% due 08/15/2016 | | | | | 1,000 | | | | | | 1,081 | |
|
Qtel International Finance Ltd. | |
3.375% due 10/14/2016 | | | | | 2,000 | | | | | | 2,102 | |
|
Ras Laffan Liquefied Natural Gas Co. Ltd. | |
5.500% due 09/30/2014 | | | | | 23,800 | | | | | | 24,092 | |
|
Rosneft Finance S.A. | |
6.250% due 02/02/2015 | | | | | 1,000 | | | | | | 1,029 | |
|
Scottish Power Ltd. | |
5.375% due 03/15/2015 | | | | | 4,581 | | | | | | 4,728 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Shell International Finance BV | |
0.434% due 11/15/2016 | | $ | | | 12,550 | | | $ | | | 12,569 | |
|
Sinopec Group Overseas Development Ltd. | |
1.007% due 04/10/2017 | | | | | 27,700 | | | | | | 27,742 | |
1.147% due 04/10/2019 | | | | | 2,000 | | | | | | 2,007 | |
|
Telefonos de Mexico S.A.B. de C.V. | |
5.500% due 01/27/2015 | | | | | 1,800 | | | | | | 1,846 | |
|
Trans-Allegheny Interstate Line Co. | |
4.000% due 01/15/2015 | | | | | 9,000 | | | | | | 9,149 | |
|
Verizon Communications, Inc. | |
0.631% due 06/09/2017 | | | | | 4,800 | | | | | | 4,809 | |
1.002% due 06/17/2019 | | | | | 6,000 | | | | | | 6,080 | |
1.761% due 09/15/2016 | | | | | 42,950 | | | | | | 44,157 | |
1.981% due 09/14/2018 | | | | | 15,500 | | | | | | 16,370 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 368,991 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $2,564,804) | | | 2,573,612 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS & NOTES 2.1% | |
| |
ARKANSAS 0.0% | |
|
Arkansas Student Loan Authority Revenue Bonds, Series 2010 | |
1.127% due 11/25/2043 | | | | | 1,186 | | | | | | 1,197 | |
| | | | | | | | | | | | |
| |
CALIFORNIA 0.8% | |
|
California State General Obligation Notes, Series 2009 | |
4.850% due 10/01/2014 | | | | | 1,500 | | | | | | 1,517 | |
5.450% due 04/01/2015 | | | | | 7,400 | | | | | | 7,683 | |
|
California State General Obligation Notes, Series 2010 | |
3.950% due 11/01/2015 | | | | | 160 | | | | | | 168 | |
|
California State General Obligation Notes, Series 2013 | |
0.850% due 02/01/2015 | | | | | 5,000 | | | | | | 5,014 | |
1.050% due 02/01/2016 | | | | | 7,500 | | | | | | 7,566 | |
1.250% due 11/01/2016 | | | | | 4,500 | | | | | | 4,557 | |
|
University of California Revenue Bonds, Series 2011 | |
0.651% due 07/01/2041 | | | | | 4,000 | | | | | | 4,006 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,511 | |
| | | | | | | | | | | | |
| |
FLORIDA 0.0% | |
|
JEA Water & Sewer System, Florida Revenue Notes, Series 2013 | |
1.286% due 10/01/2016 | | | | | 1,205 | | | | | | 1,205 | |
| | | | | | | | | | | | |
| |
MASSACHUSETTS 0.2% | |
|
Commonwealth of Massachusetts General Obligation Notes, Series 2012 | |
0.400% due 01/01/2017 | | | | | 5,000 | | | | | | 5,010 | |
| | | | | | | | | | | | |
| |
NEW JERSEY 0.3% | |
|
New Jersey Economic Development Authority Revenue Notes, Series 2013 | |
0.857% due 03/01/2015 | | | | | 10,500 | | | | | | 10,531 | |
| | | | | | | | | | | | |
| |
NEW YORK 0.6% | |
|
New York City, New York General Obligation Bonds, Series 2003 | |
5.000% due 10/15/2015 | | | | | 900 | | | | | | 954 | |
|
New York City, New York General Obligation Notes, Series 2007 | |
5.125% due 10/01/2015 | | | | | 7,000 | | | | | | 7,417 | |
|
New York City, New York General Obligation Notes, Series 2010 | |
2.230% due 10/01/2014 | | | | | 2,680 | | | | | | 2,693 | |
3.100% due 03/01/2015 | | | | | 700 | | | | | | 713 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
New York City, New York General Obligation Notes, Series 2011 | |
2.680% due 06/01/2017 | | $ | | | 8,000 | | | $ | | | 8,341 | |
|
New York State Dormitory Authority Revenue Notes, Series 2010 | |
3.125% due 12/01/2015 | | | | | 100 | | | | | | 104 | |
|
New York State Dormitory Authority Revenue Notes, Series 2012 | |
5.000% due 10/01/2015 | | | | | 2,000 | | | | | | 2,117 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,339 | |
| | | | | | | | | | | | |
| |
OREGON 0.1% | |
|
Tri-County Metropolitan Transportation District, Oregon Revenue Notes, Series 2013 | |
3.000% due 11/01/2016 | | | | | 3,500 | | | | | | 3,574 | |
| | | | | | | | | | | | |
| |
PENNSYLVANIA 0.0% | |
|
Commonwealth Financing Authority, Pennsylvania Revenue Notes, Series 2013 | |
0.745% due 06/01/2015 | | | | | 1,195 | | | | | | 1,199 | |
| | | | | | | | | | | | |
| |
TEXAS 0.1% | |
|
Harris County, Texas General Obligation Notes, Series 2012 | |
2.250% due 10/01/2015 | | | | | 400 | | | | | | 409 | |
|
Texas State General Obligation Notes, Series 2013 | |
0.551% due 06/01/2018 | | | | | 3,600 | | | | | | 3,602 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,011 | |
| | | | | | | | | | | | |
| |
VIRGINIA 0.0% | |
|
Fairfax County, Virginia Redevelopment & Housing Authority Revenue Notes, Series 2013 | |
0.660% due 03/01/2015 | | | | | 200 | | | | | | 200 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $79,494) | | | 79,777 | |
| | | | | | | | | | | | |
| |
U.S. GOVERNMENT AGENCIES 5.1% | |
|
Fannie Mae | |
0.402% due 08/27/2036 - 05/25/2037 | | | | | 2,759 | | | | | | 2,764 | |
0.500% due 04/29/2016 (c) | | | | | 10,000 | | | | | | 9,980 | |
0.502% due 11/25/2036 | | | | | 922 | | | | | | 922 | |
0.552% due 06/25/2026 - 12/25/2043 | | | | | 34,280 | | | | | | 34,411 | |
0.554% due 04/18/2028 - 09/18/2031 | | | | | 2,262 | | | | | | 2,278 | |
0.572% due 03/25/2037 | | | | | 1,292 | | | | | | 1,295 | |
0.595% due 08/25/2015 | | | | | 6,743 | | | | | | 6,758 | |
0.602% due 05/25/2017 - 06/25/2042 | | | | | 3,185 | | | | | | 3,190 | |
0.652% due 06/25/2031 - 12/25/2040 | | | | | 1,141 | | | | | | 1,147 | |
0.654% due 05/18/2032 | | | | | 565 | | | | | | 571 | |
0.702% due 09/25/2041 | | | | | 8,727 | | | | | | 8,788 | |
0.704% due 03/18/2032 | | | | | 366 | | | | | | 370 | |
0.732% due 06/25/2041 - 07/25/2041 | | | | | 29,475 | | | | | | 29,709 | |
0.832% due 12/25/2037 - 02/25/2041 | | | | | 3,808 | | | | | | 3,854 | |
0.851% due 01/01/2021 | | | | | 3,305 | | | | | | 3,348 | |
0.852% due 05/25/2037 | | | | | 460 | | | | | | 463 | |
0.902% due 02/25/2040 | | | | | 368 | | | | | | 370 | |
1.002% due 07/25/2038 | | | | | 571 | | | | | | 581 | |
3.000% due 02/01/2043 - 06/01/2043 | | | | | 552 | | | | | | 545 | |
|
FDIC Structured Sale Guaranteed Notes | |
0.651% due 11/29/2037 | | | | | 942 | | | | | | 939 | |
| | | | | | |
| 78 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Federal Farm Credit Bank | |
0.280% due 09/19/2016 (c) | | $ | | | 35,650 | | | $ | | | 35,735 | |
|
Freddie Mac | |
0.392% due 05/15/2036 | | | | | 250 | | | | | | 250 | |
0.402% due 11/15/2036 | | | | | 21 | | | | | | 21 | |
0.472% due 02/15/2037 | | | | | 3,426 | | | | | | 3,423 | |
0.572% due 04/15/2041 | | | | | 1,143 | | | | | | 1,146 | |
0.652% due 07/15/2039 | | | | | 599 | | | | | | 603 | |
|
Ginnie Mae | |
0.453% due 09/20/2033 | | | | | 61 | | | | | | 61 | |
0.702% due 04/20/2062 | | | | | 7,078 | | | | | | 7,094 | |
0.852% due 02/20/2062 | | | | | 9,103 | | | | | | 9,184 | |
1.202% due 02/20/2062 | | | | | 6,985 | | | | | | 7,147 | |
6.000% due 12/15/2033 | | | | | 50 | | | | | | 58 | |
6.500% due 11/15/2033 - 09/15/2034 | | | | | 45 | | | | | | 51 | |
7.000% due 01/15/2024 - 07/15/2032 | | | | | 288 | | | | | | 310 | |
7.500% due 07/15/2014 - 06/15/2028 | | | | | 241 | | | | | | 260 | |
10.000% due 02/15/2016 - 04/15/2025 | | | | | 38 | | | | | | 38 | |
11.000% due 07/15/2015 - 09/20/2019 | | | | | 4 | | | | | | 3 | |
11.500% due 08/15/2015 - 11/15/2019 | | | | | 1 | | | | | | 1 | |
|
NCUA Guaranteed Notes | |
0.501% due 12/07/2020 | | | | | 1,732 | | | | | | 1,734 | |
0.522% due 11/06/2017 | | | | | 5,030 | | | | | | 5,042 | |
0.532% due 03/06/2020 | | | | | 2,648 | | | | | | 2,654 | |
0.712% due 12/08/2020 | | | | | 3,595 | | | | | | 3,620 | |
1.600% due 10/29/2020 | | | | | 1,748 | | | | | | 1,760 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $191,892) | | | | | | | | | 192,478 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES 4.7% | |
|
Banc of America Commercial Mortgage Trust | |
5.919% due 05/10/2045 | | | | | 1,300 | | | | | | 1,394 | |
|
Banc of America Mortgage Trust | |
2.638% due 03/25/2034 | | | | | 500 | | | | | | 510 | |
|
BCAP LLC Trust | |
2.380% due 05/26/2036 | | | | | 1,057 | | | | | | 1,058 | |
|
Bear Stearns Adjustable Rate Mortgage Trust | |
2.475% due 08/25/2033 | | | | | 2,462 | | | | | | 2,485 | |
|
Bear Stearns Commercial Mortgage Securities Trust | |
4.978% due 07/11/2042 | | | | | 3,703 | | | | | | 3,712 | |
|
BNPP Mortgage Securities LLC Trust | |
6.000% due 08/27/2037 | | | | | 498 | | | | | | 522 | |
|
Citigroup/Deutsche Bank Commercial Mortgage Trust | |
5.289% due 12/11/2049 | | | | | 7,854 | | | | | | 8,446 | |
5.401% due 07/15/2044 | | | | | 1,923 | | | | | | 2,000 | |
5.481% due 01/15/2046 | | | | | 4,085 | | | | | | 4,322 | |
|
Commercial Mortgage Trust | |
0.282% due 12/15/2020 | | | | | 1,053 | | | | | | 1,050 | |
2.365% due 02/10/2029 | | | | | 11,100 | | | | | | 11,421 | |
|
Credit Suisse Commercial Mortgage Trust | |
5.297% due 12/15/2039 | | | | | 4,874 | | | | | | 5,295 | |
5.858% due 03/15/2039 | | | | | 5,145 | | | | | | 5,497 | |
6.051% due 09/15/2039 | | | | | 179 | | | | | | 180 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
4.829% due 11/15/2037 | | | | | 21,938 | | | | | | 22,040 | |
|
DBRR Trust | |
0.853% due 02/25/2045 | | | | | 9,405 | | | | | | 9,404 | |
0.946% due 09/25/2045 | | | | | 675 | | | | | | 675 | |
|
Fosse Master Issuer PLC | |
1.628% due 10/18/2054 | | | | | 2,526 | | | | | | 2,528 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
JPMorgan Chase Commercial Mortgage Securities Trust | |
1.525% due 07/15/2046 | | $ | | | 20 | | | $ | | | 20 | |
4.654% due 01/12/2037 | | | | | 233 | | | | | | 233 | |
4.818% due 01/15/2042 | | | | | 3,750 | | | | | | 3,805 | |
4.899% due 01/12/2037 | | | | | 3,100 | | | | | | 3,117 | |
4.928% due 09/12/2037 | | | | | 534 | | | | | | 534 | |
5.201% due 08/12/2037 | | | | | 29 | | | | | | 29 | |
5.395% due 12/15/2044 | | | | | 1,243 | | | | | | 1,256 | |
5.506% due 12/12/2044 | | | | | 2,848 | | | | | | 2,910 | |
5.814% due 06/12/2043 | | | | | 2,588 | | | | | | 2,789 | |
5.875% due 02/12/2049 | | | | | 3,005 | | | | | | 3,172 | |
5.991% due 06/15/2049 | | | | | 2,118 | | | | | | 2,244 | |
|
LB-UBS Commercial Mortgage Trust | |
5.150% due 04/15/2030 | | | | | 12,200 | | | | | | 12,493 | |
|
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates | |
0.852% due 11/15/2031 | | | | | 2,563 | | | | | | 2,568 | |
|
Merrill Lynch Mortgage Investors Trust | |
6.720% due 11/15/2026 | | | | | 863 | | | | | | 915 | |
|
Morgan Stanley Capital Trust | |
1.085% due 03/15/2045 | | | | | 1,253 | | | | | | 1,256 | |
3.884% due 09/15/2047 | | | | | 20,523 | | | | | | 21,331 | |
4.989% due 08/13/2042 | | | | | 1,200 | | | | | | 1,233 | |
5.439% due 02/12/2044 | | | | | 87 | | | | | | 88 | |
5.598% due 03/12/2044 | | | | | 4,819 | | | | | | 5,071 | |
5.610% due 04/15/2049 | | | | | 88 | | | | | | 89 | |
|
Morgan Stanley Re-REMIC Trust | |
5.997% due 08/12/2045 | | | | | 1,917 | | | | | | 2,119 | |
|
RBSSP Resecuritization Trust | |
0.652% due 10/26/2036 | | | | | 664 | | | | | | 639 | |
2.267% due 12/26/2036 | | | | | 3,563 | | | | | | 3,596 | |
2.718% due 05/26/2037 | | | | | 3,148 | | | | | | 3,175 | |
|
Selkirk Ltd. | |
1.183% due 02/20/2041 | | | | | 4,929 | | | | | | 4,931 | |
|
UBS-Citigroup Commercial Mortgage Trust | |
1.524% due 01/10/2045 | | | | | 2,806 | | | | | | 2,834 | |
|
Wachovia Bank Commercial Mortgage Trust | |
0.232% due 06/15/2020 | | | | | 202 | | | | | | 201 | |
|
WaMu Commercial Mortgage Securities Trust | |
5.524% due 03/23/2045 | | | | | 10,221 | | | | | | 10,451 | |
|
WFRBS Commercial Mortgage Trust | |
1.456% due 11/15/2044 | | | | | 819 | | | | | | 825 | |
1.607% due 06/15/2044 | | | | | 1,223 | | | | | | 1,229 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $179,139) | | | | | | 177,692 | |
| | | | | | | | | | | | |
| |
ASSET-BACKED SECURITIES 9.0% | |
|
ACA CLO Ltd. | |
0.479% due 07/25/2018 | | | | | 857 | | | | | | 855 | |
|
Aimco CLO | |
0.478% due 10/20/2019 | | | | | 238 | | | | | | 237 | |
0.479% due 08/20/2020 | | | | | 2,068 | | | | | | 2,050 | |
|
Ally Auto Receivables Trust | |
0.740% due 04/15/2016 | | | | | 2,615 | | | | | | 2,618 | |
|
ALM Ltd. | |
1.454% due 02/13/2023 | | | | | 22,500 | | | | | | 22,496 | |
|
Apidos CDO Ltd. | |
0.488% due 07/27/2017 | | | | | 22 | | | | | | 22 | |
0.490% due 06/12/2020 | | | | | 1,772 | | | | | | 1,765 | |
|
Apidos Quattro CDO | |
0.478% due 01/20/2019 | | | | | 1,119 | | | | | | 1,114 | |
|
Ares CLO Ltd. | |
0.857% due 11/25/2020 | | | | | 9,342 | | | | | | 9,295 | |
|
Avenue CLO Ltd. | |
0.488% due 07/20/2018 | | | | | 1,088 | | | | | | 1,089 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Babson CLO Ltd. | |
0.516% due 04/15/2019 | | $ | | | 853 | | | $ | | | 852 | |
|
Callidus Debt Partners CLO Fund Ltd. | |
0.486% due 04/17/2020 | | | | | 228 | | | | | | 229 | |
|
Carlyle Veyron CLO Ltd. | |
0.476% due 07/15/2018 | | | | | 2,066 | | | | | | 2,066 | |
|
Celf Loan Partners Ltd. | |
1.235% due 07/25/2019 | | | | | 3,251 | | | | | | 3,255 | |
|
Citibank Credit Card Issuance Trust | |
0.351% due 05/09/2018 | | | | | 12,500 | | | | | | 12,512 | |
0.391% due 02/07/2018 | | | | | 12,000 | | | | | | 12,014 | |
|
Citibank Omni Master Trust | |
2.902% due 08/15/2018 | | | | | 63,750 | | | | | | 63,958 | |
|
COA Summit CLO Ltd. | |
1.586% due 04/20/2023 | | | | | 3,000 | | | | | | 2,998 | |
|
ColumbusNova CLO Ltd. | |
0.488% due 07/18/2018 | | | | | 879 | | | | | | 873 | |
|
Cornerstone CLO Ltd. | |
0.446% due 07/15/2021 | | | | | 4,000 | | | | | | 3,946 | |
|
Denali Capital CLO Ltd. | |
0.488% due 04/21/2020 | | | | | 234 | | | | | | 234 | |
|
Drug Royalty LP | |
3.082% due 07/15/2023 | | | | | 3,300 | | | | | | 3,300 | |
|
Dryden Leveraged Loan CDO | |
0.468% due 10/20/2020 | | | | | 2,815 | | | | | | 2,795 | |
|
Dryden Senior Loan Fund | |
1.396% due 01/15/2022 | | | | | 4,500 | | | | | | 4,500 | |
|
Duane Street CLO Ltd. | |
0.478% due 01/11/2021 | | | | | 1,162 | | | | | | 1,151 | |
|
Educational Services of America, Inc. | |
0.882% due 04/25/2039 | | | | | 3,702 | �� | | | | | 3,707 | |
|
Exeter Automobile Receivables Trust | |
1.060% due 08/15/2018 | | | | | 21,500 | | | | | | 21,501 | |
|
Flagship CLO | |
0.461% due 09/20/2019 | | | | | 469 | | | | | | 466 | |
|
Ford Credit Auto Lease Trust | |
0.332% due 10/15/2016 | | | | | 15,000 | | | | | | 15,002 | |
|
Fore CLO Ltd. | |
0.473% due 07/20/2019 | | | | | 1,783 | | | | | | 1,777 | |
|
Four Corners CLO Ltd. | |
0.504% due 01/26/2020 | | | | | 1,245 | | | | | | 1,239 | |
|
Franklin CLO Ltd. | |
0.491% due 06/15/2018 | | | | | 2,384 | | | | | | 2,367 | |
|
Fraser Sullivan CLO Ltd. | |
0.491% due 03/15/2020 | | | | | 249 | | | | | | 248 | |
|
Golden Knight CDO Corp. | |
0.466% due 04/15/2019 | | | | | 2,614 | | | | | | 2,606 | |
|
Goldentree Loan Opportunities Ltd. | |
0.923% due 10/18/2021 | | | | | 972 | | | | | | 971 | |
|
Gracechurch Card Funding PLC | |
0.852% due 02/15/2017 | | | | | 14,400 | | | | | | 14,447 | |
|
Hyundai Capital Auto Funding Ltd. | |
1.154% due 09/20/2016 | | | | | 270 | | | | | | 270 | |
|
ING Investment Management CLO Ltd. | |
0.449% due 12/13/2020 | | | | | 952 | | | | | | 951 | |
0.479% due 12/13/2020 | | | | | 2,385 | | | | | | 2,366 | |
|
Inwood Park CDO Ltd. | |
0.453% due 01/20/2021 | | | | | 2,940 | | | | | | 2,927 | |
|
Jersey Street CLO Ltd. | |
0.478% due 10/20/2018 | | | | | 978 | | | | | | 975 | |
|
Landmark CDO Ltd. | |
0.468% due 10/19/2020 | | | | | 2,858 | | | | | | 2,855 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 79 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
LCM LP | |
1.486% due 04/15/2022 | | $ | | | 20,000 | | | $ | | | 20,006 | |
|
Madison Park Funding Ltd. | |
0.493% due 05/10/2019 | | | | | 263 | | | | | | 263 | |
|
Marathon CLO Ltd. | |
0.501% due 12/20/2019 | | | | | 257 | | | | | | 256 | |
|
Morgan Stanley Investment Management Croton Ltd. | |
0.486% due 01/15/2018 | | | | | 3,788 | | | | | | 3,788 | |
|
MT Wilson CLO Ltd. | |
0.458% due 07/11/2020 | | | | | 1,026 | | | | | | 1,024 | |
|
Northstar Education Finance, Inc. | |
0.368% due 01/30/2017 | | | | | 6,752 | | | | | | 6,688 | |
0.852% due 12/26/2031 | | | | | 4,024 | | | | | | 4,031 | |
|
Octagon Investment Partners Ltd. | |
1.493% due 05/05/2023 | | | | | 14,000 | | | | | | 14,001 | |
|
Panhandle-Plains Higher Education Authority, Inc. | |
0.735% due 07/01/2021 | | | | | 3,502 | | | | | | 3,505 | |
1.365% due 10/01/2035 | | | | | 1,681 | | | | | | 1,706 | |
|
Race Point CLO Ltd. | |
0.486% due 04/15/2020 | | | | | 4,664 | | | | | | 4,648 | |
|
SLM Private Education Loan Trust | |
0.902% due 10/16/2023 | | | | | 2,385 | | | | | | 2,396 | |
|
SLM Student Loan Trust | |
0.229% due 07/25/2017 | | | | | 464 | | | | | | 463 | |
0.309% due 04/25/2023 | | | | | 26 | | | | | | 26 | |
0.379% due 01/25/2021 | | | | | 1,074 | | | | | | 1,074 | |
0.412% due 05/25/2018 | | | | | 13,045 | | | | | | 13,048 | |
0.429% due 01/25/2016 | | | | | 230 | | | | | | 230 | |
0.431% due 03/15/2019 | | | | | 920 | | | | | | 919 | |
0.579% due 10/25/2016 | | | | | 2,545 | | | | | | 2,546 | |
0.629% due 04/25/2023 | | | | | 11,740 | | | | | | 11,762 | |
0.729% due 10/25/2017 | | | | | 1,468 | | | | | | 1,470 | |
0.852% due 01/25/2029 | | | | | 7,391 | | | | | | 7,469 | |
1.729% due 04/25/2023 | | | | | 1,186 | | | | | | 1,228 | |
|
Stanfield Bristol CLO Ltd. | |
0.484% due 10/15/2019 | | | | | 543 | | | | | | 543 | |
|
Structured Asset Investment Loan Trust | |
1.152% due 11/25/2033 | | | | | 1,874 | | | | | | 1,809 | |
|
WG Horizons CLO | |
0.487% due 05/24/2019 | | | | | 700 | | | | | | 692 | |
|
WhiteHorse Ltd. | |
0.495% due 05/01/2018 | | | | | 2,781 | | | | | | 2,777 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $339,789) | | | | | | | | | | | 339,267 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 2.5% | |
|
Export-Import Bank of China | |
5.250% due 07/29/2014 | | | | | 4,700 | | | | | | 4,714 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Japan Bank for International Cooperation | |
0.584% due 11/13/2018 | | $ | | | 21,800 | | | $ | | | 21,833 | |
1.875% due 09/24/2015 | | | | | 20,000 | | | | | | 20,374 | |
2.500% due 01/21/2016 | | | | | 8,000 | | | | | | 8,258 | |
|
Japan Finance Organization for Municipalities | |
0.878% due 05/22/2017 | | | | | 13,000 | | | | | | 13,057 | |
|
Korea Housing Finance Corp. | |
4.125% due 12/15/2015 | | | | | 2,600 | | | | | | 2,722 | |
|
Qatar Government International Bond | |
4.000% due 01/20/2015 | | | | | 1,500 | | | | | | 1,530 | |
|
State of North Rhine-Westphalia | |
0.528% due 04/28/2017 | | | | | 1,000 | | | | | | 1,006 | |
0.928% due 07/11/2017 | | | | | 12,500 | | | | | | 12,744 | |
1.500% due 01/13/2015 | | | | | 5,000 | | | | | | 5,034 | |
1.625% due 09/17/2014 | | | | | 3,200 | | | | | | 3,209 | |
| | | | | | | | | | | | |
Total Sovereign Issues
(Cost $94,351) | | | | | | | | | | | 94,481 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 10.7% | |
| |
CERTIFICATES OF DEPOSIT 3.1% | |
|
Banco Bilbao Vizcaya | |
0.976% due 10/23/2015 | | | | | 20,000 | | | | | | 20,001 | |
|
Credit Suisse | |
0.547% due 08/24/2015 | | | | | 2,500 | | | | | | 2,499 | |
0.603% due 01/28/2016 | | | | | 28,700 | | | | | | 28,718 | |
0.641% due 12/07/2015 | | | | | 9,600 | | | | | | 9,612 | |
| | | | |
Intesa Sanpaolo SpA | | | | | | | | | | | | |
1.608% due 04/11/2016 | | | | | 2,000 | | | | | | 2,020 | |
1.650% due 04/07/2015 | | | | | 40,500 | | | | | | 40,587 | |
|
Itau Unibanco Holding S.A. | |
1.151% due 06/04/2015 | | | | | 12,000 | | | | | | 12,001 | |
|
Kookmin Bank | |
0.775% due 05/04/2015 | | | | | 2,000 | | | | | | 2,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 117,438 | |
| | | | | | | | | | | | |
| |
COMMERCIAL PAPER 6.7% | |
|
Daimler Finance North America LLC | |
0.596% due 03/04/2015 | | | | | 15,000 | | | | | | 14,952 | |
|
Edison International | |
0.243% due 07/10/2014 | | | | | 11,700 | | | | | | 11,699 | |
|
ENI Coordination Center | |
0.509% due 03/20/2015 | | | | | 6,500 | | | | | | 6,479 | |
|
ENI Finance USA, Inc. | |
0.581% due 05/15/2015 | | | | | 31,400 | | | | | | 31,272 | |
|
Entergy Corp. | |
0.884% due 08/25/2014 | | | | | 1,100 | | | | | | 1,099 | |
0.946% due 09/15/2014 | | | | | 4,000 | | | | | | 3,996 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.946% due 09/16/2014 | | $ | | | 10,000 | | | $ | | | 9,990 | |
0.966% due 07/21/2014 | | | | | 14,000 | | | | | | 13,993 | |
|
Ford Motor Credit Co. LLC | |
0.734% due 03/02/2015 | | | | | 14,100 | | | | | | 14,036 | |
0.775% due 01/05/2015 | | | | | 9,600 | | | | | | 9,569 | |
0.919% due 08/05/2014 | | | | | 14,900 | | | | | | 14,887 | |
0.919% due 10/03/2014 | | | | | 1,900 | | | | | | 1,898 | |
|
Glencore Funding LLC | |
0.681% due 07/16/2014 | | | | | 4,985 | | | | | | 4,984 | |
0.682% due 07/15/2014 | | | | | 8,000 | | | | | | 7,998 | |
0.682% due 08/11/2014 | | | | | 1,600 | | | | | | 1,599 | |
0.692% due 07/07/2014 | | | | | 1,300 | | | | | | 1,300 | |
0.692% due 07/08/2014 | | | | | 5,700 | | | | | | 5,699 | |
0.712% due 07/16/2014 | | | | | 16,000 | | | | | | 15,995 | |
|
Hewlett-Packard Co. | |
0.284% due 07/28/2014 | | | | | 8,200 | | | | | | 8,198 | |
|
Kansas City Southern Railway | |
0.629% due 07/01/2014 | | | | | 7,500 | | | | | | 7,500 | |
|
Mohawk Industries, Inc. | |
0.731% due 07/08/2014 | | | | | 4,000 | | | | | | 3,999 | |
0.792% due 07/02/2014 | | | | | 14,000 | | | | | | 14,000 | |
|
NiSource Finance Corp. | |
0.619% due 07/24/2014 | | | | | 10,000 | | | | | | 9,996 | |
|
Vodafone Group PLC | |
0.520% due 04/10/2015 | | | | | 15,500 | | | | | | 15,441 | |
0.561% due 04/10/2015 | | | | | 20,000 | | | | | | 19,924 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 250,503 | |
| | | | | | | | | | | | |
| |
REPURCHASE AGREEMENTS (b) 0.0% | |
| | | | | | | | | | | 219 | |
| | | | | | | | | | | | |
| |
SHORT-TERM NOTES 0.9% | |
|
Korea Development Bank | |
0.679% due 08/20/2014 | | | | | 17,000 | | | | | | 17,000 | |
|
Korea Finance Corp. | |
0.557% due 11/25/2014 | | | | | 18,000 | | | | | | 18,009 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,009 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $402,938) | | | | | | 403,169 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $3,852,407) | | | | | | 3,860,476 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 102.3%
(Cost $3,852,407) | | | $ | | | 3,860,476 | |
| |
Other Assets and Liabilities, net (2.3%) | | | (86,580 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 3,773,896 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 219 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (225 | ) | | $ | 219 | | | $ | 219 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (225 | ) | | $ | 219 | | | $ | 219 | |
| (1) | Includes accrued interest. |
| | | | | | |
| 80 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (2) | | | Payable for
Reverse
Repurchase
Agreements | |
BSN | | | | | 0.090 | % | | | 05/21/2014 | | | | 07/21/2014 | | | $ | (11,328 | ) | | $ | (11,329 | ) |
JPS | | | | | 0.110 | % | | | 05/28/2014 | | | | 07/24/2014 | | | | (30,116 | ) | | | (30,119 | ) |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | $ | (41,448 | ) |
| (2) | As of June 30, 2014, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended June 30, 2014 was $143,118 at a weighted average interest rate of 0.003%. |
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 (received)/pledged as of June 30, 2014:
| (c) | Securities with an aggregate market value of $41,415 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received)/
Pledged | | | Net
Exposure (3) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BSN | | | | $ | 0 | | | $ | (11,329 | ) | | $ | 0 | | | $ | 0 | | | $ | (11,329 | ) | | $ | 11,327 | | | $ | (2 | ) |
JPS | | | | | 0 | | | | (30,119 | ) | | | 0 | | | | 0 | | | | (30,119 | ) | | | 30,088 | | | | (31 | ) |
SSB | | | | | 219 | | | | 0 | | | | 0 | | | | 0 | | | | 219 | | | | (225 | ) | | | (6 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 219 | | | $ | (41,448 | ) | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 0 | | | $ | 1,446,747 | | | $ | 0 | | | $ | 1,446,747 | |
Industrials | | | | | 10,000 | | | | 747,874 | | | | 0 | | | | 757,874 | |
Utilities | | | | | 0 | | | | 368,991 | | | | 0 | | | | 368,991 | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
Arkansas | | | | | 0 | | | | 1,197 | | | | 0 | | | | 1,197 | |
California | | | | | 0 | | | | 30,511 | | | | 0 | | | | 30,511 | |
Florida | | | | | 0 | | | | 1,205 | | | | 0 | | | | 1,205 | |
Massachusetts | | | | | 0 | | | | 5,010 | | | | 0 | | | | 5,010 | |
New Jersey | | | | | 0 | | | | 10,531 | | | | 0 | | | | 10,531 | |
New York | | | | | 0 | | | | 22,339 | | | | 0 | | | | 22,339 | |
Oregon | | | | | 0 | | | | 3,574 | | | | 0 | | | | 3,574 | |
Pennsylvania | | | | | 0 | | | | 1,199 | | | | 0 | | | | 1,199 | |
Texas | | | | | 0 | | | | 4,011 | | | | 0 | | | | 4,011 | |
Virginia | | | | | 0 | | | | 200 | | | | 0 | | | | 200 | |
U.S. Government Agencies | | | | | 0 | | | | 190,744 | | | | 1,734 | | | | 192,478 | |
Mortgage-Backed Securities | | | | | 0 | | | | 168,288 | | | | 9,404 | | | | 177,692 | |
Asset-Backed Securities | | | | | 0 | | | | 335,697 | | | | 3,570 | | | | 339,267 | |
Sovereign Issues | | | | | 0 | | | | 94,481 | | | | 0 | | | | 94,481 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 0 | | | | 117,438 | | | | 0 | | | | 117,438 | |
Commercial Paper | | | | | 0 | | | | 250,503 | | | | 0 | | | | 250,503 | |
Repurchase Agreements | | | | | 0 | | | | 219 | | | | 0 | | | | 219 | |
Short-Term Notes | | | | | 0 | | | | 35,009 | | | | 0 | | | | 35,009 | |
Total Investments | | | | $ | 10,000 | | | $ | 3,835,768 | | | $ | 14,708 | | | $ | 3,860,476 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 81 |
Schedule of Investments PIMCO Foreign Currency Strategy Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 99.4% | |
| |
BRAZIL 6.6% | |
| |
SOVEREIGN ISSUES 6.6% | |
|
Brazil Letras do Tesouro Nacional | |
0.000% due 01/01/2017 | | BRL | | | 4,100 | | | $ | | | 1,409 | |
| | | | | | | | | | | | |
Total Brazil
(Cost $1,300) | | | 1,409 | |
| | | | | | | | | | | | |
| |
MEXICO 13.3% | |
| |
SOVEREIGN ISSUES 13.3% | |
|
Mexico Government International Bond | |
6.000% due 06/18/2015 | | MXN | | | 36,034 | | | | | | 2,860 | |
| | | | | | | | | | | | |
Total Mexico
(Cost $2,878) | | | | | | | | | | | 2,860 | |
| | | | | | | | | | | | |
| |
NEW ZEALAND 2.8% | |
| |
SOVEREIGN ISSUES 2.8% | |
|
New Zealand Government Bond | |
6.000% due 12/15/2017 | | NZD | | | 650 | | | | | | 606 | |
| | | | | | | | | | | | |
Total New Zealand
(Cost $541) | | | 606 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
UNITED STATES 8.1% | |
| |
U.S. TREASURY OBLIGATIONS 8.1% | |
|
U.S. Treasury Notes | |
0.109% due 04/30/2016 | | $ | | | 400 | | | $ | | | 400 | |
0.250% due 08/31/2014 | | | | | 629 | | | | | | 629 | |
0.500% due 08/15/2014 | | | | | 700 | | | | | | 701 | |
| | | | | | | | | | | | |
Total United States
(Cost $1,730) | | | 1,730 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 68.6% | |
| |
REPURCHASE AGREEMENTS (a) 14.4% | |
| | | | | | | | | | | 3,078 | |
| | | | | | | | | | | | |
| |
SHORT-TERM NOTES 54.2% | |
|
Fannie Mae | |
0.066% due 09/03/2014 - 10/14/2014 | | $ | | | 4,600 | | | | | | 4,600 | |
|
Federal Home Loan Bank | |
0.056% due 07/09/2014 - 07/30/2014 | | | | | 4,700 | | | | | | 4,700 | |
0.061% due 07/09/2014 | | | | | 1,600 | | | | | | 1,600 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.087% due 09/12/2014 | | $ | | | 700 | | | $ | | | 700 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,600 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $14,677) | | | | | | 14,678 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $21,126) | | | | | | 21,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 99.4%
(Cost $21,126) | | | $ | | | 21,283 | |
| |
Financial Derivative
Instruments (b) 0.5% (Cost or Premiums, net $0) | | | | | | 115 | |
| |
Other Assets and Liabilities, net 0.1% | | | 19 | |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 21,417 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 278 | | | Freddie Mac
2.000% due 01/30/2023 | | $ | (286 | ) | | $ | 278 | | | $ | 278 | |
TDM | | | | | 0.140 | % | | | 06/30/2014 | | | | 07/01/2014 | | | | 2,800 | | | U.S. Treasury
Bonds 4.625% due 02/15/2040 | | | (2,902 | ) | | | 2,800 | | | | 2,800 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (3,188 | ) | | $ | 3,078 | | | $ | 3,078 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 278 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 278 | | | $ | (286 | ) | | $ | (8 | ) |
TDM | | | | | 2,800 | | | | 0 | | | | 0 | | | | 0 | | | | 2,800 | | | | (2,902 | ) | | | (102 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 3,078 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| 82 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
(b) 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 | | | | | 07/2014 | | | | GBP | | | | 1,906 | | | | $ | | | | 3,235 | | | $ | 0 | | | $ | (27 | ) |
