Pimco Bond
Pimco Bond
Institutional P Administrative D
n n n
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
Table of Contents
Page
Chairmans Letter Important Information About the Funds Benchmark Descriptions Financial Highlights Statements of Assets and Liabilities Statements of Operations Statements of Changes in Net Assets Notes to Financial Statements Glossary Privacy Policy Approval of Renewal of the Amended and Restated Investment Advisory Contract, Supervision and Administration Agreement, Asset Allocation Sub-Advisory Agreements and Sub-Advisory Agreements Fund Summary 6 7 8 9 10 11 12 13
FUND
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
PIMCO has adopted written proxy voting policies and procedures (Proxy Policy) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940. The Proxy Policy has been adopted by PIMCO Funds 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 1-866-746-2606, on the Funds website at www.pimco-funds.com, and on the Securities and Exchange Commissions (SEC) website at http://www.sec.gov. PIMCO Funds files a complete schedule of each Funds 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 SECs website at http://www.sec.gov and may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. and is available without charge, upon request, by calling the Trust at 1-866-746-2606 and on the Funds website at www.pimco-funds.com. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. PIMCO Funds are distributed by Allianz Global Investors Distributors LLC, 1345 Avenue of the Americas, New York, NY 10105-4800, www.pimco-funds.com, 1-800-927-4648. The Semiannual Reports for the other series of the PIMCO Funds are printed separately.
Chairmans Letter
PIMCO Funds
Municipal bonds outperformed U.S. Treasury securities and municipal yield ratios moved back closer to historical averages after widening dramatically in 2008. Inflows into municipal funds remained strong amid heightened expectations for future tax increases and interest in municipal bonds as part of an individuals asset allocations. The supply of new issue tax-exempt municipal bonds was relatively light as issuance was diverted into taxable Build America Bonds. The Barclays Capital Municipal Bond Index returned 9.38% for the reporting period. U.S. Treasury Inflation-Protected Securities (TIPS) outperformed their nominal U.S. Treasury counterparts as the principal value of TIPS was adjusted higher due to positive inflation and the decline in real yields. The Barclays Capital U.S. TIPS Index returned 3.76% for the reporting period. Futures prices on most commodities recovered strongly, as measured by the Dow Jones-UBS Commodity Index Total Return, which returned 16.41% for the reporting period. Emerging Markets (EM) bonds denominated in U.S. dollars outperformed U.S. Treasury securities as credit premiums tightened on most EM bonds amid an increase in risk appetite and positive flows into the EM sector. EM assets denominated in local currency also had strong returns led by monetary stimulus by most EM countries to counter the worldwide recession. EM currency appreciation aided performance of most EM local assets during the reporting period. Equity markets worldwide trended higher, rebounding from lows reached in March 2009 as investors returned due to the low value of certain equities and the peak in the liquidation cycle. U.S. equities, as measured by the S&P 500 Index, returned 34.02% and international equities, as represented by the MSCI World Index, returned 41.81% for the reporting period. On the following pages of this PIMCO Funds Semiannual Report, you will find specific details as to each Funds total return investment performance and a discussion of those factors that most affected performance. Thank you again for the trust you have placed in us. We never take it lightly and will continue to work diligently to meet your investment needs. If you have any questions regarding any of your PIMCO Funds investments, please contact your account manager, or call one of our shareholder associates at 1-866-746-2606. We also invite you to visit our website at www.pimco-funds.com or our investment managers website at www.pimco.com.
Sincerely,
Brent R. Harris President, and Chairman of the Board, PIMCO Funds November 10, 2009
Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.
Semiannual Report
This material is authorized for use only when preceded or accompanied by the current PIMCO Funds prospectuses. Investors should consider the investment objectives, risks, charges and expenses of these Funds carefully before investing. This and other information is contained in the Funds prospectus. Please read the prospectus carefully before you invest or send money.
We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed-income securities held by a Fund are likely to decrease in value. The price volatility of fixed-income securities can also increase during periods of rising interest rates resulting in increased losses to a Fund. Bond funds and individual bonds with a longer duration (a measure of the expected life of a security) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. 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: interest rate risk, credit risk, high yield risk, market risk, issuer risk, liquidity risk, derivatives risk, mortgagerelated and other asset-backed risk, foreign (non-U.S.) investment risk, emerging markets risk, currency risk, issuer nondiversification risk, leveraging risk, management risk and short sale risk. A complete description of these and other risks is contained in each Funds prospectus. The 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, leveraging 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. Funds investing in derivatives could lose more than the principal amount invested in these instruments. Investing 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. 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. Concentrating investments in individual sectors may add additional risk and volatility compared to a diversified fund. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio. On each individual Fund Summary page in this Semiannual 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. The Cumulative Returns Chart reflects only Institutional Class performance. Each share class performance is net of fees and expenses the Class P total expenses are 0.10% higher than the total expenses of the Institutional Share Class of the respective Fund; the Administrative Class total expenses are 0.25% higher than the total expenses of the Institutional Share Class of the respective Fund; the Class D total expenses are 0.40% higher than the total expenses of the Institutional Share Class of the respective Fund. The figures in the line graph are calculated at net asset value and assume the investment of $5,000,000 at the beginning of the first full month following the Funds Institutional Class inception. In addition to its benchmark, each Fund measures its performance against a Lipper Average, which is calculated by Lipper, Inc. (Lipper), a Reuters Company, and represents the total return performance averages of funds that are tracked by Lipper that have the same Fund Classification. Lipper does not take into account fees, expenses or taxes. For periods prior to the inception date of the Class P, Administrative Class and Class D Shares, performance information shown is based on the performance of the Funds Institutional Class Shares. The prior Institutional Class performance has been adjusted to reflect the distribution and/or service fees and other expenses paid by the Class P, Administrative Class and Class D Shares respectively. The Class P Shares of the following Funds were first offered in (month/year): Developing Local Markets Fund (4/08), Emerging Local Bond Fund (5/08), Emerging Markets Bond Fund (4/08), Foreign Bond Fund (U.S. Dollar-Hedged) (4/08), Foreign Bond Fund (Unhedged) (4/08), and Global Bond Fund (U.S. Dollar-Hedged) (4/08). The Administrative Class Shares of the Funds were first offered in (month/year): Developing Local Markets Fund (9/06), Emerging Local Bond Fund (10/07), Emerging Markets Bond Fund (9/98), Foreign Bond Fund (U.S. Dollar-Hedged) (1/97), Foreign Bond Fund (Unhedged) (2/06), Global Bond Fund (U.S. Dollar-Hedged) (9/03), and Global Bond Fund (Unhedged) (7/96). The Class D Shares of the following Funds were first offered in (month/year): Developing Local Markets Fund (5/05), Emerging Local Bond Fund (7/07), Emerging Markets Bond Fund (3/00), Foreign Bond Fund (U.S. Dollar-Hedged) (4/98), Foreign Bond Fund (Unhedged) (4/04), and Global Bond Fund (Unhedged) (7/08). All other Funds in this Semiannual Report do not currently offer Class P, Administrative Class and Class D Shares. A Funds past performance, before and after taxes, is not necessarily an indication of how the Fund will perform in the future.
4
PIMCO Funds International Institutional Funds
Since Class A shares were offered since the inception of Global Bond Fund (U.S. Dollar-Hedged), performance for periods prior to the inception date of the Institutional, Administrative Classes and Class P are based on the historical performance of Class A shares, adjusted to reflect that the Institutional, Administrative Classes and Class P do not have a sales charge, and the different operating expenses associated with the Institutional Class, Administrative Class and Class P, such as distribution and/or service fees (Administrative Class only) and other fee charges. 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 following disclosure provides important information regarding each Funds Expense Example (Example or Expense Example), which appears on each Funds individual page in this Semiannual Report. Please refer to this information when reviewing the Expense Example for a Fund.
Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees (Administrative Class and Class D only), and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from April 1, 2009 to September 30, 2009, with exception of the Emerging Markets and Infrastructure Bond Fund, which is from July 1, 2009 (the date the Fund commenced operations) to September 30, 2009.
Actual Expenses
The information in the table under the heading Actual Performance 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 appropriate column for your share class, in the row titled Expenses Paid During Period to estimate the expenses you paid on your account during this period.
Semiannual Report
Institutional Class
Allocation Breakdown
Portfolio Insights
United States
INDEX
$6,762,514 6.0
5.0
The PIMCO Developing Local Markets Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in currencies of, or fixed-income instruments denominated in currencies of, developing markets. The Fund defines a developing market as any non-U.S. country, excluding those countries that have been classified by the World Bank as high income Organization for Economic Co-operation and Development (OECD) economies for the past five consecutive years. An overweight to Brazil benefited returns as the Brazil sub index outperformed the JPMorgan Emerging Local Markets Index Plus (Unhedged) (the benchmark index) for the period.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* PIMCO Developing Local Markets Fund Institutional Class PIMCO Developing Local Markets Fund Class P PIMCO Developing Local Markets Fund Administrative Class PIMCO Developing Local Markets Fund Class D JPMorgan Emerging Local Markets Index Plus (Unhedged) Lipper Emerging Markets Debt Funds Average
* Cumulative return. All Fund returns are net of fees and expenses.
An overweight to Poland benefited returns as the Poland sub index outperformed the benchmark index for the period. An out-of-benchmark position in high-quality financials benefited performance as highquality financials had positive performance for the period, as represented by the Bank and Brokerage components of the Barclays Capital Global Credit Index, which returned 18.59% and 15.73%, respectively, for the period. An overweight to China detracted from performance as the China sub index underperformed the benchmark index for the period. An underweight to Hungary detracted from performance as the Hungary sub index outperformed the benchmark index for the period. An overweight to Mexico detracted from performance as the Mexico sub index underperformed the benchmark index for the period.
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Class P, Administrative Class and Class D prospectus dated 10/01/09, as supplemented to date, is 0.85% for the Institutional Class shares, 0.95% for the Class P shares, 1.10% for the Administrative Class shares and 1.25% for the Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Administrative Institutional Administrative Class Class P Class Class D Class Class P Class Class D $1,000.00 $1,000.00 $1,244.47 $1,243.91 $1,000.00 $1,242.96 $ 6.24 $1,000.00 $1,000.00 $1,000.00 $1,242.03 $1,020.76 $1,020.26 $ 7.08 $ 4.36 $ 4.86 $1,000.00 $1,019.50 $ 5.62 $1,000.00 $1,018.75 $ 6.38
Actual Performance
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
4.84 $
5.40
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.86% for Institutional Class, 0.96% for Class P, 1.11% for Administrative Class and 1.26% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
6
PIMCO Funds International Institutional Funds
Institutional Class
Allocation Breakdown
Portfolio Insights
$7.0
United States
INDEX
$6,639,251
INSTITUTIONAL CLASS
6.0
$6,273,989
5.0
The PIMCO Emerging Local Bond Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in fixed-income instruments denominated in currencies of countries with emerging securities markets, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. An underweight to Chile benefited performance as the Chile sub index underperformed the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged) (the benchmark index) for the period. An underweight to Thailand benefited relative performance as the Thailand sub index underperformed the benchmark index for the period. An overweight to Mexico detracted from performance as the Mexico sub index underperformed the benchmark index for the period. An underweight to Hungary detracted from relative performance as the Hungary sub index outperformed the benchmark index for the period. An underweight to Turkey detracted from performance as the Turkey sub index outperformed the benchmark index for the period.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial invested amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* PIMCO Emerging Local Bond Fund Institutional Class PIMCO Emerging Local Bond Fund Class P PIMCO Emerging Local Bond Fund Administrative Class PIMCO Emerging Local Bond Fund Class D JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged) Lipper Emerging Markets Debt Funds Average
* Cumulative return. All Fund returns are net of fees and expenses. ** Average annual total return since 12/31/06.
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Class P, Administrative Class and Class D prospectus dated 10/01/09, as supplemented to date, is 0.90% for the Institutional Class shares, 1.00% for the Class P shares, 1.15% for the Administrative Class shares and 1.35% for Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648. Expense Example Hypothetical Performance (5% return before expenses) Institutional Administrative Institutional Administrative Class Class P Class Class D Class Class P Class Class D $1,000.00 $1,000.00 $1,305.53 $1,305.16 Period $ 5.55 $ 6.13 $1,000.00 $1,304.05 $ 6.99 $1,000.00 $1,000.00 $1,000.00 $1,303.05 $1,020.26 $1,019.75 $ 7.85 $ 4.86 $ 5.37 $1,000.00 $1,019.00 $ 6.12 $1,000.00 $1,018.25 $ 6.88 Actual Performance
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.96% for Institutional Class, 1.06% for Class P, 1.21% for Administrative Class and 1.36% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Effective October 1, 2009, the Funds supervisory and administrative fee was decreased by 0.05% for Institutional Class, Class P and Administrative Class. If this fee increase had been in effect during the six-month period ended September 30, 2009, the Expenses Paid During Period amounts would have been $5.26, $5.84 and $6.70 for Institutional Class, Class P and Administrative Class Shares, respectively, based upon the Funds actual performance, and $4.61, $5.11 and $5.87 for Institutional Class, Class P and Administrative Class Shares, respectively, based upon a hypothetical 5% return.
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
Semiannual Report September 30, 2009
Institutional Class
PEMIX
Allocation Breakdown
Portfolio Insights
A line graph is not included since the Fund has less than six months of performance.
The PIMCO Emerging Markets and Infrastructure Bond Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in a diversified portfolio consisting of fixed-income instruments that are economically tied to emerging market countries and fixed-income instruments that are issued by infrastructure entities, projects or assets, all of which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. The Fund was launched on July 1, 2009.
Cumulative Total Return for the period September 30, 2009 Fund Inception (07/01/09) PIMCO Emerging Markets and Infrastructure Bond Fund Institutional Class JPMorgan Corporate Emerging Markets Bond Diversified Index Lipper Emerging Markets Debt Funds Average
* Cumulative return. All Fund returns are net of fees and expenses. ** Cumulative total return since 06/30/09.
An overweight to Mexico benefited performance as the Mexico sub index outperformed the JPMorgan Corporate Emerging Markets Bond Diversified Index (the benchmark) for the period since inception to the end of the reporting period. An overweight to Colombia detracted from performance as the Columbia sub index underperformed the benchmark index. An underweight to Hong Kong benefited performance as the Hong Kong sub index underperformed the benchmark index. An underweight to Malaysia benefited performance as the Malaysia sub index underperformed the benchmark index. An overweight to Brazil detracted from performance as the Brazil sub index underperformed the benchmark index.
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class prospectus dated 10/01/09, as supplemented to date, is 1.27% for the Institutional Class shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Class $1,000.00 $1,018.90 $ 6.23
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (1.23% for Institutional Class) multiplied by the average account value over the period, multiplied by 92/365 (to reflect the period since the class commenced operations on 07/01/09). The Funds Institutional Class hypothetical expenses reflect an amount as if the Class had been operational for the entire fiscal half year. The annualized expense ratio of 1.23% for the Institutional Class reflects net annualized expenses after application of an expense waiver of 0.02%.
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
PIMCO Funds
Institutional Class
Allocation Breakdown
Portfolio Insights
Russia
INSTITUTIONAL CLASS
$20.0
$19,026,807 15.0
INDEX
10.0
5.0
The PIMCO Emerging Markets Bond Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in fixed-income instruments that are economically tied to countries with emerging market countries, which may be represented by forwards or derivatives such as options, futures, contracts, or swap agreements. An underweight to China benefited performance as the China sub index underperformed the JPMorgan Emerging Markets Bond Index Global (the benchmark index) for the period. An underweight to Lebanon benefited relative performance as the Lebanon sub index underperformed the benchmark index for the period. An underweight to Malaysia benefited performance as the Malaysia sub index underperformed the benchmark index for the period. An overweight to emerging markets (EM) corporate securities benefited performance. EM corporate securities, as represented by the JPMorgan Corporate Emerging Markets Bond Index, returned 30.33% and outperformed EM sovereigns, as represented by the JPMorgan Emerging Markets Bond Index Global, which returned 22.13% for the period. An underweight to Ukraine detracted from performance as the Ukraine sub index outperformed the benchmark index for the period. An underweight to Argentina detracted from performance as the Argentina sub index outperformed the benchmark index for the period. An underweight to Venezuela detracted from performance as the Venezuela sub index outperformed the benchmark index for the period.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* 1 Year 5 Years 10 Years Fund Inception (07/31/97) PIMCO Emerging Markets Bond Fund Institutional Class PIMCO Emerging Markets Bond Fund Class P PIMCO Emerging Markets Bond Fund Administrative Class PIMCO Emerging Markets Bond Fund Class D JPMorgan Emerging Markets Bond Index (EMBI) Global Lipper Emerging Markets Debt Funds Average
* Cumulative return. All Fund returns are net of fees and expenses.
18.12% 8.49% 18.00% 8.38% 17.82% 8.22% 17.66% 8.06% 18.67% 8.81% 15.30% 8.21%
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Class P, Administrative Class and Class D prospectus dated 10/01/09, as supplemented to date, is 0.86% for the Institutional Class shares, 0.96% for the Class P shares, 1.11% for the Administrative Class shares and 1.28% for the Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648. Expense Example Hypothetical Performance (5% return before expenses) Institutional Administrative Institutional Administrative Class Class P Class Class D Class Class P Class Class D $1,000.00 $1,000.00 $1,237.20 $1,236.62 Period $ 4.94 $ 5.44 $1,000.00 $1,235.69 $ 6.33 $1,000.00 $1,000.00 $1,000.00 $1,234.78 $1,020.66 $1,020.21 $ 7.17 $ 4.46 $ 4.91 $1,000.00 $1,019.40 $ 5.72 $1,000.00 $1,018.65 $ 6.48 Actual Performance
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.88% for Institutional Class, 0.97% for Class P, 1.13% for Administrative Class and 1.28% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Effective October 1, 2009, the Funds supervisory and administrative fee was decreased by 0.02% for Institutional Class, Class P and Administrative Class. If this fee increase had been in effect during the six-month period ended September 30, 2009, the Expenses Paid During Period amounts would have been $4.82, $5.33 and $6.22 for Institutional Class, Class P and Administrative Class Shares, respectively, based upon the Funds actual performance, and $4.36, $4.81 and $5.62 for Institutional Class, Class P and Administrative Class Shares, respectively, based upon a hypothetical 5% return.
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
Semiannual Report September 30, 2009
Institutional Class
Allocation Breakdown
Portfolio Insights
United States
INDEX
Germany France Italy United Kingdom Australia Netherlands Short-Term Instruments Other
$7,217,729 6.0
5.0
The PIMCO Foreign Bond Fund (Unhedged) seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in fixed-income instruments that are economically tied to foreign (non-U.S.) countries, representing at least three foreign countries, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. A U.S. curve positioning contributed to performance, but was offset by an overweight to U.S. duration (or sensitivity to changes in market interest rates) as short-term yields increased less than long-term yields. Holdings of corporate bonds, especially those of select financial companies, contributed to performance as spreads on these bonds narrowed during the period. Positions in Agency mortgage-backed securities (MBS), non-Agency MBS and asset-backed securities contributed to performance as prices on these securities showed improvement during the period. A position in Japanese inflation-linked bonds contributed to returns as real bonds outperformed nominal Japanese government bonds. An overweight to Australian duration detracted from performance as Australian yields increased.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* PIMCO Foreign Bond Fund (Unhedged) Institutional Class PIMCO Foreign Bond Fund (Unhedged) Class P PIMCO Foreign Bond Fund (Unhedged) Administrative Class PIMCO Foreign Bond Fund (Unhedged) Class D JPMorgan GBI Global ex-US FX NY Index Unhedged in USD** Lipper International Income Funds Average 29.36% 29.30% 29.19% 29.11% 12.75% 16.40% 1 Year 24.25% 24.15% 23.93% 23.76% 16.72% 15.80% 5 Years 6.79% 6.68% 6.52% 6.33% 7.10% 5.78% Fund Inception (04/30/04) 7.00% 6.90% 6.74% 6.54% 7.41% 5.94%
* Cumulative return. All Fund returns are net of fees and expenses. ** The inception date for the JPMorgan GBI Global ex-US FX NY Index Unhedged in USD was 05/03/2004. Prior to 05/03/2004, the performance of the JPMorgan GBI Global ex-US Index is shown.
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, P Class, Administrative Class and D Class prospectus dated 10/01/09, as supplemented to date, is 0.87% for the Institutional Class shares , 0.99% for the Class P shares, 1.12% for the Administrative Class shares and 1.27% for the Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Administrative Institutional Administrative Class Class P Class Class D Class Class P Class Class D $1,000.00 $1,000.00 $1,293.58 $1,293.02 $ 3.10 $ 3.68 $1,000.00 $1,291.90 $ 4.54 $1,000.00 $1,000.00 $1,000.00 $1,291.07 $1,022.36 $1,021.86 $ 5.40 $ 2.74 $ 3.24 $1,000.00 $1,021.11 $ 4.00 $1,000.00 $1,020.36 $ 4.76
Actual Performance
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.54% for Institutional Class, 0.64% for Class P, 0.79% for Administrative Class and 0.94% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
10
PIMCO Funds International Institutional Funds
Institutional Class
Allocation Breakdown
Portfolio Insights
United States
INSTITUTIONAL CLASS
$20.0
$17,496,826 15.0
INDEX
$15,430,308 Japan
10.0
5.0
The PIMCO Foreign Bond Fund (U.S. DollarHedged) seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in fixed-income instruments that are economically tied to foreign (non-U.S.) countries, representing at least three foreign countries, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. Portfolios managed to a U.S. dollar hedged benchmark are primarily hedged to the U.S. dollar. On a total return basis, portfolios that are hedged to the U.S. dollar generally underperformed unhedged portfolios over the period, as the U.S. dollar underperformed most major currencies. A U.S. curve positioning contributed to performance, but was offset by an overweight to U.S. duration (or sensitivity to changes in market interest rates) as short-term yields increased less than long-term yields. Holdings of corporate bonds, especially those of select financial companies, contributed to performance as spreads on these bonds narrowed during the period. Positions in Agency mortgage-backed securities (MBS), non-Agency MBS and asset-backed securities contributed to performance as prices on these securities showed improvement during the period. A position in Japanese inflation-linked bonds contributed to returns as real bonds outperformed nominal Japanese government bonds. An overweight to Australian duration detracted from performance as Australian yields increased.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* 1 Year 5 Years 10 Years Fund Inception (12/02/92) PIMCO Foreign Bond Fund (U.S. Dollar-Hedged) Institutional Class PIMCO Foreign Bond Fund (U.S. Dollar-Hedged) Class P PIMCO Foreign Bond Fund (U.S. Dollar-Hedged) Administrative Class PIMCO Foreign Bond Fund (U.S. Dollar-Hedged) Class D JPMorgan GBI Global ex-US Index Hedged in USD Lipper International Income Funds Average
* Cumulative return. All Fund returns are net of fees and expenses. ** Average annual total return since 11/30/92.
16.14% 17.30% 5.86% 6.43% 16.09% 17.24% 5.76% 6.33% 16.00% 17.02% 5.60% 6.18% 15.92% 16.84% 5.40% 5.97% 1.97% 7.62% 5.18% 5.46%
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Class P, Administrative Class and Class D prospectus dated 10/01/09, as supplemented to date, is 0.70% for the Institutional Class shares, 0.62% for the Class P shares, 0.95% for the Administrative Class shares and 1.10% for the Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Administrative Institutional Administrative Class Class P Class Class D Class Class P Class Class D $1,000.00 $1,000.00 $1,161.44 $1,160.91 $ 2.87 $ 3.41 $1,000.00 $1,160.03 $ 4.22 $1,000.00 $1,000.00 $1,000.00 $1,159.17 $1,022.41 $1,021.91 $ 5.03 $ 2.69 $ 3.19 $1,000.00 $1,021.16 $ 3.95 $1,000.00 $1,020.41 $ 4.71
Actual Performance
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.53% for Institutional Class, 0.63% for Class P, 0.78% for Administrative Class and 0.93% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
Semiannual Report September 30, 2009
11
Allocation Breakdown
Portfolio Insights
$20.0
15.0
$14,808,359 Netherlands
INDEX
$13,774,202 10.0
5.0
The PIMCO Global Bond Fund (Unhedged) seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its assets in fixed-income instruments that are economically tied to at least three countries (one of which may be the United States), which may be represented by forwards or derivatives such as options, futures contracts or swap agreements. A U.S. curve positioning contributed to performance, but was offset by an overweight to U.S. duration (or sensitivity to changes in market interest rates) as short-term yields increased less than long-term yields. Holdings of corporate bonds, especially those of select financial companies, contributed to performance as spreads on these bonds narrowed during the period. Positions in Agency mortgage-backed securities (MBS), non-Agency MBS and asset-backed securities contributed to performance as prices on these securities showed improvement during the period. A position in Japanese inflation-linked bonds contributed to returns as real bonds outperformed nominal Japanese government bonds. An overweight to Australian duration detracted from performance as Australian yields increased.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional or Administrative Class Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* 1 Year 5 Years 10 Years Fund Inception (11/23/93) PIMCO Global Bond Fund (Unhedged) Institutional Class PIMCO Global Bond Fund (Unhedged) Administrative Class PIMCO Global Bond Fund (Unhedged) Class D*** JPMorgan GBI Global FX NY Index Unhedged in USD Lipper Global Income Funds Average 22.78% 22.63% 22.55% 9.07% 15.90% 20.97% 6.22% 20.68% 5.96% 20.53% 5.80% 13.95% 6.64% 12.98% 5.15% 7.18% 6.92% 6.76% 6.72% 6.19% 7.12% 6.87% 6.70% 6.61%** 6.26%**
* Cumulative return. All Fund returns are net of fees and expenses. ** Average annual total return since 11/30/93. ***The inception date for the JPMorgan GBI Global FX NY Index Unhedged in USD was 05/03/2004. Prior to 05/03/2004, the performance of the JPMorgan GBI Global Index is shown.
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Administrative Class and Class D prospectus dated 10/01/09, as supplemented to date, is 0.91% for the Institutional Class shares, 1.16% for the Administrative Class shares and 1.11% for the Class D shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Administrative Class Class Class D $1,000.00 $1,022.16 $ 2.94 $1,000.00 $1,020.91 $ 4.20 $1,000.00 $1,020.16 $ 4.96
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.58% for Institutional Class, 0.83% for Administrative Class and 0.98% for Class D), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
12
PIMCO Funds International Institutional Funds
PGBIX
PGDAX PGNPX
Allocation Breakdown
Portfolio Insights
United States
INSTITUTIONAL CLASS
$15.0
$12,916,427
INDEX
10.0
5.0
The PIMCO Global Bond Fund (U.S. DollarHedged) seeks maximum total return, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in fixed-income instruments that are economically tied to at least three countries (one of which may be the United States), which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. Portfolios managed to a U.S. dollar hedged benchmark are primarily hedged to the U.S. dollar. On a total return basis, portfolios that are hedged to the U.S. dollar generally underperformed unhedged portfolios over the period, as the U.S. dollar underperformed most major currencies. A U.S. curve positioning contributed to performance, but was offset by an overweight to U.S. duration (or sensitivity to changes in market interest rates) as short-term yields increased less than long-term yields. Holdings of corporate bonds, especially those of select financial companies, contributed to performance as spreads on these bonds narrowed during the period. Positions in Agency mortgage-backed securities (MBS), non-Agency MBS and asset-backed securities contributed to performance as prices on these securities showed improvement during the period. A position in Japanese inflation-linked bonds contributed to returns as real bonds outperformed nominal Japanese government bonds. An overweight to Australian duration detracted from performance as Australian yields increased.
$5,000,000 invested at the beginning of the first full month following the inception of the Institutional Class. The minimum initial investment amount for Institutional Class, Administrative Class or Class P Shares is $5,000,000. The minimum initial investment amount for Class D Shares is $1,000.
Average Annual Total Return for the period ended September 30, 2009 6 Months* PIMCO Global Bond Fund (U.S. Dollar-Hedged) Institutional Class PIMCO Global Bond Fund (U.S. Dollar-Hedged) Class P PIMCO Global Bond Fund (U.S. Dollar-Hedged) Administrative Class JPMorgan GBI Global Hedged in USD Lipper Global Income Funds Average
* Cumulative return. All Fund returns are net of fees and expenses. ** Average annual total return since 09/30/95.
1 Year
5 Years 10 Years Fund Inception (10/02/95) 5.27% 5.17% 5.04% 5.20% 5.15% 6.36% 6.25% 6.08% 5.68% 6.19% 7.07% 6.96% 6.80% 6.57%** 6.35%**
Performance quoted represents past performance. Past performance is no guarantee of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Shares may be worth more or less than original cost when redeemed. Until 05/01/09, a redemption fee of 2% may have applied to shares that are redeemed or exchanged within 30 days of acquisition. Performance shown does not reflect any applicable redemption fees and would be lower if it did. Redemption fees are paid to and retained by the Fund and are not sales charges. Effective 05/01/09, the Fund no longer imposes a redemption fee. The Funds total annual operating expense ratio as stated in the Funds current Institutional Class, Class P and Administrative Class prospectus dated 10/01/09, as supplemented to date, is 1.04% for the Institutional Class shares, 1.16% for the Class P shares, and 1.29% for the Administrative Class shares. Details regarding any Funds redemption fees or operating expenses can be found in the Funds prospectus. Performance data current to the most recent month-end is available at www.pimco-funds.com or by calling (800) 927-4648.
Expense Example
Hypothetical Performance (5% return before expenses) Institutional Administrative Class Class P Class $1,000.00 $1,000.00 $1,022.31 $1,021.81 $ 2.79 $ 3.29 $1,000.00 $1,021.06 $ 4.05
Beginning Account Value (04/01/09) Ending Account Value (09/30/09) Expenses Paid During Period
For each class of the Fund, expenses are equal to the net annualized expense ratio for the class (0.55% for Institutional Class, 0.65% for Class P, and 0.80% for Administrative Class), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Please refer to page 5 herein for an explanation of the information presented in the above Expense Example.
Semiannual Report September 30, 2009
13
Benchmark Descriptions
Index Barclays Capital Municipal Bond Index Description Barclays Capital Municipal Bond Index consists of a broad selection of investmentgrade general obligation and revenue bonds of maturities ranging from one year to 30 years. It is an unmanaged index representative of the tax-exempt bond market. The index is made up of all investment grade municipal bonds issued after December 31, 1990 having a remaining maturity of at least one year. It is not possible to invest directly in an unmanaged index. Prior to November 1, 2008, this index was published by Lehman Brothers. Barclays Capital 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. Prior to November 1, 2008, this index was published by Lehman Brothers. Barclays Capital U.S. TIPS Index is an unmanaged market index comprised of all U.S. Treasury Inflation Protected Securities rated investment grade (Baa3 or better), have at least one year to final maturity, and at least $250 million par amount outstanding. Performance data for this index prior to October 1997 represents returns of the Barclays Capital Inflation Notes Index. It is not possible to invest directly in an unmanaged index. Prior to November 1, 2008, this index was published by Lehman Brothers. Dow Jones-UBS Commodity Index Total Return is an unmanaged index composed of futures contracts on 19 physical commodities. The index is designed to be a highly liquid and diversified benchmark for commodities as an asset class. It is not possible to invest directly in an unmanaged index. The JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified is a uniquely weighted version of the CEMBI index. It limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries eligible current face amounts of debt outstanding. The CEMBI Diversified results in well-distributed, more balanced weightings for countries included in the index. The countries covered in the CEMBI Diversified are identical to those covered by the CEMBI. It is not possible to invest directly in an unmanaged index. JPMorgan Emerging Local Markets Index Plus (Unhedged) tracks total returns for local-currency-denominated money market instruments in 22 emerging markets countries with at least US $10 billion of external trade. It is not possible to invest directly in an unmanaged index. JPMorgan Emerging Markets Bond Index (EMBI) Global tracks total returns for United States Dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments. It is not possible to invest directly in an unmanaged index. JPMorgan GBI Global ex-US FX NY Index Unhedged in USD is an unmanaged index market representative of the total return performance in U.S. dollars on an unhedged basis of major non-U.S. bond markets. It is not possible to invest directly in an unmanaged index. JPMorgan GBI Global ex-US Index Hedged in USD is an unmanaged index market representative of the total return performance in U.S. dollars of major non-U.S. bond markets. It is not possible to invest directly in an unmanaged index. JPMorgan GBI Global FX NY Index Unhedged in USD is an unmanaged index market representative of the total return performance in U.S. dollars on an unhedged basis of major world bond markets. It is not possible to invest directly in an unmanaged index. JPMorgan GBI Global Hedged in USD is an unmanaged index market representative of the total return performance in U.S. dollars on a hedged basis of major world bond markets. It is not possible to invest directly in an unmanaged index. JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged) is a comprehensive global local emerging markets index, and consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. It is not possible to invest directly in an unmanaged index.
Dow Jones-UBS Commodity Index Total Return JPMorgan Corporate Emerging Markets Bond Diversified Index
JPMorgan Emerging Local Markets Index Plus (Unhedged) JPMorgan Emerging Markets Bond Index (EMBI) Global JPMorgan GBI Global ex-US FX NY Index Unhedged in USD JPMorgan GBI Global ex-US Index Hedged in USD JPMorgan GBI Global FX NY Index Unhedged in USD JPMorgan GBI Global Hedged in USD
14
PIMCO Funds
Description The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. It is not possible to invest directly in an unmanaged index. S&P 500 Index is an unmanaged market index generally considered representative of the stock market as a whole. The Index focuses on the large-cap segment of the U.S. equities market. It is not possible to invest directly in an unmanaged index.
Semiannual Report
15
Financial Highlights
Developing Local Markets Fund Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 05/31/2005 - 03/31/2006 Class P 09/30/2009+ 04/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 09/30/2006 - 03/31/2007 Class D 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 05/31/2005 - 03/31/2006 Emerging Local Bond Fund Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 12/29/2006 - 03/31/2007 Class P 09/30/2009+ 05/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 10/16/2007 - 03/31/2008 Class D 09/30/2009+ 03/31/2009 07/31/2007 - 03/31/2008
$ 8.07 10.81 10.79 10.46 10.00 8.07 10.92 8.07 10.81 10.79 10.48 8.07 10.81 10.79 10.46 10.00
$ 0.13 0.39 0.51 0.48 0.30 0.11 0.33 0.12 0.38 0.44 0.23 0.11 0.36 0.46 0.44 0.27
$ 1.83 (2.57) 1.05 0.58 0.46 1.85 (2.67) 1.83 (2.59) 1.10 0.56 1.84 (2.58) 1.06 0.58 0.45
$ 1.96 (2.18) 1.56 1.06 0.76 1.96 (2.34) 1.95 (2.21) 1.54 0.79 1.95 (2.22) 1.52 1.02 0.72
$ (0.12) (0.37) (0.51) (0.48) (0.27) (0.12) (0.32) (0.11) (0.34) (0.49) (0.23) (0.11) (0.33) (0.47) (0.44) (0.23)
$ 0.00 (0.19) (1.03) (0.25) (0.03) 0.00 (0.19) 0.00 (0.19) (1.03) (0.25) 0.00 (0.19) (1.03) (0.25) (0.03)
$ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
$ 7.77 9.87 9.99 10.00 7.77 9.91 7.77 9.87 10.65 7.77 9.87 10.27
$ 0.28 0.52 0.67 0.15 0.27 0.38 0.27 0.56 0.28 0.24 0.51 0.40
$ 2.07 (2.10) 0.64 (0.03) 2.07 (2.10) 2.07 (2.16) (0.02) 2.09 (2.12) 0.43
$ 2.35 (1.58) 1.31 0.12 2.34 (1.72) 2.34 (1.60) 0.26 2.33 (1.61) 0.83
$ (0.32) (0.14) (0.70) (0.13) (0.31) (0.07) (0.31) (0.08) (0.31) (0.30) (0.09) (0.50)
$ 0.00 0.00 (0.73) 0.00 0.00 0.00 0.00 0.00 (0.73) 0.00 0.00 (0.73)
$ 0.00 (0.38) 0.00 0.00 0.00 (0.35) 0.00 (0.42) 0.00 0.00 (0.40) 0.00
+ Unaudited * Annualized (a) Per share amounts based on average number of shares outstanding during the year or period. (b) Effective October 1, 2005, the Fund's administrative fee was reduced by 0.10% to 0.40%. (c) Effective October 1, 2005, the Fund's administrative fee was reduced by 0.10% to an annual rate of 0.55%.
16
PIMCO Funds
Total Distributions
Total Return
Ratio of Expenses to Average Net Assets Excluding Interest Expense and Waivers
$ (0.12) (0.56) (1.54) (0.73) (0.30) (0.12) (0.51) (0.11) (0.53) (1.52) (0.48) (0.11) (0.52) (1.50) (0.69) (0.26)
$ 9.91 8.07 10.81 10.79 10.46 9.91 8.07 9.91 8.07 10.81 10.79 9.91 8.07 10.81 10.79 10.46
24.45% (20.61) 15.10 10.45 7.66 24.39 (21.73) 24.30 (20.83) 14.83 8.09 24.20 (20.93) 14.65 10.01 7.26
$ 1,208,347 1,556,487 4,266,684 2,862,054 1,644,442 43,187 8 1,254 4,965 24,961 11 261,162 145,921 565,027 352,533 224,896
0.86%* 0.85 0.85 0.85 0.86*(b) 0.96* 0.95* 1.11* 1.10 1.10 1.10* 1.26* 1.25 1.25 1.25 1.25*(c)
0.86%* 0.85 0.85 0.85 0.86*(b) 0.96* 0.95* 1.11* 1.10 1.10 1.10* 1.26* 1.25 1.25 1.25 1.25*(c)
0.85%* 0.85 0.85 0.85 0.86*(b) 0.95* 0.95* 1.10* 1.10 1.10 1.10* 1.25* 1.25 1.25 1.25 1.25*(c)
0.85%* 0.85 0.85 0.85 0.86*(b) 0.95* 0.95* 1.10* 1.10 1.10 1.10* 1.25* 1.25 1.25 1.25 1.25*(c)
2.77%* 3.95 4.64 4.55 3.54* 2.38* 3.76* 2.62* 3.68 4.03 4.39* 2.27* 3.57 4.20 4.13 3.19*
89% 95 31 11 6 89 95 89 95 31 11 89 95 31 11 6
$ (0.32) (0.52) (1.43) (0.13) (0.31) (0.42) (0.31) (0.50) (1.04) (0.30) (0.49) (1.23)
$ 9.80 7.77 9.87 9.99 9.80 7.77 9.80 7.77 9.87 9.80 7.77 9.87
30.55% (16.41) 13.55 1.24 30.52 (17.62) 30.40 (16.63) 2.55 30.30 (16.74) 8.27
890,817 1,510,836 1,653,663 622,414 6,632 656 2,773 1,026 17,690 222,397 4,698 11,040
0.96%* 0.95 0.95 1.15* 1.06* 1.05* 1.21* 1.20 1.20* 1.36* 1.35 1.32*
0.96%* 0.95 0.95 1.20* 1.06* 1.05* 1.21* 1.20 1.20* 1.36* 1.35 1.32*
0.95%* 0.95 0.95 1.14* 1.05* 1.05* 1.20* 1.20 1.20* 1.35* 1.35 1.32*
0.95%* 0.95 0.95 1.18* 1.05* 1.05* 1.20* 1.20 1.20* 1.35* 1.35 1.32*
6.26%* 6.03 6.53 6.13* 5.81* 5.83* 5.91* 5.84 6.23* 5.08* 5.63 6.00*
Semiannual Report
17
Financial Highlights
(Cont.)
Emerging Markets and Infrastructure Bond Fund Institutional Class 07/01/2009 - 09/30/2009+ Emerging Markets Bond Fund Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class P 09/30/2009+ 04/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class D 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005
$ 10.00
$ 0.14
$ 0.81
$ 0.95
$ (0.15)
$ 0.00
$ 0.00
$ 8.55 10.68 11.13 11.14 10.58 10.73 8.55 10.79 8.55 10.68 11.13 11.14 10.58 10.73 8.55 10.68 11.13 11.14 10.58 10.73
$ 0.29 0.59 0.60 0.58 0.60 0.45 0.28 0.54 0.27 0.55 0.57 0.56 0.57 0.42 0.27 0.55 0.56 0.54 0.55 0.41
$ 1.71 (1.93) (0.07) 0.57 0.92 0.29 1.72 (2.06) 1.72 (1.92) (0.07) 0.56 0.92 0.30 1.71 (1.93) (0.07) 0.57 0.92 0.29
$ 2.00 (1.34) 0.53 1.15 1.52 0.74 2.00 (1.52) 1.99 (1.37) 0.50 1.12 1.49 0.72 1.98 (1.38) 0.49 1.11 1.47 0.70
$ (0.32) (0.69) (0.65) (0.62) (0.62) (0.49) (0.32) (0.62) (0.31) (0.66) (0.62) (0.59) (0.59) (0.47) (0.30) (0.65) (0.61) (0.58) (0.57) (0.45)
$ 0.00 (0.10) (0.33) (0.54) (0.34) (0.40) 0.00 (0.10) 0.00 (0.10) (0.33) (0.54) (0.34) (0.40) 0.00 (0.10) (0.33) (0.54) (0.34) (0.40)
$ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
+ Unaudited * Annualized (a) Per share amounts based on average number of shares outstanding during the year or period.
