Schedule of Investments PIMCO StocksPLUS® Global Portfolio | September 30, 2019 (Unaudited) |
(AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)
PRINCIPAL AMOUNT (000s) | MARKET VALUE (000s) | ||||
INVESTMENTS IN SECURITIES 68.6% ¤ | |||||
ASSET-BACKED SECURITIES 7.1% | |||||
CANADA 0.2% | |||||
CARDS Trust 3.047% due 04/17/2023 | $ | 400 | $ | 402 | |
Total Canada | 402 | ||||
CAYMAN ISLANDS 4.4% | |||||
Apex Credit CLO Ltd. 3.306% due 10/27/2028 • | 700 | 702 | |||
Barings BDC Static CLO Ltd. 3.323% due 04/15/2027 • | 780 | 780 | |||
BSPRT Issuer Ltd. 3.245% due 03/15/2028 | 600 | 601 | |||
CIFC Funding Ltd. 3.083% due 04/15/2027 • | 595 | 593 | |||
Crown Point CLO Ltd. 3.448% due 10/20/2028 • | 300 | 300 | |||
Gallatin CLO Ltd. 3.328% due 01/21/2028 • | 1,000 | 999 | |||
Halcyon Loan Advisors Funding Ltd. 3.198% due 04/20/2027 • | 750 | 751 | |||
Jamestown CLO Ltd. | |||||
3.173% due 01/15/2028 • | 800 | 800 | |||
3.523% due 01/17/2027 • | 689 | 691 | |||
Neuberger Berman CLO Ltd. 3.103% due 07/15/2027 • | 600 | 600 | |||
Octagon Investment Partners Ltd. 3.403% due 04/15/2026 • | 299 | 300 | |||
OFSI Fund Ltd. 2.953% due 03/20/2025 • | 66 | 66 | |||
Staniford Street CLO Ltd. 3.299% due 06/15/2025 • | 130 | 130 | |||
Tralee CLO Ltd. 3.308% due 10/20/2027 • | 1,200 | 1,200 | |||
Venture CLO Ltd. | |||||
3.153% due 01/15/2028 • | 600 | 600 | |||
3.183% due 07/15/2027 • | 1,200 | 1,201 | |||
Voya CLO Ltd. 2.996% due 07/25/2026 • | 331 | 331 | |||
WhiteHorse Ltd. 3.463% due 07/17/2026 • | 455 | 455 | |||
Total Cayman Islands | 11,100 | ||||
UNITED STATES 2.5% | |||||
Credit Acceptance Auto Loan Trust 3.550% due 08/15/2027 | 1,400 | 1,427 | |||
Exeter Automobile Receivables Trust 3.200% due 04/15/2022 | 913 | 916 | |||
GLS Auto Receivables Issuer Trust 3.060% due 04/17/2023 | 991 | 997 | |||
OneMain Direct Auto Receivables Trust 2.310% due 12/14/2021 | 251 | 250 | |||
SLC Student Loan Trust 3.007% due 11/25/2042 • | 847 | 854 | |||
SoFi Consumer Loan Program LLC 2.500% due 05/26/2026 | 298 | 298 | |||
SoFi Professional Loan Program LLC | |||||
2.510% due 08/25/2033 | 113 | 114 | |||
2.968% due 01/25/2039 • | 43 | 43 | |||
3.118% due 10/27/2036 • | 109 | 110 | |||
SpringCastle Funding Asset-Backed Notes 3.200% due 05/27/2036 | 815 | 824 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
Utah State Board of Regents 2.768% due 01/25/2057 • | 533 | 533 | |||
Total United States | 6,366 | ||||
Total Asset-Backed Securities (Cost $17,803) | 17,868 | ||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 0.5% | |||||
UNITED STATES 0.5% | |||||
Toyota Motor Credit Corp. 2.680% (LIBOR03M + 0.580%) due 11/08/2019 «~ | 1,200 | 1,199 | |||
Total Loan Participations and Assignments (Cost $1,200) | 1,199 | ||||
CORPORATE BONDS & NOTES 31.7% | |||||
AUSTRALIA 0.3% | |||||
INDUSTRIALS 0.3% | |||||
Boral Finance Pty. Ltd. 3.000% due 11/01/2022 | 600 | 602 | |||
Sydney Airport Finance Co. Pty. Ltd. 5.125% due 02/22/2021 | 100 | 104 | |||
706 | |||||
Total Australia | 706 | ||||
CANADA 0.8% | |||||
INDUSTRIALS 0.8% | |||||
Enbridge, Inc. 2.738% (US0003M + 0.400%) due 01/10/2020 ~ | 2,000 | 2,000 | |||
Total Canada | 2,000 | ||||
CHINA 0.4% | |||||
UTILITIES 0.4% | |||||
State Grid Overseas Investment Ltd. 3.750% due 05/02/2023 | 900 | 944 | |||
Total China | 944 | ||||
DENMARK 0.2% | |||||
BANKING & FINANCE 0.2% | |||||
Danske Bank A/S 3.192% (US0003M + 1.060%) due 09/12/2023 ~ | 400 | 392 | |||
Total Denmark | 392 | ||||
FRANCE 2.1% | |||||
BANKING & FINANCE 2.1% | |||||
Banque Federative du Credit Mutuel S.A. 3.238% (US0003M + 0.960%) due 07/20/2023 ~ | 700 | 707 | |||
Credit Agricole S.A. | |||||
3.750% due 04/24/2023 | 700 | 732 | |||
3.303% (US0003M + 1.020%) due 04/24/2023 ~ | 300 | 302 | |||
Dexia Credit Local S.A. | |||||
1.875% due 09/15/2021 | 1,700 | 1,700 | |||
