PIMCO ETF Trust
Semiannual Report
December 31, 2015
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Actively-Managed Exchange-Traded Funds
PIMCO Diversified Income Active Exchange-Traded Fund
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
PIMCO Low Duration Active Exchange-Traded Fund
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
PIMCO Total Return Active Exchange-Traded Fund
Page | ||||||||
2 | ||||||||
4 | ||||||||
21 | ||||||||
22 | ||||||||
26 | ||||||||
30 | ||||||||
32 | ||||||||
36 | ||||||||
113 | ||||||||
132 | ||||||||
133 | ||||||||
FUND | Fund Summary |
Schedule of Investments |
||||||
7 | 37 | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
8 | 38 | ||||||
9 | 39 | |||||||
10 | 40 | |||||||
11 | 41 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
12 | 42 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
13 | 49 | ||||||
14 | 54 | |||||||
15 | 63 | |||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
16 | 70 | ||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
17 | 81 | ||||||
18 | 86 | |||||||
19 | 95 | |||||||
20 | 98 |
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
Dear Shareholder,
Please find enclosed the Semiannual Report for the PIMCO ETF Trust covering the six-month reporting period ended December 31, 2015. The following pages contain specific details about the investment performance of each Fund and a discussion of the factors that most affected performance over the reporting period.
Highlights of the financial markets during the six-month reporting period include:
n |
Heightened market volatility throughout the reporting period was sparked by a mix of investor concerns including geopolitical developments, monetary policy and the potential for slowing global economic growth, which generally contributed to dampened investor sentiment. In particular, increasing concern over the outlook for Chinese growth sent commodity prices and inflation expectations lower, while also negatively impacting prices of emerging market (“EM”) debt and equities. In addition, the Chinese equity market began a strong decline in June 2015, which prompted the Chinese government to prop-up equity share prices and devalue the Chinese yuan. Volatility in Chinese equity markets continued into January 2016 on renewed concern over slowing Chinese economic growth. Furthermore, rising tension in the Middle East and the continued debt crisis in Greece also contributed to investor unease throughout the reporting period. |
n |
Economic data in the U.S. continued to confirm a healthy economy, particularly labor market indicators such as employment and wages. Still, signs of caution remained, particularly as U.S. consumers appeared to be more selective in their spending and chose to save rather than spend their windfall from lower gas prices. Additionally, consumer sentiment and certain housing indicators softened towards the end of the reporting period, and December 2015 U.S. manufacturing data indicated the fastest contraction in six years. Within the Eurozone, volatility increased despite gradual improvement in the underlying economies. Eurozone economic data also showed generally positive signs of an early recovery but were tempered slightly by sluggish inflation. |
n |
The theme of divergent global central bank monetary policy continued throughout the reporting period. The European Central Bank (“ECB”) expressed its commitment to increase quantitative easing (or large-scale asset purchases), along with the Bank of Japan and the People’s Bank of China who also indicated their intent to accelerate such measures. The Federal Reserve (“Fed”), on the other hand, moved on December 16 to raise the Federal Funds Rate by 0.25% to a new range of 0.25% - 0.50%, marking its first rate hike in nine years. However, the Fed noted that future increases in its target rate would be “gradual” and in-line with their previous projections, which helped to ease investor concerns. Outside of the reporting period on January 27, the Fed opted to leave the Federal Funds Rate unchanged, noting their intent to closely monitor how the global economy and markets influence the U.S. economic outlook. |
n |
U.S. Treasuries, as represented by the Barclays U.S. Treasury Index, returned 0.81% for the reporting period with yields at the front-end of the U.S. Treasury yield curve generally rising, while intermediate and longer-maturity yields declined. The benchmark ten-year U.S. Treasury note yielded 2.27% at the end of the reporting period, down from 2.35% on June 30, 2015. |
n |
U.S. Treasury Inflation-Protected Securities (“TIPS”), as represented by the Barclays U.S. TIPS Index, declined 1.78% over the reporting period. Shorter-maturity nominal interest rates in the U.S. drifted higher over the period, as stronger domestic economic data warranted speculation of near-term Fed policy normalization, which ultimately came in December. The move higher in real interest rates was more pronounced, as steep declines across commodity markets weighed heavily on breakeven inflation levels in the U.S. and caused TIPS to significantly underperform nominal U.S. Treasuries. Outside of the U.S., global inflation-linked bonds (“ILBs”) were similarly impacted by the historic drop in energy and other commodities, with most developed market ILBs posting losses and significantly lagging their nominal counterparts. |
n |
U.S. investment grade credit, as measured by the Barclays U.S. Credit Index, returned 0.01% over the reporting period. Global investment grade credit spreads widened due in part to abundant new supply in the U.S. market over the reporting period. The U.S. short-dated high yield debt market, as measured by the BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Index, declined 6.93% as the asset class was primarily negatively affected by lower commodity prices in the second half of 2015, heightened volatility from macro events such as a lower growth outlook in China, and accelerating retail fund outflows for high yield bond mutual funds. |
2 | PIMCO ETF TRUST |
n |
Tax-exempt municipal bonds, as represented by the Barclays Municipal Bond Index, returned 3.18% over the reporting period. Positive municipal bond returns were driven by constructive supply and demand factors, which outweighed potential effects of interest rate volatility associated the Fed’s move from a zero-bound interest rate policy. Municipal mutual funds recorded $4.5 billion of net inflows over the reporting period, while the pace of primary supply slowed from robust levels observed earlier in the year. Despite negative credit headlines and associated volatility surrounding select large issuers, improved municipal fundamentals have been supported by a sustained U.S expansion, positive government spending trends, and continued domestic housing recovery. |
If you have any questions regarding the PIMCO ETF Trust, please contact your financial adviser, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
Thank you again for the trust you have placed in us. We are privileged to serve you through our ETF offerings.
Sincerely,
Brent R. Harris Chairman of the Board,
February 22, 2016 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 3 |
Important Information About the Funds
4 | PIMCO ETF TRUST |
The following table discloses the inception dates of each Fund and its respective share classes along with each Fund’s diversification status as of period end:
Fund Name | Fund Inception |
Diversification Status | ||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
06/01/09 | Diversified | ||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
10/30/09 | Diversified | ||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
08/20/09 | Diversified | ||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
06/16/11 | Diversified | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
09/20/10 | Diversified | ||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
01/22/14 | Diversified | ||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
11/16/09 | Diversified | ||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
04/30/12 | Non-diversified | ||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
11/30/09 | Diversified | ||||||
PIMCO Low Duration Active Exchange-Traded Fund |
01/22/14 | Diversified | ||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
02/01/10 | Diversified | ||||||
PIMCO Total Return Active Exchange-Traded Fund |
02/29/12 | Diversified |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 5 |
Important Information About the Funds (Cont.)
6 | PIMCO ETF TRUST |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | TUZ |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 99.7% | |||
Short-Term Instruments | 0.3% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (06/01/2009) |
|||||||||||||||
PIMCO 1-3 Year U.S.
Treasury Index Exchange-Traded Fund (Based on Net Asset Value) |
(0.13 | )% | 0.42% | 0.60% | 0.90% | |||||||||||||
PIMCO 1-3 Year U.S.