18
PIMCO Funds
Total Distributions
Total Return
Ratio of Expenses to Average Net Assets Excluding Interest Expense and Waivers
$ (0.15)
$ 10.80
9.49%
33,130
1.23%*
1.25%*
1.23%*
1.25%*
5.28%*
54%
$ (0.32) (0.79) (0.98) (1.16) (0.96) (0.89) (0.32) (0.72) (0.31) (0.76) (0.95) (1.13) (0.93) (0.87) (0.30) (0.75) (0.94) (1.12) (0.91) (0.85)
$ 10.23 8.55 10.68 11.13 11.14 10.58 10.23 8.55 10.23 8.55 10.68 11.13 11.14 10.58 10.23 8.55 10.68 11.13 11.14 10.58
23.72% (12.67) 4.99 10.76 14.72 7.18 23.66 (14.12) 23.57 (12.89) 4.72 10.48 14.43 6.91 23.48 (13.02) 4.58 10.33 14.26 6.75
$ 1,882,477 1,815,799 2,624,644 1,758,895 2,145,193 1,434,181 32,339 48 12,384 9,601 18,827 30,661 23,798 18,282 199,054 113,093 176,334 202,100 275,827 187,004
0.88%* 0.88 0.85 0.85 0.85 0.85 0.97* 0.98* 1.13* 1.13 1.10 1.10 1.10 1.10 1.28* 1.28 1.25 1.25 1.25 1.25
0.88%* 0.88 0.85 0.85 0.85 0.85 0.97* 0.98* 1.13* 1.13 1.10 1.10 1.10 1.10 1.28* 1.28 1.25 1.25 1.25 1.25
0.85%* 0.85 0.85 0.85 0.85 0.85 0.95* 0.95* 1.10* 1.10 1.10 1.10 1.10 1.10 1.25* 1.25 1.25 1.25 1.25 1.25
0.85%* 0.85 0.85 0.85 0.85 0.85 0.95* 0.95* 1.10* 1.10 1.10 1.10 1.10 1.10 1.25* 1.25 1.25 1.25 1.25 1.25
6.04%* 6.29 5.51 5.25 5.36 4.25 5.82* 6.60* 5.78* 6.13 5.26 5.00 5.10 3.98 5.61* 5.81 5.11 4.87 4.96 3.85
121% 220 148 238 280 415 121 220 121 220 148 238 280 415 121 220 148 238 280 415
Semiannual Report
19
Financial Highlights
(Cont.)
Foreign Bond Fund (Unhedged) Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 04/30/2004 - 03/31/2005 Class P 09/30/2009+ 04/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 02/28/2006 - 03/31/2006 Class D 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 04/30/2004 - 03/31/2005
$ 8.02 11.54 10.21 9.90 10.83 10.00 8.02 11.18 8.02 11.54 10.21 9.90 10.00 8.02 11.54 10.21 9.90 10.83 10.00
$ 0.23 0.50 0.42 0.38 0.35 0.23 0.22 0.45 0.22 0.48 0.39 0.37 0.03 0.21 0.46 0.37 0.35 0.30 0.18
$ 2.10 (2.59) 1.64 0.35 (0.96) 0.89 2.11 (2.23) 2.10 (2.60) 1.64 0.34 (0.10) 2.11 (2.60) 1.64 0.34 (0.96) 0.90
$ 2.33 (2.09) 2.06 0.73 (0.61) 1.12 2.33 (1.78) 2.32 (2.12) 2.03 0.71 (0.07) 2.32 (2.14) 2.01 0.69 (0.66) 1.08
$ (0.19) (0.32) (0.40) (0.35) (0.10) (0.18) (0.19) (0.27) (0.18) (0.29) (0.37) (0.33) 0.00 (0.18) (0.27) (0.35) (0.31) (0.05) (0.14)
$ 0.00 (1.00) (0.33) (0.07) 0.00 (0.11) 0.00 (1.00) 0.00 (1.00) (0.33) (0.07) 0.00 0.00 (1.00) (0.33) (0.07) 0.00 (0.11)
$ 0.00 (0.11) 0.00 0.00 (0.22) 0.00 0.00 (0.11) 0.00 (0.11) 0.00 0.00 (0.03) 0.00 (0.11) 0.00 0.00 (0.22) 0.00
+ Unaudited * Annualized (a) Per share amounts based on average number of shares outstanding during the year or period. (b) Effective October 1, 2008, the Funds supervisory and administrative fee was reduced by 0.05% to an annual rate of 0.40%.
20
PIMCO Funds
Total Distributions
Total Return
Ratio of Expenses to Average Net Assets Excluding Interest Expense and Waivers
$ (0.19) (1.43) (0.73) (0.42) (0.32) (0.29) (0.19) (1.38) (0.18) (1.40) (0.70) (0.40) (0.03) (0.18) (1.38) (0.68) (0.38) (0.27) (0.25)
$ 10.16 8.02 11.54 10.21 9.90 10.83 10.16 8.02 10.16 8.02 11.54 10.21 9.90 10.16 8.02 11.54 10.21 9.90 10.83
29.36% (18.22) 21.00 7.47 (5.72) 11.27 29.30 (15.92) 29.19 (18.42) 20.70 7.21 (0.74) 29.11 (18.57) 20.47 7.05 (6.15) 10.80
$ 1,450,666 997,286 1,791,483 1,199,990 1,076,199 992,593 29,197 28 47,018 579,144 837,933 619,704 10 195,976 113,927 176,950 145,187 104,470 85,296
0.54%* 0.87 0.81 0.50 0.50 0.50* 0.64* 0.99* 0.79* 1.12 1.04 0.75 0.75* 0.94* 1.30(b) 1.23 0.95 0.95 0.95*
0.54%* 0.87 0.81 0.50 0.50 0.51* 0.64* 0.99* 0.79* 1.12 1.04 0.75 0.75* 0.94* 1.30(b) 1.23 0.95 0.95 0.96*
0.50%* 0.50 0.50 0.50 0.50 0.50* 0.60* 0.60* 0.75* 0.75 0.75 0.75 0.75* 0.90* 0.93(b) 0.95 0.95 0.95 0.95*
0.50%* 0.50 0.50 0.50 0.50 0.51* 0.60* 0.60* 0.75* 0.75 0.75 0.75 0.75* 0.90* 0.93(b) 0.95 0.95 0.95 0.96*
5.02%* 5.10 3.97 3.79 3.38 2.27* 4.69* 5.14* 5.18* 4.87 3.72 3.61 3.72* 4.61* 4.67 3.51 3.40 2.95 1.78*
271% 653 798 644 480 344 271 653 271 653 798 644 480 271 653 798 644 480 344
Semiannual Report
21
Financial Highlights
(Cont.)
Foreign Bond Fund (U.S. Dollar-Hedged) Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class P 09/30/2009+ 04/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class D 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Global Bond Fund (Unhedged) Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class D 09/30/2009+ 07/31/2008 - 03/31/2009
$ 9.05 10.39 10.17 10.30 10.56 10.52 9.05 10.29 9.05 10.39 10.17 10.30 10.56 10.52 9.05 10.39 10.17 10.30 10.56 10.52
$ 0.25 0.45 0.40 0.36 0.36 0.30 0.25 0.41 0.24 0.43 0.37 0.34 0.34 0.28 0.23 0.41 0.35 0.32 0.31 0.26
$ 1.20 (0.92) 0.19 0.05 0.04 0.32 1.19 (0.82) 1.19 (0.93) 0.20 0.05 0.03 0.32 1.20 (0.93) 0.20 0.05 0.04 0.32
$ 1.45 (0.47) 0.59 0.41 0.40 0.62 1.44 (0.41) 1.43 (0.50) 0.57 0.39 0.37 0.60 1.43 (0.52) 0.55 0.37 0.35 0.58
$ (0.22) (0.38) (0.37) (0.31) (0.33) (0.27) (0.21) (0.34) (0.20) (0.35) (0.35) (0.29) (0.30) (0.25) (0.20) (0.33) (0.33) (0.27) (0.28) (0.23)
$ 0.00 (0.49) 0.00 (0.21) (0.33) (0.31) 0.00 (0.49) 0.00 (0.49) 0.00 (0.21) (0.33) (0.31) 0.00 (0.49) 0.00 (0.21) (0.33) (0.31)
$ 0.00 0.00 0.00 (0.02) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 (0.02) 0.00 0.00 0.00 0.00 0.00 (0.02) 0.00 0.00
$ 8.12 10.99 9.83 9.50 10.16 10.48 8.12 10.99 9.83 9.50 10.16 10.48 8.12 10.33
$ 0.22 0.47 0.39 0.34 0.33 0.27 0.21 0.45 0.37 0.31 0.29 0.24 0.20 0.25
$ 1.61 (2.07) 1.32 0.30 (0.71) 0.39 1.61 (2.07) 1.31 0.30 (0.69) 0.39 1.61 (1.34)
$ 1.83 (1.60) 1.71 0.64 (0.38) 0.66 1.82 (1.62) 1.68 0.61 (0.40) 0.63 1.81 (1.09)
$ (0.20) (0.32) (0.37) (0.31) (0.25) (0.23) (0.19) (0.30) (0.34) (0.28) (0.23) (0.20) (0.18) (0.18)
$ 0.00 (0.88) (0.18) 0.00 0.00 (0.75) 0.00 (0.88) (0.18) 0.00 0.00 (0.75) 0.00 (0.88)
$ 0.00 (0.07) 0.00 0.00 (0.03) 0.00 0.00 (0.07) 0.00 0.00 (0.03) 0.00 0.00 (0.06)
+ Unaudited * Annualized (a) Per share amounts based on average number of shares outstanding during the year or period. (b) Effective October 1, 2008, the Funds supervisory and administrative fee was reduced by 0.05% to an annual rate of 0.40%.
22
PIMCO Funds
Total Distributions
Total Return
Ratio of Expenses to Average Net Assets Excluding Interest Expense and Waivers
$ (0.22) (0.87) (0.37) (0.54) (0.66) (0.58) (0.21) (0.83) (0.20) (0.84) (0.35) (0.52) (0.63) (0.56) (0.20) (0.82) (0.33) (0.50) (0.61) (0.54)
$ 10.28 9.05 10.39 10.17 10.30 10.56 10.28 9.05 10.28 9.05 10.39 10.17 10.30 10.56 10.28 9.05 10.39 10.17 10.30 10.56
16.14% (4.34) 5.99 4.05 3.81 6.06 16.09 (3.76) 16.00 (4.58) 5.72 3.79 3.55 5.80 15.92 (4.75) 5.52 3.58 3.35 5.59
$ 1,948,489 2,272,951 2,262,059 1,950,374 1,664,360 1,185,669 25,446 2,629 30,751 31,889 42,403 52,182 56,200 62,996 134,375 105,439 152,415 208,962 266,367 235,709
0.53%* 0.70 0.88 0.50 0.50 0.50 0.63* 0.62* 0.78* 0.95 1.11 0.75 0.75 0.75 0.93* 1.13(b) 1.27 0.95 0.95 0.95
0.53%* 0.70 0.88 0.50 0.50 0.50 0.63* 0.62* 0.78* 0.95 1.11 0.75 0.75 0.75 0.93* 1.13(b) 1.27 0.95 0.95 0.95
0.50%* 0.50 0.50 0.50 0.50 0.50 0.60* 0.60* 0.75* 0.75 0.75 0.75 0.75 0.75 0.90* 0.93(b) 0.95 0.95 0.95 0.95
0.50%* 0.50 0.50 0.50 0.50 0.50 0.60* 0.60* 0.75* 0.75 0.75 0.75 0.75 0.75 0.90* 0.93(b) 0.95 0.95 0.95 0.95
5.14%* 4.71 3.89 3.55 3.42 2.90 5.03* 4.95* 4.89* 4.45 3.63 3.30 3.16 2.65 4.73* 4.27 3.42 3.11 2.95 2.44
220% 779 969 653 571 477 220 779 220 779 969 653 571 477 220 779 969 653 571 477
$ (0.20) (1.27) (0.55) (0.31) (0.28) (0.98) (0.19) (1.25) (0.52) (0.28) (0.26) (0.95) (0.18) (1.12)
$ 9.75 8.12 10.99 9.83 9.50 10.16 9.75 8.12 10.99 9.83 9.50 10.16 9.75 8.12
22.78% (14.42) 17.94 6.81 (3.74) 6.30 22.63 (14.63) 17.65 6.55 (3.97) 6.03 22.55 (10.29)
669,742 596,210 1,051,675 917,437 788,283 1,220,538 176,517 150,861 199,539 98,536 77,162 56,706 2,151 810
0.58%* 0.91 0.84 0.55 0.55 0.55 0.83* 1.16 1.12 0.80 0.81 0.80 0.98* 1.11*
0.58%* 0.91 0.84 0.55 0.55 0.55 0.83* 1.16 1.12 0.80 0.81 0.80 0.98* 1.11*
0.55%* 0.55 0.55 0.55 0.55 0.55 0.80* 0.80 0.80 0.80 0.80 0.80 0.95* 0.95*
0.55%* 0.55 0.55 0.55 0.55 0.55 0.80* 0.80 0.80 0.80 0.80 0.80 0.95* 0.95*
4.98%* 4.98 3.84 3.48 3.32 2.60 4.73* 4.76 3.62 3.23 2.96 2.36 4.32* 4.58*
273% 693 776 543 551 278 273 693 776 543 551 278 273 693
Semiannual Report
23
Financial Highlights
(Cont.)
Global Bond Fund (U.S. Dollar-Hedged) Institutional Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005 Class P 09/30/2009+ 04/30/2008 - 03/31/2009 Administrative Class 09/30/2009+ 03/31/2009 03/31/2008 03/31/2007 03/31/2006 03/31/2005
$ 8.75 9.92 9.61 9.66 10.00 10.03 8.75 9.80 8.75 9.92 9.61 9.66 10.00 10.03
$ 0.21 0.44 0.39 0.34 0.34 0.27 0.20 0.40 0.19 0.42 0.37 0.32 0.32 0.25
$ 0.90 (0.88) 0.28 0.07 0.00 0.21 0.90 (0.75) 0.91 (0.88) 0.28 0.07 (0.01) 0.21
$ 1.11 (0.44) 0.67 0.41 0.34 0.48 1.10 (0.35) 1.10 (0.46) 0.65 0.39 0.31 0.46
$ (0.19) (0.39) (0.36) (0.32) (0.31) (0.24) (0.18) (0.36) (0.18) (0.37) (0.34) (0.30) (0.28) (0.22)
$ 0.00 (0.34) 0.00 (0.14) (0.37) (0.27) 0.00 (0.34) 0.00 (0.34) 0.00 (0.14) (0.37) (0.27)
$ 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
+ Unaudited * Annualized (a) Per share amounts based on average number of shares outstanding during the year or period.
24
PIMCO Funds
Total Distributions
Total Return
Ratio of Expenses to Average Net Assets Excluding Interest Expense and Waivers
$ (0.19) (0.73) (0.36) (0.46) (0.68) (0.51) (0.18) (0.70) (0.18) (0.71) (0.34) (0.44) (0.65) (0.49)
$ 9.67 8.75 9.92 9.61 9.66 10.00 9.67 8.75 9.67 8.75 9.92 9.61 9.66 10.00
12.78% (4.21) 7.12 4.32 3.41 4.89 12.72 (3.37) 12.68 (4.44) 6.89 4.13 3.13 4.63
0.55%* 1.04 1.02 0.55 0.55 0.55 0.65* 1.16* 0.80* 1.29 1.27 0.80 0.80 0.80
0.55%* 1.04 1.02 0.55 0.55 0.55 0.65* 1.16* 0.80* 1.29 1.27 0.80 0.80 0.80
0.55%* 0.55 0.55 0.55 0.55 0.55 0.65* 0.65* 0.80* 0.80 0.80 0.80 0.80 0.80
0.55%* 0.55 0.55 0.55 0.55 0.55 0.65* 0.65* 0.80* 0.80 0.80 0.80 0.80 0.80
4.52%* 4.79 4.03 3.55 3.41 2.71 4.27* 4.80* 4.10* 4.56 3.81 3.34 3.15 2.47
263% 653 775 581 372 245 263 653 263 653 775 581 372 245
Semiannual Report
25
(Amounts in thousands, except per share amounts) Assets: Investments, at value Investments in Affiliates, at value Repurchase agreements, at value Cash Deposits with counterparty Foreign currency, at value Receivable for investments sold Receivable for investments sold on a delayed-delivery basis Receivable for Fund shares sold Interest and dividends receivable Dividends receivable from Affiliates Variation margin receivable Swap premiums paid Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements Liabilities: Payable for reverse repurchase agreements Payable for investments purchased Payable for investments in Affiliates purchased Payable for investments purchased on a delayed-delivery basis Payable for short sales Deposits from counterparty Payable for Fund shares redeemed Dividends payable Overdraft due to custodian Written options outstanding Accrued related party fees Variation margin payable Recoupment payable to Manager Swap premiums received Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements Other liabilities
Net Assets Net Assets Consist of: Paid in capital Undistributed (overdistributed) net investment income Accumulated undistributed net realized gain (loss) Net unrealized appreciation (depreciation) Net Assets: Institutional Class Class P Administrative Class Class D Other Classes Shares Issued and Outstanding: Institutional Class Class P Administrative Class Class D Net Asset Value and Redemption Price Per Share (Net Asset Per Share Outstanding) Institutional Class Class P Administrative Class Class D Cost of Investments Owned Cost of Investments in Affiliates Owned Cost of Repurchase Agreements Owned Cost of Foreign Currency Held Proceeds Received on Short Sales Premiums Received on Written Options
$ 1,781,896 $ 2,665,645 (58,709) (905,008) 79,968 $ 1,781,896 $ 1,208,347 43,187 1,254 261,162 267,946 121,940 4,358 127 26,355 $ 9.91 9.91 9.91 9.91
$ 1,178,436 $ 1,275,516 (67,614) (89,566) 60,100 $ 1,178,436 $ 890,817 6,632 2,773 222,397 55,817 90,855 676 283 22,682 $ 9.80 9.80 9.80 9.80
26
PIMCO Funds
$ 33,130 $ 32,737 0 69 324 $ 33,130 $ 33,130 0 0 0 0 3,068 0 0 0 $ 10.80 NA NA NA $ 31,651 $ 100 $ 146 $ 0 $ 0 $ 0
$ 2,534,262 $ 2,729,162 (126,694) (213,710) 145,504 $ 2,534,262 $ 1,882,477 32,339 12,384 199,054 408,008 183,973 3,161 1,210 19,453 $ 10.23 10.23 10.23 10.23
$ 2,026,300 $ 2,120,901 (50,684) 1,459 (45,376) $ 2,026,300 $ 1,450,666 29,197 47,018 195,976 303,443 142,792 2,874 4,628 19,290 $ 10.16 10.16 10.16 10.16
$ 2,404,925 $ 2,520,522 27,346 (151,755) 8,812 $ 2,404,925 $ 1,948,489 25,446 30,751 134,375 265,864 189,609 2,476 2,993 13,076 $ 10.28 10.28 10.28 10.28
$ $
$ 187,867 $ 196,399 5,585 (10,884) (3,233) $ 187,867 $ 147,106 1,758 72 0 38,931 15,214 182 7 0 $ 9.67 9.67 9.67 NA
$ $
$ $ $ $ $ $
27
Statements of Operations
Six Months Ended September 30, 2009 (Unaudited) Developing Local Markets Fund Emerging Local Bond Fund
(Amounts in thousands)
Investment Income: Interest, net of foreign taxes* Dividends Dividends from Affiliate investments Miscellaneous income Total Income Expenses: Investment advisory fees Supervisory and administrative fees Distribution and/or servicing fees - Administrative Class Distribution and/or servicing fees - Class D Distribution and/or servicing fees - Other Classes Trustees' fees Interest expense Miscellaneous expense Total Expenses Net Investment Income Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments Net realized gain on Affiliate investments Net realized gain (loss) on futures contracts, written options and swaps Net realized gain (loss) on foreign currency transactions Net change in unrealized appreciation on investments Net change in unrealized (depreciation) on Affiliate investments Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies Net Gain Net Increase in Net Assets Resulting from Operations * Foreign tax withholdings
(1)
(81,512) 146 9,186 (186,908) 258,134 (33) (6,760) 362,126 354,379 $ 376,268 $ 12
(63,035) 121 31,588 (21,175) 279,851 (25) 132 60,836 288,293 $ 322,936 $ 1,042
28
PIMCO Funds
$ 115 0 0 0 115
21,549 10 35 24 21,618
4,297 10 9 1 4,317
14 7 0 0 0 0 0 0 21 94
Semiannual Report
29
Increase (Decrease) in Net Assets from: Operations: Net investment income Net realized gain (loss) Net realized gain on Affiliate investments Net change in unrealized appreciation (depreciation) Net change in unrealized appreciation (depreciation) on Affiliate investments Net increase (decrease) resulting from operations Distributions to Shareholders: From net investment income Institutional Class Class P Administrative Class Class D Other Classes From net realized capital gains Institutional Class Class P Administrative Class Class D Other Classes Tax basis return of capital Institutional Class Class P Administrative Class Class D Other Classes Total Distributions Fund Share Transactions: Receipts for shares sold Institutional Class Class P Administrative Class Class D Other Classes Issued as reinvestment of distributions Institutional Class Class P Administrative Class Class D Other Classes Cost of shares redeemed Institutional Class Class P Administrative Class Class D Other Classes Net increase (decrease) resulting from Fund share transactions Fund Redemption Fee Total Increase (Decrease) in Net Assets Net Assets: Beginning of period End of period* *Including undistributed (overdistributed) net investment income of:
94 69 0 324 0 487
(27,755) (2) (123) (98) (215) 0 0 0 0 0 (77,875) (19) (429) (372) (943) (107,831)
(94) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (94)
(165,394) (1) (2,198) (10,257) (26,472) (25,020) 0 (423) (1,396) (3,872) (960) 0 (13) (64) (171) (236,241)
415,305 43,994 552 118,430 74,580 15,026 58 41 2,035 1,797 (1,043,576) (3,890) (5,103) (41,633) (89,264) (511,648) 5 (157,043)
1,384,040 10 4,087 410,351 387,132 182,488 0 690 18,695 15,524 (3,160,279) 0 (20,063) (723,939) (468,330) (1,969,594) 490 (3,371,247)
369,395 5,639 1,688 214,853 37,324 33,400 18 50 1,665 708 (1,291,099) (123) (300) (7,629) (5,136) (639,547) 1 (355,946)
699,625 1,240 2,685 8,075 22,925 102,169 0 552 416 971 (484,865) (486) (16,407) (12,847) (20,457) 303,596 32 (168,451)
396,589 32,537 2,786 77,524 97,961 42,972 288 342 4,452 8,174 (705,343) (3,245) (2,272) (23,159) (83,975) (154,369) 2 274,519
702,070 47 97,755 58,345 101,150 152,682 1 2,602 10,738 21,707 (1,140,354) 0 (88,949) (93,652) (189,341) (365,199) 112 (1,046,433)
1,938,939 $ 1,781,896
5,310,186 $ 1,938,939
1,534,382 $ 1,178,436
1,702,833 $ 1,534,382
0 $ 33,130
2,259,743 $ 2,534,262
3,306,176 $ 2,259,743
(58,709)
(58,930)
(67,614)
(62,921)
$ (126,694)
(117,915)
30
PIMCO Funds
(48,120) 0 (23,921) (4,279) (8,255) (131,246) (1) (66,769) (12,974) (26,893) (15,682) 0 (8,373) (1,601) (3,353) (351,467)
(96,578) (15) (1,370) (4,829) (10,349) (137,360) (4) (1,788) (6,808) (15,877) 0 0 0 0 0 (274,978)
(26,433) 0 (5,863) (6) 0 (66,196) 0 (15,887) (6) 0 (5,831) 0 (1,382) (3) 0 (121,607)
424,641 27,208 44,937 67,278 80,000 21,818 121 4,204 2,533 3,577 (269,520) (1,440) (650,353) (22,727) (55,949) (323,672) 13 118,896
664,670 30 445,502 97,916 134,056 179,867 1 97,974 17,235 29,629 (1,119,358) 0 (526,375) (125,017) (257,143) (361,013) 1,358 (1,318,404)
308,416 24,986 3,526 32,839 38,792 33,612 195 675 2,079 4,010 (916,940) (4,654) (9,456) (20,455) (80,449) (582,824) 7 (278,690)
1,548,513 2,708 6,582 62,630 148,075 189,372 14 3,054 10,765 21,073 (1,368,485) (74) (14,860) (100,433) (178,037) 330,897 128 (97,377)
76,187 0 15,047 1,990 0 13,358 0 3,390 12 0 (129,123) 0 (21,941) (781) 0 (41,861) 14 100,529
150,704 0 56,921 871 0 95,137 0 23,071 12 0 (469,762) 0 (73,146) (32) 0 (216,224) 350 (503,333)
21,089 1,731 75 0 7,211 2,040 9 1 0 432 (22,898) (115) (20) 0 (6,981) 2,574 14 19,660
1,907,404 $ 2,026,300
3,225,808 $ 1,907,404
2,683,615 $ 2,404,925
2,780,992 $ 2,683,615
747,881 $ 848,410
1,251,214 747,881
168,207 $ 187,867
266,167 $ 168,207
(50,684)
(57,878)
27,346
19,631
$ (27,247)
(29,057)
5,585
5,211
Semiannual Report
31
Majapahit Holding BV
$
5,700
5,701 11,288
6,750
7,003 7,527
BRL
1,720
1,765 1,765
1,500
1,499 1,499
1,137 9,300
378
376 376
3,700 22,664
13,220
13,193 13,193
Gazstream S.A. for Gazprom OAO RSHB Capital S.A. for OJSC Russian Agricultural Bank
PLN
50,200
17,319 17,319
COP
2,517 34,114
Qatar Petroleum
Ras Laffan Liquefied Natural Gas Co. Ltd. Ras Laffan Liquefied Natural Gas Co. Ltd. III
25,207
2,950 9,450
Total Malaysia (Cost $13,664) MEXICO 2.0% America Movil SAB de C.V.
13,632
7,500
7,969 7,969
65,262
0.687% due 11/22/2012 0.728% due 04/03/2010 0.910% due 10/20/2009 5.300% due 01/17/2013
Total South Korea (Cost $112,798)
500
524
5,700
5,587
32
PIMCO Funds
GSAMP Trust
$
4,400
4,400 4,400
44 533 488 680 476 442 413 119 5,200 1,642 178 471 764 49 365 291 170 404 444 690 457 259 1,049 284 379 119 546 336 456 77 355 505 362 522 165
36 322 399 632 435 304 341 115 2,204 1,443 176 387 161 49 117 284 162 393 342 281 352 246 659 265 333 117 287 146 344 76 326 337 251 364 162 25,238
12,400 3,200 25,000 1,000 800 300 16,030 24,985 8,900 12,800
14,167 3,200 25,250 1,002 846 327 16,044 25,212 8,684 12,745 728 2,001 801 6,302
0.306% due 05/25/2037 3,800 3,240 5,776 3,580 9,356 0.296% due 10/25/2036 0.306% due 03/25/2047 0.326% due 03/25/2037 0.333% due 11/25/2036 0.356% due 08/25/2036
Lehman XS Trust
4,600
4,880 4,880
0.326% due 11/25/2046 0.366% due 11/25/2036 0.416% due 04/25/2046 0.486% due 09/25/2046 0.286% due 08/25/2036 0.296% due 01/25/2037
Morgan Stanley ABS Capital I
EUR
0.286% due 10/25/2036 0.296% due 10/25/2036 0.296% due 11/25/2036 0.306% due 05/25/2037
Morgan Stanley Mortgage Loan Trust
665 2,900 16,950 10,610 52,500 2,800 12,500 24,000 28,000 3,700 4,800 4,800 3,900 12,000 1,800 1,750 3,825 4,414 15,600 9,000 10,000 20,900 10,960 4,400
670 2,977 16,946 10,613 52,508 2,732 12,603 23,137 27,890 3,700 3,780 3,579 3,904 12,192 1,799 1,750 3,813 4,397 15,607 8,575 8,736 21,040 10,953 6,181
33
0.306% due 01/25/2037 450 455 405 326 426 4,221 2,708 388 544 623 406 540 204 213 2,300 205 481 154 700 366 373 337 301 387 2,644 2,354 350 456 417 366 500 196 155 0.286% due 01/25/2037 0.296% due 09/25/2036 0.306% due 12/25/2036 0.326% due 11/25/2036
Soundview Home Equity Loan Trust
0.296% due 12/25/2036 0.336% due 06/25/2037 0.326% due 05/25/2037 0.296% due 11/25/2036 0.326% due 10/25/2036 1.246% due 10/25/2037
Carrington Mortgage Loan Trust
Asset-Backed Securities Corp. Home Equity Bear Stearns Asset-Backed Securities Trust
0.414% due 05/08/2012 0.510% due 08/15/2011 0.564% due 12/07/2012 0.645% due 04/10/2012 0.933% due 02/01/2011
General Mills, Inc.
0.306% due 05/25/2037 0.306% due 07/25/2045 0.326% due 10/25/2047 0.346% due 09/25/2047 0.406% due 02/25/2036 0.366% due 07/25/2037
Daimler Chrysler Auto Trust
EUR
Semiannual Report
(Cont.)
Kimberly-Clark Corp.
12,400 4,600 6,600 5,900 5,325 6,974 5,000 2,300 27,400 6,050 4,100 8,800 25,000 6,989 300 2,000 8,000 5,000 5,000 105,618 4,500 700 800 1,000 600 1,100 3,400 1,700 500 2,400 16,000 4,500 15,000 9,000 9,400 100 9,700 6,000 22,800 4,700 3,700 3,600
12,420 794 1,138 1,018 774 1,273 1,189 2,213 27,754 6,039 3,906 8,797 25,259 6,925 301 2,068 8,024 5,029 4,800 105,191 4,783 631 760 839 799 843 3,303 1,970 501 2,391 16,017 4,421 15,525 9,005 9,403 100 9,637 5,876 22,489 4,702 3,660 3,600
2,042
2,265 753,653
322 910
306 552
Indymac Index Mortgage Loan Trust JPMorgan Chase Commercial Mortgage Securities Corp.
2.907% due 11/16/2009 (a) 2.951% due 05/25/2010 (a) 3.011% due 12/23/2010 (a) 4.730% due 06/01/2011 (a)(h) 6.875% due 05/02/2018 (a) 7.875% due 05/08/2018 (a)
Merrill Lynch & Co., Inc.
CAD $ GBP
524 829 710 600 28 504 4,321 7,672 1,573 412 1,286 332 1,931 2,195 1,804 428 648 602 564 450 438
122 734 500 255 28 430 2,712 4,378 533 352 510 330 1,695 1,042 811 63 154 319 294 338 373
600 11 530
516 11 251
0.544% due 06/05/2012 2.709% due 05/12/2010 0.480% due 05/17/2010 0.549% due 03/15/2012
Morgan Stanley
0.406% due 02/25/2034 5.285% due 08/25/2036 6.440% due 06/16/2030 0.316% due 02/25/2037 5.485% due 12/26/2046 5.636% due 01/26/2036
CC Mortgage Funding Corp.
Bear Stearns Commercial Mortgage Securities Bear Stearns Mortgage Funding Trust Bear Stearns Structured Products, Inc.
600 997 1,224 1,593 1,139 489 448 1,139 551 600 3,822 1,449 843 409 1,019 618 16 319 600 600 1,218 1,391 434
449 766 880 1,410 872 457 240 531 491 602 3,507 1,118 821 189 771 376 16 292 179 160 580 641 269
0.599% due 01/15/2010 0.642% due 06/20/2012 0.760% due 01/18/2011 1.372% due 07/01/2010
Ohio Power Co.
0.376% due 05/25/2048 0.316% due 01/25/2037 4.647% due 08/25/2035 0.343% due 04/15/2017 0.741% due 02/16/2034 0.426% due 02/20/2047 0.426% due 05/25/2047 0.516% due 05/25/2036 0.596% due 06/25/2037 1.016% due 11/25/2035 1.901% due 02/25/2036 5.304% due 10/25/2035 6.000% due 02/25/2037
3.781% due 04/20/2035 5.840% due 07/22/2030 3.692% due 07/25/2034 5.297% due 01/25/2035 0.316% due 08/25/2036 0.376% due 03/25/2037 0.496% due 07/19/2035
Structured Asset Securities Corp.
Sovereign Commercial Mortgage Securities Trust Structured Adjustable Rate Mortgage Loan Trust
0.499% due 03/15/2011 0.664% due 07/26/2010 0.734% due 10/25/2011 0.973% due 12/15/2010 5.375% due 05/15/2014
Sprint Nextel Corp.
EUR $
0.586% due 03/25/2036 3.885% due 04/20/2035 5.535% due 02/20/2036 3.735% due 06/25/2033
CW Capital Cobalt Ltd.
3.832% due 10/25/2035 0.346% due 09/25/2036 0.356% due 01/25/2037 0.656% due 11/25/2045 0.656% due 12/25/2045 1.711% due 12/25/2046 1.711% due 07/25/2047 2.101% due 11/25/2042
5.484% due 04/15/2047 0.316% due 01/25/2047 0.326% due 02/25/2037 0.326% due 03/25/2037
800 413 820 1,341 1,096 744 600 628 268 1,622
784
157 45,963
0.411% due 12/01/2009 0.419% due 03/15/2011 0.633% due 04/23/2012 0.639% due 10/15/2011
Wells Fargo & Co.
3.148% due 07/25/2033 5.366% due 08/25/2035 0.326% due 10/25/2046 0.326% due 01/25/2047 0.456% due 10/25/2046 0.516% due 04/25/2036 0.516% due 11/25/2045 3.895% due 10/25/2033
Fannie Mae
2.251% due 06/01/2043 07/01/2044 4.648% due 11/01/2035 5.000% due 02/25/2017 5.176% due 09/01/2035 5.186% due 10/01/2035 5.208% due 11/01/2035 5.220% due 08/01/2035 5.238% due 09/01/2035 5.500% due 09/01/2026
Freddie Mac
0.379% due 03/09/2011 0.387% due 08/24/2010 0.506% due 08/25/2031 0.526% due 09/25/2031 0.657% due 04/01/2011 3.432% due 08/01/2035
3,233
SHARES
3,231
0.030% due 10/01/2009 $ 4,600 (Dated 09/30/2009. Collateralized by U.S. Treasury Notes 0.875% - 3.125% due 02/28/2011 - 08/31/2013 valued at $4,695. Repurchase proceeds are $4,600.)
State Street Bank and Trust Co.
4,600
11,303,419
Total Short-Term Instruments (Cost $177,324)
113,181 176,565
$
50,000 624
0.010% due 10/01/2009 6,143 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $6,269. Repurchase proceeds are $6,143.)
6,143
Total Investments 98.7% (Cost $1,802,480) Written Options (g) (0.0%) (Premiums $1,821) Other Assets and Liabilities (Net) 1.3%
10,743
MEXICO TREASURY BILLS 2.7%
MXN
681,646
49,410
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. Coupon represents a weighted average rate. Affiliated to the Fund. Securities with an aggregate market value of $2,279 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Securities with an aggregate market value of $953 have been pledged as collateral for the following open futures contracts on September 30, 2009: Expiration Month # of Contracts Unrealized Appreciation
Description
Type
Long
12/2010
1,072
$ 923
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (1) Fixed Deal Receive Rate Maturity Date Implied Notional Market Upfront Premiums Unrealized Credit Spread at September 30, 2009 (2) Amount (3) Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
MLP
1.100%
12/20/2009
1.471%
$ 2,000 $ (1)
$ 0
$ (1)
(2)
(3)
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 (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. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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.
Interest Rate Swaps Pay/Receive Floating Rate Floating Rate Index Fixed Rate Maturity Date Counterparty Notional Amount Market Value Upfront Premiums Unrealized Paid/(Received) Appreciation
Pay
(g)
1-Year BRL-CDI
Written options outstanding on September 30, 2009:
13.720%
01/02/2017
MLP
BRL 18,200
$ 385
$ 73
$ 312
Interest Rate Swaptions Description Counterparty Floating Rate Index Pay/Receive Floating Rate Exercise Rate Expiration Date Notional Amount Premium Market Value
Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap
BNP RBS
Pay Pay
3.750% 6.000%
11/23/2009 08/31/2010
$ 98 0 $ 98
Semiannual Report
35
(Cont.)
Foreign Currency Options Description Exercise Price Expiration Date Notional Amount Premium Market Value
COP
1,863.000
10/22/2009
$ 8,000
$ 56
$ 52
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount
Premium
Issuer Description
Coupon
Maturity Date
Acquisition Date
Cost
Market Value
4.730%
06/01/2011
10/10/2008
$ 393
$ 774
0.04%
Description
Coupon
Maturity Date
Principal Amount
Proceeds
Market Value
5.500% 6.000%
11/01/2039 10/01/2039
200 2,400
(j)
Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Sell Buy Buy Sell Buy Sell Buy Sell Sell Sell Sell Buy Sell Buy Sell Sell Sell Sell Buy Sell Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy
ARS BRL
CNY
66,758 4,644 3,698 110,399 30,379 3,815 82,889 187 107,448 453 319 319 18,848,849 536,150 12,424,805 15,965,121 1,065,000 4,344,530 1,187,518 63,236 3,002 67,040 54,344 158,523 13,614 52,292 488 43,329 18,143 7,799 56,386 31,000
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 02/2010 10/2009 10/2009 12/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 06/2010 06/2010 06/2010 06/2010 07/2010
MSC BOA CITI HSBC HSBC JPM JPM HSBC HSBC CITI RBC HSBC BCLY BOA CITI CITI DUB HSBC JPM BCLY BCLY BOA CITI DUB DUB HSBC JPM BCLY CITI DUB HSBC BCLY
0 (121) 0 0 (812) 0 (5,672) 0 (1,501) (4) (13) 0 0 0 0 (53) 0 (418) (73) (85) 0 (72) (90) (236) 0 (77) (1) (35) (10) (8) (47) (14)
54 (121) 87 1,815 (812) 153 (5,672) 3 (1,501) (4) (13) 1 1,897 21 1,140 396 54 (417) (73) (85) 1 (72) (90) (236) 19 (77) (1) (35) (10) (8) (47) (14)
36
PIMCO Funds
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Buy Sell Sell Buy Sell Sell Buy Sell Buy Buy Sell Buy Buy Buy Buy Sell Buy Sell Sell Sell Sell Sell Buy Buy Buy Buy Sell Sell Buy Sell Buy Sell Sell Buy Buy Buy Sell Buy Buy Buy Sell Sell Buy Buy Buy Sell Buy Buy Sell Buy Buy Buy Sell Buy Buy Buy Sell Buy Buy Sell Buy Sell Buy Buy Buy Sell Buy Sell Buy Sell Buy Buy
CNY COP
CZK
IDR
ILS
INR
JPY KRW
33,970 19,883,055 11,631,468 2,116,500 26,740,838 4,579,000 5,544,120 5,025,000 4,168,000 30,880,618 326,728 75,113 500,000 417,417 568,500 661,911 38,676 127,800 101,576 2,187 2,616 3,990 1,361 432,003 600,677 266,796 10,226,268 4,224,742 2,845,791 1,776,978 1,540,493 553,421 2,908,404 1,037,235 3,819,878 2,632,585 269,437,163 11,176,000 18,302,600 52,610,406 57,575,204 10,695,000 22,660,000 48,339,990 49,087,500 43,829,625 10,200,000 20,500,000 62,232 19,695 19,542 118,539 97,907 19,742 3,166 204,607 701,951 1,817,631 204,777 577,178 72,435 201,553 10,670 377,076 244,388 1,817,631 27,608 15,299,195 547,580 2,516,800 709,379 13,708,565 837,358
08/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 10/2009 10/2009 10/2009 10/2009 12/2009 12/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 01/2010 01/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 01/2010 01/2010 01/2010 01/2010 01/2010 03/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 01/2010 03/2010 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009
DUB BCLY BCLY BOA CITI CITI HSBC JPM MSC RBS BCLY BCLY BOA DUB HSBC JPM JPM RBS UBS BCLY BNP UBS BNP DUB JPM MSC BCLY BCLY CITI DUB HSBC JPM JPM UBS BCLY CITI BCLY BCLY CITI HSBC JPM RBS BCLY DUB HSBC JPM JPM CITI BCLY BCLY BNP HSBC JPM JPM RBS BCLY CITI CITI HSBC JPM JPM MSC BCLY DUB JPM CITI BNP BCLY BCLY BOA BOA CITI HSBC
0 1,905 0 0 1,688 0 0 102 0 3,169 2,056 0 2,463 1,953 3,173 3,944 0 398 0 0 0 33 98 0 0 0 10,233 77 65 575 0 0 0 0 0 0 1,477 0 101 271 297 0 0 273 291 189 0 52 1,047 0 0 1,574 1,467 0 11 71 61 0 53 249 0 47 0 203 24 0 0 935 0 135 0 820 27
(15) 0 (1,034) (96) 0 (371) (251) 0 (158) 0 0 (348) 0 0 (35) 0 (239) 0 (460) (67) (82) 0 0 (6) (21) (17) 0 (192) (155) 0 (1,343) (4) (376) (616) (69) (62) 0 (146) 0 0 0 (96) (92) 0 0 0 (32) 0 0 (230) (10) 0 0 (237) 0 0 0 (72) 0 0 (6) 0 (1) 0 0 (37) (9) 0 (24) 0 (34) 0 0
(15) 1,905 (1,034) (96) 1,688 (371) (251) 102 (158) 3,169 2,056 (348) 2,463 1,953 3,138 3,944 (239) 398 (460) (67) (82) 33 98 (6) (21) (17) 10,233 (115) (90) 575 (1,343) (4) (376) (616) (69) (62) 1,477 (146) 101 271 297 (96) (92) 273 291 189 (32) 52 1,047 (230) (10) 1,574 1,467 (237) 11 71 61 (72) 53 249 (6) 47 (1) 203 24 (37) (9) 935 (24) 135 (34) 820 27
Semiannual Report September 30, 2009
37
(Cont.)