| | | | | | 07/2014 | | | | NOK | | | | 3,941 | | | | | | | | 659 | | | | 17 | | | | 0 | |
| | | | | | 07/2014 | | | | NZD | | | | 2,380 | | | | | | | | 2,072 | | | | 0 | | | | (12 | ) |
| | | | | | 07/2014 | | | | SEK | | | | 6,003 | | | | | | | | 897 | | | | 0 | | | | (1 | ) |
| | | | | | 08/2014 | | | | $ | | | | 3,234 | | | | GBP | | | | 1,906 | | | | 27 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 2,066 | | | | NZD | | | | 2,380 | | | | 12 | | | | 0 | |
BPS | | | | | 07/2014 | | | | MXN | | | | 12,478 | | | | $ | | | | 944 | | | | 0 | | | | (16 | ) |
| | | | | | 07/2014 | | | | $ | | | | 67 | | | | CHF | | | | 60 | | | | 1 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 2,435 | | | | GBP | | | | 1,446 | | | | 40 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 3,223 | | | | NOK | | | | 19,216 | | | | 0 | | | | (90 | ) |
| | | | | | 08/2014 | | | | CHF | | | | 60 | | | | $ | | | | 67 | | | | 0 | | | | (1 | ) |
| | | | | | 08/2014 | | | | MXN | | | | 599 | | | | | | | | 45 | | | | 0 | | | | (1 | ) |
BRC | | | | | 07/2014 | | | | $ | | | | 1,239 | | | | NZD | | | | 1,453 | | | | 33 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 1,244 | | | | NOK | | | | 7,640 | | | | 0 | | | | 0 | |
CBK | | | | | 07/2014 | | | | CHF | | | | 60 | | | | $ | | | | 67 | | | | 0 | | | | (1 | ) |
| | | | | | 07/2014 | | | | $ | | | | 653 | | | | CNY | | | | 4,042 | | | | 1 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 837 | | | | SEK | | | | 5,628 | | | | 5 | | | | 0 | |
DUB | | | | | 07/2014 | | | | HKD | | | | 8,410 | | | | $ | | | | 1,085 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | $ | | | | 1,133 | | | | CAD | | | | 1,234 | | | | 24 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 1,085 | | | | INR | | | | 64,351 | | | | 0 | | | | (18 | ) |
| | | | | | 08/2014 | | | | | | | | 656 | | | | RUB | | | | 23,010 | | | | 15 | | | | 0 | |
GLM | | | | | 07/2014 | | | | | | | | 772 | | | | GBP | | | | 460 | | | | 15 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 785 | | | | NZD | | | | 927 | | | | 27 | | | | 0 | |
| | | | | | 08/2014 | | | | MXN | | | | 5,520 | | | | $ | | | | 419 | | | | 0 | | | | (5 | ) |
JPM | | | | | 07/2014 | | | | BRL | | | | 344 | | | | | | | | 153 | | | | 0 | | | | (2 | ) |
| | | | | | 07/2014 | | | | JPY | | | | 164,453 | | | | | | | | 1,615 | | | | 0 | | | | (9 | ) |
| | | | | | 07/2014 | | | | $ | | | | 156 | | | | BRL | | | | 344 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 1,619 | | | | JPY | | | | 164,453 | | | | 4 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 461 | | | | PLN | | | | 1,402 | | | | 0 | | | | 0 | |
| | | | | | 08/2014 | | | | JPY | | | | 164,453 | | | | $ | | | | 1,620 | | | | 0 | | | | (4 | ) |
| | | | | | 08/2014 | | | | $ | | | | 152 | | | | BRL | | | | 344 | | | | 2 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 424 | | | | RUB | | | | 14,748 | | | | 6 | | | | 0 | |
| | | | | | 10/2014 | | | | | | | | 572 | | | | ZAR | | | | 6,282 | | | | 8 | | | | 0 | |
MSC | | | | | 07/2014 | | | | CAD | | | | 1,234 | | | | $ | | | | 1,154 | | | | 0 | | | | (2 | ) |
| | | | | | 07/2014 | | | | $ | | | | 2,969 | | | | HKD | | | | 23,014 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 1,750 | | | | SEK | | | | 11,631 | | | | 0 | | | | (9 | ) |
| | | | | | 08/2014 | | | | | | | | 1,153 | | | | CAD | | | | 1,234 | | | | 3 | | | | 0 | |
SCX | | | | | 07/2014 | | | | | | | | 820 | | | | MYR | | | | 2,728 | | | | 29 | | | | 0 | |
UAG | | | | | 07/2014 | | | | BRL | | | | 344 | | | | $ | | | | 156 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | IDR | | | | 79,783 | | | | | | | | 7 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | $ | | | | 152 | | | | BRL | | | | 344 | | | | 3 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 7 | | | | IDR | | | | 79,783 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 1,019 | | | | INR | | | | 63,884 | | | | 40 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 83 | | | | MXN | | | | 1,093 | | | | 1 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 1,244 | | | | NOK | | | | 7,640 | | | | 0 | | | | 0 | |
Total Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | $ | 313 | | | $ | (198 | ) |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 83 |
Schedule of Investments PIMCO Foreign Currency Strategy Exchange-Traded Fund (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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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
(Received)/
Pledged | | | Net
Exposure (1) | |
BOA | | | | $ | 56 | | | $ | 0 | | | $ | 0 | | | $ | 56 | | | | | $ | (40 | ) | | $ | 0 | | | $ | 0 | | | $ | (40 | ) | | $ | 16 | | | $ | 0 | | | $ | 16 | |
BPS | | | | | 41 | | | | 0 | | | | 0 | | | | 41 | | | | | | (108 | ) | | | 0 | | | | 0 | | | | (108 | ) | | | (67 | ) | | | 0 | | | | (67 | ) |
BRC | | | | | 33 | | | | 0 | | | | 0 | | | | 33 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 33 | | | | 0 | | | | 33 | |
CBK | | | | | 6 | | | | 0 | | | | 0 | | | | 6 | | | | | | (1 | ) | | | 0 | | | | 0 | | | | (1 | ) | | | 5 | | | | 0 | | | | 5 | |
DUB | | | | | 39 | | | | 0 | | | | 0 | | | | 39 | | | | | | (18 | ) | | | 0 | | | | 0 | | | | (18 | ) | | | 21 | | | | 0 | | | | 21 | |
GLM | | | | | 42 | | | | 0 | | | | 0 | | | | 42 | | | | | | (5 | ) | | | 0 | | | | 0 | | | | (5 | ) | | | 37 | | | | 0 | | | | 37 | |
JPM | | | | | 20 | | | | 0 | | | | 0 | | | | 20 | | | | | | (15 | ) | | | 0 | | | | 0 | | | | (15 | ) | | | 5 | | | | 0 | | | | 5 | |
MSC | | | | | 3 | | | | 0 | | | | 0 | | | | 3 | | | | | | (11 | ) | | | 0 | | | | 0 | | | | (11 | ) | | | (8 | ) | | | 0 | | | | (8 | ) |
SCX | | | | | 29 | | | | 0 | | | | 0 | | | | 29 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 29 | | | | 0 | | | | 29 | |
UAG | | | | | 44 | | | | 0 | | | | 0 | | | | 44 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 44 | | | | 0 | | | | 44 | |
Total Over the Counter | | | | $ | 313 | | | $ | 0 | | | $ | 0 | | | $ | 313 | | | | | $ | (198 | ) | | $ | 0 | | | $ | 0 | | | $ | (198 | ) | | | | | | | | | | | | |
| (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 7, Principal Risks, 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 Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 313 | | | $ | 0 | | | $ | 313 | |
| | | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 198 | | | $ | 0 | | | $ | 198 | |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized (Loss) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (393 | ) | | $ | 0 | | | $ | (393 | ) |
| | | | | | | |
Net Change in Unrealized Appreciation on Financial
Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 671 | | | $ | 0 | | | $ | 671 | |
| | | | | | |
| 84 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Brazil | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | $ | 0 | | | $ | 1,409 | | | $ | 0 | | | $ | 1,409 | |
Mexico | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 2,860 | | | | 0 | | | | 2,860 | |
New Zealand | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 606 | | | | 0 | | | | 606 | |
United States | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | | 0 | | | | 1,730 | | | | 0 | | | | 1,730 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 3,078 | | | | 0 | | | | 3,078 | |
Short-Term Notes | | | | | 0 | | | | 11,600 | | | | 0 | | | | 11,600 | |
Total Investments | | | | $ | 0 | | | $ | 21,283 | | | $ | 0 | | | $ | 21,283 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 313 | | | $ | 0 | | | $ | 313 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | (198 | ) | | $ | 0 | | | $ | (198 | ) |
Totals | | | | $ | 0 | | | $ | 21,398 | | | $ | 0 | | | $ | 21,398 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 85 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 110.7% | |
| |
AUSTRALIA 6.2% | |
| |
SOVEREIGN ISSUES 6.2% | |
|
Australia Government Bond | |
2.750% due 04/21/2024 | | AUD | | | 1,950 | | | $ | | | 1,719 | |
5.250% due 03/15/2019 | | | | | 3,300 | | | | | | 3,424 | |
|
Australia Government CPI Linked Bond | |
1.250% due 02/21/2022 | | | | | 700 | | | | | | 712 | |
2.500% due 09/20/2030 | | | | | 900 | | | | | | 1,090 | |
|
New South Wales Treasury Corp. CPI Linked Bond | |
2.750% due 11/20/2025 | | | | | 1,200 | | | | | | 1,543 | |
| | | | | | | | | | | | |
Total Australia
(Cost $8,093) | | | 8,488 | |
| | | | | | | | | | | | |
| |
BRAZIL 18.6% | |
| |
SOVEREIGN ISSUES 18.6% | |
|
Brazil Notas do Tesouro Nacional | |
6.000% due 05/15/2035 (a) | | BRL | | | 2,080 | | | | | | 2,280 | |
|
Brazil Notas do Tesouro Nacional Inflation Linked | |
6.000% due 08/15/2020 | | | | | 5,632 | | | | | | 6,282 | |
6.000% due 08/15/2022 | | | | | 12,392 | | | | | | 13,794 | |
6.000% due 08/15/2030 | | | | | 455 | | | | | | 499 | |
6.000% due 05/15/2045 | | | | | 1,220 | | | | | | 1,324 | |
6.000% due 08/15/2050 | | | | | 1,300 | | | | | | 1,406 | |
| | | | | | | | | | | | |
Total Brazil
(Cost $27,778) | | | 25,585 | |
| | | | | | | | | | | | |
| |
CANADA 1.0% | |
| |
SOVEREIGN ISSUES 1.0% | |
|
Canada Government International Bond | |
1.500% due 12/01/2044 (a) | | CAD | | | 1,300 | | | | | | 1,438 | |
| | | | | | | | | | | | |
Total Canada
(Cost $1,672) | | | 1,438 | |
| | | | | | | | | | | | |
| |
CHILE 2.2% | |
| |
SOVEREIGN ISSUES 2.2% | |
|
Bonos del Banco Central de Chile en UF Inflation Linked Bond | |
3.000% due 02/01/2021 | | CLP | | | 840,826 | | | | | | 1,639 | |
3.000% due 03/01/2022 | | | | | 720,708 | | | | | | 1,421 | |
| | | | | | | | | | | | |
Total Chile
(Cost $3,364) | | | 3,060 | |
| | | | | | | | | | | | |
| |
COLOMBIA 3.7% | |
| |
SOVEREIGN ISSUES 3.7% | |
|
Colombian TES | |
3.000% due 03/25/2033
(a) | | COP | | | 5,958,504 | | | | | | 2,780 | |
3.500% due 03/10/2021
(a) | | | | | 2,127,961 | | | | | | 1,151 | |
4.250% due 05/17/2017
(a) | | | | | 2,127,961 | | | | | | 1,199 | |
| | | | | | | | | | | | |
Total Colombia
(Cost $4,902) | | | 5,130 | |
| | | | | | | | | | | | |
| |
DENMARK 4.2% | |
| |
SOVEREIGN ISSUES 4.2% | |
|
Denmark Government Bond | |
0.100% due 11/15/2023 (a) | | DKK | | | 31,040 | | | | | | 5,751 | |
| | | | | | | | | | | | |
Total Denmark
(Cost $5,630) | | | 5,751 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
FRANCE 3.6% | |
| |
SOVEREIGN ISSUES 3.6% | |
|
France Government Bond | |
0.100% due 07/25/2021 (a) | | EUR | | | 202 | | | $ | | | 286 | |
0.250% due 07/25/2018 (a) | | | | | 2,190 | | | | | | 3,111 | |
0.250% due 07/25/2024 (a) | | | | | 102 | | | | | | 142 | |
1.100% due 07/25/2022 (a) | | | | | 979 | | | | | | 1,479 | |
| | | | | | | | | | | | |
Total France
(Cost $4,953) | | | 5,018 | |
| | | | | | | | | | | | |
| |
GERMANY 9.8% | |
| |
SOVEREIGN ISSUES 9.8% | |
|
Republic of Germany | |
0.100% due 04/15/2023 (a) | | EUR | | | 1,246 | | | | | | 1,764 | |
0.750% due 04/15/2018 (a) | | | | | 3,730 | | | | | | 5,379 | |
1.500% due 04/15/2016 (a) | | | | | 4,195 | | | | | | 5,913 | |
1.750% due 04/15/2020 (a) | | | | | 231 | | | | | | 360 | |
| | | | | | | | | | | | |
Total Germany
(Cost $13,036) | | | 13,416 | |
| | | | | | | | | | | | |
| |
INDIA 1.0% | |
| |
CORPORATE BONDS & NOTES 1.0% | |
|
Export-Import Bank of India | |
2.384% due 03/30/2016 | | $ | | | 1,300 | | | | | | 1,312 | |
| | | | | | | | | | | | |
Total India
(Cost $1,308) | | | 1,312 | |
| | | | | | | | | | | | |
| |
ITALY 13.4% | |
| |
SOVEREIGN ISSUES 13.4% | |
|
Italy Buoni Poliennali Del Tesoro | |
1.700% due 09/15/2018 (a) | | EUR | | | 3,041 | | | | | | 4,383 | |
2.100% due 09/15/2021 (a) | | | | | 5,540 | | | | | | 8,162 | |
2.250% due 04/22/2017 (a) | | | | | 2,504 | | | | | | 3,569 | |
2.350% due 09/15/2024 (a) | | | | | 907 | | | | | | 1,331 | |
2.550% due 10/22/2016 (a) | | | | | 701 | | | | | | 1,000 | |
| | | | | | | | | | | | |
Total Italy
(Cost $16,998) | | | 18,445 | |
| | | | | | | | | | | | |
| |
MEXICO 5.3% | |
| |
SOVEREIGN ISSUES 5.3% | |
|
Mexico Government International Bond | |
2.000% due 06/09/2022 (a) | | MXN | | | 23,603 | | | | | | 1,817 | |
4.000% due 11/15/2040 (a) | | | | | 54,957 | | | | | | 4,798 | |
|
Mexico Government International Inflation Linked Bond | |
3.560% due 01/30/2020 | | | | | 9,200 | | | | | | 709 | |
| | | | | | | | | | | | |
Total Mexico
(Cost $7,463) | | | 7,324 | |
| | | | | | | | | | | | |
| |
NEW ZEALAND 2.2% | |
| |
SOVEREIGN ISSUES 2.2% | |
|
New Zealand Government Bond | |
5.500% due 04/15/2023 | | NZD | | | 600 | | | | | | 567 | |
|
New Zealand Government CPI Linked Bond | |
2.000% due 09/20/2025 | | | | | 1,700 | | | | | | 1,445 | |
4.500% due 02/15/2016 | | | | | 700 | | | | | | 957 | |
| | | | | | | | | | | | |
Total New Zealand
(Cost $2,937) | | | 2,969 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
POLAND 1.3% | |
| |
SOVEREIGN ISSUES 1.3% | |
|
Poland Government International Bond | |
2.750% due 08/25/2023 (a) | | PLN | | | 5,005 | | | $ | | | 1,771 | |
| | | | | | | | | | | | |
Total Poland
(Cost $1,733) | | | 1,771 | |
| | | | | | | | | | | | |
| |
SLOVENIA 0.2% | |
| |
SOVEREIGN ISSUES 0.2% | |
|
Slovenia Government International Bond | |
4.700% due 11/01/2016 | | EUR | | | 200 | | | | | | 297 | |
| | | | | | | | | | | | |
Total Slovenia
(Cost $269) | | | 297 | |
| | | | | | | | | | | | |
| |
SOUTH AFRICA 4.9% | |
| |
SOVEREIGN ISSUES 4.9% | |
|
South Africa Government International Bond | |
2.000% due 01/31/2025 (a) | | ZAR | | | 7,071 | | | | | | 701 | |
5.500% due 12/07/2023 (a) | | | | | 12,063 | | | | | | 1,527 | |
7.250% due 01/15/2020 | | | | | 48,500 | | | | | | 4,453 | |
| | | | | | | | | | | | |
Total South Africa
(Cost $7,866) | | | 6,681 | |
| | | | | | | | | | | | |
| |
SPAIN 0.7% | |
| |
SOVEREIGN ISSUES 0.7% | |
|
Spain Government International Bond | |
5.400% due 01/31/2023 | | EUR | | | 600 | | | | | | 1,010 | |
| | | | | | | | | | | | |
Total Spain
(Cost $999) | | | 1,010 | |
| | | | | | | | | | | | |
| |
SWEDEN 0.7% | |
| |
SOVEREIGN ISSUES 0.7% | |
|
Sweden Government International CPI Linked Bond | |
0.250% due 06/01/2022 | | SEK | | | 3,570 | | | | | | 543 | |
3.500% due 12/01/2028 | | | | | 1,500 | | | | | | 389 | |
| | | | | | | | | | | | |
Total Sweden
(Cost $954) | | | 932 | |
| | | | | | | | | | | | |
| |
TURKEY 1.1% | |
| |
SOVEREIGN ISSUES 1.1% | |
|
Turkey Government International Bond | |
4.000% due 04/01/2020 (a) | | TRY | | | 2,880 | | | | | | 1,527 | |
| | | | | | | | | | | | |
Total Turkey
(Cost $1,399) | | | 1,527 | |
| | | | | | | | | | | | |
| |
UNITED KINGDOM 6.4% | |
| |
SOVEREIGN ISSUES 6.4% | |
|
United Kingdom Gilt | |
0.125% due 03/22/2024 (a) | | GBP | | | 2,109 | | | | | | 3,738 | |
0.125% due 03/22/2044 (a) | | | | | 1,055 | | | | | | 1,879 | |
0.750% due 03/22/2034 (a) | | | | | 110 | | | | | | 218 | |
1.125% due 11/22/2037 (a) | | | | | 253 | | | | | | 553 | |
1.250% due 11/22/2027 (a) | | | | | 1,186 | | | | | | 2,414 | |
| | | | | | | | | | | | |
Total United Kingdom
(Cost $8,581) | | | 8,802 | |
| | | | | | | | | | | | |
| |
UNITED STATES 22.3% | |
| |
U.S. TREASURY OBLIGATIONS 22.3% | |
|
U.S. Treasury Inflation Protected Securities (a) | |
0.125% due 04/15/2016 (c) | | $ | | | 1,505 | | | | | | 1,545 | |
0.125% due 04/15/2018 (c) | | | | | 4,516 | | | | | | 4,665 | |
0.125% due 04/15/2019 | | | | | 809 | | | | | | 833 | |
| | | | | | |
| 86 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.125% due 01/15/2022 | | $ | | | 1,833 | | | $ | | | 1,845 | |
0.125% due 01/15/2023 | | | | | 1,027 | | | | | | 1,023 | |
0.375% due 07/15/2023 | | | | | 509 | | | | | | 519 | |
0.625% due 07/15/2021 | | | | | 2,840 | | | | | | 2,992 | |
1.125% due 01/15/2021 | | | | | 1,300 | | | | | | 1,409 | |
1.250% due 07/15/2020 | | | | | 1,196 | | | | | | 1,311 | |
1.375% due 01/15/2020 | | | | | 1,315 | | | | | | 1,443 | |
1.375% due 02/15/2044 | | | | | 814 | | | | | | 893 | |
1.625% due 01/15/2015 (c) | | | | | 1,989 | | | | | | 2,022 | |
1.750% due 01/15/2028 | | | | | 792 | | | | | | 912 | |
1.875% due 07/15/2019 (c) | | | | | 4,002 | | | | | | 4,505 | |
2.000% due 07/15/2014 (c) | | | | | 2,392 | | | | | | 2,398 | |
2.375% due 01/15/2025 | | | | | 1,761 | | | | | | 2,133 | |
2.375% due 01/15/2027 | | | | | 118 | | | | | | 144 | |
| | | | | | | | | | | | |
Total United States
(Cost $31,027) | | | 30,592 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 1.9% | |
| |
REPURCHASE AGREEMENTS (b) 1.4% | |
| | | | | | | | $ | | | 1,870 | |
| | | | | | | | | | | | |
| |
SHORT-TERM NOTES 0.5% | |
|
Federal Home Loan Bank | |
0.066% due 08/29/2014 | | $ | | | 100 | | | | | | 100 | |
0.076% due 10/29/2014 | | | | | 100 | | | | | | 100 | |
0.098% due 09/19/2014 | | | | | 100 | | | | | | 100 | |
|
Freddie Mac | |
0.081% due 11/12/2014 | | | | | 200 | | | | | | 200 | |
0.122% due 05/27/2015 | | | | | 200 | | | | | | 200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 700 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | MARKET
VALUE
(000s) | |
Total Short-Term Instruments
(Cost $2,570) | | $ | | | 2,570 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments in Securities
(Cost $153,532) | | | | | 152,118 | |
| | | | | | | | | | |
| | | | | | | | | | |
Total Investments 110.7%
(Cost $153,532) | | $ | | | 152,118 | |
Financial Derivative
Instruments (d) 0.0% (Cost or Premiums, net $0) | | | | | | | | | 22 | |
| |
Other Assets and Liabilities, net (10.7%) | | | (14,725 | ) |
| | | | | | | | | | |
Net Assets 100.0% | | $ | | | 137,415 | |
| | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
BPG | | | | | 0.140 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 1,300 | | | U.S. Treasury Bonds 3.125% due 02/15/2043 | | $ | (1,329 | ) | | $ | 1,300 | | | $ | 1,300 | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | | 570 | | | Freddie Mac 2.000% due 01/30/2023 | | | (585 | ) | | | 570 | | | | 570 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (1,914 | ) | | $ | 1,870 | | | $ | 1,870 | |
| (1) | Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (2) | | | Payable for
Reverse
Repurchase
Agreements | |
BOS | | | | | 0.220 | % | | | 06/27/2014 | | | | 07/03/2014 | | | $ | (318 | ) | | $ | (318 | ) |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | $ | (318 | ) |
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (2) | | | Payable for
Sale-Buyback
Transactions (3) | |
BPG | | | | | 0.160 | % | | | 06/09/2014 | | | | 07/10/2014 | | | $ | (1,474 | ) | | $ | (1,475 | ) |
MSC | | | | | 0.280 | % | | | 06/30/2014 | | | | 07/02/2014 | | | | (1,909 | ) | | | (1,909 | ) |
TDM | | | | | 0.110 | % | | | 04/25/2014 | | | | 07/10/2014 | | | | (5,975 | ) | | | (5,987 | ) |
| | | | | | 0.110 | % | | | 05/21/2014 | | | | 07/17/2014 | | | | (527 | ) | | | (528 | ) |
| | | | | | 0.160 | % | | | 06/12/2014 | | | | 07/11/2014 | | | | (4,915 | ) | | | (4,923 | ) |
Total Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | $ | (14,822 | ) |
| (2) | The average amount of borrowings outstanding during the period ended June 30, 2014 was $11,327 at a weighted average interest rate of 0.105%. |
| (3) | Payable for sale-buyback transactions includes $19 of deferred price drop on sale-buyback transactions. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 87 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund (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 (received)/pledged as of June 30, 2014:
| (c) | Securities with an aggregate market value of $15,135 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received)/
Pledged | | | Net
Exposure (4) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BOS | | | | $ | 0 | | | $ | (318 | ) | | $ | 0 | | | $ | 0 | | | $ | (318 | ) | | $ | 318 | | | $ | 0 | |
BPG | | | | | 1,300 | | | | 0 | | | | 0 | | | | 0 | | | | 1,300 | | | | (1,329 | ) | | | (29 | ) |
SSB | | | | | 570 | | | | 0 | | | | 0 | | | | 0 | | | | 570 | | | | (585 | ) | | | (15 | ) |
| | | | | | | | |
Master Securities Forward Transaction Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BPG | | | | | 0 | | | | 0 | | | | (1,475 | ) | | | 0 | | | | (1,475 | ) | | | 1,484 | | | | 9 | |
MSC | | | | | 0 | | | | 0 | | | | (1,909 | ) | | | 0 | | | | (1,909 | ) | | | 1,909 | | | | 0 | |
TDM | | | | | 0 | | | | 0 | | | | (11,438 | ) | | | 0 | | | | (11,438 | ) | | | 11,424 | | | | (14 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 1,870 | | | $ | (318 | ) | | $ | (14,822 | ) | | $ | 0 | | | | | | | | | | | | | |
| (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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(d) 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 | |
AZD | | | | | 07/2014 | | | | NZD | | | | 3,416 | | | | $ | | | | 2,909 | | | $ | 0 | | | $ | (81 | ) |
BOA | | | | | 07/2014 | | | | AUD | | | | 308 | | | | | | | | 285 | | | | 0 | | | | (6 | ) |
| | | | | | 08/2014 | | | | CLP | | | | 703,071 | | | | | | | | 1,253 | | | | 0 | | | | (12 | ) |
| | | | | | 10/2014 | | | | COP | | | | 1,302,778 | | | | | | | | 664 | | | | 0 | | | | (24 | ) |
BPS | | | | | 07/2014 | | | | EUR | | | | 73 | | | | PLN | | | | 308 | | | | 1 | | | | 0 | |
| | | | | | 08/2014 | | | | $ | | | | 1,541 | | | | AUD | | | | 1,639 | | | | 1 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 365 | | | | EUR | | | | 269 | | | | 4 | | | | 0 | |
BRC | | | | | 07/2014 | | | | | | | | 2,544 | | | | PLN | | | | 7,750 | | | | 4 | | | | 0 | |
| | | | | | 08/2014 | | | | DKK | | | | 29,737 | | | | $ | | | | 5,531 | | | | 75 | | | | (6 | ) |
| | | | | | 08/2014 | | | | EUR | | | | 9,461 | | | | | | | | 12,921 | | | | 0 | | | | (37 | ) |
| | | | | | 08/2014 | | | | SEK | | | | 3,875 | | | | | | | | 596 | | | | 16 | | | | 0 | |
| | | | | | 09/2014 | | | | GBP | | | | 1,421 | | | | | | | | 2,385 | | | | 0 | | | | (45 | ) |
| | | | | | 10/2014 | | | | ZAR | | | | 3,597 | | | | | | | | 328 | | | | 0 | | | | (5 | ) |
CBK | | | | | 07/2014 | | | | $ | | | | 185 | | | | AUD | | | | 198 | | | | 2 | | | | 0 | |
| | | | | | 08/2014 | | | | EUR | | | | 972 | | | | $ | | | | 1,324 | | | | 0 | | | | (7 | ) |
| | | | | | 10/2014 | | | | BRL | | | | 13,085 | | | | | | | | 5,587 | | | | 0 | | | | (183 | ) |
DUB | | | | | 07/2014 | | | | $ | | | | 326 | | | | INR | | | | 19,898 | | | | 4 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 2,973 | | | | NZD | | | | 3,416 | | | | 17 | | | | 0 | |
| | | | | | 08/2014 | | | | NZD | | | | 3,416 | | | | $ | | | | 2,964 | | | | 0 | | | | (17 | ) |
| | | | | | 08/2014 | | | | $ | | | | 1,260 | | | | EUR | | | | 923 | | | | 4 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 1,055 | | | | SEK | | | | 7,120 | | | | 10 | | | | 0 | |
| | | | | | 09/2014 | | | | | | | | 2,075 | | | | ILS | | | | 7,217 | | | | 27 | | | | 0 | |
| | | | | | 10/2014 | | | | COP | | | | 3,362,597 | | | | $ | | | | 1,717 | | | | 0 | | | | (59 | ) |
FBF | | | | | 07/2014 | | | | KRW | | | | 198,772 | | | | | | | | 194 | | | | 0 | | | | (2 | ) |
| | | | | | 07/2014 | | | | $ | | | | 7 | | | | INR | | | | 428 | | | | 0 | | | | 0 | |
| | | | | | 10/2014 | | | | COP | | | | 190,650 | | | | $ | | | | 99 | | | | 0 | | | | (1 | ) |
GLM | | | | | 07/2014 | | | | JPY | | | | 130,200 | | | | | | | | 1,282 | | | | 0 | | | | (3 | ) |
| | | | | | |
| 88 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | Asset | | | Liability | |
| | | | | | 07/2014 | | | | $ | | | | 295 | | | | INR | | | | 18,095 | | | $ | 5 | | | $ | 0 | |
| | | | | | 08/2014 | | | | | | | | 2,366 | | | | MXN | | | | 31,168 | | | | 27 | | | | 0 | |
| | | | | | 09/2014 | | | | | | | | 1,301 | | | | | | | | 16,965 | | | | 0 | | | | (1 | ) |
HUS | | | | | 07/2014 | | | | EUR | | | | 128 | | | | PLN | | | | 541 | | | | 2 | | | | 0 | |
| | | | | | 07/2014 | | | | $ | | | | 305 | | | | INR | | | | 18,690 | | | | 5 | | | | 0 | |
| | | | | | 10/2014 | | | | BRL | | | | 442 | | | | $ | | | | 185 | | | | 0 | | | | (10 | ) |
JPM | | | | | 07/2014 | | | | | | | | 1,917 | | | | | | | | 856 | | | | 0 | | | | (11 | ) |
| | | | | | 07/2014 | | | | JPY | | | | 877,206 | | | | | | | | 8,637 | | | | 0 | | | | (22 | ) |
| | | | | | 07/2014 | | | | PLN | | | | 503 | | | | | | | | 166 | | | | 0 | | | | 0 | |
| | | | | | 07/2014 | | | | $ | | | | 870 | | | | BRL | | | | 1,917 | | | | 0 | | | | (3 | ) |
| | | | | | 07/2014 | | | | | | | | 365 | | | | INR | | | | 22,195 | | | | 5 | | | | (2 | ) |
| | | | | | 07/2014 | | | | | | | | 9,891 | | | | JPY | | | | 1,007,406 | | | | 53 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 4,400 | | | | TRY | | | | 9,378 | | | | 13 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 849 | | | | BRL | | | | 1,917 | | | | 11 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 8,639 | | | | JPY | | | | 877,206 | | | | 22 | | | | 0 | |
| | | | | | 10/2014 | | | | BRL | | | | 390 | | | | $ | | | | 163 | | | | 0 | | | | (9 | ) |
| | | | | | 10/2014 | | | | ZAR | | | | 39,702 | | | | | | | | 3,622 | | | | 3 | | | | (49 | ) |
RBC | | | | | 09/2014 | | | | $ | | | | 2,743 | | | | CAD | | | | 2,982 | | | | 46 | | | | 0 | |
SOG | | | | | 07/2014 | | | | AUD | | | | 6,856 | | | | $ | | | | 6,331 | | | | 0 | | | | (134 | ) |
| | | | | | 07/2014 | | | | $ | | | | 6,567 | | | | AUD | | | | 6,966 | | | | 1 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 111 | | | | INR | | | | 6,663 | | | | 0 | | | | (1 | ) |
| | | | | | 08/2014 | | | | AUD | | | | 6,966 | | | | $ | | | | 6,552 | | | | 0 | | | | (1 | ) |
UAG | | | | | 07/2014 | | | | BRL | | | | 1,917 | | | | | | | | 871 | | | | 3 | | | | 0 | |
| | | | | | 07/2014 | | | | $ | | | | 852 | | | | BRL | | | | 1,917 | | | | 16 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 270 | | | | INR | | | | 16,559 | | | | 5 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 5,113 | | | | KRW | | | | 5,552,902 | | | | 371 | | | | 0 | |
Total Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | $ | 753 | | | $ | (731 | ) |
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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| | | | 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
(Received)/
Pledged | | | Net
Exposure (1) | |
AZD | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | $ | (81 | ) | | $ | 0 | | | $ | 0 | | | $ | (81 | ) | | $ | (81 | ) | | $ | 0 | | | $ | (81 | ) |
BOA | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (42 | ) | | | 0 | | | | 0 | | | | (42 | ) | | | (42 | ) | | | 0 | | | | (42 | ) |
BPS | | | | | 6 | | | | 0 | | | | 0 | | | | 6 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 6 | | | | 0 | | | | 6 | |
BRC | | | | | 95 | | | | 0 | | | | 0 | | | | 95 | | | | | | (93 | ) | | | 0 | | | | 0 | | | | (93 | ) | | | 2 | | | | 0 | | | | 2 | |
CBK | | | | | 2 | | | | 0 | | | | 0 | | | | 2 | | | | | | (190 | ) | | | 0 | | | | 0 | | | | (190 | ) | | | (188 | ) | | | 0 | | | | (188 | ) |
DUB | | | | | 62 | | | | 0 | | | | 0 | | | | 62 | | | | | | (76 | ) | | | 0 | | | | 0 | | | | (76 | ) | | | (14 | ) | | | 0 | | | | (14 | ) |
FBF | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (3 | ) | | | 0 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
GLM | | | | | 32 | | | | 0 | | | | 0 | | | | 32 | | | | | | (4 | ) | | | 0 | | | | 0 | | | | (4 | ) | | | 28 | | | | 0 | | | | 28 | |
HUS | | | | | 7 | | | | 0 | | | | 0 | | | | 7 | | | | | | (10 | ) | | | 0 | | | | 0 | | | | (10 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
JPM | | | | | 107 | | | | 0 | | | | 0 | | | | 107 | | | | | | (96 | ) | | | 0 | | | | 0 | | | | (96 | ) | | | 11 | | | | 0 | | | | 11 | |
RBC | | | | | 46 | | | | 0 | | | | 0 | | | | 46 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 46 | | | | 0 | | | | 46 | |
SOG | | | | | 1 | | | | 0 | | | | 0 | | | | 1 | | | | | | (136 | ) | | | 0 | | | | 0 | | | | (136 | ) | | | (135 | ) | | | 0 | | | | (135 | ) |
UAG | | | | | 395 | | | | 0 | | | | 0 | | | | 395 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 395 | | | | (280 | ) | | | 115 | |
Total Over the Counter | | | | $ | 753 | | | $ | 0 | | | $ | 0 | | | $ | 753 | | | | | $ | (731 | ) | | $ | 0 | | | $ | 0 | | | $ | (731 | ) | | | | | | | | | | | | |
| (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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 89 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 753 | | | $ | 0 | | | $ | 753 | |
| | | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 731 | | | $ | 0 | | | $ | 731 | |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized (Loss) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (674 | ) | | $ | 0 | | | $ | (674 | ) |
| | | | | | | |
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (121 | ) | | $ | 0 | | | $ | (121 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Australia | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | $ | 0 | | | $ | 8,488 | | | $ | 0 | | | $ | 8,488 | |
Brazil | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 25,585 | | | | 0 | | | | 25,585 | |
Canada | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 1,438 | | | | 0 | | | | 1,438 | |
Chile | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 3,060 | | | | 0 | | | | 3,060 | |
Colombia | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 5,130 | | | | 0 | | | | 5,130 | |
Denmark | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 5,751 | | | | 0 | | | | 5,751 | |
France | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 5,018 | | | | 0 | | | | 5,018 | |
Germany | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 13,416 | | | | 0 | | | | 13,416 | |
India | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | 0 | | | | 1,312 | | | | 0 | | | | 1,312 | |
Italy | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 18,445 | | | | 0 | | | | 18,445 | |
| | | | | | |
| 90 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Mexico | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | $ | 0 | | | $ | 7,324 | | | $ | 0 | | | $ | 7,324 | |
New Zealand | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 2,969 | | | | 0 | | | | 2,969 | |
Poland | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 1,771 | | | | 0 | | | | 1,771 | |
Slovenia | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 297 | | | | 0 | | | | 297 | |
South Africa | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 6,681 | | | | 0 | | | | 6,681 | |
Spain | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 1,010 | | | | 0 | | | | 1,010 | |
Sweden | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 932 | | | | 0 | | | | 932 | |
Turkey | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 1,527 | | | | 0 | | | | 1,527 | |
United Kingdom | | | | | | | | | | | | | | | | | | |
Sovereign Issues | | | | | 0 | | | | 8,802 | | | | 0 | | | | 8,802 | |
United States | | | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | | | 0 | | | | 30,592 | | | | 0 | | | | 30,592 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 1,870 | | | | 0 | | | | 1,870 | |
Short-Term Notes | | | | | 0 | | | | 700 | | | | 0 | | | | 700 | |
Total Investments | | | | $ | 0 | | | $ | 152,118 | | | $ | 0 | | | $ | 152,118 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 753 | | | $ | 0 | | | $ | 753 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | (731 | ) | | $ | 0 | | | $ | (731 | ) |
Totals | | | | $ | 0 | | | $ | 152,140 | | | $ | 0 | | | $ | 152,140 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 91 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 100.4% | |
| |
MUNICIPAL BONDS & NOTES 91.4% | |
| |
ALABAMA 0.9% | |
|
University of Alabama Revenue Bonds, Series 2012 | |
5.000% due 07/01/2025 | | $ | | | 1,610 | | | $ | | | 1,881 | |
| | | | | | | | | | | | |
| |
ARIZONA 1.4% | |
|
Arizona State University Revenue Notes, Series 2008 | |
5.250% due 07/01/2016 | | | | | 400 | | | | | | 438 | |
|
Arizona Water Infrastructure Finance Authority Revenue Bonds, Series 2009 | |
4.250% due 10/01/2019 | | | | | 730 | | | | | | 840 | |
|
Arizona Water Infrastructure Finance Authority Revenue Bonds, Series 2012 | |
5.000% due 10/01/2022 | | | | | 1,350 | | | | | | 1,638 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,916 | |
| | | | | | | | | | | | |
| |
ARKANSAS 0.2% | |
|
University of Arkansas Revenue Bonds, Series 2012 | |
5.000% due 05/01/2026 | | | | | 320 | | | | | | 367 | |
| | | | | | | | | | | | |
| |
CALIFORNIA 12.2% | |
|
Bay Area Toll Authority, California Revenue Bonds, Series 2007 | |
0.760% due 04/01/2047 | | | | | 1,000 | | | | | | 1,006 | |
|
California Health Facilities Financing Authority Revenue Bonds, Series 2009 | |
6.000% due 07/01/2039 | | | | | 1,000 | | | | | | 1,117 | |
|
California State Department of Water Resources Revenue Notes, Series 2010 | |
5.000% due 05/01/2018 | | | | | 500 | | | | | | 578 | |
5.000% due 05/01/2019 | | | | | 1,040 | | | | | | 1,228 | |
|
California State General Obligation Bonds, (FGIC Insured), Series 2004 | |
5.250% due 07/01/2014 | | | | | 750 | | | | | | 750 | |
|
California State General Obligation Bonds, Series 2009 | |
5.000% due 07/01/2020 | | | | | 500 | | | | | | 591 | |
|
California State General Obligation Notes, Series 2009 | |
5.000% due 07/01/2018 | | | | | 500 | | | | | | 581 | |
|
California State General Obligation Notes, Series 2010 | |
5.000% due 11/01/2019 | | | | | 500 | | | | | | 592 | |
|
California State General Obligation Notes, Series 2013 | |
5.000% due 09/01/2021 | | | | | 3,000 | | | | | | 3,613 | |
|
Irvine Ranch Water District, California Special Assessment Bonds, Series 2009 | |
0.010% due 10/01/2041 | | | | | 900 | | | | | | 900 | |
|
Los Angeles Department of Airports, California Revenue Bonds, Series 2012 | |
5.000% due 05/15/2029 | | | | | 250 | | | | | | 285 | |
|
Los Angeles Unified School District, California Certificates of Participation Notes, Series 2010 | |
5.000% due 12/01/2017 | | | | | 1,500 | | | | | | 1,710 | |
|
Metropolitan Water District of Southern California Revenue Bonds, Series 2012 | |
5.000% due 10/01/2026 | | | | | 2,000 | | | | | | 2,359 | |
|
Metropolitan Water District of Southern California Revenue Notes, Series 2012 | |
5.000% due 07/01/2022 | | | | | 510 | | | | | | 625 | |
|
Mount San Antonio Community College District, California General Obligation Bonds, (NPFGC Insured), Series 2005 | |
0.000% due 08/01/2016 | | | | | 1,000 | | | | | | 992 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Orange County, California Airport Revenue Notes, Series 2009 | |
4.000% due 07/01/2018 | | $ | | | 500 | | | $ | | | 559 | |
|
Pleasanton Unified School District, California Certificates of Participation Notes, (AGM Insured), Series 2010 | |
3.500% due 08/01/2015 | | | | | 450 | | | | | | 465 | |
|
Sacramento Municipal Utility District, California Revenue Bonds, Series 2013 | |
5.000% due 08/15/2029 | | | | | 1,000 | | | | | | 1,151 | |
|
San Diego County, California Regional Airport Authority Revenue Notes, Series 2010 | |
4.000% due 07/01/2016 | | | | | 720 | | | | | | 767 | |
|
San Francisco, California City & County Airports Commission Revenue Notes, Series 2010 | |
5.000% due 05/01/2017 | | | | | 1,000 | | | | | | 1,124 | |
|
San Francisco, California City & County General Obligation Notes, Series 2011 | |
5.000% due 06/15/2021 | | | | | 370 | | | | | | 449 | |
|
San Jose, California Hotel Tax Revenue Notes, Series 2011 | |
5.000% due 05/01/2017 | | | | | 1,115 | | | | | | 1,234 | |
|
San Juan Unified School District, California General Obligation Bonds, (AGM Insured), Series 2001 | |
0.000% due 08/01/2017 | | | | | 750 | | | | | | 719 | |
|
Southern California Public Power Authority Revenue Bonds, Series 2007 | |
5.250% due 11/01/2020 | | | | | 575 | | | | | | 664 | |
|
University of California Revenue Bonds, Series 2009 | |
5.000% due 05/15/2020 | | | | | 1,000 | | | | | | 1,165 | |
|
University of California Revenue Notes, Series 2010 | |
5.000% due 05/15/2018 | | | | | 500 | | | | | | 576 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,800 | |
| | | | | | | | | | | | |
| |
COLORADO 0.1% | |
|
Denver, Colorado Airport System City & County Revenue Bonds, (FGIC Insured), Series 2006 | |
4.000% due 11/15/2016 | | | | | 265 | | | | | | 287 | |
| | | | | | | | | | | | |
| |
DISTRICT OF COLUMBIA 0.5% | |
|
District of Columbia Revenue Bonds, Series 2010 | |
5.000% due 12/01/2024 | | | | | 1,000 | | | | | | 1,162 | |
| | | | | | | | | | | | |
| |
FLORIDA 5.5% | |
|
Broward County, Florida Airport System Revenue Bonds, Series 2012 | |
5.000% due 10/01/2023 | | | | | 1,000 | | | | | | 1,159 | |
|
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2010 | |
5.000% due 06/01/2016 | | | | | 750 | | | | | | 814 | |
|
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2011 | |
5.000% due 06/01/2019 | | | | | 1,000 | | | | | | 1,158 | |
|
Florida Municipal Power Agency Revenue Notes, Series 2009 | |
5.000% due 10/01/2015 | | | | | 250 | | | | | | 265 | |
|
Inland Protection Financing Corp., Florida Revenue Notes, Series 2010 | |
5.000% due 07/01/2016 | | | | | 500 | | | | | | 543 | |
|
Jacksonville, Florida Revenue Notes, Series 2012 | |
5.000% due 10/01/2021 | | | | | 1,000 | | | | | | 1,200 | |
|
JEA Water & Sewer System, Florida Revenue Bonds, Series 2012 | |
5.000% due 10/01/2025 | | | | | 1,500 | | | | | | 1,743 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Miami-Dade County, Florida General Obligation Notes, Series 2011 | |
3.000% due 07/01/2017 | | $ | | | 1,375 | | | $ | | | 1,457 | |
|
Miami-Dade County, Florida Transit System Sales Surtax Revenue Notes, Series 2010 | |
4.000% due 07/01/2016 | | | | | 1,000 | | | | | | 1,071 | |
|
Orange County, Florida Health Facilities Authority Revenue Notes, Series 2009 | |
5.000% due 10/01/2015 | | | | | 250 | | | | | | 264 | |
|
Orlando Utilities Commission, Florida Revenue Notes, Series 2010 | |
5.000% due 10/01/2017 | | | | | 250 | | | | | | 285 | |
|
Palm Beach County, Florida Revenue Bonds, Series 2012 | |
5.000% due 06/01/2023 | | | | | 1,300 | | | | | | 1,560 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,519 | |
| | | | | | | | | | | | |
| |
GEORGIA 0.7% | |
|
Atlanta Department of Aviation, Georgia Revenue Bonds, Series 2012 | |
5.000% due 01/01/2025 | | | | | 500 | | | | | | 591 | |
|
Marietta, Georgia General Obligation Notes, Series 2009 | |
5.000% due 02/01/2018 | | | | | 250 | | | | | | 284 | |
|
Municipal Electric Authority of Georgia Revenue Notes, Series 2010 | |
4.000% due 01/01/2018 | | | | | 350 | | | | | | 386 | |
|
Municipal Electric Authority of Georgia Revenue Notes, Series 2011 | |
5.000% due 01/01/2020 | | | | | 250 | | | | | | 293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,554 | |
| | | | | | | | | | | | |
| |
ILLINOIS 6.2% | |
|
Chicago, Illinois Midway Airport Revenue Bonds, Series 2010 | |
5.000% due 01/01/2034 | | | | | 200 | | | | | | 205 | |
|
Chicago, Illinois Midway Airport Revenue Bonds, Series 2014 | |
5.000% due 01/01/2035 | | | | | 6,500 | | | | | | 7,041 | |
|
Chicago, Illinois Wastewater Transmission Revenue Bonds, (NPFGC Insured), Series 2001 | |
5.500% due 01/01/2017 | | | | | 1,000 | | | | | | 1,111 | |
5.500% due 01/01/2018 | | | | | 1,000 | | | | | | 1,138 | |
|
Chicago, Illinois Waterworks Revenue Notes, Series 2012 | |
5.000% due 11/01/2020 | | | | | 1,000 | | | | | | 1,169 | |
|
Illinois Finance Authority Revenue Notes, Series 2009 | |
5.000% due 08/15/2015 | | | | | 375 | | | | | | 395 | |
|
Illinois State Revenue Notes, Series 2009 | |
4.500% due 06/15/2016 | | | | | 500 | | | | | | 540 | |
|
Illinois State Revenue Notes, Series 2010 | |
5.000% due 06/15/2016 | | | | | 750 | | | | | | 817 | |
|
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2010 | |
5.125% due 06/01/2019 | | | | | 500 | | | | | | 577 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,993 | |
| | | | | | | | | | | | |
| |
INDIANA 3.0% | |
|
Indiana Finance Authority Revenue Bonds, (FGIC Insured), Series 2007 | |
5.000% due 12/01/2017 | | | | | 300 | | | | | | 331 | |
|
Indiana Finance Authority Revenue Notes, Series 2008 | |
5.000% due 11/01/2014 | | | | | 2,000 | | | | | | 2,032 | |
|
Indiana Finance Authority Revenue Notes, Series 2010 | |
4.000% due 11/01/2016 | | | | | 500 | | | | | | 538 | |
5.000% due 02/01/2018 | | | | | 500 | | | | | | 572 | |
| | | | | | |
| 92 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Indiana University Revenue Notes, Series 2012 | |
5.000% due 06/01/2021 | | $ | | | 1,000 | | | $ | | | 1,206 | |
|
Indianapolis, Indiana Local Public Improvement Bond Bank Revenue Bonds, (AMBAC Insured), Series 2005 | |
5.000% due 01/01/2016 | | | | | 300 | | | | | | 321 | |
|
Purdue University, Indiana Certificates of Participation Bonds, Series 2006 | |
5.250% due 07/01/2017 | | | | | 640 | | | | | | 725 | |
|
Vincennes University, Indiana Revenue Notes, Series 2010 | |
4.000% due 06/01/2016 | | | | | 500 | | | | | | 534 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,259 | |
| | | | | | | | | | | | |
| |
IOWA 0.3% | |
|
Iowa Higher Education Loan Authority Revenue Notes, Series 2010 | |
4.000% due 12/01/2016 | | | | | 500 | | | | | | 544 | |
| | | | | | | | | | | | |
| |
KANSAS 0.3% | |
|
Kansas Development Finance Authority Revenue Notes, Series 2010 | |
5.000% due 11/01/2017 | | | | | 500 | | | | | | 568 | |
| | | | | | | | | | | | |
| |
KENTUCKY 1.0% | |
|
Kentucky Municipal Power Agency Revenue Notes, (AGM Insured), Series 2010 | |
4.000% due 09/01/2016 | | | | | 900 | | | | | | 954 | |
|
Kentucky Turnpike Authority Revenue Notes, Series 2010 | |
5.000% due 07/01/2016 | | | | | 1,000 | | | | | | 1,093 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,047 | |
| | | | | | | | | | | | |
| |
MARYLAND 0.0% | |
|
Baltimore, Maryland Revenue Bonds, Series 2011 | |
5.000% due 07/01/2021 | | | | | 60 | | | | | | 72 | |
| | | | | | | | | | | | |
| |
MASSACHUSETTS 4.0% | |
|
Massachusetts Bay Transportation Authority Revenue Bonds, Series 2006 | |
5.500% due 07/01/2017 | | | | | 500 | | | | | | 573 | |
|
Massachusetts Bay Transportation Authority Revenue Notes, Series 2012 | |
5.000% due 07/01/2018 | | | | | 1,280 | | | | | | 1,484 | |
|
Massachusetts Development Finance Agency Revenue Notes, Series 2010 | |
4.000% due 10/01/2016 | | | | | 850 | | | | | | 910 | |
|
Massachusetts Development Finance Agency Revenue Notes, Series 2012 | |
4.000% due 10/01/2015 | | | | | 500 | | | | | | 519 | |
5.000% due 10/01/2016 | | | | | 600 | | | | | | 656 | |
|
Massachusetts School Building Authority Revenue Bonds, Series 2012 | |
5.000% due 08/15/2022 | | | | | 1,175 | | | | | | 1,419 | |
|
Massachusetts State College Building Authority Revenue Bonds, Series 2012 | |
5.000% due 05/01/2026 | | | | | 2,000 | | | | | | 2,335 | |
|
Taunton, Massachusetts General Obligation Notes, Series 2009 | |
5.000% due 12/01/2018 | | | | | 510 | | | | | | 598 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,494 | |
| | | | | | | | | | | | |
| |
MICHIGAN 1.5% | |
|
Michigan Finance Authority Revenue Notes, Series 2012 | |
5.000% due 07/01/2017 | | | | | 1,000 | | | | | | 1,130 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Michigan State Hospital Finance Authority Revenue Bonds, Series 2010 | |
1.500% due 11/15/2047 | | $ | | | 2,000 | | | $ | | | 2,042 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,172 | |
| | | | | | | | | | | | |
| |
MINNESOTA 0.5% | |
|
Rochester, Minnesota Revenue Bonds, Series 2011 | |
4.000% due 11/15/2030 | | | | | 1,000 | | | | | | 1,117 | |
| | | | | | | | | | | | |
| |
MISSOURI 1.7% | |
|
Missouri Development Finance Board Revenue Notes, Series 2012 | |
5.000% due 12/01/2020 | | | | | 1,335 | | | | | | 1,565 | |
|
Missouri Joint Municipal Electric Utility Commission Revenue Notes, (AMBAC Insured), Series 2007 | |
5.000% due 01/01/2016 | | | | | 880 | | | | | | 931 | |
|
Missouri State Health & Educational Facilities Authority Revenue Notes, Series 2010 | |
5.000% due 11/15/2017 | | | | | 1,000 | | | | | | 1,130 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,626 | |
| | | | | | | | | | | | |
| |
NEVADA 1.1% | |
|
Clark Department of Aviation, Nevada Revenue Notes, Series 2014 | |
5.000% due 07/01/2018 (a) | | | | | 2,000 | | | | | | 2,287 | |
| | | | | | | | | | | | |
| |
NEW HAMPSHIRE 0.8% | |
|
Merrimack County, New Hampshire General Obligation Bonds, Series 2012 | |
5.000% due 12/01/2022 | | | | | 1,115 | | | | | | 1,330 | |
|
New Hampshire Health & Education Facilities Authority Act Revenue Notes, Series 2009 | |
5.000% due 07/01/2016 | | | | | 250 | | | | | | 272 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,602 | |
| | | | | | | | | | | | |
| |
NEW JERSEY 3.8% | |
|
New Jersey Economic Development Authority Revenue Bonds, (NPFGC Insured), Series 2005 | |
5.250% due 09/01/2016 | | | | | 1,000 | | | | | | 1,059 | |
|
New Jersey Economic Development Authority Revenue Bonds, Series 2012 | |
5.000% due 06/15/2023 | | | | | 1,000 | | | | | | 1,137 | |
|
New Jersey Economic Development Authority Revenue Notes, Series 2011 | |
5.000% due 09/01/2018 | | | | | 2,000 | | | | | | 2,276 | |
|
New Jersey State Turnpike Authority Revenue Bonds, Series 2009 | |
5.000% due 01/01/2020 | | | | | 1,000 | | | | | | 1,143 | |
|
New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2010 | |
5.000% due 12/15/2023 | | | | | 2,000 | | | | | | 2,325 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,940 | |
| | | | | | | | | | | | |
| |
NEW MEXICO 0.3% | |
|
New Mexico State Revenue Notes, Series 2010 | |
5.000% due 07/01/2017 | | | | | 500 | | | | | | 565 | |
| | | | | | | | | | | | |
| |
NEW YORK 13.6% | �� |
|
Erie County, New York Industrial Development Agency Revenue Bonds, Series 2012 | |
5.000% due 05/01/2022 | | | | | 1,000 | | | | | | 1,184 | |
|
Metropolitan Transportation Authority, New York Revenue Bonds, Series 2005 | |
5.000% due 11/15/2019 | | | | | 500 | | | | | | 588 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
New York City, New York General Obligation Bonds, Series 2012 | |
5.000% due 08/01/2023 | | $ | | | 4,000 | | | $ | | | 4,718 | |
|
New York City, New York General Obligation Notes, Series 2011 | |
5.000% due 08/01/2017 | | | | | 980 | | | | | | 1,106 | |
|
New York City, New York Water & Sewer System Revenue Notes, Series 2009 | |
5.000% due 06/15/2017 | | | | | 895 | | | | | | 1,011 | |
|
New York State Dormitory Authority Revenue Bonds, (FGIC Insured), Series 2005 | |
5.000% due 07/01/2016 | | | | | 370 | | | | | | 387 | |
|
New York State Dormitory Authority Revenue Bonds, Series 2005 | |
5.000% due 03/15/2030 | | | | | 1,635 | | | | | | 1,691 | |
|
New York State Dormitory Authority Revenue Bonds, Series 2011 | |
5.000% due 05/01/2022 | | | | | 2,000 | | | | | | 2,313 | |
|
New York State Dormitory Authority Revenue Bonds, Series 2012 | |
5.000% due 12/15/2025 | | | | | 405 | | | | | | 477 | |
|
New York State Dormitory Authority Revenue Notes, Series 2008 | |
5.000% due 07/01/2017 | | | | | 2,000 | | | | | | 2,254 | |
|
New York State Dormitory Authority Revenue Notes, Series 2011 | |
4.000% due 07/01/2018 | | | | | 815 | | | | | | 904 | |
|
New York State Dormitory Authority Revenue Notes, Series 2012 | |
5.000% due 12/15/2019 | | | | | 1,450 | | | | | | 1,719 | |
|
New York State Thruway Authority Revenue Notes, Series 2013 | |
5.000% due 05/01/2019 | | | | | 2,000 | | | | | | 2,325 | |
|
New York State Urban Development Corp. Revenue Notes, Series 2010 | |
5.000% due 03/15/2018 | | | | | 500 | | | | | | 574 | |
|
Syracuse Industrial Development Agency, New York Revenue Notes, Series 2010 | |
4.000% due 05/01/2017 | | | | | 500 | | | | | | 541 | |
|
Tompkins County, New York Development Corp. Revenue Notes, Series 2013 | |
5.000% due 07/01/2019 | | | | | 1,090 | | | | | | 1,199 | |
|
Triborough Bridge & Tunnel Authority, New York Revenue Bonds, Series 2012 | |
5.000% due 11/15/2025 | | | | | 2,000 | | | | | | 2,354 | |
|
Triborough Bridge & Tunnel Authority, New York Revenue Bonds, Series 2013 | |
5.000% due 11/15/2027 | | | | | 2,075 | | | | | | 2,426 | |
5.000% due 11/15/2028 | | | | | 825 | | | | | | 959 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,730 | |
| | | | | | | | | | | | |
| |
NORTH CAROLINA 3.0% | |
|
Mecklenburg County, North Carolina Certificates of Participation Notes, Series 2009 | |
5.000% due 02/01/2019 | | | | | 300 | | | | | | 347 | |
|
North Carolina Medical Care Commission Revenue Bonds, Series 2012 | |
5.000% due 06/01/2023 | | | | | 1,665 | | | | | | 1,925 | |
5.000% due 10/01/2027 | | | | | 1,100 | | | | | | 1,239 | |
|
North Carolina State Revenue Bonds, Series 2011 | |
5.000% due 11/01/2022 | | | | | 1,500 | | | | | | 1,789 | |
|
Union County, North Carolina Certificates of Participation Bonds, (AMBAC Insured), Series 2006 | |
5.000% due 06/01/2022 | | | | | 360 | | | | | | 392 | |
|
University of North Carolina at Chapel Hill Revenue Notes, Series 2005 | |
5.000% due 02/01/2015 | | | | | 250 | | | | | | 256 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 93 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
University of North Carolina at Greensboro Revenue Bonds, Series 2014 | |
5.000% due 04/01/2026 | | $ | | | 250 | | | $ | | | 294 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,242 | |
| | | | | | | | | | | | |
| |
OHIO 7.6% | |
|
American Municipal Power, Inc., Ohio Revenue Notes, Series 2009 | |
5.000% due 02/15/2017 | | | | | 500 | | | | | | 550 | |
|
American Municipal Power, Inc., Ohio Revenue Notes, Series 2012 | |
5.000% due 02/15/2022 | | | | | 800 | | | | | | 937 | |
|
Cleveland Department of Public Utilities Division of Water, Ohio Revenue Bonds, Series 2012 | |
5.000% due 01/01/2026 | | | | | 1,000 | | | | | | 1,160 | |
|
Cuyahoga County, Ohio Certificates of Participation Bonds, Series 2014 | |
5.000% due 12/01/2025 | | | | | 3,000 | | | | | | 3,497 | |
|
Kent State University, Ohio Revenue Notes, Series 2012 | |
5.000% due 05/01/2017 | | | | | 640 | | | | | | 712 | |
|
Ohio State General Obligation Bonds, Series 2011 | |
5.000% due 08/01/2022 | | | | | 3,000 | | | | | | 3,641 | |
|
Ohio State General Obligation Notes, Series 2012 | |
5.000% due 09/15/2020 | | | | | 1,000 | | | | | | 1,197 | |
|
Ohio State Revenue Bonds, (NPFGC Insured), Series 2005 | |
5.000% due 08/01/2016 | | | | | 300 | | | | | | 308 | |
|
Ohio State Turnpike Commission Revenue Bonds, (FGIC Insured), Series 1998 | |
5.500% due 02/15/2016 | | | | | 1,000 | | | | | | 1,084 | |
5.500% due 02/15/2017 | | | | | 225 | | | | | | 253 | |
|
Ohio State Water Development Authority Revenue Notes, Series 2011 | |
5.000% due 06/01/2017 | | | | | 1,005 | | | | | | 1,123 | |
|
University of Cincinnati, Ohio Revenue Bonds, Series 2012 | |
5.000% due 06/01/2024 | | | | | 1,250 | | | | | | 1,475 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,937 | |
| | | | | | | | | | | | |
| |
OREGON 0.3% | |
|
Oregon State Facilities Authority Revenue Notes, Series 2010 | |
5.000% due 10/01/2017 | | | | | 500 | | | | | | 556 | |
| | | | | | | | | | | | |
| |
PENNSYLVANIA 5.0% | |
|
Allegheny County, Pennsylvania Higher Education Building Authority Revenue Bonds, Series 2012 | |
5.000% due 03/01/2024 | | | | | 500 | | | | | | 582 | |
|
Allegheny County, Pennsylvania Hospital Development Authority Revenue Notes, Series 2010 | |
5.000% due 05/15/2017 | | | | | 500 | | | | | | 559 | |
|
Delaware River Port Authority, Pennsylvania Revenue Bonds, Series 2012 | |
5.000% due 01/01/2023 | | | | | 900 | | | | | | 1,007 | |
|
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2011 | |
5.250% due 06/15/2023 | | | | | 2,500 | | | | | | 2,945 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Pennsylvania Higher Educational Facilities Authority Revenue Notes, (NPFGC Insured), Series 2006 | |
5.000% due 04/01/2016 | | $ | | | 250 | | | $ | | | 270 | |
|
Pennsylvania Turnpike Commission Revenue Notes, Series 2014 | |
0.940% due 12/01/2020 | | | | | 4,500 | | | | | | 4,515 | |
|
Southeastern Pennsylvania Transportation Authority Revenue Notes, Series 2010 | |
5.000% due 03/01/2018 | | | | | 500 | | | | | | 565 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,443 | |
| | | | | | | | | | | | |
| |
SOUTH CAROLINA 0.1% | |
|
Piedmont Municipal Power Agency, South Carolina Revenue Notes, Series 2009 | |
5.000% due 01/01/2015 | | | | | 250 | | | | | | 256 | |
| | | | | | | | | | | | |
| |
TENNESSEE 1.0% | |
|
Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006 | |
5.000% due 02/01/2021 | | | | | 870 | | | | | | 985 | |
5.250% due 09/01/2026 | | | | | 1,000 | | | | | | 1,154 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,139 | |
| | | | | | | | | | | | |
| |
TEXAS 12.2% | |
|
Barbers Hill Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2012 | |
4.000% due 02/15/2023 | | | | | 1,225 | | | | | | 1,367 | |
|
Dallas, Texas Waterworks & Sewer System Revenue Bonds, Series 2012 | |
5.000% due 10/01/2023 | | | | | 1,000 | | | | | | 1,198 | |
|
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2014 | |
0.640% due 12/01/2042 | | | | | 7,000 | | | | | | 7,002 | |
|
Katy Independent School District, Texas General Obligation Notes, (PSF/GTD Insured), Series 2012 | |
5.000% due 02/15/2020 | | | | | 1,500 | | | | | | 1,785 | |
|
La Joya Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2012 | |
5.000% due 02/15/2027 | | | | | 1,000 | | | | | | 1,165 | |
|
North Central Texas Health Facility Development Corp. Revenue Notes, Series 2012 | |
5.000% due 08/15/2020 | | | | | 1,000 | | | | | | 1,173 | |
|
Northside Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2010 | |
1.200% due 08/01/2040 | | | | | 1,000 | | | | | | 1,006 | |
|
Pflugerville Independent School District, Texas General Obligation Bonds, (PSF/GTD Insured), Series 2012 | |
5.000% due 02/15/2024 | | | | | 1,165 | | | | | | 1,369 | |
|
San Antonio Public Facilities Corp., Texas Revenue Bonds, Series 2012 | |
5.000% due 09/15/2025 | | | | | 1,000 | | | | | | 1,157 | |
|
San Antonio, Texas Water System Revenue Bonds, Series 2012 | |
5.000% due 05/15/2023 | | | | | 1,500 | | | | | | 1,777 | |
|
Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2012 | |
5.000% due 12/15/2026 | | | | | 3,000 | | | | | | 3,292 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Texas Municipal Gas Acquisition & Supply Corp. Revenue Notes, Series 2008 | |
5.625% due 12/15/2017 | | $ | | | 1,840 | | | $ | | | 2,027 | |
|
Texas State General Obligation Notes, Series 2010 | |
4.000% due 12/01/2015 | | | | | 810 | | | | | | 852 | |
|
University of Texas System Revenue Bonds, Series 2010 | |
5.000% due 08/15/2022 | | | | | 500 | | | | | | 612 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,782 | |
| | | | | | | | | | | | |
| |
WASHINGTON 2.0% | |
|
Pierce County, Washington School District No. 10 Tacoma General Obligation Bonds, Series 2012 | |
5.000% due 12/01/2024 | | | | | 1,000 | | | | | | 1,223 | |
|
Seattle, Washington Solid Waste Revenue Notes, Series 2014 | |
5.000% due 05/01/2024 | | | | | 545 | | | | | | 660 | |
|
Washington State Revenue Bonds, Series 2012 | |
5.000% due 09/01/2023 | | | | | 2,000 | | | | | | 2,346 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,229 | |
| | | | | | | | | | | | |
| |
WISCONSIN 0.6% | |
|
Wisconsin State Revenue Bonds, Series 2012 | |
5.000% due 06/01/2023 | | | | | 1,000 | | | | | | 1,217 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $186,934) | | | | | | | | | | | 192,303 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 0.6% | |
|
U.S. Treasury Notes | |
0.250% due 08/31/2014 | | | | | 200 | | | | | | 200 | |
0.625% due 07/15/2014 | | | | | 1,000 | | | | | | 1,001 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $1,200) | | | | | | | | | | | 1,201 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 8.4% | |
| |
REPURCHASE AGREEMENTS (c) 0.2% | |
| | | | | | | | | | | 513 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY BILLS 8.2% | |
0.048% due 08/21/2014 - 12/11/2014 (b) | | | | | 17,300 | | | | | | 17,298 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $17,810) | | | | | | | | | | | 17,811 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $205,944) | | | | | | | | | | | 211,315 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 100.4%
(Cost $205,944) | | | | | | | | $ | | | 211,315 | |
| |
Other Assets and Liabilities, net (0.4%) | | | | | | (767 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | | | | | | $ | | | 210,548 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
| (b) | Coupon represents a weighted average yield to maturity. |
| | | | | | |
| 94 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 513 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (524 | ) | | $ | 513 | | | $ | 513 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (524 | ) | | $ | 513 | | | $ | 513 | |
| (1) | Includes accrued interest. |
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 513 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 513 | | | $ | (524 | ) | | $ | (11 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 513 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
Alabama | | | | $ | 0 | | | $ | 1,881 | | | $ | 0 | | | $ | 1,881 | |
Arizona | | | | | 0 | | | | 2,916 | | | | 0 | | | | 2,916 | |
Arkansas | | | | | 0 | | | | 367 | | | | 0 | | | | 367 | |
California | | | | | 0 | | | | 25,800 | | | | 0 | | | | 25,800 | |
Colorado | | | | | 0 | | | | 287 | | | | 0 | | | | 287 | |
District of Columbia | | | | | 0 | | | | 1,162 | | | | 0 | | | | 1,162 | |
Florida | | | | | 0 | | | | 11,519 | | | | 0 | | | | 11,519 | |
Georgia | | | | | 0 | | | | 1,554 | | | | 0 | | | | 1,554 | |
Illinois | | | | | 0 | | | | 12,993 | | | | 0 | | | | 12,993 | |
Indiana | | | | | 0 | | | | 6,259 | | | | 0 | | | | 6,259 | |
Iowa | | | | | 0 | | | | 544 | | | | 0 | | | | 544 | |
Kansas | | | | | 0 | | | | 568 | | | | 0 | | | | 568 | |
Kentucky | | | | | 0 | | | | 2,047 | | | | 0 | | | | 2,047 | |
Maryland | | | | | 0 | | | | 72 | | | | 0 | | | | 72 | |
Massachusetts | | | | | 0 | | | | 8,494 | | | | 0 | | | | 8,494 | |
Michigan | | | | | 0 | | | | 3,172 | | | | 0 | | | | 3,172 | |
Minnesota | | | | | 0 | | | | 1,117 | | | | 0 | | | | 1,117 | |
Missouri | | | | | 0 | | | | 3,626 | | | | 0 | | | | 3,626 | |
Nevada | | | | | 0 | | | | 2,287 | | | | 0 | | | | 2,287 | |
New Hampshire | | | | | 0 | | | | 1,602 | | | | 0 | | | | 1,602 | |
New Jersey | | | | | 0 | | | | 7,940 | | | | 0 | | | | 7,940 | |
New Mexico | | | | | 0 | | | | 565 | | | | 0 | | | | 565 | |
New York | | | | | 0 | | | | 28,730 | | | | 0 | | | | 28,730 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 95 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Cont.)