2.375% due 09/20/2022 | 1,700 | 1,723 | |||
5,164 | |||||
Total France | 5,164 | ||||
GERMANY 1.0% | |||||
BANKING & FINANCE 1.0% | |||||
Deutsche Bank AG | |||||
3.273% (US0003M + 0.970%) due 07/13/2020 ~ | 2,100 | 2,095 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
4.250% due 10/14/2021 | 500 | 508 | |||
2,603 | |||||
Total Germany | 2,603 | ||||
GUERNSEY, CHANNEL ISLANDS 0.8% | |||||
BANKING & FINANCE 0.8% | |||||
Credit Suisse Group Funding Guernsey Ltd. 4.590% (US0003M + 2.290%) due 04/16/2021 ~ | 2,000 | 2,054 | |||
Total Guernsey, Channel Islands | 2,054 | ||||
IRELAND 0.1% | |||||
BANKING & FINANCE 0.1% | |||||
AerCap Ireland Capital DAC | |||||
4.250% due 07/01/2020 | 150 | 152 | |||
4.625% due 10/30/2020 | 200 | 205 | |||
357 | |||||
Total Ireland | 357 | ||||
JAPAN 4.7% | |||||
BANKING & FINANCE 4.1% | |||||
Mitsubishi UFJ Financial Group, Inc. 3.127% (US0003M + 0.860%) due 07/26/2023 ~ | 2,900 | 2,909 | |||
Mizuho Financial Group, Inc. | |||||
2.273% due 09/13/2021 | 1,600 | 1,599 | |||
3.084% (US0003M + 0.940%) due 02/28/2022 ~ | 500 | 504 | |||
Sumitomo Mitsui Financial Group, Inc. | |||||
3.432% (US0003M + 1.110%) due 07/14/2021 ~ | 2,200 | 2,227 | |||
3.443% (US0003M + 1.140%) due 10/19/2021 ~ | 500 | 506 | |||
3.040% (US0003M + 0.740%) due 10/18/2022 ~ | 1,500 | 1,505 | |||
3.163% (US0003M + 0.860%) due 07/19/2023 ~ | 1,000 | 1,006 | |||
10,256 | |||||
INDUSTRIALS 0.6% | |||||
Toyota Industries Corp. 3.235% due 03/16/2023 | 1,500 | 1,548 | |||
Total Japan | 11,804 | ||||
JERSEY, CHANNEL ISLANDS 0.3% | |||||
INDUSTRIALS 0.3% | |||||
Heathrow Funding Ltd. 4.875% due 07/15/2023 | 700 | 731 | |||
Total Jersey, Channel Islands | 731 | ||||
LUXEMBOURG 0.4% | |||||
INDUSTRIALS 0.4% | |||||
Allergan Funding SCS 3.000% due 03/12/2020 | 1,000 | 1,003 | |||
Total Luxembourg | 1,003 | ||||
NETHERLANDS 0.8% | |||||
BANKING & FINANCE 0.3% | |||||
Cooperatieve Rabobank UA 2.500% due 01/19/2021 | 900 | 905 | |||
INDUSTRIALS 0.5% | |||||
Syngenta Finance NV | |||||
3.933% due 04/23/2021 | 700 | 713 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
4.441% due 04/24/2023 | 500 | 523 | |||
1,236 | |||||
Total Netherlands | 2,141 | ||||
SINGAPORE 1.0% | |||||
BANKING & FINANCE 1.0% | |||||
BOC Aviation Ltd. 3.316% (US0003M + 1.050%) due 05/02/2021 ~ | 300 | 301 | |||
Oversea-Chinese Banking Corp. Ltd. 2.574% (US0003M + 0.450%) due 05/17/2021 ~ | 1,400 | 1,402 | |||
United Overseas Bank Ltd. 2.739% (US0003M + 0.480%) due 04/23/2021 ~ | 700 | 702 | |||
2,405 | |||||
Total Singapore | 2,405 | ||||
SWITZERLAND 0.2% | |||||
BANKING & FINANCE 0.2% | |||||
UBS AG 2.988% (US0003M + 0.850%) due 06/01/2020 ~ | 500 | 502 | |||
Total Switzerland | 502 | ||||
UNITED KINGDOM 4.3% | |||||
BANKING & FINANCE 3.3% | |||||
Barclays PLC | |||||
4.291% (US0003M + 2.110%) due 08/10/2021 ~ | 1,600 | 1,632 | |||
3.588% (US0003M + 1.430%) due 02/15/2023 ~ | 600 | 600 | |||
HSBC Holdings PLC | |||||
3.789% (US0003M + 1.500%) due 01/05/2022 ~ | 400 | 408 | |||
2.724% (US0003M + 0.600%) due 05/18/2021 ~ | 600 | 601 | |||
2.782% (US0003M + 0.650%) due 09/11/2021 ~ | 800 | 801 | |||
Lloyds Banking Group PLC | |||||
2.959% (US0003M + 0.800%) due 06/21/2021 ~ | 300 | 301 | |||
4.050% due 08/16/2023 | 400 | 421 | |||
4.550% due 08/16/2028 | 400 | 441 | |||
Nationwide Building Society 3.766% due 03/08/2024 • | 1,800 | 1,849 | |||
Santander UK PLC | |||||
2.125% due 11/03/2020 | 200 | 200 | |||
2.818% (US0003M + 0.660%) due 11/15/2021 ~ | 800 | 801 | |||
Standard Chartered PLC 3.334% (US0003M + 1.200%) due 09/10/2022 ~ | 300 | 302 | |||
8,357 | |||||
INDUSTRIALS 0.8% | |||||
BAT International Finance PLC 2.750% due 06/15/2020 | 200 | 201 | |||
Imperial Brands Finance PLC 2.950% due 07/21/2020 | 1,600 | 1,606 | |||
Reckitt Benckiser Treasury Services PLC 2.695% (US0003M + 0.560%) due 06/24/2022 ~ | 200 | 199 | |||