Treasury Index Exchange-Traded Fund (At Market Price)(1) |
(0.15 | )% | 0.32% | 0.60% | 0.89% | |||||||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury Index± | (0.13 | )% | 0.54% | 0.70% | 1.00% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.16%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-3 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Yields in the 1- to 3-year segment of the U.S. Treasury yield curve increased over the course of the reporting period, negatively impacting the price return of both the Fund and the Underlying Index. Returns due to income positively contributed to performance for both the Fund and the Underlying Index. The net result was negative performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 7 |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | ZROZ |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (10/30/2009) |
|||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) | 6.17% | (4.94 | )% | 12.51% | 9.81% | |||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | 5.35% | (5.93 | )% | 12.30% | 9.65% | |||||||||||||
The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± | 6.02% | (4.41 | )% | 12.62% | 9.92% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.16%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long US Treasury Principal STRIPS IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve declined over the reporting period, positively contributing to performance for both the Fund and the Underlying Index. |
8 | PIMCO ETF TRUST |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | STPZ |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (08/20/2009) |
|||||||||||||||
PIMCO 1-5 Year U.S.
TIPS Index Exchange-Traded Fund (Based on Net Asset Value) |
(1.35 | )% | (0.45 | )% | 0.62% | 1.54% | ||||||||||||
PIMCO 1-5 Year U.S.
TIPS Index Exchange-Traded Fund (At Market Price)(1) |
(1.29 | )% | (0.29 | )% | 0.62% | 1.56% | ||||||||||||
The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± | (1.24 | )% | (0.15 | )% | 0.86% | 1.78% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 1 year and less than 5 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-5 Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Real yields, or the rates of return in excess of expected future inflation, increased across the U.S. Treasury Inflation-Protected Securities yield curve, resulting in negative performance for both the Fund and the Underlying Index. A negative inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities over the reporting period also had a negative impact on performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 9 |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | LTPZ |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/03/2009) |
|||||||||||||||
PIMCO 15+ Year U.S.
TIPS Index Exchange-Traded Fund (Based on Net Asset Value) |
(2.99)% | (8.73)% | 4.19% | 5.20% | ||||||||||||||
PIMCO 15+ Year U.S.
TIPS Index Exchange-Traded Fund (At Market Price)(1) |
(2.75)% | (8.69)% | 4.25% | 5.25% | ||||||||||||||
The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± | (2.98)% | (8.06)% | 4.54% | 5.49% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 15 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.21%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 15+ Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Real yields, or the rates of return in excess of expected future inflation, increased across the U.S. Treasury Inflation-Protected Securities yield curve, resulting in negative performance for both the Fund and the Underlying Index. A negative inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities over the reporting period also had a negative impact on performance for both the Fund and the Underlying Index. |
10 | PIMCO ETF TRUST |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | TIPZ |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 99.1% | |||
Short-Term Instruments | 0.9% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/03/2009) |
|||||||||||||||
PIMCO Broad U.S.
TIPS Index Exchange-Traded Fund (Based on Net Asset Value) |
(1.88)% | (2.12)% | 2.40% | 3.40% | ||||||||||||||
PIMCO Broad U.S.
TIPS Index Exchange-Traded Fund (At Market Price)(1) |
(1.38)% | (1.64)% | 2.55% | 3.50% | ||||||||||||||
The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± | (1.85)% | (1.71)% | 2.66% | 3.63% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities).
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.21%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Broad U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Real yields, or the rates of return in excess of expected future inflation, increased across the U.S. Treasury Inflation-Protected Securities yield curve, resulting in negative performance for both the Fund and the Underlying Index. A negative inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities over the reporting period also had a negative impact on performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 11 |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | HYS |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Corporate Bonds & Notes | 91.0% | |||
Short-Term Instruments | 8.8% | |||
U.S. Treasury Obligations | 0.2% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||
6 Months* | 1 Year | Fund Inception (06/16/2011) |
||||||||||||
PIMCO 0-5 Year High
Yield Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) |
(5.92)% | (4.71)% | 3.37% | |||||||||||
PIMCO 0-5 Year High
Yield Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) |
(5.83)% | (4.60)% | 3.28% | |||||||||||
BofA Merrill Lynch 0-5 Year US High Yield Constrained Index± | (6.93)% | (4.77)% | 3.71% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM tracks the performance of short-term U.S. dollar denominated below investment grade corporate debt issued in the U.S. domestic market with less than five years remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million, issued publicly. Allocations to an individual issuer will not exceed 2%.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Yields in the short-term segment of the U.S. high yield market increased over the reporting period, which negatively impacted performance. Coupon income positively contributed to performance for both the Fund and the Underlying Index. The net result was negative overall performance for both the Fund and the Underlying Index. |
12 | PIMCO ETF TRUST |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | CORP |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Industrials | 43.7% | |||
Banking & Finance | 37.9% | |||
Utilities | 14.5% | |||
U.S. Treasury Obligations | 2.9% | |||
Short-Term Instruments | 1.0% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/20/2010) |
|||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | 0.20 | % | (0.46)% | 4.33% | 4.04% | |||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 0.10 | % | (0.47)% | 4.36% | 4.04% | |||||||||||||
BofA Merrill Lynch US Corporate IndexSM± | (0.17 | )% | (0.63)% | 4.55% | 4.21% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Corporate IndexSM is an unmanaged index comprised of U.S. dollar denominated investment grade, fixed rate corporate debt securities publicly issued in the U.S. domestic market with at least one year remaining term to final maturity and at least $250 million outstanding.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch US Corporate IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
An increase in yields and wider option-adjusted spreads for investment grade corporate bonds combined to negatively impact price returns for both the Fund and the Underlying Index over the reporting period. |
» |
Returns due to income positively contributed to performance for both the Fund and the Underlying Index, resulting in positive overall performance for the Fund. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 13 |
PIMCO Diversified Income Active Exchange-Traded Fund
Ticker Symbol | DI |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Corporate Bonds & Notes | 64.5% | |||
Sovereign Issues | 12.1% | |||
Short-Term Instruments | 8.5% | |||
U.S. Government Agencies | 5.5% | |||
Municipal Bonds & Notes | 3.1% | |||
Other | 6.3% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (01/22/2014) |
||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund (Based on Net Asset Value) |
(1.85)% | 0.27 | % | 0.90% | ||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund (At Market Price)(1) |
(2.53)% | (0.53 | )% | 1.00% | ||||||||||
Barclays Global Credit Hedged USD Index± | (0.36)% | (0.20 | )% | 2.76% | ||||||||||
1/3 each — Barclays Global Aggregate Credit ex Emerging Markets, USD Hedged; BofA Merrill Lynch BB-B Rated Developed Markets High Yield Constrained Index, USD Hedged; and JPMorgan EMBI Global, USD Hedged±± | (1.30)% | (0.11 | )% | 2.46% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Global Credit Hedged USD contains investment grade and high yield credit securities from the Multiverse represented in U.S. Dollars on a hedged basis, (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield).