June 30, 2014
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
North Carolina | | | | $ | 0 | | | $ | 6,242 | | | $ | 0 | | | $ | 6,242 | |
Ohio | | | | | 0 | | | | 15,937 | | | | 0 | | | | 15,937 | |
Oregon | | | | �� | 0 | | | | 556 | | | | 0 | | | | 556 | |
Pennsylvania | | | | | 0 | | | | 10,443 | | | | 0 | | | | 10,443 | |
South Carolina | | | | | 0 | | | | 256 | | | | 0 | | | | 256 | |
Tennessee | | | | | 0 | | | | 2,139 | | | | 0 | | | | 2,139 | |
Texas | | | | | 0 | | | | 25,782 | | | | 0 | | | | 25,782 | |
Washington | | | | | 0 | | | | 4,229 | | | | 0 | | | | 4,229 | |
Wisconsin | | | | | 0 | | | | 1,217 | | | | 0 | | | | 1,217 | |
U.S. Treasury Obligations | | | | | 0 | | | | 1,201 | | | | 0 | | | | 1,201 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 513 | | | | 0 | | | | 513 | |
U.S. Treasury Bills | | | | | 0 | | | | 17,298 | | | | 0 | | | | 17,298 | |
Total Investments | | | | $ | 0 | | | $ | 211,315 | | | $ | 0 | | | $ | 211,315 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| 96 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 114.3% | |
| |
CORPORATE BONDS & NOTES 72.6% | |
| |
BANKING & FINANCE 38.3% | |
|
Ally Financial, Inc. | |
3.125% due 01/15/2016 | | $ | | | 1,200 | | | $ | | | 1,234 | |
4.625% due 06/26/2015 | | | | | 500 | | | | | | 517 | |
6.750% due 12/01/2014 | | | | | 200 | | | | | | 205 | |
|
Banco Bradesco S.A. | |
4.500% due 01/12/2017 | | | | | 200 | | | | | | 212 | |
|
Banco del Estado de Chile | |
2.000% due 11/09/2017 | | | | | 800 | | | | | | 810 | |
|
Banco Santander Chile | |
3.750% due 09/22/2015 | | | | | 200 | | | | | | 206 | |
|
Bank Nederlandse Gemeenten | |
0.875% due 02/21/2017 | | | | | 800 | | | | | | 800 | |
|
Bank of America Corp. | |
6.500% due 08/01/2016 | | | | | 300 | | | | | | 333 | |
|
Bank of America N.A. | |
0.511% due 06/15/2016 | | | | | 250 | | | | | | 249 | |
|
Bank of Tokyo-Mitsubishi UFJ Ltd. | |
3.648% due 03/20/2018 | | AUD | | | 1,000 | | | | | | 948 | |
|
Banque Federative du Credit Mutuel S.A. | |
1.078% due 01/20/2017 | | $ | | | 1,000 | | | | | | 1,009 | |
|
BBVA Bancomer S.A. | |
4.500% due 03/10/2016 | | | | | 1,200 | | | | | | 1,269 | |
|
BPCE S.A. | |
0.862% due 06/17/2017 | | | | | 1,250 | | | | | | 1,250 | |
|
CIT Group, Inc. | |
4.750% due 02/15/2015 | | | | | 1,600 | | | | | | 1,635 | |
|
Citigroup, Inc. | |
4.875% due 05/07/2015 | | | | | 2,000 | | | | | | 2,071 | |
|
Credit Agricole S.A. | |
1.081% due 10/03/2016 | | | | | 300 | | | | | | 302 | |
|
DBS Bank Ltd. | |
5.000% due 11/15/2019 | | | | | 200 | | | | | | 202 | |
|
Denali Borrower LLC | |
5.625% due 10/15/2020 | | | | | 850 | | | | | | 903 | |
|
Dexia Credit Local S.A. | |
0.628% due 01/11/2017 | | | | | 1,500 | | | | | | 1,506 | |
|
Eksportfinans ASA | |
2.000% due 09/15/2015 | | | | | 200 | | | | | | 200 | |
2.375% due 05/25/2016 | | | | | 900 | | | | | | 902 | |
3.000% due 11/17/2014 | | | | | 500 | | | | | | 504 | |
5.500% due 05/25/2016 | | | | | 100 | | | | | | 107 | |
|
Export-Import Bank of Korea | |
1.250% due 11/20/2015 | | | | | 550 | | | | | | 553 | |
5.375% due 10/04/2016 | | | | | 2,000 | | | | | | 2,194 | |
|
Ford Motor Credit Co. LLC | |
1.500% due 01/17/2017 | | | | | 2,700 | | | | | | 2,716 | |
|
General Electric Capital Corp. | |
5.000% due 01/08/2016 | | | | | 100 | | | | | | 107 | |
|
General Motors Financial Co., Inc. | |
2.750% due 05/15/2016 | | | | | 1,125 | | | | | | 1,144 | |
|
Goldman Sachs Group, Inc. | |
0.852% due 06/04/2017 | | | | | 2,500 | | | | | | 2,502 | |
|
Hana Bank | |
1.375% due 02/05/2016 | | | | | 1,000 | | | | | | 1,005 | |
|
HSBC Finance Corp. | |
0.657% due 06/01/2016 | | | | | 1,373 | | | | | | 1,374 | |
|
Hutchison Whampoa International Ltd. | |
2.000% due 11/08/2017 | | | | | 1,000 | | | | | | 1,011 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Hypothekenbank Frankfurt International S.A. | |
0.098% due 03/20/2017 | | $ | | | 100 | | | $ | | | 95 | |
5.125% due 01/21/2016 | | | | | 150 | | | | | | 157 | |
|
Hyundai Capital Services, Inc. | |
1.031% due 03/18/2017 | | | | | 1,000 | | | | | | 1,004 | |
|
Industrial Bank of Korea | |
2.375% due 07/17/2017 | | | | | 2,200 | | | | | | 2,249 | |
|
International Lease Finance Corp. | |
4.875% due 04/01/2015 | | | | | 500 | | | | | | 513 | |
5.750% due 05/15/2016 | | | | | 300 | | | | | | 322 | |
8.625% due 09/15/2015 | | | | | 800 | | | | | | 868 | |
|
Jackson National Life Global Funding | |
1.250% due 02/21/2017 | | | | | 200 | | | | | | 200 | |
|
John Deere Capital Corp. | |
1.400% due 03/15/2017 | | | | | 200 | | | | | | 203 | |
|
JPMorgan Chase & Co. | |
3.450% due 03/01/2016 | | | | | 300 | | | | | | 313 | |
|
JPMorgan Chase Bank N.A. | |
0.647% due 06/02/2017 | | | | | 2,000 | | | | | | 2,002 | |
|
Kookmin Bank | |
1.103% due 01/27/2017 | | | | | 550 | | | | | | 553 | |
1.478% due 10/11/2016 | | | | | 1,000 | | | | | | 1,016 | |
|
Korea Development Bank | |
3.875% due 05/04/2017 | | | | | 200 | | | | | | 213 | |
|
Korea Exchange Bank | |
1.750% due 09/27/2015 | | | | | 300 | | | | | | 303 | |
3.125% due 06/26/2017 | | | | | 700 | | | | | | 729 | |
|
Landwirtschaftliche Rentenbank | |
0.337% due 12/05/2018 | | | | | 700 | | | | | | 703 | |
|
Macquarie Bank Ltd. | |
5.000% due 02/22/2017 | | | | | 1,722 | | | | | | 1,878 | |
|
Macquarie Group Ltd. | |
3.000% due 12/03/2018 | | | | | 250 | | | | | | 257 | |
|
Morgan Stanley | |
5.450% due 01/09/2017 | | | | | 300 | | | | | | 331 | |
|
Northern Rock Asset Management PLC | |
5.625% due 06/22/2017 | | | | | 200 | | | | | | 225 | |
|
Piper Jaffray Cos. | |
2.234% due 05/31/2017 | | | | | 250 | | | | | | 250 | |
|
RCI Banque S.A. | |
4.600% due 04/12/2016 | | | | | 200 | | | | | | 212 | |
|
Regions Financial Corp. | |
5.750% due 06/15/2015 | | | | | 200 | | | | | | 209 | |
|
Royal Bank of Scotland PLC | |
5.000% due 05/17/2015 | | | | | 180 | | | | | | 185 | |
|
Santander U.S. Debt S.A.U. | |
3.724% due 01/20/2015 | | | | | 1,000 | | | | | | 1,015 | |
|
Sberbank of Russia Via SB Capital S.A. | |
4.950% due 02/07/2017 | | | | | 200 | | | | | | 212 | |
|
Shinhan Bank | |
4.375% due 09/15/2015 | | | | | 1,000 | | | | | | 1,043 | |
4.375% due 07/27/2017 | | | | | 200 | | | | | | 216 | |
|
SLM Corp. | |
3.875% due 09/10/2015 | | | | | 1,250 | | | | | | 1,281 | |
6.250% due 01/25/2016 | | | | | 300 | | | | | | 320 | |
|
Sumitomo Mitsui Banking Corp. | |
0.657% due 01/10/2017 | | | | | 200 | | | | | | 200 | |
|
U.S. Bank N.A. | |
3.778% due 04/29/2020 | | | | | 250 | | | | | | 256 | |
|
Vesey Street Investment Trust | |
4.404% due 09/01/2016 | | | | | 300 | | | | | | 320 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Wachovia Corp. | |
0.501% due 06/15/2017 | | $ | | | 2,000 | | | $ | | | 1,999 | |
|
Wells Fargo & Co. | |
0.758% due 07/20/2016 | | | | | 300 | | | | | | 302 | |
|
Weyerhaeuser Co. | |
6.950% due 08/01/2017 | | | | | 1,000 | | | | | | 1,157 | |
|
Woori Bank Co. Ltd. | |
4.750% due 01/20/2016 | | | | | 200 | | | | | | 212 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 53,503 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 23.5% | |
|
America Movil S.A.B. de C.V. | |
1.230% due 09/12/2016 | | | | | 250 | | | | | | 253 | |
2.375% due 09/08/2016 | | | | | 1,000 | | | | | | 1,029 | |
|
American Airlines, Inc. | |
7.500% due 03/15/2016 ^ | | | | | 100 | | | | | | 104 | |
|
Amgen, Inc. | |
2.125% due 05/15/2017 | | | | | 200 | | | | | | 205 | |
|
Anglo American Capital PLC | |
1.176% due 04/15/2016 | | | | | 200 | | | | | | 201 | |
|
Anheuser-Busch InBev Finance, Inc. | |
0.800% due 01/15/2016 | | | | | 100 | | | | | | 100 | |
|
BAT International Finance PLC | |
1.400% due 06/05/2015 | | | | | 1,375 | | | | | | 1,387 | |
|
Cisco Systems, Inc. | |
0.727% due 03/01/2019 | | | | | 100 | | | | | | 101 | |
|
CONSOL Energy, Inc. | |
8.250% due 04/01/2020 | | | | | 300 | | | | | | 326 | |
|
COX Communications, Inc. | |
5.875% due 12/01/2016 | | | | | 1,028 | | | | | | 1,136 | |
|
Daimler Finance North America LLC | |
2.400% due 04/10/2017 | | | | | 200 | | | | | | 207 | |
|
DCP Midstream Operating LP | |
2.700% due 04/01/2019 | | | | | 200 | | | | | | 203 | |
|
DISH DBS Corp. | |
6.625% due 10/01/2014 | | | | | 400 | | | | | | 406 | |
7.125% due 02/01/2016 | | | | | 1,000 | | | | | | 1,084 | |
|
Enbridge, Inc. | |
0.678% due 06/02/2017 | | | | | 1,200 | | | | | | 1,203 | |
|
Enterprise Products Operating LLC | |
1.250% due 08/13/2015 | | | | | 1,000 | | | | | | 1,007 | |
|
Express Scripts Holding Co. | |
2.250% due 06/15/2019 | | | | | 500 | | | | | | 499 | |
|
Gannett Co., Inc. | |
8.750% due 11/15/2014 | | | | | 700 | | | | | | 720 | |
|
Glencore Finance Canada Ltd. | |
2.850% due 11/10/2014 | | | | | 700 | | | | | | 704 | |
|
HCA, Inc. | |
6.375% due 01/15/2015 | | | | | 1,000 | | | | | | 1,026 | |
6.500% due 02/15/2016 | | | | | 300 | | | | | | 324 | |
|
Hutchison Whampoa International Ltd. | |
4.625% due 09/11/2015 | | | | | 200 | | | | | | 209 | |
|
Hyundai Capital America | |
1.450% due 02/06/2017 | | | | | 200 | | | | | | 201 | |
3.750% due 04/06/2016 | | | | | 100 | | | | | | 105 | |
|
Kansas City Southern de Mexico S.A. de C.V. | |
0.928% due 10/28/2016 | | | | | 700 | | | | | | 703 | |
|
KazMunayGas National Co. JSC | |
11.750% due 01/23/2015 | | | | | 1,200 | | | | | | 1,270 | |
|
Kia Motors Corp. | |
3.625% due 06/14/2016 | | | | | 1,140 | | | | | | 1,194 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 97 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Kinder Morgan Energy Partners LP | |
6.000% due 02/01/2017 | | $ | | | 1,000 | | | $ | | | 1,116 | |
|
Korea Expressway Corp. | |
5.125% due 05/20/2015 | | | | | 1,300 | | | | | | 1,348 | |
|
Korea National Oil Corp. | |
3.125% due 04/03/2017 | | | | | 2,000 | | | | | | 2,086 | |
4.000% due 10/27/2016 | | | | | 200 | | | | | | 212 | |
|
Kraft Foods Group, Inc. | |
1.625% due 06/04/2015 | | | | | 1,000 | | | | | | 1,011 | |
|
Lafarge S.A. | |
6.200% due 07/09/2015 | | | | | 331 | | | | | | 347 | |
|
Life Technologies Corp. | |
3.500% due 01/15/2016 | | | | | 100 | | | | | | 104 | |
|
MGM Resorts International | |
6.625% due 07/15/2015 | | | | | 1,300 | | | | | | 1,368 | |
|
NBCUniversal Enterprise, Inc. | |
0.763% due 04/15/2016 | | | | | 1,000 | | | | | | 1,006 | |
|
Nissan Motor Acceptance Corp. | |
0.777% due 03/03/2017 | | | | | 1,000 | | | | | | 1,004 | |
|
Penske Truck Leasing Co. LP | |
2.500% due 03/15/2016 | | | | | 100 | | | | | | 103 | |
|
Philip Morris International, Inc. | |
1.625% due 03/20/2017 | | | | | 200 | | | | | | 203 | |
|
Plains Exploration & Production Co. | |
6.125% due 06/15/2019 | | | | | 200 | | | | | | 222 | |
|
Reynolds American, Inc. | |
1.050% due 10/30/2015 | | | | | 1,100 | | | | | | 1,100 | |
|
Rockies Express Pipeline LLC | |
3.900% due 04/15/2015 | | | | | 150 | | | | | | 152 | |
|
SABIC Capital BV | |
3.000% due 11/02/2015 | | | | | 200 | | | | | | 206 | |
|
SABMiller Holdings, Inc. | |
1.850% due 01/15/2015 | | | | | 200 | | | | | | 201 | |
|
Sinopec Group Overseas Development Ltd. | |
2.750% due 05/17/2017 | | | | | 200 | | | | | | 206 | |
|
SK Telecom Co. Ltd. | |
2.125% due 05/01/2018 | | | | | 1,200 | | | | | | 1,204 | |
|
Telefonica Emisiones S.A.U. | |
3.992% due 02/16/2016 | | | | | 935 | | | | | | 979 | |
4.949% due 01/15/2015 | | | | | 300 | | | | | | 307 | |
6.221% due 07/03/2017 | | | | | 400 | | | | | | 453 | |
|
Transocean, Inc. | |
4.950% due 11/15/2015 | | | | | 100 | | | | | | 105 | |
|
TRW Automotive, Inc. | |
7.250% due 03/15/2017 | | | | | 1,200 | | | | | | 1,371 | |
|
United Airlines, Inc. | |
6.750% due 09/15/2015 | | | | | 200 | | | | | | 202 | |
|
USG Corp. | |
8.375% due 10/15/2018 | | | | | 100 | | | | | | 106 | |
|
Wynn Macau Ltd. | |
5.250% due 10/15/2021 | | | | | 200 | | | | | | 206 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,835 | |
| | | | | | | | | | | | |
| |
UTILITIES 10.8% | |
|
AES Corp. | |
3.229% due 06/01/2019 | | | | | 1,000 | | | | | | 1,010 | |
|
BG Energy Capital PLC | |
2.875% due 10/15/2016 | | | | | 200 | | | | | | 208 | |
|
British Telecommunications PLC | |
1.250% due 02/14/2017 | | | | | 200 | | | | | | 200 | |
|
Enel Finance International NV | |
3.875% due 10/07/2014 | | | | | 740 | | | | | | 746 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Enel SpA | |
4.875% due 02/20/2018 | | EUR | | | 300 | | | $ | | | 463 | |
|
FirstEnergy Corp. | |
2.750% due 03/15/2018 | | $ | | | 750 | | | | | | 759 | |
|
Korea Gas Corp. | |
2.250% due 07/25/2017 | | | | | 200 | | | | | | 204 | |
|
Korea Hydro & Nuclear Power Co. Ltd. | |
2.875% due 10/02/2018 | | | | | 1,110 | | | | | | 1,137 | |
|
Korea Western Power Co. Ltd. | |
3.125% due 05/10/2017 | | | | | 200 | | | | | | 208 | |
|
KT Corp. | |
1.750% due 04/22/2017 | | | | | 1,500 | | | | | | 1,505 | |
3.875% due 01/20/2017 | | | | | 265 | | | | | | 280 | |
|
Orange S.A. | |
2.750% due 09/14/2016 | | | | | 1,200 | | | | | | 1,245 | |
2.750% due 02/06/2019 | | | | | 100 | | | | | | 102 | |
|
Pemex Project Funding Master Trust | |
5.750% due 03/01/2018 | | | | | 200 | | | | | | 226 | |
|
Petrobras Global Finance BV | |
2.592% due 03/17/2017 | | | | | 200 | | | | | | 203 | |
|
Sinopec Group Overseas Development Ltd. | |
1.007% due 04/10/2017 | | | | | 900 | | | | | | 902 | |
1.147% due 04/10/2019 | | | | | 200 | | | | | | 201 | |
|
Sprint Communications, Inc. | |
6.000% due 12/01/2016 | | | | | 1,400 | | | | | | 1,528 | |
|
Telecom Italia Capital S.A. | |
4.950% due 09/30/2014 | | | | | 1,100 | | | | | | 1,111 | |
5.250% due 10/01/2015 | | | | | 100 | | | | | | 105 | |
|
Trans-Allegheny Interstate Line Co. | |
4.000% due 01/15/2015 | | | | | 100 | | | | | | 102 | |
|
Verizon Communications, Inc. | |
1.981% due 09/14/2018 | | | | | 2,347 | | | | | | 2,479 | |
2.500% due 09/15/2016 | | | | | 200 | | | | | | 206 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,130 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $101,359) | | | | | | | | | 101,468 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS & NOTES 0.1% | |
| |
NEW YORK 0.1% | |
|
New York City, New York General Obligation Notes, Series 2007 | |
5.000% due 10/01/2014 | | | | | 200 | | | | | | 202 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $203) | | | | | | | | | 202 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 23.5% | |
|
U.S. Treasury Notes | |
0.375% due 05/31/2016 (b) | | | | | 32,800 | | | | | | 32,771 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $32,743) | | | | | | | | | 32,771 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
MORTGAGE-BACKED SECURITIES 3.8% | |
|
BCAP LLC Trust | |
0.312% due 03/26/2037 | | | | | 200 | | | | | | 195 | |
|
Bear Stearns Adjustable Rate Mortgage Trust | |
2.344% due 02/25/2033 | | | | | 5 | | | | | | 4 | |
|
Citigroup Mortgage Loan Trust, Inc. | |
2.748% due 11/25/2038 | | | | | 92 | | | | | | 93 | |
|
Commercial Mortgage Pass-Through Certificates | |
1.054% due 06/11/2027 (a) | | | | | 1,300 | | | | | | 1,300 | |
|
Countrywide Alternative Loan Trust | |
0.602% due 08/25/2033 | | | | | 82 | | | | | | 82 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Credit Suisse Mortgage Capital Certificates | |
2.653% due 09/27/2036 | | $ | | | 82 | | | $ | | | 82 | |
|
DBUBS Mortgage Trust | |
3.742% due 11/10/2046 | | | | | 725 | | | | | | 756 | |
|
First Horizon Mortgage Pass-Through Trust | |
2.565% due 09/25/2033 | | | | | 123 | | | | | | 123 | |
|
Granite Mortgages PLC | |
0.511% due 09/20/2044 | | | | | 307 | | | | | | 306 | |
|
GS Mortgage Securities Trust | |
4.761% due 07/10/2039 | | | | | 197 | | | | | | 201 | |
|
Jefferies Resecuritization Trust | |
6.074% due 07/26/2037 | | | | | 27 | | | | | | 27 | |
|
JPMorgan Chase Commercial Mortgage Securities Trust | |
4.878% due 01/15/2042 | | | | | 100 | | | | | | 101 | |
4.899% due 01/12/2037 | | | | | 100 | | | | | | 101 | |
5.814% due 06/12/2043 | | | | | 259 | | | | | | 279 | |
|
JPMorgan Resecuritization Trust | |
2.199% due 07/27/2037 | | | | | 242 | | | | | | 243 | |
|
MASTR Adjustable Rate Mortgages Trust | |
2.642% due 04/21/2034 | | | | | 188 | | | | | | 193 | |
|
Residential Accredit Loans, Inc. Trust | |
0.592% due 06/25/2034 | | | | | 196 | | | | | | 195 | |
|
Selkirk Ltd. | |
1.183% due 02/20/2041 | | | | | 200 | | | | | | 200 | |
|
Sequoia Mortgage Trust | |
0.813% due 06/20/2033 | | | | | 14 | | | | | | 14 | |
0.873% due 11/22/2024 | | | | | 25 | | | | | | 25 | |
|
Structured Asset Mortgage Investments Trust | |
0.445% due 07/19/2034 | | | | | 31 | | | | | | 31 | |
|
Thornburg Mortgage Securities Trust | |
2.237% due 04/25/2045 | | | | | 462 | | | | | | 470 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
0.552% due 06/25/2044 | | | | | 280 | | | | | | 267 | |
|
Wells Fargo Mortgage-Backed Securities Trust | |
2.615% due 06/25/2035 | | | | | 12 | | | | | | 12 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $5,266) | | | | | | 5,300 | |
| | | | | | | | | | | | |
| |
ASSET-BACKED SECURITIES 5.2% | |
|
Alba SPV SRL | |
1.827% due 04/20/2040 | | EUR | | | 125 | | | | | | 172 | |
|
ALM Ltd. | |
1.466% due 07/18/2022 | | $ | | | 750 | | | | | | 749 | |
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | |
0.910% due 09/25/2033 | | | | | 77 | | | | | | 74 | |
|
Argent Securities, Inc. Asset-Backed
Pass-Through Certificates | |
0.412% due 10/25/2035 | | | | | 126 | | | | | | 126 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.952% due 10/27/2032 | | | | | 48 | | | | | | 46 | |
|
Callidus Debt Partners CLO Fund Ltd. | |
0.676% due 04/17/2020 | | | | | 1,000 | | | | | | 1,000 | |
|
COA Summit CLO Ltd. | |
1.586% due 04/20/2023 | | | | | 300 | | | | | | 300 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
2.402% due 10/25/2032 | | | | | 187 | | | | | | 188 | |
|
Drug Royalty LP | |
3.082% due 07/15/2023 | | | | | 300 | | | | | | 300 | |
|
Duane Street CLO Ltd. | |
0.455% due 11/14/2021 | | | | | 250 | | | | | | 246 | |
|
Duchess CLO BV | |
0.530% due 02/28/2023 | | EUR | | | 167 | | | | | | 224 | |
| | | | | | |
| 98 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Eagle Creek CLO Ltd. | |
0.609% due 02/28/2018 | | $ | | | 1,095 | | | $ | | | 1,089 | |
|
First Franklin Mortgage Loan Trust | |
0.902% due 11/25/2034 | | | | | 419 | | | | | | 394 | |
|
Gallatin CLO Ltd. | |
1.432% due 07/15/2023 | | | | | 1,000 | | | | | | 1,002 | |
|
Halcyon Structured Asset Management Long/Short Ltd. | |
0.448% due 08/07/2021 | | | | | 142 | | | | | | 142 | |
|
Madison Park Funding Ltd. | |
1.481% due 06/15/2022 | | | | | 500 | | | | | | 499 | |
|
National Collegiate Student Loan Trust | |
0.392% due 11/27/2028 | | | | | 444 | | | | | | 436 | |
|
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | |
0.652% due 03/25/2035 | | | | | 218 | | | | | | 216 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $7,183) | | | | | | | | | | | 7,203 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 5.3% | |
|
Banco Nacional de Desenvolvimento Economico e Social | |
3.375% due 09/26/2016 | | | | | 200 | | | | | | 207 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Japan Bank for International Cooperation | |
2.500% due 01/21/2016 | | $ | | | 1,400 | | | $ | | | 1,445 | |
|
Japan Finance Organization for Municipalities | |
1.500% due 09/12/2017 | | | | | 4,100 | | | | | | 4,132 | |
|
Korea Land & Housing Corp. | |
1.875% due 08/02/2017 | | | | | 1,000 | | | | | | 1,006 | |
|
Qatar Government International Bond | |
3.125% due 01/20/2017 | | | | | 500 | | | | | | 527 | |
|
Slovenia Government International Bond | |
2.750% due 03/17/2015 | | EUR | | | 100 | | | | | | 139 | |
| | | | | | | | | | | | |
Total Sovereign Issues
(Cost $7,441) | | | | | | | | | | | 7,456 | |
| | | | | | | | | | | | |
| |
SHORT-TERM INSTRUMENTS 3.8% | |
| | | | | | | | | | | | |
CERTIFICATES OF DEPOSIT 3.0% | |
|
Banco do Brasil S.A. | |
1.211% due 06/29/2015 | | $ | | | 1,300 | | | | | | 1,300 | |
|
Credit Agricole | |
0.557% due 07/02/2015 | | | | | 1,000 | | | | | | 1,000 | |
|
Credit Suisse | |
0.603% due 01/28/2016 | | | | | 300 | | | | | | 300 | |
| | | | | | | | | | | | |
| | | PRINCIPAL
AMOUNT
(000s) | | | MARKET
VALUE
(000s) | |
|
Intesa Sanpaolo SpA | |
1.650% due 04/07/2015 | | $ | | | 200 | | | $ | | | 201 | |
|
Itau Unibanco Holding S.A. | |
1.151% due 06/04/2015 | | | | | 1,400 | | | | | | 1,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,201 | |
| | | | | | | | | | | | |
| |
COMMERCIAL PAPER 0.8% | |
| |
Entergy Corp. | | | | |
0.884% due 08/25/2014 | | | | | 1,100 | | | | | | 1,098 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $5,298) | | | 5,299 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $159,493) | | | | | | 159,699 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 114.3%
(Cost $159,493) | | | $ | | | 159,699 | |
| |
Financial Derivative
Instruments (c) 0.0% (Cost or Premiums, net $0) | | | | | | | | | | | (43 | ) |
| |
Other Assets and Liabilities, net (14.3%) | | | (19,906 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 139,750 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (1) | | | Payable for
Reverse
Repurchase
Agreements | |
JPS | | | | | (1.300 | %) | | | 06/30/2014 | | | | 07/01/2014 | | | $ | (20,175 | ) | | $ | (20,174 | ) |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | $ | (20,174 | ) |
| (1) | As of June 30, 2014, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended June 30, 2014 was $3,661 at a weighted average interest rate of (0.336%). |
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 as of June 30, 2014:
| (b) | Securities with an aggregate market value of $20,182 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
Pledged | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
JPS | | | | $ | 0 | | | $ | (20,174 | ) | | $ | 0 | | | $ | 0 | | | $ | (20,174 | ) | | $ | 20,182 | | | $ | 8 | |
Total Borrowings and Other Financing Transactions | | | | $ | 0 | | | $ | (20,174 | ) | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 99 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
| | (c) 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 | | | | | 07/2014 | | | | AUD | | | | 1,013 | | | | $ | | | | 946 | | | $ | 0 | | | $ | (9 | ) |
| | | | | | 07/2014 | | | | JPY | | | | 49,400 | | | | | | | | 485 | | | | 0 | | | | (3 | ) |
BPS | | | | | 07/2014 | | | | MXN | | | | 7,900 | | | | | | | | 595 | | | | 0 | | | | (14 | ) |
| | | | | | 07/2014 | | | | $ | | | | 592 | | | | MXN | | | | 7,832 | | | | 11 | | | | 0 | |
BRC | | | | | 07/2014 | | | | JPY | | | | 234,100 | | | | $ | | | | 2,305 | | | | 0 | | | | (6 | ) |
| | | | | | 07/2014 | | | | $ | | | | 2,792 | | | | JPY | | | | 283,500 | | | | 7 | | | | 0 | |
| | | | | | 08/2014 | | | | EUR | | | | 1,344 | | | | $ | | | | 1,832 | | | | 0 | | | | (9 | ) |
| | | | | | 08/2014 | | | | JPY | | | | 283,500 | | | | | | | | 2,792 | | | | 0 | | | | (7 | ) |
| | | | | | 03/2015 | | | | EUR | | | | 100 | | | | | | | | 137 | | | | 0 | | | | 0 | |
CBK | | | | | 08/2014 | | | | AUD | | | | 1,004 | | | | | | | | 941 | | | | 0 | | | | (3 | ) |
FBF | | | | | 08/2014 | | | | EUR | | | | 343 | | | | | | | | 465 | | | | 0 | | | | (5 | ) |
RBC | | | | | 08/2014 | | | | $ | | | | 4 | | | | MXN | | | | 50 | | | | 0 | | | | 0 | |
UAG | | | | | 08/2014 | | | | EUR | | | | 1,004 | | | | $ | | | | 1,370 | | | | 0 | | | | (5 | ) |
Total Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | $ | 18 | | | $ | (61 | ) |
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 (received)/pledged as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| | | | 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
(Received)/
Pledged | | | Net
Exposure (1) | |
BOA | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | $ | (12 | ) | | $ | 0 | | | $ | 0 | | | $ | (12 | ) | | $ | (12 | ) | | $ | 0 | | | $ | (12 | ) |
BPS | | | | | 11 | | | | 0 | | | | 0 | | | | 11 | | | | | | (14 | ) | | | 0 | | | | 0 | | | | (14 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
BRC | | | | | 7 | | | | 0 | | | | 0 | | | | 7 | | | | | | (22 | ) | | | 0 | | | | 0 | | | | (22 | ) | | | (15 | ) | | | 0 | | | | (15 | ) |
CBK | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (3 | ) | | | 0 | | | | 0 | | | | (3 | ) | | | (3 | ) | | | 0 | | | | (3 | ) |
FBF | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (5 | ) | | | 0 | | | | 0 | | | | (5 | ) | | | (5 | ) | | | 0 | | | | (5 | ) |
UAG | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | (5 | ) | | | 0 | | | | 0 | | | | (5 | ) | | | (5 | ) | | | 0 | | | | (5 | ) |
Total
Over the
Counter | | | | $ | 18 | | | $ | 0 | | | $ | 0 | | | $ | 18 | | | | | $ | (61 | ) | | $ | 0 | | | $ | 0 | | | $ | (61 | ) | | | | | | | | | | | | |
| (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 7, Principal Risks, 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 Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 18 | | | $ | 0 | | | $ | 18 | |
| | | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 61 | | | $ | 0 | | | $ | 61 | |
| | | | | | |
| 100 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized Gain on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 7 | | | $ | 0 | | | $ | 7 | |
| | | | | | | |
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (43 | ) | | $ | 0 | | | $ | (43 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 0 | | | $ | 53,253 | | | $ | 250 | | | $ | 53,503 | |
Industrials | | | | | 0 | | | | 32,835 | | | | 0 | | | | 32,835 | |
Utilities | | | | | 0 | | | | 15,130 | | | | 0 | | | | 15,130 | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
New York | | | | | 0 | | | | 202 | | | | 0 | | | | 202 | |
U.S. Treasury Obligations | | | | | 0 | | | | 32,771 | | | | 0 | | | | 32,771 | |
Mortgage-Backed Securities | | | | | 0 | | | | 4,000 | | | | 1,300 | | | | 5,300 | |
Asset-Backed Securities | | | | | 0 | | | | 6,903 | | | | 300 | | | | 7,203 | |
Sovereign Issues | | | | | 0 | | | | 7,456 | | | | 0 | | | | 7,456 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 0 | | | | 3,201 | | | | 1,000 | | | | 4,201 | |
Commercial Paper | | | | | 0 | | | | 1,098 | | | | 0 | | | | 1,098 | |
Total Investments | | | | $ | 0 | | | $ | 156,849 | | | $ | 2,850 | | | $ | 159,699 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 18 | | | $ | 0 | | | $ | 18 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | (61 | ) | | $ | 0 | | | $ | (61 | ) |
Totals | | | | $ | 0 | | | $ | 156,806 | | | $ | 2,850 | | | $ | 159,656 | |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Beginning
Balance
at 01/22/2014 | | | 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 06/30/2014 | | | Net
Change in
Unrealized
Appreciation/
(Depreciation)
on
Investments
Held at
06/30/2014 (1) | |
Investments in
Securities,
at Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 0 | | | $ | 250 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 250 | | | $ | 0 | |
Mortgage-Backed Securities | | | | | 0 | | | | 1,300 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,300 | | | | 0 | |
Asset-Backed Securities | | | | | 0 | | | | 300 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 300 | | | | 0 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 0 | | | | 1,000 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 1,000 | | | | 0 | |
Totals | | | | $ | 0 | | | $ | 2,850 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 2,850 | | | $ | 0 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 101 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
June 30, 2014
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 06/30/2014 | | | Valuation
Technique | | | Unobservable
Inputs | | | Input Value(s)
(% Unless
Noted
Otherwise) | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 250 | | | | Benchmark Pricing | | | | Base Price | | | | 100.00 | |
Mortgage-Backed Securities | | | | | 1,300 | | | | Benchmark Pricing | | | | Base Price | | | | 100.00 | |
Asset-Backed Securities | | | | | 300 | | | | Benchmark Pricing | | | | Base Price | | | | 100.00 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 1,000 | | | | Benchmark Pricing | | | | Base Price | | | | 100.00 | |
Total | | | | $ | 2,850 | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
| | | | | | |
| 102 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
Schedule of Investments PIMCO Short Term Municipal Bond Exchange-Traded Fund
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 100.7% | |
| |
MUNICIPAL BONDS & NOTES 97.2% | |
| |
ARIZONA 3.5% | |
|
Arizona Sports & Tourism Authority Revenue Notes, Series 2012 | |
4.000% due 07/01/2017 | | $ | | | 1,000 | | | $ | | | 1,075 | |
|
Salt River Project Agricultural Improvement & Power District, Arizona Revenue Notes, Series 2011 | |
4.000% due 12/01/2014 | | | | | 1,600 | | | | | | 1,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,700 | |
| | | | | | | | | | | | |
| |
CALIFORNIA 4.4% | |
|
Bay Area Toll Authority, California Revenue Bonds, Series 2007 | |
0.760% due 04/01/2047 | | | | | 1,000 | | | | | | 1,006 | |
|
California Health Facilities Financing Authority Revenue Bonds, Series 2004 | |
4.950% due 07/01/2026 | | | | | 250 | | | | | | 250 | |
|
California State General Obligation Bonds, (FGIC Insured), Series 2004 | |
5.250% due 07/01/2014 | | | | | 550 | | | | | | 550 | |
|
Foothill-Eastern Transportation Corridor Agency, California Revenue Bonds, Series 2014 | |
5.000% due 01/15/2053 | | | | | 250 | | | | | | 275 | |
|
Los Angeles Unified School District, California General Obligation Notes, Series 2011 | |
4.000% due 07/01/2014 | | | | | 1,000 | | | | | | 1,000 | |
|
South Placer Wastewater Authority, California Revenue Notes, Series 2011 | |
0.890% due 11/01/2014 | | | | | 250 | | | | | | 250 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,331 | |
| | | | | | | | | | | | |
| |
CONNECTICUT 2.2% | |
|
Stratford, Connecticut General Obligation Notes, Series 2011 | |
3.500% due 08/01/2015 | | | | | 1,635 | | | | | | 1,688 | |
| | | | | | | | | | | | |
| |
FLORIDA 12.0% | |
|
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2010 | |
5.000% due 06/01/2016 | | | | | 1,000 | | | | | | 1,086 | |
|
Florida Municipal Power Agency Revenue Notes, Series 2011 | |
4.000% due 10/01/2015 | | | | | 1,775 | | | | | | 1,856 | |
|
Florida State General Obligation Notes, Series 2009 | |
5.000% due 06/01/2019 | | | | | 625 | | | | | | 733 | |
|
Florida State General Obligation Notes, Series 2011 | |
5.000% due 06/01/2016 | | | | | 500 | | | | | | 545 | |
|
Lakeland, Florida Department of Electric Utilities Revenue Notes, Series 2012 | |
0.810% due 10/01/2017 | | | | | 3,000 | | | | | | 3,023 | |
|
Miami-Dade County, Florida Water & Sewer System Revenue Notes, Series 2008 | |
5.250% due 10/01/2018 | | | | | 500 | | | | | | 583 | |
|
Orlando Utilities Commission, Florida Revenue Notes, Series 2010 | |
5.000% due 10/01/2015 | | | | | 1,270 | | | | | | 1,346 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,172 | |
| | | | | | | | | | | | |
| |
GEORGIA 2.1% | |
|
Atlanta Department of Aviation, Georgia Revenue Notes, Series 2010 | |
5.000% due 01/01/2018 | | | | | 500 | | | | | | 569 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Burke County, Georgia Development Authority Revenue Bonds, Series 1994 | |
2.200% due 10/01/2032 | | $ | | | 1,000 | | | $ | | | 1,014 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,583 | |
| | | | | | | | | | | | |
| |
ILLINOIS 1.5% | |
|
Chicago, Illinois Midway Airport Revenue Bonds, Series 2010 | |
5.000% due 01/01/2034 | | | | | 500 | | | | | | 512 | |
|
Illinois Finance Authority Revenue Bonds, Series 2004 | |
5.500% due 10/01/2014 | | | | | 200 | | | | | | 203 | |
|
Illinois Finance Authority Revenue Bonds, Series 2008 | |
1.300% due 07/01/2042 | | | | | 400 | | | | | | 402 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,117 | |
| | | | | | | | | | | | |
| |
INDIANA 1.3% | |
|
Indiana Finance Authority Revenue Notes, Series 2008 | |
5.000% due 11/01/2014 | | | | | 1,000 | | | | | | 1,016 | |
| | | | | | | | | | | | |
| |
LOUISIANA 0.7% | |
|
Louisiana Offshore Terminal Authority Revenue Bonds, Series 2010 | |
2.100% due 10/01/2040 | | | | | 500 | | | | | | 502 | |
| | | | | | | | | | | | |
| |
MASSACHUSETTS 1.3% | |
|
Commonwealth of Massachusetts General Obligation Notes, Series 2013 | |
0.420% due 02/01/2017 | | | | | 1,000 | | | | | | 1,003 | |
| | | | | | | | | | | | |
| |
MICHIGAN 1.3% | |
|
Michigan State Hospital Finance Authority Revenue Bonds, Series 2010 | |
1.500% due 11/15/2047 | | | | | 1,000 | | | | | | 1,021 | |
| | | | | | | | | | | | |
| |
MINNESOTA 4.1% | |
|
Northern Municipal Power Agency, Minnesota Revenue Notes, Series 2010 | |
5.000% due 01/01/2019 | | | | | 750 | | | | | | 859 | |
|
Southern Minnesota Municipal Power Agency Revenue Bonds, (AMBAC Insured), Series 2002 | |
5.250% due 01/01/2017 | | | | | 1,000 | | | | | | 1,107 | |
|
University of Minnesota Revenue Notes, Series 2011 | |
5.000% due 12/01/2017 | | | | | 1,000 | | | | | | 1,146 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,112 | |
| | | | | | | | | | | | |
| |
NEBRASKA 2.0% | |
|
Nebraska Public Power District Revenue Notes, Series 2012 | |
5.000% due 01/01/2019 | | | | | 1,330 | | | | | | 1,547 | |
| | | | | | | | | | | | |
| |
NEVADA 5.7% | |
|
Clark Department of Aviation, Nevada Revenue Notes, Series 2014 | |
5.000% due 07/01/2018 (a) | | | | | 1,000 | | | | | | 1,144 | |
|
Nevada State General Obligation Bonds, (AGM Insured), Series 2005 | |
5.000% due 12/01/2016 | | | | | 2,000 | | | | | | 2,088 | |
|
Nevada State Revenue Notes, Series 2013 | |
5.000% due 12/01/2017 | | | | | 1,000 | | | | | | 1,144 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,376 | |
| | | | | | | | | | | | |
| |
NEW YORK 16.3% | |
|
Metropolitan Transportation Authority, New York Revenue Bonds, (NPFGC Insured), Series 2005 | |
5.000% due 11/15/2015 | | | | | 220 | | | | | | 234 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Metropolitan Transportation Authority, New York Revenue Notes, (NPFGC Insured), Series 2005 | |
5.000% due 11/15/2014 | | $ | | | 590 | | | $ | | | 601 | |
|
Metropolitan Transportation Authority, New York Revenue Notes, Series 2012 | |
4.000% due 11/15/2016 | | | | | 605 | | | | | | 655 | |
|
Monroe County Industrial Development Corp., New York Revenue Notes, (FHA Insured), Series 2010 | |
4.000% due 08/15/2015 | | | | | 500 | | | | | | 522 | |
|
New York City, New York General Obligation Notes, Series 2007 | |
5.000% due 08/01/2016 | | | | | 1,040 | | | | | | 1,140 | |
|
New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2012 | |
0.040% due 11/01/2036 | | | | | 2,000 | | | | | | 2,000 | |
|
New York State Dormitory Authority Revenue Notes, Series 2009 | |
5.000% due 07/01/2018 | | | | | 1,000 | | | | | | 1,150 | |
|
New York State Dormitory Authority Revenue Notes, Series 2010 | |
5.000% due 07/01/2016 | | | | | 250 | | | | | | 270 | |
5.000% due 07/01/2018 | | | | | 1,000 | | | | | | 1,136 | |
|
New York State Dormitory Authority Revenue Notes, Series 2012 | |
4.000% due 05/15/2017 | | | | | 450 | | | | | | 492 | |
|
New York State Energy Research & Development Authority Revenue Notes, Series 2011 | |
2.125% due 03/15/2015 | | | | | 1,500 | | | | | | 1,512 | |
|
New York State Thruway Authority Revenue Notes, Series 2013 | |
5.000% due 05/01/2019 | | | | | 1,000 | | | | | | 1,162 | |
|
Triborough Bridge & Tunnel Authority, New York Revenue Notes, Series 2013 | |
3.000% due 11/15/2015 | | | | | 1,460 | | | | | | 1,515 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,389 | |
| | | | | | | | | | | | |
| |
NORTH CAROLINA 3.4% | |
|
Durham, North Carolina Revenue Notes, Series 2010 | |
4.000% due 10/01/2016 | | | | | 250 | | | | | | 268 | |
|
North Carolina Municipal Power Agency No. 1 Revenue Notes, Series 2008 | |
5.250% due 01/01/2015 | | | | | 1,140 | | | | | | 1,169 | |
|
North Carolina State Revenue Notes, Series 2013 | |
5.000% due 05/01/2018 | | | | | 1,000 | | | | | | 1,151 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,588 | |
| | | | | | | | | | | | |
| |
OHIO 6.2% | |
|
Cincinnati, Ohio Water System Revenue Notes, Series 2009 | |
5.000% due 12/01/2017 | | | | | 1,000 | | | | | | 1,143 | |
|
Ohio Air Quality Development Authority Revenue Bonds, Series 2006 | |
3.750% due 12/01/2023 | | | | | 1,000 | | | | | | 1,057 | |
|
Ohio Higher Educational Facility Commission Revenue Bonds, (NPFGC Insured), Series 2006 | |
5.250% due 12/01/2019 | | | | | 750 | | | | | | 888 | |
|
Ohio State University Revenue Notes, Series 2010 | |
5.000% due 12/01/2016 | | | | | 500 | | | | | | 555 | |
|
Ohio State Water Development Authority Revenue Bonds, Series 2003 | |
5.250% due 06/01/2015 | | | | | 1,000 | | | | | | 1,047 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,690 | |
| | | | | | | | | | | | |
| |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 103 |
Schedule of Investments PIMCO Short Term Municipal Bond Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
OKLAHOMA 0.6% | |
|
Grand River Dam Authority, Oklahoma Revenue Notes, (BHAC Insured), Series 2008 | |
5.000% due 06/01/2017 | | $ | | | 420 | | | $ | | | 472 | |
| | | | | | | | | | | | |
| |
OREGON 1.7% | |
|
Portland, Oregon Sewer System Revenue Notes, (NPFGC Insured), Series 2007 | |
5.000% due 06/01/2015 | | | | | 245 | | | | | | 256 | |
|
Tri-County Metropolitan Transportation District, Oregon Revenue Notes, Series 2013 | |
4.000% due 11/01/2017 | | | | | 1,000 | | | | | | 1,061 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,317 | |
| | | | | | | | | | | | |
| |
PENNSYLVANIA 4.6% | |
|
Pennsylvania Economic Development Financing Authority Revenue Bonds, Series 2009 | |
1.750% due 12/01/2033 | | | | | 1,500 | | | | | | 1,530 | |
|
Philadelphia Hospitals & Higher Education Facilities Authority, Pennsylvania Revenue Bonds, Series 2005 | |
0.030% due 02/15/2021 | | | | | 2,000 | | | | | | 2,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,530 | |
| | | | | | | | | | | | |
| |
SOUTH CAROLINA 0.4% | |
|
South Carolina State Public Service Authority Revenue Notes, Series 2010 | |
5.000% due 01/01/2016 | | | | | 250 | | | | | | 267 | |
| | | | | | | | | | | | |
| |
TENNESSEE 1.8% | |
|
Memphis, Tennessee Electric System Revenue Notes, Series 2010 | |
5.000% due 12/01/2014 | | | | | 675 | | | | | | 689 | |
|
Metropolitan Government of Nashville & Davidson County, Tennessee Health & Educational Facilities Board Revenue Notes, Series 2012 | |
4.000% due 10/01/2014 | | | | | 650 | | | | | | 656 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,345 | |
| | | | | | | | | | | | |
| |
TEXAS 10.1% | |
|
Austin, Texas Water & Wastewater System Revenue Bonds, (AMBAC Insured), Series 2002 | |
5.500% due 11/15/2015 | | | | | 500 | | | | | | 536 | |
|
Austin, Texas Water & Wastewater System Revenue Notes, Series 2009 | |
5.000% due 11/15/2017 | | | | | 250 | | | | | | 285 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Dallas/Fort Worth International Airport, Texas Revenue Notes, Series 2009 | |
5.000% due 11/01/2017 | | $ | | | 1,000 | | | $ | | | 1,138 | |
|
Dallas/Fort Worth International Airport, Texas Revenue Notes, Series 2012 | |