2,006 | |||||
UTILITIES 0.2% | |||||
BG Energy Capital PLC 4.000% due 10/15/2021 | 500 | 518 | |||
Total United Kingdom | 10,881 | ||||
UNITED STATES 14.3% | |||||
BANKING & FINANCE 6.7% | |||||
Aviation Capital Group LLC 7.125% due 10/15/2020 | 700 | 732 | |||
Citigroup, Inc. | |||||
3.456% (US0003M + 1.190%) due 08/02/2021 ~ | 1,200 | 1,216 | |||
3.161% (US0003M + 1.023%) due 06/01/2024 ~ | 1,500 | 1,511 | |||
Discover Bank 4.200% due 08/08/2023 | 800 | 851 | |||
Ford Motor Credit Co. LLC | |||||
8.125% due 01/15/2020 | 300 | 305 | |||
3.157% due 08/04/2020 | 200 | 200 | |||
3.550% due 10/07/2022 | 500 | 500 | |||
General Motors Financial Co., Inc. | |||||
3.583% (US0003M + 1.270%) due 10/04/2019 ~ | 700 | 700 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
3.853% (US0003M + 1.550%) due 01/14/2022 ~ | 1,000 | 1,008 | |||
Goldman Sachs Group, Inc. | |||||
3.328% (US0003M + 1.170%) due 11/15/2021 ~ | 500 | 504 | |||
3.377% (US0003M + 1.110%) due 04/26/2022 ~ | 200 | 202 | |||
Harley-Davidson Financial Services, Inc. | |||||
3.550% due 05/21/2021 | 600 | 609 | |||
3.078% (US0003M + 0.940%) due 03/02/2021 ~ | 500 | 501 | |||
Jackson National Life Global Funding 2.618% (US0003M + 0.480%) due 06/11/2021 ~ | 200 | 201 | |||
JPMorgan Chase & Co. | |||||
2.755% (US0003M + 0.610%) due 06/18/2022 ~ | 700 | 702 | |||
3.149% (US0003M + 0.890%) due 07/23/2024 ~ | 900 | 904 | |||
JPMorgan Chase Bank N.A. 2.607% (US0003M + 0.340%) due 04/26/2021 ~ | 900 | 901 | |||
Morgan Stanley | |||||
2.731% (US0003M + 0.550%) due 02/10/2021 ~ | 500 | 500 | |||
3.737% due 04/24/2024 • | 600 | 627 | |||
Protective Life Global Funding | |||||
1.999% due 09/14/2021 | 1,500 | 1,492 | |||
2.624% (US0003M + 0.520%) due 06/28/2021 ~ | 1,100 | 1,105 | |||
SBA Tower Trust 3.156% due 10/10/2045 | 300 | 301 | |||
Wells Fargo Bank N.A. 2.759% (US0003M + 0.500%) due 07/23/2021 ~ | 1,200 | 1,203 | |||
16,775 | |||||
INDUSTRIALS 6.7% | |||||
BAT Capital Corp. 2.765% due 08/14/2020 • | 2,900 | 2,906 | |||
Bayer U.S. Finance LLC | |||||
2.736% (US0003M + 0.630%) due 06/25/2021 ~ | 200 | 200 | |||
3.129% (US0003M + 1.010%) due 12/15/2023 ~ | 400 | 401 | |||
Broadcom Corp. 2.375% due 01/15/2020 | 900 | 900 | |||
Continental Airlines Pass-Through Trust 7.250% due 05/10/2021 | 568 | 570 | |||
Daimler Finance North America LLC | |||||
2.611% (US0003M + 0.430%) due 02/12/2021 ~ | 800 | 799 | |||
3.350% due 05/04/2021 | 1,200 | 1,220 | |||
2.875% due 03/10/2021 | 400 | 403 | |||
Dell International LLC 4.420% due 06/15/2021 | 900 | 928 | |||
DXC Technology Co. 3.082% (US0003M + 0.950%) due 03/01/2021 ~ | 923 | 923 | |||
ERAC USA Finance LLC 2.350% due 10/15/2019 | 100 | 100 | |||
GATX Corp. 3.007% (US0003M + 0.720%) due 11/05/2021 ~ | 1,500 | 1,505 | |||
Hyundai Capital America 3.145% (US0003M + 1.000%) due 09/18/2020 ~ | 500 | 501 | |||
Kraft Heinz Foods Co. 2.751% (US0003M + 0.570%) due 02/10/2021 ~ | 2,500 | 2,495 | |||
Norfolk Southern Railway Co. 9.750% due 06/15/2020 | 1,500 | 1,579 | |||
Occidental Petroleum Corp. 3.137% (US0003M + 0.950%) due 02/08/2021 ~ | 300 | 302 | |||
Ryder System, Inc. | |||||
2.250% due 09/01/2021 | 400 | 400 | |||
3.400% due 03/01/2023 | 400 | 414 | |||
Sprint Spectrum Co. LLC 3.360% due 03/20/2023 | 200 | 201 | |||
Textron, Inc. 3.650% due 03/01/2021 | 100 | 102 | |||
16,849 | |||||
UTILITIES 0.9% | |||||
AT&T, Inc. | |||||
2.953% (US0003M + 0.650%) due 01/15/2020 ~ | 100 | 100 | |||
3.253% (US0003M + 0.950%) due 07/15/2021 ~ | 600 | 606 | |||
Consolidated Edison Co. of New York, Inc. 2.506% (US0003M + 0.400%) due 06/25/2021 ~ | 300 | 301 | |||
Exelon Corp. 5.150% due 12/01/2020 | 100 | 103 | |||
Sempra Energy 2.569% (US0003M + 0.450%) due 03/15/2021 ~ | 600 | 598 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
Southern Power Co. 2.706% (US0003M + 0.550%) due 12/20/2020 ~ | 400 | 400 | |||