±± The Barclays Global Aggregate Credit ex Emerging Markets (USD Hedged) provides a broad-based measure of the global developed markets investment-grade fixed income markets. The BofA Merrill Lynch BB-B Rated Developed Markets High Yield Constrained Index (USD Hedged) tracks the performance of below investment grade bonds of corporate issuers domiciled in developed market countries rated BB1 through B3, based on an average of Moody’s, S&P and Fitch. Qualifying bonds are capitalization-weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. The index is rebalanced on the last calendar day of the month. The JPMorgan EMBI Global (USD Hedged) tracks total returns for U.S. 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.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.85%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Diversified Income Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
The Fund’s high yield exposure was the most significant detractor from absolute performance, as high yield spreads widened during the reporting period. |
» |
The Fund’s exposure to Brazil detracted from performance, as spreads of Brazilian bonds widened during the reporting period. |
» |
The Fund’s exposure to Greece contributed to performance, as Greece yields fell during the reporting period. |
» |
The Fund’s exposure to municipal bonds contributed to performance, as this asset class posted positive returns during the reporting period. |
14 | PIMCO ETF TRUST |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
Ticker Symbol | MINT |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Corporate Bonds & Notes | 73.0% | |||
Asset-Backed Securities | 8.4% | |||
Non-Agency
Mortgage- Backed Securities |
7.0% | |||
Short-Term Instruments | 5.4% | |||
Sovereign Issues | 3.4% | |||
Other | 2.8% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (11/16/2009) |
|||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund (Based on Net Asset Value) | 0.04% | 0.52% | 0.93% | 1.04% | ||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund (At Market Price)(1) |
0.00% | 0.44% | 0.91% | 1.03% | ||||||||||||||
Citi 3-Month Treasury Bill Index± | 0.02% | 0.03% | 0.05% | 0.07% | ** |
All Fund returns are net of fees and expenses.
* Cumulative return.
** Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Citigroup 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.36%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Enhanced Short Maturity Active Exchange-Traded Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The Fund primarily invests in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. |
Fund Insights
» |
Exposure to investment grade credit detracted from relative performance as these securities generally underperformed like-duration Treasuries during the reporting period. |
» |
Exposure to securities with longer maturities relative to the Citigroup 3-Month U.S. Treasury Bill Index, the Fund’s benchmark index, detracted from performance as U.S. yields generally increased during the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 15 |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
Ticker Symbol | ILB |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
United States | 38.3% | |||
Mexico | 11.1% | |||
United Kingdom | 7.9% | |||
Italy | 7.8% | |||
Japan | 6.1% | |||
Short-Term Instruments | 0.6% | |||
Other | 28.2% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||
6 Months* | 1 Year | Fund Inception (04/30/2012) |
||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund (Based on Net Asset Value) | (7.52)% | (10.90)% | (4.08)% | |||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund (At Market Price)(1) | (7.88)% | (10.94)% | (4.24)% | |||||||||||
Barclays Universal Government Inflation-Linked Bond Index± | (5.27)% | (7.20)% | (1.36)% | |||||||||||
PIMCO Global
Advantage Inflation-Linked Bond Index (USD Partially Hedged)±± |
(5.96)% | (7.74)% | (1.47)% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The Barclays Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets. The index includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea. The index is market capitalization weighted and rebalances monthly.
±± PIMCO Global Advantage Inflation-Linked Bond Index® (USD Unhedged) (NY Close). The PIMCO GLADI ILB represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the principals of the PIMCO Global Advantage Indices when applicable to the global inflation-linked bond market.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.67%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund seeks total return which exceeds that of its benchmark indexes, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in inflation-linked bonds that are economically tied to at least three developed and emerging market countries (one of which may be the United States), which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. Inflation-linked bonds are fixed income securities that are structured to provide protection against inflation. |
Fund Insights
» |
An underweight exposure to Brazilian inflation-linked bonds (“ILBs”) benefited relative performance, as real interest rates in Brazil rose over the reporting period. |
» |
An overweight exposure to Italian ILBs benefited relative performance, as Italian ILBs posted positive returns over the reporting period. |
» |
Exposure to global ILBs detracted from absolute performance as global ILBs, as measured by the Barclays Universal Government Inflation-Linked Bond Index, the Fund’s primary benchmark index, generally posted negative returns over the reporting period. |
» |
An overweight exposure to U.S. breakeven inflation rates detracted from relative performance, as nominal Treasuries outperformed U.S. Treasury Inflation-Protected Securities over the reporting period. |
» |
Exposure to Brazilian nominal interest rates detracted from relative performance, as interest rates in Brazil rose over the reporting period. |
» |
Exposure to South African nominal interest rates detracted from relative performance, as interest rates in South Africa rose over the reporting period. |
16 | PIMCO ETF TRUST |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
Ticker Symbol | MUNI |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
New York | 14.3% | |||
Illinois | 10.2% | |||
California | 9.2% | |||
Ohio | 8.1% | |||
Texas | 7.8% | |||
Pennsylvania | 5.6% | |||
Other | 44.8% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (11/30/2009) |
|||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Based on Net Asset Value) | 2.92% | 2.59% | 3.59% | 3.50% | ||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund (At Market Price)(1) | 3.42% | 2.80% | 3.67% | 3.55% | ||||||||||||||
Barclays 1-15 Year Municipal Bond Index± | 2.65% | 2.83% | 4.28% | 4.00% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. It is an unmanaged index representative of the tax exempt bond market.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
Fund Insights
» |
An underweight duration (or sensitivity to changes in market interest rates) position during the majority of the reporting period detracted from performance, as municipal bond yields generally moved lower in intermediate- to long-maturities during the applicable portion of the reporting period. |
» |
An overweight to the revenue-backed sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the education sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the industrial revenue sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the water & sewer utility sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