4.000% due 11/01/2015 | | | | | 500 | | | | | | 524 | |
|
Dallas/Fort Worth International Airport, Texas Revenue Notes, Series 2013 | |
5.000% due 11/01/2018 | | | | | 500 | | | | | | 580 | |
|
Fort Bend Independent School District, Texas General Obligation Notes, (PSF/GTD Insured), Series 2010 | |
5.000% due 08/15/2016 | | | | | 500 | | | | | | 550 | |
|
Lower Colorado River Authority, Texas Revenue Notes, Series 2013 | |
5.000% due 05/15/2017 | | | | | 1,595 | | | | | | 1,781 | |
|
San Antonio, Texas Water System Revenue Bonds, Series 2013 | |
0.740% due 05/01/2043 | | | | | 1,000 | | | | | | 1,000 | |
|
Texas Public Finance Authority Revenue Notes, Series 2010 | |
4.000% due 07/01/2015 | | | | | 1,000 | | | | | | 1,039 | |
|
University of North Texas Revenue Notes, Series 2010 | |
5.000% due 04/15/2016 | | | | | 250 | | | | | | 271 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,704 | |
| | | | | | | | | | | | |
| |
UTAH 1.9% | |
|
Intermountain Power Agency, Utah Revenue Notes, Series 2013 | |
5.000% due 07/01/2018 | | | | | 760 | | | | | | 879 | |
|
Intermountain Power Agency, Utah Revenue Notes, Series 2014 | |
5.000% due 07/01/2018 | | | | | 500 | | | | | | 577 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,456 | |
| | | | | | | | | | | | |
| |
VIRGINIA 2.0% | |
|
Virginia College Building Authority Revenue Notes, Series 2009 | |
5.000% due 09/01/2017 | | | | | 175 | | | | | | 199 | |
|
Virginia Public School Authority Revenue Notes, Series 2011 | |
5.000% due 08/01/2018 | | | | | 1,140 | | | | | | 1,323 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,522 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
WASHINGTON 4.5% | |
|
Energy Northwest, Washington Revenue Notes, Series 2007 | |
5.000% due 07/01/2015 | | $ | | | 1,000 | | | $ | | | 1,048 | |
|
King County, Washington General Obligation Notes, Series 2007 | |
5.000% due 12/01/2015 | | | | | 250 | | | | | | 267 | |
|
King County, Washington Public Hospital District No. 2 General Obligation Notes, Series 2010 | |
5.000% due 12/01/2015 | | | | | 1,000 | | | | | | 1,068 | |
|
Washington State General Obligation Notes, Series 2013 | |
5.000% due 07/01/2017 | | | | | 910 | | | | | | 1,027 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,410 | |
| | | | | | | | | | | | |
| |
WISCONSIN 1.6% | |
|
Wisconsin Department of Transportation Revenue Notes, Series 2013 | |
4.000% due 07/01/2018 | | | | | 750 | | | | | | 839 | |
|
Wisconsin State Revenue Notes, Series 2009 | |
5.000% due 07/01/2014 | | | | | 400 | | | | | | 400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,239 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $73,673) | | | | | | | | | | | 74,097 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS 2.9% | |
|
U.S. Treasury Notes | |
0.250% due 01/31/2015 | | | | | 700 | | | | | | 701 | |
0.250% due 02/28/2015 | | | | | 1,500 | | | | | | 1,502 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $2,202) | | | | | | | | | | | 2,203 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
SHORT-TERM INSTRUMENTS 0.6% | |
| | | | | | | | | | | | |
REPURCHASE AGREEMENTS (b) 0.6% | |
| | | | | | | | | | | 425 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $425) | | | | | | 425 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $76,300) | | | | | | 76,725 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 100.7%
(Cost $76,300) | | | $ | | | 76,725 | |
| |
Other Assets and Liabilities, net (0.7%) | | | | | | (514 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 76,211 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Lending
Rate | | | Settlement
Date | | | Maturity
Date | | | Principal
Amount | | | Collateralized By | | Collateral
Received,
at Value | | | Repurchase
Agreements,
at Value | | | Repurchase
Agreement
Proceeds
to be
Received (1) | |
SSB | | | | | 0.000 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | 425 | | | Freddie Mac 2.000% due 01/30/2023 | | $ | (435 | ) | | $ | 425 | | | $ | 425 | |
Total Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | | $ | (435 | ) | | $ | 425 | | | $ | 425 | |
| (1) | Includes accrued interest. |
| | | | | | |
| 104 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
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 (received) as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received) | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SSB | | | | $ | 425 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 425 | | | $ | (435 | ) | | $ | (10 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 425 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
Arizona | | | | $ | 0 | | | $ | 2,700 | | | $ | 0 | | | $ | 2,700 | |
California | | | | | 0 | | | | 3,331 | | | | 0 | | | | 3,331 | |
Connecticut | | | | | 0 | | | | 1,688 | | | | 0 | | | | 1,688 | |
Florida | | | | | 0 | | | | 9,172 | | | | 0 | | | | 9,172 | |
Georgia | | | | | 0 | | | | 1,583 | | | | 0 | | | | 1,583 | |
Illinois | | | | | 0 | | | | 1,117 | | | | 0 | | | | 1,117 | |
Indiana | | | | | 0 | | | | 1,016 | | | | 0 | | | | 1,016 | |
Louisiana | | | | | 0 | | | | 502 | | | | 0 | | | | 502 | |
Massachusetts | | | | | 0 | | | | 1,003 | | | | 0 | | | | 1,003 | |
Michigan | | | | | 0 | | | | 1,021 | | | | 0 | | | | 1,021 | |
Minnesota | | | | | 0 | | | | 3,112 | | | | 0 | | | | 3,112 | |
Nebraska | | | | | 0 | | | | 1,547 | | | | 0 | | | | 1,547 | |
Nevada | | | | | 0 | | | | 4,376 | | | | 0 | | | | 4,376 | |
New York | | | | | 0 | | | | 12,389 | | | | 0 | | | | 12,389 | |
North Carolina | | | | | 0 | | | | 2,588 | | | | 0 | | | | 2,588 | |
Ohio | | | | | 0 | | | | 4,690 | | | | 0 | | | | 4,690 | |
Oklahoma | | | | | 0 | | | | 472 | | | | 0 | | | | 472 | |
Oregon | | | | | 0 | | | | 1,317 | | | | 0 | | | | 1,317 | |
Pennsylvania | | | | | 0 | | | | 3,530 | | | | 0 | | | | 3,530 | |
South Carolina | | | | | 0 | | | | 267 | | | | 0 | | | | 267 | |
Tennessee | | | | | 0 | | | | 1,345 | | | | 0 | | | | 1,345 | |
Texas | | | | | 0 | | | | 7,704 | | | | 0 | | | | 7,704 | |
Utah | | | | | 0 | | | | 1,456 | | | | 0 | | | | 1,456 | |
Virginia | | | | | 0 | | | | 1,522 | | | | 0 | | | | 1,522 | |
Washington | | | | | 0 | | | | 3,410 | | | | 0 | | | | 3,410 | |
Wisconsin | | | | | 0 | | | | 1,239 | | | | 0 | | | | 1,239 | |
U.S. Treasury Obligations | | | | | 0 | | | | 2,203 | | | | 0 | | | | 2,203 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Repurchase Agreements | | | | | 0 | | | | 425 | | | | 0 | | | | 425 | |
Total Investments | | | | $ | 0 | | | $ | 76,725 | | | $ | 0 | | | $ | 76,725 | |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 105 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
INVESTMENTS IN SECURITIES 125.2% | |
| |
BANK LOAN OBLIGATIONS 1.1% | |
|
Biomet, Inc. | |
3.650% - 3.733% due 07/25/2017 | | $ | | | 4,638 | | | $ | | | 4,651 | |
|
H.J. Heinz Co. | |
3.500% due 06/05/2020 | | | | | 14,652 | | | | | | 14,777 | |
|
HCA, Inc. | |
2.984% due 05/01/2018 | | | | | 3,970 | | | | | | 3,980 | |
|
Hologic, Inc. | |
3.250% due 08/01/2019 | | | | | 2,283 | | | | | | 2,285 | |
|
MGM Resorts International | |
2.900% due 12/20/2017 | | | | | 9,850 | | | | | | 9,899 | |
|
Valeant Pharmaceuticals International, Inc. | |
3.750% due 08/05/2020 | | | | | 1,106 | | | | | | 1,107 | |
| | | | | | | | | | | | |
Total Bank Loan Obligations
(Cost $36,628) | | | 36,699 | |
| | | | | | | | | | | | |
| |
CORPORATE BONDS & NOTES 54.5% | |
| |
BANKING & FINANCE 38.9% | |
|
Allstate Life Global Funding Trusts CPI Linked Bond | |
2.268% due 11/25/2016 | | | | | 2,500 | | | | | | 2,560 | |
|
Ally Financial, Inc. | |
2.427% due 12/01/2014 | | | | | 5,365 | | | | | | 5,387 | |
2.908% due 07/18/2016 | | | | | 2,600 | | | | | | 2,671 | |
3.500% due 07/18/2016 | | | | | 2,000 | | | | | | 2,068 | |
3.500% due 01/27/2019 | | | | | 10,000 | | | | | | 10,122 | |
4.625% due 06/26/2015 | | | | | 8,300 | | | | | | 8,580 | |
6.750% due 12/01/2014 | | | | | 10,811 | | | | | | 11,061 | |
8.300% due 02/12/2015 | | | | | 2,948 | | | | | | 3,077 | |
|
Banco Popolare | |
3.500% due 03/14/2019 | | EUR | | | 7,400 | | | | | | 10,504 | |
|
Bank of America Corp. | |
1.050% due 03/22/2016 | | $ | | | 10,000 | | | | | | 10,079 | |
2.000% due 01/11/2018 | | | | | 5,100 | | | | | | 5,137 | |
2.600% due 01/15/2019 (f) | | | | | 28,900 | | | | | | 29,267 | |
6.000% due 09/01/2017 (f) | | | | | 28,400 | | | | | | 32,103 | |
6.500% due 08/01/2016 (f) | | | | | 11,000 | | | | | | 12,197 | |
6.875% due 04/25/2018 | | | | | 10,000 | | | | | | 11,783 | |
|
Bankia S.A. | |
0.532% due 01/25/2016 | | EUR | | | 500 | | | | | | 677 | |
3.500% due 01/17/2019 | | | | | 2,100 | | | | | | 3,058 | |
3.625% due 10/05/2016 | | | | | 5,050 | | | | | | 7,359 | |
4.375% due 02/14/2017 | | | | | 3,800 | | | | | | 5,583 | |
5.000% due 10/30/2014 | | | | | 1,100 | | | | | | 1,528 | |
|
Barclays Bank PLC | |
0.000% due 10/04/2022 (d) | | MXN | | | 65,000 | | | | | | 6,874 | |
7.625% due 11/21/2022 | | $ | | | 35,400 | | | | | | 40,356 | |
7.750% due 04/10/2023 | | | | | 5,400 | | | | | | 6,017 | |
14.000% due 06/15/2019 (e) | | GBP | | | 15,500 | | | | | | 36,315 | |
|
Belvoir Land LLC | |
5.300% due 12/15/2035 | | $ | | | 1,889 | | | | | | 1,953 | |
|
BPCE S.A. | |
5.150% due 07/21/2024 | | | | | 10,000 | | | | | | 10,572 | |
5.700% due 10/22/2023 | | | | | 18,800 | | | | | | 20,762 | |
|
CIT Group, Inc. | |
4.750% due 02/15/2015 | | | | | 2,400 | | | | | | 2,453 | |
|
Citicorp Lease Pass-Through Trust | |
8.040% due 12/15/2019 | | | | | 5,200 | | | | | | 6,236 | |
|
Citigroup, Inc. | |
1.189% due 07/25/2016 | | | | | 10,000 | | | | | | 10,114 | |
4.450% due 01/10/2017 | | | | | 15,000 | | | | | | 16,174 | |
4.875% due 05/07/2015 | | | | | 1,550 | | | | | | 1,605 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | |
6.875% due 03/19/2020 | | EUR | | | 2,600 | | | $ | | | 4,298 | |
|
Credit Agricole S.A. | |
7.875% due 01/23/2024 (e) | | $ | | | 2,000 | | | | | | 2,188 | |
8.125% due 09/19/2033 | | | | | 28,400 | | | | | | 32,431 | |
|
Credit Suisse | |
6.500% due 08/08/2023 | | | | | 18,400 | | | | | | 20,470 | |
|
Eksportfinans ASA | |
0.890% due 06/16/2015 | | JPY | | | 1,100,000 | | | | | | 10,593 | |
2.000% due 09/15/2015 | | $ | | | 20,400 | | | | | | 20,431 | |
2.375% due 05/25/2016 | | | | | 17,491 | | | | | | 17,535 | |
3.000% due 11/17/2014 | | | | | 9,800 | | | | | | 9,872 | |
5.500% due 05/25/2016 | | | | | 6,871 | | | | | | 7,335 | |
5.500% due 06/26/2017 | | | | | 1,000 | | | | | | 1,075 | |
|
Ford Motor Credit Co. LLC | |
1.474% due 05/09/2016 | | | | | 4,700 | | | | | | 4,771 | |
2.375% due 01/16/2018 | | | | | 8,400 | | | | | | 8,587 | |
6.625% due 08/15/2017 | | | | | 15,600 | | | | | | 17,967 | |
7.000% due 04/15/2015 | | | | | 4,000 | | | | | | 4,201 | |
|
General Electric Capital Corp. | |
6.375% due 11/15/2067 (f) | | | 46,100 | | | | | | 51,517 | |
|
Goldman Sachs Group, Inc. | |
6.150% due 04/01/2018 | | | | | 11,000 | | | | | | 12,611 | |
|
Industrial Bank of Korea | |
1.375% due 10/05/2015 | | | | | 5,000 | | | | | | 5,038 | |
|
International Lease Finance Corp. | |
6.500% due 09/01/2014 | | | | | 10,660 | | | | | | 10,753 | |
8.625% due 09/15/2015 | | | | | 8,500 | | | | | | 9,223 | |
|
Intesa Sanpaolo SpA | |
3.875% due 01/16/2018 | | | | | 7,500 | | | | | | 7,910 | |
|
JPMorgan Chase & Co. | |
1.054% due 05/30/2017 | | GBP | | | 6,200 | | | | | | 10,475 | |
6.000% due 01/15/2018 | | $ | | | 5,000 | | | | | | 5,728 | |
6.300% due 04/23/2019 | | | | | 16,200 | | | | | | 19,171 | |
|
JPMorgan Chase Bank N.A. | |
0.863% due 05/31/2017 | | EUR | | | 14,000 | | | | | | 19,120 | |
5.375% due 09/28/2016 | | GBP | | | 5,350 | | | | | | 9,836 | |
|
KBC Bank NV | |
8.000% due 01/25/2023 | | $ | | | 65,600 | | | | | | 75,014 | |
|
Korea Exchange Bank | |
3.125% due 06/26/2017 | | | | | 5,000 | | | | | | 5,209 | |
|
LBG Capital PLC | |
15.000% due 12/21/2019 | | GBP | | | 7,100 | | | | | | 17,680 | |
15.000% due 12/21/2019 | | EUR | | | 1,800 | | | | | | 3,818 | |
|
MassMutual Global Funding | |
2.350% due 04/09/2019 (f) | | $ | | | 46,600 | | | | | | 47,045 | |
|
SAFG Retirement Services, Inc. | |
5.600% due 07/31/2097 | | | | | 44,610 | | | | | | 47,179 | |
|
Santander U.S. Debt S.A.U. | |
3.724% due 01/20/2015 | | | | | 15,700 | | | | | | 15,934 | |
|
SLM Corp. | |
5.000% due 04/15/2015 | | | | | 4,300 | | | | | | 4,429 | |
5.050% due 11/14/2014 | | | | | 8,500 | | | | | | 8,638 | |
5.500% due 01/15/2019 | | | | | 1,900 | | | | | | 2,024 | |
6.250% due 01/25/2016 | | | | | 7,054 | | | | | | 7,521 | |
8.450% due 06/15/2018 | | | | | 10,550 | | | | | | 12,495 | |
8.780% due 09/15/2016 | | MXN | | | 75,600 | | | | | | 5,935 | |
|
SLM Student Loan Trust | |
0.792% due 12/15/2033 | | EUR | | | 61,902 | | | | | | 82,654 | |
0.882% due 07/25/2039 | | | | | 18,500 | | | | | | 24,129 | |
1.085% due 03/15/2038 | | GBP | | | 32,146 | | | | | | 51,439 | |
5.150% due 12/15/2039 | | | | | 9,710 | | | | | | 16,227 | |
|
Springleaf Finance Corp. | |
6.900% due 12/15/2017 | | $ | | | 1,400 | | | | | | 1,558 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Stone Street Trust | |
5.902% due 12/15/2015 | | $ | | | 5,670 | | | $ | | | 6,041 | |
|
Svensk Exportkredit AB | |
0.228% due 07/19/2015 | | | | | 200,000 | | | | | | 200,010 | |
|
Trafford Centre Finance Ltd. | |
0.728% due 07/28/2015 | | GBP | | | 530 | | | | | | 903 | |
|
UBS AG | |
4.750% due 05/22/2023 | | $ | | | 4,200 | | | | | | 4,310 | |
7.625% due 08/17/2022 | | | | | 29,950 | | | | | | 36,102 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,333,662 | |
| | | | | | | | | | | | |
| |
INDUSTRIALS 10.1% | |
|
Aetna, Inc. | |
6.500% due 09/15/2018 | | | | | 1,510 | | | | | | 1,787 | |
|
Anadarko Petroleum Corp. | |
8.700% due 03/15/2019 | | | | | 10,000 | | | | | | 12,895 | |
|
Apple, Inc. | |
2.850% due 05/06/2021 | | | | | 25,000 | | | | | | 25,247 | |
|
BAT International Finance PLC | |
9.500% due 11/15/2018 | | | | | 11,465 | | | | | | 14,912 | |
|
Boston Scientific Corp. | |
2.650% due 10/01/2018 | | | | | 7,832 | | | | | | 8,013 | |
|
Burlington Northern Santa Fe LLC | |
5.750% due 03/15/2018 | | | | | 1,600 | | | | | | 1,836 | |
|
Canadian Natural Resources Ltd. | |
5.700% due 05/15/2017 | | | | | 16,000 | | | | | | 17,930 | |
|
CVS Caremark Corp. | |
2.250% due 12/05/2018 | | | | | 1,600 | | | | | | 1,622 | |
|
Devon Energy Corp. | |
6.300% due 01/15/2019 | | | | | 1,023 | | | | | | 1,202 | |
|
DISH DBS Corp. | |
6.625% due 10/01/2014 | | | | | 10,566 | | | | | | 10,711 | |
7.125% due 02/01/2016 | | | | | 11,600 | | | | | | 12,571 | |
7.750% due 05/31/2015 | | | | | 6,000 | | | | | | 6,371 | |
|
Enterprise Products Operating LLC | |
6.300% due 09/15/2017 | | | | | 11,715 | | | | | | 13,532 | |
|
Express Scripts Holding Co. | |
2.100% due 02/12/2015 | | | | | 5,000 | | | | | | 5,051 | |
|
Hampton Roads PPV LLC | |
6.621% due 06/15/2053 | | | | | 36,431 | | | | | | 32,655 | |
|
HCA, Inc. | |
6.375% due 01/15/2015 | | | | | 350 | | | | | | 359 | |
7.190% due 11/15/2015 | | | | | 3,991 | | | | | | 4,300 | |
7.250% due 09/15/2020 | | | | | 7,800 | | | | | | 8,365 | |
|
Hospira, Inc. | |
6.050% due 03/30/2017 | | | | | 4,200 | | | | | | 4,636 | |
|
Hyundai Capital America | |
2.550% due 02/06/2019 | | | | | 12,590 | | | | | | 12,703 | |
|
McKesson Corp. | |
1.292% due 03/10/2017 | | | | | 7,000 | | | | | | 7,018 | |
1.400% due 03/15/2018 | | | | | 9,815 | | | | | | 9,700 | |
2.284% due 03/15/2019 (f) | | | | | 40,600 | | | | | | 40,782 | |
|
Meccanica Holdings USA, Inc. | |
6.250% due 07/15/2019 | | | | | 8,900 | | | | | | 9,946 | |
|
Merck Sharp & Dohme Corp. | |
5.000% due 06/30/2019 | | | | | 10,000 | | | | | | 11,390 | |
|
MGM Resorts International | |
6.625% due 07/15/2015 | | | | | 5,067 | | | | | | 5,333 | |
10.000% due 11/01/2016 | | | | | 1,100 | | | | | | 1,306 | |
|
Mondelez International, Inc. | |
0.745% due 02/01/2019 | | | | | 1,825 | | | | | | 1,823 | |
2.250% due 02/01/2019 | | | | | 16,200 | | | | | | 16,326 | |
6.125% due 02/01/2018 | | | | | 2,400 | | | | | | 2,764 | |
| | | | | | |
| 106 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Nissan Motor Acceptance Corp. | |
2.650% due 09/26/2018 | | $ | | | 3,825 | | | $ | | | 3,929 | |
|
Numericable Group S.A. | |
6.250% due 05/15/2024 | | | | | 21,500 | | | | | | 22,467 | |
|
Petrofac Ltd. | |
3.400% due 10/10/2018 | | | | | 1,550 | | | | | | 1,610 | |
|
Pioneer Natural Resources Co. | |
6.875% due 05/01/2018 | | | | | 201 | | | | | | 238 | |
|
Southern Gas Networks PLC | |
0.818% due 10/21/2015 | | GBP | | | 6,000 | | | | | | 10,195 | |
|
Total Capital International S.A. | |
0.793% due 08/10/2018 | | $ | | | 1,100 | | | | | | 1,111 | |
|
Williams Partners LP | |
3.800% due 02/15/2015 | | | | | 5,000 | | | | | | 5,097 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 347,733 | |
| | | | | | | | | | | | |
| |
UTILITIES 5.5% | |
|
AT&T, Inc. | |
0.901% due 03/11/2019 (f) | | | | | 24,622 | | | | | | 24,809 | |
2.375% due 11/27/2018 (f) | | | | | 19,302 | | | | | | 19,643 | |
5.500% due 02/01/2018 | | | | | 11,550 | | | | | | 13,096 | |
|
E.ON International Finance BV | |
5.800% due 04/30/2018 | | | | | 2,000 | | | | | | 2,285 | |
|
Korea East-West Power Co. Ltd. | |
2.500% due 07/16/2017 | | | | | 2,200 | | | | | | 2,250 | |
|
Plains All American Pipeline LP | |
6.500% due 05/01/2018 | | | | | 2,130 | | | | | | 2,493 | |
|
Telefonica Europe BV | |
6.500% due 09/18/2018 (e) | | EUR | | | 32,600 | | | | | | 49,275 | |
|
Verizon Communications, Inc. | |
1.761% due 09/15/2016 (f) | | $ | | | 20,000 | | | | | | 20,562 | |
3.650% due 09/14/2018 (f) | | | | | 50,025 | | | | | | 53,470 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 187,883 | |
| | | | | | | | | | | | |
Total Corporate Bonds & Notes
(Cost $1,820,768) | | | 1,869,278 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS & NOTES 1.3% | |
| |
CALIFORNIA 0.8% | |
|
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005 | |
5.000% due 06/01/2035 | | | | | 24,730 | | | | | | 25,510 | |
|
Irvine Ranch Water District, California Special Assessment Bonds, (BABs), Series 2010 | |
6.622% due 05/01/2040 | | | | | 900 | | | | | | 1,161 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,671 | |
| | | | | | | | | | | | |
| |
FLORIDA 0.3% | |
|
Palm Beach County, Florida Revenue Bonds, Series 2013 | |
5.250% due 11/01/2043 | | | | | 7,520 | | | | | | 7,743 | |
|
State Board of Administration Finance Corp., Florida Revenue Notes, Series 2013 | |
2.995% due 07/01/2020 | | | | | 2,265 | | | | | | 2,259 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,002 | |
| | | | | | | | | | | | |
| |
SOUTH DAKOTA 0.2% | |
|
Educational Enhancement Funding Corp., South Dakota Revenue Notes, Series 2013 | |
3.539% due 06/01/2022 | | | | | 8,000 | | | | | | 8,010 | |
| | | | | | | | | | | | |
Total Municipal Bonds & Notes
(Cost $43,994) | | | 44,683 | |
| | | | | | | | | | | | |
| |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
U.S. GOVERNMENT AGENCIES 16.6% | |
|
Fannie Mae | |
0.000% due 07/01/2031 - 02/25/2040 (b) | | $ | | | 10,637 | | | $ | | | 9,742 | |
0.754% due 08/25/2022 (a) | | | | | 20,685 | | | | | | 827 | |
1.000% due 01/25/2043 | | | | | 504 | | | | | | 471 | |
2.000% due 07/25/2042 | | | | | 787 | | | | | | 674 | |
2.310% due 08/01/2022 | | | | | 100 | | | | | | 98 | |
2.343% due 09/01/2034 | | | | | 76 | | | | | | 80 | |
2.446% due 04/01/2036 | | | | | 48 | | | | | | 51 | |
2.500% due 03/25/2033 | | | | | 2 | | | | | | 2 | |
2.500% due 08/25/2042 (f) | | | | | 1,848 | | | | | | 1,509 | |
2.600% due 04/01/2023 | | | | | 9,829 | | | | | | 9,740 | |
2.650% due 03/01/2022 (f) | | | | | 12,782 | | | | | | 12,893 | |
2.680% due 02/01/2022 (f) | | | | | 14,907 | | | | | | 14,913 | |
2.780% due 07/01/2022 (f) | | | | | 4,416 | | | | | | 4,487 | |
2.800% due 06/01/2022 (f) | | | | | 4,834 | | | | | | 4,909 | |
2.820% due 06/01/2022 - 07/01/2022 (f) | | | | | 10,160 | | | | | | 10,326 | |
2.840% due 07/01/2022 (f) | | | | | 11,917 | | | | | | 12,144 | |
2.850% due 06/01/2022 (f) | | | | | 3,620 | | | | | | 3,718 | |
2.950% due 05/01/2022 (f) | | | | | 3,527 | | | | | | 3,626 | |
3.000% due 12/01/2021 (f) | | | | | 4,053 | | | | | | 4,184 | |
3.000% due 03/25/2033 - 04/25/2043 | | | | | 10 | | | | | | 10 | |
3.300% due 10/01/2021 (f) | | | | | 12,632 | | | | | | 13,279 | |
3.380% due 11/01/2021 (f) | | | | | 6,570 | | | | | | 6,935 | |
3.480% due 09/01/2023 (f) | | | | | 18,568 | | | | | | 19,526 | |
3.500% due 05/25/2042 (f) | | | | | 1,422 | | | | | | 1,452 | |
3.500% due 06/25/2042 - 05/25/2043 | | | | | 617 | | | | | | 638 | |
3.510% due 08/01/2023 | | | | | 27,220 | | | | | | 28,604 | |
3.650% due 11/01/2021 | | | | | 5,664 | | | | | | 6,065 | |
3.660% due 02/01/2024 (f) | | | | | 30,300 | | | | | | 32,166 | |
3.740% due 08/01/2023 (f) | | | | | 15,500 | | | | | | 16,539 | |
3.880% due 12/01/2020 (f) | | | | | 19,189 | | | | | | 20,885 | |
3.980% due 07/01/2021 | | | | | 12,013 | | | | | | 13,091 | |
4.000% due 12/25/2040 - 07/01/2042 | | | | | 1,740 | | | | | | 1,762 | |
4.000% due 05/25/2041 - 07/25/2042 (f) | | | | | 27,205 | | | | | | 28,329 | |
4.330% due 04/01/2021 | | | | | 192 | | | | | | 214 | |
4.451% due 01/01/2021 (f) | | | | | 21,979 | | | | | | 24,713 | |
4.498% due 09/25/2040 (a) | | | | | 16,300 | | | | | | 2,624 | |
4.500% due 11/25/2035 - 03/25/2041 | | | | | 761 | | | | | | 811 | |
4.500% due 08/25/2040 - 04/25/2042 (f) | | | | | 10,642 | | | | | | 11,345 | |
5.000% due 02/01/2033 - 06/01/2051 | | | | | 24,708 | | | | | | 26,984 | |
5.500% due 09/01/2026 - 08/01/2044 | | | | | 62,795 | | | | | | 70,226 | |
5.680% due 06/25/2037 | | | | | 278 | | | | | | 302 | |
5.848% due 09/25/2042 (a) | | | | | 129,079 | | | | | | 30,575 | |
6.000% due 05/25/2031 - 07/01/2044 | | | | | 5,923 | | | | | | 6,692 | |
6.268% due 04/25/2040 (a) | | | | | 423 | | | | | | 55 | |
6.500% due 08/25/2036 | | | | | 265 | | | | | | 314 | |
6.787% due 05/25/2042 | | | | | 527 | | | | | | 508 | |
7.048% due 05/25/2036 (a) | | | | | 5,691 | | | | | | 1,130 | |
7.500% due 03/25/2034 | | | | | 466 | | | | | | 564 | |
20.566% due 01/25/2036 | | | | | 2,077 | | | | | | 2,717 | |
23.305% due 07/25/2023 | | | | | 36 | | | | | | 57 | |
|
Freddie Mac | |
0.000% due 01/15/2033 - 07/15/2039 (b) | | | | | 2,448 | | | | | | 1,964 | |
2.327% due 10/01/2036 | | | | | 12 | | | | | | 13 | |
2.365% due 11/01/2023 | | | | | 2 | | | | | | 2 | |
2.480% due 07/01/2036 | | | | | 80 | | | | | | 85 | |
2.550% due 12/01/2031 | | | | | 214 | | | | | | 229 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
3.000% due 01/15/2043 - 02/15/2043 | | $ | | | 8 | | | $ | | | 8 | |
3.500% due 04/15/2041 - 04/15/2043 | | | | | 164 | | | | | | 170 | |
4.000% due 09/15/2039 - 04/15/2042 | | | | | 2,703 | | | | | | 2,778 | |
4.000% due 08/15/2041 - 06/15/2042 (f) | | | | | 7,406 | | | | | | 7,753 | |
4.500% due 06/15/2027 - 08/15/2042 | | | | | 7,809 | | | | | | 8,373 | |
4.500% due 03/15/2041 - 03/15/2042 (f) | | | | | 10,160 | | | | | | 10,886 | |
5.000% due 03/01/2033 - 05/15/2042 | | | | | 3,481 | | | | | | 3,947 | |
5.000% due 02/15/2038 - 07/15/2041 (f) | | | | | 12,952 | | | | | | 14,185 | |
5.000% due 08/15/2039 (a) | | | | | 1,110 | | | | | | 145 | |
5.250% due 03/15/2032 - 04/15/2033 | | | | | 284 | | | | | | 317 | |
5.500% due 08/15/2033 - 07/01/2044 | | | | | 7,313 | | | | | | 8,276 | |
5.500% due 08/15/2036 - 12/15/2036 (f) | | | | | 5,344 | | | | | | 5,914 | |
6.000% due 10/15/2031 (f) | | | | | 1,819 | | | | | | 2,148 | |
6.000% due 02/01/2033 - 08/01/2037 | | | | | 1,986 | | | | | | 2,219 | |
6.796% due 06/15/2042 | | | | | 3,032 | | | | | | 2,477 | |
9.597% due 01/15/2041 | | | | | 8,613 | | | | | | 9,123 | |
18.871% due 10/15/2023 | | | | | 471 | | | | | | 669 | |
19.245% due 05/15/2033 | | | | | 215 | | | | | | 307 | |
|
Ginnie Mae | |
3.500% due 12/20/2040 | | | | | 83 | | | | | | 81 | |
4.000% due 02/20/2041 - 04/20/2042 | | | | | 6,251 | | | | | | 6,468 | |
4.500% due 02/20/2038 - 12/20/2040 | | | | | 2,629 | | | | | | 2,737 | |
4.500% due 01/16/2040 (f) | | | | | 1,351 | | | | | | 1,405 | |
4.750% due 01/20/2035 | | | | | 31 | | | | | | 32 | |
5.000% due 10/20/2034 - 08/01/2044 | | | | | 8,781 | | | | | | 9,690 | |
5.500% due 02/17/2033 - 07/20/2037 | | | | | 366 | | | | | | 407 | |
5.947% due 12/20/2035 (a) | | | | | 6,000 | | | | | | 1,449 | |
| | | | | | | | | | | | |
Total U.S. Government Agencies
(Cost $571,327) | | | 567,763 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY OBLIGATIONS 7.6% | |
|
U.S. Treasury Inflation Protected Securities (d) | |
0.125% due 01/15/2023 | | | | | 2,465 | | | | | | 2,456 | |
0.375% due 07/15/2023 (h) | | | | | 50,930 | | | | | | 51,905 | |
|
U.S. Treasury Notes | |
2.000% due 05/31/2021 (h) | | | | | 75,000 | | | | | | 74,426 | |
2.500% due 05/15/2024 (f) | | | | | 131,600 | | | | | | 131,343 | |
| | | | | | | | | | | | |
Total U.S. Treasury Obligations
(Cost $257,142) | | | 260,130 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES 13.7% | |
|
ABN AMRO Mortgage Corp. | |
5.500% due 01/25/2034 | | | | | 373 | | | | | | 386 | |
|
Adjustable Rate Mortgage Trust | |
2.445% due 01/25/2035 | | | | | 489 | | | | | | 494 | |
2.695% due 07/25/2035 | | | | | 1,902 | | | | | | 1,883 | |
|
Aggregator of Loans Backed by Assets | |
2.808% due 12/16/2042 | | GBP | | | 8,447 | | | | | | 14,765 | |
|
American Home Mortgage Investment Trust | |
1.822% due 09/25/2045 | | $ | | | 70 | | | | | | 68 | |
2.322% due 02/25/2045 | | | | | 1,455 | | | | | | 1,472 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 107 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
ASG Resecuritization Trust | |
2.071% due 03/26/2037 | | $ | | | 82 | | | $ | | | 82 | |
|
Banc of America Alternative Loan Trust | |
5.500% due 12/25/2018 | | | | | 20 | | | | | | 21 | |
6.000% due 03/25/2034 | | | | | 37 | | | | | | 38 | |
|
Banc of America Funding Corp. | |
0.373% due 07/20/2036 | | | | | 41 | | | | | | 39 | |
0.403% due 05/20/2035 | | | | | 5,125 | | | | | | 4,694 | |
0.652% due 06/26/2035 | | | | | 743 | | | | | | 713 | |
2.651% due 02/20/2036 | | | | | 373 | | | | | | 376 | |
2.689% due 05/25/2035 | | | | | 67 | | | | | | 69 | |
2.840% due 12/20/2034 | | | | | 1,085 | | | | | | 646 | |
5.750% due 03/25/2036 | | | | | 2,428 | | | | | | 2,409 | |
5.750% due 07/20/2036 | | | | | 145 | | | | | | 142 | |
|
Banc of America Mortgage Trust | |
2.621% due 10/25/2034 | | | | | 1,671 | | | | | | 1,670 | |
2.680% due 02/25/2034 | | | | | 192 | | | | | | 193 | |
|
Banc of America Re-REMIC Trust | |
5.679% due 06/24/2050 | | | | | 5,688 | | | | | | 6,169 | |
|
Banc of America/Merrill Lynch Commercial Mortgage, Inc. | |
4.891% due 07/10/2045 | | | | | 4,570 | | | | | | 4,570 | |
|
BCAP LLC Trust | |
2.615% due 11/26/2035 | | | | | 4,830 | | | | | | 4,820 | |
4.000% due 04/26/2037 | | | | | 3,518 | | | | | | 3,605 | |
4.590% due 01/27/2037 | | | | | 6,436 | | | | | | 6,527 | |
4.660% due 07/26/2037 | | | | | 1,239 | | | | | | 1,099 | |
|
Bear Stearns Adjustable Rate Mortgage Trust | |
2.284% due 04/25/2034 | | | | | 13 | | | | | | 13 | |
2.369% due 02/25/2036 | | | | | 824 | | | | | | 832 | |
2.625% due 01/25/2035 | | | | | 423 | | | | | | 433 | |
2.637% due 10/25/2034 | | | | | 292 | | | | | | 265 | |
2.666% due 11/25/2034 | | | | | 95 | | | | | | 92 | |
2.814% due 04/25/2034 | | | | | 138 | | | | | | 134 | |
|
Bear Stearns Alt-A Trust | |
0.692% due 08/25/2035 | | | | | 820 | | | | | | 777 | |
0.792% due 04/25/2034 | | | | | 91 | | | | | | 89 | |
2.429% due 06/25/2034 | | | | | 439 | | | | | | 436 | |
|
Bella Vista Mortgage Trust | |
0.753% due 01/22/2045 | | | | | 592 | | | | | | 553 | |
|
Chase Mortgage Finance Trust | |
2.576% due 02/25/2037 | | | | | 472 | | | | | | 456 | |
|
Citigroup Mortgage Loan Trust, Inc. | |
0.392% due 11/25/2036 | | | | | 2,700 | | | | | | 2,428 | |
2.200% due 09/25/2035 | | | | | 338 | | | | | | 341 | |
2.280% due 09/25/2035 | | | | | 218 | | | | | | 219 | |
2.500% due 05/25/2035 | | | | | 62 | | | | | | 61 | |
2.604% due 09/25/2034 | | | | | 196 | | | | | | 200 | |
2.610% due 08/25/2035 | | | | | 1,469 | | | | | | 1,456 | |
2.623% due 03/25/2034 | | | | | 647 | | | | | | 654 | |
|
Countrywide Alternative Loan Trust | |
1.603% due 01/25/2036 | | | | | 4,861 | | | | | | 4,617 | |
6.000% due 11/25/2034 | | | | | 129 | | | | | | 133 | |
|
Countrywide Home Loan Mortgage Pass-Through Trust | |
0.552% due 07/25/2018 | | | | | 312 | | | | | | 306 | |
0.552% due 08/25/2033 | | | | | 1,436 | | | | | | 1,415 | |
0.652% due 06/25/2018 | | | | | 1,448 | | | | | | 1,434 | |
0.692% due 02/25/2035 | | | | | 73 | | | | | | 70 | |
0.692% due 03/25/2035 | | | | | 390 | | | | | | 373 | |
2.687% due 12/25/2033 | | | | | 1,654 | | | | | | 1,667 | |
5.150% due 07/25/2033 | | | | | 160 | | | | | | 164 | |
|
Credit Suisse Commercial Mortgage Trust | |
5.448% due 01/15/2049 | | | | | 37 | | | | | | 37 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
0.802% due 11/25/2031 | | | | | 61 | | | | | | 53 | |
2.227% due 06/25/2033 | | | | | 32 | | | | | | 32 | |
2.404% due 06/25/2034 | | | | | 287 | | | | | | 285 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
2.743% due 11/25/2034 | | $ | | | 124 | | | $ | | | 126 | |
4.832% due 04/15/2037 | | | | | 2,000 | | | | | | 2,044 | |
5.500% due 12/25/2034 | | | | | 196 | | | | | | 192 | |
|
Credit Suisse Mortgage Capital Certificates | |
2.654% due 07/27/2036 | | | | | 136 | | | | | | 137 | |
2.695% due 04/26/2037 | | | | | 65 | | | | | | 65 | |
4.347% due 07/27/2037 | | | | | 61 | | | | | | 61 | |
5.509% due 04/15/2047 | | | | | 200 | | | | | | 214 | |
6.000% due 05/27/2036 | | | | | 92 | | | | | | 92 | |
7.989% due 10/27/2036 | | | | | 80 | | | | | | 78 | |
|
Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates | |
5.226% due 06/26/2035 | | | | | 907 | | | | | | 923 | |
|
Epic Opera Arlington Ltd. | |
0.778% due 07/28/2016 | | GBP | | | 3,660 | | | | | | 6,260 | |
|
First Horizon Alternative Mortgage Securities Trust | |
2.197% due 09/25/2034 | | $ | | | 315 | | | | | | 311 | |
2.208% due 06/25/2034 | | | | | 23 | | | | | | 23 | |
2.233% due 04/25/2035 | | | | | 2,261 | | | | | | 2,271 | |
|
First Horizon Mortgage Pass-Through Trust | |
2.625% due 12/25/2034 | | | | | 996 | | | | | | 1,005 | |
5.025% due 06/25/2035 | | | | | 538 | | | | | | 525 | |
|
GMAC Commercial Mortgage Asset Corp. | |
6.107% due 08/10/2052 | | | | | 27,855 | | | | | | 29,178 | |
6.240% due 10/10/2041 | | | | | 24,246 | | | | | | 25,671 | |
|
GMAC Mortgage Corp. Loan Trust | |
3.016% due 08/19/2034 | | | | | 89 | | | | | | 88 | |
|
Granite Master Issuer PLC | |
0.293% due 12/20/2054 | | | | | 11 | | | | | | 11 | |
|
Great Hall Mortgages PLC | |
0.353% due 03/18/2039 | | EUR | | | 545 | | | | | | 716 | |
0.361% due 06/18/2039 | | $ | | | 5,820 | | | | | | 5,552 | |
0.680% due 03/18/2039 | | GBP | | | 6,478 | | | | | | 10,665 | |
0.690% due 06/18/2039 | | | | | 38,487 | | | | | | 62,932 | |
0.700% due 06/18/2038 | | | | | 8,410 | | | | | | 13,798 | |
|
Greenwich Capital Commercial Funding Corp. | |
5.246% due 04/10/2037 | | $ | | | 5,000 | | | | | | 5,020 | |
5.381% due 03/10/2039 | | | | | 2,207 | | | | | | 2,243 | |
|
GS Mortgage Securities Trust | |
4.761% due 07/10/2039 | | | | | 10,661 | | | | | | 10,896 | |
|
GSMPS Mortgage Loan Trust | |
0.502% due 03/25/2035 | | | | | 2,610 | | | | | | 2,306 | |
|
GSR Mortgage Loan Trust | |
0.452% due 04/25/2032 | | | | | 274 | | | | | | 218 | |
0.482% due 12/25/2034 | | | | | 88 | | | | | | 81 | |
0.492% due 12/25/2034 | | | | | 153 | | | | | | 147 | |
0.592% due 05/25/2035 | | | | | 28 | | | | | | 26 | |
1.850% due 05/25/2034 | | | | | 153 | | | | | | 146 | |
2.243% due 06/25/2034 | | | | | 1,012 | | | | | | 985 | |
2.484% due 06/25/2034 | | | | | 15 | | | | | | 15 | |
2.613% due 05/25/2035 | | | | | 86 | | | | | | 81 | |
2.646% due 04/25/2035 | | | | | 1,789 | | | | | | 1,773 | |
2.657% due 09/25/2035 | | | | | 401 | | | | | | 405 | |
2.696% due 09/25/2034 | | | | | 908 | | | | | | 869 | |
2.829% due 12/25/2034 | | | | | 1,134 | | | | | | 1,034 | |
2.834% due 01/25/2035 | | | | | 362 | | | | | | 357 | |
|
HarborView Mortgage Loan Trust | |
2.168% due 06/19/2034 | | | | | 386 | | | | | | 388 | |
2.491% due 05/19/2033 | | | | | 154 | | | | | | 155 | |
2.764% due 01/19/2035 | | | | | 2,679 | | | | | | 2,666 | |
|
HomeBanc Mortgage Trust | |
0.482% due 10/25/2035 | | | | | 5,892 | | | | | | 5,349 | |
|
Homestar Mortgage Acceptance Corp. | |
0.792% due 03/25/2034 | | | | | 120 | | | | | | 117 | |
|
Impac CMB Trust | |
0.672% due 04/25/2035 | | | | | 360 | | | | | | 334 | |
0.790% due 10/25/2033 | | | | | 9 | | | | | | 9 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
IndyMac Mortgage Loan Trust | |
0.462% due 10/25/2036 | | $ | | | 1,199 | | | $ | | | 920 | |
1.012% due 08/25/2034 | | | | | 102 | | | | | | 92 | |
2.373% due 08/25/2034 | | | | | 115 | | | | | | 115 | |
5.057% due 08/25/2036 | | | | | 546 | | | | | | 542 | |
|
JPMorgan Chase Commercial Mortgage Securities Trust | |
5.420% due 01/12/2043 | | | | | 266 | | | | | | 266 | |
5.976% due 06/15/2049 | | | | | 344 | | | | | | 344 | |
|
JPMorgan Mortgage Trust | |
2.356% due 12/25/2034 | | | | | 528 | | | | | | 542 | |
2.504% due 06/25/2035 | | | | | 70 | | | | | | 69 | |
2.574% due 08/25/2034 | | | | | 645 | | | | | | 646 | |
2.607% due 07/25/2035 | | | | | 724 | | | | | | 728 | |
2.625% due 07/25/2035 | | | | | 129 | | | | | | 131 | |
2.769% due 09/25/2035 | | | | | 361 | | | | | | 361 | |
5.500% due 04/25/2036 | | | | | 2,818 | | | | | | 2,879 | |
|
JPMorgan Resecuritization Trust | |
1.850% due 01/26/2037 | | | | | 63 | | | | | | 63 | |
2.680% due 08/27/2037 | | | | | 94 | | | | | | 95 | |
2.938% due 01/27/2047 | | | | | 65 | | | | | | 66 | |
5.017% due 11/26/2035 | | | | | 1,376 | | | | | | 1,353 | |
5.629% due 07/27/2037 | | | | | 90 | | | | | | 89 | |
6.000% due 02/27/2037 | | | | | 243 | | | | | | 251 | |
|
LB-UBS Commercial Mortgage Trust | |
4.568% due 01/15/2031 | | | | | 1,951 | | | | | | 2,018 | |
|
Leek Finance PLC | |
0.833% due 12/21/2037 | | GBP | | | 1,525 | | | | | | 2,730 | |
|
Lehman XS Trust | |
0.422% due 12/25/2035 | | $ | | | 3,616 | | | | | | 3,297 | |
1.123% due 11/25/2035 | | | | | 189 | | | | | | 176 | |
|
Mall Funding PLC | |
1.208% due 04/22/2017 | | GBP | | | 1,930 | | | | | | 3,300 | |
|
MASTR Adjustable Rate Mortgages Trust | |
2.126% due 09/25/2033 | | $ | | | 622 | | | | | | 624 | |
2.523% due 03/25/2035 | | | | | 6,890 | | | | | | 6,960 | |
5.077% due 11/25/2034 | | | | | 752 | | | | | | 767 | |
|
Mellon Residential Funding Corp. Mortgage Pass-Through Trust | |
0.632% due 06/15/2030 | | | | | 145 | | | | | | 144 | |
|
Merrill Lynch Mortgage Investors Trust | |
0.362% due 02/25/2036 | | | | | 719 | | | | | | 665 | |
0.402% due 11/25/2035 | | | | | 357 | | | | | | 341 | |
0.612% due 04/25/2029 | | | | | 129 | | | | | | 125 | |
0.612% due 03/25/2030 | | | | | 109 | | | | | | 108 | |
0.652% due 05/25/2029 | | | | | 388 | | | | | | 387 | |
0.710% due 01/25/2030 | | | | | 327 | | | | | | 317 | |
1.151% due 10/25/2035 | | | | | 712 | | | | | | 683 | |
1.822% due 03/25/2033 | | | | | 125 | | | | | | 124 | |
1.992% due 05/25/2029 | | | | | 63 | | | | | | 65 | |
2.125% due 04/25/2035 | | | | | 2,907 | | | | | | 2,793 | |
2.127% due 04/25/2029 | | | | | 617 | | | | | | 617 | |
2.139% due 02/25/2036 | | | | | 1,234 | | | | | | 1,226 | |
5.372% due 05/25/2036 | | | | | 9,520 | | | | | | 9,489 | |
|
Morgan Stanley Capital Trust | |
5.439% due 02/12/2044 | | | | | 5,054 | | | | | | 5,080 | |
5.610% due 04/15/2049 | | | | | 227 | | | | | | 228 | |
5.665% due 04/15/2049 | | | | | 27,362 | | | | | | 29,929 | |
5.773% due 04/12/2049 | | | | | 7,632 | | | | | | 7,736 | |
|
Morgan Stanley Dean Witter Capital, Inc. Trust | |
1.685% due 03/25/2033 | | | | | 674 | | | | | | 651 | |
|
Morgan Stanley Mortgage Loan Trust | |
0.422% due 09/25/2035 | | | | | 39 | | | | | | 39 | |
0.602% due 07/25/2034 | | | | | 215 | | | | | | 212 | |
5.496% due 01/25/2035 | | | | | 3,052 | | | | | | 3,027 | |
|
MortgageIT Trust | |
0.452% due 08/25/2035 | | | | | 399 | | | | | | 382 | |
| | | | | | |
| 108 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
RBSSP Resecuritization Trust | |
0.652% due 03/26/2036 | | $ | | | 413 | | | $ | | | 402 | |
|
Residential Accredit Loans, Inc. Trust | |
1.623% due 08/25/2035 | | | | | 3,233 | | | | | | 2,906 | |
2.294% due 04/25/2035 | | | | | 1,171 | | | | | | 1,160 | |
5.500% due 11/25/2034 | | | | | 6,936 | | | | | | 7,043 | |
|
Residential Asset Securitization Trust | |
0.702% due 08/25/2033 | | | | | 95 | | | | | | 91 | |
|
RMAC Securities PLC | |
0.685% due 06/12/2044 | | GBP | | | 3,912 | | | | | | 6,355 | |
|
Royal Bank of Scotland Capital Funding Trust | |
5.223% due 08/16/2048 | | $ | | | 378 | | | | | | 401 | |
5.331% due 02/16/2044 | | | | | 379 | | | | | | 408 | |
5.336% due 05/16/2047 | | | | | 400 | | | | | | 428 | |
|
Sequoia Mortgage Trust | |
0.423% due 01/20/2035 | | | | | 92 | | | | | | 86 | |
0.453% due 12/20/2034 | | | | | 482 | | | | | | 470 | |
0.473% due 11/20/2034 | | | | | 114 | | | | | | 110 | |
0.585% due 02/20/2035 | | | | | 3,478 | | | | | | 3,395 | |
0.615% due 01/20/2035 | | | | | 5,008 | | | | | | 4,691 | |
0.660% due 11/20/2034 | | | | | 2,102 | | | | | | 1,939 | |
0.873% due 11/22/2024 | | | | | 11 | | | | | | 11 | |
0.920% due 07/20/2034 | | | | | 2,757 | | | | | | 2,724 | |
0.935% due 02/20/2034 | | | | | 2,601 | | | | | | 2,604 | |
0.980% due 08/20/2034 | | | | | 1,576 | | | | | | 1,599 | |
1.053% due 12/20/2032 | | | | | 2,585 | | | | | | 2,592 | |
2.637% due 04/20/2035 | | | | | 284 | | | | | | 284 | |
|
Structured Adjustable Rate Mortgage Loan Trust | |
0.550% due 06/25/2035 | | | | | 176 | | | | | | 177 | |
2.443% due 07/25/2034 | | | | | 310 | | | | | | 312 | |
2.458% due 04/25/2034 | | | | | 270 | | | | | | 271 | |
2.467% due 02/25/2034 | | | | | 51 | | | | | | 52 | |
2.491% due 11/25/2034 | | | | | 6,552 | | | | | | 6,659 | |
2.508% due 03/25/2035 | | | | | 3,155 | | | | | | 3,129 | |
2.517% due 03/25/2034 | | | | | 148 | | | | | | 149 | |
2.522% due 02/25/2035 | | | | | 1,935 | | | | | | 1,844 | |
|
Structured Asset Mortgage Investments Trust | |
0.405% due 07/19/2035 | | | | | 981 | | | | | | 955 | |
0.485% due 10/19/2034 | | | | | 1,265 | | | | | | 1,213 | |
0.855% due 02/19/2035 | | | | | 203 | | | | | | 193 | |
0.995% due 02/19/2033 | | | | | 854 | | | | | | 829 | |
2.295% due 12/19/2034 | | | | | 2,382 | | | | | | 2,416 | |
|
Structured Asset Securities Corp. Mortgage
Pass-Through Certificates | |
2.218% due 01/25/2032 | | | | | 8 | | | | | | 8 | |
2.346% due 06/25/2033 | | | | | 52 | | | | | | 53 | |
2.359% due 01/25/2034 | | | | | 159 | | | | | | 153 | |
2.415% due 04/25/2033 | | | | | 46 | | | | | | 47 | |
2.808% due 11/25/2032 | | | | | 1,182 | | | | | | 1,145 | |
|
Structured Asset Securities Corp. Trust | |
5.500% due 05/25/2035 | | | | | 2,728 | | | | | | 2,821 | |
|
Thornburg Mortgage Securities Trust | |
0.692% due 03/25/2044 | | | | | 168 | | | | | | 150 | |