2,108 | |||||
Total United States | 35,732 | ||||
Total Corporate Bonds & Notes (Cost $78,745) | 79,419 | ||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 2.2% | |||||
UNITED KINGDOM 1.4% | |||||
Business Mortgage Finance PLC 0.000% due 08/15/2040 • | EUR | 579 | 627 | ||
Hawksmoor Mortgages 0.000% due 05/25/2053 • | GBP | 1,300 | 1,602 | ||
Towd Point Mortgage Funding PLC 1.798% due 10/20/2051 • | 661 | 814 | |||
Uropa Securities PLC 0.976% due 10/10/2040 • | 378 | 439 | |||
Total United Kingdom | 3,482 | ||||
UNITED STATES 0.8% | |||||
AREIT Trust 2.878% due 02/14/2035 • | $ | 72 | 72 | ||
GS Mortgage Securities Corp. Trust 3.419% due 10/10/2032 | 900 | 930 | |||
MASTR Adjustable Rate Mortgages Trust 4.734% due 11/21/2034 ~ | 176 | 182 | |||
Natixis Commercial Mortgage Securities Trust 2.778% due 02/15/2033 • | 200 | 199 | |||
Tharaldson Hotel Portfolio Trust 2.792% due 11/11/2034 • | 243 | 243 | |||
VMC Finance LLC 2.945% due 10/15/2035 • | 476 | 476 | |||
Total United States | 2,102 | ||||
Total Non-Agency Mortgage-Backed Securities (Cost $5,633) | 5,584 | ||||
MUNICIPAL BONDS & NOTES 0.1% | |||||
CALIFORNIA 0.1% | |||||
California State General Obligation Bonds, Series 2017 2.193% due 04/01/2047 | 300 | 300 | |||
Total Municipal Bonds & Notes (Cost $300) | 300 | ||||
SOVEREIGN ISSUES 4.7% | |||||
JAPAN 1.7% | |||||
Japan Finance Organization for Municipalities 2.000% due 09/08/2020 | 1,300 | 1,299 | |||
Japan Government International Bond 0.100% due 03/10/2028 (c) | JPY | 312,564 | 3,015 | ||
Total Japan | 4,314 | ||||
QATAR 1.8% | |||||
Qatar Government International Bond | |||||
2.375% due 06/02/2021 | $ | 3,800 | 3,812 | ||
4.500% due 01/20/2022 | 700 | 737 | |||
Total Qatar | 4,549 | ||||
SAUDI ARABIA 1.1% | |||||
Saudi Government International Bond 2.875% due 03/04/2023 | 2,600 | 2,645 | |||
Total Saudi Arabia | 2,645 | ||||
SOUTH KOREA 0.1% | |||||
Export-Import Bank of Korea 1.927% due 02/24/2020 (d) | CAD | 300 | 226 | ||
Total South Korea | 226 | ||||
Total Sovereign Issues (Cost $11,513) | 11,734 | ||||
U.S. GOVERNMENT AGENCIES 1.2% | |||||
UNITED STATES 1.2% | |||||
Fannie Mae | |||||
2.318% due 12/25/2045 • | $ | 468 | 466 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
2.680% due 09/25/2046 • | 941 | 942 | |||
Freddie Mac | |||||
2.428% due 06/15/2041 • | 290 | 291 | |||
2.478% due 07/15/2037 • | 32 | 32 | |||
2.558% due 10/15/2033 • | 229 | 231 | |||
2.949% due 07/15/2040 | 258 | 257 | |||
4.670% due 09/01/2037 • | 408 | 432 | |||
Ginnie Mae 2.599% due 06/20/2061 - 10/20/2066 • | 263 | 263 | |||
Total U.S. Government Agencies (Cost $2,907) | 2,914 | ||||
U.S. TREASURY OBLIGATIONS 13.9% | |||||
UNITED STATES 13.9% | |||||
U.S. Treasury Inflation Protected Securities (c) | |||||
0.125% due 04/15/2021 | 649 | 643 | |||
0.125% due 01/15/2022 (g) | 3,854 | �� | 3,819 | ||
0.125% due 04/15/2022 (g) | 12,976 | 12,851 | |||
0.125% due 07/15/2022 (g) | 1,897 | 1,890 | |||
0.500% due 04/15/2024 | 8,240 | 8,350 | |||
1.000% due 02/15/2048 | 1,248 | 1,404 | |||
U.S. Treasury Notes | |||||
1.375% due 09/30/2023 | 5,800 | 5,758 | |||
2.000% due 04/30/2024 | 100 | 102 | |||
Total U.S. Treasury Obligations (Cost $34,501) | 34,817 | ||||
SHORT-TERM INSTRUMENTS 7.2% | |||||
CERTIFICATES OF DEPOSIT 0.4% | |||||
Lloyds Bank Corporate Markets PLC 2.635% (US0003M + 0.500%) due 09/24/2020 ~ | 900 | 903 | |||
COMMERCIAL PAPER 1.7% | |||||
C.I.B.C. 1.828% due 10/28/2019 (b) | CAD | 2,400 | 1,809 | ||
Royal Bank Of Canada 1.815% due 10/25/2019 (b) | 1,300 | 980 | |||
Toronto-Dominion Bank 1.815% due 10/25/2019 (b) | 2,000 | 1,508 | |||
Total Commercial Paper (Cost $4,295) | 4,297 | ||||
REPURCHASE AGREEMENTS (e) 0.7% | 1,698 | ||||
SHORT-TERM NOTES 4.4% | |||||
Federal Home Loan Bank | |||||
1.978% due 12/11/2019 (a)(b) | $ | 2,500 | 2,491 | ||