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Buy Sell Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Buy Sell Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Sell Sell Buy Sell Sell Buy Buy Sell Buy Buy Sell Buy Sell Sell Buy Sell Buy Buy Sell Buy Sell Buy Sell Buy Buy Sell Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Sell Buy Buy Buy Sell Buy Buy Buy Buy
38
PIMCO Funds
KRW MXN
MYR
PEN
PHP
PLN
RON
RUB
SGD
2,556,000 11,603,846 1,290,377 138,175 32,988 151,370 53,863 734,595 107,539 391,367 1,062,202 744,835 311,364 103,195 35,463 7,769 3,540 17,402 49,419 3,554 3,550 3,060 8,805 12,257 31,903 52,473 648 3,023 1,635 12,097 11,970 5,800 602,192 194,440 417,250 935,063 49,400 14,625 49,250 44,468 8,591 6,626 151,629 445,080 221,661 80,702 17,945 219,008 49 23,862 1,706 16,414 79,778 8,697 23,822 9,558 163,381 163,381 27,903 3,083 225,981 38,334 3,205 134 5,765 7,028 136,524 434 4,328 65,088 4,300 4,241 1,442
11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 02/2010 02/2010 02/2010 06/2010 01/2010 01/2010 01/2010 01/2010 01/2010 01/2010 01/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 10/2009 10/2009 11/2009 01/2010 01/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 02/2010 02/2010
HSBC RBS BCLY BCLY BOA CITI CITI DUB DUB HSBC HSBC JPM JPM MLP BCLY BCLY CITI DUB JPM JPM BCLY CITI DUB JPM BCLY BCLY BCLY BOA CITI CITI DUB JPM BCLY BOA CITI DUB DUB JPM UBS BCLY BNP CITI DUB HSBC HSBC JPM JPM MLP MLP RBS UBS UBS BCLY CITI DUB GSC HSBC JPM JPM BCLY HSBC BCLY BCLY BOA BOA CITI DUB HSBC HSBC RBS CITI HSBC JPM
0 799 124 0 75 957 0 2,024 105 0 639 1,251 114 672 356 0 21 115 477 0 20 15 31 24 42 821 0 0 27 0 0 11 260 0 136 522 0 7 0 0 0 0 5,880 23,056 0 1,765 0 13,802 0 288 85 0 775 0 238 85 0 300 61 0 116 890 0 2 0 113 3,364 7 0 1,355 51 9 23
(168) 0 (127) (46) 0 (2) (127) (140) (12) (755) (165) (216) (73) 0 0 (41) 0 0 0 (25) 0 0 0 0 (3) 0 (5) (48) 0 (214) (223) 0 0 (84) 0 0 (38) 0 (34) (1,585) (16) (302) (67) (133) (7,627) (5) (592) 0 (3) 0 0 (701) 0 (11) 0 0 (66) 0 0 0 0 0 (55) 0 (91) 0 0 0 (71) 0 0 0 0
(168) 799 (3) (46) 75 955 (127) 1,884 93 (755) 474 1,035 41 672 356 (41) 21 115 477 (25) 20 15 31 24 39 821 (5) (48) 27 (214) (223) 11 260 (84) 136 522 (38) 7 (34) (1,585) (16) (302) 5,813 22,923 (7,627) 1,760 (592) 13,802 (3) 288 85 (701) 775 (11) 238 85 (66) 300 61 0 116 890 (55) 2 (91) 113 3,364 7 (71) 1,355 51 9 23
See Accompanying Notes
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Buy Sell Buy Buy Sell Buy Sell Buy Sell Sell Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Sell Sell Sell Buy Buy Sell Buy Sell Buy Buy Sell
SGD THB
TRY
TWD
ZAR
5,654 5,697 94,229 114,544 128,528 34,360 585,679 205,060 14,708 3,220 2,678 62,457 93,278 1,546 7,668 14,316 504,913 501,872 254,956 129,920 659,179 720,886 18,095 8,069 199,663 7,686 128,154 1,932 79,084 771,284 41,484 48,318
03/2010 03/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009
CITI DUB BCLY CITI DUB DUB JPM RBS BCLY BCLY BNP HSBC JPM JPM RBS UBS BCLY CITI DUB DUB BCLY BCLY BNP CITI DUB HSBC HSBC JPM JPM MLP RBS UBS
10 40 0 104 98 0 337 0 267 0 0 2,996 5,153 0 126 521 410 264 120 0 18,318 0 0 0 5,032 7 0 19 0 22,079 473 0 $ 165,586
0 0 (58) 0 0 (27) 0 (132) (34) (152) (31) 0 0 (33) 0 0 0 0 0 (76) (6) (9,458) (187) (65) 0 0 (2,409) 0 (2,007) 0 0 (375) $ (45,306)
10 40 (58) 104 98 (27) 337 (132) 233 (152) (31) 2,996 5,153 (33) 126 521 410 264 120 (76) 18,312 (9,458) (187) (65) 5,032 7 (2,409) 19 (2,007) 22,079 473 (375) $ 120,280
(k)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Brazil South Korea United States Short-Term Instruments Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
$ $ $ $
$ $ $ $
$ $ $ $
$ $ $ $
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ (Depreciation) on investments held at 09/30/2009
Category
++
Realized Gain/(Loss)
United States
+ ++ +++ ++++
$ 0
$ (65)
$ (3)
$ 0
$ 39
$ 405
$ 376
$ 13
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
Semiannual Report
39
(Cont.)
(l)
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Contracts Contracts Contracts
Other Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ 0 0 0 $ 0 $ 0 0 1 $ 1
$ 0 0 0 $ 0 $ 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 $ 0
Liabilities:
Written options outstanding Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Interest Rate contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Total
Net realized (loss) on investments (purchased options) Net realized gain (loss) on futures contracts, written options and swaps Net realized (loss) on foreign currency transactions
$ 0 0 0 $ 0
$ 0 0 0 $ 0
(29)
$
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
0 (188,894) $ (188,894)
(405) 0 $ (405)
Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies
$ (7,127) 0 $ (7,127)
5 361,021 361,026
362 0 362
$ 0 0 $ 0
$ 0 0 $ 0
^ ^^
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
40
PIMCO Funds
5.500% due 02/12/2014 5.500% due 02/12/2016 6.750% due 02/12/2013 6.750% due 11/24/2017
Total Hungary (Cost $118,896) INDONESIA 5.0%
$ MXN
1,000 25,000
2,400
2,490 2,490
4.500% due 10/15/2023 3.000% due 05/01/2017 3.000% due 07/01/2018 3.000% due 10/01/2018
Total Chile (Cost $5,507) COLOMBIA 5.3%
CLP
9.500% due 07/15/2023 10.000% due 02/15/2028 10.500% due 08/15/2030 11.000% due 12/15/2012 11.000% due 10/15/2014 11.500% due 09/15/2019 12.800% due 06/15/2021
Total Indonesia (Cost $46,855) IRELAND 0.1%
IDR
2,660
2,645 2,645
9.750% due 07/26/2028 9.850% due 06/28/2027 11.750% due 03/01/2010 12.000% due 10/22/2015
Total Colombia (Cost $60,089) EGYPT 1.2% Egypt Government Bond
COP
1,100
1,129 1,129
1,300 3,000
1,777
1,806
PEN
4,750 68,234
6,254
POLAND 6.1%
2,366
Poland Government International Bond
3,996 14,422
4.250% due 05/24/2011 4.750% due 04/25/2012 5.250% due 10/25/2017 5.750% due 04/25/2014 5.750% due 09/23/2022 6.250% due 10/24/2015
Total Poland (Cost $85,340) QATAR 0.6% Qatar Petroleum
PLN
5,000
5,313 5,313
MYR $
4,311 2,000
400
398 398
MXN
87,700 514,920
2,100 2,000
17,515
Semiannual Report
41
(Cont.)
6,500 2,700 1,100 1,000 1,500 900 3,900 2,600 1,300 5,100 4,000 8,000 3,000 11,400 700 6,000 4,200 6,000 2,000 2,200 4,000 10,000 26,619 1,500 9,600 250 2,300 300 200 600 600 100 800 3,500 200 2,000 1,000 2,400
6,328 2,700 1,100 997 1,494 900 3,810 2,598 1,300 5,134 4,020 7,995 2,996 1,967 674 6,320 4,192 5,994 1,999 2,180 4,012 9,600 26,497 1,594 9,445 225 2,185 252 266 460 695 100 797 3,500 199 1,959 986 2,196 221,039
7.500% due 01/15/2014 8.000% due 12/21/2018 8.250% due 09/15/2017 13.500% due 09/15/2015
Total South Africa (Cost $101,713) SOUTH KOREA 0.1% Korea Development Bank
0.286% due 12/25/2036 1.146% due 07/25/2037 0.346% due 05/25/2047 0.346% due 09/25/2047 0.366% due 07/25/2037
Credit-Based Asset Servicing & Securitization LLC Indymac Residential Asset-Backed Trust
$
1,000
999 999
0.593% due 07/16/2010 0.803% due 10/16/2009 1.052% due 06/10/2011 1.210% due 01/18/2011
JPMorgan Chase & Co.
3.875% due 06/13/2019 5.125% due 03/13/2018 5.250% due 05/12/2014 6.150% due 07/07/2026
Total Thailand (Cost $25,480) TUNISIA 0.4% Banque Centrale de Tunisie
0.544% due 06/05/2012 6.875% due 04/25/2018 100 103 11,626 1,497 5,008 4,189 425 4,570 6,627 10,261 1,902 200 317 600 301 3,203 12,312 5,942 800 200 906 3,151 2,184 10,548 4,501
Metropolitan Life Global Funding I
11,600 1,500 5,045 4,525 700 4,000 6,700 12,000 1,900 200 300 600 300 3,200 12,300 5,800 800 200 900 3,100 2,200 10,550 4,500
1,200 2,000
0.000% due 06/23/2010 10.000% due 02/15/2012 (c) 12.000% due 08/14/2013 (c) 14.000% due 01/19/2011 15.000% due 02/10/2010
Total Turkey (Cost $72,940)
0.499% due 03/15/2011 0.664% due 07/26/2010 0.734% due 10/25/2011 0.973% due 12/15/2010 5.375% due 05/15/2014 8.875% due 10/01/2012
U.S. Bancorp
EUR $
2,000
0.411% due 12/01/2009 0.419% due 03/15/2011 0.633% due 04/23/2012 0.639% due 10/15/2011
Wells Fargo & Co.
1,142 459 472 511 1,367 74 482 700 91 107 361 542 588 181 454 604
549 215 193 308 643 61 312 297 58 100 247 405 516 90 245 321
0.416% due 12/25/2036 0.426% due 12/25/2036 0.446% due 10/25/2046 0.456% due 04/25/2046 0.546% due 05/25/2047
MASTR Alternative Loans Trust
536 244 216 345 800 193 148 364 416 469 172 441 414 507 748 473 305 365 251 222 366
262 114 99 166 106 91 134 171 217 219 129 275 207 201 360 190 158 242 153 157 274
1,050
1,053 242,336
Deutsche Bank NY
200
200
4.316% due 01/20/2047 6.000% due 03/25/2036 0.466% due 05/25/2046 1.641% due 01/25/2047 1.661% due 04/25/2047 1.721% due 12/25/2046 2.849% due 01/25/2047 5.281% due 01/25/2037 5.456% due 04/25/2037 5.565% due 12/25/2036 5.922% due 09/25/2036
0.030% due 10/01/2009 6,000 (Dated 09/30/2009. Collateralized by U.S. Treasury Notes 3.125% due 08/31/2013 valued at $6,123. Repurchase proceeds are $6,000.)
State Street Bank and Trust Co.
6,000
Structured Adjustable Rate Mortgage Loan Trust Structured Asset Mortgage Investments, Inc. WaMu Mortgage Pass-Through Certificates
0.010% due 10/01/2009 1,103 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $1,130. Repurchase proceeds are $1,103.)
1,103
7,103
U.S. CASH MANAGEMENT BILLS 0.1%
720
719
233
148
1,036 419 192 276 1,817 183 498 419 377 126 114
19,570
SHARES
19,559
266 631
0.436% due 07/21/2036 0.446% due 09/19/2046 0.746% due 02/19/2034 5.833% due 08/19/2036
Homebanc Mortgage Trust
5,074,975
Total Short-Term Instruments (Cost $78,386) Total Investments 101.1% (Cost $1,183,009)
50,816 78,397
$
Freddie Mac
0.343% due 02/01/2011 (f) 0.379% due 03/09/2011 (f) 0.389% due 05/04/2011 (f)
620 32 1,510
Written Options (i) (0.0%) (Premiums $928) Other Assets and Liabilities (Net) (1.1%) Net Assets 100.0%
$
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. Coupon represents a weighted average rate. Principal amount of security is adjusted for inflation. Affiliated to the Fund. Securities with an aggregate market value of $330 have been pledged as collateral for foreign currency contracts on September 30, 2009. Securities with an aggregate market value of $21,697 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Cash of $307 has been pledged as collateral for the following open futures contracts on September 30, 2009: Expiration Month # of Contracts Unrealized Appreciation
Description
Type
Long
12/2010
72
$ 63
Semiannual Report
43
(Cont.)
(h)
Asset Swaps Maturity Date Notional Counterparty Amount Market Value Upfront Unrealized Premiums Appreciation/ Paid/(Received) (Depreciation)
Underlying Asset
Receive
Indonesia Government International Bond 10.000% due 07/15/2017 Indonesia Government International Bond 11.000% due 10/15/2014 Malaysia Government International Bond 3.756% due 04/28/2011 Malaysia Government International Bond 4.262% due 09/15/2016
Cash Flow from Underlying Asset Cash Flow from Underlying Asset Cash Flow from Underlying Asset Cash Flow from Underlying Asset
6-Month USD-LIBOR 07/22/2017 DUB 6-Month USD-LIBOR 10/17/2014 BCLY 6-Month USD-LIBOR 05/02/2011 BCLY 6-Month USD-LIBOR 09/19/2016 CITI
(525) $ (3,620)
915 $ (1,734)
(1,440) $ (1,886)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (1) Fixed Deal Receive Rate Maturity Date Implied Credit Spread at Notional Market Upfront Premiums Unrealized September 30, 2009 (2) Amount (3) Value Paid/(Received) Appreciation
Reference Entity
Counterparty
CEMEX SAB de C.V. JSC Gazprom JSC Gazprom TransCapitalInvest Ltd. for OJSC AK Transneft
$ 0 0 0 0 $ 0
28 46 50 75 $ 199
(1)
(2)
(3)
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 (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. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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.
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 3-Month MYR-KLIBOR 3-Month MYR-KLIBOR 3-Month MYR-KLIBOR 3-Month MYR-KLIBOR 3-Month ZAR-JIBOR 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 6-Month THB-THBFIX Reuters 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE
10.835% 10.990% 11.360% 11.650% 14.415% 14.765% 14.770% 3.200% 2.980% 3.810% 3.720% 9.155% 2.780% 2.870% 3.160% 3.170% 3.200% 3.030% 3.540% 3.620% 9.190% 9.440% 8.050% 8.300% 8.760%
01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 12/03/2013 12/09/2013 08/11/2014 08/18/2014 10/19/2014 01/23/2014 02/04/2014 04/21/2014 04/21/2014 04/22/2014 04/24/2014 07/23/2014 08/19/2014 07/29/2015 10/25/2018 12/26/2018 02/07/2019 09/03/2029
GSC GSC GSC BCLY BCLY MLP BCLY BCLY BCLY BCLY DUB BCLY HSBC BCLY BCLY HSBC BCLY BCLY JPM DUB JPM BCLY CITI BCLY BCLY
BRL 55,800 55,000 74,200 32,900 68,600 63,500 47,100 MYR 12,850 11,780 15,300 40,000 ZAR 52,000 THB 78,730 106,060 136,500 68,250 105,400 65,700 345,000 785,000 MXN 996,000 517,700 136,300 190,000 30,000
(139) (148) (24) 197 2,554 2,699 2,005 (30) (59) 42 57 157 (54) (63) (33) (16) (20) (29) 34 120 5,646 3,510 (25) 208 43 $ 16,632
113 43 (81) (47) (566) 538 0 0 0 0 0 157 0 0 0 0 0 0 0 (25) 0 1,296 0 148 0 $ 1,576
(252) (191) 57 244 3,120 2,161 2,005 (30) (59) 42 57 0 (54) (63) (33) (16) (20) (29) 34 145 5,646 2,214 (25) 60 43 $ 15,056
44
PIMCO Funds
(i)
Interest Rate Swaptions Description Counterparty Floating Rate Index Pay/Receive Floating Rate Exercise Rate Expiration Date Notional Amount Premium Market Value
BNP
3-Month USD-LIBOR
Pay
3.750%
11/23/2009
$ 91,000
$ 892
$ 50
Exercise Price
Expiration Date
Notional Amount
Premium
Market Value
COP 1,863.000
10/22/2009
$ 5,210
$ 36
$ 33
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount
Premium
Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Sell Buy Buy Sell Buy Sell Buy Sell Sell Sell Buy Sell Buy Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Buy Sell Sell Buy Sell Sell Sell Buy Sell Buy Buy Buy Buy Buy Buy Buy Buy
BRL
CLP
CNY
5,650 11,594 5,547 43,510 28,248 24,781 7,638 10,950 31,658 90,743 8,433 9,230 11,594 31,658 2,139,941 1,726,950 7,566,225 10,441,358 2,286,341 1,597,500 146,528 7,263,550 15,000,000 4,291,551 1,581,269 94,009 15,535 8,075 25,031 6,643 20,804 6,392 37,151 60 6,396 2,678 3,330 8,322 4,151 31,000 1,469 53,316
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 02/2010 02/2010 02/2010 02/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 03/2010 06/2010 06/2010 06/2010 06/2010 06/2010 07/2010 06/2011 06/2011
BCLY BOA CITI HSBC HSBC JPM JPM RBS RBS BOA DUB HSBC HSBC RBS BCLY BCLY CITI CITI DUB DUB HSBC HSBC JPM JPM CITI BCLY BCLY BOA CITI CITI DUB HSBC JPM JPM BCLY CITI DUB HSBC JPM BCLY JPM UBS
0 0 131 1,233 0 1,696 0 260 0 0 0 102 0 467 166 0 665 145 279 82 0 67 1,550 55 48 0 21 9 0 11 37 9 0 0 0 0 0 0 0 0 0 0
(189) (146) 0 0 (933) 0 (311) 0 (466) (1,124) (22) 0 (122) 0 0 (155) 0 (433) 0 0 (2) (636) 0 (151) (5) (208) 0 0 (36) 0 0 0 (72) 0 (5) (2) (2) (7) (1) (14) (5) (203)
(189) (146) 131 1,233 (933) 1,696 (311) 260 (466) (1,124) (22) 102 (122) 467 166 (155) 665 (288) 279 82 (2) (569) 1,550 (96) 43 (208) 21 9 (36) 11 37 9 (72) 0 (5) (2) (2) (7) (1) (14) (5) (203)
Semiannual Report September 30, 2009
45
(Cont.)
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Sell Buy Sell Buy Sell Buy Sell Sell Sell Buy Sell Sell Sell Sell Buy Buy Buy Buy Sell Sell Buy Sell Buy Sell Buy Sell Buy Sell Sell Sell Buy Sell Buy Sell Buy Sell Buy Sell Sell Buy Buy Sell Buy Sell Buy Buy Buy Sell Buy Buy Sell Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Sell Buy Buy Sell Buy Sell Buy Buy Buy Buy
COP
IDR
ILS INR
KRW
58,731,800 16,225,552 13,140,000 27,950,952 4,004,160 12,900,600 5,081,180 9,114,000 12,459,000 7,467,000 16,712 16,712 30 36 1,260 257 522 231 9,822,817 2,338,308 852,827 1,148,893 1,372,892 935,332 8,617,108 1,842,033 2,237,941 1,670,000 5,635,170 1,862,690 1,075,295 294,875,174 369,793,806 39,470,000 168,182,896 34,566,000 110,656,816 223,150,000 10,605,000 10,120,000 20,039,580 20,349,000 20,240,000 30,943,155 25,500,000 3,093,000 486 14,657 486 274 833 406,197 274 478,334 73,770 252 48,446 7,765 5,323 97,560 406,197 9,787,320 905,447 10,340,035 2,893,720 3,783,900 755,180 1,869,000 7,423,314 2,486,800 270,446 477,400
11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 10/2009 10/2009 10/2009 12/2009 12/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 01/2010 01/2010 01/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 01/2010 01/2010 01/2010 01/2010 01/2010 01/2010 09/2010 11/2009 11/2009 11/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 01/2010 01/2010 03/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 02/2010
BCLY BCLY CITI CITI HSBC HSBC JPM JPM MSC RBS BCLY BCLY BCLY BNP UBS DUB JPM MSC BCLY BCLY CITI DUB DUB HSBC HSBC JPM JPM UBS BCLY HSBC RBS BCLY BCLY CITI CITI HSBC HSBC JPM JPM CITI DUB HSBC HSBC JPM JPM CITI BCLY BNP JPM BCLY CITI CITI HSBC JPM JPM MSC BCLY CITI DUB JPM CITI BCLY BOA CITI DUB DUB JPM JPM RBS UBS HSBC RBS
$ 5,424 0 804 0 114 0 161 0 0 0 57 0 0 0 10 0 0 0 2,170 0 0 904 0 726 1 590 0 854 101 0 0 1,387 0 54 0 144 0 2,378 0 0 113 120 0 128 0 0 6 0 0 0 0 0 0 111 0 0 4 1 0 10 0 598 0 600 135 0 30 0 511 109 9 4
0 (1,445) 0 (2,511) 0 (980) 0 (720) (452) (867) 0 (105) (1) (1) 0 0 0 0 (113) (1,571) (618) 0 (371) 0 (7,001) 0 (1,082) 0 0 (83) (10) 0 (2,076) (7) (752) 0 (570) 0 (87) (24) 0 0 (47) 0 (80) (2) 0 (8) (7) 0 0 (16) 0 0 (33) 0 0 0 0 0 (8) 0 (43) 0 0 (210) 0 (85) 0 0 0 0
5,424 (1,445) 804 (2,511) 114 (980) 161 (720) (452) (867) 57 (105) (1) (1) 10 0 0 0 2,057 (1,571) (618) 904 (371) 726 (7,000) 590 (1,082) 854 101 (83) (10) 1,387 (2,076) 47 (752) 144 (570) 2,378 (87) (24) 113 120 (47) 128 (80) (2) 6 (8) (7) 0 0 (16) 0 111 (33) 0 4 1 0 10 (8) 598 (43) 600 135 (210) 30 (85) 511 109 9 4
46
PIMCO Funds
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Buy Sell Buy Sell Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Sell Sell Sell Buy Buy Buy Buy Sell Buy Buy Sell Buy Buy Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Sell Buy Sell Buy Buy Buy Buy Sell Buy Sell Sell Buy Buy Buy Buy Buy Buy Buy Sell Sell Buy
MXN
MYR
PEN
PHP
PLN
RON
SGD
THB
443,470 81,040 108,136 80,738 89,260 210,546 205,045 479,593 962,069 261,160 483,175 98,171 34,411 11,615 8,814 15,498 21,209 15,909 55,622 3,554 5,642 17,925 1,621 8,805 10,506 26,056 471 6,040 35,456 20,945 324 8,758 318,666 364,489 665,599 21,564 165,917 32,336 11,454 21,330 24,809 6,626 19,394 6,501 3,573 888 161,496 239,258 62,776 45,232 77,073 43 9,110 5,690 58,484 6,703 14,263 7,856 10,419 1,444 3 2,166 1,441 4,590 5,975 1,154 232 158 707 641,845 68,180 170,658 381,071
11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 02/2010 02/2010 02/2010 06/2010 01/2010 01/2010 01/2010 01/2010 01/2010 01/2010 11/2009 11/2009 11/2009 11/2011 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 03/2010 11/2009 11/2009 11/2009 11/2009
BCLY BCLY CITI CITI DUB DUB HSBC HSBC JPM JPM MLP UBS BCLY CITI CITI DUB DUB HSBC JPM JPM UBS BCLY CITI DUB JPM BCLY BCLY BCLY CITI DUB HSBC JPM BCLY CITI DUB JPM BCLY BCLY BNP BOA CITI CITI DUB DUB GSC GSC HSBC HSBC JPM JPM MLP MSC UBS BCLY BCLY CITI DUB GSC BCLY BCLY BOA CITI CSFB DUB HSBC RBS UBS BOA RBS BCLY BCLY BOA CITI
14 30 0 64 0 124 24 121 1,077 98 3,147 121 326 36 0 93 0 88 360 0 27 57 7 31 21 27 3 0 0 0 2 37 109 119 0 2 8,350 0 0 113 623 0 72 0 54 0 4,386 0 1,400 32 5,467 0 0 56 0 11 143 70 178 0 0 0 0 115 92 24 4 2 2 407 0 0 346
(186) (17) (274) 0 (55) (21) (331) (175) (353) (23) 0 0 0 0 (42) 0 (117) 0 0 (25) 0 0 0 0 0 (3) 0 (94) (532) (390) 0 0 0 0 (372) 0 0 (1,148) (22) 0 0 (302) (67) (215) 0 (43) (49) (9,524) (4) (1,243) 0 (2) (164) 0 (539) (7) 0 0 0 (25) 0 (37) (23) 0 0 0 0 0 0 0 (39) (103) 0
(172) 13 (274) 64 (55) 103 (307) (54) 724 75 3,147 121 326 36 (42) 93 (117) 88 360 (25) 27 57 7 31 21 24 3 (94) (532) (390) 2 37 109 119 (372) 2 8,350 (1,148) (22) 113 623 (302) 5 (215) 54 (43) 4,337 (9,524) 1,396 (1,211) 5,467 (2) (164) 56 (539) 4 143 70 178 (25) 0 (37) (23) 115 92 24 4 2 2 407 (39) (103) 346
Semiannual Report September 30, 2009
47
(Cont.)
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Sell Buy Buy Buy Buy Buy Sell Buy Buy Buy Buy Sell Buy Sell Sell Buy Buy Sell Buy Sell Buy Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell Buy Sell
THB
TRY
TWD
ZAR
102,090 392,030 68,720 267,605 1,019,459 135,296 16,785 17,688 9,530 2,435 6,776 1,660 61,047 50,990 1,197 1,546 2,883 1,521 8,675 346,100 268,501 144,639 213,563 364,611 1,263,179 49,869 8,069 195,726 30,899 58,018 252,504 98,894 146,359 1,200,000 234,855 8,962 19,244
11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009
CITI DUB DUB HSBC JPM UBS RBS BCLY BCLY CITI DUB GSC HSBC HSBC JPM JPM RBS UBS BCLY BCLY CITI CITI DUB BCLY BCLY CITI CITI DUB DUB HSBC HSBC JPM JPM MLP RBS UBS UBS
0 310 0 152 524 46 1 674 0 64 72 10 2,020 0 0 0 0 17 4 0 109 0 101 5,714 0 762 0 4,579 0 572 0 2,966 0 35,665 0 92 0 $ 107,967
(53) 0 (55) 0 0 0 0 0 (371) 0 0 0 0 (1,935) 0 (34) (49) 0 0 (302) 0 (107) 0 (6) (16,611) 0 (65) (34) (91) (10) (4,416) 0 (1,910) 0 (1,469) 0 (189) $ (71,509)
(53) 310 (55) 152 524 46 1 674 (371) 64 72 10 2,020 (1,935) 0 (34) (49) 17 4 (302) 109 (107) 101 5,708 (16,611) 762 (65) 4,545 (91) 562 (4,416) 2,966 (1,910) 35,665 (1,469) 92 (189) $ 36,458
(k)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Brazil Colombia Hungary Indonesia Poland South Africa Turkey United States Short-Term Instruments Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
154,697 62,088 112,872 59,363 72,134 107,459 73,559 242,336 27,581 225,648 $ 1,137,737 $ 51,630 $ 1,189,367
157,183 62,088 112,872 59,363 72,134 107,459 73,559 242,336 78,397 225,648 $ 1,191,039 $ 49,807 $ 1,240,846
48
PIMCO Funds
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ (Depreciation) on investments held at 09/30/2009
Category ++
Realized Gain/(Loss)
Brazil Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++ +++ ++++
$ 0 0 $ 0 $ 0 $ 0
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
Fair Value of Derivative Instruments ^
(l)
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ 0 0 0 $ 0 $ 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 $ 0
Liabilities:
Written options outstanding Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Total
Net realized gain on futures contracts, written options and swaps Net realized (loss) on foreign currency transactions
$ $
29,761 0 29,761
0 (23,997) $ (23,997)
$ $
1,827 0 1,827
$ 0 0 $ 0
$ 0 0 $ 0
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies
$ (22,229) 0 $ (22,229)
3 57,857 57,860
$ 22,358 0 $ 22,358
$ 0 0 $ 0
$ 0 0 $ 0
^ ^^
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
Semiannual Report
49
1,300
1,105 1,105
350
372 372
700
718 718
Total Russia (Cost $4,761) SOUTH KOREA 1.2% Korea Hydro & Nuclear Power Co. Ltd.
385
410 410
1,520 1,100 95 93 22
1,100
1,071 1,071
Total South Korea (Cost $405) TRINIDAD AND TOBAGO 2.7% Petroleum Co. of Trinidad & Tobago Ltd.
970
897 897
690 495
Total Trinidad And Tobago (Cost $894) VENEZUELA 1.6% Corp. Andina de Fomento
440
513 513
720
796 796
SB Capital S.A.
200
207 207
VIRGIN ISLANDS (BRITISH) 2.9% Road King Infrastructure Finance 2007 Ltd.
1,100
974 974
1,020
1,056 1,056
1,060 1,430
Petroleos Mexicanos
0.010% due 10/01/2009 $ 146 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $150. Repurchase proceeds are $146.)
SHARES
146
10,031
Total Short-Term Instruments (Cost $246)
100 246
$
117 147
510
481 481
Total Investments 97.3% (Cost $31,897) Other Assets and Liabilities (Net) 2.7% Net Assets 100.0%
50
PIMCO Funds
Notes to Schedule of Investments (amounts in thousands*): * (a) (b) A zero balance may reflect actual amounts rounding to less than one thousand. Affiliated to the Fund. Fair Value Measurements +
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Brazil Cayman Islands Colombia Mexico Russia Other Investments +++ Investments, at value
0 0 0 0 0 100 $ 100
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ Ending (Depreciation) Balance on investments at 09/30/2009 held at 09/30/2009
Category ++
Realized Gain/(Loss)
$ 0 0 $ 0
$ (1) 1 $ 0
$ 0 0 $ 0
$ 12 (1) $ 11
$ 0 0 $ 0
$ 12 (1) $ 11
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. +++ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets.
Semiannual Report
51
INDIA 0.1%
$
NTPC Ltd.
1,900
1,871 1,871
6.369% due 06/16/2018 6.500% due 06/10/2019 5.875% due 01/15/2019 6.000% due 01/17/2017 8.000% due 01/15/2018 8.250% due 01/20/2034 8.750% due 02/04/2025 8.875% due 10/14/2019 8.875% due 04/15/2024 10.125% due 05/15/2027 10.250% due 01/10/2028 10.500% due 07/14/2014 11.000% due 08/17/2040 12.500% due 01/05/2016 12.750% due 01/15/2020 10.000% due 01/01/2012 10.000% due 01/01/2017 6.875% due 07/30/2019 7.750% due 11/30/2015
Cosipa Commercial Ltd.
3,000 12,280 10,600 23,513 20,600 18,853 17,175 11,076 19,685 39,100 8,400 874 19,182 2,000 3,750 5,450 48,794 15,220 2,000 100 600 100 10,500 11,910 15,600 200 5,100 950 14,350 1,150
3,169 13,109 11,448 25,559 23,958 24,952 22,757 14,426 26,181 58,063 4,576 1,126 25,896 1,246 5,981 2,987 24,138 16,514 2,270 114 705 122 10,653 12,625 18,076 216 5,215 1,053 14,921 1,376 373,432
BRL $ BRL $
6.625% due 02/17/2037 6.875% due 03/09/2017 6.875% due 01/17/2018 7.750% due 01/17/2038 8.500% due 10/12/2035 10.375% due 05/04/2014 11.625% due 03/04/2019
Majapahit Holding BV
2,000 27,100 14,400 2,175 3,200 3,300 33,565 7,405 10,600 1,050 23,600 4,610
1,957 29,403 15,516 2,409 3,888 4,004 46,792 7,738 10,863 1,108 23,584 3,819 151,081
3.843% due 03/17/2013 7.375% due 01/27/2017 7.375% due 03/18/2019 7.375% due 09/18/2037 8.250% due 12/22/2014 9.850% due 06/28/2027 10.375% due 01/28/2033 10.750% due 01/15/2013 11.750% due 02/25/2020 12.000% due 10/22/2015
Ecopetrol S.A.
9,458 36,475 7,800 11,905 24,165 COP 600,000 $ 1,850 7,535 3,047 COP 25,375,000
$ $
9,742 41,983 8,958 13,512 28,998 333 2,710 9,366 4,449 15,650 27,544
7.250% due 10/17/2011 7.250% due 06/28/2017 7.750% due 10/17/2016 7.875% due 06/29/2037
Republic of Indonesia
25,040 100
108 163,353
Intergas Finance BV
5.625% due 09/15/2019 6.250% due 01/11/2016 6.875% due 11/21/2036 8.250% due 01/17/2034
Total Brazil (Cost $324,417) CAYMAN ISLANDS 0.1% CSN Islands IX Corp.
10,260
8,723 8,723
5.875% due 06/01/2015 6.212% due 11/22/2016 6.510% due 03/07/2022 8.146% due 04/11/2018 9.250% due 04/23/2019
Gazprom International S.A.
EUR $
18,600 23,120
1,000 3,000
1,089 3,073
2,030 771
52
PIMCO Funds
19,466 4,795
100 3,000
99 3,109 375,631
623 5,693 14,442 4,749 1,518 975 6,569 7,206 7,525 26,692 39,358 28,732 20,594 2,467 11,309 12,879 19,011 189 117 20,787 63,658 723
Total Peru (Cost $43,423) PHILIPPINES 3.6% Philippines Government International Bond
7.750% due 01/14/2031 8.250% due 01/15/2014 8.375% due 02/15/2011 8.375% due 06/17/2019 8.875% due 03/17/2015 9.875% due 01/15/2019 10.625% due 03/16/2025
Total Philippines (Cost $83,105) POLAND 1.0%
5.250% due 05/16/2013 5.875% due 05/30/2022 6.500% due 06/02/2014 6.875% due 05/27/2019 7.375% due 04/25/2012
Total South Africa (Cost $68,347) SOUTH KOREA 1.2% Export-Import Bank of Korea
EUR $
7.750% due 12/14/2017 5.500% due 02/17/2020 5.875% due 02/17/2014 5.950% due 03/19/2019 (f) 6.750% due 09/27/2034 7.500% due 04/08/2033 8.000% due 09/24/2022 8.300% due 08/15/2031
Pemex Finance Ltd.
MXN
88,992 4,900 7,000 25,300 35,618 24,094 16,880 1,920 10,848 12,960 19,575 200 110 20,944 55,500
21,830
9.030% due 02/15/2011 5.750% due 03/01/2018 6.625% due 06/15/2035 6.625% due 06/15/2038 9.125% due 10/13/2010
Petroleos Mexicanos
5.298% due 09/30/2020 5.832% due 09/30/2016 5.838% due 09/30/2027 6.332% due 09/30/2027
Total Qatar (Cost $13,118) RUSSIA 14.8%
TRINIDAD AND TOBAGO 0.7% Petroleum Co. of Trinidad & Tobago Ltd.
13,190 5,480
MXN
10,000
295,816
6.212% due 11/22/2016 6.510% due 03/07/2022 7.288% due 08/16/2037 8.625% due 04/28/2034
Gazprom International S.A.
16,700 800 12,975 700 3,482 16,160 6,500 14,050 150,765 667 13,275 3,900 29,000 4,000 12,050 8,700 21,800 1,000 24,800 7,900
4.500% due 06/22/2020 4.750% due 04/07/2011 7.375% due 04/25/2012 8.250% due 09/19/2027
Total Tunisia (Cost $27,228) TURKEY 0.1%
EUR $
5,000
5,033 5,033
7.201% due 02/01/2020 6.299% due 05/15/2017 7.175% due 05/16/2013 9.000% due 06/11/2014 7.500% due 03/31/2030 8.250% due 03/31/2010 12.750% due 06/24/2028
TNK-BP Finance S.A.
15,512 6,735 15,466 165,175 687 22,436 3,871 26,790 4,070 11,888 8,923 23,832 997 24,680 7,939
1,285 1,600
6.350% due 12/21/2016 6.700% due 01/26/2036 7.125% due 01/29/2026 7.250% due 03/15/2015 9.375% due 07/23/2012 9.375% due 04/01/2029
Total Panama (Cost $118,888) PERU 1.9%
6.125% due 03/20/2012 6.625% due 03/20/2017 6.875% due 07/18/2011 7.500% due 07/18/2016 6.103% due 06/27/2012 8.700% due 08/07/2018
UBS Luxembourg S.A. for Sberbank
15,000
16,816 16,816
4,147 12,000
53
(Cont.)
2,191 3,400 1,400 2,094 155 531 3,800 1,307 600 1,390 3,908 2,139 253 700 686 500 878 806 500 516 295 462 462 444 447 307 1,600 500 1,256 600 790 488 555 234 474 700 444 500 500 688 304 395 6,588 251 600 495 593 600 541 182 161
1,913 3,146 1,310 1,721 144 364 3,317 643 302 660 1,757 1,051 126 60 371 72 466 421 309 330 156 86 240 242 225 195 1,364 289 1,071 347 392 459 528 231 460 512 337 277 277 350 144 187 3,099 162 333 362 272 376 256 87 87
0.606% due 04/25/2037 5.726% due 10/25/2036 6.000% due 07/25/2047 0.376% due 05/25/2037
4.098% due 08/25/2035 4.649% due 03/25/2034 5.674% due 07/25/2046 5.306% due 12/10/2046
Countrywide Alternative Loan Trust
5.336% due 05/15/2047 5.429% due 12/12/2043 5.794% due 02/12/2051 5.937% due 02/12/2049
JPMorgan Mortgage Trust
2,900 2,060 3,600 2,100 435 600 701 630 4,100 887 423 312 491 289
2,493 1,910 3,147 1,803 406 485 626 530 3,338 433 199 143 236 137
0.620% due 10/18/2011 4.950% due 03/20/2012 5.000% due 06/26/2017 5.750% due 03/15/2067 5.850% due 01/16/2018 6.250% due 05/01/2036 8.175% due 05/15/2058 8.250% due 08/15/2018 8.625% due 05/22/2038
Bank of America Corp.