5.373% due 10/25/2046 | | | | | 9,781 | | | | | | 10,068 | |
5.750% due 06/25/2047 | | | | | 5,705 | | | | | | 5,618 | |
5.790% due 07/25/2036 | | | | | 449 | | | | | | 456 | |
|
Wachovia Bank Commercial Mortgage Trust | |
0.232% due 06/15/2020 | | | | | 2,345 | | | | | | 2,331 | |
0.329% due 06/15/2049 | | | | | 378 | | | | | | 363 | |
5.421% due 04/15/2047 | | | | | 648 | | | | | | 649 | |
5.928% due 06/15/2049 | | | | | 985 | | | | | | 1,004 | |
|
WaMu Mortgage Pass-Through Certificates Trust | |
0.422% due 07/25/2045 | | | | | 86 | | | | | | 82 | |
0.442% due 12/25/2045 | | | | | 72 | | | | | | 66 | |
0.462% due 01/25/2045 | | | | | 70 | | | | | | 70 | |
0.472% due 01/25/2045 | | | | | 742 | | | | | | 714 | |
0.472% due 07/25/2045 | | | | | 100 | | | | | | 95 | |
0.482% due 01/25/2045 | | | | | 4,811 | | | | | | 4,738 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
0.512% due 01/25/2045 | | $ | | | 686 | | | $ | | | 633 | |
0.572% due 06/25/2044 | | | | | 257 | | | | | | 242 | |
0.578% due 10/25/2044 | | | | | 1,303 | | | | | | 1,267 | |
1.123% due 02/25/2046 | | | | | 119 | | | | | | 113 | |
1.290% due 11/25/2041 | | | | | 689 | | | | | | 686 | |
1.523% due 04/25/2044 | | | | | 61 | | | | | | 60 | |
1.688% due 11/25/2041 | | | | | 1,692 | | | | | | 1,660 | |
1.932% due 02/27/2034 | | | | | 115 | | | | | | 115 | |
2.358% due 12/25/2035 | | | | | 239 | | | | | | 241 | |
2.377% due 06/25/2034 | | | | | 226 | | | | | | 231 | |
2.397% due 01/25/2035 | | | | | 3,175 | | | | | | 3,197 | |
2.410% due 03/25/2035 | | | | | 300 | | | | | | 302 | |
2.433% due 10/25/2034 | | | | | 106 | | | | | | 107 | |
|
Wells Fargo Mortgage-Backed Securities Trust | |
2.490% due 01/25/2034 | | | | | 62 | | | | | | 63 | |
2.491% due 09/25/2033 | | | | | 191 | | | | | | 194 | |
2.491% due 12/25/2033 | | | | | 29 | | | | | | 29 | |
2.614% due 03/25/2035 | | | | | 974 | | | | | | 1,000 | |
2.614% due 06/25/2035 | | | | | 508 | | | | | | 515 | |
2.615% due 01/25/2035 | | | | | 573 | | | | | | 574 | |
2.615% due 06/25/2035 | | | | | 49 | | | | | | 50 | |
2.615% due 10/25/2035 | | | | | 455 | | | | | | 460 | |
5.588% due 04/25/2036 | | | | | 108 | | | | | | 107 | |
5.750% due 01/25/2036 | | | | | 375 | | | | | | 395 | |
| | | | | | | | | | | | |
Total Mortgage-Backed Securities
(Cost $431,836) | | | | | | 470,095 | |
| | | | | | | | | | | | |
| |
ASSET-BACKED SECURITIES 7.3% | |
|
ACA CLO Ltd. | |
0.479% due 07/25/2018 | | | | | 3,427 | | | | | | 3,422 | |
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | |
1.200% due 10/25/2033 | | | | | 2,439 | | | | | | 2,234 | |
1.202% due 11/25/2034 | | | | | 9,353 | | | | | | 8,846 | |
|
Aquilae CLO PLC | |
0.637% due 01/17/2023 | | EUR | | | 274 | | | | | | 372 | |
|
Asset-Backed Securities Corp. Home Equity Loan Trust | |
0.702% due 09/25/2034 | | $ | | | 13 | | | | | | 13 | |
1.097% due 09/25/2034 | | | | | 5,055 | | | | | | 4,672 | |
|
Avoca CLO PLC | |
0.606% due 02/18/2022 | | EUR | | | 912 | | | | | | 1,242 | |
|
Bear Stearns Asset-Backed Securities Trust | |
0.602% due 12/25/2042 | | $ | | | 51 | | | | | | 50 | |
0.620% due 11/25/2035 | | | | | 4,925 | | | | | | 4,394 | |
0.642% due 07/25/2035 | | | | | 5,288 | | | | | | 5,249 | |
0.650% due 01/25/2036 | | | | | 617 | | | | | | 616 | |
1.052% due 11/25/2039 | | | | | 49 | | | | | | 48 | |
1.952% due 03/25/2043 | | | | | 112 | | | | | | 105 | |
2.252% due 03/25/2035 | | | | | 5,000 | | | | | | 4,664 | |
|
Berica Asset-Backed Security SRL | |
0.509% due 12/31/2055 | | EUR | | | 3,200 | | | | | | 4,316 | |
|
Chase Funding Trust | |
0.892% due 10/25/2032 | | $ | | | 53 | | | | | | 50 | |
|
Citibank Omni Master Trust | |
2.902% due 08/15/2018 | | | | | 450 | | | | | | 451 | |
|
Clavos Euro CDO Ltd. | |
0.907% due 04/18/2023 | | EUR | | | 2,986 | | | | | | 4,076 | |
|
Countrywide Asset-Backed Certificates | |
0.332% due 09/25/2036 | | $ | | | 2,035 | | | | | | 1,983 | |
0.502% due 05/25/2046 | | | | | 2,330 | | | | | | 2,225 | |
0.752% due 08/25/2035 | | | | | 4,395 | | | | | | 4,332 | |
0.852% due 12/25/2033 | | | | | 74 | | | | | | 69 | |
0.932% due 11/25/2034 | | | | | 37 | | | | | | 36 | |
1.000% due 04/25/2035 | | | | | 2,260 | | | | | | 2,129 | |
|
Credit Suisse First Boston Mortgage Securities Corp. | |
0.900% due 10/25/2032 | | | | | 48 | | | | | | 41 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
EFS Volunteer LLC | |
1.030% due 07/26/2027 | | $ | | | 837 | | | $ | | | 845 | |
|
Ellington Loan Acquisition Trust | |
1.052% due 05/28/2037 | | | | | 11,410 | | | | | | 11,199 | |
|
Equity One Mortgage Pass-Through Trust | |
4.860% due 08/25/2033 | | | | | 181 | | | | | | 180 | |
|
First Franklin Mortgage Loan Asset-Backed Certificates | |
0.977% due 05/25/2034 | | | | | 6,680 | | | | | | 6,167 | |
|
First Franklin Mortgage Loan Trust | |
0.452% due 01/25/2036 | | | | | 5,000 | | | | | | 4,745 | |
0.512% due 10/25/2035 | | | | | 23,526 | | | | | | 21,423 | |
0.872% due 03/25/2035 | | | | | 750 | | | | | | 725 | |
|
GSAA Home Equity Trust | |
0.422% due 06/25/2035 | | | | | 166 | | | | | | 158 | |
|
Hyde Park CDO BV | |
0.583% due 06/14/2022 | | EUR | | | 4,093 | | | | | | 5,557 | |
|
JPMorgan Mortgage Acquisition Corp. | |
0.342% due 05/25/2035 | | $ | | | 1,968 | | | | | | 1,895 | |
0.442% due 05/25/2035 | | | | | 3,397 | | | | | | 2,995 | |
|
Lehman XS Trust | |
0.432% due 08/25/2035 | | | | | 247 | | | | | | 242 | |
|
Long Beach Mortgage Loan Trust | |
1.052% due 06/25/2035 | | | | | 7,263 | | | | | | 6,538 | |
|
Magi Funding PLC | |
0.677% due 04/11/2021 | | EUR | | | 77 | | | | | | 104 | |
|
MASTR Asset-Backed Securities Trust | |
0.782% due 03/25/2035 | | $ | | | 3,183 | | | | | | 3,082 | |
|
Mid-State Capital Corp. Trust | |
5.745% due 01/15/2040 | | | | | 640 | | | | | | 688 | |
5.787% due 10/15/2040 | | | | | 103 | | | | | | 109 | |
6.005% due 08/15/2037 | | | | | 57 | | | | | | 60 | |
|
Mid-State Trust | |
6.340% due 10/15/2036 | | | | | 8,224 | | | | | | 8,703 | |
7.340% due 07/01/2035 | | | | | 22 | | | | | | 24 | |
|
Morgan Stanley ABS Capital, Inc. Trust | |
0.917% due 07/25/2035 | | | | | 7,400 | | | | | | 6,745 | |
1.007% due 03/25/2034 | | | | | 1,075 | | | | | | 1,007 | |
|
New Century Home Equity Loan Trust | |
0.642% due 07/25/2035 | | | | | 4,100 | | | | | | 3,931 | |
|
Nomura Home Equity Loan, Inc. | |
0.742% due 09/25/2035 | | | | | 7,752 | | | | | | 6,226 | |
|
North Carolina State Education Assistance Authority | |
0.679% due 10/26/2020 | | | | | 49 | | | | | | 49 | |
|
Option One Mortgage Loan Trust | |
0.992% due 02/25/2033 | | | | | 43 | | | | | | 40 | |
|
Option One Mortgage Loan Trust Asset-Backed Certificates | |
0.752% due 04/25/2033 | | | | | 68 | | | | | | 63 | |
|
Origen Manufactured Housing Contract Trust | |
6.480% due 01/15/2037 | | | | | 60 | | | | | | 64 | |
|
Park Place Securities, Inc. | |
0.572% due 05/25/2035 | | | | | 3,092 | | | | | | 3,025 | |
|
Residential Asset Mortgage Products Trust | |
0.312% due 12/25/2036 | | | | | 4,549 | | | | | | 4,254 | |
0.542% due 02/25/2036 | | | | | 3,786 | | | | | | 3,446 | |
0.592% due 09/25/2035 | | | | | 2,726 | | | | | | 2,599 | |
|
Residential Asset Securities Corp. Trust | |
0.572% due 10/25/2035 | | | | | 2,200 | | | | | | 1,836 | |
0.582% due 10/25/2035 | | | | | 2,000 | | | | | | 1,858 | |
0.932% due 11/25/2034 | | | | | 83 | | | | | | 82 | |
|
Securitized Asset-Backed Receivables LLC Trust | |
0.442% due 12/25/2035 | | | | | 7,624 | | | | | | 6,603 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 109 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
SLM Student Loan Trust | |
0.432% due 01/25/2041 | | EUR | | | 10,000 | | | $ | | | 12,598 | |
0.472% due 01/25/2040 | | | | | 16,800 | | | | | | 20,124 | |
0.512% due 09/15/2021 | | | | | 212 | | | | | | 290 | |
0.512% due 01/25/2024 | | | | | 3,500 | | | | | | 4,729 | |
0.792% due 12/15/2027 | | | | | 20,089 | | | | | | 27,151 | |
|
Soundview Home Loan Trust | |
0.947% due 04/25/2035 | | $ | | | 2,562 | | | | | | 2,414 | |
|
Structured Asset Investment Loan Trust | |
0.642% due 08/25/2035 | | | | | 7,400 | | | | | | 6,588 | |
|
Structured Asset Securities Corp. Mortgage Loan Trust | |
0.550% due 05/25/2034 | | | | | 3 | | | | | | 3 | |
|
Trimaran CLO Ltd. | |
0.475% due 11/01/2018 | | | | | 2,567 | | | | | | 2,559 | |
|
Wood Street CLO BV | |
0.657% due 11/22/2021 | | EUR | | | 1,084 | | | | | | 1,472 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities
(Cost $225,721) | | | | | | 250,830 | |
| | | | | | | | | | | | |
| |
SOVEREIGN ISSUES 22.4% | |
|
Autonomous Community of Andalusia | |
5.200% due 07/15/2019 | | | | | 8,000 | | | | | | 12,671 | |
|
Autonomous Community of Catalonia | |
1.445% due 10/22/2014 | | JPY | | | 500,000 | | | | | | 4,907 | |
1.500% due 09/16/2014 | | | | | 300,000 | | | | | | 2,958 | |
2.125% due 10/01/2014 | | CHF | | | 1,700 | | | | | | 1,925 | |
2.750% due 03/24/2016 | | | | | 200 | | | | | | 228 | |
4.300% due 11/15/2016 | | EUR | | | 900 | | | | | | 1,315 | |
4.750% due 06/04/2018 | | | | | 900 | | | | | | 1,370 | |
4.950% due 02/11/2020 | | | | | 25,020 | | | | | | 38,515 | |
|
Autonomous Community of Madrid | |
4.200% due 09/24/2014 | | | | | 5,750 | | | | | | 7,944 | |
|
Autonomous Community of Valencia | |
4.375% due 07/16/2015 | | | | | 600 | | | | | | 850 | |
|
Banco Nacional de Desenvolvimento Economico e Social | |
3.375% due 09/26/2016 | | $ | | | 1,200 | | | | | | 1,243 | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
|
Brazil Letras do Tesouro Nacional | |
0.000% due 04/01/2015 | | BRL | | | 22,000 | | | $ | | | 9,198 | |
|
Italy Buoni Poliennali Del Tesoro | |
2.500% due 05/01/2019 | | EUR | | | 100,000 | | | | | | 144,256 | |
2.750% due 12/01/2015 | | | | | 114,000 | | | | | | 161,090 | |
|
Italy Certificati Di Credito Del Tesoro | |
0.000% due 06/30/2015 | | | | | 17,800 | | | | | | 24,276 | |
|
Italy Government International Bond Strips | |
0.000% due 03/27/2015 | | $ | | | 6,625 | | | | | | 6,595 | |
0.000% due 09/27/2015 | | | | | 6,875 | | | | | | 6,807 | |
|
Mexico Government International Bond | |
3.500% due 12/14/2017 (d) | | MXN | | | 297,604 | | | | | | 25,152 | |
4.000% due 11/15/2040 (d) | | | | | 33,352 | | | | | | 2,912 | |
5.000% due 06/16/2016 (d) | | | | | 66,704 | | | | | | 5,655 | |
|
Province of British Columbia | |
2.650% due 09/22/2021 (f) | | $ | | | 25,000 | | | | | | 25,441 | |
|
Province of Ontario | |
2.100% due 09/08/2018 | | CAD | | | 225,000 | | | | | | 213,194 | |
4.000% due 10/07/2019 (f) | | $ | | | 15,823 | | | | | | 17,428 | |
|
Province of Quebec | |
2.625% due 02/13/2023 (f) | | | | | 25,000 | | | | | | 24,389 | |
3.500% due 07/29/2020 (f) | | | | | 1,200 | | | | | | 1,286 | |
4.500% due 12/01/2018 | | CAD | | | 25,000 | | | | | | 25,999 | |
| | | | | | | | | | | | |
Total Sovereign Issues
(Cost $743,162) | | | 767,604 | |
| | | | | | | | | | | | |
| | | | |
| | | | | SHARES | | | | | | |
PREFERRED SECURITIES 0.1% | |
| |
BANKING & FINANCE 0.1% | |
|
Ally Financial, Inc. | |
7.000% due 07/30/2014 (e) | | | | | 4,600 | | | | | | 4,635 | |
| | | | | | | | | | | | |
Total Preferred Securities
(Cost $4,402) | | | | | | 4,635 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | PRINCIPAL
AMOUNT
(000s) | | | | | MARKET
VALUE
(000s) | |
SHORT-TERM INSTRUMENTS 0.6% | |
| |
CERTIFICATES OF DEPOSIT 0.3% | |
|
Itau Unibanco Holding S.A. | |
1.419% due 10/31/2014 | | $ | | | 10,000 | | | $ | | | 9,963 | |
| | | | | | | | | | | | |
| |
COMMERCIAL PAPER 0.1% | |
|
Ford Motor Credit Co. LLC | |
0.918% due 08/04/2014 | | | | | 4,600 | | | | | | 4,596 | |
| | | | | | | | | | | | |
| |
SLOVENIA TREASURY BILLS 0.1% | |
0.529% due 10/16/2014 | | EUR | | | 3,300 | | | | | | 4,519 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY BILLS 0.1% | |
0.053% due 11/06/2014 - 12/26/2014 (c)(h) | | $ | | | 4,882 | | | | | | 4,881 | |
| | | | | | | | | | | | |
Total Short-Term Instruments
(Cost $23,881) | | | | | | 23,959 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments in Securities
(Cost $4,158,861) | | | | | | 4,295,676 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Investments 125.2%
(Cost $4,158,861) | | | $ | | | 4,295,676 | |
| |
Financial Derivative
Instruments (g) (0.4%) (Cost or Premiums, net $0) | | | | | | (13,185 | ) |
| |
Other Assets and Liabilities, net (24.8%) | | | | | | (850,647 | ) |
| | | | | | | | | | | | |
Net Assets 100.0% | | | $ | | | 3,431,844 | |
| | | | | | | | | | | | |
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
| * | A zero balance may reflect actual amounts rounding to less than one thousand. |
| (a) | Interest only security. |
| (b) | Principal only security. |
| (c) | Coupon represents a weighted average yield to maturity. |
| (d) | Principal amount of security is adjusted for inflation. |
| (e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (1) | | | Payable for
Reverse
Repurchase
Agreements | |
BCY | | | | | 0.260 | % | | | 06/23/2014 | | | | 07/24/2014 | | | $ | (87,343 | ) | | $ | (87,348 | ) |
BPG | | | | | 0.330 | % | | | 06/11/2014 | | | | 07/11/2014 | | | | (28,038 | ) | | | (28,043 | ) |
| | | | | | 0.330 | % | | | 06/16/2014 | | | | 07/16/2014 | | | | (56,891 | ) | | | (56,899 | ) |
| | | | | | 0.330 | % | | | 06/19/2014 | | | | 07/08/2014 | | | | (66,737 | ) | | | (66,744 | ) |
| | | | | | 0.330 | % | | | 06/24/2014 | | | | 07/10/2014 | | | | (38,811 | ) | | | (38,814 | ) |
| | | | | | 0.330 | % | | | 06/26/2014 | | | | 07/11/2014 | | | | (11,874 | ) | | | (11,875 | ) |
DEU | | | | | 0.260 | % | | | 06/10/2014 | | | | 07/10/2014 | | | | (15,906 | ) | | | (15,908 | ) |
| | | | | | 0.290 | % | | | 06/20/2014 | | | | 07/11/2014 | | | | (49,688 | ) | | | (49,692 | ) |
| | | | | | 0.310 | % | | | 06/10/2014 | | | | 07/10/2014 | | | | (16,094 | ) | | | (16,097 | ) |
MSC | | | | | 0.220 | % | | | 06/12/2014 | | | | 07/11/2014 | | | | (109,778 | ) | | | (109,791 | ) |
| | | | | | |
| 110 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (1) | | | Payable for
Reverse
Repurchase
Agreements | |
SOG | | | | | 0.220 | % | | | 07/02/2014 | | | | 07/11/2014 | | | $ | (69,155 | ) | | $ | (69,155 | ) |
| | | | | | 0.250 | % | | | 06/25/2014 | | | | 07/02/2014 | | | | (68,582 | ) | | | (68,585 | ) |
UBS | | | | | 0.320 | % | | | 06/18/2014 | | | | 07/18/2014 | | | | (31,991 | ) | | | (31,995 | ) |
| | | | | | 0.350 | % | | | 06/18/2014 | | | | 07/18/2014 | | | | (28,785 | ) | | | (28,789 | ) |
Total Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | $ | (679,735 | ) |
SALE-BUYBACK TRANSACTIONS:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Borrowing
Rate | | | Borrowing
Date | | | Maturity
Date | | | Amount
Borrowed (1) | | | Payable for
Sale-Buyback
Transactions | |
MSC | | | | | 0.100 | % | | | 06/30/2014 | | | | 07/01/2014 | | | $ | (96,551 | ) | | $ | (96,551 | ) |
Total Sale-Buyback Transactions | | | | | | | | | | | | | | | | | | | | $ | (96,551 | ) |
| (1) | The average amount of borrowings outstanding during the period ended June 30, 2014 was $632,356 at a weighted average interest rate of 0.064%. |
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 (received)/pledged as of June 30, 2014:
| (f) | Securities with an aggregate market value of $798,938 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Repurchase
Agreement
Proceeds
to be
Received | | | Payable for
Reverse
Repurchase
Agreements | | | Payable for
Sale-Buyback
Transactions | | | Securities
Out on Loan | | | Total
Borrowings and
Other Financing
Transactions | | | Collateral
(Received)/
Pledged | | | Net
Exposure (2) | |
Global/Master Repurchase Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BCY | | | | $ | 0 | | | $ | (87,348 | ) | | $ | 0 | | | $ | 0 | | | $ | (87,348 | ) | | $ | 90,071 | | | $ | 2,723 | |
BPG | | | | | 0 | | | | (202,375 | ) | | | 0 | | | | 0 | | | | (202,375 | ) | | | 211,115 | | | | 8,740 | |
DEU | | | | | 0 | | | | (81,697 | ) | | | 0 | | | | 0 | | | | (81,697 | ) | | | 84,952 | | | | 3,255 | |
MSC | | | | | 0 | | | | (109,791 | ) | | | 0 | | | | 0 | | | | (109,791 | ) | | | 113,120 | | | | 3,329 | |
SOG | | | | | 0 | | | | (137,740 | ) | | | 0 | | | | 0 | | | | (137,740 | ) | | | 136,726 | | | | (1,014 | ) |
UBS | | | | | 0 | | | | (60,784 | ) | | | 0 | | | | 0 | | | | (60,784 | ) | | | 0 | | | | (60,784 | ) |
ULW | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 63,812 | | | | 63,812 | |
| | | | | | | | |
Master Securities Forward Transaction Agreement | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
BPG | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | (251 | ) | | | (251 | ) |
MSC | | | | | 0 | | | | 0 | | | | (96,551 | ) | | | 0 | | | | (96,551 | ) | | | 96,212 | | | | (339 | ) |
Total Borrowings and Other Financing Transactions | | | | $ | 0 | | | $ | (679,735 | ) | | $ | (96,551 | ) | | $ | 0 | | | | | | | | | | | | | |
| (2) | 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 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(g) 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 | | | | | 07/2014 | | | | GBP | | | | 157,280 | | | | $ | | | | 264,545 | | | $ | 0 | | | $ | (4,624 | ) |
| | | | | | 07/2014 | | | | $ | | | | 69,538 | | | | EUR | | | | 51,179 | | | | 541 | | | | 0 | |
| | | | | | 06/2015 | | | | EUR | | | | 20,880 | | | | $ | | | | 28,389 | | | | 0 | | | | (253 | ) |
| | | | | | 06/2016 | | | | | | | | 58,878 | | | | | | | | 80,612 | | | | 0 | | | | (733 | ) |
BPS | | | | | 07/2014 | | | | | | | | 1,557 | | | | | | | | 2,111 | | | | 0 | | | | (21 | ) |
| | | | | | 07/2014 | | | | $ | | | | 2,456 | | | | EUR | | | | 1,806 | | | | 17 | | | | 0 | |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 111 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | | | Settlement
Month | | | Currency to
be Delivered | | | Currency to
be Received | | | Unrealized
Appreciation/
(Depreciation) | |
| | | | | | Asset | | | Liability | |
| | | | | | 04/2015 | | | | BRL | | | | 229 | | | | $ | | | | 93 | | | $ | 0 | | | $ | (3 | ) |
| | | | | | 06/2015 | | | | EUR | | | | 9,381 | | | | | | | | 12,722 | | | | 0 | | | | (146 | ) |
BRC | | | | | 07/2014 | | | | | | | | 8,054 | | | | | | | | 10,948 | | | | 0 | | | | (80 | ) |
| | | | | | 07/2014 | | | | GBP | | | | 6,023 | | | | | | | | 10,221 | | | | 0 | | | | (87 | ) |
| | | | | | 07/2014 | | | | JPY | | | | 195,300 | | | | | | | | 1,915 | | | | 0 | | | | (13 | ) |
| | | | | | 07/2014 | | | | $ | | | | 55,634 | | | | EUR | | | | 41,001 | | | | 509 | | | | 0 | |
| | | | | | 08/2014 | | | | CHF | | | | 1,902 | | | | $ | | | | 2,164 | | | | 18 | | | | 0 | |
| | | | | | 08/2014 | | | | EUR | | | | 5,486 | | | | | | | | 7,493 | | | | 0 | | | | (20 | ) |
| | | | | | 06/2015 | | | | | | | | 12,039 | | | | | | | | 16,356 | | | | 0 | | | | (158 | ) |
| | | | | | 06/2016 | | | | | | | | 11,049 | | | | | | | | 15,193 | | | | 0 | | | | (76 | ) |
CBK | | | | | 07/2014 | | | | | | | | 2,836 | | | | | | | | 3,856 | | | | 0 | | | | (27 | ) |
| | | | | | 07/2014 | | | | JPY | | | | 20,249,999 | | | | | | | | 198,995 | | | | 0 | | | | (897 | ) |
| | | | | | 07/2014 | | | | MXN | | | | 86,762 | | | | | | | | 6,637 | | | | 0 | | | | (40 | ) |
| | | | | | 07/2014 | | | | $ | | | | 12,709 | | | | EUR | | | | 9,381 | | | | 136 | | | | 0 | |
| | | | | | 09/2014 | | | | CAD | | | | 73,357 | | | | $ | | | | 67,375 | | | | 0 | | | | (1,241 | ) |
DUB | | | | | 07/2014 | | | | EUR | | | | 491,138 | | | | | | | | 668,913 | | | | 0 | | | | (3,602 | ) |
| | | | | | 07/2014 | | | | $ | | | | 8,409 | | | | EUR | | | | 6,201 | | | | 83 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 273,406 | | | | GBP | | | | 160,873 | | | | 1,912 | | | | 0 | |
| | | | | | 07/2014 | | | | | | | | 201,552 | | | | JPY | | | | 20,445,299 | | | | 267 | | | | 0 | |
| | | | | | 08/2014 | | | | GBP | | | | 159,380 | | | | $ | | | | 270,797 | | | | 0 | | | | (1,893 | ) |
| | | | | | 08/2014 | | | | JPY | | | | 20,445,299 | | | | | | | | 201,597 | | | | 0 | | | | (274 | ) |
| | | | | | 06/2016 | | | | EUR | | | | 6,201 | | | | | | | | 8,490 | | | | 0 | | | | (76 | ) |
FBF | | | | | 07/2014 | | | | $ | | | | 467,784 | | | | EUR | | | | 343,044 | | | | 1,946 | | | | 0 | |
| | | | | | 08/2014 | | | | EUR | | | | 325,907 | | | | $ | | | | 444,628 | | | | 0 | | | | (1,693 | ) |
| | | | | | 04/2015 | | | | BRL | | | | 10,872 | | | | | | | | 4,413 | | | | 0 | | | | (161 | ) |
| | | | | | 06/2015 | | | | EUR | | | | 17,137 | | | | | | | | 23,260 | | | | 0 | | | | (248 | ) |
GLM | | | | | 07/2014 | | | | | | | | 9,200 | | | | | | | | 12,554 | | | | 0 | | | | (43 | ) |
| | | | | | 08/2014 | | | | MXN | | | | 182,483 | | | | | | | | 13,853 | | | | 0 | | | | (161 | ) |
| | | | | | 09/2014 | | | | | | | | 139,287 | | | | | | | | 10,680 | | | | 4 | | | | 0 | |
HUS | | | | | 07/2014 | | | | $ | | | | 16,506 | | | | EUR | | | | 12,178 | | | | 170 | | | | 0 | |
| | | | | | 04/2015 | | | | BRL | | | | 10,899 | | | | $ | | | | 4,425 | | | | 0 | | | | (160 | ) |
JPM | | | | | 07/2014 | | | | EUR | | | | 25,083 | | | | | | | | 34,032 | | | | 0 | | | | (314 | ) |
| | | | | | 07/2014 | | | | $ | | | | 4,121 | | | | GBP | | | | 2,430 | | | | 37 | | | | 0 | |
| | | | | | 08/2014 | | | | | | | | 13,576 | | | | EUR | | | | 9,985 | | | | 98 | | | | 0 | |
MSC | | | | | 07/2014 | | | | | | | | 21,248 | | | | | | | | 15,595 | | | | 106 | | | | 0 | |
| | | | | | 06/2016 | | | | EUR | | | | 15,595 | | | | $ | | | | 21,449 | | | | 0 | | | | (96 | ) |
NAB | | | | | 07/2014 | | | | $ | | | | 62,462 | | | | EUR | | | | 45,964 | | | | 477 | | | | 0 | |
| | | | | | 06/2015 | | | | EUR | | | | 23,639 | | | | $ | | | | 32,095 | | | | 0 | | | | (332 | ) |
| | | | | | 06/2016 | | | | | | | | 33,844 | | | | | | | | 46,470 | | | | 0 | | | | (293 | ) |
RBC | | | | | 08/2014 | | | | $ | | | | 49,449 | | | | MXN | | | | 655,600 | | | | 898 | | | | 0 | |
| | | | | | 09/2014 | | | | CAD | | | | 182,277 | | | | $ | | | | 167,674 | | | | 0 | | | | (2,823 | ) |
UAG | | | | | 07/2014 | | | | $ | | | | 15,589 | | | | EUR | | | | 11,519 | | | | 184 | | | | 0 | |
Total Forward Foreign Currency Contracts | | | | | | | | | | | | | | | | | | | | | | | | $ | 7,403 | | | $ | (20,588 | ) |
| | | | | | |
| 112 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
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 June 30, 2014:
| (h) | Securities with an aggregate market value of $8,418 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | | | Financial Derivative Assets | | | | | Financial Derivative Liabilities | | | | | | | | | | |
| | | | 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
(Received)/
Pledged | | | Net
Exposure (1) | |
BOA | | | | $ | 541 | | | $ | 0 | | | $ | 0 | | | $ | 541 | | | | | $ | (5,610 | ) | | $ | 0 | | | $ | 0 | | | $ | (5,610 | ) | | $ | (5,069 | ) | | $ | 3,408 | | | $ | (1,661 | ) |
BPS | | | | | 17 | | | | 0 | | | | 0 | | | | 17 | | | | | | (170 | ) | | | 0 | | | | 0 | | | | (170 | ) | | | (153 | ) | | | 0 | | | | (153 | ) |
BRC | | | | | 527 | | | | 0 | | | | 0 | | | | 527 | | | | | | (434 | ) | | | 0 | | | | 0 | | | | (434 | ) | | | 93 | | | | 0 | | | | 93 | |
CBK | | | | | 136 | | | | 0 | | | | 0 | | | | 136 | | | | | | (2,205 | ) | | | 0 | | | | 0 | | | | (2,205 | ) | | | (2,069 | ) | | | 1,935 | | | | (134 | ) |
DUB | | | | | 2,262 | | | | 0 | | | | 0 | | | | 2,262 | | | | | | (5,845 | ) | | | 0 | | | | 0 | | | | (5,845 | ) | | | (3,583 | ) | | | 1,069 | | | | (2,514 | ) |
FBF | | | | | 1,946 | | | | 0 | | | | 0 | | | | 1,946 | | | | | | (2,102 | ) | | | 0 | | | | 0 | | | | (2,102 | ) | | | (156 | ) | | | 0 | | | | (156 | ) |
GLM | | | | | 4 | | | | 0 | | | | 0 | | | | 4 | | | | | | (204 | ) | | | 0 | | | | 0 | | | | (204 | ) | | | (200 | ) | | | 117 | | | | (83 | ) |
HUS | | | | | 170 | | | | 0 | | | | 0 | | | | 170 | | | | | | (160 | ) | | | 0 | | | | 0 | | | | (160 | ) | | | 10 | | | | 0 | | | | 10 | |
JPM | | | | | 135 | | | | 0 | | | | 0 | | | | 135 | | | | | | (314 | ) | | | 0 | | | | 0 | | | | (314 | ) | | | (179 | ) | | | 0 | | | | (179 | ) |
MSC | | | | | 106 | | | | 0 | | | | 0 | | | | 106 | | | | | | (96 | ) | | | 0 | | | | 0 | | | | (96 | ) | | | 10 | | | | 0 | | | | 10 | |
NAB | | | | | 477 | | | | 0 | | | | 0 | | | | 477 | | | | | | (625 | ) | | | 0 | | | | 0 | | | | (625 | ) | | | (148 | ) | | | 0 | | | | (148 | ) |
RBC | | | | | 898 | | | | 0 | | | | 0 | | | | 898 | | | | | | (2,823 | ) | | | 0 | | | | 0 | | | | (2,823 | ) | | | (1,925 | ) | | | 1,890 | | | | (35 | ) |
UAG | | | | | 184 | | | | 0 | | | | 0 | | | | 184 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 184 | | | | 0 | | | | 184 | |
Total Over the Counter | | | | $ | 7,403 | | | $ | 0 | | | $ | 0 | | | $ | 7,403 | | | | | $ | (20,588 | ) | | $ | 0 | | | $ | 0 | | | $ | (20,588 | ) | | | | | | | | | | | | |
| (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 7, Principal Risks, 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 Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 7,403 | | | $ | 0 | | | $ | 7,403 | |
| | | | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 20,588 | | | $ | 0 | | | $ | 20,588 | |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Derivatives not accounted for as hedging instruments | |
| | | | | Commodity
Contracts | | | Credit
Contracts | | | Equity
Contracts | | | Foreign
Exchange
Contracts | | | Interest
Rate Contracts | | | Total | |
Net Realized (Loss) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (52,957 | ) | | $ | 0 | | | $ | (52,957 | ) |
| | | | | | | |
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over the counter | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (10,318 | ) | | $ | 0 | | | $ | (10,318 | ) |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 113 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
| | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Level 1 | | | Level 2 | | | Level 3 | | | Fair Value at
06/30/2014 | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Bank Loan Obligations | | | | $ | 0 | | | $ | 36,699 | | | $ | 0 | | | $ | 36,699 | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | | 0 | | | | 1,326,788 | | | | 6,874 | | | | 1,333,662 | |
Industrials | | | | | 0 | | | | 315,078 | | | | 32,655 | | | | 347,733 | |
Utilities | | | | | 0 | | | | 187,883 | | | | 0 | | | | 187,883 | |
Municipal Bonds & Notes | | | | | | | | | | | | | | | | | | |
California | | | | | 0 | | | | 26,671 | | | | 0 | | | | 26,671 | |
Florida | | | | | 0 | | | | 10,002 | | | | 0 | | | | 10,002 | |
South Dakota | | | | | 0 | | | | 8,010 | | | | 0 | | | | 8,010 | |
U.S. Government Agencies | | | | | 0 | | | | 567,763 | | | | 0 | | | | 567,763 | |
U.S. Treasury Obligations | | | | | 0 | | | | 260,130 | | | | 0 | | | | 260,130 | |
Mortgage-Backed Securities | | | | | 0 | | | | 433,077 | | | | 37,018 | | | | 470,095 | |
Asset-Backed Securities | | | | | 0 | | | | 250,830 | | | | 0 | | | | 250,830 | |
Sovereign Issues | | | | | 0 | | | | 767,604 | | | | 0 | | | | 767,604 | |
Preferred Securities | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | | 0 | | | | 4,635 | | | | 0 | | | | 4,635 | |
Short-Term Instruments | | | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | | | 0 | | | | 9,963 | | | | 0 | | | | 9,963 | |
Commercial Paper | | | | | 0 | | | | 4,596 | | | | 0 | | | | 4,596 | |
Slovenia Treasury Bills | | | | | 0 | | | | 4,519 | | | | 0 | | | | 4,519 | |
U.S. Treasury Bills | | | | | 0 | | | | 4,881 | | | | 0 | | | | 4,881 | |
Total Investments | | | | $ | 0 | | | $ | 4,219,129 | | | $ | 76,547 | | | $ | 4,295,676 | |
| | | | | |
Financial Derivative Instruments - Assets | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | 7,403 | | | $ | 0 | | | $ | 7,403 | |
| | | | | |
Financial Derivative Instruments - Liabilities | | | | | | | | | | | | | | | | | | |
Over the counter | | | | $ | 0 | | | $ | (20,588 | ) | | $ | 0 | | | $ | (20,588 | ) |
Totals | | | | $ | 0 | | | $ | 4,205,944 | | | $ | 76,547 | | | $ | 4,282,491 | |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Category and Subcategory | | | | Beginning
Balance
at
06/30/2013 | | | 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 06/30/2014 | | | Net
Change in
Unrealized
Appreciation/
(Depreciation)
on
Investments
Held at
06/30/2014 (1) | |
Investments in
Securities,
at Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 27,208 | | | $ | 6,924 | | | $ | (28,439 | ) | | $ | (17 | ) | | $ | 940 | | | $ | 258 | | | $ | 0 | | | $ | 0 | | | $ | 6,874 | | | $ | (40 | ) |
Industrials | | | | | 49,455 | | | | 0 | | | | (17,949 | ) | | | 13 | | | | (1,901 | ) | | | 3,037 | | | | 0 | | | | 0 | | | | 32,655 | | | | 1,322 | |
Mortgage-Backed Securities | | | | | 0 | | | | 37,655 | | | | (739 | ) | | | 1 | | | | 8 | | | | 93 | | | | 0 | | | | 0 | | | | 37,018 | | | | 93 | |
Totals | | | | $ | 76,663 | | | $ | 44,579 | | | $ | (47,127 | ) | | $ | (3 | ) | | $ | (953 | ) | | $ | 3,388 | | | $ | 0 | | | $ | 0 | | | $ | 76,547 | | | $ | 1,375 | |
| | | | | | |
| 114 | | PIMCO ETF TRUST | | | | See Accompanying Notes |
June 30, 2014
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 06/30/2014 | | | Valuation
Technique | | | Unobservable
Inputs | | | Input Value(s)
(% Unless
Noted
Otherwise) | |
Investments in Securities, at Value | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | | | | | | | | | | | | | | | | |
Banking & Finance | | | | $ | 6,874 | | | | Benchmark Pricing | | | | Base Price | | | | 138.61 | |
Industrials | | | | | 32,655 | | | | Benchmark Pricing | | | | Base Price | | | | 89.02 | |
Mortgage-Backed Securities | | | | | 37,018 | | | | Benchmark Pricing | | | | Base Price | | | | 100.00 - 105.85 | |
Total | | | | $ | 76,547 | | | | | | | | | | | | | |
| (1) | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
| | | | | | |
| See Accompanying Notes | | ANNUAL REPORT | | JUNE 30, 2014 | | 115 |
Notes to Financial Statements
1. ORGANIZATION
PIMCO ETF Trust (the “Trust”) was established as a Delaware statutory trust on November 14, 2008. The Trust is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Information presented in these financial statements pertains to twenty-one funds (each a “Fund” and collectively the “Funds”) offered by the Trust. Pacific Investment Management Company LLC (“PIMCO” or “Manager”) serves as the investment adviser for the Funds.
Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Funds are listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for a Fund’s shares may be different from the Fund’s NAV. The Funds issue and redeem shares at their respective NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only certain large institutional investors who have entered into agreements with the Funds’ Distributor may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from a Fund at NAV.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“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. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled 15 days or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. 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 the Fund 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. 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 gain/loss 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 and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from underlying funds are recorded as dividend income. Long-term capital gain distributions received from underlying funds 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.
(b) Cash and Foreign Currency The functional and reporting currency for the Funds is the U.S. dollar. The market values of foreign securities, currency holdings and other assets and liabilities 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 are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds 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 and net changes in unrealized gain or loss from investments on the Statements of Operations. The Funds 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 (see financial derivative instruments). Realized foreign exchange gains or losses arising from sales of spot foreign currencies, currency gains or 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 or loss on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains and 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 or depreciation on foreign currency assets and liabilities on the Statements of Operations.
June 30, 2014
(c) Dividends and Distributions to Shareholders Dividends from net investment income, if any, of each Fund, except the PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund and the PIMCO Foreign Currency Strategy Exchange-Traded Fund, are declared and distributed to shareholders monthly. Dividends from net investment income, if any, of the PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund and the PIMCO Foreign Currency Strategy Exchange-Traded Fund are declared and distributed to shareholders quarterly. Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year. Dividends and distributions cannot be automatically reinvested in additional shares of a Fund.
Income dividends 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. Examples of events that give rise to timing differences include tax events such as wash sales losses and capital loss carryforwards. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. Examples of transactions that may cause character differences include the treatment of paydowns on mortgage-backed securities, swaps, foreign currency transactions and redeem-in-kind transactions. As a result, income dividends 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 Fund’s annual financial statements presented under U.S. GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
(d) Equalization Effective July 1, 2013, each Fund no longer follows the accounting practice known as “Equalization” under which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of the distributable net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result of this change, the two line items have been removed from the Statements of Changes in Net Assets (“Net Equalization Credit and (Charges)” and “Net Income Equalization”) for the period ended June 30, 2014, and the Statements of Changes in Net Assets for the prior period have been retrospectively adjusted to reflect this change. There is no impact to the net assets, results of operations or financial highlights for each of the periods presented. Management considers the accounting principle change as insignificant and the Statement of Changes in Net Assets change to be more useful to shareholders.
(e) New Accounting Pronouncements In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) to enhance disclosures about financial instruments and derivative instruments that are subject to offsetting (“netting”) on the Statements of Assets and Liabilities. This information will enable users of the entity’s financial statements to evaluate the effect or potential effect of netting arrangements on the entity’s financial position. The ASU is effective for interim or annual periods beginning on or after January 1, 2013. The financial statements have been modified to provide enhanced quantitative and qualitative disclosures surrounding counterparty exposure and master netting arrangements. See the Notes to Schedule of Investments and Note 7, Principal Risks for additional details.
In June 2013, the FASB issued an ASU providing updated guidance for assessing whether an entity is an investment company and for the measurement of noncontrolling ownership interests in other investment companies. This update is effective prospectively during interim or annual periods beginning on or after December 15, 2013. The PIMCO Diversified Income Exchange-Traded Fund and PIMCO Low Duration Exchange-Traded Fund have adopted the ASU for the fiscal year ended June 30, 2014 as it follows the investment company reporting requirements under U.S. GAAP and did not have an impact on the Fund’s financial statements. At this time, management is evaluating the ASU to determine whether it will impact the financial statements for the following funds: PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 3—7 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO Investment Grade Corporate Bond Exchange-Traded Fund, PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund, PIMCO Build America Bond Strategy Exchange-Traded Fund, PIMCO Enhanced Short Maturity Strategy Exchange-Traded Fund, PIMCO Foreign Currency Strategy Exchange-Traded Fund, PIMCO Global Advantage® Inflation-Linked Bond Strategy Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Strategy Exchange-Traded Fund, PIMCO Short Term Municipal Bond Strategy Exchange-Traded Fund and PIMCO Total Return Exchange-Traded Fund.
In June 2014, the FASB issued an ASU that expands secured borrowing accounting for certain repurchase agreements. The ASU also sets forth additional disclosure requirements for certain transactions accounted for as sales, in order to provide financial statement users with information to compare to similar transactions accounted for as secured borrowings. The ASU is effective prospectively during interim or annual periods beginning after December 15, 2014. At this time, management is evaluating the implications of these changes on the financial statements.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 117 |
Notes to Financial Statements (Cont.)
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The NAV of a Fund’s shares is valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (the “NYSE Close”) on each day that the NYSE Arca is open (each a “Business Day”). Information that becomes known to a Fund or its agents after the 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.
For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Board of Trustees (the “Board”) of the Trust. The Board has formed a Valuation Committee whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and, as required by the Trust’s valuation policies, determine in good faith the fair value of portfolio holdings after consideration of all relevant factors, including recommendations provided by the Manager. The Board has delegated responsibility for applying the valuation methods to the investment manager (the “Manager”). The Manager monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers.
Where market quotes are readily available, fair 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 a quotation reporting system, established market makers, or pricing services. Where market quotes are not readily available, portfolio securities and other financial derivative instruments are valued at fair value, as determined in good faith by the Board, its Valuation Committee, or the Manager pursuant to instructions from the Board or its Valuation Committee. 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, or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or financial derivative instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Manager, PIMCO, the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or financial derivative instruments and for determining whether the value of the applicable securities or financial derivative instruments should be re-evaluated in light of such significant events.