Security selection within the electric utility sector detracted from performance, as this sector underperformed the general municipal bond market over the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 17 |
PIMCO Low Duration Active Exchange-Traded Fund
Ticker Symbol | LDUR |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Corporate Bonds & Notes | 73.5% | |||
U.S. Treasury Obligations | 10.5% | |||
Asset-Backed Securities | 6.6% | |||
Non-Agency Mortgage-Backed Securities | 4.0% | |||
Short-term Instruments | 0.8% | |||
Other | 4.6% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 |
||||||||||||||
6 Months* | 1 Year | Fund Inception (01/22/2014) |
||||||||||||
PIMCO Low Duration
Exchange-Traded Fund (Based on Net Asset Value) |
0.02 | % | 2.04% | 2.02% | ||||||||||
PIMCO Low Duration
Exchange-Traded Fund (At Market Price)(1) |
0.08 | % | 2.13% | 2.04% | ||||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury Index± | (0.13 | )% | 0.54% | 0.60% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.57%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Low Duration Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
Exposure to investment grade corporates detracted from relative performance, as these securities generally underperformed like-duration Treasuries during the reporting period. |
» |
Exposure to the U.S. dollar-denominated emerging market bonds detracted from performance, as these securities generally posted negative total returns during the reporting period. |
» |
Short exposure to the euro benefited performance as the currency depreciated relative to the U.S. dollar during the reporting period. |
» |
An underweight to the short end of the U.S. Treasury curve relative to the BofA Merrill Lynch 1-3 Year U.S. Treasury Index, the Fund’s benchmark index, positively contributed to performance, as yields in the short end of the curve generally rose over the reporting period. |
18 | PIMCO ETF TRUST |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
Ticker Symbol | SMMU |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
Texas | 11.5% | |||
Florida | 10.4% | |||
New York | 8.6% | |||
U.S. Treasury Obligations | 7.6% | |||
Ohio | 7.4% | |||
Illinois | 7.1% | |||
Pennsylvania | 5.6% | |||
Other | 41.8% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (02/01/2010) |
|||||||||||||||
PIMCO Short Term
Municipal Bond Exchange-Traded Fund (Based on Net Asset Value) |
0.63% | 0.89% | 0.99% | 1.01% | ||||||||||||||
PIMCO Short Term
Municipal Bond Exchange-Traded Fund (At Market Price)(1) |
0.79% | 1.15% | 1.06% | 1.03% | ||||||||||||||
Barclays 1 Year Municipal Bond Index± | 0.39% | 0.61% | 0.88% | 0.91% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1 Year Municipal Bond Index is an unmanaged index comprised of national municipal bond issues having a maturity of at least one year and less than two years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Short Term Municipal Bond Active Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
Fund Insights
» |
An overweight to the front end of the municipal yield curve detracted from performance, as short end municipal yields rose during the reporting period. |
» |
An overweight to the revenue-backed sector positively contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the industrial revenue sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the transportation sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the health care sector contributed to performance, as this segment outperformed the general municipal bond market over the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 19 |
PIMCO Total Return Active Exchange-Traded Fund
Ticker Symbol | BOND |
Cumulative Returns Through December 31, 2015
Allocation Breakdown†
U.S. Treasury Obligations | 30.3% | |||
U.S. Government Agencies | 26.7% | |||
Corporate Bonds & Notes | 23.4% | |||
Sovereign Issues | 8.2% | |||
Short-Term Instruments | 3.2% | |||
Other | 8.2% |
† |
% of Investments, at value as of 12/31/15. Financial derivative instruments, if any, are excluded. |
Average Annual Total Return for the period ended December 31, 2015 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (02/29/2012) |
||||||||||||
PIMCO Total Return Exchange-Traded Fund (Based on Net Asset Value) |
0.22% | 0.73% | 4.61% | |||||||||||
PIMCO Total Return Exchange-Traded Fund (At Market Price)(1) |
0.25% | 1.16% | 4.67% | |||||||||||
Barclays U.S. Aggregate Index± | 0.65% | 0.55% | 1.99% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.57%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Investment Objective and Strategy Overview
» |
The PIMCO Total Return Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
Fund Insights
» |
An underweight to investment grade corporate spread duration benefited performance as investment grade corporate spreads widened versus U.S. Treasuries during the reporting period. |
» |
Duration exposure to Italy positively contributed to performance, as Italian interest rates declined during the reporting period. |
» |
Selection among agency mortgage-backed securities detracted from performance, as spreads widened during the reporting period. |
» |
Positions in U.S. Treasury Inflation-Protected Securities detracted from performance, as inflation expectations declined during the reporting period. |
» |
Exposure to U.S. government-backed FFELP student loan asset-backed securities detracted from performance, as ratings for select issues were downgraded and prices declined during the period. |
20 | PIMCO ETF TRUST |
Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from July 1, 2015 to December 31, 2015 unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example For Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||
Beginning Account Value (07/01/15) |
Ending Account Value (12/31/15) |
Expenses Paid During Period* |
Beginning Account Value (07/01/15) |
Ending Account Value (12/31/15) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 1,000.00 | $ | 998.70 | $ | 0.77 | $ | 1,000.00 | $ | 1,024.78 | $ | 0.78 | 0.15 | % | ||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,061.70 | 0.79 | 1,000.00 | 1,024.78 | 0.78 | 0.15 | |||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 986.50 | 1.02 | 1,000.00 | 1,024.52 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 970.10 | 1.01 | 1,000.00 | 1,024.52 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 981.20 | 1.01 | 1,000.00 | 1,024.52 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 940.80 | 2.73 | 1,000.00 | 1,022.74 | 2.84 | 0.55 | |||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 1,002.00 | 1.02 | 1,000.00 | 1,024.52 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
1,000.00 | 981.50 | 4.35 | 1,000.00 | 1,021.15 | 4.44 | 0.86 | |||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
1,000.00 | 1,000.40 | 1.84 | 1,000.00 | 1,023.71 | 1.86 | 0.36 | |||||||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1,000.00 | 924.80 | 3.79 | 1,000.00 | 1,021.61 | 3.98 | 0.77 | |||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 1,029.20 | 1.81 | 1,000.00 | 1,023.76 | 1.81 | 0.35 | |||||||||||||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
1,000.00 | 1,000.20 | 3.01 | 1,000.00 | 1,022.53 | 3.05 | 0.59 | |||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 1,006.30 | 1.79 | 1,000.00 | 1,023.76 | 1.81 | 0.35 | |||||||||||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
1,000.00 | 1,002.20 | 2.86 | 1,000.00 | 1,022.69 | 2.89 | 0.56 |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 187/366 (to reflect the one-half year period).
** Net Annualized Expense Ratio is reflective of any applicable contractual fee waivers and/or expense reimbursements or voluntary fee waivers. Details regarding fee waivers can be found in Note 8 in the Notes to Financial Statements.