2.013% due 11/08/2019 (a)(b) | 4,500 | 4,491 | |||
2.215% due 10/04/2019 (a)(b) | 4,000 | 3,999 | |||
Total Short-Term Notes (Cost $10,980) | 10,981 | ||||
Total Short-Term Instruments (Cost $17,873) | 17,879 | ||||
Total Investments in Securities (Cost $170,475) | 171,714 | ||||
SHARES | |||||
INVESTMENTS IN AFFILIATES 27.4% | |||||
SHORT-TERM INSTRUMENTS 27.4% | |||||
CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 27.4% | |||||
PIMCO Short Asset Portfolio | 1,407,336 | 14,007 | |||
PIMCO Short-Term Floating NAV Portfolio III | 5,521,029 | 54,620 | |||
Total Short-Term Instruments (Cost $68,644) | 68,627 | ||||
Total Investments in Affiliates (Cost $68,644) | 68,627 | ||||
Total Investments 96.0% (Cost $239,119) | $ | 240,341 | |||
Financial Derivative Instruments (f)(h) 0.4%(Cost or Premiums, net $(371)) | 1,094 | ||||
Other Assets and Liabilities, net 3.6% | 8,980 | ||||
Net Assets 100.0% | $ | 250,415 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
NOTES TO SCHEDULE OF INVESTMENTS:
* A zero balance may reflect actual amounts rounding to less than one thousand.
¤ | The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure. |
« | Security valued using significant unobservable inputs (Level 3). |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
(a) | Zero coupon security. |
(b) | Coupon represents a yield to maturity. |
(c) | Principal amount of security is adjusted for inflation. |
(d) | RESTRICTED SECURITIES: |
Issuer Description | Coupon | Maturity Date | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||
Export-Import Bank of Korea | 1.927 | % | 02/24/2020 | 02/16/2017 | $ | 230 | $ | 226 | 0.09 | % |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(e) | REPURCHASE AGREEMENTS: |
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||
FICC | 1.500% | 09/30/2019 | 10/01/2019 | $ | 1,698 | U.S. Treasury Notes 2.250% due 03/31/2021 | $ | (1,733) | $ | 1,698 | $ | 1,698 |
Total Repurchase Agreements | $ | (1,733) | $ | 1,698 | $ | 1,698 |
(1) | Includes accrued interest. |
(f) | FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED |
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price | Expiration Date | # of Contracts | Notional Amount | Cost | Market Value | ||||
Put - CME 90-Day Eurodollar December Futures | $ | 98.125 | 12/16/2019 | 98 | $ | 245 | $ | 35 | $ | 40 |
Total Purchased Options | $ | 35 | $ | 40 |
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price | Expiration Date | # of Contracts | Notional Amount | Premiums (Received) | Market Value | ||||
Put - CME 90-Day Eurodollar December 2019 Futures | $ | 97.875 | 12/16/2019 | 98 | $ | 245 | $ | (10) | $ | (8) |
Put - CME 90-Day Eurodollar December 2019 Futures | 98.000 | 12/16/2019 | 98 | 245 | (20) | (21) | ||||
Total Written Options | $ | (30) | $ | (29) |
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
Variation Margin | |||||||||||
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Asset | Liability | |||||
E-mini S&P 500 Index December Futures | 12/2019 | 842 | $ | 125,395 | $ | (1,129) | $ | 619 | $ | 0 | |
Euro-Bund 10-Year Bond December Futures | 12/2019 | 4 | 760 | (1) | 0 | 0 | |||||
Mini MSCI EAFE Index December Futures | 12/2019 | 1,319 | 125,199 | (666) | 443 | 0 |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
U.S. Treasury 5-Year Note December Futures | 12/2019 | 124 | 14,774 | (77) | 0 | (6) | |||||
$ | (1,873) | $ | 1,062 | $ | (6) | ||||||
SHORT FUTURES CONTRACTS | |||||||||||
Variation Margin | |||||||||||
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Asset | Liability | |||||
Call Options Strike @ EUR 174.500 on Euro-Bund 10-Year Bond November 2019 Futures(1) | 10/2019 | 4 | $ | (3) | $ | 2 | $ | 0 | $ | 0 | |
U.S. Treasury 10-Year Note December Futures | 12/2019 | 82 | (10,686) | 121 | 7 | 0 | |||||
$ | 123 | $ | 7 | $ | 0 | ||||||