The Board has adopted methods for valuing securities and other financial derivative instruments that may require fair valuation under particular circumstances. The Manager monitors the continual appropriateness of fair valuation methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the Manager determines that a fair valuation method may no longer be
appropriate, another valuation method may be selected, or the Valuation Committee will take any appropriate action in accordance with procedures set forth by the Board. The Board reviews the appropriateness of the valuation methods from time to time and these methods may be amended or supplemented from time to time by the Valuation Committee.
In circumstances in which daily market quotes are not readily available, investments may be valued pursuant to guidelines established by the Board. In the event that the security or asset cannot be valued pursuant to the established guidelines, the value of the security or other financial derivative instrument will be determined in good faith by the Valuation Committee of the Board, generally based upon recommendations provided by PIMCO. These methods may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold.
(b) Fair Value Hierarchy U.S. GAAP describes fair market value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
| | n | | Level 1—Inputs using (unadjusted) quoted prices in active markets or exchanges for identical assets and liabilities. |
| | n | | Level 2—Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| | n | | 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. |
In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers in and out of Level 3, if any, are disclosed in the Notes to Schedule of Investments for each respective Fund.
June 30, 2014
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 total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of the Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, Level 3 reconciliation, and details of significant unobservable inputs, if any, have been included in the Notes to Schedule of Investments for each respective Fund.
| (c) | Valuation Techniques and the Fair Value Hierarchy |
Level 1 and Level 2 trading assets and trading liabilities, at fair market value The valuation methods (or “techniques”) and significant inputs used in determining the fair market values of portfolio securities or financial derivative instruments 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 by pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations 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, exchange-traded funds, exchange-traded notes and financial derivative instruments, such as futures contracts 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 initially valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from pricing service providers. As a result, the NAV of a Fund’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 New York Stock Exchange (“NYSE”) is closed and the NAV may change on days when an investor is not able to purchase, redeem or exchange shares. 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 service providers 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.
Short-term investments having a maturity of 60 days or less and repurchase agreements are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as foreign currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued by independent pricing service providers. Depending on the product and the terms of the transaction, financial derivative instruments can be valued by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, 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 listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable price levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 119 |
Notes to Financial Statements (Cont.)
underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. 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, securities 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:
Investments in privately held investment funds with significant restriction on redemptions where the inputs to the NAVs are unobservable will be calculated based upon the NAVs of such investments and are categorized as Level 3 of the fair value hierarchy.
Benchmark 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 Committee. Significant changes in the unobservable inputs of the benchmark 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. The validity of the fair value is reviewed by PIMCO on a periodic basis and may be amended as the availability of market data indicates a material change.
If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain indicative market quotations (“broker quotes”) directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced broker quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the broker quote would have direct and proportional changes in the fair value of the security.
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Securities
Inflation-Indexed Bonds Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. 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.
Loan Participations and Assignments Certain Funds may invest in direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower of the loan. 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. Certain Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding.
Unfunded loan commitments may include revolving credit facilities, which may obligate Funds 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 Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund 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 June 30, 2014, the Funds had no unfunded loan commitments outstanding.
Mortgage-Related and Other Asset-Backed Securities Certain Funds may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related and other asset-backed securities are interests in pools of loans or other receivables. 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
June 30, 2014
and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment which consists of both interest and principal. Interest may be determined by fixed or adjustable rates. 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. 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.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by mortgages 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. Commercial Mortgage-Backed Securities (“CMBS”) include securities that reflect an interest in, and are secured by, mortgage loans on commercial real property. Many of the risks of investing in CMBS reflect the risks of investing in the real estate securing the underlying mortgage loans. These risks reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make loan payments, and the ability of a property to attract and retain tenants. CMOs and CMBS may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. A SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
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 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. 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 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.
Payment In-Kind Securities Certain Funds may invest in payment in-kind securities (“PIKs”). 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 or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.
U.S. Government Agencies or Government-Sponsored Enterprises Certain Funds may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities 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, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities, such as U.S. Treasury Strips which are Treasury fixed income securities sold at a discount to face value and offer no interest payments; rather, investors receive par at maturity.
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
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 121 |
Notes to Financial Statements (Cont.)
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.
When-Issued Transactions Certain Funds may purchase or sell securities on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. A commitment is made by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain or loss.
(b) Investments in Affiliates
Each Fund may invest the cash collateral received for securities out on loan in the PIMCO Government Money Market Fund and PIMCO Money Market Fund under the Securities Lending Agreement. PIMCO Government Money Market Fund and PIMCO Money Market Fund are considered to be affiliated with the Funds. The table below shows the Fund’s transactions in and earnings from investments in these affiliated Funds for the period ended June 30, 2014, (amounts in thousands):
Investments in PIMCO Money Market Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fund Name | | | | Market Value
06/30/2013 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain/(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Market Value
06/30/2014 | | | Dividend
Income | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 0 | | | $ | 3,038 | | | $ | (3,038 | ) | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 3,867 | | | | (3,867 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 51,215 | | | | 337,420 | | | | (318,026 | ) | | | 0 | | | | 0 | | | | 70,609 | | | | 6 | |
PIMCO Investment Grade Corporate Bond Index Fund | | | | | 0 | | | | 3,133 | | | | (3,133 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Enhanced Short Maturity Strategy Exchange-Traded Fund | | | | | 0 | | | | 28,335 | | | | (28,335 | ) | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The following disclosures contain information on a Fund’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 Fund. The location and fair value amounts of these instruments are 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 Certain Funds may engage in repurchase agreements. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under tri-party repurchase agreements. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, 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 Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund.
(b) Reverse Repurchase Agreements Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund 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. A Fund 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 Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund will segregate assets determined to be liquid by PIMCO or will otherwise cover its obligations under reverse repurchase agreements.
(c) Sale-Buybacks Certain Funds may enter into financing transactions referred to as ‘sale-buybacks’. A sale-buyback transaction consists of a sale of a security by a Fund 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. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the
June 30, 2014
counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund 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 Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund 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 Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund will segregate assets determined to be liquid by PIMCO or will otherwise cover its obligations under sale-buyback transactions.
(d) Securities Lending The Funds listed below may seek to earn additional income by lending their securities to certain qualified broker-dealers and institutions on a short-term or long-term basis via a lending agent. Securities on loan are required to be secured by cash collateral at least equal to 102% of the domestic, or 105% of the foreign security’s market value. The Fund will then invest the cash collateral received in the PIMCO Government Money Market Fund or PIMCO Money Market Fund (see table below for designations), and records a liability for the return of the collateral, during the period the securities are on loan. Each fund is subject to a lending limit of 33.33% of total assets (including the value of collateral).
The loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. Should the borrower of the securities fail to return loaned securities, the Fund has the right to repurchase the securities using the collateral in the open market.
The borrower pays fees at the Funds’ direction to the lending agent. The lending agent may retain a portion of the fees and interest earned on the cash collateral invested as compensation for its services. Investments made with the cash collateral are disclosed on the Schedules of Investments (if applicable). The lending fees and the Funds’ portion of the interest income earned on cash collateral are included on the Statements of Operations as securities lending income (if applicable).
| | | | |
| Fund Name | | | | Cash Collateral Reinvestment Vehicle |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
| | | | |
| Fund Name | | | | Cash Collateral Reinvestment Vehicle |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | PIMCO Money Market Fund |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | PIMCO Money Market Fund |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | PIMCO Government Money Market Fund |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | PIMCO Money Market Fund |
6. FINANCIAL DERIVATIVE INSTRUMENTS
The following disclosures contain information on how and why the Funds use financial derivative instruments, the credit-risk-related contingent features in certain financial derivative instruments, and how financial derivative instruments affect the Funds’ 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 realized and changes in unrealized gains and losses 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 realized and changes in unrealized gains and losses 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 Funds.
(a) Forward Foreign Currency Contracts Certain Funds may enter into forward foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as a 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 Fund as an unrealized gain or loss. Realized gains or losses 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 are recorded upon delivery or receipt of the currency. These contracts may involve market risk in excess of the unrealized gain or loss reflected on the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. In connection with these contracts, cash or securities may be identified as collateral in accordance with the terms of the respective contracts.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 123 |
Notes to Financial Statements (Cont.)
(b) Futures Contracts Certain Funds may enter into futures contracts. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. 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 Fund 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 Fund 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 an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
(c) Options Contracts Certain Funds may write call and put options on securities and financial derivative instruments they own or in which they may invest. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund 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 or 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 Fund 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 Fund may not be able to enter into a closing transaction because of an illiquid market.
Certain Funds may also purchase put and call options. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statement 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 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 or loss when the underlying transaction is executed.
(d) Swap Agreements Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over the counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). A Fund 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 accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Swaps are marked to market daily based upon values from third-party vendors, which may include a registered exchange, or quotations from market makers to the extent available. In the event that market quotes are not readily available and the swap cannot be valued pursuant to one of the valuation methods, the value of the swap will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by PIMCO. 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 a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities. 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 gains or losses 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 or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations.
Entering into these 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
June 30, 2014
or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates.
A Fund’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 amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
Credit Default Swap Agreements 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 of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swap agreements, a Fund 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 Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, 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 Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund 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.
Credit default swap agreements on credit indices 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 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). A Fund may use credit default swaps on credit indices issues to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund 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 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. A Fund may use credit default swaps on credit indices 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. Credit default swaps on indices are instruments for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
The maximum potential amount of future payments (undiscounted) that a Fund 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 Fund 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 Fund for the same referenced entity or entities.
7. PRINCIPAL RISKS
In the normal course of business the Funds 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 Funds may be subject to, please see the Important Information About the Funds.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 125 |
Notes to Financial Statements (Cont.)
Market Risks A Fund’s investments in fixed income securities expose the Fund to various risks such as but not limited to, market trading, interest rate, foreign currency, equity, management and tracking error and indexing risks.
Market trading risk is the risk that an active secondary trading market for a Fund’s shares does not develop or continue, that a Fund may not continue to meet a listing exchange’s trading or listing requirements, or that Fund shares trade at prices other than the Fund’s NAV.
Interest rate risk is the risk that fixed income securities will decline in value because of an increase in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a Fund 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 Fund may lose money if these changes are not anticipated by Fund management. A Fund 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 useful primarily as a measure of the sensitivity of a security’s market price to interest rate (i.e., yield) movements. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). At present, the U.S. is experiencing historically low interest rates. This, combined with recent economic recovery and the Federal Reserve Board’s tapering of its quantitative easing program, could potentially increase the probability of an upward interest rate environment in the near future. Further, while U.S. bond markets have steadily grown over the past three decades, dealer “market making” ability has remained relatively stagnant. Given the importance of intermediary “market making” in creating a robust and active market, fixed income securities may face increased volatility and liquidity risks. All of these factors, collectively and/or individually, could cause a Fund to lose value. If a Fund lost enough value, the Fund could face increased redemptions by shareholders, which could further impair its performance.
Certain Funds may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to 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 Fund’s performance and/or ability to achieve its investment objective.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that
provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’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 Fund’s investments in foreign currency denominated securities may reduce the Fund’s returns.
A Fund’s investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, have historically risen and fallen in periodic cycles and may decline due to general market conditions which are not specifically related to a particular company, 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 generally. 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. Different types of equity securities may react differently to these developments. Equity securities and equity related investments generally have greater market price volatility than fixed income securities.
Management and Tracking Error Risk is the risk that the portfolio manager’s investment decisions may not produce the desired results or that an Index Fund’s portfolio may not correlate to the Fund’s Index.
Indexing risk is the risk that a Fund is negatively affected by general declines in the market segments or asset classes represented by the Fund’s Index.
Credit and Counterparty Risks A Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. A Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges. A Fund 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.
June 30, 2014
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. PIMCO, as the investment adviser, minimizes counterparty risks to the Funds by performing extensive reviews of each counterparty and obtaining approval from the PIMCO Counterparty Risk Committee prior to entering into transactions with a third-party. Furthermore, to the extent that unpaid amounts owed to a Fund exceed a predetermined threshold agreed to with the counterparty, such counterparty shall advance collateral to the Fund in the form of cash or cash equivalents equal in value to the unpaid amount owed to the Fund. A Fund 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 Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced to the Fund.
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 Fund 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.
Master Netting Arrangements The Funds are subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, 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 Fund 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 agreement with a counterparty.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the 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 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. Securities and cash pledged as collateral are reflected as assets in the Statement of Assets and Liabilities as either a component of Investments at value (securities) or Deposits due from Counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability in the Statement of
Assets and Liabilities as Deposits due to Counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’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 Fund 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 Schedule of Investments.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern the considerations and factors surrounding the settlement of certain forward settling transactions, such as To-Be-Announced securities, delayed-delivery or sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, 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 Schedule of Investments.
Customer Account Agreements and related addendums govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Cleared derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is significantly reduced as creditors of the futures broker do not have claim to Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives. The market value or accumulated unrealized appreciation or depreciation, initial margin posted, and any unsettled variation margin as of period end is disclosed in the Notes to Schedule of Investments.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 127 |
Notes to Financial Statements (Cont.)
market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedule of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by a Fund and select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral 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 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 Schedule of Investments.
8. FEES AND EXPENSES
(a) Management Fee PIMCO, a majority-owned subsidiary of Allianz Asset Management of America L.P. (“Allianz Asset Management”), serves as the Manager to the Trust, pursuant to an investment management agreement. Each Fund pays PIMCO fees in return for providing investment advisory, supervisory and administrative services under an all-in fee structure. Each Fund will pay monthly management fees to PIMCO at the annual rate based on average daily net assets (the “Management Fee”). The Management Fee for each Fund is charged at an annual rate as noted in the table below.
| | | | | | |
| Fund Name | | | | Management Fee | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0.15 | % |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0.15 | % |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0.15 | % |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 0.15 | % |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0.20 | % |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0.20 | % |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 0.20 | % |
PIMCO 0-5 Year High Yield Corporate Bond Index
Exchange-Traded Fund | | | | | 0.55 | % |
PIMCO Investment Grade Corporate Bond Index
Exchange-Traded Fund | | | | | 0.20 | % |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 0.45 | % |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0.45 | % |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0.45 | % |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 0.45 | % |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 0.85 | % |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 0.35 | % |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 0.65 | % |
PIMCO Global Advantage® Inflation-Linked Bond
Exchange-Traded Fund | | | | | 0.60 | % |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 0.35 | % |
PIMCO Low Duration Exchange-Traded Fund | | | | | 0.55 | % |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 0.35 | % |
PIMCO Total Return Exchange-Traded Fund | | | | | 0.55 | % |
(b) Distribution and Servicing Fees PIMCO Investments LLC (“PI”), a wholly-owned subsidiary of PIMCO, serves as the distributor (“Distributor”) of each Fund’s Creation Units. The Distributor does not maintain a secondary market in shares of the Funds. During the period ended June 30, 2014 each Fund was permitted to compensate the Distributor at an annual rate of up to 0.25% of a Fund’s average daily net assets (the “12b-1 Plan Fee”). However, the Board of Trustees has determined not to authorize payment of a 12b-1 Plan Fee at this time. The 12b-1 Plan Fee may only be imposed or increased when the Board of Trustees determines that it is in the best interests of shareholders to do so. Because these fees are paid out of a Fund’s assets on an ongoing basis, to the extent that a fee is authorized, over time it will increase the cost of an investment in the Fund. The 12b-1 Plan Fee may cost an investor more than other types of sales charges.
(c) Fund Expenses The Funds bear other expenses which are not covered under the Management Fee which may vary and affect the total level of expenses paid by shareholders, such as (i) salaries and other compensation of any of the Trust’s executive officers and employees who are not officers, directors, stockholders, or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) costs of borrowing money, including interest expense; (v) securities lending fees and expenses; (vi) fees and expenses of the Trustees who are not “interested persons” of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vii) extraordinary expense, including costs of litigation and indemnification expenses; and (viii) organization expenses. The ratio of expenses to average net assets, as disclosed on the Financial Highlights, may differ from the annual fund operating expenses as disclosed in the Prospectus for the reasons set forth above.
Each unaffiliated Trustee receives an annual retainer of $35,000, plus $3,600 for each Board of Trustees meeting attended in person, $750 for each committee meeting attended and $750 for each Board of Trustees meeting attended telephonically, plus reimbursement of related expenses. In addition, the audit committee chair receives an additional annual retainer of $5,000 and each other committee chair receives an additional annual retainer of $1,250.
These expenses are allocated on a pro-rata basis to each Fund of the Trust according to its respective net assets. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates.
(d) Expense Limitation PIMCO has contractually agreed, until October 31, 2014, to waive a portion of PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund’s Management Fee equal to 0.06% of average daily net assets. Under the Fee Waiver Agreement, PIMCO is entitled to reimbursement by the Fund of any portion of the Management Fees waived, reduced or reimbursed pursuant to the Fee Waiver Agreement (the “Reimbursement Amount”) during the previous three years, provided that such amount paid
June 30, 2014
to PIMCO will not: 1) together with any recoupment of organizational expenses and pro rata Trustees’ fees pursuant to the Expense Limitation Agreement, exceed the expense limit; 2) exceed the total Reimbursement Amount; or 3) include any amounts previously reimbursed to PIMCO. The Fee Waiver Agreement will automatically renew for one-year terms unless PIMCO provides written notice to the Trust at least 30 days prior to the end of the then current term.
PIMCO has contractually agreed, until October 31, 2014, to waive its Management Fee, or reimburse a Fund, to the extent that organizational expenses and pro rata Trustees’ fees, if any, exceed 0.0049% of that Fund’s average net assets. Under the Expense Limitation Agreement, which renews annually for a full year unless terminated by PIMCO upon at least 30 days’ notice prior to the end of the contract term, PIMCO may recoup these waivers and reimbursements in future periods, not exceeding three years, provided organizational expenses and pro rata Trustees’ fees plus such recoupment, do not exceed the Expense Limit. The recoverable amounts to PIMCO at June 30, 2014, were as follows (amounts in thousands):
| | | | | | |
| Fund Name | | | | Recoverable Amounts | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 11 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 2 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 1 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 10 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 10 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 9 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 36 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 40 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 29 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 35 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 53 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 68 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 1 | |
PIMCO Low Duration Bond Exchange-Traded Fund | | | | | 29 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 2 | |
9. RELATED PARTY TRANSACTIONS
The Manager and Distributor are related parties. Fees payable to these parties are disclosed in Note 8 and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
Certain Funds 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 Funds from or to another fund or portfolio that are, or could be, considered 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 of the Act. Further, as defined under the procedures, each transaction is effected at the
current market price. During the period ended June 30, 2014, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):
| | | | | | | | | | |
| Fund Name | | | | Purchases | | | Sales | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | $ | 130,050 | | | $ | 98,638 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 2,932 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 211,106 | | | | 23,295 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 8,246 | | | | 5,495 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 3,880 | | | | 2,963 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 3,846 | | | | 7,644 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 840,609 | | | | 2,844,870 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 2,447 | | | | 108 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 3,609 | | | | 5,256 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 19,230 | | | | 2,027 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 16,580 | | | | 0 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 346,966 | | | | 1,137,482 | |
10. GUARANTEES AND INDEMNIFICATIONS
Under the Trust’s organizational documents, each Trustee or officer of the Trust is indemnified and each employee or other agent of the Trust (including the Trust’s investment manager) may be indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
11. PURCHASES AND SALES OF SECURITIES
The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund 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 involves correspondingly greater expenses to a Fund, 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 trading costs and tax effects associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 129 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2014, were as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | |
| | | | | U.S. Government/Agency | | | | | All Other | |
| Fund Name | | | | Purchases | | | Sales | | | | | Purchases | | | Sales | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 80,475 | | | $ | 78,997 | | | | | $ | 0 | | | $ | 0 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 6,111 | | | | 6,144 | | | | | | 0 | | | | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 22,066 | | | | 21,230 | | | | | | 0 | | | | 0 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 14,275 | | | | 17,095 | | | | | | 0 | | | | 0 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 430,494 | | | | 416,794 | | | | | | 0 | | | | 0 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 37,075 | | | | 37,514 | | | | | | 0 | | | | 0 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 11,747 | | | | 11,155 | | | | | | 0 | | | | 0 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 136,453 | | | | 121,404 | | | | | | 1,076,742 | | | | 868,897 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 5,205 | | | | 5,307 | | | | | | 58,652 | | | | 23,216 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | | | 11,287 | | | | 27,051 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | | | 3,640 | | | | 17,605 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | | | 1,516 | | | | 1,407 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 2,702 | | | | 2,102 | | | | | | 11,648 | | | | 20,207 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 1,400 | | | | 1,200 | | | | | | 60,231 | | | | 20,572 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 3,065,333 | | | | 3,580,356 | | | | | | 3,880,244 | | | | 2,784,911 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 800 | | | | 1,903 | | | | | | 1,815 | | | | 91 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 19,155 | | | | 27,735 | | | | | | 103,035 | | | | 72,245 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 3,700 | | | | 3,701 | | | | | | 42,219 | | | | 22,302 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 2,242,400 | | | | 2,209,298 | | | | | | 135,302 | | | | 27,042 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 5,002 | | | | 4,402 | | | | | | 51,043 | | | | 25,593 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 24,767,047 | | | | 26,925,937 | | | | | | 2,692,103 | | | | 995,340 | |
12. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.
| | | | | | | | | | | | | | |
| | | | | Standard Creation/
Redemption
Transaction Fee* | | | Maximum Additional
Variable Charge for
Cash Creations** | | | Maximum Additional
Variable Charge for
Cash Redemptions** | |
All Funds (except PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund and PIMCO Germany Bond Index Exchange-Traded Fund) | | | | $ | 500 | | | | 3.00 | % | | | 2.00 | % |
PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund and PIMCO Germany Bond Index Exchange-Traded Fund | | | | $ | 1,000 | | | | 3.00 | % | | | 2.00 | % |
| * | Applicable to in-kind contributions or redemptions only. |
| ** | As a percentage of the cash amount invested or received. |
June 30, 2014
13. INVESTMENT TRANSACTIONS
For the period ended June 30, 2014, certain Funds had in-kind contributions and in-kind redemptions as follows (amounts in thousands):
| | | | | | | | | | |
| Fund Name | | | | Contributions | | | Redemptions | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 45,271 | | | $ | 48,009 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 7,764 | | | | 15,656 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 109,602 | | | | 48,322 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 112,586 | | | | 117,299 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 427,336 | | | | 153,153 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 3,008 | | | | 41,965 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 59,876 | | | | 27,452 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 2,734,909 | | | | 267,765 | |
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund | | | | | 30,208 | | | | 10,119 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 9,466 | |
The in-kind contributions and in-kind redemptions in this table may not agree with the Fund Share Transactions on the Statements of Changes in Net Assets. The table represents the accumulation of each Fund’s daily net shareholder transactions while the Statements of Changes in Net Assets reflect gross shareholder transactions including any cash component of the transactions.