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 21 |
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (Loss) (a) |
Net Realized/ Unrealized Gain (Loss) |
Total from Investment Operations |
Dividends from Net Investment Income (b) |
Distributions from Net Realized Capital Gains (b) |
||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 50.99 | $ | 0.16 | $ | (0.23 | ) | $ | (0.07 | ) | $ | (0.16 | ) | $ | (0.02 | ) | ||||||||
06/30/2015 |
50.94 | 0.25 | 0.11 | 0.36 | (0.25 | ) | (0.06 | ) | ||||||||||||||||
06/30/2014 |
50.78 | 0.16 | 0.19 | 0.35 | (0.16 | ) | (0.03 | ) | ||||||||||||||||
06/30/2013 |
50.98 | 0.17 | (0.07 | ) | 0.10 | (0.16 | ) | (0.14 | ) | |||||||||||||||
06/30/2012 |
51.00 | 0.29 | 0.08 | 0.37 | (0.29 | ) | (0.10 | ) | ||||||||||||||||
06/30/2011 |
50.76 | 0.40 | 0.24 | 0.64 | (0.40 | ) | 0.00 | |||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 105.39 | $ | 1.62 | $ | 4.89 | $ | 6.51 | $ | (1.66 | ) | $ | 0.00 | |||||||||||
06/30/2015 |
99.87 | 3.18 | 5.62 | 8.80 | (3.28 | ) | 0.00 | |||||||||||||||||
06/30/2014 |
94.57 | 3.26 | 5.46 | 8.72 | (3.42 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
116.38 | 3.20 | (21.44 | ) | (18.24 | ) | (3.57 | ) | 0.00 | |||||||||||||||
06/30/2012 |
70.18 | 3.27 | 46.15 | 49.42 | (3.22 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
83.02 | 3.25 | (12.86 | ) | (9.61 | ) | (3.23 | ) | 0.00 | |||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 52.18 | $ | 0.06 | $ | (0.76 | ) | $ | (0.70 | ) | $ | (0.25 | ) | $ | 0.00 | |||||||||
06/30/2015 |
53.58 | (0.67 | ) | (0.54 | ) | (1.21 | ) | (0.02 | ) | 0.00 | ||||||||||||||
06/30/2014 |
52.69 | 0.34 | 0.86 | 1.20 | (0.31 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
53.39 | 0.02 | (0.62 | ) | (0.60 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||||
06/30/2012 |
53.30 | 0.81 | 0.10 | 0.91 | (0.75 | ) | (0.07 | ) | ||||||||||||||||
06/30/2011 |
51.79 | 1.86 | 1.08 | 2.94 | (1.42 | ) | (0.01 | ) | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 62.95 | $ | 0.44 | $ | (2.31 | ) | $ | (1.87 | ) | $ | (0.43 | ) | $ | 0.00 | |||||||||
06/30/2015 |
65.02 | 0.21 | (1.83 | ) | (1.62 | ) | (0.45 | ) | 0.00 | |||||||||||||||
06/30/2014 |
61.05 | 1.09 | 4.23 | 5.32 | (1.35 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
69.22 | 0.39 | (8.19 | ) | (7.80 | ) | (0.37 | ) | 0.00 | |||||||||||||||
06/30/2012 |
56.04 | 1.65 | 13.11 | 14.76 | (1.58 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
54.17 | 2.63 | 1.41 | 4.04 | (2.17 | ) | 0.00 | |||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 56.73 | $ | 0.21 | $ | (1.27 | ) | $ | (1.06 | ) | $ | (0.31 | ) | $ | 0.00 | |||||||||
06/30/2015 |
58.14 | 0.00 | (1.17 | ) | (1.17 | ) | (0.09 | ) | 0.00 | |||||||||||||||
06/30/2014 |
56.40 | 0.71 | 1.81 | 2.52 | (0.78 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
59.93 | 0.44 | (3.66 | ) | (3.22 | ) | (0.31 | ) | (0.00 | )^ | ||||||||||||||
06/30/2012 |
54.58 | 1.40 | 5.23 | 6.63 | (1.28 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
52.95 | 2.18 | 1.67 | 3.85 | (1.91 | ) | (0.31 | ) | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate
Bond Index |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 100.37 | $ | 2.30 | $ | (8.17 | ) | $ | (5.87 | ) | $ | (2.48 | ) | $ | 0.00 | |||||||||
06/30/2015 |
106.76 | 4.06 | (4.96 | ) | (0.90 | ) | (4.53 | ) | (0.96 | ) | ||||||||||||||
06/30/2014 |
102.54 | 4.23 | 4.83 | 9.06 | (4.59 | ) | (0.25 | ) | ||||||||||||||||
06/30/2013 |
99.62 | 4.70 | 3.37 | 8.07 | (5.15 | ) | 0.00 | |||||||||||||||||
06/30/2012 |
100.29 | 6.06 | (1.13 | ) | 4.93 | (5.60 | ) | 0.00 | ||||||||||||||||
06/16/2011 - 06/30/2011 |
100.00 | 0.18 | 0.27 | 0.45 | (0.16 | ) | 0.00 | |||||||||||||||||
PIMCO Investment Grade Corporate Bond
Index |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 100.50 | $ | 1.59 | $ | (1.38 | ) | $ | 0.21 | $ | (1.56 | ) | $ | (0.04 | ) | |||||||||
06/30/2015 |
103.21 | 3.14 | (2.35 | ) | 0.79 | (3.17 | ) | (0.33 | ) | |||||||||||||||
06/30/2014 |
102.11 | 3.42 | 4.64 | 8.06 | (3.28 | ) | (3.68 | ) | ||||||||||||||||
06/30/2013 |
105.46 | 3.40 | (2.29 | ) | 1.11 | (3.71 | ) | (0.75 | ) | |||||||||||||||
06/30/2012 |
99.76 | 3.44 | 5.61 | 9.05 | (3.35 | ) | 0.00 | |||||||||||||||||
09/20/2010 - 06/30/2011 |
100.00 | 2.60 | (0.23 | ) | 2.37 | (2.56 | ) | (0.05 | ) | |||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 48.31 | $ | 0.94 | $ | (1.82 | ) | $ | (0.88 | ) | $ | (1.40 | ) | $ | 0.00 | |||||||||
06/30/2015 |
51.98 | 2.00 | (2.81 | ) | (0.81 | ) | (2.48 | ) | (0.38 | ) | ||||||||||||||
01/22/2014 - 06/30/2014 |
50.00 | 0.77 | 1.87 | 2.64 | (0.66 | ) | 0.00 |
22 | PIMCO ETF TRUST | See Accompanying Notes |
Tax
Basis Return of Capital (b) |
Total Distributions |
Net Asset Value End of Year or Period |
Total Return |
Net Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Waivers |