Total Futures Contracts | $ | (1,750) | $ | 1,069 | $ | (6) | |||||
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(2)
Variation Margin | |||||||||||||||||
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at September 30, 2019(4) | Notional Amount(5) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(6) | Asset | Liability | |||||||
International Lease Finance Corp. | 5.000% | Quarterly | 12/20/2022 | 0.470 | % | $ | 600 | $ | 119 | $ | (33) | $ | 86 | $ | 0 | $ | 0 |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(3)
Variation Margin | |||||||||||||||
Index/Tranches | Fixed (Pay) Rate | Payment Frequency | Maturity Date | Notional Amount(5) | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value(6) | Asset | Liability | ||||||
CDX.IG-32 5-Year Index | (1.000)% | Quarterly | 06/20/2024 | $ | 18,800 | $ | (399) | $ | (3) | $ | (402) | $ | 0 | $ | (12) |
INTEREST RATE SWAPS
Variation Margin | |||||||||||||||||
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Asset | Liability | |||||||
Receive | 3-Month USD-LIBOR | 2.500% | Semi-Annual | 06/20/2048 | $ | 300 | $ | 34 | $ | (90) | $ | (56) | $ | 0 | $ | 0 | |
Receive(7) | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 100 | (1) | (6) | (7) | 0 | 0 | |||||||
Receive(7) | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 01/16/2050 | 100 | (1) | 3 | 2 | 0 | 0 | |||||||
Receive(7) | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 700 | (4) | (2) | (6) | 0 | (1) | |||||||
Receive(7) | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 02/03/2050 | 400 | (1) | 10 | 9 | 0 | (1) | |||||||
Receive | 6-Month JPY-LIBOR | 0.380 | Semi-Annual | 06/18/2028 | JPY | 300,000 | (104) | (12) | (116) | 5 | 0 | ||||||
$ | (77) | $ | (97) | $ | (174) | $ | 5 | $ | (2) | ||||||||
Total Swap Agreements | $ | (357) | $ | (133) | $ | (490) | $ | 5 | $ | (14) | |||||||
(g) | Securities with an aggregate market value of $4,468 and cash of $8,275 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of September 30, 2019. |
(1) | Future styled option. |
(2) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the 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 or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(5) | 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. |
(6) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(7) | This instrument has a forward starting effective date. |
(h) | FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER |
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
FORWARD FOREIGN CURRENCY CONTRACTS:
Unrealized Appreciation/(Depreciation) | |||||||||
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Asset | Liability | ||||
BOA | 10/2019 | $ | 2,914 | GBP | 2,365 | $ | 0 | $ | (6) |
11/2019 | GBP | 2,365 | $ | 2,918 | 6 | 0 | |||
BPS | 10/2019 | EUR | 869 | 955 | 8 | 0 | |||
12/2019 | TWD | 32,030 | 1,030 | 0 | (8) | ||||
CBK | 10/2019 | CAD | 2,611 | 1,972 | 1 | (1) | |||
MYI | 10/2019 | CHF | 1,544 | 1,577 | 30 | 0 | |||
SOG | 10/2019 | CAD | 3,300 | 2,490 | 0 | (2) | |||
10/2019 | GBP | 2,365 | 2,892 | 0 | (16) | ||||
UAG | 10/2019 | $ | 1,554 | CHF | 1,544 | 0 | (7) | ||
11/2019 | CHF | 1,544 | $ | 1,558 | 7 | 0 | |||
Total Forward Foreign Currency Contracts | $ | 52 | $ | (40) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Swap Agreements, at Value(3) | ||||||||||||||
Counterparty | Index/Tranches | Fixed Receive Rate | Payment Frequency | Maturity Date | Notional Amount(2) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Asset | Liability | |||||
MYC | CMBX.NA.AAA.6 Index | 0.500% | Monthly | 05/11/2063 | $ | 1,995 | $ | (19) | $ | 36 | $ | 17 | $ | 0 |
Total Swap Agreements | $ | (19) | $ | 36 | $ | 17 | $ | 0 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the 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. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund's assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 09/30/2019 | ||||