EUR GBP $
GBP
10,000 500 700 1,300 900 3,200 15,400 1,700 200 3,900 500 741 8,960 4,715 600 1,200 2,300 500 4,300
8,810 450 758 956 653 2,080 9,355 1,447 177 3,857 428 708 8,053 4,882 630 1,152 2,288 508 3,806 50,998
0.406% due 02/25/2047 0.416% due 01/25/2037 0.426% due 02/20/2047 0.426% due 05/25/2047 0.441% due 12/20/2046 0.456% due 07/25/2046 0.496% due 09/25/2046 0.576% due 11/20/2035 0.756% due 11/20/2035 1.901% due 12/25/2035 1.901% due 02/25/2036 5.750% due 03/25/2037 6.250% due 11/25/2036 0.476% due 05/25/2035 0.596% due 02/25/2036 5.341% due 02/25/2047 5.528% due 04/20/2036 5.554% due 03/25/2037 6.073% due 09/25/2047 5.467% due 09/15/2039 5.863% due 02/25/2037 3.735% due 06/25/2033
CSAB Mortgage-Backed Trust
0.416% due 12/25/2036 0.426% due 12/25/2036 0.446% due 10/25/2046 0.456% due 04/25/2046
MASTR Alternative Loans Trust
600 4,326 614 4,800 400 214 500 501 1,000 386 404 670 242 1,200 455 600 451 3,651 558 1,200 600 600 874 1,107 671 1,586
476 2,490 408 4,122 352 193 304 236 118 207 216 312 182 525 319 290 213 1,707 279 1,100 310 552 347 532 269 724
5.720% due 09/25/2036 6.172% due 06/25/2036 0.316% due 01/25/2047 0.326% due 02/25/2037 0.326% due 03/25/2037 5.000% due 10/25/2018 5.500% due 12/25/2035 5.598% due 10/25/2035 5.869% due 10/25/2036 5.886% due 10/25/2036 6.300% due 07/25/2036
Harborview Mortgage Loan Trust
0.496% due 08/25/2037 0.516% due 05/25/2046 0.546% due 08/25/2035 0.646% due 10/25/2045 0.646% due 01/25/2046
Sequoia Mortgage Trust
678 1,691 559 800 1,019 2,220 3,900 2,300 4,500 607 700 100 413 738
477 813 262 327 412 1,815 3,206 2,216 4,012 431 423 82 268 516
4.316% due 01/20/2047 5.246% due 05/25/2036 5.379% due 11/25/2035 5.413% due 09/25/2036 6.000% due 10/25/2037 0.466% due 05/25/2036 0.466% due 05/25/2046 0.356% due 01/25/2037 5.970% due 09/25/2036 5.617% due 05/15/2046 1.641% due 01/25/2047 1.661% due 04/25/2047 1.721% due 12/25/2046 1.751% due 03/25/2047
0.436% due 05/25/2046 0.436% due 09/25/2046 1.601% due 02/25/2047 1.821% due 11/25/2046 5.492% due 02/10/2051 5.837% due 06/10/2049 5.929% due 05/10/2045 5.935% due 02/10/2051
Banc of America Funding Corp.
0.436% due 07/21/2036 0.446% due 09/19/2046 0.486% due 03/19/2036 5.833% due 08/19/2036
Homebanc Mortgage Trust
5.321% due 11/20/2035 5.888% due 04/25/2037 4.996% due 01/25/2035 5.734% due 02/25/2036
Chase Mortgage Finance Corp.
54
PIMCO Funds
2.849% due 01/25/2047 3.708% due 03/25/2034 5.281% due 01/25/2037 5.456% due 04/25/2037 5.564% due 12/25/2036 5.565% due 12/25/2036 5.635% due 05/25/2037 5.922% due 09/25/2036
5.000% due 09/14/2018 6.875% due 09/28/2025 7.625% due 03/21/2036 7.875% due 01/15/2033 (a) 8.000% due 11/18/2022 9.250% due 05/17/2017
Total Uruguay (Cost $40,810)
0.030% due 10/01/2009 $ 3,000 (Dated 09/30/2009. Collateralized by U.S. Treasury Notes 2.750% due 02/28/2013 valued at $3,084. Repurchase proceeds are $3,000.)
U.S. CASH MANAGEMENT BILLS 0.1%
3,000
367
184 84,135
670
669
Fannie Mae
5.500% due 03/01/2036 09/01/2038 5.500% due 05/01/2037 (f) 5.500% due 12/01/2037 (g) 6.000% due 08/01/2037 11/01/2039 6.000% due 09/01/2037 (g)
Freddie Mac
0.000% due 04/15/2020 65,927 20,089 13,439 8,777 4,301 1,706 169 410 2,008 69,105 21,057 14,087 9,268 4,546
VIETNAM 0.2% Total Venezuela (Cost $0)
3,500
119 119
7,286
SHARES
7,282
812,712
Total Short-Term Instruments (Cost $19,086) Total Investments 96.5% (Cost $2,299,967) Written Options (i) (0.1%) (Premiums $3,342) Other Assets and Liabilities (Net) 3.6% Net Assets 100.0%
$
8,138 19,089
$
0.343% due 02/01/2011 (d) 0.402% due 08/05/2011 (d) 0.657% due 04/01/2011 (d) 5.500% due 07/01/2038 08/01/2038
5,000
4,365 4,365
1,070
1,134 1,134
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) A zero balance may reflect actual amounts rounding to less than one thousand. Payment in-kind bond security. Coupon represents a weighted average rate. Affiliated to the Fund. Securities with an aggregate market value of $8,875 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Securities with an aggregate market value of $1,129 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2009. The average amount of borrowings while outstanding during the period ended September 30, 2009 was $186,423 at a weighted average interest rate of 0.330%. On September 30, 2009, securities valued at $61,241 were pledged as collateral for reverse repurchase agreements. Securities with an aggregate market value of $4,329 have been pledged as collateral for the following open futures contracts on September 30, 2009: Expiration Month # of Contracts Unrealized Appreciation
Description
Type
Long
12/2010
3,745
$ 2,026
Semiannual Report
55
(Cont.)
(h)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (1) Fixed Deal Receive Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (2) Amount (3) Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Reference Entity
Counterparty
American International Group, Inc. Brazil Government International Bond Brazil Government International Bond Brazil Government International Bond Brazil Government International Bond Brazil Government International Bond Brazil Government International Bond Brazil Government International Bond CEMEX SAB de C.V. Colombia Government International Bond Colombia Government International Bond Colombia Government International Bond Colombia Government International Bond Colombia Government International Bond Colombia Government International Bond Indonesia Government International Bond Indonesia Government International Bond Indonesia Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Mexico Government International Bond Peru Government International Bond Peru Government International Bond Peru Government International Bond Petroleos Mexicanos Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Philippines Government International Bond Republic of Korea Government Bond Republic of Korea Government Bond Republic of Korea Government Bond Republic of Korea Government Bond Republic of Korea Government Bond Republic of Korea Government Bond RSHB Capital S.A. RSHB Capital S.A. RSHB Capital S.A. Russia Government International Bond Uruguay Government International Bond
CSFB BCLY BCLY BCLY CSFB DUB DUB UBS JPM BCLY BCLY DUB JPM MSC UBS CITI CITI RBS BCLY CSFB DUB DUB HSBC JPM JPM MLP RBS UBS BCLY MSC MSC JPM BCLY BCLY BCLY BCLY BCLY BCLY CITI CITI CITI CITI CITI CITI DUB MSC MSC UBS DUB JPM JPM RBS RBS UBS CSFB GSC MSC BCLY DUB
2.066% 3.100% 1.360% 1.370% 3.250% 3.050% 1.400% 1.030% 1.050% 0.780% 0.790% 2.150% 1.060% 1.640% 1.070% 1.580% 2.290% 1.525% 2.970% 2.950% 2.850% 2.950% 2.900% 3.000% 3.030% 2.100% 2.850% 0.695% 1.920% 1.220% 1.960% 1.130% 1.920% 2.250% 2.320% 2.300% 2.510% 2.530% 1.950% 2.000% 2.140% 2.340% 2.380% 2.730% 2.340% 1.770% 2.440% 1.790% 3.750% 3.430% 3.800% 3.350% 3.650% 3.850% 1.870% 1.380% 2.000% 7.000% 1.050%
03/20/2013 11/20/2009 08/20/2011 08/20/2011 12/20/2009 12/20/2009 05/20/2010 07/20/2017 12/20/2016 07/20/2012 07/20/2012 05/20/2010 01/20/2012 08/20/2011 01/20/2012 12/20/2011 12/20/2016 12/20/2011 11/20/2009 12/20/2009 12/20/2009 12/20/2009 12/20/2009 12/20/2009 12/20/2009 05/20/2010 12/20/2009 01/20/2017 03/20/2013 10/20/2011 10/20/2016 04/20/2016 09/20/2012 09/20/2012 03/20/2013 06/20/2013 09/20/2017 09/20/2017 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2013 03/20/2018 03/20/2013 09/20/2012 09/20/2017 09/20/2012 12/20/2009 12/20/2009 12/20/2009 12/20/2009 12/20/2009 12/20/2009 10/20/2012 10/20/2011 10/20/2012 11/20/2009 01/20/2012
8.112% 0.574% 0.788% 0.788% 0.574% 0.574% 0.574% 1.432% 4.663% 1.200% 1.200% 0.757% 1.108% 1.053% 1.108% 1.494% 2.005% 1.494% 0.914% 0.914% 0.914% 0.914% 0.914% 0.914% 0.914% 0.914% 0.914% 1.667% 1.097% 0.898% 1.465% 1.876% 1.386% 1.386% 1.469% 1.513% 1.964% 1.964% 1.469% 1.469% 1.469% 1.469% 1.469% 1.990% 1.469% 1.386% 1.964% 1.386% 0.673% 0.673% 0.673% 0.673% 0.673% 0.673% 2.280% 2.144% 2.280% 0.532% 2.889%
$ 16,000 $ (2,708) 5,000 75 6,500 80 8,000 100 5,900 89 5,500 78 11,450 133 3,875 (96) 6,600 (1,099) 4,500 (45) 2,000 (19) 11,970 223 5,000 5 6,200 80 3,000 4 3,400 8 1,300 24 7,000 8 5,000 70 1,400 18 200 2 200 3 1,000 13 4,000 52 10,000 132 80 1 3,000 37 2,700 (161) 5,000 140 6,350 77 3,000 118 26,250 (984) 5,500 88 6,500 166 35,000 1,013 7,000 200 1,250 46 1,250 48 30,000 496 18,550 338 8,000 183 9,600 284 17,000 526 9,800 514 13,700 406 1,900 22 6,200 201 7,960 97 3,800 30 5,400 39 10,000 81 1,100 8 2,000 15 3,000 25 6,900 (23) 5,000 (45) 13,000 13 5,000 176 12,000 (462) $ 943
$ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 $ 0
$ (2,708) 75 80 100 89 78 133 (96) (1,099) (45) (19) 223 5 80 4 8 24 8 70 18 2 3 13 52 132 1 37 (161) 140 77 118 (984) 88 166 1,013 200 46 48 496 338 183 284 526 514 406 22 201 97 30 39 81 8 15 25 (23) (45) 13 176 (462) $ 943
56
PIMCO Funds
Credit Default Swaps on Credit Indices - Sell Protection (1) Index/Tranches Counterparty Fixed Deal Receive Rate Maturity Date Notional Amount (3) Market Value (4) Upfront Premiums Paid/(Received) Unrealized Appreciation
CDX.IG-9 5-Year Index 30-100% CDX.IG-9 5-Year Index 30-100% CDX.IG-9 5-Year Index 30-100% CDX.IG-9 5-Year Index 30-100% CDX.IG-9 5-Year Index 30-100% CDX.IG-9 5-Year Index 30-100%
20,807 $ 307 7,000 105 3,500 53 4,570 66 7,000 104 56,393 864 $ 1,499
$ 0 0 0 0 0 0 $ 0
(1)
(2)
(3)
(4)
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 compromising 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 compromising the referenced index. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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. The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and 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 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.
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 3-Month USD-LIBOR 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE 28-Day MXN TIIE
11.140% 11.140% 11.140% 11.140% 11.650% 11.650% 11.650% 4.000% 8.660% 8.660% 8.660% 8.950% 7.780%
01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 01/02/2012 12/16/2019 01/31/2019 01/31/2019 01/31/2019 02/19/2019 04/09/2019
BCLY HSBC JPM MLP HSBC JPM MLP MSC BCLY CITI HSBC JPM DUB
36,000 4,000 60,600 176,900 133,200 152,400 114,300 $ 3,500 MXN 43,700 633,000 51,700 82,000 71,000
BRL
27 3 46 133 798 914 685 135 121 1,744 143 350 (117) $ 4,982
27 (2) (30) (106) 241 184 76 200 (102) 519 202 350 (170) $ 1,389
(i)
Options on Exchange-Traded Futures Contracts Description Exercise Price Expiration Date # of Contracts Premium Market Value
$ 115.000
11/20/2009
123
$ 69
$ 48
Exercise Rate
Expiration Date
Notional Amount
Premium
Market Value
Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Call - OTC 10-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap
BCLY BCLY BCLY DUB JPM MSC RBS RBS RBS RBS
3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR
Pay Pay Pay Pay Pay Receive Pay Pay Pay Pay
3.420% 4.350% 5.000% 4.350% 4.000% 3.000% 3.750% 4.350% 6.000% 6.000%
11/23/2009 11/23/2009 06/15/2010 11/23/2009 11/23/2009 11/23/2009 11/23/2009 11/23/2009 08/31/2010 08/31/2010
32,000 10,800 29,000 1,800 61,000 8,000 9,000 16,000 192,300 15,100
Semiannual Report
57
(Cont.)
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount
Premium
Description
Coupon
Maturity Date
Principal Amount
Proceeds
Market Value
6.000% 5.000%
10/01/2039 10/01/2024
$ 13,000 500
(k)
Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Sell Buy Buy Buy Buy Buy Sell Buy Sell Sell Buy Sell Sell Buy Sell Buy Buy Buy Sell Buy Buy Sell Buy Sell Buy Sell Buy Buy Sell Buy Buy Sell
CLP CNY
KRW MXN
1,239,857 1,300,184 60,327 147,541 59,514 25,581 184,965 32,025,818 3,250 12,683 15,166 5,247,959 5,248,047 6 94 5,247,959 307,155 1,687,733 27,176,625 81,088 2,852 120,926 8,708 5,194 3,486 10,640 9,120 9,787 50 9,837 9,152 284 284
11/2009 11/2009 11/2009 06/2010 06/2010 06/2010 06/2010 11/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 01/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 11/2009 11/2009
BCLY CITI JPM BCLY CITI DUB HSBC BCLY BCLY BCLY BNP BCLY BCLY DUB JPM BCLY CSFB DUB RBS BCLY CITI DUB DUB HSBC HSBC JPM JPM CITI DUB DUB CITI BCLY CITI
0 (124) 0 (119) (34) (25) (153) (2,780) 0 (391) (475) (105) (5,252) 0 0 0 0 0 0 (13) (2) (19) (10) (2) (1) (3) (9) 0 0 (500) 0 0 (6) $ (10,023)
128 (124) 4 (119) (34) (25) (153) (2,780) 21 (391) (475) (105) (5,252) 0 0 94 20 106 1,738 (13) (2) 279 (10) (2) (1) 19 (9) 394 3 (500) 38 8 (6) $ (7,149)
58
PIMCO Funds
(l)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Brazil Colombia Indonesia Mexico Panama Russia United States Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
$ $ $ $
$ $ $ $
373,432 163,353 147,263 295,816 131,485 375,631 261,485 682,807 2,431,272 (14,238) (4,684) 2,412,350
$ $ $ $
$ $ $ $
373,432 163,353 151,081 295,816 131,485 375,631 261,485 692,268 2,444,551 (14,238) (2,658) 2,427,655
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ (Depreciation) on investments held at 09/30/2009
Category ++
Realized Gain/(Loss)
Indonesia Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++ +++ ++++
(8) 26 $ 18 $ 0 $ 18
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ $
0 2,874 0 2,874
$ 0 0 0 $ 0 $ 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 $ 0
Liabilities:
Written options outstanding Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
0 10,023 0 $ 10,023
Semiannual Report
59
(Cont.)
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Other Contracts
Total
Net realized gain (loss) on futures contracts, written options and swaps $ 16,305 Net realized (loss) on foreign currency transactions 0 $ 16,305
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
0 (6,590) $ (6,590)
$ (16,451) 0 $ (16,451)
$ 0 0 $ 0
$ 0 0 $ 0
Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies
$ (17,076) 0 $ (17,076)
79,282 0 79,282
$ 0 0 $ 0
$ 0 0 $ 0
(9,807) $ (9,807)
^ ^^
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
60
PIMCO Funds
Vivendi
$
5,236 15,537 4,846 6,155 12,176 14,762 8,898 4,386 3,156 4,856 4,291 4,307 6,432 1,678 1,018 4,250 15,374 8,284 8,471
2,450 1,500
2,424 1,475 4,385 3,300 2,126 2,173 5,998 1,604 3,768 27,253
1,440 6,400
EUR
5.500% due 06/05/2014 4.000% due 01/04/2037 4.250% due 07/04/2014 4.250% due 07/04/2018 4.250% due 07/04/2039 4.750% due 07/04/2034 4.750% due 07/04/2040 5.500% due 01/04/2031 6.250% due 01/04/2030
Total Germany (Cost $231,471) GREECE 0.7%
AUD
4,943 17,643 80,973 66,719 7,103 36,573 4,006 5,459 25,972 249,391
EUR
AUD
Total Cayman Islands (Cost $26,709) DENMARK 1.4% Nykredit Realkredit A/S
EUR
6,200 3,500
Total Greece (Cost $15,070) IRELAND 0.9% Argon Capital PLC for Royal Bank of Scotland
DKK EUR
GBP
8,500
EUR
134,113
BNP Paribas Covered Bonds S.A.
3,100 5,800
4,897 8,798
JPY
7,500
7,298 7,298
3,205 11,701 4,661 4,277 7,374 2,029 10,201 6,768 35,263 23,498 29,036 13,258 9,962 17,265 15,080 505 1,376
EUR
3.500% due 04/25/2015 3.750% due 04/25/2021 4.000% due 10/25/2014 4.000% due 04/25/2018 4.000% due 10/25/2038 4.250% due 10/25/2018 4.250% due 04/25/2019 4.750% due 04/25/2035 5.750% due 10/25/2032
Societe Generale
EUR
6,700 4,600 22,600 15,300 20,100 8,500 6,400 10,700 8,300 700 1,000
1.228% due 10/01/2015 3.750% due 12/15/2013 4.250% due 10/15/2012 4.250% due 04/15/2013 4.250% due 08/01/2013 4.250% due 03/01/2020 (b) 5.250% due 08/01/2011
EUR
2,400
Semiannual Report
61
(Cont.)
0.900% due 03/20/2014 1.500% due 12/20/2017 2.500% due 09/20/2036 2.500% due 09/20/2037
Total Japan (Cost $26,053)
6,500
9,904 9,904
TI Group Ltd.
GBP
Ras Laffan Liquefied Natural Gas Co. Ltd. II JERSEY, CHANNEL ISLANDS 0.5% HBOS Capital Funding LP
3.750% due 09/07/2019 4.250% due 06/07/2032 4.250% due 03/07/2036 4.750% due 12/07/2038 1,009 1,009
Weather Investments II SARL
1,000
EUR
1,000 500
GBP
EUR
5,300
8,167
UNITED STATES 41.8%
Total Jersey, Channel Islands (Cost $12,379) LUXEMBOURG 0.0% Gaz Capital S.A.
8,167
2,265 95 8 4 4,406 9 166 6 964 177 402 485 392 309 115 3,801 404 221 3 3 3 691 1 524 193 44
2,177 91 5 3 2,889 8 150 6 690 167 404 438 364 305 109 3,518 300 84 1 2 3 612 1 48 148 43
600
879 879
7,000
6,166 6,166
400
401 401
EUR
3,700
EUR
3,921 22,466 4,519 1,826 15,976 6,747 4,339 10,944 8,329 23,402 16,960 8,585 128,014
14,800 5,500
3.250% due 05/22/2014 2.500% due 01/15/2012 3.250% due 07/15/2015 3.750% due 07/15/2014 4.000% due 07/15/2018 4.000% due 07/15/2019 5.000% due 07/15/2011
Total Netherlands (Cost $122,145)
EUR
16,732 1,335 6,637 3,573 7,274 1,044 8,485 3,752 7,156 2,604 6,094 12,331 322 2,242
0.296% due 03/25/2047 0.296% due 06/25/2047 0.346% due 09/25/2047 0.426% due 09/25/2036 0.586% due 12/25/2036 0.726% due 12/25/2031 0.866% due 01/25/2032
GSAMP Trust
EUR
3,000
3,048 3,048
2.625% due 05/11/2012 3.750% due 11/14/2011 5.500% due 12/03/2049 6.666% due 12/31/2049
62
PIMCO Funds
Lehman XS Trust
0.326% due 11/25/2046 0.396% due 04/25/2037 0.476% due 06/25/2046 0.486% due 11/25/2046 0.566% due 11/25/2046 0.526% due 10/25/2034 0.306% due 11/25/2036
1,372 4,202 612 686 1,000 360 53 15 1,251 271 147 81 1,080 229 243 906 120 81 156 46 354 487 1 1,552 379 83 19 12 10 348 1,131
1,206 3,149 104 192 191 276 51 15 1,199 154 91 68 245 209 213 586 114 81 147 22 210 477 1 1,356 333 54 19 7 9 243 1,081 24,669
0.376% due 05/29/2012 0.394% due 06/12/2012 4.250% due 05/15/2013 4.875% due 03/15/2067 8.000% due 05/22/2038 8.175% due 05/15/2058
AutoZone, Inc.
94 4,207 917 3,462 15,051 6,622 1,713 777 8,398 1,301 8,218 2,627 2,751 3,184 2,845 8,137 2,959 6,456 700 2,010 6,179 1,801 714 1,156 1,307 513 2,798 9,284 3,422 4,598 1,559 2,972 719 2,795 8,377 7,608 6,728 2,064 6,351 2,738 3,135
1,885 2,664 704 812 1,939 694 10,447 2,048 1,992 2,380 789 3,610 4,981 1,053 1,968 6,596 1,366 257 814 4,368 3,640 1,410 2,494 4,357 1,729 2,332 4,037 3,109 3,009 1,045 2,532 8,136 1 1,087 5,022 254,554
Long Beach Mortgage Loan Trust MASTR Asset-Backed Securities Trust Merrill Lynch Mortgage Investors, Inc.
0.296% due 05/25/2037 0.316% due 07/25/2037 0.326% due 09/25/2037 0.366% due 02/25/2037
Morgan Stanley ABS Capital I
EUR
$ EUR
1.134% due 05/30/2014 1.149% due 08/25/2014 1.163% due 01/31/2014 1.394% due 07/22/2014 6.875% due 04/25/2018
Morgan Stanley
EUR
1,800 600 2,700 3,700 1,000 2,200 7,200 1,000 200 800 4,000 4,000 1,500 5,250 4,000 1,600 2,300 4,000 3,300 2,900 1,100 3,900 7,500 173 1,000
0.903% due 06/28/2013 0.949% due 03/05/2014 1.083% due 02/09/2016 5.500% due 10/15/2014
CNA Financial Corp.
EUR
6,000 2,200 5,035 700 2,000 5,600 1,700 700 1,100 1,300 650
0.960% due 10/18/2016 0.989% due 10/15/2015 1.155% due 03/01/2013 1.418% due 04/13/2016
NiSource Finance Corp.
EUR
1.193% due 02/04/2013 1.219% due 05/18/2015 1.349% due 02/02/2015 5.250% due 06/01/2016 (l) 5.950% due 01/18/2018
HCP, Inc.
EUR
CAD $
2,000 6,900 2,500 4,800 1,500 3,000 700 2,900 8,000 8,250 8,000 2,400 8,000
5,042 46 701
CAD
3,100 2,200
EUR
3,500
EUR
Semiannual Report
63
(Cont.)
550 2,729 746 7,015 866 1,100 4,550 813 10,796 2,400 4,364 6,253 1,702 3,519 4,305 594 731 90 87 1,101 4,138 191 2,901 5,811 6,524 1,636 4,093 142 72 2,903 2,485 4,080 5,051 11,800 300 3,393 139 3,041 163 2,911 1,700 1,300 1,700 1,767 925 784 1,327 1,055 888 24 3,909 4,181 1,322
394 1,280 151 2,836 629 1,004 2,527 533 5,077 2,128 3,828 5,593 1,579 3,092 3,738 486 704 77 86 714 2,626 111 1,753 3,491 3,765 875 1,944 117 32 2,381 2,143 3,231 3,463 9,897 227 1,667 68 1,613 81 1,439 146 128 204 819 220 314 647 558 748 21 2,565 2,793 679
0.436% due 09/25/2046 0.476% due 09/25/2046 1.821% due 11/25/2046 3.098% due 10/25/2034 5.414% due 09/10/2047
Banc of America Funding Corp.
American Home Mortgage Investment Trust Banc of America Commercial Mortgage, Inc.
0.536% due 04/25/2035 0.566% due 03/25/2035 0.576% due 02/25/2035 0.586% due 02/25/2035 0.586% due 03/25/2036 4.004% due 08/25/2034 4.110% due 11/19/2033 5.230% due 01/20/2035 5.250% due 02/20/2036 5.528% due 04/20/2036 6.073% due 09/25/2047 5.311% due 12/15/2039 6.500% due 07/26/2036 0.896% due 03/25/2034 3.847% due 07/25/2033 3.877% due 08/25/2033 0.316% due 01/25/2047 0.346% due 10/25/2036 5.500% due 12/25/2035 6.300% due 07/25/2036
230 2,251 190 226 1,111 259 98 699 1,923 1,183 3,269 11,200 1,469 462 88 766 191 703 1,600 1,572 151 518 452 751 112 2,320 1,500 1,256 733 145 105 274 754 675 1,182 2,933 1,395 7,741 1,440 379 11 909 233 6,119 2,182 454 1,650 352 812 818 2,295 500
120 1,045 111 132 212 170 97 621 1,300 645 2,081 9,123 912 392 80 717 180 636 1,169 801 141 469 375 765 95 1,154 175 594 374 76 87 252 698 653 1,122 1,394 636 3,960 766 178 9 857 145 2,809 1,043 209 409 214 509 468 1,900 430
740 2,128 1,400 9,454 669 1,500 915 17 3,800 100 9,802 10,161 672 301 2,058 3,388 3,592 1,500 432 749 1,300 1,100 3,069 7,007 171 2,200 1,140 804 1,469 1,000 1,500 570 213 79 1,233 506 1,053 260 2,135 6,039 200 1,013 6,986 774 70 31 3,564 200 56
700 2,039 1,131 4,619 322 130 434 14 2,846 90 7,868 5,848 369 269 1,479 2,999 3,123 1,231 260 389 791 677 1,311 3,316 81 480 770 396 903 538 928 382 109 38 1,058 424 496 242 1,014 2,823 67 540 5,273 134 37 22 1,645 103 54
0.683% due 12/15/2030 5.378% due 08/12/2048 5.414% due 07/12/2046 6.156% due 08/12/2049 0.456% due 02/25/2036 0.496% due 08/25/2036 4.441% due 02/25/2033
MLCC Mortgage Investors, Inc.
0.416% due 01/25/2037 2.216% due 03/25/2035 2.490% due 08/25/2035 2.900% due 03/25/2035 4.153% due 05/25/2034 4.550% due 08/25/2035 4.625% due 10/25/2035 4.630% due 05/25/2034 4.648% due 10/25/2033 5.131% due 02/25/2034 5.622% due 02/25/2033 5.734% due 02/25/2036
Bear Stearns Alt-A Trust
3.148% due 07/25/2033 4.129% due 12/25/2033 5.366% due 08/25/2035 6.250% due 08/25/2017
GMAC Mortgage Corp. Loan Trust
5.490% due 09/25/2035 5.508% due 11/25/2035 5.654% due 11/25/2036 5.667% due 11/25/2036 5.714% due 02/25/2036 5.820% due 11/25/2036 6.250% due 08/25/2036 0.353% due 03/15/2019
Bella Vista Mortgage Trust
0.426% due 01/25/2037 0.446% due 12/25/2046 0.456% due 04/25/2036 0.466% due 06/25/2045 0.516% due 11/25/2045 3.895% due 10/25/2033
GS Mortgage Securities Corp. II
5.050% due 10/25/2035 5.533% due 02/25/2036 5.820% due 03/25/2047 6.138% due 03/25/2047
Residential Accredit Loans, Inc.
0.396% due 02/25/2047 0.426% due 06/25/2046 0.456% due 04/25/2046 0.551% due 09/25/2046 5.664% due 09/25/2035
Residential Asset Securitization Trust
4.248% due 08/25/2035 4.748% due 08/25/2035 4.900% due 10/25/2035 5.674% due 07/25/2046 5.322% due 12/11/2049 0.473% due 02/05/2019
Countrywide Alternative Loan Trust
0.696% due 12/25/2036 5.750% due 02/25/2036 6.250% due 10/25/2036 6.500% due 08/25/2036 5.203% due 09/25/2035 0.466% due 05/25/2037 2.451% due 01/25/2035 3.619% due 04/25/2034 3.750% due 02/25/2034 6.000% due 10/25/2037 0.346% due 09/25/2047 0.436% due 07/25/2046 0.466% due 05/25/2036 0.466% due 09/25/2047 0.476% due 05/25/2045 0.496% due 07/19/2035 0.496% due 09/25/2047 0.556% due 12/25/2035 0.826% due 07/19/2034 2.401% due 08/25/2047 5.970% due 09/25/2036
Thornburg Mortgage Securities Trust
Residential Funding Mortgage Securities I Structured Adjustable Rate Mortgage Loan Trust
0.441% due 12/20/2046 0.446% due 05/25/2036 0.456% due 05/25/2035 0.456% due 03/20/2046 0.456% due 07/25/2046 0.496% due 09/25/2046 0.506% due 07/25/2046 0.526% due 09/20/2046 0.596% due 05/25/2037 0.596% due 06/25/2037 0.666% due 12/25/2035 2.401% due 11/25/2035 2.941% due 11/25/2035 5.250% due 06/25/2035 6.000% due 10/25/2032 6.000% due 01/25/2037 6.000% due 04/25/2037 6.250% due 08/25/2037
64
PIMCO Funds
0.336% due 01/19/2038 0.436% due 07/21/2036 0.436% due 09/19/2037 0.436% due 01/19/2038 0.466% due 05/19/2035 0.486% due 03/19/2036 0.616% due 02/19/2034 4.244% due 05/19/2033 5.144% due 07/19/2035
Indymac IMSC Mortgage Loan Trust
0.456% due 05/25/2046 0.486% due 06/25/2037 0.536% due 11/25/2036 4.944% due 12/25/2034 5.000% due 08/25/2035 5.278% due 09/25/2035
JPMorgan Alternative Loan Trust
0.333% due 09/15/2021 0.466% due 07/25/2046 0.476% due 04/25/2045 0.506% due 11/25/2045 0.516% due 12/25/2045 0.536% due 10/25/2045 0.556% due 01/25/2045 0.566% due 01/25/2045 0.740% due 11/25/2034 0.786% due 12/25/2027 1.641% due 01/25/2047 1.661% due 04/25/2047 1.721% due 12/25/2046 1.751% due 02/25/2047 1.881% due 06/25/2046 1.901% due 02/25/2046 2.301% due 06/25/2042 2.301% due 08/25/2042 2.304% due 05/25/2041 2.833% due 09/25/2033 2.910% due 06/25/2033 2.954% due 08/25/2034 3.099% due 07/25/2046 3.099% due 10/25/2046 3.708% due 03/25/2034 5.456% due 04/25/2037 5.564% due 12/25/2036 5.678% due 02/25/2037
6,906 775 2,304 518 1,815 221 456 314 1,741 1,198 2,188 1,496 7,364 2,379 3,801 123 249 116 41 6,162 263 1,896 1,430 2,945 1,842 3,765 4,139 3,057
5,158 216 1,448 311 1,099 120 288 192 780 846 869 720 2,951 1,243 1,994 63 192 80 37 5,717 229 1,787 833 1,581 1,714 2,298 2,666 1,955
Northern Alaska State Tobacco Securitization Corp. Revenue Bonds, Series 2006
5,000
3,538
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
2,000
150
4.125% due 10/20/2029 4.500% due 09/15/2033 6.000% due 08/20/2034 01/15/2039
Small Business Administration
South Carolina State Transportation Infrastructure Bank Revenue Bonds, (AMBAC Insured), Series 2001
1,500
1,540 29,836
SHARES
SLM Corp.
15,700
PRINCIPAL AMOUNT (000S)
192
1,525 203
Fannie Mae
4.665% due 02/25/2033 3.818% due 04/25/2036 4.948% due 03/25/2036 5.778% due 04/25/2036
630
678
0.306% due 07/25/2037 0.366% due 03/25/2034 0.396% due 08/25/2034 0.446% due 10/27/2037 0.496% due 06/25/2044 0.646% due 06/25/2029 2.251% due 06/01/2043 10/01/2044 2.630% due 03/01/2033 2.850% due 06/01/2035 3.440% due 11/01/2034 3.485% due 05/01/2026 4.634% due 12/01/2036 4.832% due 09/01/2035 4.880% due 12/01/2015 4.943% due 12/01/2034 5.030% due 09/01/2019 5.360% due 01/01/2016 5.500% due 10/01/2028 10/01/2039 5.500% due 05/01/2034 04/01/2037 (h) 5.700% due 08/01/2018 6.000% due 11/01/2023 07/25/2044 6.500% due 04/01/2035 06/25/2044 6.896% due 07/01/2020 7.430% due 09/01/2022 11/01/2022
Freddie Mac
4,313 32 25 7,400 7 28 632 240 163 3,390 24 326 861 1,860 176 13 980 139,332 86,324 3,741 5,841 2,212 959 79 708 2,070 653 1,619 57 1,280 340 133 156 55 1,778 834 731 1,989 859 817
3,892 29 24 7,001 7 28 630 240 165 3,445 24 327 901 1,984 182 13 1,067 145,855 90,657 3,759 6,161 2,372 942 79 707 2,074 654 1,618 46 1,282 337 131 160 56 1,842 871 758 2,039 897 857
0.030% due 10/01/2009 $ 6,000 (Dated 09/30/2009. Collateralized by U.S. Treasury Notes 3.125% due 08/31/2013 valued at $6,123. Repurchase proceeds are $6,000.)
State Street Bank and Trust Co.
6,000
0.010% due 10/01/2009 2,185 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $2,230. Repurchase proceeds are $2,185.)
2,185
8,185
U.S. CASH MANAGEMENT BILLS 0.0%
650
650
5,247
SHARES
5,534
5,004,933
Total Short-Term Instruments (Cost $64,191) Total Investments 111.4% (Cost $2,332,167) Written Options (k) (0.1%) (Premiums $3,126) Other Assets and Liabilities (Net) (11.3%) Net Assets 100.0%
$
50,114 64,483
$
2,500
2,708
Golden State, California Tobacco Securitization Corp. Revenue Bonds, (FGIC Insured), Series 2005
6,900 4,600
6,639 4,384
800
623
Los Angeles, California Unified School District General Obligation Bonds, (FSA Insured), Series 2007
5,700
5,926
New Jersey State Tobacco Settlement Financing Corp. Revenue Bonds, Series 2007
3,400 500
2,923 378
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
0.343% due 02/01/2011 (f) 0.379% due 03/09/2011 (f) 0.389% due 05/04/2011 (f) 0.402% due 08/05/2011 (f) 0.506% due 08/25/2031 0.541% due 01/28/2011 (f) 0.593% due 12/15/2030 0.693% due 12/15/2031 3.596% due 09/01/2035 3.823% due 06/01/2024 4.500% due 07/15/2018 4.851% due 11/01/2035 4.878% due 10/01/2035 5.000% due 03/15/2025 5.031% due 08/01/2035 5.092% due 10/01/2035
330
349
Semiannual Report September 30, 2009
65
(Cont.)
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) (h) (i) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. When-Issued security. Coupon represents a weighted average rate. Affiliated to the Fund. Securities with an aggregate market value of $650 have been pledged as collateral for foreign currency contracts on September 30, 2009. Securities with an aggregate market value of $6,521 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Securities with an aggregate market value of $770 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2009. The average amount of borrowings while outstanding during the period ended September 30, 2009 was $129,796 at a weighted average interest rate of 0.405%. On September 30, 2009, securities valued at $80,081 were pledged as collateral for reverse repurchase agreements. Securities with an aggregate market value of $4,176 and cash of $7 have been pledged as collateral for the following open futures contracts on September 30, 2009: Unrealized Appreciation/ (Depreciation)
Description
Type
Expiration Month
# of Contracts
90-Day Euribor December Futures 90-Day Euribor March Futures Euro-Bund 10-Year Bond December Futures Euro-Bund 10-Year Bond December Futures Call Options Strike @ EUR 123.500 Japan Government 10-Year Bond December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000 United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures
Long Long Long Short Long Long Short Long Long Long
12/2009 03/2011 12/2009 12/2009 12/2009 12/2010 12/2009 06/2010 03/2011 09/2010
275 29 34 76 $ 2,169
(j)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Implied Unrealized Notional Market Upfront Premiums Appreciation/ Credit Spread at (3) Amount (4) Value Paid/(Received) (Depreciation) September 30, 2009
Reference Entity
Counterparty
AutoZone, Inc. AutoZone, Inc. Bank of America Corp. Bank of America Corp. Barclays Bank PLC Boston Scientific Corp. Cameron International Corp. CenturyTel, Inc. CNA Financial Corp. Computer Sciences Corp. Computer Sciences Corp. Cox Communications, Inc. Daimler Finance N.A. LLC Daimler Finance N.A. LLC Erac USA Finance Co. Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. HCP, Inc. HCP, Inc. HCP, Inc. Home Depot, Inc. HRPT Properties Trust International Lease Finance Corp. International Lease Finance Corp. International Lease Finance Corp. Lennar Corp. Loews Corp. Marsh & McLennan Cos., Inc. Masco Corp. Masco Corp. Maytag Corp. McKesson Corp.