Ratio of Net Investment Income (Loss) to Average Net Assets |
Portfolio Turnover Rate (c) |
||||||||||||||||||||||||||
$ | 0.00 | $ | (0.18 | ) | $ | 50.74 | (0.13 | )% | $ | 132,019 | 0.15 | %* | 0.15 | %* | 0.61 | %* | 31 | % | ||||||||||||||||
0.00 | (0.31 | ) | 50.99 | 0.70 | 107,175 | 0.14 | 0.16 | 0.49 | 60 | |||||||||||||||||||||||||
0.00 | (0.19 | ) | 50.94 | 0.68 | 127,442 | 0.10 | 0.16 | 0.32 | 61 | |||||||||||||||||||||||||
0.00 | (0.30 | ) | 50.78 | 0.20 | 129,595 | 0.09 | 0.15 | 0.33 | 15 | |||||||||||||||||||||||||
0.00 | (0.39 | ) | 50.98 | 0.74 | 132,657 | 0.09 | 0.15 | 0.57 | 8 | |||||||||||||||||||||||||
0.00 | (0.40 | ) | 51.00 | 1.26 | 107,206 | 0.09 | 0.15 | 0.78 | 18 | |||||||||||||||||||||||||
$ | 0.00 | $ | (1.66 | ) | $ | 110.24 | 6.17 | % | $ | 156,540 | 0.15 | %* | 0.15 | %* | 2.83 | %* | 10 | % | ||||||||||||||||
0.00 | (3.28 | ) | 105.39 | 8.64 | 96,960 | 0.16 | 0.16 | 2.75 | 18 | |||||||||||||||||||||||||
0.00 | (3.42 | ) | 99.87 | 9.70 | 76,902 | 0.16 | 0.16 | 3.61 | 18 | |||||||||||||||||||||||||
0.00 | (3.57 | ) | 94.57 | (15.97 | ) | 82,276 | 0.15 | 0.15 | 2.89 | 8 | ||||||||||||||||||||||||
0.00 | (3.22 | ) | 116.38 | 70.82 | 169,915 | 0.15 | 0.15 | 3.15 | 11 | |||||||||||||||||||||||||
0.00 | (3.23 | ) | 70.18 | (11.69 | ) | 40,705 | 0.15 | 0.15 | 4.41 | 50 | ||||||||||||||||||||||||
$ | 0.00 | $ | (0.25 | ) | $ | 51.23 | (1.35 | )% | $ | 1,069,194 | 0.20 | %* | 0.20 | %* | 0.22 | %* | 20 | % | ||||||||||||||||
(0.17 | ) | (0.19 | ) | 52.18 | (2.27 | ) | 1,182,866 | 0.20 | 0.20 | (1.28 | ) | 31 | ||||||||||||||||||||||
0.00 | (0.31 | ) | 53.58 | 2.28 | 1,337,875 | 0.20 | 0.20 | 0.63 | 33 | |||||||||||||||||||||||||
0.00 | (0.10 | ) | 52.69 | (1.13 | ) | 1,041,609 | 0.20 | 0.20 | 0.04 | 11 | ||||||||||||||||||||||||
0.00 | (0.82 | ) | 53.39 | 1.71 | 999,496 | 0.20 | 0.20 | 1.51 | 31 | |||||||||||||||||||||||||
0.00 | (1.43 | ) | 53.30 | 5.70 | 1,184,369 | 0.20 | 0.21 | 3.50 | 17 | |||||||||||||||||||||||||
$ | 0.00 | $ | (0.43 | ) | $ | 60.65 | (2.99 | )% | $ | 98,245 | 0.20 | %* | 0.20 | %* | 1.38 | %* | 4 | % | ||||||||||||||||
0.00 | (0.45 | ) | 62.95 | (2.52 | ) | 92,539 | 0.21 | 0.21 | 0.31 | 14 | ||||||||||||||||||||||||
0.00 | (1.35 | ) | 65.02 | 8.83 | 69,570 | 0.21 | 0.21 | 1.81 | 47 | |||||||||||||||||||||||||
0.00 | (0.37 | ) | 61.05 | (11.33 | ) | 105,004 | 0.20 | 0.20 | 0.56 | 16 | ||||||||||||||||||||||||
0.00 | (1.58 | ) | 69.22 | 26.53 | 375,182 | 0.20 | 0.20 | 2.53 | 11 | |||||||||||||||||||||||||
0.00 | (2.17 | ) | 56.04 | 7.58 | 258,901 | 0.20 | 0.20 | 4.76 | 38 | |||||||||||||||||||||||||
$ | 0.00 | $ | (0.31 | ) | $ | 55.36 | (1.88 | )% | $ | 73,630 | 0.20 | %* | 0.20 | %* | 0.73 | %* | 3 | % | ||||||||||||||||
(0.15 | ) | (0.24 | ) | 56.73 | (2.02 | ) | 92,473 | 0.21 | 0.21 | (0.01 | ) | 23 | ||||||||||||||||||||||
0.00 | (0.78 | ) | 58.14 | 4.50 | 106,402 | 0.21 | 0.21 | 1.26 | 19 | |||||||||||||||||||||||||
0.00 | (0.31 | ) | 56.40 | (5.41 | ) | 72,186 | 0.20 | 0.20 | 0.72 | 11 | ||||||||||||||||||||||||
0.00 | (1.28 | ) | 59.93 | 12.21 | 109,678 | 0.20 | 0.20 | 2.38 | 6 | |||||||||||||||||||||||||
0.00 | (2.22 | ) | 54.58 | 7.39 | 56,219 | 0.20 | 0.21 | 4.04 | 20 | |||||||||||||||||||||||||
$ | 0.00 | $ | (2.48 | ) | $ | 92.02 | (5.92 | )% | $ | 1,886,336 | 0.55 | %* | 0.55 | %* | 4.65 | %* | 15 | % | ||||||||||||||||
0.00 | (5.49 | ) | 100.37 | (0.82 | ) | 2,805,241 | 0.55 | 0.55 | 3.92 | 28 | ||||||||||||||||||||||||
0.00 | (4.84 | ) | 106.76 | 8.98 | 5,119,202 | 0.55 | 0.55 | 3.98 | 28 | |||||||||||||||||||||||||
0.00 | (5.15 | ) | 102.54 | 8.21 | 2,307,178 | 0.55 | 0.55 | 4.52 | 33 | |||||||||||||||||||||||||
0.00 | (5.60 | ) | 99.62 | 5.16 | 323,771 | 0.55 | 0.55 | 6.14 | 33 | |||||||||||||||||||||||||
0.00 | (0.16 | ) | 100.29 | 0.45 | 25,073 | 0.55 | * | 7.30 | * | 4.65 | * | 0 | ||||||||||||||||||||||
$ | 0.00 | $ | (1.60 | ) | $ | 99.11 | 0.20 | % | $ | 250,753 | 0.20 | %* | 0.20 | %* | 3.09 | %* | 4 | % | ||||||||||||||||
0.00 | (3.50 | ) | 100.50 | 0.74 | 244,203 | 0.20 | 0.20 | 3.04 | 12 | |||||||||||||||||||||||||
0.00 | (6.96 | ) | 103.21 | 8.24 | 199,196 | 0.20 | 0.20 | 3.36 | 17 | |||||||||||||||||||||||||
0.00 | (4.46 | ) | 102.11 | 0.92 | 140,916 | 0.20 | 0.20 | 3.15 | 34 | |||||||||||||||||||||||||
0.00 | (3.35 | ) | 105.46 | 9.20 | 256,267 | 0.20 | 0.20 | 3.32 | 5 | |||||||||||||||||||||||||
0.00 | (2.61 | ) | 99.76 | 2.40 | 72,821 | 0.20 | * | 0.34 | * | 3.36 | * | 69 | ||||||||||||||||||||||
$ | 0.00 | $ | (1.40 | ) | $ | 46.03 | (1.85 | )% | $ | 48,791 | 0.86 | %*† | 0.86 | %*† | 3.86 | %* | 69 | % | ||||||||||||||||
0.00 | (2.86 | ) | 48.31 | (1.55 | ) | 56,043 | 0.85 | † | 0.85 | † | 4.01 | 44 | ||||||||||||||||||||||
0.00 | (0.66 | ) | 51.98 | 5.30 | 44,706 | 0.85 | * | 1.04 | * | 3.45 | * | 61 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 23 |
Financial Highlights (Cont.)