14. REGULATORY AND LITIGATION MATTERS
The Trust is not engaged in any material litigation or arbitration proceedings and is not aware of any material litigation or claim pending or threatened by or against it.
15. FEDERAL INCOME TAX MATTERS
Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
In accordance with provisions set forth under U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of June 30, 2014, the Funds 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 Funds file U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ending in 2011-2013, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
As of June 30, 2014, the components of distributable taxable earnings are as follows (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Undistributed
Tax Exempt
Income | | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gains | | | Net Tax Basis
Unrealized
Appreciation/
(Depreciation) (1) | | | Other
Book-to-Tax
Accounting
Differences (2) | | | Accumulated
Capital
Losses (3) | | | Post-October
Deferral (4) | | | Qualified
Late-Year
Loss
Deferral (5) | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 0 | | | $ | 57 | | | $ | 69 | | | $ | 166 | | | $ | (76 | ) | | $ | 0 | | | $ | 0 | | | $ | 0 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 9 | | | | 68 | | | | (62 | ) | | | (46 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 164 | | | | 0 | | | | 532 | | | | (478 | ) | | | (184 | ) | | | (309 | ) | | | 0 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 628 | | | | 0 | | | | (3,051 | ) | | | (13,048 | ) | | | (5,366 | ) | | | (12,420 | ) | | | 0 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 4,457 | | | | 0 | | | | 4,936 | | | | (3,792 | ) | | | (1,718 | ) | | | (268 | ) | | | 0 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 518 | | | | 0 | | | | (4,042 | ) | | | (378 | ) | | | (7,929 | ) | | | 0 | | | | 0 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 375 | | | | 0 | | | | (677 | ) | | | (522 | ) | | | (379 | ) | | | (156 | ) | | | 0 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 31,945 | | | | 6,072 | | | | 68,676 | | | | (14,877 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 759 | | | | 8 | | | | 7,659 | | | | (624 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | (668 | ) | | | (64 | ) | | | (29 | ) | | | (151 | ) | | | (870 | ) |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | (996 | ) | | | (77 | ) | | | 0 | | | | 0 | | | | (544 | ) |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0 | | | | 30 | | | | 17 | | | | 197 | | | | (23 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 0 | | | | 75 | | | | 0 | | | | 1,491 | | | | (564 | ) | | | (948 | ) | | | (419 | ) | | | 0 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 0 | | | | 525 | | | | 0 | | | | 1,333 | | | | (201 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 0 | | | | 5,369 | | | | 505 | | | | 8,011 | | | | (2,264 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 181 | | | | (226 | ) | | | (299 | ) | | | 0 | | | | (192 | ) |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 0 | | | | 6,144 | | | | 0 | | | | (2,718 | ) | | | (4,502 | ) | | | (1,700 | ) | | | (395 | ) | | | 0 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 131 |
Notes to Financial Statements (Cont.)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Undistributed
Tax Exempt
Income | | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gains | | | Net Tax Basis
Unrealized
Appreciation/
(Depreciation) (1) | | | Other
Book-to-Tax
Accounting
Differences (2) | | | Accumulated
Capital
Losses (3) | | | Post-October
Deferral (4) | | | Qualified
Late-Year
Loss
Deferral (5) | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | $ | 288 | | | $ | 0 | | | $ | 0 | | | $ | 5,371 | | | $ | (358 | ) | | $ | (1,819 | ) | | $ | (29 | ) | | $ | 0 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 0 | | | | 145 | | | | 0 | | | | 207 | | | | (91 | ) | | | 0 | | | | 0 | | | | 0 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 76 | | | | 0 | | | | 0 | | | | 424 | | | | (94 | ) | | | (182 | ) | | | 0 | | | | 0 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 0 | | | | 10,919 | | | | 0 | | | | 135,638 | | | | (23,545 | ) | | | (56,372 | ) | | | (33,208 | ) | | | 0 | |
| (1) | Adjusted for open wash sale loss deferrals for federal income tax purposes. |
| (2) | 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. |
| (3) | Capital losses available to offset future net capital gains expire in varying amounts in the years shown below. |
| (4) | Capital losses realized during the period November 1, 2013 through June 30, 2014 which the Fund elected to defer to the following taxable year pursuant to federal income tax regulations. |
| (5) | Specified losses realized during the period November 1, 2013 through June 30, 2014 and Ordinary losses realized during the period January 1, 2014 through June 30, 2014, which the Fund elected to defer to the following taxable year pursuant to income tax regulations. |
As of June 30, 2014, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Expiration Year of Accumulated Capital Losses (amounts in thousands) | |
| | | | | 2015 | | | 2016 | | | 2017 | | | 2018 | | | 2019 | | | 2020 | | | 2021 | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 363 | | | | 0 | | | | 0 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
June 30, 2014
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new losses for an unlimited period. Additionally, such capital losses that are carried over retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law. As of June 30, 2014, the Funds had the following post-effective capital losses with no expiration:
| | | | | | | | | | |
| | | | | Short-Term | | | Long-Term | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 0 | | | $ | 0 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 41 | | | | 143 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 4,932 | | | | 71 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 1,718 | | | | 0 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 3,847 | | | | 4,082 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 301 | | | | 78 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 29 | | | | 0 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 889 | | | | 59 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 119 | | | | 180 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 1,700 | | | | 0 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 1,147 | | | | 672 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 0 | | | | 0 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 182 | | | | 0 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 43,673 | | | | 12,699 | |
As of June 30, 2014, 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) (6) | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 127,160 | | | $ | 189 | | | $ | (23 | ) | | $ | 166 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 13,316 | | | | 42 | | | | (104 | ) | | | (62 | ) |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 72,980 | | | | 560 | | | | (27 | ) | | | 533 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 80,547 | | | | 1,241 | | | | (4,292 | ) | | | (3,051 | ) |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 1,325,747 | | | | 6,120 | | | | (1,183 | ) | | | 4,937 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 73,217 | | | | 356 | | | | (4,398 | ) | | | (4,042 | ) |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 107,142 | | | | 223 | | | | (900 | ) | | | (677 | ) |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 5,070,737 | | | | 86,337 | | | | (25,164 | ) | | | 61,173 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 189,656 | | | | 8,072 | | | | (413 | ) | | | 7,659 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 23,527 | | | | 349 | | | | (1,023 | ) | | | (674 | ) |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 18,229 | | | | 62 | | | | (1,068 | ) | | | (1,006 | ) |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 2,985 | | | | 198 | | | | (1 | ) | | | 197 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 21,908 | | | | 1,531 | | | | (40 | ) | | | 1,491 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 42,034 | | | | 1,366 | | | | (34 | ) | | | 1,332 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 3,852,465 | | | | 12,209 | | | | (4,198 | ) | | | 8,011 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 21,126 | | | | 174 | | | | (17 | ) | | | 157 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 154,876 | | | | 3,817 | | | | (6,575 | ) | | | (2,758 | ) |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 205,944 | | | | 5,854 | | | | (483 | ) | | | 5,371 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 159,494 | | | | 277 | | | | (72 | ) | | | 205 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 76,300 | | | | 512 | | | | (87 | ) | | | 425 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 4,160,204 | | | | 148,821 | | | | (13,349 | ) | | | 135,472 | |
| (6) | Primary differences between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals and straddle loss deferral on foreign currency contracts for federal income tax purposes. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 133 |
Notes to Financial Statements (Cont.)
June 30, 2014
For the fiscal years ended June 30, 2014 and June 30, 2013, respectively, the Funds made the following tax basis distributions (amounts in thousands):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | June 30, 2014 | | | | | June 30, 2013 | |
| | | | | Tax-Exempt
Income
Distributions | | | Ordinary
Income
Distributions (7) | | | Long-Term
Capital Gain
Distributions | | | Return of
Capital (8) | | | | | Tax-Exempt
Income
Distributions | | | Ordinary
Income
Distributions (7) | | | Long-Term
Capital Gain
Distributions | | | Return of
Capital (8) | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 0 | | | $ | 408 | | | $ | 68 | | | $ | 0 | | | | | $ | 0 | | | $ | 400 | | | $ | 345 | | | $ | 0 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 183 | | | | 41 | | | | 0 | | | | | | 0 | | | | 308 | | | | 148 | | | | 0 | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 891 | | | | 0 | | | | 0 | | | | | | 0 | | | | 346 | | | | 132 | | | | 0 | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | 0 | | | | 2,765 | | | | 0 | | | | 0 | | | | | | 0 | | | | 3,075 | | | | 0 | | | | 0 | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 7,653 | | | | 0 | | | | 0 | | | | | | 0 | | | | 1,381 | | | | 552 | | | | 0 | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 1,698 | | | | 0 | | | | 0 | | | | | | 0 | | | | 819 | | | | 0 | | | | 0 | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 0 | | | | 933 | | | | 0 | | | | 0 | | | | | | 0 | | | | 681 | | | | 10 | | | | 0 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 176,989 | | | | 1,839 | | | | 0 | | | | | | 0 | | | | 50,883 | | | | 0 | | | | 0 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 0 | | | | 8,243 | | | | 3,451 | | | | 0 | | | | | | 0 | | | | 8,400 | | | | 307 | | | | 0 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | 0 | | | | 1,268 | | | | 34 | | | | 16 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 0 | | | | 214 | | | | 19 | | | | 0 | | | | | | 0 | | | | 669 | | | | 0 | | | | 0 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 0 | | | | 39 | | | | 4 | | | | 0 | | | | | | 0 | | | | 22 | | | | 3 | | | | 0 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 0 | | | | 903 | | | | 868 | | | | 0 | | | | | | 0 | | | | 2,272 | | | | 563 | | | | 0 | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 0 | | | | 568 | | | | 0 | | | | 0 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 0 | | | | 31,339 | | | | 1,042 | | | | 0 | | | | | | 0 | | | | 21,767 | | | | 0 | | | | 0 | |
PIMCO Foreign Currency Strategy Exchange-Traded Fund | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 0 | | | | 1,337 | | | | 25 | | | | 0 | | | | | | 0 | | | | 1,002 | | | | 0 | | | | 0 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 4,020 | | | | 6 | | | | 0 | | | | 0 | | | | | | 4,404 | | | | 175 | | | | 93 | | | | 0 | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 0 | | | | 138 | | | | 0 | | | | 0 | | | | | | 0 | | | | 0 | | | | 0 | | | | 0 | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 332 | | | | 0 | | | | 0 | | | | 0 | | | | | | 498 | | | | 0 | | | | 5 | | | | 0 | |
PIMCO Total Return Exchange-Traded Fund | | | | | 0 | | | | 75,855 | | | | 0 | | | | 0 | | | | | | 0 | | | | 114,863 | | | | 0 | | | | 0 | |
| (7) | Includes short-term capital gains, if any, distributed. |
| (8) | Portion of distributions made that represents a tax return of capital. Return of capital distribution have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
16. SUBSEQUENT EVENTS
On August 13, 2014, the Board approved the liquidation of PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund and PIMCO Build America Bond Index Exchange-Traded Fund. The liquidation of the Funds is expected to occur later this calendar year.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the PIMCO ETF Trust:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 25+Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund, PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund, PIMCO Build America Bond Exchange-Traded Fund, PIMCO Diversified Income Exchange-Traded Fund, PIMCO Enhanced Short Maturity Exchange-Traded Fund, PIMCO Foreign Currency Strategy Exchange-Traded Fund, PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Exchange-Traded Fund, PIMCO Low Duration Exchange-Traded Fund, PIMCO Short Term Municipal Bond Exchange-Traded Fund, and PIMCO Total Return Exchange-Traded Fund (constituting PIMCO ETF Trust, hereafter referred to as the “Funds”) at June 30, 2014, the results of each of their operations, the changes in each of their net assets, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Kansas City, Missouri
August 15, 2014
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 135 |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
| | | | | | | | | | |
| | | | |
| Counterparty Abbreviations: | | | | | | | | |
| AZD | | Australia and New Zealand Banking Group | | DEU | | Deutsche Bank Securities, Inc. | | RBC | | Royal Bank of Canada |
| BCY | | Barclays Capital, Inc. | | DUB | | Deutsche Bank AG | | SCX | | Standard Chartered Bank |
| BOA | | Bank of America N.A. | | FBF | | Credit Suisse International | | SOG | | Societe Generale |
| BOS | | Banc of America Securities LLC | | GLM | �� | Goldman Sachs Bank USA | | SSB | | State Street Bank and Trust Co. |
| BPG | | BNP Paribas Securities Corp. | | HUS | | HSBC Bank USA N.A. | | TDM | | TD Securities (USA) LLC |
| BPS | | BNP Paribas S.A. | | JPM | | JPMorgan Chase Bank N.A. | | UAG | | UBS AG Stamford |
| BRC | | Barclays Bank PLC | | JPS | | JPMorgan Securities, Inc. | | UBS | | UBS Securities LLC |
| BSN | | Bank of Nova Scotia | | MSC | | Morgan Stanley & Co., Inc. | | ULW | | UBS Ltd. |
| CBK | | Citibank N.A. | | NAB | | National Australia Bank Ltd. | | | | |
| | | | |
| Currency Abbreviations: | | | | | | | | |
| AUD | | Australian Dollar | | GBP | | British Pound | | NOK | | Norwegian Krone |
| BRL | | Brazilian Real | | HKD | | Hong Kong Dollar | | NZD | | New Zealand Dollar |
| CAD | | Canadian Dollar | | IDR | | Indonesian Rupiah | | PLN | | Polish Zloty |
| CHF | | Swiss Franc | | ILS | | Israeli Shekel | | RUB | | Russian Ruble |
| CLP | | Chilean Peso | | INR | | Indian Rupee | | SEK | | Swedish Krona |
| CNY | | Chinese Renminbi | | JPY | | Japanese Yen | | TRY | | Turkish New Lira |
| COP | | Colombian Peso | | KRW | | South Korean Won | | USD (or $) | | United States Dollar |
| DKK | | Danish Krone | | MXN | | Mexican Peso | | ZAR | | South African Rand |
| EUR | | Euro | | MYR | | Malaysian Ringgit | | | | |
| | | | |
| Index Abbreviations: | | | | | | | | |
| CDX.HY | | Credit Derivatives Index - High Yield | | | | | | | | |
| | | | |
| Municipal Bond or Agency Abbreviations: | | | | | | | | |
| AGM | | Assured Guaranty Municipal | | FHA | | Federal Housing Administration | | NPFGC | | National Public Finance Guarantee Corp. |
| AMBAC | | American Municipal Bond Assurance Corp. | | GTD | | Guaranteed | | PSF | | Public School Fund |
| FGIC | | Financial Guaranty Insurance Co. | | | | | | | | |
| | | | |
| Other Abbreviations: | | | | | | | | |
| ABS | | Asset-Backed Security | | BABs | | Build America Bonds | | JSC | | Joint Stock Company |
| ADR | | American Depositary Receipt | | FDIC | | Federal Deposit Insurance Corp. | | PIK | | Payment-in-Kind |
| ALT | | Alternate Loan Trust | | | | | | | | |
Federal Income Tax Information
(Unaudited)
Exempt Interest Dividends. Pursuant to Section 852(b)(5) of the Internal Revenue Code, the Funds below designated the following percentages of income dividends paid as exempt interest dividends for the fiscal year ended June 30, 2014:
| | | | | | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 100 | % |
PIMCO Short-Term Municipal Bond Exchange-Traded Fund | | | | | 100 | % |
Long Term Capital Gains Designations. Pursuant to Section 852(b)(3) of the Internal Revenue Code, the Funds designated the following amounts as capital gains dividends for the fiscal year ended June 30, 2013:
| | | | | | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 68,044 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 40,503 | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 1,839,292 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 3,451,054 | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | 19,180 | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 867,611 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | 3,621 | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 1,042,308 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 25,241 | |
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 June 30, 2014 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 June 30, 2014 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.
| | | | | | | | | | |
| | | | | Qualified
Interest Income | | | Qualified
Short-Term
Capital Gain | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | | | | $ | 406,410 | | | $ | 1,484 | |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 183,233 | | | | — | |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund | | | | | 891,270 | | | | — | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | | | | | — | | | | — | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | | | | | 7,652,700 | | | | — | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | | | | | 1,345,524 | | | | — | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | | | | | 772,147 | | | | — | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | | | | | 170,299,000 | | | | 6,689,823 | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | | | | | 5,511,750 | | | | 2,731,015 | |
PIMCO Australia Bond Index Exchange-Traded Fund | | | | | — | | | | — | |
PIMCO Canada Bond Index Exchange-Traded Fund | | | | | — | | | | 2,718 | |
PIMCO Germany Bond Index Exchange-Traded Fund | | | | | — | | | | — | |
PIMCO Build America Bond Exchange-Traded Fund | | | | | 902,920 | | | | — | |
PIMCO Diversified Income Exchange-Traded Fund | | | | | 567,600 | | | | — | |
PIMCO Enhanced Short Maturity Exchange-Traded Fund | | | | | 26,776,670 | | | | 4,561,548 | |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund | | | | | 298,663 | | | | 405,508 | |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund | | | | | 42,354 | | | | — | |
PIMCO Low Duration Exchange-Traded Fund | | | | | 137,930 | | | | — | |
PIMCO Short Term Municipal Bond Exchange-Traded Fund | | | | | 13,031 | | | | — | |
PIMCO Total Return Exchange-Traded Fund | | | | | 60,989,050 | | | | 14,865,876 | |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 137 |
Management of the Trust
The chart below identifies the Trustees and Officers of the Trust. Each “interested” Trustee as defined by the 1940 Act, is indicated by an asterisk (*). Unless otherwise indicated, the address of all persons below is 650 Newport Center Drive, Newport Beach, CA 92660.
The Funds’ Statement of Additional Information includes more information about the Trustees and Officers. To request a free copy, call PIMCO at (888) 400-4ETF or visit the Funds’ website at www.pimcoetfs.com.
| | | | | | | | |
Name, Year of Birth and
Position Held with Trust | | Term of Office**
and 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 |
| | | | |
Interested Trustees | | | | | | | | |
| | | | |
| Brent R. Harris* (1959) Chairman of the Board and Trustee | | 08/1997 to Present | | Managing Director and member of Executive Committee, PIMCO. | | 175 | | Chairman and Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT; Director, StocksPLUS® Management, Inc.; Director, Applied Natural Gas Fuels, Inc. and member of Board of Governors, Investment Company Institute. Board Member and Owner, Harris Holdings, LLC (1992-present); Director, Applied Natural Gas Fuels, Inc. (2012-present) |
| | | | |
Douglas M. Hodge* (1957) Trustee | | 02/2010 to Present | | Managing Director, Chief Executive Officer, PIMCO (since 2/14) and Chief Operating Officer, PIMCO (7/09-2/14); Member of Executive Committee and Head of PIMCO’s Asia Pacific region. Member Global Executive Committee, Allianz Asset Management. | | 167 | | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. |
| | | | |
Independent Trustees | | | | | | | | |
| | | | |
| E. Philip Cannon (1940) Trustee | | 05/2000 to Present | | Private Investor. Formerly, President, Houston Zoo. | | 175 | | Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Trustee Allianz Funds (formerly, PIMCO Funds: Multi-Manager Series). |
| | | | |
| Vern O. Curtis (1934) Trustee | | 08/1997 to Present | | Private Investor. | | 167 | | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. |
| | | | |
J. Michael Hagan (1939) Trustee | | 05/2000 to Present | | Private Investor and Business Advisor (primarily to manufacturing companies). | | 167 | | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. |
| | | | |
Ronald C. Parker (1951) Trustee | | 07/2009 to Present | | Director of Roseburg Forest Products Company. Formerly Chairman of the Board, The Ford Family Foundation. Formerly President, Chief Executive Officer, Hampton Affiliates (forestry products) | | 167 | | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. |
| * | Mr. Harris and Mr. Hodge are “interested persons” of the Trust (as that term is defined in the 1940 Act) because of their affiliation with PIMCO. |
| ** | Trustees serve until their successors are duly elected and qualified |
(Unaudited)
Executive Officers
| | | | |
Name, Year of Birth and
Position Held with Trust | | Term of Office and
Length of Time Served | | Principal Occupation(s) During Past 5 Years |
| | |
Brent R. Harris (1959) President | | 03/2009 to Present | | Managing Director and member of Executive Committee, PIMCO. |
| | |
David C. Flattum (1964) Chief Legal Officer | | 11/2006 to Present | | Managing Director and General Counsel, PIMCO. Formerly, Managing Director, Chief Operating Officer and General Counsel, Allianz Asset Management of America L.P. and Partner at Latham & Watkins LLP. |
| | |
Jennifer E. Durham (1970) Chief Compliance Officer | | 07/2004 to Present | | Managing Director, PIMCO. |
| | |
William H. Gross (1944) Senior Vice President | | 08/1997 to Present | | Managing Director and Chief Investment Officer, PIMCO. |
| | |
Douglas M. Hodge (1957) Senior Vice President | | 05/2010 to Present | | Managing Director; Chief Executive Officer, PIMCO (since 2/14) and Chief Operating Officer, PIMCO (7/09-2/14); Member of Executive Committee and Head of PIMCO’s Asia Pacific region. Member Global Executive Committee, Allianz Asset Management. |
| | |
Peter G. Strelow (1970) Senior Vice President | | 11/2013 to Present Vice President 05/2008 to 11/2013 | | Managing Director, PIMCO. |
| | |
William G. Galipeau (1974) Vice President | | 11/2013 to Present | | Senior Vice President, PIMCO. |
| | |
Eric D. Johnson (1970) Vice President | | 05/2011 to Present | | Executive Vice President, PIMCO. |
| | |
Henrik P. Larsen (1970) Vice President | | 02/1999 to Present | | Senior Vice President, PIMCO. |
| | |
Greggory S. Wolf (1970) Vice President | | 05/2011 to Present | | Senior Vice President, PIMCO. |
| | |
Donald W. Suskind (1973) Vice President | | 05/2009 to Present | | Senior Vice President, PIMCO. |
| | |
Kevin M. Broadwater (1964) Vice President - Senior Counsel | | 05/2012 to Present | | Executive Vice President and Attorney, PIMCO. |
| | |
Joshua D. Ratner (1976) Vice President - Senior Counsel Secretary | | 11/2013 to Present Assistant Secretary 10/2007 to 01/2011 | | Senior Vice President and Attorney, PIMCO. |
| | |
Ryan G. Leshaw (1980) Assistant Secretary | | 05/2012 to Present | | Vice President and Attorney, PIMCO. Formerly, Associate, Willkie Farr & Gallagher LLP. |
| | |
Trent W. Walker (1974) Treasurer | | 11/2013 to Present Assistant Treasurer 05/2007 to 11/2013 | | Senior Vice President, PIMCO. |
| | |
Stacie D. Anctil (1969) Assistant Treasurer | | 11/2003 to Present | | Senior Vice President, PIMCO. |
| | |
Erik C. Brown (1967) Assistant Treasurer | | 02/2001 to Present | | Senior Vice President, PIMCO. |
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 139 |
Privacy Policy
(Unaudited)
The Funds1 consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of its current, prospective and former shareholders’ personal information. The Funds 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 Funds and certain service providers to the Funds, such as the Funds’ investment 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 the Funds’ internet websites.
Respecting Your Privacy
As a matter of policy, the Funds do not disclose any personal or account information provided by shareholders or gathered by the Funds 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 Funds. 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 Funds’ distributor may also retain non-affiliated companies to market the Funds’ shares or products which use the Funds’ 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 Funds 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 Funds reserve the right to disclose or report personal information to non-affiliated third parties in limited circumstances where the Funds believe in good faith that disclosure is required under law, to cooperate with regulators or law enforcement authorities, to protect its rights or property, or upon reasonable request by any investment fund managed by the Adviser in which a shareholder has invested. In addition, the Funds may disclose information about 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 Funds may share shareholder information with its affiliates in connection with servicing shareholders’ accounts, and subject to applicable law may provide shareholders with information about products and services that the Funds or their Adviser, distributors or their affiliates (“Service Affiliates”) believe may be of interest to such shareholders. The information that the Funds may share may include, for example, a shareholder’s participation in the Funds 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 Funds’ experiences or transactions with a shareholder, information captured on the Funds’ internet websites, or other data about a shareholder’s accounts, subject to applicable law. The Funds’ 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 Funds take seriously the obligation to safeguard shareholder non-public personal information. In addition to this policy, the Funds 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.
1 When distributing this Policy, a Fund 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 Funds”).
Approval of Investment Management Agreement
(Unaudited)
Approval of the Investment Management Agreement for the PIMCO Diversified Income Exchange-Traded Fund and PIMCO Low Duration Exchange-Traded Fund
On February 25, 2013, the Board of Trustees (the “Board”) of PIMCO ETF Trust (the “Trust”), including all of the independent Trustees (the “Independent Trustees”), approved the Trust’s Investment Management Agreement (the “Agreement”) with Pacific Investment Management Company LLC (“PIMCO”) on behalf of the PIMCO Diversified Income Exchange-Traded Fund and PIMCO Low Duration Exchange-Traded Fund (each a “New Fund” and collectively, the “New Funds”) for an initial two-year term. Under the Agreement, PIMCO provides investment advisory services, as well as supervisory and administrative services, to each New Fund for a single management fee (“unified fee”).
The information, material factors and conclusions that formed the basis for the Board’s approval of the Agreement are described below.
(a) Materials Reviewed: The Trustees received a wide variety of materials relating to the services proposed to be provided by PIMCO, both in connection with the New Funds’ meeting and the August 13-14, 2012 meeting at which the Trustees considered the renewal of the Agreement between PIMCO and the existing series of the Trust. The Board reviewed information relating to proposed fund operations, including the New Funds’ compliance program, shareholder services, valuation, custody, distribution, and other information relating to the nature, extent and quality of services proposed to be provided by PIMCO.1 In considering whether or not to approve the Agreement, the Board also reviewed comparative industry data with regard to fees and expenses of funds with investment objectives and policies similar to those of the New Fund.2 The Board also reviewed material provided by counsel to the Trust and the Independent Trustees, which included, among other things, a memorandum outlining legal duties of the Board.3 The Board also reviewed information about the personnel who would be providing investment management services and supervisory and administrative services to the New Fund.4
(b) Review Process: In connection with the approval of the Agreement, the Board reviewed written materials prepared by PIMCO, which included, among other things, comparative fee data prepared at the Board’s request by Lipper, Inc. (“Lipper”), an
1 Memorandum from Pacific Investment Management Company LLC to PIMCO ETF Trust Board of Trustees regarding Approval of the Investment Management Agreement (February 13, 2013) (the “Proposal Memorandum”).
2 Lipper Comparative Fund Analysis included in the materials provided to the Board in connection with the Organizational Meeting of the Board of PIMCO ETF Trust held on February 25, 2013 (“Lipper Report”).
3 Memorandum from Dechert LLP to the Trustees of the PIMCO ETF Trust, regarding Duties and Standards of Review in Connection with the Approval of the Investment Management Agreement (February 5, 2013) (the “Gartenberg Memo”).
4 Proposal Memorandum.
independent provider of investment company performance and fee and expense data.5 The Board also requested and received assistance and advice regarding applicable legal standards from Trust counsel.6 The Board also heard oral presentations on matters related to the Agreement.7 The approval determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. In deciding to approve the Agreement, the Board did not identify any single factor or particular information that, in isolation, was controlling. This summary describes the most important, but not all, of the factors considered by the Board.
| 2. | NATURE, EXTENT AND QUALITY OF SERVICES |
(a) PIMCO, its Personnel, and Resources: The Board considered the depth and quality of PIMCO’s investment management process, including: its global research capabilities; the experience, capability and integrity of its senior management and other personnel; the turnover rates of its key personnel; the overall financial strength and stability of its organization; and the ability of its organizational structure to address the recent growth in assets under management.8 The Board also considered that PIMCO makes available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, performance and portfolio accounting.9 The Board noted PIMCO’s commitment to investing in information technology supporting investment management and compliance, as well as PIMCO’s continuing efforts to attract and retain qualified personnel and to maintain and enhance its resources and systems.10 The Board considered PIMCO’s policies, procedures and systems to assure compliance with applicable laws and regulations and its commitment to these programs; its efforts to keep the Trustees informed about matters relevant to the New Funds and their shareholders; and its attention to matters that may involve conflicts of interest between the New Funds’ investments and those of other accounts.11 Ultimately, the Board concluded that the nature, extent and quality of services proposed to be provided by PIMCO under the Agreement are likely to benefit the New Funds and their shareholders.
(b) Other Services: The Board considered the nature, extent, and quality of supervisory and administrative services to be provided by PIMCO to the New Funds under the Agreement. The Board
5 Lipper Report.
6 Gartenberg Memo.
7 Minutes of the Organizational Meeting of the Board of Trustees of PIMCO ETF Trust held on February 25, 2013 (the “Organizational Minutes”).
8 Id.
9 Id.
10 Id.
11 Id.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 141 |
Approval of Investment Management Agreement (Cont.)
considered PIMCO’s provision of these services and supervision of the Trust’s third party service providers to assure that these service providers continue to provide a high level of service relative to alternatives in the market.12 Ultimately, the Board concluded that the nature, extent and quality of the services to be provided by PIMCO would likely benefit the New Funds and their shareholders.
As the New Funds had not yet commenced operations at the time the Agreement was considered, the Trustees did not receive nor consider investment performance information for the New Funds.
| 4. | MANAGEMENT FEE AND TOTAL EXPENSES |
PIMCO reported to the Board that, in proposing the management fee for each New Fund, it considers a number of factors, including the type and complexity of the services to be provided, the cost of providing services, the risk assumed by PIMCO in the provision of services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products, and the attractiveness of potential returns to prospective investors in the New Funds.13 Fees proposed for the New Funds for investment management services and supervisory and administrative services may vary in light of these various factors.
The Board reviewed the proposed management fee and estimated total expenses of each New Fund (as a percentage of average net assets) and compared such amounts with the average and median fee and expense levels of other similar funds.14 With respect to the management fee, the Board reviewed data from Lipper that compared the average and median management fees of other funds in an “Expense Group” of comparable funds, as well as the universe of other similar funds.15 The Board compared each New Fund’s estimated total expenses to other funds in the Lipper Expense Group, and found the New Fund’s estimated total expenses to be reasonable.16
The Board considered the management fees charged to other products managed by PIMCO with investment strategies similar to each New Fund’s investment strategies.17 The Board also considered each New Fund’s unified fee structure, under which the New Fund would pay for the advisory and supervisory and administrative services it requires for a unified fee, and in return, PIMCO would provide or procure such services and bear the costs of various third party services required by the New Fund, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs, as well as the costs of qualifying and listing New Fund shares with any securities exchange or other trading system.18 The Board considered
12 Id.
13 Organizational Minutes.
14 Proposal Memorandum; Lipper Report.
15 Id.
16 Id.
17 Organizational Minutes.
18 Id.
that the unified fee leads to fund fees that are fixed, rather than variable, and that the fixed fees were viewed by many in the industry as a positive attribute of the New Funds.19 The Board concluded that each New Fund’s proposed fees were reasonable in relation to the value of the services to be provided, and that the unified fee represents, in effect, a cap on fund fees that would be beneficial to the New Fund and its shareholders.
The Board also noted that PIMCO had contractually agreed to reduce total annual fund operating expenses for each New Fund by waiving a portion of its management fee or reimbursing the New Fund, to the extent that any organizational expenses and the pro rata share of the Trustees’ fees attributable to the New Fund exceeds 0.49 basis points in any year.20
Based on the information presented by PIMCO and Lipper, members of the Board then determined, in the exercise of their business judgment, that the level of the management fee to be charged by PIMCO, as well as the estimated total expenses of each New Fund, are reasonable and approval of the Agreement would likely benefit the New Fund and its shareholders.
| 5. | ADVISER COSTS, LEVEL OF PROFITS AND ECONOMIES OF SCALE |
As the New Funds are newly organized, information regarding PIMCO’s costs in providing services to the New Funds and the profitability of PIMCO’s relationship with the New Funds was not available.
With respect to potential economies of scale, the Board noted that the unified fee structure implicitly reflects economies of scale by fixing the absolute level of fees for each New Fund at competitive levels, in effect, setting the fees as if each New Fund was already at scale.21
The Board concluded that each New Fund’s proposed cost structure was reasonable and that the unified fee structure inherently involves the sharing of economies of scale between PIMCO and the New Fund, to the benefit of New Fund shareholders.
The Board considered other benefits received by PIMCO and its affiliates as a result of PIMCO’s relationship with the Trust, including possible ancillary benefits to PIMCO’s institutional investment management business due to the reputation and market penetration of the Trust.22 The Board also reviewed PIMCO’s soft dollar policies and procedures, noting that while PIMCO has the authority to receive the benefit of research provided by broker-dealers executing portfolio transactions on behalf of the New Funds, it has adopted a policy not to enter into contractual soft dollar arrangements.23
19 Id.
20 Term sheet for New Fund in Proposal Memorandum.
21 Organizational Minutes.
22 Section E.8 of Renewal Proposal Memorandum.
23 Exhibit 7 of Supplemental 15(c) Materials.
(Unaudited)
Based on its review, including its consideration of each of the factors referred to above, the Board concluded that the nature, extent and quality of the services to be rendered to each New Fund by PIMCO supported the approval of the Agreement. The Board concluded that the Agreement was fair and reasonable to each New Fund and its shareholders, that the New Fund’s shareholders would likely receive reasonable value in return for the advisory fees and other amounts paid to PIMCO by the New Fund, and that the approval of the Agreement was in the best interests of the New Fund and its shareholders.
| | | | | | |
| | ANNUAL REPORT | | JUNE 30, 2014 | | 143 |
General Information
Investment Manager
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
Kansas City, MO 64105
Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Legal Counsel
Dechert LLP
1900 K Street N.W.
Washington, D.C. 20006
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 the PIMCO ETF Trust.
Sign up for e-delivery
To get future shareholder reports online and to eliminate mailings, go to: pimcoetfs.com/edelivery
pimcoetfs.com
ETF3001AR_063014
| | | | | | | | |
| |
Item 2. | | Code of Ethics. |
| |
| | 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 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 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 Ronald C. Parker, who serves on the Board’s audit 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. Parker is “independent” as such term is interpreted under this Item 3. |
| |
Item 4. | | Principal Accountant Fees and Services. |
| | | |
| | (a) Fiscal Year Ended | | | Audit Fees | | | |
| | June 30, 2014 | | $ | 467,556 | | | |
| | June 30, 2013 | | $ | 438,780 | | | |
| | | |
| | (b) Fiscal Year Ended | | | Audit-Related Fees | | | |
| | June 30, 2014 | | $ | 412,340 | | | |
| | June 30, 2013 | | $ | 4,500 | | | |
| | | |
| | (c) Fiscal Year Ended | | | Tax Fees(1) | | | |
| | June 30, 2014 | | | — | | | |
| | June 30, 2013 | | | — | | | |
| | | |
| | (d) Fiscal Year Ended | | | All Other Fees(2) | | | |
| | June 30, 2014 | | | — | | | |
| | June 30, 2013 | | | — | | | |
| |
| | “Audit Fees” represents fees billed for each of the last two fiscal years for professional services rendered for the audit of the PIMCO ETF Trust (the “Trust” or “Registrant”) 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 reasonably related to the performance of the audit of the Trust’s annual financial statements for those 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 review of federal and state income tax returns, review of excise tax distribution requirements and preparation of excise tax returns. “All Other Fees” represents fees, if any, billed for other products and services rendered by the principal accountant to the Trust for the last two fiscal years. (1) There were no “Tax Fees” for the last two fiscal years. (2) There were no “All Other Fees” for the last two fiscal years. (e) Pre-approval policies and procedures (1) The Registrant’s Audit Committee has adopted pre-approval policies and procedures (the “Procedures”) to govern the Audit 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 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 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 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 Committee if it is to be provided by the independent accountant. The Procedures also permit the Audit 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 Committee, subject to the ratification by the full Audit 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 Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. f) Not applicable. g) |
| | | | | | | | |
| Entity | | Aggregate Non-Audit Fees Billed to
Entity | |
| | | June 30, 2014 | | | June 30, 2013 | |
PIMCO ETF Trust | | $ | 412,340 | | | $ | 4,500 | |
Pacific Investment Management Company LLC (“PIMCO”) | | | 6,674,889 | | | | 5,051,773 | |
Allianz Global Investors Fund Management LLC | | | 1,210,657 | | | | 650,655 | |
Allianz Asset Management of America L.P. | | | 4,621,625 | | | | 4,771,197 | |
| | | | | | | | |
Totals | | $ | 12,511,671 | | | $ | 10,484,125 | |
| | | | | | | | |
| | h) | The Registrant’s Audit 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: E. Philip Cannon; Vern O. Curtis; J. Michael Hagan; Ronald C. Parker; |
| |
Item 6. | | Schedule of Investments. |
| |
| | The Schedule of Investments is included as part of the report 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 Purchases. |
| |
| | Not applicable. |
| |
Item 10. | | Submission of Matters to a Vote of Security Holders. |
| |
| | Not applicable. |
| | | | | | |
| |
Item 11. | | Controls and Procedures. |
| | |
| | (a) | | The principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“1940 Act”)) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report. |
| | |
| | (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) 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. | | Exhibits. | | |
| | |
| | (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 ETF Trust |
| |
| By: | | /s/ BRENT R. HARRIS |
| | Brent R. Harris |
| | President and Chairman of the Board, Principal Executive Officer |
| |
| | Date: August 28, 2014 |
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/ BRENT R. HARRIS |
| | Brent R. Harris |
| | President and Chairman of the Board, Principal Executive Officer |
| |
| | Date: August 28, 2014 |
| |
| By: | | /s/ TRENT W. WALKER |
| | Trent W. Walker |
| | Treasurer, Principal Financial Officer |
| |
| | Date: August 26, 2014 |