66
PIMCO Funds International Institutional Funds
CITI GSC CITI DUB RBS UBS DUB BOA JPM BCLY GSC MSC JPM RBS GSC CITI CITI CITI JPM UBS BCLY JPM MSC BCLY MSC BCLY JPM MSC MLP JPM BCLY CITI MSC JPM BOA
(0.680%) (1.090%) (0.170%) (1.720%) (2.350%) (2.060%) (0.770%) (0.595%) (0.440%) (0.760%) (1.180%) (0.200%) (0.520%) (0.620%) (0.800%) (1.130%) (1.100%) (1.370%) (1.470%) (0.310%) (1.150%) (0.610%) (2.030%) (1.150%) (1.960%) (0.170%) (1.620%) (1.590%) (5.750%) (0.330%) (0.650%) (1.910%) (0.580%) (0.460%) (0.380%)
12/20/2012 09/20/2018 12/20/2016 12/20/2013 12/20/2017 06/20/2016 09/20/2018 06/20/2017 09/20/2011 03/20/2018 03/20/2018 03/20/2011 06/20/2010 09/20/2011 12/20/2017 03/20/2018 06/20/2018 06/20/2018 06/20/2018 06/20/2016 03/20/2018 09/20/2011 12/20/2013 03/20/2016 12/20/2015 03/20/2012 06/20/2012 12/20/2013 12/20/2012 03/20/2016 09/20/2010 12/20/2016 09/20/2012 06/20/2015 03/20/2017
0.536% 0.751% 1.246% 1.191% 1.292% 0.860% 1.479% 0.832% 2.306% 0.372% 0.372% 0.308% 0.416% 0.745% 1.374% 1.063% 1.061% 1.061% 1.061% 1.079% 2.005% 1.668% 2.039% 0.675% 2.951% 9.677% 9.614% 9.204% 2.349% 0.494% 0.320% 2.125% 1.905% 0.504% 0.303%
$ 1,600 $ (8) 700 (18) 1,600 107 4,000 (86) 6,900 (519) 2,700 (196) 3,000 155 2,800 45 2,000 71 1,000 (29) 4,600 (281) 1,700 3 700 (1) 1,100 2 1,300 51 5,000 (26) 2,500 (8) 3,800 (87) 5,700 (172) 500 23 2,900 166 700 14 3,000 (1) 8,000 (226) 8,250 411 2,400 460 8,000 1,386 8,000 1,807 700 (73) 800 8 1,900 (6) 11,000 135 700 26 2,200 5 1,900 (10)
$ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
(8) (18) 107 (86) (519) (196) 155 45 71 (29) (281) 3 (1) 2 51 (26) (8) (87) (172) 23 166 14 (1) (226) 411 460 1,386 1,807 (73) 8 (6) 135 26 5 (10)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) (Cont.) Fixed Deal (Pay) Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (3) Amount (4) Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Merrill Lynch & Co., Inc. NiSource Finance Corp. Pearson Dollar Finance PLC Pearson Dollar Finance PLC PPG Industries, Inc. ProLogis Reynolds American, Inc. Rio Tinto Alcan, Inc. Sara Lee Corp. Sealed Air Corp. Simon Property Group LP Smith Group PLC Southwest Airlines Co. Sprint Capital Corp. Tate & Lyle International Finance PLC Tyco International Finance S.A. UBS AG UBS AG UBS AG UBS AG Universal Health Services, Inc. Vivendi Vivendi XL Capital Finance Europe PLC
DUB JPM BCLY MSC CSFB BOA BCLY BOA CITI CSFB DUB RBS BCLY MLP DUB BOA BCLY BCLY CITI DUB BOA JPM RBS BCLY
(1.540%) (0.620%) (0.610%) (0.540%) (0.830%) (1.480%) (1.200%) (0.290%) (0.330%) (0.500%) (0.947%) (0.530%) (0.640%) (0.460%) (0.510%) (1.120%) (1.820%) (2.250%) (2.200%) (2.200%) (1.250%) (1.500%) (3.100%) (0.310%)
06/20/2018 09/20/2014 06/20/2013 06/20/2014 03/20/2018 12/20/2015 06/20/2013 03/20/2011 09/20/2011 09/20/2013 06/20/2018 09/20/2010 03/20/2017 03/20/2012 12/20/2014 12/20/2019 12/20/2013 03/20/2014 03/20/2014 03/20/2014 06/20/2016 06/20/2018 06/20/2013 03/20/2012
1.374% 1.486% 0.408% 0.459% 0.791% 2.990% 1.680% 0.187% 0.226% 0.982% 1.516% 0.462% 1.716% 3.065% 1.375% 0.686% 0.887% 0.904% 0.904% 0.904% 0.667% 1.308% 1.127% 1.441%
$ 2,000 $ (25) 800 31 2,500 (19) 6,800 (26) 4,000 (12) 4,000 307 4,000 66 2,400 (4) 1,600 (3) 2,300 42 4,000 161 GBP 5,500 (7) $ 3,300 223 3,700 225 1,000 41 7,500 (279) EUR 5,700 (317) 6,000 (504) 2,000 (162) 500 (40) $ 1,000 (36) 6,400 (92) 1,440 (102) 500 13 $ 2,609
$ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 $ 0
(25) 31 (19) (26) (12) 307 66 (4) (3) 42 161 (7) 223 225 41 (279) (317) (504) (162) (40) (36) (92) (102) 13 $ 2,609
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (3) Amount (4) Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Brazil Government International Bond Brazil Government International Bond JSC Gazprom
43 70 (22) 91
$ 0 0 0 $ 0
43 70 (22) 91
Credit Default Swaps on Credit Indices - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Notional Amount (4) Market Value (5) Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
Credit Default Swaps on Credit Indices - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Notional Amount (4) Market Value (5) Upfront Premiums Unrealized Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
CSFB DUB
0.320% 0.110%
07/25/2045 05/25/2046
8,500 3,978
$ $
(1)
(2)
(3)
(4)
(5)
If the Fund 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 compromising 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 compromising the referenced index. 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 compromising 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 compromising the referenced index. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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. The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and 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 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.
Semiannual Report September 30, 2009
67
(Cont.)
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Year BRL-CDI 1-Year BRL-CDI 3-Month AUD Bank Bill 3-Month CAD Bank Bill 6-Month EUR-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 28-Day MXN TIIE
2.090% 2.103% 2.146% 1.948% 2.080% 11.360% 11.360% 5.000% 5.800% 3.000% 3.500% 3.500% 4.500% 1.000% 1.000% 1.000% 1.000% 8.300%
10/15/2010 10/15/2010 10/15/2010 03/15/2012 06/15/2012 01/02/2012 01/02/2012 12/15/2011 12/19/2023 09/15/2012 03/17/2015 03/17/2015 03/17/2020 12/16/2010 12/16/2014 12/16/2014 12/16/2014 02/07/2019
BNP BCLY UBS BCLY GSC GSC MLP UBS JPM JPM BCLY CSFB GSC UBS BOA RBS UBS MLP
EUR
MXN
10,000 15,000 17,300 5,700 18,700 42,500 17,000 89,200 23,200 75,200 1,200 13,000 37,300 1,220,000 7,620,000 12,380,000 27,360,000 19,900
581 846 1,092 193 693 (14) (5) (603) 405 914 (10) (113) 2,030 72 473 770 1,700 22 $ 9,046
(11) (16) 23 0 0 (2) 5 229 (68) 774 (62) (412) 369 40 (165) 26 990 12 $ 1,732
592 862 1,069 193 693 (12) (10) (832) 473 140 52 299 1,661 32 638 744 710 10 $ 7,314
(k)
Options on Exchange-Traded Futures Contracts Description Exercise Price Expiration Date # of Contracts Premium Market Value
$ 98.500
03/15/2010
905
$ 324
$ 144
Exercise Rate
Expiration Date
Notional Amount
Premium
Market Value
Put - OTC 7-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap
3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR
14,000 $ 145 5,000 45 5,000 57 79,000 750 32,600 258 10,000 87 100,000 988 $ 2,330
Foreign Currency Options Description Exercise Price Expiration Date Notional Amount Premium Market Value
Call - OTC USD versus BRL Call - OTC USD versus KRW Call - OTC USD versus KRW Call - OTC USD versus MXN Call - OTC USD versus MXN
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount in $ Notional Amount in EUR
Premium
68
PIMCO Funds
(l)
Restricted securities as of September 30, 2009: Market Value as Percentage of Net Assets
Issuer Description
Coupon
Maturity Date
Acquisition Date
Cost
Market Value
0.316% 5.250%
05/25/2037 06/01/2016
03/26/2008 11/03/2006
(m) Short sales outstanding on September 30, 2009: Maturity Date Principal Amount Market Value
Description
Coupon
Proceeds
(n)
Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Sell Sell Buy Buy Buy Buy Buy Sell Buy Sell Buy Buy Sell Sell Buy Buy Sell Buy Buy Sell Buy Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Buy Buy Buy Sell Buy Buy Sell Sell Buy Sell Buy Sell Sell Buy Buy
AUD
BRL
DKK EUR
GBP
22,695 1,352 71,377 72,729 1,679 7,808 4,357 3,474 6,039 21,679 21,679 22,542 500 2,807 7 449,185 479,200 5,032 47,150 12,390 67,320 37,591 12,370 15,653 27,062 57,554 30,492 41,593 26,823 47,150 37,591 22 88,533 88,511 41,583 68,350 10 7,205 378 1,889 4,513 7,778 61,044 5,790 75,658 6,770 70,155 377
10/2009 10/2009 10/2009 10/2009 11/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 10/2009 10/2009 10/2009 12/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 03/2010 05/2010 05/2010 05/2010 06/2010 06/2010 11/2010 11/2010 10/2009 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009
CITI JPM JPM RBS HSBC BOA CITI HSBC JPM RBS RBS CITI RBS UBS HSBC BCLY CITI BCLY BCLY BOA JPM UBS BOA JPM BCLY BCLY MLP BCLY HSBC BCLY UBS JPM RBS HSBC BCLY BNP BNP DUB HSBC HSBC JPM MSC RBC RBS RBS UBS BNP HSBC
(302) 0 (697) (3,673) 0 0 0 0 0 (319) 0 (214) (2) (10) 0 (46) 0 (1) 0 0 (12) 0 (3) (16) (421) (418) (458) (39) (25) (97) (90) 0 0 0 0 (71) 0 0 0 (11) (13) 0 (319) (56) (382) 0 (5,042) 0
(302) 27 (697) (3,673) 14 226 150 76 413 (319) 320 (214) (1) (10) 0 (46) 46 (1) 13 0 (12) 14 (3) (16) (421) (418) (458) (39) (25) (97) (90) 0 752 4 1,277 1,558 0 26 0 (11) (13) 52 283 (56) (208) 41 (5,042) 4
Semiannual Report September 30, 2009
69
(Cont.)
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Sell Buy Sell Buy Buy Sell Buy Sell Sell Sell Sell Sell Buy Buy Buy Buy Buy Sell Buy Sell Sell Sell Buy Sell Buy Sell Sell Buy Sell Buy Sell Buy Buy Buy Sell Buy Buy Sell Sell Sell Sell Sell Buy Buy Buy Sell Sell Sell Buy Buy Buy Sell Sell Sell Buy
GBP
IDR INR
JPY
KRW
MXN
MYR
4,478 7 1,771 31,937 34,377,210 36,123,200 211 1,474 643 212 213 195 1,474 1,583,433 67,947,319 336,499 2,230,934 1,322,586 200,000 23,116 562,051 2,335,857 1,508,247 2,759,600 52,413 3,609,463 1,864 44,435 864,333 4,395,398 7,930,133 39,752 2,233,084 124 6,462 124 61,640 53,561 194 47 24 64 4 19,364 19,439 38,803 460 460 5,949 1,568 93,313 94,881 117 1,505 630 74
10/2009 10/2009 10/2009 10/2009 01/2010 09/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 03/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 10/2009 10/2009 12/2009 10/2009 10/2009 11/2009 10/2009 10/2009 12/2009 11/2009 11/2009 11/2009 11/2009
JPM JPM RBS RBS BCLY JPM BCLY CITI CITI HSBC JPM MSC CITI BCLY BNP CITI GSC HSBC HSBC JPM JPM MSC RBC RBS BCLY BOA BOA CITI HSBC HSBC JPM RBS JPM CITI DUB DUB HSBC JPM JPM BCLY DUB JPM CITI BCLY RBS HSBC CITI RBC DUB RBC RBS HSBC HSBC BCLY CITI BCLY
0 0 0 1,105 0 55 0 0 0 0 0 0 0 399 22,631 82 674 284 0 3 9 0 0 478 0 134 0 0 32 0 244 0 47 1 0 0 0 0 0 0 0 0 0 94 168 52 0 0 0 0 1,302 0 0 0 0 2 $ 33,657
(208) 0 (62) 0 (6) 0 0 0 0 0 0 0 0 0 0 0 0 (10) (11) 0 0 (608) (427) (7) (3) 0 0 (3) 0 (218) 0 (3) 0 0 (3) 0 (24) (35) 0 (1) 0 (1) 0 0 0 0 (12) (2) (3) (6) 0 (9) (2) (1) 0 0 $ (14,402)
(208) 0 (62) 1,105 (6) 55 0 0 0 0 0 0 0 399 22,631 82 674 274 (11) 3 9 (608) (427) 471 (3) 134 0 (3) 32 (218) 244 (3) 47 1 (3) 0 (24) (35) 0 (1) 0 (1) 0 94 168 52 (12) (2) (3) (6) 1,302 (9) (2) (1) 0 2 $ 19,255
70
PIMCO Funds
(o)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Australia France Germany Italy Netherlands United Kingdom United States Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
$ $ $ $
$ $ $ $
134,113 217,542 249,391 182,748 128,014 162,451 838,981 262,706 2,175,946 (240,933) 29,651 1,964,664
$ $ $ $
$ $ $ $
134,113 217,542 249,391 182,748 128,014 162,451 847,003 335,292 2,256,554 (240,933) 31,820 2,047,441
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ Ending (Depreciation) Balance on investments at 09/30/2009 held at 09/30/2009
Category ++
Realized Gain/(Loss)
Australia United States Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. +++ Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. ++++ Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
(p) Fair Value of Derivative Instruments ^
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ 0 0 0 $ 0 $ 0 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 0 $ 0
Liabilities:
Written options outstanding Variation margin payable ^^ Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
Semiannual Report
71
(Cont.)
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Other Contracts
Total
Net realized (loss) on investments (purchased options) Net realized gain (loss) on futures contracts, written options and swaps Net realized gain on foreign currency transactions
(50)
(295)
0 10,755 0 10,755
$ 0 0 0 $ 0
$ 0 0 0 $ 0
(345)
(15,108) 0 $ (15,158)
0 123,176 $ 122,881
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
Net change in unrealized appreciation (depreciation) on investments (purchased options) Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies
38 54,635 0 54,673
0 (62,339)
$ 0 0 0 $ 0
$ 0 0 0 $ 0
$
^ ^^
0 $ (62,339)
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current days variation margin is reported within the Statement of Assets and Liabilities.
72
PIMCO Funds
5.297% due 08/21/2012 4,314 6,755 3,490 20,864 7,929 4,076 15,827 1,771 3,333 2,042 475 5,366 3,015 3,095 3,216 1,453 1,115 4,658 5,235 266 8,071 9,966 843 1,691 118,866
Province of Ontario Canada
CAD
AUD
4.250% due 04/25/2019 4.750% due 10/25/2012 5.500% due 04/25/2029 5.750% due 10/25/2032
France Treasury Notes
EUR
32,500 3,700 1,840 11,100 1,700 400 1,700 13,000 700 4,550 7,000
50,587 5,868 3,200 20,167 2,540 618 2,511 13,364 505 6,259 7,271 319,040
3.000% due 07/12/2014 3.750% due 01/12/2013 2.125% due 05/20/2012 3.375% due 05/05/2014
Societe Generale
$ AUD
EUR
Vivendi
EUR
4.850% due 07/29/2049 6.361% due 06/07/2010 8.111% due 06/07/2010 6.164% due 01/29/2049
Vita Capital III Ltd.
EUR
0.551% due 10/21/2015 3.875% due 01/21/2019 3.750% due 01/04/2015 4.000% due 01/04/2037 4.250% due 07/04/2014 4.250% due 07/04/2039 4.750% due 07/04/2034 4.750% due 07/04/2040 5.500% due 01/04/2031 5.625% due 01/04/2028 6.250% due 01/04/2030 6.500% due 07/04/2027
Total Germany (Cost $264,730) GREECE 0.2%
EUR
100 8,500 4,500 1,500 8,400 3,200 10,600 4,100 33,550 20,270 20,712 46,660
144 12,844 6,989 2,205 13,311 4,941 17,230 6,844 59,076 35,852 39,438 90,211 289,085
AUD
$ AUD
5,376 279
DKK
AUD
EUR
0.582% due 09/10/2014 (g) 3.545% due 05/25/2017 4.750% due 03/05/2014
Total Australia (Cost $111,999) BERMUDA 0.4% Merna Reinsurance Ltd.
$ AUD
EUR
1,800 1,500
EUR
300 3,800
426
IRELAND 0.9%
10,700
10,411 10,411
6,003
8.162% due 10/29/2049 3,953 7,801 5,438 4,640 12,526 6,796 7,004 29,574 17,775 60,852 43,362
Atlas Reinsurance PLC
GBP
EUR
CAD
6,400 12,400
JPY
3.000% due 10/25/2015 3.500% due 04/25/2015 3.750% due 04/25/2021 4.000% due 04/25/2014 4.000% due 10/25/2014 4.250% due 10/25/2018
EUR
1,000
Semiannual Report
(Cont.)
SC Germany Auto
SWITZERLAND 0.2%
$
1,833 500
2,000 13,000
UBS AG
4,300 1,000
1.114% due 08/28/2023 2.500% due 07/01/2012 3.750% due 12/15/2013 4.250% due 04/15/2013 4.250% due 08/01/2013 4.250% due 03/01/2020 (b)
EUR
3,787 98,507 44,068 24,990 12,451 24,569 108 819 1,401 210,700
540 500
EUR
1,600 15,650 3,300 4,400 720 5,700 2,000 7,100 17,200 1,800 1,000
2,486 15,775 2,937 5,794 1,012 9,337 1,842 6,342 9,890 1,046 611 508 4,742 2,604 143 16,441 1,468 11,522 53,859 3,969 10,300 21,345 183,973
EUR
13,368 404 566 1,074 21 287 3,233 28,648 9,792 75 7,946 6,596 36,248 153 347 235 108,993
GBP
1.109% due 11/20/2035 1.139% due 11/02/2035 1.219% due 07/02/2037 1.379% due 10/02/2079
Fortis Bank Nederland Holding NV
4.250% due 06/09/2015 0.900% due 03/20/2014 1.500% due 12/20/2017 1.500% due 09/20/2018 1.800% due 06/20/2017 2.300% due 06/20/2035 2.400% due 03/20/2034
Total Japan (Cost $219,440)
EUR
CAD
3.125% due 02/10/2012 3.250% due 05/22/2014 3.250% due 07/15/2015 3.750% due 07/15/2014 4.000% due 07/15/2018 5.500% due 01/15/2028
Saecure BV
EUR
EUR
Royal Bank of Scotland Group PLC Tate & Lyle International Finance PLC
$
GBP
GBP
EUR
3.750% due 09/07/2019 4.250% due 06/07/2032 4.250% due 03/07/2036 4.750% due 12/07/2038
Total United Kingdom (Cost $182,554) UNITED STATES 42.9%
GBP
6,243
DnB NOR Boligkreditt
Total Jersey, Channel Islands (Cost $6,204) LIBERIA 0.1% Royal Caribbean Cruises Ltd.
8,799
EUR
3,100
4,724 4,724
1,700
1,738 1,738
4,200
6,472 6,472
Amortizing Residential Collateral Trust Amresco Residential Securities Mortgage Loan Trust
GBP
4,300 700
7,098 1,026
8,500
74
PIMCO Funds
0.296% due 12/25/2036 0.316% due 12/25/2036 0.326% due 10/25/2036 0.646% due 10/27/2032 0.696% due 03/25/2043 0.906% due 10/25/2032 1.246% due 10/25/2037
BNC Mortgage Loan Trust
87 63 53 120 7 74 154 104 1,428 194 221 412 327 279 7 1,787 432 52 369 5,121 186 635 1,272 52 67 14 214 19 26 60 86 2 557 56 969 200 12 33 66 5 55 184 331 122
81 57 48 80 6 59 96 73 1,362 175 209 373 304 261 7 1,693 416 49 333 4,740 180 471 482 38 46 9 211 19 19 39 81 1 544 51 879 85 9 32 63 5 31 114 286 102
301 30 61 340 163 398 5 9 259 238 91 63 100 64 1,376 20 7 200 9,100 495 55 27,754 104 29 202 16 1,424
275 28 61 299 105 379 5 5 245 113 63 63 100 64 1,375 20 7 198 9,047 497 55 28,727 68 28 202 10 1,361 61,523
5.750% due 03/15/2067 5.850% due 01/16/2018 8.000% due 05/22/2038 8.175% due 05/15/2058 8.250% due 08/15/2018
Anadarko Petroleum Corp.
GBP $ EUR $
8,200 17,000 17,100 17,500 5,400 3,900 2,000 1,000 1,700 1,500
6,028 12,327 13,763 10,631 4,596 4,120 2,141 1,088 1,790 1,711 8,848 16,834 131 8,007 3,002 413 4,381 3,127 2,877 10,546 5,560 941 8,737 9,954 6,915 2,839 3,618 6,620 2,462 1,020 1,997 431 2,135 7,405 504 10,821 2,739 7,933 5,944 1,439
0.746% due 12/25/2033 0.316% due 02/25/2037 0.326% due 10/25/2036 0.806% due 06/25/2032
Residential Asset Securities Corp.
EUR
6.030% due 03/01/2033 6.681% due 12/01/2033 0.296% due 07/25/2037 0.296% due 12/25/2046 0.296% due 06/25/2047 0.316% due 06/25/2047 0.326% due 06/25/2037 0.326% due 10/25/2047 0.346% due 09/25/2047 0.356% due 10/25/2046 0.426% due 09/25/2036 0.586% due 12/25/2036 0.306% due 11/25/2036 0.866% due 01/25/2032
First Alliance Mortgage Loan Trust
Credit-Based Asset Servicing & Securitization LLC CS First Boston Mortgage Securities Corp.
0.484% due 04/25/2014 0.494% due 10/27/2014 0.499% due 12/17/2018 0.504% due 10/25/2013 0.504% due 07/25/2017 1.004% due 10/25/2017 1.184% due 07/25/2013 1.304% due 10/25/2013 2.004% due 04/25/2023 0.306% due 11/25/2036 0.326% due 01/25/2037
South Carolina Student Loan Corp.
0.903% due 06/28/2013 0.949% due 03/05/2014 1.059% due 01/16/2012 4.750% due 02/10/2019 6.000% due 08/15/2017
CNA Financial Corp.
4,100 700 5,800 8,150 7,000 3,000 3,600 6,000 2,300 1,000 1,900 400 2,000 7,400 500 13,700 2,900 6,050 6,000 1,400
3.250% due 12/16/2013 3.510% due 12/16/2013 3.754% due 10/10/2014 3.782% due 10/10/2014
5.125% due 04/15/2010 11,500 200 5,000 5,500 10,000 1,300 14,306 192 4,405 3,662 9,004 956
General Electric Capital Corp.
0.620% due 10/18/2011 4.875% due 03/15/2067 4.950% due 03/20/2012 5.600% due 10/18/2016
EUR
EUR $
Semiannual Report
75
(Cont.)
Humana, Inc.
6,300 300 2,900 2,700 7,000 3,000 1,850 1,300 4,670 1,350 700 1,900 2,100 8,400 6,800 7,000 3,100 1,200 5,000 4,000 1,300 4,300 2,200 1,000
6,018 303 2,467 2,322 5,557 3,257 1,989 1,422 4,497 1,258 998 1,770 1,896 1,449 1,232 1,278 3,115 1,217 4,722 3,905 1,271 4,300 2,246 992 9,255 395 13,463 4,855 6,792 1,991 2,574 2,008 5,148 1,221 3,999 1,057 950 1,242
521 5,263 13,080 8,683 4,950 3,100 3,314 1,598 1,036 526 5,329 760 7,594 2,749 1,152 7,022 3,717 423,725
5.285% due 08/25/2036 5.490% due 09/25/2035 5.508% due 11/25/2035 5.667% due 11/25/2036 5.714% due 02/25/2036 5.718% due 01/25/2036 5.820% due 11/25/2036 6.250% due 08/25/2036 5.700% due 06/11/2050 0.316% due 02/25/2037
1,600 4,411 287 6,250 8,531 160 1,440 4,450 4,100 56 529 2,903 2,862 9,541 2,507 4,107 14,700 1,846 1,600 878 2,638 9,325 186 217 2,167 167 591 1,502 1,009 859 809 733 30 3,319 1,687 1,157 52 1,719 38 277 122 1,118 3,002 1,232 1,191 923 39 95 501 34
680 2,799 167 3,755 4,923 99 770 2,114 3,641 48 458 2,381 2,469 7,554 1,284 2,553 12,330 1,622 805 417 1,314 4,582 91 108 912 72 124 696 492 454 681 465 26 2,178 1,127 594 28 785 22 182 121 831 1,943 640 599 784 38 87 469 32
Bear Stearns Commercial Mortgage Securities Bear Stearns Mortgage Funding Trust Citigroup Mortgage Loan Trust, Inc.
EUR $
EUR
2.850% due 12/25/2035 4.248% due 08/25/2035 4.748% due 08/25/2035 4.900% due 10/25/2035 5.917% due 03/25/2037 5.985% due 09/25/2037 5.322% due 12/11/2049 0.741% due 02/16/2034
Countrywide Alternative Loan Trust
2.951% due 05/25/2010 (a) 5.625% due 01/24/2013 (a) 6.875% due 05/02/2018 (a)
Lennar Corp.
EUR
0.416% due 01/25/2037 0.426% due 02/20/2047 0.436% due 09/25/2046 0.441% due 12/20/2046 0.446% due 05/25/2036 0.456% due 03/20/2046 0.456% due 07/20/2046 0.456% due 07/25/2046 0.476% due 08/25/2046 0.596% due 05/25/2037 2.401% due 11/25/2035 2.941% due 11/25/2035 5.250% due 06/25/2035 5.883% due 02/25/2037 6.000% due 10/25/2032 6.000% due 01/25/2037 6.000% due 04/25/2037 6.250% due 08/25/2037 0.536% due 04/25/2035 0.566% due 03/25/2035 0.576% due 02/25/2035 4.004% due 08/25/2034 4.110% due 11/19/2033 4.654% due 11/25/2034 5.330% due 02/20/2036 5.341% due 02/25/2047 5.554% due 03/25/2037 0.896% due 03/25/2034 2.799% due 05/25/2032 3.847% due 07/25/2033 3.877% due 08/25/2033 0.326% due 02/25/2037
600 815 2,891 689 8,359 12,745 1,400 1,167 319 813 18,381 2,451 4,452 6,441 1,134 31 3,615 777 677 105 582
430 392 1,308 139 3,412 5,152 1,277 704 177 533 8,643 2,173 3,905 5,760 1,051 29 3,177 635 651 89 267
EUR
7,000 300 10,000 5,300 5,050 1,550 2,000 2,000 5,000 1,200 4,000 1,000 2,000 1,200
0.436% due 05/25/2046 0.456% due 10/25/2046 0.476% due 09/25/2046 1.601% due 02/25/2047 1.821% due 11/25/2046 5.414% due 09/10/2047
Banc of America Funding Corp.
0.989% due 10/15/2015 1.134% due 11/29/2013 1.405% due 01/16/2017 1.418% due 04/13/2016
Nabors Industries, Inc.
$ EUR
0.416% due 01/25/2037 2.216% due 03/25/2035 2.490% due 08/25/2035 2.900% due 03/25/2035 4.153% due 05/25/2034 4.342% due 11/25/2034 4.550% due 08/25/2035 4.630% due 05/25/2034 4.648% due 10/25/2033 5.131% due 02/25/2034
Bear Stearns Alt-A Trust
Deutsche ALT-A Securities, Inc. Alternate Loan Trust Downey Savings & Loan Association Mortgage Loan Trust
0.326% due 10/25/2046 0.326% due 01/25/2047 0.426% due 01/25/2037 0.456% due 04/25/2036 0.516% due 11/25/2045 3.895% due 10/25/2033
GS Mortgage Securities Corp. II
78 645 1,547 1,256 289 105 274 2,424 735 3,018 1,046 2,720 2,181 408 990 233 1,139 1,600 129 1,600 627 99 434 8,012 454 1,100 1,148 323 1,749 2,056 4,300 5 789 8,014 126 4,744 1,700 100 818 166 94 2,700 7,800 7,300
62 516 769 594 152 87 252 2,245 711 1,419 477 1,391 1,161 192 934 145 885 887 99 1,003 274 89 80 3,627 209 152 462 196 1,447 1,826 3,986 5 747 7,682 127 2,283 225 96 389 142 90 2,022 6,992 5,860
514 310 124 5,737 1,100 3,973 7,142 1,400 114 1,200 2,000 804 801 1,000 1,300 634 154 2,300 740 523 370 1,600 1,600 423 253 1,454 1,334 6,300 205 387 800 1,800 23 39 3,742 37 675 237 800 6,600 600 89 1,037 1,131 3,212 1,976 860 8,432 3,787 317 327 16 1,058
283 277 89 4,988 903 1,698 3,379 260 54 142 436 396 493 538 804 424 155 2,307 635 439 324 700 773 393 121 813 624 2,111 155 67 203 268 13 29 1,728 34 646 219 611 5,812 528 56 622 714 2,268 785 194 4,055 1,729 166 168 14 982
2.910% due 06/25/2033 3.099% due 07/25/2046 3.099% due 10/25/2046 5.392% due 02/25/2037 5.564% due 12/25/2036 5.678% due 02/25/2037 5.834% due 02/25/2037
0.426% due 07/19/2046 0.436% due 09/19/2037 0.436% due 01/19/2038 0.466% due 05/19/2035 0.486% due 03/19/2036 4.244% due 05/19/2033 5.144% due 07/19/2035
Homebanc Mortgage Trust
0.396% due 02/25/2047 0.426% due 06/25/2046 0.446% due 12/25/2046 0.456% due 04/25/2046 0.516% due 05/25/2046 0.551% due 09/25/2046 0.696% due 12/25/2036 5.750% due 02/25/2036 6.250% due 10/25/2036 6.500% due 08/25/2036 5.203% due 09/25/2035 6.500% due 03/25/2032 5.840% due 07/22/2030 3.619% due 04/25/2034 3.750% due 02/25/2034 5.210% due 09/25/2034 5.246% due 05/25/2036 5.413% due 09/25/2036 0.346% due 09/25/2047 0.436% due 06/25/2036 0.456% due 05/25/2046 0.466% due 05/25/2036 0.466% due 09/25/2047 0.496% due 07/19/2035 0.496% due 09/25/2047 0.506% due 05/25/2046 0.546% due 08/25/2036 0.556% due 12/25/2035 0.826% due 07/19/2034 2.401% due 08/25/2047 0.356% due 01/25/2037
0.496% due 07/25/2046 1.661% due 04/25/2047 1.671% due 04/25/2047 1.741% due 05/25/2047 1.841% due 07/25/2046 4.608% due 06/25/2035 4.690% due 12/25/2033 4.948% due 03/25/2036 5.778% due 04/25/2036
Sovereign Commercial Mortgage Securities Trust Structured Adjustable Rate Mortgage Loan Trust
1,810
1,947
District of Columbia Tobacco Settlement Financing Corp. Revenue Bonds, Series 2001
1,115
1,156
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
1,200
1,002
0.336% due 11/25/2046 0.436% due 04/25/2037 0.436% due 09/25/2046 0.486% due 06/25/2037 0.496% due 02/25/2037 0.546% due 06/25/2037 4.944% due 12/25/2034
JPMorgan Alternative Loan Trust
Illinois State Regional Transportation Authority Revenue Bonds, (NPFGC Insured), Series 2006
1,000
1,073
2,980
3,170
5.500% due 11/25/2036 5.550% due 10/25/2036 5.429% due 12/12/2043 7.770% due 10/15/2032
JPMorgan Mortgage Trust
1,440
1,122
JPMorgan Chase Commercial Mortgage Securities Corp. JPMorgan Commercial Mortgage Finance Corp.
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
1,530
1,616
New York State Tobacco Settlement Financing Authority Revenue Bonds, Series 2003
0.366% due 09/25/2046 4.278% due 10/25/2043 5.342% due 12/15/2043 5.416% due 01/15/2045 5.572% due 10/15/2048 0.476% due 04/25/2045 0.506% due 11/25/2045 0.556% due 01/25/2045 0.786% due 12/25/2027 1.641% due 01/25/2047 1.651% due 06/25/2047 1.661% due 04/25/2047 1.751% due 03/25/2047 1.881% due 06/25/2046 1.901% due 02/25/2046 2.304% due 05/25/2041 2.723% due 02/27/2034
80 600
80 623
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
1,980
148
4.990% due 11/15/2030 0.456% due 04/25/2046 0.546% due 05/25/2047 3.111% due 11/21/2034
MASTR Alternative Loans Trust
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
5,965
4,726 16,663
SHARES
0.723% due 06/15/2030 2.610% due 10/20/2029 5.378% due 08/12/2048 5.414% due 07/12/2046 6.156% due 08/12/2049
DG Funding Trust
640 20,000
Semiannual Report
77
(Cont.)
Fannie Mae
0.366% due 03/25/2034 0.546% due 03/25/2036 2.251% due 06/01/2043 2.774% due 06/01/2035 2.984% due 04/01/2032 3.440% due 11/01/2034 3.561% due 08/01/2023 3.825% due 01/01/2023 4.915% due 11/01/2022 4.943% due 12/01/2034 5.111% due 12/01/2030 5.200% due 11/01/2015 5.270% due 12/01/2015 5.310% due 12/01/2010 (e) 5.370% due 12/01/2015 5.425% due 01/01/2016 5.500% due 09/25/2024 10/01/2039 5.500% due 06/01/2033 (e)(g) 5.500% due 04/01/2034 09/01/2038 (g) 6.000% due 01/01/2029 07/25/2044 6.500% due 02/01/2026 10/01/2039
Freddie Mac
204 139 214 1,757 65 5,328 154 56 17 1,234 17 16,456 3,377 21,565 2,617 2,863 64,983 10,208 40,300 15,552 11,650 266 279 601 210 3,187
186 134 214 1,773 65 5,413 157 56 17 1,272 18 17,782 3,664 22,279 2,851 3,127 67,950 10,742 42,286 16,385 12,454 266 279 596 208 3,192
2.251% due 10/25/2044 02/25/2045 3.119% due 06/01/2022 3.596% due 09/01/2035 4.500% due 11/15/2015 07/15/2023 5.000% due 07/15/2025 08/15/2035 6.000% due 12/01/2033 (e) 9.050% due 06/15/2019
Ginnie Mae
0.010% due 10/01/2009 $ 2,826 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $2,885. Repurchase proceeds are $2,826.)
U.S. CASH MANAGEMENT BILLS 0.2%
2,826
4.125% due 11/20/2021 11/20/2030 4.375% due 05/20/2022 05/20/2030 4.625% due 07/20/2022 08/20/2027 6.000% due 08/20/2034 6.500% due 08/15/2036 10/01/2039
Small Business Administration
243 929 537 8,022 25,429 2,645 4,281 314 156 269,488
5,000
4,996
13,105
SHARES
13,094
1,967,772
Total Short-Term Instruments (Cost $40,618) PURCHASED OPTIONS (j) 0.0% (Cost $3) Total Investments 114.7% (Cost $2,731,413)
$
19,703 40,619
5.600% due 09/01/2028 5.980% due 05/01/2022 6.344% due 08/01/2011 6.640% due 02/01/2011
0.343% due 02/01/2011 (e) 0.389% due 05/04/2011 (e) 0.593% due 12/15/2030 0.643% due 11/15/2016 03/15/2017 0.657% due 04/01/2011 (e)
537
538 1,032,650
Written Options (k) (0.1%) (Premiums $3,978) Other Assets and Liabilities (Net) (14.6%) Net Assets 100.0%
$
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) (h) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. When-Issued security. Coupon represents a weighted average rate. Affiliated to the Fund. Securities with an aggregate market value of $17,569 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Securities with an aggregate market value of $869 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2009. The average amount of borrowings while outstanding during the period ended September 30, 2009 was $113,151 at a weighted average interest rate of 0.321%. On September 30, 2009, securities valued at $88,610 were pledged as collateral for reverse repurchase agreements. Securities with an aggregate market value of $2,502 and cash of $1,635 have been pledged as collateral for the following open futures contracts on September 30, 2009: Unrealized Appreciation/ (Depreciation)
Description
Type
Expiration Month
# of Contracts
90-Day Euribor December Futures 90-Day Euribor March Futures Euro-Bund 10-Year Bond December Futures Euro-Bund 10-Year Bond December Futures Call Options Strike @ EUR 123.500 Japan Government 10-Year Bond December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000 United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures
238 50 11 $ 1,931
78
PIMCO Funds
(i)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (3) Amount (4) Unrealized Market Upfront Premiums Appreciation/ Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Agrium, Inc. Altria Group, Inc. Altria Group, Inc. Altria Group, Inc. Anadarko Petroleum Corp. AutoZone, Inc. AutoZone, Inc. Avnet, Inc. Avon Products, Inc. Bear Stearns Cos. LLC Black & Decker Corp. Boston Scientific Corp. Boston Scientific Corp. Brunswick Corp. Burlington Northern Santa Fe Corp. Cardinal Health, Inc. Cardinal Health, Inc. CNA Financial Corp. CNA Financial Corp. Computer Sciences Corp. CSX Corp. Daimler Finance N.A. LLC Daimler Finance N.A. LLC Daimler Finance N.A. LLC Dominion Resources, Inc. Fortune Brands, Inc. GATX Financial Corp. GKN Holdings PLC Hanson Ltd. Hanson Ltd. HCP, Inc. HCP, Inc. HCP, Inc. Humana, Inc. Humana, Inc. International Lease Finance Corp. International Lease Finance Corp. International Lease Finance Corp. International Paper Co. JPMorgan Chase & Co. Lennar Corp. Lennar Corp. Loews Corp. Ltd Brands, Inc. Ltd Brands, Inc. Macy's Retail Holdings, Inc. Marriott International, Inc. Marriott International, Inc. Marsh & McLennan Cos., Inc. Masco Corp. Merrill Lynch & Co., Inc. Nabors Industries, Inc. National Grid PLC Newell Rubbermaid, Inc. NiSource Finance Corp. NiSource Finance Corp. Omnicom Group, Inc. Pearson Dollar Finance PLC Reed Elsevier Capital, Inc. Reynolds American, Inc. Royal Caribbean Cruises Ltd. Ryder System, Inc. Sealed Air Corp. Sealed Air Corp. Sempra Energy Sheraton Holding Corp. Simon Property Group LP Smith Group PLC
MLP BCLY GSC MSC BCLY BOA CITI UBS BOA DUB BOA BOA UBS BOA BOA DUB DUB BCLY JPM BOA JPM BCLY JPM RBS CITI BOA JPM JPM BCLY BCLY BCLY JPM MSC BCLY JPM BCLY BCLY MLP CSFB RBS CITI MLP JPM BOA BOA BOA BCLY BOA BCLY MSC CITI CITI BCLY GSC CITI JPM CITI BCLY MSC BCLY BOA CITI BCLY BOA CITI DUB MSC RBS
(1.250%) (1.090%) (1.520%) (1.550%) (0.330%) (1.070%) (0.680%) (1.530%) (0.770%) (0.870%) (1.020%) (0.510%) (2.060%) (4.100%) (0.500%) (0.590%) (0.610%) (1.390%) (0.440%) (1.060%) (0.165%) (0.535%) (0.520%) (0.620%) (0.475%) (1.460%) (0.160%) (8.750%) (1.000%) (5.000%) (0.550%) (0.610%) (2.030%) (1.050%) (1.530%) (0.170%) (1.540%) (0.130%) (2.400%) (1.050%) (6.000%) (5.750%) (0.330%) (2.850%) (3.550%) (2.430%) (1.250%) (1.730%) (0.650%) (0.580%) (1.380%) (0.820%) (0.208%) (0.780%) (1.660%) (0.620%) (0.940%) (0.610%) (0.280%) (3.460%) (0.480%) (1.160%) (1.035%) (1.135%) (0.795%) (2.390%) (1.006%) (0.530%)
03/20/2019 12/20/2018 12/20/2018 12/20/2018 03/20/2012 03/20/2014 12/20/2012 09/20/2016 03/20/2019 03/20/2018 12/20/2016 06/20/2011 06/20/2016 09/20/2013 06/20/2017 06/20/2017 06/20/2017 12/20/2014 09/20/2011 03/20/2018 03/20/2011 09/20/2011 06/20/2010 09/20/2011 12/20/2016 03/20/2016 06/20/2010 06/20/2012 09/20/2016 09/20/2016 09/20/2011 09/20/2011 12/20/2013 09/20/2018 09/20/2018 03/20/2012 12/20/2013 03/20/2012 06/20/2018 03/20/2018 12/20/2011 12/20/2012 03/20/2016 09/20/2017 09/20/2017 03/20/2013 12/20/2015 06/20/2017 09/20/2010 09/20/2012 06/20/2018 03/20/2018 06/20/2011 06/20/2013 03/20/2018 09/20/2014 06/20/2016 06/20/2013 06/20/2012 06/20/2017 06/20/2010 03/20/2013 09/20/2013 09/20/2013 06/20/2018 12/20/2015 09/20/2014 09/20/2010
0.827% 1.180% 1.180% 1.180% 0.683% 0.618% 0.536% 1.178% 0.394% 0.714% 1.227% 0.720% 0.860% 4.854% 0.458% 0.501% 0.501% 2.386% 2.306% 0.372% 0.306% 0.745% 0.416% 0.745% 0.468% 1.582% 1.273% 2.485% 2.433% 2.433% 1.668% 1.668% 2.039% 2.557% 2.557% 9.677% 9.204% 9.677% 1.576% 0.714% 2.261% 2.349% 0.494% 2.811% 2.811% 2.712% 1.276% 1.327% 0.320% 1.905% 1.374% 1.096% 0.750% 1.374% 1.529% 1.486% 0.668% 0.408% 0.488% 1.927% 4.465% 1.001% 0.982% 0.982% 0.769% 2.856% 1.469% 0.462%
$ 5,000 $ (170) 3,500 23 5,000 (133) 3,000 (86) 3,900 34 1,000 (20) 2,000 (9) 1,700 (37) 1,500 (47) 6,000 (70) 3,000 38 400 2 4,300 (313) 3,000 74 2,669 (8) 5,000 (32) 5,000 (39) 3,000 135 3,600 128 6,000 (312) 2,300 5 800 3 1,000 (1) 1,500 3 2,000 (1) 7,400 48 500 4 GBP 5,700 (1,492) $ 1,000 84 1,000 (151) 400 9 1,000 20 6,000 (1) 1,800 183 4,500 311 2,700 517 7,000 1,592 2,900 558 3,000 (178) 2,000 (50) 2,400 (196) 700 (73) 1,150 11 4,000 (13) 1,000 (47) 4,000 33 1,300 1 4,300 (116) 2,200 (8) 1,000 37 5,000 (4) 2,000 39 4,300 40 5,000 104 4,000 (38) 1,150 45 1,000 (17) 2,500 (19) 1,200 7 500 (49) 1,700 48 5,000 (28) 6,000 (14) 6,900 (42) 8,000 (17) 5,000 116 3,000 62 GBP 7,000 (9)
(170) 23 (133) (86) (43) (20) (9) (37) (47) (70) 38 (13) (313) 74 (8) (32) (74) 135 128 (312) 5 (65) (1) 3 (1) 48 4 (1,492) (159) (636) (41) 20 (1) 183 311 517 1,592 558 (178) (50) (196) (73) 11 (561) (145) 33 (204) (116) (8) 37 (4) 39 40 104 (38) 45 (17) (19) 7 (49) 48 (28) (212) (42) (17) (115) 62 (9)
Semiannual Report
79
(Cont.)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) (Cont.) Fixed Deal (Pay) Rate Maturity Date Implied Credit Spread at September 30, 2009 (3) Notional Amount (4) Unrealized Market Upfront Premiums Appreciation/ Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Southwest Airlines Co. Southwest Airlines Co. Spectra Energy Capital LLC Tate & Lyle International Finance PLC Tyco Electronics Group S.A. Tyco Electronics Group S.A. Tyco Electronics Group S.A. Tyco International Finance S.A. UBS AG UBS AG Union Pacific Corp. Union Pacific Corp. Viacom, Inc. Vivendi WPP Group PLC WPP Group PLC
BCLY DUB DUB DUB BOA DUB DUB BOA BCLY BCLY BCLY BOA JPM BOA BCLY JPM
(0.640%) (0.420%) (0.860%) (0.510%) (1.100%) (0.850%) (0.950%) (1.120%) (2.330%) (2.250%) (0.600%) (1.000%) (1.150%) (1.280%) (3.750%) (3.750%)
03/20/2017 03/20/2012 06/20/2018 12/20/2014 03/20/2014 12/20/2017 12/20/2017 12/20/2019 03/20/2014 03/20/2014 03/20/2016 03/20/2016 06/20/2016 06/20/2013 06/20/2017 06/20/2017
1.716% 1.362% 0.656% 1.375% 0.880% 1.015% 1.015% 0.686% 0.904% 0.904% 0.483% 0.475% 0.924% 1.127% 2.321% 2.321%
$ 1,100 $ 74 500 11 5,000 (78) 1,400 58 2,000 (19) 6,000 68 7,000 30 7,000 (260) EUR 3,100 (276) $ 800 (46) 800 (6) 200 (6) 6,500 (91) 7,000 (40) GBP 2,425 (347) 1,650 (236) $ (690)
(16) 11 (78) 58 (179) 68 30 (260) (276) (46) (36) (3) (91) (40) (347) (236) $ (3,220)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Implied Unrealized Notional Market Upfront Premiums Appreciation/ Credit Spread at September 30, 2009 (3) Amount (4) Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Brazil Government International Bond Brazil Government International Bond HSBC Finance Corp. JSC Gazprom RSHB Capital S.A.