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (Loss) (a) |
Net Realized/ Unrealized Gain (Loss) |
Total from Investment Operations |
Dividends from Net Investment Income (b) |
Distributions from Net Realized Capital Gains (b) |
||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 101.15 | $ | 0.45 | $ | (0.41 | ) | $ | 0.04 | $ | (0.50 | ) | $ | (0.02 | ) | |||||||||
06/30/2015 |
101.45 | 0.62 | (0.09 | ) | 0.53 | (0.74 | ) | (0.09 | ) | |||||||||||||||
06/30/2014 |
101.26 | 0.67 | 0.36 | 1.03 | (0.69 | ) | (0.15 | ) | ||||||||||||||||
06/30/2013 |
101.08 | 0.88 | 0.22 | 1.10 | (0.92 | ) | 0.00 | |||||||||||||||||
06/30/2012 |
101.04 | 1.06 | 0.07 | 1.13 | (1.03 | ) | (0.06 | ) | ||||||||||||||||
06/30/2011 |
100.34 | 0.86 | 1.03 | 1.89 | (0.90 | ) | (0.29 | ) | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 43.51 | $ | 0.86 | $ | (4.13 | ) | $ | (3.27 | ) | $ | 0.00 | $ | 0.00 | ||||||||||
06/30/2015 |
51.66 | 1.32 | (7.35 | ) | (6.03 | ) | (2.12 | ) | 0.00 | |||||||||||||||
06/30/2014 |
48.55 | 1.94 | 1.71 | 3.65 | (0.35 | ) | (0.19 | ) | ||||||||||||||||
06/30/2013 |
50.28 | 1.34 | (2.57 | ) | (1.23 | ) | (0.34 | ) | (0.16 | ) | ||||||||||||||
04/30/2012 - 06/30/2012 |
50.00 | 0.30 | (0.02 | ) | 0.28 | 0.00 | 0.00 | |||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 52.84 | $ | 0.63 | $ | 0.91 | $ | 1.54 | $ | (0.61 | ) | $ | 0.00 | |||||||||||
06/30/2015 |
53.17 | 1.12 | (0.34 | ) | 0.78 | (1.11 | ) | 0.00 | ||||||||||||||||
06/30/2014 |
52.06 | 1.05 | 1.13 | 2.18 | (1.07 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
53.70 | 1.23 | (1.60 | ) | (0.37 | ) | (1.20 | ) | (0.07 | ) | ||||||||||||||
06/30/2012 |
51.44 | 1.22 | 2.29 | 3.51 | (1.19 | ) | (0.06 | ) | ||||||||||||||||
06/30/2011 |
50.63 | 1.21 | 0.90 | 2.11 | (1.21 | ) | (0.09 | ) | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 101.62 | $ | 1.01 | $ | (0.99 | ) | $ | 0.02 | $ | (1.49 | ) | $ | (0.82 | ) | |||||||||
06/30/2015 |
101.27 | 1.32 | 1.05 | 2.37 | (1.77 | ) | (0.25 | ) | ||||||||||||||||
01/22/2014 - 06/30/2014 |
100.00 | 0.30 | 1.22 | 1.52 | (0.25 | ) | 0.00 | |||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 50.24 | $ | 0.24 | $ | 0.07 | $ | 0.31 | $ | (0.22 | ) | $ | 0.00 | |||||||||||
06/30/2015 |
50.47 | 0.38 | (0.19 | ) | 0.19 | (0.42 | ) | 0.00 | ||||||||||||||||
06/30/2014 |
50.14 | 0.26 | 0.29 | 0.55 | (0.22 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
50.54 | 0.40 | (0.33 | ) | 0.07 | (0.47 | ) | (0.00 | )^ | |||||||||||||||
06/30/2012 |
50.36 | 0.48 | 0.20 | 0.68 | (0.47 | ) | (0.03 | ) | ||||||||||||||||
06/30/2011 |
50.13 | 0.61 | 0.22 | 0.83 | (0.60 | ) | 0.00 | |||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2015 - 12/31/2015+ |
$ | 106.69 | $ | 1.54 | $ | (1.30 | ) | $ | 0.24 | $ | (2.98 | ) | $ | 0.00 | ||||||||||
06/30/2015 |
108.85 | 2.83 | 0.42 | 3.25 | (5.41 | ) | 0.00 | |||||||||||||||||
06/30/2014 |
105.66 | 2.38 | 2.94 | 5.32 | (1.69 | ) | (0.44 | ) | ||||||||||||||||
06/30/2013 |
105.55 | 2.46 | 0.87 | 3.33 | (2.34 | ) | (0.88 | ) | ||||||||||||||||
02/29/2012 - 06/30/2012 |
100.00 | 1.00 | 5.26 | 6.26 | (0.71 | ) | 0.00 |
+ | Unaudited |
* | Annualized |
^ | Reflects an amount rounding to less than one cent. |
† | Reflects an interest expense rounding to less than 0.01% |
(a) | Per share amounts based on average number of shares outstanding during the year or period. |
(b) | Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information. |
(c) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions. |
(d) | Ratio of expenses to average net assets excluding interest expense was 0.35% |
(e) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.61%. |
(f) | Ratio of expenses to average net assets excluding interest expense was 0.60%. |
(g) | Ratio of expenses to average net assets excluding waivers and interest expense was 2.13%. |
(h) | Ratio of expenses to average net assets excluding interest expense was 0.50% |
(i) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.56%. |
(j) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.55% |
(k) | Ratio of expenses to average net assets excluding interest expense was 0.55% |
24 | PIMCO ETF TRUST | See Accompanying Notes |
Tax
Basis Return of Capital (b) |
Total Distributions |
Net Asset Value End of Year or Period |
Total Return |
Net Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Waivers |
Ratio of Net Investment Income (Loss) to Average Net Assets |
Portfolio Turnover Rate (c) |
||||||||||||||||||||||||||
$ | 0.00 | $ | (0.52 | ) | $ | 100.67 | 0.04 | % | $ | 4,104,304 | 0.36 | %*(d) | 0.36 | %*(d) | 0.88 | %* | 49 | % | ||||||||||||||||
0.00 | (0.83 | ) | 101.15 | 0.53 | 3,536,050 | 0.36 | (d) | 0.36 | (d) | 0.61 | 193 | |||||||||||||||||||||||
0.00 | (0.84 | ) | 101.45 | 1.02 | 3,773,896 | 0.35 | † | 0.35 | † | 0.66 | 188 | |||||||||||||||||||||||
0.00 | (0.92 | ) | 101.26 | 1.09 | 3,752,615 | 0.35 | 0.35 | 0.87 | 100 | |||||||||||||||||||||||||
0.00 | (1.09 | ) | 101.08 | 1.13 | 1,715,342 | 0.35 | 0.35 | 1.05 | 229 | |||||||||||||||||||||||||
0.00 | (1.19 | ) | 101.04 | 1.89 | 1,233,727 | 0.35 | 0.36 | 0.85 | 280 | |||||||||||||||||||||||||
$ | 0.00 | $ | 0.00 | $ | 40.24 | (7.52 | )% | $ | 82,888 | 0.77 | %*(e) | 0.77 | %*(e) | 4.06 | %* | 31 | % | |||||||||||||||||
0.00 | (2.12 | ) | 43.51 | (11.96 | ) | 102,680 | 0.67 | (e) | 0.67 | (e) | 2.81 | 114 | ||||||||||||||||||||||
0.00 | (0.54 | ) | 51.66 | 7.55 | 137,415 | 0.62 | (e) | 0.62 | (e) | 3.93 | 80 | |||||||||||||||||||||||
0.00 | (0.50 | ) | 48.55 | (2.55 | ) | 119,436 | 0.63 | (f) | 0.64 | (e) | 2.54 | 216 | ||||||||||||||||||||||
0.00 | 0.00 | 50.28 | 0.56 | 28,156 | 0.61 | *(f) | 2.14 | *(g) | 3.63 | * | 381 | |||||||||||||||||||||||