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
Investments in Securities, at Value | ||||||||||
Asset-Backed Securities | ||||||||||
Canada | $ | 0 | $ | 402 | $ | 0 | $ | 402 | ||
Cayman Islands | 0 | 11,100 | 0 | 11,100 | ||||||
United States | 0 | 6,366 | 0 | 6,366 | ||||||
Loan Participations and Assignments | ||||||||||
United States | 0 | 0 | 1,199 | 1,199 | ||||||
Corporate Bonds & Notes | ||||||||||
Australia | ||||||||||
Industrials | 0 | 706 | 0 | 706 | ||||||
Canada | ||||||||||
Industrials | 0 | 2,000 | 0 | 2,000 | ||||||
China | ||||||||||
Utilities | 0 | 944 | 0 | 944 | ||||||
Denmark | ||||||||||
Banking & Finance | 0 | 392 | 0 | 392 | ||||||
France | ||||||||||
Banking & Finance | 0 | 5,164 | 0 | 5,164 | ||||||
Germany | ||||||||||
Banking & Finance | 0 | 2,603 | 0 | 2,603 | ||||||
Guernsey, Channel Islands | ||||||||||
Banking & Finance | 0 | 2,054 | 0 | 2,054 | ||||||
Ireland | ||||||||||
Banking & Finance | 0 | 357 | 0 | 357 | ||||||
Japan | ||||||||||
Banking & Finance | 0 | 10,256 | 0 | 10,256 | ||||||
Industrials | 0 | 1,548 | 0 | 1,548 | ||||||
Jersey, Channel Islands | ||||||||||
Industrials | 0 | 731 | 0 | 731 | ||||||
Luxembourg | ||||||||||
Industrials | 0 | 1,003 | 0 | 1,003 | ||||||
Netherlands | ||||||||||
Banking & Finance | 0 | 905 | 0 | 905 | ||||||
Industrials | 0 | 1,236 | 0 | 1,236 | ||||||
Singapore | ||||||||||
Banking & Finance | 0 | 2,405 | 0 | 2,405 | ||||||
Switzerland | ||||||||||
Banking & Finance | 0 | 502 | 0 | 502 | ||||||
United Kingdom | ||||||||||
Banking & Finance | 0 | 8,357 | 0 | 8,357 | ||||||
Industrials | 0 | 2,006 | 0 | 2,006 | ||||||
Utilities | 0 | 518 | 0 | 518 | ||||||
United States | ||||||||||
Banking & Finance | 0 | 16,775 | 0 | 16,775 | ||||||
Industrials | 0 | 16,849 | 0 | 16,849 | ||||||
Utilities | 0 | 2,108 | 0 | 2,108 | ||||||
Non-Agency Mortgage-Backed Securities | ||||||||||
United Kingdom | 0 | 3,482 | 0 | 3,482 | ||||||
United States | 0 | 2,102 | 0 | 2,102 | ||||||
Municipal Bonds & Notes | ||||||||||
California | 0 | 300 | 0 | 300 | ||||||
Sovereign Issues | ||||||||||
Japan | 0 | 4,314 | 0 | 4,314 | ||||||
Qatar | 0 | 4,549 | 0 | 4,549 | ||||||
Saudi Arabia | 0 | 2,645 | 0 | 2,645 | ||||||
South Korea | 0 | 226 | 0 | 226 | ||||||
U.S. Government Agencies | ||||||||||
United States | 0 | 2,914 | 0 | 2,914 | ||||||
U.S. Treasury Obligations | ||||||||||
United States | 0 | 34,817 | 0 | 34,817 | ||||||
Short-Term Instruments | ||||||||||
Certificates of Deposit | 0 | 903 | 0 | 903 | ||||||
Commercial Paper | 0 | 4,297 | 0 | 4,297 | ||||||
Repurchase Agreements | 0 | 1,698 | 0 | 1,698 | ||||||
Short-Term Notes | 0 | 10,981 | 0 | 10,981 | ||||||
$ | 0 | $ | 170,515 | $ | 1,199 | $ | 171,714 | |||
Investments in Affiliates, at Value | ||||||||||
Short-Term Instruments | ||||||||||
Central Funds Used for Cash Management Purposes | $ | 68,627 | $ | 0 | $ | 0 | $ | 68,627 | ||
Total Investments | $ | 68,627 | $ | 170,515 | $ | 1,199 | $ | 240,341 | ||
Financial Derivative Instruments - Assets | ||||||||||
Exchange-traded or centrally cleared | 1,109 | 5 | 0 | 1,114 | ||||||
Over the counter | 0 | 69 | 0 | 69 | ||||||
$ | 1,109 | $ | 74 | $ | 0 | $ | 1,183 | |||
Financial Derivative Instruments - Liabilities | ||||||||||
Exchange-traded or centrally cleared | (35) | (14) | 0 | (49) | ||||||
Over the counter | 0 | (40) | 0 | (40) | ||||||
$ | (35) | $ | (54) | $ | 0 | $ | (89) | |||
Total Financial Derivative Instruments | $ | 1,074 | $ | 20 | $ | 0 | $ | 1,094 | ||
Schedule of Investments PIMCO StocksPLUS® Global Portfolio (Cont.) | September 30, 2019 (Unaudited) |
Totals | $ | 69,701 | $ | 170,535 | $ | 1,199 | $ | 241,435 | ||
There were no significant transfers into or out of Level 3 during the period ended September 30, 2019.