$ 11,900 $ 143 10,000 119 1,400 3 700 (31) 1,000 (37) $ 197
$ 0 0 0 0 0 $ 0
Credit Default Swaps on Credit Indices - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Notional Amount (4) Market Value (5) Upfront Premiums Paid/(Received) Unrealized Appreciation/ (Depreciation)
Index/Tranches
Counterparty
CDX.IG-8 10-Year Index CDX.IG-8 10-Year Index CDX.IG-8 10-Year Index CDX.IG-8 10-Year Index CDX.IG-10 10-Year Index CDX.IG-12 10-Year Index CDX.IG-12 10-Year Index
Credit Default Swaps on Credit Indices - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Notional Amount (4) Market Value (5) Upfront Premiums Unrealized Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
CSFB DUB
0.320% 0.110%
07/25/2045 05/25/2046
$ 4,800 2,983
(1)
(2)
(3)
(4)
(5)
If the Fund 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 compromising 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 compromising the referenced index. 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 compromising 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 compromising the referenced index. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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. The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and 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 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.
80
PIMCO Funds
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Year BRL-CDI 1-Year BRL-CDI 3-Month AUD Bank Bill 3-Month CAD Bank Bill 6-Month EUR-LIBOR 6-Month EUR-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 28-Day MXN TIIE
11.360% 11.360% 5.000% 5.800% 3.000% 3.000% 2.500% 3.500% 4.500% 1.000% 1.000% 1.000% 1.500% 8.300%
01/02/2012 01/02/2012 12/15/2011 12/19/2023 09/15/2012 09/15/2012 03/17/2011 03/17/2015 03/17/2020 12/16/2014 12/16/2014 12/16/2014 12/16/2016 02/07/2019
GSC MLP UBS JPM DUB JPM BCLY GSC GSC BOA RBS UBS BCLY MLP
MXN
45,700 25,200 73,300 20,700 111,700 143,000 24,300 17,400 39,400 8,680,000 9,980,000 24,010,000 1,400,000 24,200
(14) (8) (496) 361 1,358 1,739 304 (152) 2,145 540 621 1,492 400 27 $ 8,317
(1) 3 188 (137) 613 1,470 (3) (148) 430 (187) (113) 556 278 15 $ 2,964
(13) (11) (684) 498 745 269 307 (4) 1,715 727 734 936 122 12 $ 5,353
(j)
Options on Exchange-Traded Futures Contracts Description Exercise Price Expiration Date # of Contracts Cost Market Value
$ 90.250
09/13/2010
363
$ 3
$ 2
Interest Rate Swaptions Description Counterparty Floating Rate Index Pay/Receive Floating Rate Exercise Rate Expiration Date Notional Amount Premium Market Value
Put - OTC 5-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap
3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR
41 62 33 22 81 10 14 672 $ 935
Foreign Currency Options Description Exercise Price Expiration Date Notional Amount Premium Market Value
Call - OTC USD versus BRL Call - OTC USD versus MXN Call - OTC USD versus KRW Call - OTC USD versus KRW Call - OTC USD versus MXN
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount in $ Notional Amount in EUR
Premium
EUR
EUR
Restricted securities as of September 30, 2009: Market Value as Percentage of Net Assets
Issuer Description
Coupon
Maturity Date
Acquisition Date
Cost
Market Value
4.980%
06/22/2011
11/03/2006
$ 4,360
$ 4,742
0.20%
September 30, 2009
Semiannual Report
81
(Cont.)
(m) Short sales outstanding on September 30, 2009: Maturity Date Principal Amount Market Value
Description
Coupon
Proceeds
Fannie Mae Fannie Mae Fannie Mae Fannie Mae Fannie Mae Ginnie Mae
(n)
Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Sell Sell Buy Buy Sell Buy Buy Sell Buy Sell Buy Buy Sell Sell Buy Sell Buy Buy Sell Buy Buy Sell Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Sell Sell Sell Sell Buy Sell Buy Sell Buy Buy Sell Buy Sell Sell Buy Sell Buy Sell Buy Sell Sell Sell
AUD
BRL
CAD
CLP CNY
DKK
EUR
GBP
HKD
5,631 39 92,829 92,868 14,551 5,821 225 8,760 225 29,132 29,132 54,513 5,122 27,400 18,080 116 8,650 467,828 499,300 7,254 73,354 17,499 96,821 48,219 17,471 23,792 50,600 26,809 49,635 34,725 73,354 48,219 31,456 31,456 18,355 18,355 248,268 296,893 117 7,028 7,125 2 7,100 78 14,821 3,932 69,382 12,521 750 49,769 400 38,786 750 241 488 217
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 05/2010 05/2010 05/2010 06/2010 06/2010 11/2010 11/2010 10/2009 10/2009 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 12/2009 12/2009 12/2009
CITI JPM JPM RBS BOA CITI CITI HSBC JPM RBS RBS CITI HSBC JPM MSC RBC UBS BCLY CITI BCLY BCLY BOA JPM UBS BOA BCLY BCLY MLP BCLY HSBC BCLY UBS CITI GSC RBS HSBC BCLY BNP HSBC HSBC JPM JPM MSC RBC RBC RBS RBS UBS BCLY BNP RBC RBS UBS DUB JPM MSC
0 1 0 0 391 201 0 192 8 0 429 0 65 433 0 0 0 0 48 0 21 0 0 18 0 0 0 0 0 0 0 0 0 207 0 0 0 0 0 0 3 0 143 0 130 52 670 117 0 3,577 1 1,523 0 0 0 0
(75) 0 (907) (4,690) 0 0 (17) 0 0 (429) 0 (518) 0 0 (93) (2) (29) (48) 0 (2) 0 0 (17) 0 (5) (370) (367) (403) (49) (32) (151) (115) (266) 0 (156) (1) (7,657) (9,305) 0 (40) (14) 0 0 0 (68) (7) (5) 0 (45) 0 0 0 (40) 0 0 0
(75) 1 (907) (4,690) 391 201 (17) 192 8 (429) 429 (518) 65 433 (93) (2) (29) (48) 48 (2) 21 0 (17) 18 (5) (370) (367) (403) (49) (32) (151) (115) (266) 207 (156) (1) (7,657) (9,305) 0 (40) (11) 0 143 0 62 45 665 117 (45) 3,577 1 1,523 (40) 0 0 0
82
PIMCO Funds
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Buy Buy Sell Buy Sell Sell Sell Sell Sell Sell Sell Buy Sell Sell Sell Sell Buy Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Buy Sell Sell Sell Buy Buy Sell Sell Sell Sell Sell
IDR INR
JPY
KRW
MXN
MYR
NOK NZD
42,085,680 44,542,100 41 283 123 41 41 37 283 20,039,105 3,774,704 399,173 311,471 7,200 798,610 167,850 2,407,034 21,809 4,697,479 18,490 1,049,283 5,908,116 9,588,842 16,542 3,021,445 970 10,950 970 76,810 67,045 236 212 110 288 19 21,272 25,986 47,258 1,254 587 1,882 1,295 1,031 3,049 4,313 1,264 138 2,614 1,093
01/2010 09/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 03/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 10/2009 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 11/2009 10/2009 10/2009 12/2009 11/2009 11/2009 11/2009
BCLY JPM BCLY CITI CITI HSBC JPM MSC CITI BCLY BNP CITI HSBC JPM MSC RBC RBS BCLY BOA CITI HSBC HSBC JPM RBS JPM CITI DUB DUB HSBC JPM JPM BCLY DUB JPM CITI BCLY RBS HSBC CITI CITI RBC RBS DUB RBC RBS HSBC HSBC BCLY CITI
(7) 0 0 0 0 0 0 0 0 (6,441) (1,257) 0 (62) (2) (208) (48) 0 0 0 0 0 (294) 0 0 0 0 (5) (1) (30) (43) 0 0 0 0 0 0 0 0 0 (16) (10) (52) 0 (11) (60) 0 (2) (2) (1) $ (34,475)
(7) 68 0 0 0 0 0 0 0 (6,441) (1,257) 97 (62) (2) (208) (48) 376 1 174 1 39 (294) 294 1 64 6 (5) (1) (30) (43) 0 2 1 3 0 104 225 64 6 (16) (10) (52) 1 (11) (60) 0 (2) (2) (1) $ (24,718)
(o)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
France Germany Italy Japan United Kingdom United States Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
See Accompanying Notes
$ $ $ $
$ $ $ $
319,040 289,085 210,700 247,147 183,973 1,032,650 441,036 2,723,631 (170,455) (23,089) 2,530,087
$ $ $ $
$ $ $ $
319,040 289,085 210,700 247,147 183,973 1,032,650 475,391 2,757,986 (170,455) (21,158) 2,566,373
Semiannual Report September 30, 2009
83
(Cont.)
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ (Depreciation) Ending on investments Balance at 09/30/2009 held at 09/30/2009
Category ++
United States Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++ +++ ++++
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
Fair Value of Derivative Instruments ^
(p)
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Investments, at value (purchased options) Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ $
0 0 9,757 0 9,757
$ $
0 0 0 9,778 9,778
$ 0 0 0 0 $ 0 $ 0 0 0 0 $ 0
$ 0 0 0 0 $ 0 $ 0 0 0 0 $ 0
Liabilities:
Written options outstanding Variation margin payable ^^ Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
0 0 0 11,972 $ 11,972
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Other Contracts
Total
Net realized gain on investments (purchased options) Net realized gain (loss) on futures contracts, written options and swaps Net realized (loss) on foreign currency transactions
3,122
0 6,910 0 6,910
$ 0 0 0 $ 0
$ 0 0 0 $ 0
3,122
(29,564) 0 $ (26,442)
0 (86,912) $ (86,912)
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
Net change in unrealized (depreciation) on investments (purchased options) Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies
(3,119) 68,737
0 (17)
0 (54,147)
$ 0 0 0 $ 0
$ 0 0 0 $ 0
0 $ 65,618
(10,719) $ (10,736)
0 $ (54,147)
^ ^^
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
PIMCO Funds International Institutional Funds See Accompanying Notes
84
3,500 2,500
3,019 2,202 5,290 7,082 1,240 2,368 6,893 2,042 1,798 1,503 614 3,002 446 1,863 3,133 4,185 46,680
2.500% due 10/11/2010 4.875% due 06/17/2019 5.500% due 06/05/2014 3.750% due 01/04/2015 4.000% due 01/04/2037 4.250% due 07/04/2039 4.750% due 07/04/2034 4.750% due 07/04/2040 5.500% due 01/04/2031 5.625% due 01/04/2028 6.250% due 01/04/2030
Total Germany (Cost $71,125) GREECE 0.7%
EUR $ AUD
6,900 2,200 4,000 6,400 1,300 1,200 9,850 1,800 6,900 8,700 300
10,299 2,398 3,469 9,940 1,911 1,853 16,011 3,005 12,150 15,387 571 76,994
5,300 7,100 1,400 2,700 6,800 2,180 2,032 1,769 715 3,500 602 2,514 3,650
EUR
0.489% due 02/21/2038 3.378% due 08/22/2037 3.470% due 07/12/2036 4.375% due 03/27/2012
Seven Media Group
AUD
DKK
642 2,595
EUR
2,600 1,500
EUR
4,200
3,900
6,161
1,923 7,902 1,865 3,738 886 6,110 9,592 8,992 32,767 6,143 1,589 19,456 1,903 161 1,053 7,086 9,713 2,626 591 8,112 4,112 721 3,532 2,692 149,426
JPY
2,800
2,724 2,724
3,700 600 4,100 6,300 5,900 21,000 4,000 1,100 12,500 1,200 100 700 3,900 6,500 1,700 400 8,000 4,000 1,000 3,400 2,500
CAD
5,600 406 1,300 5,500 9,000 1,000 3,000 1,900 200 3,200
5,419 379 1,195 5,461 8,033 1,003 2,875 2,039 227 3,457 30,088
3.000% due 10/25/2015 3.250% due 04/25/2016 3.500% due 04/25/2015 3.750% due 04/25/2017 4.000% due 10/25/2014 4.000% due 04/25/2018 4.000% due 10/25/2038 4.250% due 04/25/2019 4.750% due 10/25/2012 4.750% due 04/25/2035 5.500% due 04/25/2010 5.750% due 10/25/2032
France Treasury Notes
EUR
EUR
3.000% due 07/12/2014 3.750% due 01/12/2013 2.125% due 05/20/2012 2.250% due 06/11/2012 3.375% due 05/05/2014
Societe Generale
2.500% due 07/01/2012 3.750% due 12/15/2013 4.250% due 04/15/2013 4.250% due 08/01/2013 4.250% due 03/01/2020 (b) 5.250% due 08/01/2011 0.958% due 12/12/2024
Siena Mortgages SpA
EUR
2,300
2,431
85
(Cont.)
SPAIN 0.3%
$
JPY
2,500
2,202 2,202
0.646% due 10/27/2032 0.696% due 03/25/2043 0.906% due 10/25/2032 6.030% due 03/01/2033 6.681% due 12/01/2033 0.586% due 12/25/2036
60 18 34 170 147 111 22 1,937 2,100 524 442 1,344 27 81 736 650
AUD
1,700
1,472 1,472
EUR
1,600
1,632 1,632
GBP
0.416% due 04/25/2046 3,500 4,900 2,500 2,000 1,239 3,000 4,500 1,000 400 5,438 4,939 2,225 2,634 1,743 2,680
BANK LOAN OBLIGATIONS 0.4%
200
EUR
1.124% due 11/28/2031 1.109% due 11/20/2035 1.139% due 11/02/2035 1.379% due 10/02/2079
Globaldrive BV
1,752 1,528 14 641 800 1,600 200 9,600 9,300 7,100 500 2,000
2,525 2,148 20 924 974 2,399 299 14,392 14,345 10,849 780 3,010 52,665
3,115 40 610
GBP
2.500% due 01/15/2012 3.250% due 07/15/2015 3.750% due 07/15/2014 4.000% due 07/15/2019 5.000% due 07/15/2011
NIBC Bank NV
3.750% due 09/07/2019 4.250% due 06/07/2032 4.250% due 03/07/2036 4.750% due 12/07/2038
Weather Investments II SARL
4,896 3,143 748 568 932 2,175 5,231 3,098 1,056 8,350 4,949 5,037
EUR
1,000 400
4.875% due 03/15/2067 5.850% due 01/16/2018 8.000% due 05/22/2038 8.175% due 05/15/2058
Anadarko Petroleum Corp.
2,600
3,962 3,962
977 20 29 54
939 11 20 32
EUR
3,300 3,800
1,800
2,774 2,774
86
PIMCO Funds
11,600
13,269
EUR $
600 1,000 3,200 1,900 600 400 900 300 1,200 1,050 4,500 3,000 900 2,000 3,000 200 700 2,400 3,500 1,000
802 1,013 3,371 2,556 772 417 928 305 1,246 499 4,703 3,158 972 2,019 3,189 190 628 1,558 3,490 791 140,376
30 961 1,410 4,491 2,459 589 2,011 987 818 3,139 3,458 2,726 2,065 112 707 390 313 364 1,467 1,623 660 331 3,018 456 158 95 362 396 15 29 402 63 130 204 185 45 23 298 541 1,600 559 42 323 225 2,234 930 767 906 349 93 2,014 1,911 117
25 631 895 2,698 1,419 315 1,148 810 705 2,485 2,149 1,358 1,015 48 328 190 165 306 930 1,065 441 170 1,415 266 149 62 269 336 15 27 377 55 121 185 153 38 23 238 269 172 264 35 299 218 1,050 424 392 350 329 58 912 314 71
2,744 1,032 1,732 2,002 2,983 1,099 600 3,359 4,537 804 3,310 742 306 420 331 283 2,107 2,702 405 742 308 1,640 841 851 2,382 935 1,590 4,623 656 732 998 104 671 1,113 904 304 3,127 298
1.134% due 11/29/2013 1.418% due 04/13/2016 6.250% due 08/28/2017 6.500% due 07/15/2011
NiSource Finance Corp.
EUR $
5.490% due 09/25/2035 5.667% due 11/25/2036 5.714% due 02/25/2036 5.820% due 11/25/2036 5.636% due 01/26/2036
Citigroup Mortgage Loan Trust, Inc.
0.903% due 06/28/2013 4.750% due 02/10/2019 5.500% due 10/15/2014 6.000% due 08/15/2017 6.125% due 05/15/2018
CNA Financial Corp.
2,200 900 600 3,400 4,600 800 3,000 700 300 400 400 300 2,200 2,600 384 700 300 1,500 1,000 1,000 3,000 900
4.248% due 08/25/2035 4.748% due 08/25/2035 4.900% due 10/25/2035 5.985% due 09/25/2037
Countrywide Alternative Loan Trust
0.436% due 09/25/2046 0.441% due 12/20/2046 0.456% due 07/25/2046 0.596% due 05/25/2037 2.401% due 11/25/2035 2.941% due 11/25/2035 5.250% due 06/25/2035 5.883% due 02/25/2037 6.000% due 01/25/2037 6.000% due 04/25/2037 6.250% due 08/25/2037 0.566% due 03/25/2035 0.576% due 02/25/2035 3.885% due 04/20/2035 4.004% due 08/25/2034 4.654% due 11/25/2034 0.896% due 03/25/2034 2.799% due 05/25/2032 3.847% due 07/25/2033 3.877% due 08/25/2033 6.500% due 04/25/2033
First Horizon Asset Securities, Inc.
0.739% due 03/22/2016 5.250% due 06/01/2016 (k) 5.950% due 01/18/2018 6.150% due 04/01/2018 6.250% due 09/01/2017
HCP, Inc.
CAD $
4.749% due 06/25/2034 143 994 503 629 839 194 1,960 650 1,787 2,880 340 448 319 40 2,203 187 234
GMAC Mortgage Securities, Inc.
5.160% due 09/25/2035 0.436% due 05/25/2046 1.821% due 11/25/2046 3.098% due 10/25/2034
Banc of America Funding Corp.
200 2,070 1,243 866 952 296 4,168 733 2,037 3,220 356 483 340 42 2,507 229 244
5.058% due 02/22/2021 6.000% due 01/15/2018 6.300% due 04/23/2019 1.721% due 02/15/2012
JPMorgan Chase Bank N.A.
0.326% due 01/25/2047 0.426% due 01/25/2037 0.446% due 10/25/2046 0.456% due 04/25/2036 3.895% due 10/25/2033
GSR Mortgage Loan Trust
4.375% due 11/30/2021 2.907% due 11/16/2009 (a) 5.625% due 01/24/2013 (a) 6.875% due 05/02/2018 (a)
Lennar Corp.
EUR
0.416% due 01/25/2037 2.216% due 03/25/2035 2.490% due 08/25/2035 2.900% due 03/25/2035 3.058% due 08/25/2033 4.153% due 05/25/2034 4.342% due 11/25/2034 4.531% due 08/25/2033 4.550% due 08/25/2035 4.630% due 05/25/2034 4.648% due 10/25/2033
0.426% due 07/19/2046 0.436% due 09/19/2037 0.436% due 01/19/2038 1.751% due 12/19/2036 4.244% due 05/19/2033 5.144% due 07/19/2035
Indymac Index Mortgage Loan Trust
Semiannual Report
87
(Cont.)
874 823 296 532 337 731 1,200 2,700 3,774 257 149 1,340 1,050 3,301 342 887 800 402 534 2,156 1,000 190 48 370 719 448 186 862 515 873 1,596 196 251 7,118 4,300 1,218 558 555 1,810 917 2,450 137 1,170 722 704 2,327
724 730 280 510 160 626 899 2,167 2,172 141 132 1,165 449 1,562 162 186 174 198 328 1,160 619 127 48 292 605 385 156 756 245 488 1,209 144 238 5,638 3,781 766 335 351 1,278 364 1,119 119 1,103 672 618 1,571
1,872
1,801 82,029
0.657% due 04/01/2011 (e) 2.251% due 10/25/2044 (g) 3.327% due 05/01/2023 3.709% due 02/01/2029 5.272% due 04/01/2037 5.325% due 04/01/2037 6.000% due 12/15/2024 (g)
Ginnie Mae
969 3,580 48 255 107 980 289 208 66 55 286 136 4,745 200 2,654 5,870 103 65 77 3,900 1,000
971 3,501 49 257 111 1,019 307 207 67 56 292 140 5,185 211 2,817 6,241 119 74 81 4,502 1,145 103,236
270
290
0.683% due 12/15/2030 5.378% due 08/12/2048 6.156% due 08/12/2049 0.456% due 02/25/2036 0.496% due 08/25/2036 4.441% due 02/25/2033
MLCC Mortgage Investors, Inc.
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
1,200
903
5,600 640
5,145 499
Los Angeles, California Wastewater System Revenue Bonds, (NPFGC Insured), Series 2003
900
936
0.396% due 02/25/2047 0.426% due 06/25/2046 0.456% due 04/25/2046 0.476% due 05/25/2037 0.551% due 09/25/2046 0.696% due 12/25/2036 5.750% due 02/25/2036 6.250% due 10/25/2036 6.500% due 08/25/2036 5.203% due 09/25/2035 6.500% due 03/25/2032
Sequoia Mortgage Trust
New York City, New York Municipal Water Finance Authority Revenue Notes, Series 2006
370
391
New York State Tobacco Settlement Financing Authority Revenue Bonds, Series 2003
0.841% due 02/16/2030 (g) 4.125% due 12/20/2023 12/20/2026 4.250% due 01/20/2030 4.375% due 05/20/2022 05/20/2030 4.625% due 07/20/2022 09/20/2026 6.000% due 08/20/2034 (g) 6.000% due 10/01/2039 6.500% due 01/15/2029 10/01/2039 6.500% due 03/15/2037 05/15/2038 (g) 8.500% due 01/15/2030 02/15/2031 8.500% due 02/15/2030 10/15/2030 (g)
Small Business Administration
200
207
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
600
45 8,416
SHARES
DG Funding Trust
0.596% due 10/19/2026 0.596% due 07/20/2033 3.619% due 04/25/2034 3.750% due 02/25/2034 5.210% due 09/25/2034 0.436% due 07/25/2046 0.456% due 05/25/2046 0.496% due 07/19/2035 0.826% due 07/19/2034 0.356% due 11/25/2046 0.323% due 06/15/2020 5.572% due 10/15/2048 0.476% due 04/25/2045 0.506% due 11/25/2045 0.556% due 01/25/2045 0.786% due 12/25/2027 1.641% due 01/25/2047 1.751% due 03/25/2047 2.910% due 06/25/2033 2.954% due 08/25/2034 3.708% due 03/25/2034 3.771% due 03/25/2033 5.834% due 02/25/2037
130 9,000
0.875% due 04/30/2011 (h) 1.125% due 06/30/2011 (h) 2.625% due 06/30/2014 (h) 2.625% due 07/31/2014 (h) 3.125% due 05/15/2019 4.000% due 08/15/2018 (h)
Total United States (Cost $400,609)
0.446% due 10/27/2037 (g) 3.372% due 03/01/2024 3.440% due 11/01/2034 4.943% due 12/01/2034 4.947% due 11/01/2023 5.028% due 05/01/2035 5.500% due 01/01/2024 04/01/2036 (g) 5.500% due 11/01/2032 11/01/2039 6.000% due 01/01/2036 01/01/2037 (g) 6.500% due 06/01/2029 11/01/2036 6.500% due 10/01/2036 10/01/2037 (g)
Federal Home Loan Bank
5,700 19 3,713 705 9 452 13,834 45,257 189 616 776 124 740 88 639 18 366
5,392 19 3,773 727 9 475 14,555 47,270 201 660 831 124 739 88 640 18 363
0.010% due 10/01/2009 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 11/27/2009 valued at $2,260. Repurchase proceeds are $2,214.) 0.195% due 04/01/2010 (h)
U.S. TREASURY BILLS 0.1%
2,214
2,214
15
15
0.343% due 02/01/2011 (e) 0.379% due 03/09/2011 (e) 0.389% due 05/04/2011 (e) 0.402% due 08/05/2011 0.593% due 12/15/2030 (g)
1,040
1,039
SHARES
3,191,748
Total Short-Term Instruments (Cost $35,227) Total Investments 108.1% (Cost $935,022) Written Options (j) (0.0%) (Premiums $1,167) Other Assets and Liabilities (Net) (8.1%) Net Assets 100.0%
31,959 35,227
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) (h) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. When-Issued security. Coupon represents a weighted average rate. Affiliated to the Fund. Securities with an aggregate market value of $3,038 have been pledged as collateral for swap and swaption contracts on September 30, 2009. Securities with an aggregate market value of $290 have been pledged as collateral for delayed-delivery mortgage-backed securities on September 30, 2009. The average amount of borrowings while outstanding during the period ended September 30, 2009 was $69,155 at a weighted average interest rate of 0.329%. On September 30, 2009, securities valued at $39,410 were pledged as collateral for reverse repurchase agreements. Securities with an aggregate market value of $1,571 have been pledged as collateral for the following open futures contracts on September 30, 2009: Expiration Month # of Contracts Unrealized Appreciation
Description
Type
Euro-Bund 10-Year Bond December Futures Call Options Strike @ EUR 123.500 Japan Government 10-Year Bond December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000 United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures
4 282 165
93 12 $ 556
(i)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Implied Unrealized Notional Market Upfront Premiums Appreciation/ Credit Spread at September 30, 2009 (3) Amount (4) Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Altria Group, Inc. American Electric Power Co., Inc. Anadarko Petroleum Corp. AutoZone, Inc. AutoZone, Inc. Bank of America Corp. Bank of America Corp. Barclays Bank PLC Barclays Bank PLC Bear Stearns Cos. LLC Boston Scientific Corp. Boston Scientific Corp. Citigroup, Inc. CNA Financial Corp. Computer Sciences Corp. Cox Communications, Inc. Daimler Finance N.A. LLC Daimler Finance N.A. LLC Goldman Sachs Group, Inc. Goldman Sachs Group, Inc. HCP, Inc. International Lease Finance Corp. International Lease Finance Corp. International Lease Finance Corp. Johnson Controls, Inc.
See Accompanying Notes
DUB WAC BCLY BOA CITI BCLY DUB DUB RBS CITI MLP UBS CSFB JPM BOA MSC JPM RBS CITI UBS JPM BCLY JPM MLP CSFB
(1.455%) (0.450%) (0.330%) (0.620%) (0.680%) (1.700%) (1.720%) (4.350%) (2.350%) (1.200%) (0.510%) (2.060%) (1.300%) (0.440%) (1.160%) (0.200%) (0.520%) (0.620%) (1.130%) (0.310%) (0.610%) (1.540%) (1.620%) (0.130%) (0.240%)
03/20/2019 06/20/2015 03/20/2012 12/20/2012 12/20/2012 12/20/2013 12/20/2013 09/20/2013 12/20/2017 03/20/2018 06/20/2011 06/20/2016 09/20/2018 09/20/2011 03/20/2018 03/20/2011 06/20/2010 09/20/2011 03/20/2018 06/20/2016 09/20/2011 12/20/2013 06/20/2012 03/20/2012 03/20/2011
1.197% 0.475% 0.683% 0.536% 0.536% 1.191% 1.191% 1.147% 1.292% 0.714% 0.720% 0.860% 2.018% 2.306% 0.372% 0.308% 0.416% 0.745% 1.063% 1.079% 1.668% 9.204% 9.614% 9.677% 0.723%
$ 4,000 $ (82) 3,000 4 1,000 9 7,000 (20) 800 (4) 1,500 (31) 1,200 (26) EUR 800 (144) $ 1,100 (83) 5,500 (197) 1,000 4 1,700 (124) 2,400 120 800 28 3,000 (179) 700 1 300 0 400 1 5,000 (26) 1,100 50 300 6 3,000 682 1,000 173 1,000 192 900 6
$0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
$ (82) 4 9 (20) (4) (31) (26) (144) (83) (197) 4 (124) 120 28 (179) 1 0 1 (26) 50 6 682 173 192 6
September 30, 2009
Semiannual Report
89
(Cont.)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) (Cont.) Fixed Deal (Pay) Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (3) Amount (4) Unrealized Market Upfront Premiums Appreciation/ Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. Lennar Corp. Loews Corp. Marsh & McLennan Cos., Inc. Masco Corp. Nationwide Health Properties, Inc. NiSource Finance Corp. Nordstrom, Inc. Rohm and Haas Co. Ryder System, Inc. Sara Lee Corp. Simon Property Group LP Smith Group PLC Spectra Energy Capital LLC Sprint Nextel Corp. Tate & Lyle International Finance PLC Temple-Inland, Inc. Time Warner, Inc. Vivendi Vivendi Vivendi Vivendi Weatherford International Ltd. WPP Group PLC XL Capital Finance Europe PLC
BNP DUB DUB DUB UBS MLP JPM DUB MSC DUB JPM BOA DUB BOA RBS DUB RBS BOA JPM DUB GSC BCLY BNP BNP BNP JPM BOA JPM BCLY
(2.180%) (0.720%) (0.740%) (0.770%) (0.730%) (5.750%) (0.330%) (0.590%) (0.580%) (0.620%) (0.620%) (1.120%) (0.470%) (0.850%) (0.630%) (0.947%) (0.530%) (0.830%) (1.065%) (0.510%) (6.680%) (1.050%) (1.742%) (1.780%) (1.820%) (1.500%) (0.560%) (3.750%) (0.310%)
03/20/2018 03/20/2018 03/20/2018 03/20/2018 03/20/2018 12/20/2012 03/20/2016 09/20/2014 09/20/2012 09/20/2011 09/20/2014 03/20/2018 03/20/2013 03/20/2013 09/20/2011 06/20/2018 09/20/2010 09/20/2014 12/20/2016 12/20/2014 03/20/2016 03/20/2016 06/20/2013 06/20/2013 06/20/2013 06/20/2018 03/20/2016 06/20/2017 03/20/2012
0.714% 0.714% 0.714% 0.714% 0.714% 2.349% 0.494% 0.428% 1.905% 1.633% 1.486% 1.748% 0.808% 1.001% 0.226% 1.516% 0.462% 0.581% 3.492% 1.375% 1.560% 0.568% 1.127% 1.127% 1.127% 1.308% 1.210% 2.321% 1.441%
$ 5,100 $ (550) 600 0 2,600 (5) 1,000 (4) 1,700 (2) 900 (94) 300 3 3,000 (23) 300 11 900 18 300 12 1,200 52 4,500 51 3,000 14 900 (7) 2,000 80 GBP 1,000 (1) $ 3,000 (36) 700 95 400 16 3,500 (1,018) 1,500 (43) 1,200 (27) 1,200 (28) 1,000 (25) 2,500 (36) 1,600 60 GBP 2,500 (357) $ 400 11 $ (1,473)
$ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 $ 0
(550) 0 (5) (4) (2) (94) 3 (23) 11 18 12 52 51 14 (7) 80 (1) (36) 95 16 (1,018) (43) (27) (28) (25) (36) 60 (357) 11 $ (1,473)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Implied Unrealized Notional Market Upfront Premiums Appreciation/ Credit Spread at (3) Amount (4) Value Paid/(Received) (Depreciation) September 30, 2009
Reference Entity
Counterparty
$ 83 4 (18) $ 69
$ 0 0 0 $ 0
$ 83 4 (18) $ 69
Credit Default Swaps on Credit Indices - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Notional Amount (4) Market Value (5) Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
CDX.IG-8 10-Year Index CDX.IG-9 10-Year Index CDX.IG-10 10-Year Index CDX.IG-12 10-Year Index
Credit Default Swaps on Credit Indices - Sell Protection (2) Fixed Deal Receive Rate Maturity Date Notional Amount (4) Market Value (5) Upfront Premiums Unrealized Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
CSFB DUB
0.320% 0.110%
07/25/2045 05/25/2046
$ 3,000 994
(1)
(2)
(3)
If the Fund 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 compromising 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 compromising the referenced index. 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 compromising 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 compromising the referenced index. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied
PIMCO Funds International Institutional Funds See Accompanying Notes
90
(4)
(5)
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. 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. The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and 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 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.
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Year BRL-CDI 1-Year BRL-CDI 3-Month AUD Bank Bill 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 28-Day MXN TIIE
2.090% 2.103% 2.146% 1.948% 2.080% 11.360% 11.360% 6.500% 3.500% 3.500% 4.500% 4.500% 1.000% 1.000% 1.000% 1.000% 1.500% 1.500% 8.300%
10/15/2010 10/15/2010 10/15/2010 03/15/2012 06/15/2012 01/02/2012 01/02/2012 06/15/2012 03/17/2015 03/17/2015 03/17/2020 03/17/2020 06/16/2011 12/16/2014 12/16/2014 12/16/2014 12/16/2016 12/16/2019 02/07/2019
BNP BCLY UBS BCLY GSC GSC MLP RBS CSFB GSC GSC JPM DUB BOA RBS UBS BCLY BOA MLP
EUR
JPY
MXN
9,000 17,000 14,200 2,300 10,800 7,300 17,500 7,700 2,400 3,500 8,500 5,500 2,700,000 1,010,000 2,760,000 2,360,000 2,260,000 240,000 8,400
523 959 898 78 400 (2) (6) 22 (21) (31) 463 299 134 63 171 146 647 10 9 $ 4,762
(14) (17) 11 0 0 0 0 5 (76) (30) 108 25 103 (22) 82 8 450 (4) 5 $ 634
537 976 887 78 400 (2) (6) 17 55 (1) 355 274 31 85 89 138 197 14 4 $ 4,128
(j)
Options on Exchange-Traded Futures Contracts Description Exercise Price Expiration Date # of Contracts Premium Market Value
Put - CBOT U.S. Treasury 10-Year Note December Futures Put - CME 90-Day Eurodollar March Futures
$ 115.000 98.500
11/20/2009 03/15/2010
185 436
72 70 $ 142
Interest Rate Swaptions Description Counterparty Floating Rate Index Pay/Receive Floating Rate Exercise Rate Expiration Date Notional Amount Premium Market Value
Put - OTC 7-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap Call - OTC 10-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap
3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR 3-Month USD-LIBOR
27 8 19 37 41 14 $ 146
Foreign Currency Options Exercise Price Expiration Date Notional Amount Market Value
Description
Premium
Call - OTC USD versus BRL Call - OTC USD versus MXN Call - OTC USD versus KRW Call - OTC USD versus KRW Call - OTC USD versus MXN
38 63 45 15 38 $ 199
35 73 38 15 44 $ 205
Semiannual Report
91
(Cont.)
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount in $ Notional Amount in EUR
Premium
EUR
Issuer Description
Coupon
Maturity Date
Acquisition Date
Cost
Market Value
5.250%
06/01/2016
11/03/2006
$ 1,981
$ 2,107
0.25%
Description
Coupon
Maturity Date
Principal Amount
Proceeds
Market Value
(m) Foreign currency contracts outstanding on September 30, 2009: Principal Amount Covered by Contract
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Sell Sell Buy Buy Buy Sell Sell Buy Sell Buy Buy Sell Buy Sell Buy Buy Sell Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Sell Buy Sell Buy Buy Buy Sell Buy
AUD
BRL
DKK EUR
4,695 298 18,463 18,761 4,941 2,015 2,969 9,891 34 9,891 17,197 263 66,358 83,585 2,420 22,191 5,662 31,802 17,693 5,653 1,676 10,063 21,410 11,346 18,696 11,399 22,191 17,693 33,319 33,319 7,897 665 9,444 16,563 353 4,134 7,702 6,400
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 03/2010 05/2010 05/2010 05/2010 06/2010 06/2010 11/2010 11/2010 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009
CITI JPM JPM RBS BOA CITI HSBC HSBC JPM HSBC CITI UBS BCLY CITI BCLY BCLY BOA JPM UBS BOA JPM BCLY BCLY MLP BCLY HSBC BCLY UBS RBS HSBC BCLY BNP BNP JPM MSC RBC RBC RBS
(63) 0 (180) (947) 0 0 0 (144) (1) 0 (164) (1) 0 (8) (1) 0 0 (6) 0 (2) (2) (156) (155) (170) (18) (11) (46) (42) 0 0 (244) (3) (296) (36) 0 (16) (190) (81)
(63) 6 (180) (947) 133 71 65 (144) (1) 144 (164) (1) 7 (8) (1) 6 0 (6) 7 (2) (2) (156) (155) (170) (18) (11) (46) (42) 283 1 (244) (1) (296) (36) 2 (16) (155) (81)
92
PIMCO Funds
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Sell Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Buy Buy Sell Sell Buy Sell Buy Sell Sell Buy Sell Buy Sell Buy Sell Buy Buy Buy Sell Sell Sell Sell Sell Buy Buy Buy Buy Sell Sell Sell Sell Buy Buy Buy Sell Sell Sell Buy
EUR GBP
JPY
KRW
MXN
MYR
NOK NZD
22,057 2,744 22,490 372 130 357 9,228 23 46 20 112 14,607,600 15,445,200 227 688 1,577 226 228 209 1,577 1,214,589 21,364,376 123,056 112,312 249,978 162,788 652,812 232,450 21,953 1,649,406 781 18,611 395,793 1,997,339 3,313,618 16,650 1,048,726 162 2,465 26,532 23,131 82 5 3 7 1 7,845 8,847 16,692 409 201 663 462 1,052 5,315 22,107 27,422 15 174 74 279
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 12/2009 12/2009 12/2009 10/2009 01/2010 09/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 03/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 10/2009 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 11/2009 10/2009 10/2009 12/2009 11/2009 11/2009 11/2009 11/2009
RBS UBS BNP JPM RBC RBS RBS DUB JPM MSC JPM BCLY JPM BCLY CITI CITI HSBC JPM MSC CITI BCLY BNP CITI GSC HSBC HSBC RBC RBS BCLY BOA BOA CITI HSBC HSBC JPM RBS JPM CITI DUB HSBC JPM JPM BCLY DUB JPM CITI BCLY RBS HSBC CITI CITI RBC RBS DUB RBC RBS HSBC HSBC BCLY CITI BCLY
(32) 0 (1,616) (18) 0 (13) 0 0 0 0 0 (2) 0 0 0 0 0 0 0 0 0 0 0 0 (5) (18) (185) 0 (1) 0 0 (1) 0 (99) 0 (1) 0 (1) (1) (10) (15) 0 0 0 0 0 0 0 0 0 (5) (3) (18) (1) (19) 0 (3) 0 0 0 0 $ (5,050)
(25) 17 (1,616) (18) 0 (13) 398 0 0 0 0 (2) 24 0 0 0 0 0 0 0 306 7,116 30 38 33 (18) (185) 39 (1) 61 0 (1) 15 (99) 102 (1) 22 (1) (1) (10) (15) 0 0 0 0 0 38 77 23 2 (5) (3) (18) (1) (19) 309 (3) 0 0 0 8 $ 4,382
Semiannual Report
93
(Cont.)
(n)
The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Australia France Germany Italy Netherlands United Kingdom United States Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
$ $ $ $
$ $ $ $
46,680 149,426 76,994 49,106 52,665 50,125 359,956 83,100 868,052 (70,729) 6,903 804,226
$ $ $ $
$ $ $ $
46,680 149,426 76,994 49,106 52,665 50,125 365,495 127,012 917,503 (70,729) 7,459 854,233
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ (Depreciation) on investments held at 09/30/2009
Category ++
Realized Gain/(Loss)
Australia United States Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++ +++ ++++
$ 28 7 5 $ 40 $ 0 $ 40
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
Fair Value of Derivative Instruments ^
(o)
The following is a summary of the fair valuations of the Funds derivative instruments categorized by risk exposure: Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ 0 0 0 $ 0 $ 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 $ 0
Liabilities:
Written options outstanding Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
94
PIMCO Funds
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Other Contracts
Total
Net realized gain on investments (purchased options) Net realized gain (loss) on futures contracts, written options and swaps Net realized gain on foreign currency transactions
2,942
0 1,561 0 1,561
$ 0 0 0 $ 0
$ 0 0 0 $ 0
2,942
(7,238) 0 $ (4,296)
0 24,329 $ 24,329
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
Net change in unrealized (depreciation) on investments (purchased options) Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized appreciation on translation of assets and liabilities denominated in foreign currencies
0 (16,387)
$ 0 0 0 $ 0
$ 0 0 0 $ 0
0 $ (16,387)
^ ^^
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
Semiannual Report
95
EUR
1,800 900
614 436 440 1,098 801 1,496 921 340 443 1,780 526 1,791 997 376 120 123 604 637 897 14,440
Total Germany (Cost $8,717) GREECE 0.7% Republic of Greece Government Bond
EUR
0.573% due 09/17/2014 0.682% due 12/10/2012 0.925% due 07/12/2013 4.500% due 02/20/2014
Crusade Global Trust
AUD
1,100 800 1,500 1,100 246 500 2,000 600 1,700 1,000 425 141 143 620 742 900
EUR
600 300
EUR
EUR DKK
AUD
GBP
EUR
JPY
0.489% due 02/21/2038 3.378% due 08/22/2037 3.470% due 07/12/2036 0.449% due 03/09/2036
Torrens Trust
AUD
700 600
1,106 889
Total Ireland (Cost $815) ITALY 5.4% Italy Buoni Poliennali Del Tesoro
BNP Paribas Home Loan Covered Bonds S.A. Caisse Nationale des Caisses d'Epargne et de Prevoyance
AUD
5.250% due 09/17/2010 6.117% due 10/29/2049 4.000% due 07/21/2011 4.500% due 01/09/2013
Credit Agricole S.A.
1,896 321 1,823 1,088 363 808 2,648 1,560 867 8,250 484 1,999 591 1,622 822 463 108 27,708
3.750% due 12/15/2013 4.250% due 10/15/2012 4.250% due 04/15/2013 4.250% due 08/01/2013 4.250% due 03/01/2020 (b)
Siena Mortgages SpA
EUR
500 800
700
681 681
CAD
3.750% due 04/25/2021 4.000% due 10/25/2014 4.000% due 10/25/2038 4.250% due 04/25/2019 4.750% due 04/25/2035 5.750% due 10/25/2032 2.125% due 05/20/2012 2.250% due 06/11/2012 3.375% due 05/05/2014
Vivendi
EUR
1,800 1,000 600 5,300 300 1,100 400 1,600 800 446 100
JPY
100
4.050% due 03/15/2011 4.600% due 09/15/2011 5.250% due 09/16/2010 5.500% due 05/21/2013 4.817% due 10/15/2012
Master Credit Card Trust
EUR
GBP
191
218 218
$ CAD
4.875% due 06/17/2019 5.500% due 06/05/2014 4.000% due 01/04/2037 4.250% due 07/04/2039 4.750% due 07/04/2034 4.750% due 07/04/2040
$ AUD
100
102 102
1,000
1,042 1,042
765 600 400 60 800 446 1,300 600 1,275 800 382 100
771 534 527 84 1,026 398 747 599 1,349 813 353 98 3,859 165 981 178 205 12,687
Mid-State Trust
1.228% due 10/30/2052 52 175 641 1,200 300 200 4,000 75 252 924 1,809 450 308 6,355 10,173 9.500% due 11/15/2018
HBOS PLC
900
914 914
3.750% due 09/07/2019 4.250% due 06/07/2032 4.250% due 03/07/2036 4.750% due 12/07/2038 6.500% due 01/15/2012
Total United Kingdom (Cost $12,690)
GBP
Aetna, Inc.
325 94 280 200 363 1,207 790 596 107 214 777 530 320 467 1,307 1,258 206 306 485 2,326 500 1,303 1,070
EUR
1,275
1,923 1,923
255
393 393
4.875% due 03/15/2067 5.850% due 01/16/2018 8.000% due 05/22/2038 8.175% due 05/15/2058 8.250% due 08/15/2018
AutoZone, Inc.
Amortizing Residential Collateral Trust Amresco Residential Securities Mortgage Loan Trust Bear Stearns Asset-Backed Securities Trust
550
485 485
EUR $
600 400 320 500 1,200 1,100 200 300 446 2,300 500 1,319 1,085
CAD $
EUR AUD
2,100 200
956
973 973
Semiannual Report
97
(Cont.)
671 301 674 343 624 105 203 727 655 1,346 479 381 667 202 170 177 538 96 285 93 181 207 91 128 674 190 661 132 179 640 653 47 200
22 31 21 305 85 323 45 139 242 73 22 280 206 1,400 49 96 701 64 31 268 510 242 741 67 10 180 90 34 175 421 500 39 131 300 800 99 306 698 18
20 28 11 280 78 299 44 71 93 69 17 183 183 1,184 47 46 592 35 27 233 250 104 351 41 10 151 77 28 98 197 168 29 120 147 703 63 216 364 17
EUR
750
519 377 437 399 62 72 134 6 92 46 54 800 95 38 335 330 1,004 427 254 174 189 823 51 390 652 668 88 117 39 81 631 220 147 233 83 185 98 26 292 26 300 79 13
249 170 101 188 55 63 120 6 85 37 52 526 67 28 194 198 579 203 145 143 163 512 51 192 275 347 41 57 21 68 370 140 98 223 42 115 58 25 211 17 143 74 11
0.416% due 01/25/2037 2.216% due 03/25/2035 2.490% due 08/25/2035 2.900% due 03/25/2035 3.753% due 08/25/2033 4.153% due 05/25/2034 4.630% due 05/25/2034 4.648% due 10/25/2033 5.440% due 05/25/2047
Bear Stearns Alt-A Trust
EUR CAD
CAD $
0.406% due 02/25/2034 5.355% due 05/25/2035 5.508% due 11/25/2035 5.667% due 11/25/2036 5.714% due 02/25/2036 6.250% due 08/25/2036 5.636% due 01/26/2036
Bear Stearns Structured Products, Inc. Citigroup Mortgage Loan Trust, Inc.
EUR
2.951% due 05/25/2010 (a) 5.625% due 01/24/2013 (a) 6.875% due 05/02/2018 (a)
Marsh & McLennan Cos., Inc.
EUR
0.326% due 09/20/2046 0.441% due 12/20/2046 0.456% due 07/20/2046 0.526% due 02/25/2037 0.596% due 05/25/2037 2.401% due 11/25/2035 2.941% due 11/25/2035 5.250% due 06/25/2035 5.869% due 11/25/2035 5.883% due 02/25/2037 6.000% due 04/25/2037 6.126% due 08/25/2036 6.250% due 08/25/2037 6.500% due 06/25/2036 0.626% due 09/25/2034 3.885% due 04/20/2035 3.981% due 08/25/2034 4.004% due 08/25/2034 5.579% due 04/25/2037 3.877% due 08/25/2033 6.500% due 04/25/2033
0.596% due 07/20/2033 3.619% due 04/25/2034 3.750% due 02/25/2034 0.456% due 05/25/2046 0.466% due 05/25/2036 0.466% due 09/25/2047 0.826% due 07/19/2034 0.356% due 01/25/2037 5.630% due 01/25/2037 5.572% due 10/15/2048 0.556% due 01/25/2045 0.786% due 12/25/2027 1.751% due 02/25/2047 2.304% due 05/25/2041
Credit Suisse Mortgage Capital Certificates CS First Boston Mortgage Securities Corp.
95 32 434
88 28 279
Fannie Mae
Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2007
0.346% due 01/25/2021 0.446% due 10/27/2037 0.496% due 06/25/2044 3.440% due 11/01/2034 4.943% due 12/01/2034 5.000% due 08/25/2016 03/25/2017 5.500% due 09/25/2024 10/01/2039 6.000% due 10/01/2039 07/25/2044 6.500% due 11/25/2042
Freddie Mac
122 1,000 29 324 147 337 5,515 3,232 304 423 16 2 336 198 65 38 59 54 34 22 84 82 2,678 836 20 637 637
403 15
5,763 3,407 329 422 16 2 328 205 66 40 59 54 34 23 86 84 2,881 907 21 735 730 18,114
900
900
600
396
765
703
Ohio State Buckeye Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
400
325
Puerto Rico Sales Tax Financing Corp. Revenue Bonds, (AMBAC Insured), Series 2007
0.343% due 02/01/2011 (e) 0.379% due 03/09/2011 0.693% due 12/15/2031 2.251% due 10/25/2044 4.500% due 12/15/2010 07/15/2018 5.000% due 02/15/2024 03/15/2025 5.325% due 04/01/2037
Ginnie Mae
0.010% due 10/01/2009 584 (Dated 09/30/2009. Collateralized by U.S. Treasury Bills 0.000% due 12/10/2009 valued at $600. Repurchase proceeds are $584.)
U.S. TREASURY BILLS 0.3%
584
100
Southern California State Tobacco Securitization Authority Revenue Bonds, Series 2006
100
81
West Virginia State Tobacco Settlement Financing Authority Revenue Bonds, Series 2007
485
384 1,897
SHARES
0.841% due 02/16/2030 0.980% due 02/16/2030 4.125% due 11/20/2021 12/20/2026 4.250% due 01/20/2030 4.375% due 05/20/2028 06/20/2030 4.625% due 07/20/2022 09/20/2026 6.000% due 09/01/2024 08/20/2034
Small Business Administration
590
SHARES
590
1,090,027
Total Short-Term Instruments (Cost $12,988) Total Investments 103.1% (Cost $197,155) Written Options (i) (0.0%) (Premiums $225) Other Assets and Liabilities (Net) (3.1%) Net Assets 100.0%
$
10,914 12,988
$
DG Funding Trust
5.600% due 09/01/2028 6.640% due 02/01/2011 172 1,800 1,469 22 1,491
Tennessee Valley Authority
Notes to Schedule of Investments (amounts in thousands*, except number of contracts): * (a) (b) (c) (d) (e) (f) (g) A zero balance may reflect actual amounts rounding to less than one thousand. Security is in default. When-Issued security. Security becomes interest bearing at a future date. Affiliated to the Fund. Securities with an aggregate market value of $1,012 have been pledged as collateral for swap and swaption contracts on September 30, 2009. The average amount of borrowings while outstanding during the period ended September 30, 2009 was $2,059 at a weighted average interest rate of 0.293%. On September 30, 2009, there were no open reverse repurchase agreements. Securities with an aggregate market value of $419 have been pledged as collateral for the following open futures contracts on September 30, 2009: Expiration Month # of Contracts Unrealized Appreciation
Description
Type
Euro-Bobl December Futures Euro-Bund 10-Year Bond December Futures Call Options Strike @ EUR 123.500 Euro-Bund 10-Year Bond October Futures Call Options Strike @ EUR 123.000 Japan Government 10-Year Bond December Futures U.S. Treasury 10-Year Note December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures Put Options Strike @ GBP 92.000 United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures United Kingdom Long Gilt December Futures
Long Short Short Long Long Long Short Long Long Long Long
12/2009 12/2009 10/2009 12/2009 12/2009 12/2010 12/2009 06/2010 03/2011 09/2010 12/2009
10 13 13 7 7 2 58 23 12 43 1
1 1 5 52 0 2 22 2 9 52 1 $ 147
September 30, 2009
Semiannual Report
99
(Cont.)
(h)
Credit Default Swaps on Corporate, Sovereign, and U.S. Municipal Issues - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Implied Notional Credit Spread at September 30, 2009 (3) Amount (4) Unrealized Market Upfront Premiums Appreciation/ Value Paid/(Received) (Depreciation)
Reference Entity
Counterparty
Aetna, Inc. AutoZone, Inc. BAE Systems Holdings, Inc. Barclays Bank PLC Bear Stearns Cos. LLC Bear Stearns Cos. LLC Boston Scientific Corp. Boston Scientific Corp. British Sky Broadcasting Group PLC Burlington Northern Santa Fe Corp. Cleveland Electric Illuminating Co. CNA Financial Corp. Computer Sciences Corp. Constellation Energy Group, Inc. Cytec Industries, Inc. Daimler Finance N.A. LLC DR Horton, Inc. Erac USA Finance Co. GATX Financial Corp. Health Care REIT, Inc. Home Depot, Inc. International Lease Finance Corp. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. JPMorgan Chase & Co. Marsh & McLennan Cos., Inc. Masco Corp. Nabors Industries, Inc. NiSource Finance Corp. Pearson Dollar Finance PLC Pearson Dollar Finance PLC Royal Caribbean Cruises Ltd. Sabre Holdings Corp. Sara Lee Corp. Sealed Air Corp. Sprint Nextel Corp. Sprint Nextel Corp. Tate & Lyle International Finance PLC Tyco Electronics Group S.A. UBS AG UBS AG UBS AG Vivendi Vivendi Vivendi Vivendi XL Capital Finance Europe PLC
GSC CITI UBS RBS CITI CSFB MLP UBS BCLY RBS RBS JPM MSC JPM DUB RBS BNP JPM RBS BCLY BOA MLP DUB DUB RBS UBS BOA CSFB DUB MSC CITI SOG BOA JPM RBS CSFB BNP JPM DUB BOA BCLY BOA DUB BNP BNP BNP JPM BCLY
(0.950%) (0.680%) (0.140%) (2.350%) (1.200%) (0.760%) (0.510%) (2.060%) (0.700%) (0.510%) (0.940%) (0.440%) (0.620%) (0.665%) (0.950%) (0.620%) (4.030%) (2.700%) (0.605%) (2.930%) (1.100%) (0.130%) (0.720%) (0.740%) (2.223%) (0.730%) (0.990%) (0.907%) (0.630%) (1.470%) (0.690%) (1.040%) (0.480%) (0.930%) (0.630%) (0.500%) (5.000%) (1.065%) (0.510%) (1.100%) (2.300%) (2.280%) (2.080%) (1.742%) (1.780%) (1.820%) (1.500%) (0.310%)
09/20/2018 12/20/2012 12/20/2011 12/20/2017 03/20/2018 12/20/2017 06/20/2011 06/20/2016 12/20/2018 03/20/2018 06/20/2017 09/20/2011 03/20/2013 06/20/2012 12/20/2015 09/20/2011 06/20/2011 12/20/2012 03/20/2012 06/20/2015 03/20/2016 03/20/2012 03/20/2018 03/20/2018 03/20/2018 03/20/2018 09/20/2015 12/20/2016 03/20/2018 03/20/2019 06/20/2018 06/20/2018 06/20/2010 09/20/2011 09/20/2011 09/20/2013 09/20/2017 12/20/2016 12/20/2014 03/20/2014 03/20/2014 06/20/2018 03/20/2014 06/20/2013 06/20/2013 06/20/2013 06/20/2018 03/20/2012
0.718% 0.536% 0.484% 1.292% 0.714% 0.714% 0.720% 0.860% 0.854% 0.466% 1.255% 2.306% 0.224% 2.104% 1.521% 0.745% 1.271% 1.044% 1.287% 1.904% 0.675% 9.677% 0.714% 0.714% 0.714% 0.714% 0.452% 2.125% 1.096% 1.526% 0.581% 0.581% 4.465% 5.195% 0.226% 0.982% 3.443% 3.492% 1.375% 0.880% 0.904% 1.012% 0.904% 1.127% 1.127% 1.127% 1.308% 1.441%
EUR $ EUR $
300 $ (5) 100 0 200 2 300 (23) 800 (29) 1,000 (4) 200 1 300 (22) 800 9 446 (2) 637 13 300 11 637 (9) 319 12 637 20 100 0 200 (10) 700 (37) 637 10 400 (21) 637 (16) 200 38 100 0 500 (1) 300 (33) 300 0 638 (19) 200 14 637 21 637 2 275 (2) 1,000 (35) 100 3 200 16 200 (2) 200 4 1,000 (94) 100 14 100 4 1,000 (10) 400 (35) 100 (9) 200 (15) 200 (4) 100 (2) 146 (4) 100 (1) 200 5 $ (245)
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (143) 0 0 80 0 0 0 0 0 0 0 0 $ (63)
(5) 0 2 (23) (29) (4) 1 (22) 9 (2) 13 11 (9) 12 20 0 (10) (37) 10 (21) (16) 38 0 (1) (33) 0 (19) 14 21 2 (2) (35) 3 16 (2) 4 49 14 4 (90) (35) (9) (15) (4) (2) (4) (1) 5 $ (182)
Credit Default Swaps on Credit Indices - Buy Protection (1) Fixed Deal (Pay) Rate Maturity Date Notional Amount (4) Market Value (5) Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Index/Tranches
Counterparty
CDX.IG-7 10-Year Index CDX.IG-7 10-Year Index CDX.IG-8 10-Year Index CDX.IG-8 10-Year Index CDX.IG-9 10-Year Index CDX.IG-10 10-Year Index CDX.IG-10 10-Year Index CDX.IG-12 5-Year Index CDX.IG-12 10-Year Index
100
PIMCO Funds
Credit Default Swaps on Credit Indices - Sell Protection (2) Index/Tranches Counterparty Fixed Deal Receive Rate Maturity Date Notional Market Amount (4) Value (5) Upfront Premiums Unrealized Paid/(Received) (Depreciation)
CSFB DUB
0.320% 0.110%
07/25/2045 05/25/2046
$ 400 497
(1)
(2)
(3)
(4)
(5)
If the Fund 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 compromising 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 compromising the referenced index. 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 underlying securities compromising 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 underlying securities compromising the referenced index. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, U.S. municipal issues or sovereign issues of an emerging country as of period end serve as an indicator 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. 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. The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and 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 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.
Interest Rate Swaps Pay/Receive Floating Rate Maturity Date Notional Amount Market Value Unrealized Upfront Premiums Appreciation/ Paid/(Received) (Depreciation)
Fixed Rate
Counterparty
Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay Pay
1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Month EUR-FRCPXTOB Index 1-Year BRL-CDI 1-Year BRL-CDI 1-Year BRL-CDI 3-Month AUD Bank Bill 3-Month CAD Bank Bill 6-Month EUR-LIBOR 6-Month EUR-LIBOR 6-Month EUR-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month GBP-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 6-Month JPY-LIBOR 28-Day MXN TIIE
2.090% 2.103% 2.146% 1.948% 1.950% 2.080% 11.140% 11.360% 11.360% 6.500% 5.800% 3.000% 3.000% 3.000% 3.500% 3.500% 4.500% 4.500% 4.500% 1.000% 1.000% 1.000% 1.500% 8.300%
10/15/2010 10/15/2010 10/15/2010 03/15/2012 03/30/2012 06/15/2012 01/02/2012 01/02/2012 01/02/2012 06/15/2012 12/19/2023 09/15/2012 09/15/2012 09/15/2012 03/17/2015 03/17/2015 03/17/2020 03/17/2020 03/17/2020 12/16/2014 12/16/2014 12/16/2014 12/16/2016 02/07/2019
BNP BCLY UBS BCLY RBS GSC GSC GSC MLP DUB JPM DUB JPM RBS CITI CSFB GSC JPM RBS BOA RBS UBS BCLY MLP
EUR
JPY
MXN
3,000 $ 174 6,300 355 3,500 221 500 17 600 18 1,600 59 1,900 2 2,400 (1) 1,200 (1) 1,600 4 1,700 29 8,900 108 900 11 6,100 75 200 (2) 500 (4) 1,700 93 500 28 1,000 55 450,000 28 980,000 61 890,000 55 380,000 109 1,900 2 $ 1,496
(i)
Options on Exchange-Traded Futures Contracts Description Exercise Price Expiration Date # of Contracts Premium Market Value
Put - CBOT U.S. Treasury 10-Year Note December Futures Put - CME 90-Day Eurodollar March Futures
$ 115.000 98.500
11/20/2009 03/15/2010
24 142
$ 16 56 $ 72
9 23 $ 32
Interest Rate Swaptions Description Counterparty Floating Rate Index Pay/Receive Floating Rate Exercise Rate Expiration Date Notional Amount Premium Market Value
Put - OTC 10-Year Interest Rate Swap Put - OTC 7-Year Interest Rate Swap Put - OTC 10-Year Interest Rate Swap Put - OTC 5-Year Interest Rate Swap
20 5 39 45 $ 109
8 1 11 3 $ 23
101
Semiannual Report
(Cont.)
Foreign Currency Options Description Exercise Price Expiration Date Notional Amount Premium Market Value
Call - OTC USD versus BRL Call - OTC USD versus MXN Call - OTC USD versus KRW Call - OTC USD versus KRW Call - OTC USD versus MXN
8 14 11 3 8 $ 44
8 16 9 3 10 $ 46
Transactions in written call and put options for the period ended September 30, 2009: # of Contracts Notional Amount in $ Notional Amount in EUR
Premium
EUR
Issuer Description
Coupon
Maturity Date
Acquisition Date
Cost
Market Value
5.250%
06/01/2016
11/03/2006
$ 450
$ 479
0.25%
Description
Coupon
Maturity Date
Principal Amount
Proceeds
(6)
(l)
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Sell Sell Buy Sell Sell Buy Buy Buy Buy Sell Sell Buy Buy Sell Buy Buy Sell Buy Buy Sell Buy Buy Buy
102
PIMCO Funds
AUD
BRL
CAD
CLP CNY
1,116 24 6,416 6,440 1,083 27 2,165 651 27 2,165 1,568 6,827 1,607 1,500 652 11,032 8,300 525 4,898 1,304 6,973 3,905 1,296 617 2,234
10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 02/2010 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 03/2010 03/2010 05/2010
CITI JPM JPM RBS BOA CITI DUB HSBC JPM DUB CITI CITI HSBC RBC RBS BCLY CITI BCLY BCLY BOA JPM UBS BOA JPM BCLY
0 1 0 0 29 0 0 14 1 72 26 0 0 27 0 0 1 0 1 0 0 2 0 0 0
(15) 0 (63) (325) 0 (2) (72) 0 0 0 0 (65) (20) 0 (2) (1) 0 0 0 0 (1) 0 0 (1) (35)
(15) 1 (63) (325) 29 (2) (72) 14 1 72 26 (65) (20) 27 (2) (1) 1 0 1 0 (1) 2 0 (1) (35)
See Accompanying Notes
Type
Currency
Settlement Month
Counterparty
Unrealized Appreciation
Unrealized (Depreciation)
Sell Buy Buy Buy Buy Buy Sell Sell Sell Sell Buy Sell Buy Sell Sell Sell Sell Sell Sell Sell Sell Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Sell Buy Sell Buy Sell Buy Sell Sell Buy Sell Buy Sell Buy Buy Buy Buy Sell Buy Buy Buy Buy Buy Buy Buy Sell Sell Sell Sell Sell Buy Buy Buy Buy Buy Sell
CNY
DKK EUR
JPY
KRW
MXN
MYR
4,753 2,519 3,876 2,657 4,898 3,905 2,426 2,426 14,998 17,935 5,824 3,599 60 9,410 553 647 23 2,788 81 166 73 3,247,230 3,428,750 12 36 82 12 12 11 82 245,705 618,030 32,301 18,918 69,246 3,032 350,096 108 2,570 77,679 413,242 736,357 2,299 210,714 1,371 5,885 5,152 18 4 2 6 1 1,736 1,933 3,669 45 45 294 264 264 2 6 3 123 61 4
05/2010 05/2010 06/2010 06/2010 11/2010 11/2010 10/2009 12/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 12/2009 12/2009 12/2009 01/2010 09/2010 10/2009 10/2009 10/2009 10/2009 10/2009 10/2009 03/2010 10/2009 10/2009 10/2009 10/2009 10/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009 02/2010 10/2009 10/2009 12/2009 10/2009 10/2009 11/2009 10/2009 12/2009 11/2009 11/2009 11/2009 11/2009 11/2009 11/2009
BCLY MLP BCLY HSBC BCLY UBS RBS HSBC BCLY BNP RBC RBC RBS RBS UBS BNP JPM RBS DUB JPM MSC BCLY JPM BCLY CITI CITI HSBC JPM MSC CITI BCLY BNP CITI HSBC RBS BCLY BOA BOA CITI HSBC HSBC JPM RBS JPM DUB HSBC JPM JPM BCLY DUB JPM CITI BCLY RBS HSBC CITI RBC DUB RBS HSBC BCLY DUB RBS BCLY CITI BCLY
0 0 0 0 0 0 0 0 0 0 0 31 0 74 5 47 1 104 0 0 0 0 5 0 0 0 0 0 0 0 62 0 8 0 11 0 13 0 0 3 0 23 0 5 0 0 0 0 0 0 0 0 8 17 5 0 0 0 0 0 0 0 0 0 0 0 $ 596
(35) (38) (4) (2) (10) (9) (21) 0 (463) (562) (22) (47) (1) 0 0 0 0 0 0 0 0 (1) 0 0 0 0 0 0 0 0 0 (206) 0 (4) 0 0 0 0 0 0 (21) 0 0 0 (1) (2) (3) 0 0 0 0 0 0 0 0 (1) 0 0 (4) 0 0 0 0 0 0 0 $ (2,059)
(35) (38) (4) (2) (10) (9) (21) 0 (463) (562) (22) (16) (1) 74 5 47 1 104 0 0 0 (1) 5 0 0 0 0 0 0 0 62 (206) 8 (4) 11 0 13 0 0 3 (21) 23 0 5 (1) (2) (3) 0 0 0 0 0 8 17 5 (1) 0 0 (4) 0 0 0 0 0 0 0 $ (1,463)
Semiannual Report
103
(Cont.)
(m) Fair Value Measurements + The following is a summary of the fair valuations according to the inputs used as of September 30, 2009 in valuing the Fund's assets and liabilities: Quoted Prices in Active Markets for Identical Investments (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3)
Category ++
Australia France Germany Italy Netherlands United Kingdom United States Short-Term Instruments Other Investments +++ Investments, at value Short Sales, at value Financial Derivative Instruments ++++ Total
$ $ $ $
$ $ $ $
14,440 27,708 9,518 10,125 10,173 12,687 71,149 2,074 23,072 180,946 (10,708) (327) 169,911
$ $ $ $
$ $ $ $
14,440 27,708 9,518 10,125 10,173 12,687 72,095 12,988 24,029 193,763 (10,708) (180) 182,875
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ending September 30, 2009: Net Change in Unrealized Appreciation/ Ending (Depreciation) Balance on investments at 09/30/2009 held at 09/30/2009
Category ++
Australia United States Other Investments +++ Investments, at value Financial Derivative Instruments ++++ Total
+ ++ +++ ++++
$ 2 1 1 $ 4 $ 0 $ 4
0 45 36 $ 81 $ 0 $ 81
See note 2 in the Notes to Financial Statements for additional information. Refer to the Schedule of Investments for additional information. Sum of all other categories each of which individually has an aggregate market value of less than 5% of net assets. Financial derivative instruments may include open futures contracts, swap contracts, written options, and foreign currency contracts.
Fair Value of Derivative Instruments ^
(n)
The following is a summary of the fair valuations of the Fund's derivative instruments categorized by risk exposure:
Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Total
Variation margin receivable ^^ Unrealized appreciation on foreign currency contracts Unrealized appreciation on swap agreements
$ $
0 596 0 596
$ 0 0 0 $ 0 $ 0 0 0 $ 0
$ 0 0 0 $ 0 $ 0 0 0 $ 0
Liabilities:
Written options outstanding Unrealized depreciation on foreign currency contracts Unrealized depreciation on swap agreements
46 2,059 0 $ 2,105
104
PIMCO Funds
The Effect of Derivative Instruments on the Statement of Operations for the Six Months Ended September 30, 2009: Derivatives not accounted for as hedging instruments Foreign Exchange Credit Equity Other Contracts Contracts Contracts Contracts
Interest Rate Contracts Realized Gain (Loss) on Derivatives Recognized as a Result from Operations:
Total
Net realized gain on investments (purchased options) Net realized gain (loss) on futures contracts, written options and swaps Net realized (loss) on foreign currency transactions
15 (3,240) 0 $ (3,225)
0 0 (5,288) $ (5,288)
0 906 0 906
$ 0 0 0 $ 0
$ 0 0 0 $ 0
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result from Operations:
Net change in unrealized (depreciation) on investments (purchased options) Net change in unrealized appreciation (depreciation) on futures contracts, written options and swaps Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies
0 (4,045)
$ 0 0 0 $ 0
$ 0 0 0 $ 0
$
^ ^^
0 $ (4,045)
See note 2 in the Notes to Financial Statements for additional information. The Fair Values of Derivative Instruments may include cumulative appreciation/depreciation of futures contracts as reported in the Notes to Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities.
Semiannual Report
105
1. ORGANIZATION PIMCO Funds (the Trust) was established as a Massachusetts business trust on February 19, 1987. 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 the Institutional Class, Class P, Administrative Class and Class D shares (the Institutional Classes) of eight funds (the Funds) offered by the Trust. Certain detailed financial information for the A, B, C and R Classes (the Other Classes) is provided separately and is available upon request. 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 may require 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) Determination of Net Asset Value The Net Asset Value (NAV) of a Funds 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 New York Stock Exchange (NYSE) is open. 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. (b) Investment Valuation For purposes of calculating the 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 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. Domestic and foreign fixed income securities and non-exchange traded derivatives are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Prices obtained from independent pricing services use 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. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. With respect to any portion of a Funds assets that are invested in one or more open-end management investment companies, a Funds NAV will be calculated based upon the NAVs of such investments. A Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally take into account trading, clearances or settlements that take place after the NYSE Close. Investments initially 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 NAV of a Funds 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 NYSE is closed and the NAV may change on days when an investor is not able to purchase, redeem or exchange shares.
Securities and other assets for which market quotes are not readily available are valued at fair value as determined in good faith by the Board of Trustees or persons acting at their direction. The Board of Trustees has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to the investment adviser, Pacific Investment Management Company LLC (PIMCO) the responsibility for applying the valuation methods. For instance, certain securities or investments for which daily market quotes are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to other securities or indices. In the event that market quotes are not readily available, and the security or asset cannot be valued pursuant to one of the valuation methods, the value of the security or asset will be determined in good faith by the Valuation Committee of the Board of Trustees, generally based upon recommendations provided by PIMCO. 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 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 Funds 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 of Trustees has delegated to PIMCO the responsibility for monitoring significant events that may materially affect the values of a Funds securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events. When a Fund uses fair value pricing to determine its NAV, securities 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 of Trustees or persons acting at their direction believe accurately reflects fair value. Fair value pricing may require subjective determinations about the value of a security. While the Trusts policy is intended to result in a calculation of a Funds NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Board of Trustees 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. U.S. GAAP defines fair 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 and requires disclosure of a fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Levels 1, 2, and 3). Categorization of fair value measurements is determined by the nature of the inputs as follows: inputs using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Valuation levels are not necessarily an indication of the risk associated with investing in those securities. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in/out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation have been included in the Notes to the Schedule of Investments for each respective Fund. (c) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities
106
PIMCO Funds
purchased or sold on a when-issued or delayed-delivery basis may be settled a month 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. Paydown gains and losses on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statements of Operations. (d) 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. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not segregated on the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. (e) Multiclass Operations Each class offered by the Trust has equal rights as to assets and voting privileges (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). For daily dividend Funds, income and non-class specific expenses are allocated daily to each class on the basis of the relative value of settled shares. For non-daily dividend Funds, income and non-class specific expenses are allocated daily to each class on the basis of the relative net assets. Realized and unrealized capital gains and losses of each class are allocated daily based on the relative net assets of each class of the respective Fund. Class specific expenses, where applicable, currently include supervisory and administrative, distribution and servicing fees. (f) Dividends and Distributions to Shareholders Dividends from net investment income, if any, are declared daily and distributed to shareholders monthly. Net realized capital gains earned by each Fund, if any, will be distributed no less frequently than once each year. 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 change the fiscal year when income and capital items are recognized for tax and U.S. GAAP purposes. Examples of events that give rise to timing differences include wash sales, straddles 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 characterization differences include the treatment of mortgage paydowns, swaps, foreign currency transactions and contingent debt instruments. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income and realized capital gain reported on each Funds 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 reclassified 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.
3. SECURITIES AND OTHER INVESTMENTS (a) Delayed-Delivery Transactions Certain Funds may purchase or sell securities on a delayed-delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, a Fund will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed-delivery basis, the Fund does not participate in future gains and losses with respect to the security. (b) 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. (c) 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 Funds 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. 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 notional loan amounts will never 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 floating rate loan. In certain circumstances, a Fund may receive a prepayment penalty fee upon the prepayment of a floating rate loan by a borrower. Fees earned/paid are recorded as a component of interest income or interest expense on the Statements of Operations. (d) 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
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securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. 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 payments. Interest payments may be determined by fixed or adjustable rates. The rate of pre-payments 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 United States 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 the 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 is 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 pre-payments. Commercial MortgageBacked 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- 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 common type of SMBS will have one class receiving some of the interest and most of the principal from the mortgage assets, while the other class will receive most of the interest and the remainder of the principal. In the most extreme case, one class will receive all of the interest (the interest-only or IO class), while the other class will receive the entire principal (the principalonly or PO class). Payments received for IOs are included in interest income on the Statements of Operations. Because little to no principal will be received at the maturity of an IO, adjustments are made to the book value 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 Fund 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 quality of the collateral may decline in value or default, (iii) a Fund may invest in CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not
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be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. (e) Payment In-Kind Securities Certain Funds may invest in payment in-kind securities. Payment in-kind securities (PIKs) 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 include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from interest receivable to the unrealized appreciation or depreciation on investment on the Statements of Assets and Liabilities. (f) Repurchase Agreements Each Fund may engage in repurchase transactions. 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 Funds 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. Securities purchased under repurchase agreements are reflected as an asset in 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. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund will seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. (g) Restricted Securities Certain Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities may be sold privately, but are required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted securities outstanding at the period ended September 30, 2009 are disclosed in the Notes to the Schedules of Investments. (h) Reverse Repurchase Agreements Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. Securities sold under reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made 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 reverse repurchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the investment adviser or otherwise cover its obligations under reverse repurchase agreements. (i) Short Sales Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. Securities sold in short sale transactions and the interest payable on such securities, if any, are
reflected as a liability on the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. (j) U.S. Government Agencies or Government-Sponsored Enterprises Certain Funds may invest in 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. The U.S. Government does not guarantee the net asset value of the Funds shares. 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 United States government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the U.S. Treasury); 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 agencys obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. 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 interestpaying securities of similar maturities. Government-related guarantors (i.e., not backed by the full faith and credit of the United States Government) include FNMA and the Federal Home Loan Mortgage Corporation (FHLMC or Freddie Mac). FNMA is a government-sponsored corporation the common stock of which is owned entirely by private stockholders. 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. Passthrough 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 United States Government. FHLMC issues Participation Certificates (PCs), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the United States Government. On September 6, 2008, the Federal Housing Finance Agency (FHFA) placed FNMA and FHMLC into conservatorship. As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and the assets of FNMA and FHLMC. FHFA selected a new chief executive officer and chairman of the board of directors for each of FNMA and FHLMC. On September 7, 2008, the U.S. Treasury announced three additional steps taken by it in connection with the conservatorship. First, the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with each of FNMA and FHLMC pursuant to which the U.S. Treasury will purchase up to an aggregate of $100 billion of each of FNMA and FHLMC to maintain a positive net worth in each enterprise. This agreement contains various covenants that severely limit each enterprises operations. In exchange for entering into these agreements, the U.S. Treasury received $1 billion of each enterprises senior preferred stock and warrants to purchase 79.9% of each enterprises common stock. Second, the U.S. Treasury announced the creation of a new secured lending facility which is available to each of FNMA and FHLMC as a liquidity backstop. Third, the U.S. Treasury announced the creation of a temporary program to purchase mortgage-backed securities issued by each of FNMA and FHLMC. Both the liquidity backstop and the mortgage-backed securities purchase program are scheduled to expire in December 2009. FNMA and FHLMC
are continuing to operate as going concerns while in conservatorship and each remain liable for all of its obligations, including its guaranty obligations, associated with its mortgage-backed securities. The liquidity backstop and the Senior Preferred Stock Purchase Agreement are both intended to enhance each of FNMAs and FHLMCs ability to meet its obligations. (k) 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 by a Fund is made regarding these transactions to purchase or sell 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 capital gain or loss. 4. FINANCIAL DERIVATIVE INSTRUMENTS The following disclosures contain information on how and why the Funds use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how 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 derivative contract, are included in a table in the Notes to Schedules of Investments. The derivative instruments outstanding as of period end as disclosed in the Notes to Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Funds. (a) Foreign Currency Contracts Certain Funds may enter into 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 Funds securities or as a part of an investment strategy. A 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 foreign currency contract fluctuates with changes in foreign currency exchange rates. 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, securities may be identified as collateral in accordance with the terms of the respective contracts. (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 or U.S. Government and Agency Obligations 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.
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(c) Options Contracts Certain Funds may write call and put options on futures, swaps (swaptions), securities, commodities or currencies it owns or in which it may invest. Writing put options tends to increase a Funds exposure to the underlying instrument. Writing call options tends to decrease a Funds exposure to the underlying instrument. When a Fund writes a call or put option, 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 reflected as written options outstanding on the Statements of Assets and Liabilities. Certain options may be written with premiums to be determined on a future date. 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. 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 Funds exposure to the underlying instrument. Purchasing put options tends to decrease a Funds exposure to the underlying instrument. A Fund pays a premium which is included on the Funds Statements of Assets and Liabilities as an investment 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. (d) Swap Agreements Certain Funds may invest in swap agreements. Swap agreements are privately 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. A Fund may enter into credit default, interest rate and other forms of swap agreements to manage its exposure to credit, currency, interest rate and commodity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral 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 or quotations from market makers to the extent available and the change in value, if any, is recorded as an unrealized gain or loss on the Statements of Assets and Liabilities. In the event that market quotations are not readily available or deemed unreliable, certain swap agreements may be valued pursuant to guidelines established by the Board of Trustees. 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. Payments received or made at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent payments made 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). These upfront payments are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap.