Notes to Financial Statements
1. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation PoliciesThe price of the Portfolio's shares is based on the Portfolio's net asset value ("NAV"). The NAV of the Portfolio, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets, less any liabilities attributable to the Portfolio or class, by the total number of shares outstanding of the Portfolio or class.
On each day that the New York Stock Exchange (“NYSE”) is open, Portfolio shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Portfolio or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. The Portfolio reserves the right to change the time as of which its NAV is calculated if the Portfolio closes earlier, or as permitted by the U.S Securities and Exchange Commission ("SEC").
For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Portfolio's approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Portfolio will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the Pacific Investment Management Company LLC (the “Adviser”) to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. The Portfolio's investments in open-end management investment companies, other than exchange-traded funds ("ETFs"), are valued at the NAVs of such investments. Open-end management investment companies may include affiliated funds.
If a foreign (non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the “Board”). Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Portfolio may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, the Portfolio may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. The Portfolio may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in the Portfolio's portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of the Portfolio's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that the Portfolio holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Portfolio's next calculated NAV.
Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to the Adviser the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Portfolio's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Adviser, the responsibility for monitoring significant events that may materially affect the values of the Portfolio's securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When the Portfolio uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of the Portfolio's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Portfolio could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Portfolio may differ from the value that would be realized if the securities were sold. The Portfolio's use of fair valuation may also help to deter “stale price arbitrage” as discussed under the "Frequent or Excessive Purchases, Exchanges and Redemptions" section in the Portfolio's prospectus.
Notes to Financial Statements(Cont.)
(b) Fair Value HierarchyU.S. GAAP describes fair value as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
• Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities.
• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes toSchedule of Investments for the Portfolio.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Portfolio's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Portfolio.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair valueThe valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
September 30, 2019 (Unaudited)
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate (“OIS”), London Interbank Offered Rate (“LIBOR”) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair valueWhen a fair valuation method is applied by the Adviser that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
2. FEDERAL INCOME TAX MATTERS
The Portfolio intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
The Portfolio may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Adviser has reviewed the Portfolio's tax positions for all open tax years. As of September 30, 2019, the Portfolio has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.
The Portfolio files U.S. federal, state, and local tax returns as required. The Portfolio's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Shares of the Portfolio currently are sold to segregated asset accounts (“Separate Accounts”) of insurance companies that fund variable annuity contracts and variable life insurance policies (“Variable Contracts”). Please refer to the prospectus for the Separate Account and Variable Contract for information regarding Federal income tax treatment of distributions to the Separate Account.
3. INVESTMENTS IN AFFILIATES
The Portfolio may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act and rules thereunder. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Portfolio. The tables below show the Portfolio's transactions in and earnings from investments in the affiliated Funds for the period ended September 30, 2019 (amounts in thousands†):
Investment in PIMCO Short Asset Portfolio
Market Value 12/31/2018 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Market Value 09/30/2019 | Dividend Income(1) | Realized Net Capital Gain Distributions(1) | |||||||||
$ | 13,653 | $ | 311 | $ | 0 | $ | 0 | $ | 43 | $ | 14,007 | $ | 311 | $ | 0 | |
Investment in PIMCO Short-Term Floating NAV Portfolio III
Market Value 12/31/2018 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Market Value 09/30/2019 | Dividend Income(1) | Realized Net Capital Gain Distributions(1) | |||||||||
$ | 27,162 | $ | 27,411 | $ | 0 | $ | 0 | $ | 47 | $ | 54,620 | $ | 1,011 | $ | 0 | |
†A zero balance may reflect actual amounts rounding to less than one thousand.
(1)The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.
Glossary: (abbreviations that may be used in the preceding statements) | (Unaudited) | |||||||||
Counterparty Abbreviations: | ||||||||||
BOA | Bank of America N.A. | FICC | Fixed Income Clearing Corporation | SOG | Societe Generale Paris | |||||
BPS | BNP Paribas S.A. | MYC | Morgan Stanley Capital Services, Inc. | UAG | UBS AG Stamford | |||||
CBK | Citibank N.A. | MYI | Morgan Stanley & Co. International PLC | |||||||
Currency Abbreviations: | ||||||||||
CAD | Canadian Dollar | GBP | British Pound | TWD | Taiwanese Dollar | |||||
CHF | Swiss Franc | JPY | Japanese Yen | USD (or $) | United States Dollar | |||||
EUR | Euro | |||||||||
Exchange Abbreviations: | ||||||||||
CME | Chicago Mercantile Exchange | |||||||||
Index/Spread Abbreviations: | ||||||||||
CDX.IG | Credit Derivatives Index - Investment Grade | EAFE | Europe, Australasia, and Far East Stock Index | S&P 500 | Standard & Poor’s 500 Index | |||||
CMBX | Commercial Mortgage-Backed Index | LIBOR03M | 3 Month USD-LIBOR | US0003M | 3 Month USD Swap Rate | |||||
Other Abbreviations: | ||||||||||
CLO | Collateralized Loan Obligation | LIBOR | London Interbank Offered Rate | TBA | To-Be-Announced | |||||
DAC | Designated Activity Company | MSCI | Morgan Stanley Capital International |