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PIMCO Funds International Institutional Funds
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 credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates. A Funds 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 contracts 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 Funds exposure to the counterparty. Asset Swap Agreements Asset swaps combine an interest rate swap with a bond and are used to alter the cash flow profile of a bond. Asset swaps can be used to transform the cash flow characteristics of reference assets, so that a Fund can hedge the currency, credit, and interest rate risks to create synthetic investments with more suitable cash flow characteristics. An asset swap package involves transactions is which a Fund acquires a bond position and then enters into an interest rate swap with the bank that sold a Fund the bond. This transforms the fixed coupon of the bond into a LIBOR based floating coupon. 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 corporate issues, sovereign issues of an emerging country or U.S. municipal 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 protections right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal 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 issuers default. Credit default swap agreements on asset-backed securities 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. Unlike credit default swaps on corporate issues, sovereign issues of an emerging country or U.S. municipal issues, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take an active long or short position with respect to the likelihood of a particular referenced obligations 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 names 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 benchmarks for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues of an emerging country or U.S. municipal issues as of period end are disclosed in the footnotes to the Schedules of Investments and serve as an indicator 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. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads represent a deterioration of the
referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of each individual credit default swap agreements outstanding as of September 30, 2009 for which a Fund is the seller of protection are disclosed in the notes to the 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. Interest Rate Swap Agreements Certain Funds are subject to interest risk exposure in the normal course of pursuing its investment objectives. Because a Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or cap, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or floor, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swap, under which two parties can exchange variable interest rates based on different money markets. 5. 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 changes in the market (market risk), or failure or inability of the other party to a transaction to perform (credit and counterparty risk). Market Risks A Funds investments in derivatives and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign currency, equity and commodity risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by a 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. 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 fixed incomes market price to interest rate (i.e. yield) movements. If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in 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 Funds base currency will decline in value relative to the
Semiannual Report September 30, 2009
111
(Cont.)
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 Funds investments in foreign currency denominated securities may reduce the returns of the Fund. The market values of equities, such as common stocks and preferred stocks or equity related investments such as futures, options, 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. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. A Funds investments in commodity-linked derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked 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. Credit and Counterparty Risks A Fund will be exposed to credit risk on 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 derivatives contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities are subject to varying degrees of credit risk, which are often reflected in credit ratings. Similar to credit risk, a 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 Counterparty Risk Committee prior to entering into transactions with a third party. 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. A Fund is subject to various Master Agreements, which govern the terms of certain transactions with select counterparties. These Master Agreements reduce the counterparty risk associated with relevant transactions by allowing a Fund to net contracts in the event of default. All amounts with the counterparty are terminated and settled on a net basis. A Funds 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 (Master Repo Agreements) govern transactions between a Fund and select counterparties. The Master Repo Agreements maintain provisions for, initiation, income payments, events of default, and maintenance of collateral for Repurchase Agreements.
112
PIMCO Funds International Institutional Funds
Master Securities Forward Transaction Agreements (Master Forward Agreements) govern the considerations and factors surrounding the settlement of certain purchases and sales made on a delayed-delivery basis 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. International Swaps and Derivatives Association, Inc. Master Agreements (ISDA Master Agreements) govern transactions, over-the-counter derivative and foreign exchange contracts, entered into by a Fund and those counterparties. The 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 early terminate could be material to the financial statements. On September 15, 2008, Lehman Brothers Holdings Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code. On September 19, 2008, a proceeding under the Securities Investor Protection Act (SIPA) was commenced with respect to Lehman Brothers Inc., a broker-dealer. A trustee appointed under SIPA is administering the bankruptcy estate of Lehman Brothers Inc. Lehman Brothers International (Europe) was placed in administration under the UK Insolvency Act on September 15, 2008. Lehman Brothers Special Financing Inc. filed for protection under Chapter 11 of the United States Bankruptcy Code on October 3, 2008. In connection with these filings, the Lehman Brothers group of companies (collectively Lehman Brothers) will be reorganized and/or liquidated in an orderly fashion, subject to court approval. Each Lehman Brothers entity is a separate legal entity that is subject to its own bankruptcy proceeding. Certain Funds had select holdings, credit default swap agreements, and securities and derivatives transactions outstanding with Lehman Brothers entities as issuer, referenced entity, counterparty or guarantor at the time the relevant Lehman Brothers entity filed for protection or was placed in administration. The security holdings, credit default swap agreements, and securities and derivatives transactions associated with Lehman Brothers have been written down to their estimated recoverable values. Anticipated losses for securities and derivatives transactions associated with Lehman Brothers have been incorporated as components of receivable for investments sold or payable for investments purchased on the Statements of Assets and Liabilities and net realized gain (loss) on investments on the Statements of Operations. Financial assets and liabilities may be offset and the net amount may be reported on the Statements of Assets and Liabilities where there is a legally enforceable right to set off the recognized amounts and the U.S. GAAP provision have been met. A facilitated auction occurred on October 10, 2008 comprising multiple pre-approved brokerage agencies to determine the estimated recovery rate for holdings and credit default swap agreements with Lehman Brothers Holdings Inc. as referenced entity. These recovery rates have been utilized in determining estimated recovery values. PIMCO delivered notices of default to the relevant Lehman Brothers entities in accordance with the terms of the applicable agreements. For transactions with Lehman Brothers counterparties, PIMCO terminated the trades, obtained quotations from brokers for replacement trades and, where deemed appropriate, re-opened positions with new counterparties. Where relevant the Funds have filed claims with Lehman Brothers Inc. and intend to do so with other Lehman Brothers entities, in accordance with the applicable bankruptcy proceedings. In addition, Funds that owed money to Lehman Brothers Special Financing Inc. have entered into a settlement agreement with Lehman Brothers Special Financing Inc. and have paid such amounts.
6. FEES AND EXPENSES (a) Investment Advisory Fee PIMCO is a majority-owned subsidiary of Allianz Global Investors of America L.P. (AGI), and serves as investment adviser (the Adviser) to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund, at an annual rate based on average daily net assets (the Investment Advisory Fee). The Investment Advisory Fee for all classes is charged at an annual rate as noted in the table below.
(b) Supervisory and Administrative Fee PIMCO serves as administrator (the Administrator), and provides supervisory and administrative services to the Trust for which it receives a monthly supervisory and administrative fee based on each share classs average daily net assets (the Supervisory and Administrative Fee). As the Administrator, PIMCO bears the costs of various third-party services, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs.
The Investment Advisory and Supervisory and Administrative Fees for all classes are charged at an annual rate as noted in the following table:
Investment Advisory Fee Fund Name All Classes Institutional Class Supervisory and Administrative Fee Administrative Class A, B and C Classes Class D Class P Class R
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
(1) (2) (3) (4)
Effective October 1, 2009, the Funds Supervisory and Administrative Fee was reduced by 0.05% to 0.45% per annum. Effective October 1, 2009, the Funds Supervisory and Administrative Fee was reduced by 0.02% to 0.38% per annum. Effective October 1, 2009, the Funds Supervisory and Administrative Fee was reduced by 0.05% to 0.55% per annum. Effective October 1, 2009, the Funds Supervisory and Administrative Fee was reduced by 0.02% to 0.48% per annum.
(c) Distribution and Servicing Fees Allianz Global Investors Distributors LLC (AGID) is an indirect wholly-owned subsidiary of AGI and serves as the distributor (the Distributor) of the Trusts shares. The Trust is permitted to reimburse AGID on a quarterly basis, out of the Administrative Class assets of each Fund offering Administrative Class Shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, for payments made to financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. Unreimbursed costs may be carried forward for reimbursement for up to twelve months beyond the date in which it is incurred, subject always to the limit that not more than 0.25% of the average daily net assets attributable to an Administrative Class may be expensed. The effective rate paid to AGID was 0.25% during the current fiscal year with no unreimbursed costs to be carried forward as of September 30, 2009. Pursuant to the Distribution and Servicing Plans adopted by the A, B, C, D and R Classes of the Trust, the Trust compensates AGID or an affiliate for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the A, B, C, D and R Classes. The Trust paid AGID distribution and servicing fees at effective rates as set forth in the following table (calculated as a percentage of each Funds average daily net assets attributable to each class):
Allowable Rate Distribution Fee Servicing Fee
AGID also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of A, B and C Class shares. For the period ended September 30, 2009, AGID received $10,171,822 from the Trust representing commissions (sales charges) and contingent deferred sales charges. (d) Redemption Fees Prior to May 1, 2009, shareholders of certain Funds were subject to a Redemption Fee on redemptions and exchanges of 2.00% of the NAV of the Fund shares redeemed or exchanged. Effective May 1, 2009, the Funds no longer impose Redemption Fees. Actual redemption fees charged are reported on the Statements of Changes in Net Assets. (e) Fund Expenses The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trusts 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) the costs of borrowing money, including interest expenses and bank overdraft charges; (v) fees and expenses of the Trustees who are not interested persons of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expenses, including costs of litigation and indemnification expenses; (vii) organization expenses and (viii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class Shares, and may include certain other expenses as permitted by the Trusts Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed on the Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above.
Semiannual Report
113
(Cont.)
PIMCO has agreed to waive a portion of the Emerging Local Bond and Emerging Markets and Infrastructure Bond Funds Supervisory and Administrative Fees in each Funds first fiscal year, to the extent that the payment of the Funds pro rata share of organizational expenses and Trustee Fees cause the actual expense ratio to rise above the rates disclosed in the then-current prospectus plus 0.0049% as set forth below (calculated as a percentage of the Funds average daily net assets attributable to each class):
Fund Name Instl Class Admin Class Class A Class C Class D Class P
The PIMCO Funds Private Account Portfolio Series: Short-Term Floating NAV Portfolio (PAPS Short-Term Floating NAV Portfolio) does not bear Trustee Fees. The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Administrator, all of whom receive remuneration for their services to the Trust from the Administrator or its affiliates. 7. RELATED PARTY TRANSACTIONS The Adviser, Administrator, and Distributor are related parties. Fees payable to these parties are disclosed in Note 6 and the accrued related party fees amounts are disclosed in 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 of Trustees of the Trust. 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 September 30, 2009, the Fund below engaged in purchases and sales of securities pursuant to the Rule 17a-7 of the Act (amounts in thousands):
Fund Name Purchases Sales
0.95%
1.20%
1.31%
2.04%
1.32%
PIMCO may be reimbursed for these waived amounts in future periods, not to exceed thirty-six months after the waiver. Expenses that have been waived may still be reimbursed by the Administrator, to the extent the Funds annualized total portfolio operating expenses plus the amount so reimbursed does not exceed the operating expense limitation. The recoverable amounts to the Administrator at September 30, 2009, were as follows (amounts in thousands):
Fund Name Recoverable Amounts
$ 17
Each unaffiliated Trustee receives an annual retainer of $100,000, plus $9,500 for each Board of Trustees meeting attended in person, $750 ($1,000 in the case of the audit committee chair) for each committee meeting attended and $1,500 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 $15,000 and each other committee chair receives an additional annual retainer of $1,500.
Emerging Local Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
Each Fund may invest in the PAPS Short-Term Floating NAV Portfolio to the extent permitted by the Act and rules thereunder. The PAPS Short-Term Floating NAV Portfolio is a registered investment company created for use solely by the series of the Trust and series of the PIMCO Variable Insurance Trust, another series of registered investment companies advised by PIMCO, in connection with their cash management activities. The PAPS Short-Term Floating NAV Portfolio may incur expenses related to its investment activities, but does not pay Investment Advisory or Supervisory and Administrative Fees to PIMCO. The PAPS Short-Term Floating NAV Portfolio is considered to be affiliated with the Funds. The table below shows each Funds transactions in and earnings from investments in the PAPS Short-Term Floating NAV Portfolio for the period ended September 30, 2009 (amounts in thousands):
Market Value 03/31/2009 Purchases at Cost Proceeds from Sales Unrealized Appreciation (Depreciation) Market Value 09/30/2009 Dividend Income Net Capital and Realized Gain
Fund Name
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
$ (2) 2 0 0 0 0 0 0
$ 146 121 0 76 76 80 19 4
8. GUARANTEES AND INDEMNIFICATIONS Under the Trusts organizational documents, each Trustee, officer, employee or other agent of the Trust (including the Trusts investment manager) is 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.
114
PIMCO Funds
9. 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 (e.g., over
100%) 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 Funds performance. The portfolio turnover rates are reported in the Financial Highlights.
Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2009, were as follows (amounts in thousands):
U.S. Government/Agency
Fund Name Purchases Sales Purchases
All Other
Sales
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
10. SHARES OF BENEFICIAL INTEREST The Trust may issue an unlimited number of shares of beneficial interest with a $0.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Developing Local Markets Fund
Six Months Ended 09/30/2009 Shares Amount Shares Year Ended 03/31/2009 Amount
Receipts for shares sold Institutional Class Class P Administrative Class Class D Other Classes Issued as reinvestment of distributions Institutional Class Class P Administrative Class Class D Other Classes Cost of shares redeemed Institutional Class Class P Administrative Class Class D Other Classes Net increase (decrease) resulting from Fund share transactions
3,060 0 0 0 0
$ 32,651 0 0 0 0
9 0 0 0 0 (1) 0 0 0 0
94 0 0 0 0 (8) 0 0 0 0
(60,383)
(511,648)
(251,106)
$ (1,969,594)
(77,256)
(639,547)
24,937
$ 303,596
3,068
$ 32,737
Semiannual Report
115
(Cont.)
Receipts for shares sold Institutional Class Class P Administrative Class Class D Other Classes Issued as reinvestment of distributions Institutional Class Class P Administrative Class Class D Other Classes Cost of shares redeemed Institutional Class Class P Administrative Class Class D Other Classes Net increase (decrease) resulting from Fund share transactions
42,094 $ 396,589 3,465 32,537 289 2,786 8,173 77,524 10,256 97,961
32,006 $ 308,416 2,645 24,986 365 3,526 3,354 32,839 4,016 38,792
158,394 $ 1,548,513 297 2,708 678 6,582 6,338 62,630 15,091 148,075
(916,940) (145,943) (4,654) (8) (9,456) (1,573) (20,455) (10,546) (80,449) (18,711)
(16,763) $ (154,369)
(45,021) $
(41,767) $
28,866
330,897
Receipts for shares sold Institutional Class Class P Administrative Class Class D Other Classes Issued as reinvestment of distributions Institutional Class Class P Administrative Class Class D Other Classes Cost of shares redeemed Institutional Class Class P Administrative Class Class D Other Classes Net increase (decrease) resulting from Fund share transactions
5,806 1 0 0 1,908
54,939 10 0 0 18,058
(5,107) $ (41,861)
(21,684)
$ (216,224)
207
2,574
(7,619)
$ (65,095)
116
PIMCO Funds
11. REGULATORY AND LITIGATION MATTERS PIMCO, a subsidiary of AGI, and PIMCO Funds are the subject of a lawsuit in the Northern District of Illinois Eastern Division in which the complaint alleges that plaintiffs each purchased and sold a 10-year Treasury note futures contract and suffered damages from an alleged shortage when PIMCO held both physical and futures positions in 10-year Treasury notes for its client accounts. In July 2007, the court granted class certification of a class consisting of those persons who purchased futures contracts to offset short positions between May 9, 2005 and June 30, 2005. Management currently believes that the complaint is without merit and PIMCO and PIMCO Funds intend to vigorously defend against this action. In April 2006, certain registered investment companies and other funds managed by PIMCO were served in an adversary proceeding brought by the Official Committee of Asbestos Claimants of G-I Holdings, Inc. in G-I Holdings, Inc.s bankruptcy in the District of New Jersey. In July 2004, PIMCO was named in this lawsuit and remains a defendant. The plaintiff seeks to recover for the bankruptcy estate assets that were transferred by the predecessor entity of G-I Holdings, Inc. to a wholly-owned subsidiary in 1994. The subsidiary has since issued notes, of which certain registered investment companies and other funds managed by PIMCO are alleged to be holders. The complaint alleges that in 2000, more than two hundred noteholders including certain registered investment companies and other funds managed by PIMCO were granted a second priority lien on the assets of the subsidiary in exchange for their consent to a refinancing transaction and the granting of a first priority lien to the lending banks. The plaintiff is seeking invalidation of the lien in favor of the noteholders and/or the value of the lien. A Plan of Reorganization (the Plan) is currently under consideration by the Court in the underlying bankruptcy case. If the Plan is approved, it is expected that the adversary proceeding to which PIMCO and other funds managed by PIMCO (PIMCO Entities) are parties will be dismissed. It is not known at this time when the Plan may be approved, if at all. In the meantime, the adversary proceeding is stayed. This matter is not expected to have a material adverse effect on the relevant PIMCO Entities. 12. FEDERAL INCOME TAX MATTERS Each Fund intends to qualify as a regulated investment company under sub-chapter 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. As of September 30, 2009, 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. As of September 30, 2009, the aggregate cost of investments was the same for federal income tax and financial statement purposes. The net unrealized appreciation/ (depreciation) of investment securities for federal income tax purposes were as follows (amounts in thousands):
Unrealized Appreciation Unrealized (Depreciation) Net Unrealized Appreciation/ (Depreciation) (1)
Fund Name
Developing Local Markets Fund Emerging Local Bond Fund Emerging Markets and Infrastructure Bond Fund Emerging Markets Bond Fund Foreign Bond Fund (Unhedged) Foreign Bond Fund (U.S. Dollar-Hedged) Global Bond Fund (Unhedged) Global Bond Fund (U.S. Dollar-Hedged)
(1)
Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals, treasury inflation-protected deflationary adjustments, passive foreign investment companies and unamortized premium on convertible bonds for federal income tax purposes.
13. SUBSEQUENT EVENTS PIMCO has evaluated the possibility of subsequent events existing in the Funds financial statements through November 25, 2009, the date that the financial statements were available to be issued. PIMCO has determined that there are no additional material events that would require disclosure in the Funds financial statements through this date.
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(Unaudited)
Counterparty Abbreviations:
ABN AMRO Bank, N.V. AIG International, Inc. Barclays Bank PLC BNP Paribas Bank Bank of America Bank of Nova Scotia Commonwealth Bank of Australia
Citigroup, Inc. Credit Suisse First Boston Deutsche Bank AG Goldman Sachs & Co. HSBC Bank USA JPMorgan Chase & Co. Merrill Lynch & Co., Inc.
Morgan Stanley Royal Bank of Canada Royal Bank of Scotland Group PLC Societe Generale State Street Bank and Trust Co. UBS Warburg LLC Wachovia Bank N.A.
Currency Abbreviations:
AED ARS AUD BRL CAD CHF CLP CNY COP CZK DKK EGP EUR GBP
UAE Dirham Argentine Peso Australian Dollar Brazilian Real Canadian Dollar Swiss Franc Chilean Peso Chinese Renminbi Colombian Peso Czech Koruna Danish Krone Egyptian Pound Euro British Pound
HKD HUF IDR ILS INR JPY KRW KWD MXN MYR NOK NZD PEN PHP
Hong Kong Dollar Hungarian Forint Indonesian Rupiah Israeli Shekel Indian Rupee Japanese Yen South Korean Won Kuwaiti Dinar Mexican Peso Malaysian Ringgit Norwegian Krone New Zealand Dollar Peruvian New Sol Philippine Peso
PLN RON RUB SAR SEK SGD THB TRY TWD UAH USD UYU ZAR
Polish Zloty Romanian New Leu Russian Ruble Saudi Riyal Swedish Krona Singapore Dollar Thai Baht Turkish New Lira Taiwanese Dollar Ukrainian Hryvnia United States Dollar Uruguayan Peso South African Rand
Exchange Abbreviations:
American Stock Exchange Chicago Board Options Exchange Chicago Board of Trade Chicago Mercantile Exchange Financial Times Stock Exchange
IntercontinentalExchange Iceland Stock Exchange Kansas City Board of Trade London International Financial Futures Exchange London Metal Exchange
New York Board of Trade New York Mercantile Exchange New York Futures Exchange New York Stock Exchange Over-the-Counter
Index Abbreviations:
ABX.HE BCC2GO1P BCC2LP1P CDX.EM CDX.HVol CDX.HY CDX.IG CDX.NA CDX.XO CMBX CPI CPTFEMU DJAIGCI
Asset-Backed Securities Index - Home Equity Barclays Capital Gas Oil 1M Deferred S2 Excess Return Index Barclays Capital Copper 1M Deferred S2 Excess Return Index Credit Derivatives Index - Emerging Markets Credit Derivatives Index - High Volatility Credit Derivatives Index - High Yield Credit Derivatives Index - Investment Grade Credit Derivatives Index - North America Credit Derivatives Index - Crossover Commercial Mortgage-Backed Index Consumer Price Index Eurozone HICP ex-Tobacco Index Dow Jones-AIG Commodity Index
DJAIGTR DJAIHGTR DJAIWHTR DJUBHGTR DJUBS DJUBSAL DJUBSLI DJUBSNI DJUBSPR DJUBSTR DJUBSZS DWRTT EAFE
Dow Jones-AIG Total Return Commodity Index Dow Jones-AIG Copper Total Return Sub-Index Dow Jones-AIG Wheat Total Return Sub-Index Dow Jones-UBS Copper Subindex Total Return Dow Jones-UBS Commodity Index Dow Jones-UBS Aluminum Sub-Index Dow Jones-UBS Livestock Sub-Index Dow Jones-UBS Nickel Sub-Index Dow Jones-UBS Precious Metals Sub-Index Dow Jones-UBS Commodity Index Total Return Dow Jones-UBS Zinc Sub-Index Dow Jones Wilshire REIT Total Return Index Europe, Australasia, and Far East Stock Index
eRAFI eRAFI EM FRCPXTOB GSCITR HICP LCDX MCDX SPGCCLP SPGCCNTR SPGSBRP TUCPI UKRPI USSP
enhanced Research Affiliates Fundamental Index eRAFI Emerging Markets Index France Consumer Price ex-Tobacco Index Goldman Sachs Commodity Total Return Index Harmonized Index of Consumer Prices Liquid Credit Derivative Index Municipal Bond Credit Derivative Index S&P GSCI Crude Oil Index S&P GSCI Corn Index S&P GSCI Brent Crude Index Excess Return Index Turkey Consumer Price Index United Kingdom Retail Price Index USD Swap Spread
American Capital Access Holding Ltd. Assured Guaranty Corp. American Municipal Bond Assurance Corp. Berkshire Hathaway Assurance Corporation California Mortgage Insurance Custodial Receipts Financial Guaranty Insurance Co. Federal Housing Administration Federal Home Loan Mortgage Corporation
Federal National Mortgage Association Financial Security Assurance, Inc. Government National Mortgage Association Guaranteed U.S. Department of Housing and Urban Development Insured Custodial Receipts Insured Bond Certificate Michigan Association of Insurance Agents Municipal Bond Investors Assurance
National Public Finance Guarantee Corporation Public School Fund Qualified School Bond Loan Fund Radian Guaranty, Inc. State Department of Veterans Affairs XL Capital Assurance
Other Abbreviations:
Asset-Backed Security Brastislava Interbank Offered Rate Brazil Interbank Deposit Rate Collateralized Loan Obligation Collateralized Mortgage-Backed Security Constant Maturity Mortgage Rate Collateralized Mortgage Obligation Euro Interbank Offered Rate Federal Funds Rate
International Institutional Funds
Hong Kong Interbank Offered Rate International Swaps and Derivatives Association, Inc. Johannesburg Interbank Offered Rate Joint Stock Company Kuala Lumpur Interbank Offered Rate London Interbank Offered Rate Mortgage-Backed Security Morgan Stanley Capital International India National Stock Exchange Interbank Offer Rate
Prague Interbank Offered Rate Real Estate Investment Trust Securities Industry and Financial Markets Association Standard & Poor's Depository Receipts Stockholm Interbank Offered Rate Thai Baht Floating-Rate Fix Tasa de Inters Interbancaria de Equilibrio Warsaw Interbank Offered Rate West Texas Intermediate
118
PIMCO Funds
Privacy Policy
(Unaudited)
The Funds consider customer privacy to be a fundamental aspect of their relationships with shareholders and are committed to maintaining the confidentiality, integrity and security of their current, prospective and former shareholders personal information. To ensure their shareholders privacy, the Funds have developed policies that are designed to protect this confidentiality, while allowing shareholder needs to be served.
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119
Approval of Renewal of the Amended and Restated Investment Advisory Contract, Supervision and Administration Agreement, Asset Allocation Sub-Advisory Agreements and Sub-Advisory Agreements
On August 10-11, 2009, the Board of Trustees (the Board) of PIMCO Funds (the Trust), including a majority of the independent Trustees, approved the Amended and Restated Investment Advisory Contract with Pacific Investment Management Company LLC (PIMCO) on behalf of each of the Trusts series (the Funds) for an additional one-year term through August 31, 2010. The Board also considered and approved for an additional one-year term through August 31, 2010, the Supervision and Administration Agreement (together with the Amended and Restated Investment Advisory Contract, the Agreements) with PIMCO on behalf of the Funds. The Board also considered and approved the renewal of (i) the Asset Allocation Sub-Advisory Agreements (the Asset Allocation Agreements) with Research Affiliates, LLC (RALLC), on behalf of PIMCO All Asset Fund and PIMCO All Asset All Authority Fund, each a series of the Trust, for an additional one-year term through August 31, 2010; and (ii) the Sub-Advisory Agreements (the Sub-Advisory Agreements) with RALLC, on behalf of PIMCO EM Fundamental IndexPLUS TR Strategy Fund, PIMCO Fundamental Advantage Total Return Strategy Fund, Fundamental IndexPLUS Fund and PIMCO Fundamental IndexPLUS TR Fund, each a series of the Trust, for an additional one-year term through August 31, 2010. The information, material factors and conclusions that formed the basis for the Boards approvals are described below. 1. Information Received A. Materials Reviewed During the course of each year, the Trustees receive a wide variety of materials relating to the services provided by PIMCO and RALLC. At each of its quarterly meetings, the Board reviews fund investment performance and a significant amount of information relating to fund operations, including the Funds compliance program, shareholder services, valuation, custody, distribution, and other information relating to the nature, extent and quality of services provided by PIMCO and RALLC to the Trust. In considering whether to approve renewal of the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements, the Board also reviewed supplementary information, including comparative industry data with regard to investment performance, advisory and supervisory and administrative fees and expenses, financial and profitability information regarding PIMCO and RALLC and information about the personnel providing investment management services and supervisory and administrative services to the Funds. The Board also reviewed material provided by counsel to the Trust and the independent Trustees, which included, among other things, memoranda outlining legal duties of the Board. B. Review Process In connection with the renewal of the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements, the Board reviewed written materials prepared by PIMCO and RALLC in response to requests from counsel to the Trust. The Board also requested and received assistance and advice regarding applicable legal standards from Trust counsel, and reviewed comparative fee and performance data prepared at the Boards request by Lipper, Inc. (Lipper), an independent provider of investment company performance and fee and expense data. The Board also heard oral presentations on matters related to the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements and met both as a full Board and as the independent Trustees alone, without management present, at the August 10-11, 2009 meeting. The independent Trustees also met telephonically with counsel to the Trust on August 3, 2009 to discuss the materials presented. The approval determinations were made on the basis of each Trustees 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 recommend the renewal of the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements, the Board did not identify any single factor or particular information that, in isolation, was controlling. This discussion is not intended to be all-inclusive. 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, RALLC, their Personnel, and Resources The Board considered the depth and quality of PIMCOs investment management process, including: its global research capabilities; the experience, capability and integrity of its senior management and other personnel; the low turnover rates of its key personnel; and the overall financial strength and stability of its organization. The Board also considered that PIMCO makes available to its investment professionals a variety of resources and systems relating to investment management and research, compliance, trading, performance and portfolio accounting. The Board noted PIMCOs commitment to investing in information technology supporting investment management and compliance, as well as PIMCOs continuing efforts to attract and retain qualified personnel and to maintain and enhance its resources and systems. The Board also considered PIMCOs responses to the recent challenging market environment and noted the high level of service provided during these market events, including active liquidity and collateral management, frequent pricing committee meetings and adding personnel to the pricing team, additional client communications and providing appropriate staffing and operational resources to support record trade volumes. The Board also noted that PIMCO has a Best Execution Committee and a best execution policy, which assists the Funds in obtaining the most advantageous combination of price and execution for trades. Similarly, the Board considered the asset-allocation services provided by RALLC to the PIMCO All Asset Fund and PIMCO All Asset All Authority Fund and the sub-advisory services provided by RALLC to the PIMCO EM Fundamental IndexPLUS TR Strategy Fund, PIMCO Fundamental Advantage Total Return Strategy Fund, PIMCO Fundamental IndexPLUS Fund and PIMCO Fundamental IndexPLUS TR Fund. The Board considered the depth and quality of RALLCs investment management and research capabilities, the experience and capabilities of its portfolio management personnel, and in particular the experience and capabilities of Robert Arnott, and the overall financial strength of the organization. Ultimately, the Board concluded that the nature, extent and quality of services proposed to be provided by PIMCO under the Agreements and by RALLC under the Asset Allocation Agreements and Sub-Advisory Agreements are likely to benefit the Funds and their shareholders.
120
PIMCO Funds
(Unaudited)
B. Other Services The Board considered PIMCOs 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 Trust and its shareholders; and its attention to matters that may involve conflicts of interest with the Trust. The Board also considered the nature, extent, quality and cost of supervisory and administrative services provided by PIMCO to the Funds under the Agreements. The Board noted that the Supervision and Administration Agreement was approved at the August 2008 Board meeting to replace the Trusts previous Administration Agreement. The purpose of the change was to reflect the increased scope and complexity of supervisory and administrative services that PIMCO has been providing to the Trust. The Board considered the terms of Trusts Supervision and Administration Agreement, under which the Trust pays for the administrative services it requires under what is essentially an all-in fee structure (the unified fee). In return, PIMCO provides or procures supervisory and administrative services and bears the costs of various third party services required by the Funds, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The Board noted that, in recent years, the scope and complexity of the supervisory and administrative services provided by PIMCO under the Supervision and Administration Agreement has increased. The Board considered PIMCOs provision of these services and supervision of the Trusts third party service providers to assure that these service providers continue to provide a high level of service relative to alternatives in the market. Ultimately, the Board concluded that the nature, extent and quality of the services provided by PIMCO has benefited and will likely continue to benefit the Funds and their shareholders. 3. Investment Performance The Board received and examined information from PIMCO concerning the Funds one-, three-, five- and ten-year performance, as available, for the periods ended March 31, 2009 and other performance data, as available, for the period ended June 30, 2009 (the PIMCO Report) and from Lipper concerning the Funds one-, three-, five-, ten- and fifteen-year performance, as available, for the periods ended May 31, 2009 (the Lipper Report). The Board considered information regarding both the short-term and long-term investment performance of each Fund relative to its peer group and relevant benchmark index as provided to the Board in advance of each of its quarterly meetings throughout the year, including the PIMCO Report and Lipper Report, which were provided in advance of the August 10-11, 2009 meeting. The Board noted that, as of May 31, 2009, approximately 60%, 60% and 75% of the Funds outperformed their Lipper category median over the three-year, five-year and 10-year period, respectively (based on the performance of the Institutional Class). The Trustees considered that other classes of each Fund would have substantially similar performance to that of the Institutional Class of each Fund because all of the classes are invested in the same portfolio of securities and that differences in performance among classes could be attributed to differences in each classs different expenses. The Board also considered that the investment objectives of certain of the Funds may not be identical to those of the other funds in their respective peer groups, that the Lipper categories do not separate funds based upon maturity or duration, do not account for the funds hedging strategies, do not distinguish between enhanced index and actively managed equity strategies, do not include as many subsets as the Funds offer (i.e., Funds may be placed in a catch-all category) and do not account for certain fee waivers. The Board noted that, due to these differences, performance comparisons between certain of the Funds and their so-called peers may be inexact. The Board noted that, of the Funds with at least 10 years of performance history, nearly two-thirds outperformed the relative benchmark indexes on a net-of-fees basis over the 10-year period ended May 31, 2009, as indicated in the PIMCO Report. The Board considered that, over periods three years and longer, nearly 75% all of the Institutional Class assets have outperformed the relative benchmark indexes net of fees, noting, however, the impact of PIMCO Total Return Funds size on this data. The Board also noted that, according to Lipper, the Funds generally performed well versus competitors during the recent liquidity crisis, but that a number of the Funds had underperformed in comparison to their respective benchmark indexes on a net-of-fees basis over the three- and five-year periods. The Board discussed with PIMCO the reasons for the underperformance of certain Funds. The Board also discussed actions that has been taken by PIMCO to attempt to improve performance and took note of PIMCOs plans to monitor performance going forward. The Board also considered PIMCOs proposal to reduce the advisory fee for the PIMCO California Short Duration Municipal Income Fund, PIMCO Municipal Bond Fund, and PIMCO Short Duration Municipal Income Fund and to reduce the supervisory and administrative fee for Institutional Class, Class P and Administrative Class shares of the PIMCO Emerging Markets Bond Fund and PIMCO Emerging Local Bond Fund. The Board noted that the expenses of these Funds currently fall below, and will continue to be lower, than the median expense ratio of the majority of competitor funds. The Board ultimately determined, within the context of all of its considerations in connection with the Agreements, that the Trusts overall investment performance was strong, and concluded that PIMCOs performance record and process in managing the Funds indicates that its continued management is likely to benefit the Funds and their shareholders, and merits the approval of the continuation of the Agreements. 4. Advisory Fees, Supervisory and Administrative Fees and Total Expenses PIMCO reported to the Board that, in proposing fees for any Fund or class of shares, it considers a number of factors, including the type and complexity of the services 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 Fund returns to current and potential investors. Fees charged to or proposed for different Funds for advisory services and supervisory and administrative services may vary in light of these various factors. The Board reviewed the advisory fees, supervisory and administrative fees and total expenses of the Funds (each as a percentage of average net assets) and compared such amounts with the average and median fee and expense levels of other similar funds. With respect to advisory fees, the Board reviewed data from Lipper that compared the average and median advisory fees of other funds in an Expense Group of comparable funds, as well as the universe of other similar funds. The Board also reviewed data comparing the Funds advisory fees to the standard fee rate PIMCO charges to separate accounts with a similar investment strategy, and found them to be comparable. In cases where the separate account fees were lower, the Trustees noted that the differences in fees were attributable to various factors, including
Semiannual Report September 30, 2009
121
Approval of Renewal of the Amended and Restated Investment Advisory Contract, Supervision and Administration Agreement, Asset Allocation Sub-Advisory Agreements and Sub-Advisory Agreements (Cont.)
differences in the services provided by PIMCO to the Funds, the manner in which similar portfolios may be managed, differences in liquidity and other regulatory requirements, and the fact that separate accounts may have other contractual arrangements that justify different levels of fees. The Board also considered the Funds supervisory and administrative fees, comparing them to similar funds in the report supplied by Lipper. The Board considered that as the Funds business has become increasingly complex, PIMCO has provided an increasingly broad array of fund supervisory and administrative functions. The Board considered the Trusts unified fee structure, under which the Trust pays for the supervisory and administrative services it requires for one set fee, and in return, PIMCO provides or procures supervisory and administrative services and bears the costs of various third party services required by the Funds, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The Board noted that many other funds pay for these services separately, and thus it is difficult to directly compare PIMCO Funds unified supervisory and administrative fees with the fees paid by other funds for administrative services alone. The Board noted that the unified supervisory and administrative 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 Funds. The Board concluded that the Funds supervisory and administrative fees were reasonable in relation to the value of the services provided, including the services provided to different classes of shareholders, and that the expenses assumed contractually by PIMCO under the Supervisory and Administration Agreement represent, in effect, a cap on fund fees that is beneficial to the Funds and their shareholders. With respect to overall levels of Fund expenses, the Board observed that bond funds are more fee- and expense-ratio sensitive than equity funds, given the tangible impact of fees and expenses on yield, and that investors appear to be satisfied with the Funds performance, as evidenced by the continued growth in Fund assets. The Board noted that the total expenses for 53% of the Funds Class A shares and for 85% of the Funds Institutional Class shares fall below the median total expense of their respective Lipper Expense Group. The Board discussed with PIMCO those Funds and/or classes of Funds that had above median total expenses. The Board noted that several Funds launched in recent years have been unique products that have few, if any peers, and cannot easily be grouped with comparable funds. Upon comparing the Funds total expenses to other funds in the Expense Groups provided by Lipper, the Board found the Funds total expenses to be reasonable. The Board noted that, with few exceptions, PIMCO has maintained Fund fees at the same guaranteed level as implemented when the unified fee was adopted, and has reduced fees on a number of Funds in prior years. The Board also considered PIMCOs proposal to reduce the advisory fee for the PIMCO California Short Duration Municipal Income Fund, PIMCO Municipal Bond Fund, and PIMCO Short Duration Municipal Income Fund and to reduce the supervisory and administrative fee for Institutional Class, Class P and Administrative Class shares of the PIMCO Emerging Markets Bond Fund and PIMCO Emerging Local Bond Fund. The Board further noted that, although the unified fee structure does not have break points, it implicitly reflects economies of scale by fixing the absolute level of Fund fees at competitive levels even if the Funds operating costs rise when assets remain flat or decrease. Based on the information presented by PIMCO, RALLC and Lipper, members of the Board then determined, in the exercise of their business judgment, that the level of the advisory fees and supervisory and administrative fees charged by PIMCO under the Agreements, as well as the total expenses of the Funds, is reasonable. 5. Adviser Costs, Level of Profits and Economies of Scale The Board reviewed information regarding PIMCOs costs of providing services to the Funds as a whole, as well as the resulting level of profits to PIMCO, noting that those results were comparable to the reported results of several publicly held investment management companies. The Board noted that it had also received information regarding the structure and manner in which PIMCOs investment professionals were compensated, and PIMCOs view of the relationship of such compensation to the attraction and retention of quality personnel. The Board considered PIMCOs need to invest in technology, infrastructure and staff to reinforce and offer new services and to accommodate changing regulatory requirements. With respect to potential economies of scale, the Board found that because the unified fee protects shareholders against unanticipated increases in expense ratios due to redemptions, declines in asset values, or increases in the costs of services provided or procured by PIMCO, economies of scale are implicitly recognized in the level of the unified fee (which, together with the advisory fee, serves as a proxy for the Funds overall expense ratios). The Board noted that PIMCO may share the benefits of economies of scale with the Funds and their shareholders by offering enhanced or additional services. The Board also considered that economies of scale may be reflected in the Funds share class structure, including that the Funds offer Institutional Class shares on third-party platforms that impose high investment minimums. The Board reviewed the history of the Funds fee structure, noting that the unified supervisory and administrative services fee was an extension of the initial expense guarantee under which PIMCO had agreed to maintain the expense ratio of each Fund at specified levels for a period of time. The Board noted that PIMCO had taken on the risk that Fund expenses would increase or that assets would decline over time. Finally, the Board considered that during the recent market downturn the Funds unified fee has protected shareholders against an increase in expenses that may accompany declines in assets. The Board concluded that the Funds cost structure was reasonable and that the unified fee structure inherently involves the sharing of economies of scale between PIMCO and the Funds, to the benefit of the Funds shareholders. 6. Ancillary Benefits The Board considered other benefits received by PIMCO and its affiliates as a result of PIMCOs relationship with the Trust, including possible ancillary benefits to PIMCOs institutional investment management business due to the reputation and market penetration of the Funds. The Board also considered that affiliates of PIMCO provide distribution and shareholder services to the Funds and their shareholders, for which they may be compensated under the unified fee, or through distribution fees paid pursuant the Funds Rule 12b-1 plans. The Board reviewed PIMCOs 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 Funds, it has adopted a policy not to accept soft dollars.
122
PIMCO Funds
(Unaudited)
7. Conclusions Based on their review, including their consideration of each of the factors referred to above, the Board concluded that the nature, extent and quality of the services rendered to the Funds by PIMCO and RALLC continued to be excellent and favored the renewal of the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements. The Board concluded that the Agreements, the Asset Allocation Agreements, and the Sub-Advisory Agreements continued to be fair and reasonable to the Funds and their shareholders, that the Funds shareholders received reasonable value in return for the fees paid to PIMCO by the Funds under the Agreements, and the fees paid to RALLC by PIMCO under the Asset Allocation Agreements, and that the renewal of the Agreements and the Asset Allocation Agreements was in the best interests of the Funds and their shareholders.
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General Information
Investment Adviser and Administrator Pacific Investment Management Company LLC 840 Newport Center Drive Newport Beach, CA 92660 Distributor Allianz Global Investors Distributors LLC 1345 Avenue of the Americas New York, NY 10105 Custodian State Street Bank and Trust Company 801 Pennsylvania Kansas City, MO 64105 Transfer Agent Boston Financial Data Services 330 W. 9th Street Kansas City, MO 64105 Legal Counsel Dechert LLP 1775 I Street, N.W. Washington, D.C. 20006 Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP 1100 Walnut Street Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the PIMCO Funds.