$ | 0.00 | $ | (0.61 | ) | $ | 53.77 | 2.92 | % | $ | 237,110 | 0.35 | %* | 0.35 | %* | 2.31 | %* | 15 | % | ||||||||||||||||
0.00 | (1.11 | ) | 52.84 | 1.45 | 227,728 | 0.35 | 0.35 | 2.09 | 13 | |||||||||||||||||||||||||
0.00 | (1.07 | ) | 53.17 | 4.23 | 210,548 | 0.35 | 0.35 | 2.01 | 15 | |||||||||||||||||||||||||
0.00 | (1.27 | ) | 52.06 | (0.76 | ) | 187,931 | 0.35 | 0.35 | 2.26 | 35 | ||||||||||||||||||||||||
0.00 | (1.25 | ) | 53.70 | 6.88 | 153,576 | 0.35 | 0.35 | 2.30 | 11 | |||||||||||||||||||||||||
0.00 | (1.30 | ) | 51.44 | 4.20 | 90,529 | 0.35 | 0.36 | 2.37 | 44 | |||||||||||||||||||||||||
$ | 0.00 | $ | (2.31 | ) | $ | 99.33 | 0.02 | % | $ | 127,141 | 0.59 | %*(h) | 0.65 | %*(i) | 1.96 | %* | 849 | % | ||||||||||||||||
0.00 | (2.02 | ) | 101.62 | 2.37 | 175,808 | 0.52 | (h) | 0.57 | (j) | 1.30 | 1,591 | |||||||||||||||||||||||
0.00 | (0.25 | ) | 101.27 | 1.52 | 139,750 | 0.56 | * | 0.69 | * | 0.69 | * | 4,098 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.22 | ) | $ | 50.33 | 0.63 | % | $ | 55,860 | 0.35 | %* | 0.35 | %* | 0.92 | %* | 20 | % | ||||||||||||||||
0.00 | (0.42 | ) | 50.24 | 0.37 | 55,765 | 0.35 | 0.35 | 0.76 | 20 | |||||||||||||||||||||||||
0.00 | (0.22 | ) | 50.47 | 1.10 | 76,211 | 0.35 | 0.35 | 0.51 | 44 | |||||||||||||||||||||||||
0.00 | (0.47 | ) | 50.14 | 0.14 | 60,671 | 0.35 | 0.35 | 0.79 | 42 | |||||||||||||||||||||||||
0.00 | (0.50 | ) | 50.54 | 1.36 | 43,463 | 0.35 | 0.35 | 0.96 | 17 | |||||||||||||||||||||||||
0.00 | (0.60 | ) | 50.36 | 1.67 | 23,168 | 0.35 | 0.35 | 1.20 | 35 | |||||||||||||||||||||||||
$ | 0.00 | $ | (2.98 | ) | $ | 103.95 | 0.22 | % | $ | 2,606,972 | 0.56 | %*(k) | 0.57 | %*(i) | 2.84 | %* | 242 | % | ||||||||||||||||
0.00 | (5.41 | ) | 106.69 | 3.01 | 2,489,072 | 0.57 | (k) | 0.63 | (e) | 2.60 | 180 | |||||||||||||||||||||||
0.00 | (2.13 | ) | 108.85 | 5.10 | 3,431,844 | 0.56 | (k) | 0.57 | (i) | 2.24 | 577 | |||||||||||||||||||||||
0.00 | (3.22 | ) | 105.66 | 3.11 | 4,398,592 | 0.55 | 0.55 | 2.26 | 449 | |||||||||||||||||||||||||
0.00 | (0.71 | ) | 105.55 | 6.27 | 1,765,865 | 0.55 | * | 0.62 | * | 2.86 | * | 322 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 25 |
Statements of Assets and Liabilities
(Amounts in thousands†, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
|||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||
Investments, at value |
||||||||||||||||||||||||||||
Investments in securities*^ |
$ | 130,838 | $ | 156,475 | $ | 1,064,552 | $ | 97,742 | $ | 73,220 | $ | 1,851,968 | $ | 248,593 | ||||||||||||||
Investments in Affiliates |
0 | 0 | 0 | 0 | 0 | 69,011 | 1,509 | |||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | 0 | 339 | 0 | |||||||||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Cash |
0 | 38 | 0 | 72 | 0 | 6,019 | 0 | |||||||||||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | 0 | 2,855 | 0 | |||||||||||||||||||||
Foreign currency, at value |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Receivable for investments sold |
3,270 | 8,880 | 37,008 | 53 | 0 | 1,038 | 0 | |||||||||||||||||||||
Receivable for investments sold on a delayed-delivery basis |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Receivable for TBA investments sold |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Receivable for Fund shares sold |
27,906 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Interest receivable |
617 | 0 | 3,981 | 486 | 429 | 33,522 | 2,865 | |||||||||||||||||||||
Reimbursement receivable from PIMCO |
7 | 4 | 0 | 7 | 6 | 0 | 0 | |||||||||||||||||||||
Total Assets |
162,638 | 165,397 | 1,105,541 | 98,360 | 73,655 | 1,964,752 | 252,967 | |||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Payable for short sales |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Payable for investments purchased |
30,531 | 7,500 | 36,145 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Payable for investments purchased on a delayed-delivery basis |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Payable upon return of securities loaned |
0 | 0 | 0 | 0 | 0 | 69,011 | 1,509 | |||||||||||||||||||||
Deposits from counterparty |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Dividends payable |
58 | 1,321 | 0 | 84 | 0 | 8,405 | 658 | |||||||||||||||||||||
Accrued management fees |
14 | 22 | 202 | 17 | 13 | 1,000 | 47 | |||||||||||||||||||||
Accrued reimbursement to PIMCO |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Other liabilities |
16 | 14 | 0 | 14 | 12 | 0 | 0 | |||||||||||||||||||||
Total Liabilities |
30,619 | 8,857 | 36,347 | 115 | 25 | 78,416 | 2,214 | |||||||||||||||||||||
Net Assets |
$ | 132,019 | $ | 156,540 | $ | 1,069,194 | $ | 98,245 | $ | 73,630 | $ | 1,886,336 | $ | 250,753 |
26 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||||||||||||||||
$ | 52,506 | $ | 3,967,794 | $ | 112,594 | $ | 235,074 | $ | 146,892 | $ | 55,398 | $ | 3,454,366 | |||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
20 | 0 | 39 | 0 | 47 | 0 | 1,573 | ||||||||||||||||||||
157 | 0 | 1,974 | 0 | 814 | 0 | 89,612 | ||||||||||||||||||||
9 | 45,772 | 1 | 0 | 0 | 0 | 68 | ||||||||||||||||||||
233 | 0 | 1,054 | 0 | 1,498 | 0 | 5,400 | ||||||||||||||||||||
89 | 0 | 993 | 0 | 441 | 0 | 5,100 | ||||||||||||||||||||
1 | 0 | 16,181 | 0 | 11,605 | 0 | 8 | ||||||||||||||||||||
0 | 0 | 26 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
6,065 | 0 | 0 | 0 | 0 | 0 | 780,728 | ||||||||||||||||||||
0 | 197,248 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
684 | 18,358 | 699 | 2,577 | 1,161 | 527 | 19,244 | ||||||||||||||||||||
0 | 0 | 2 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
59,764 | 4,229,172 | 133,563 | 237,651 | 162,458 | 55,925 | 4,356,099 | ||||||||||||||||||||
$ | 0 | $ | 74,245 | $ | 30,295 | $ | 0 | $ | 20,110 | $ | 0 | $ | 27,045 | |||||||||||||
0 | 0 | 7,651 | 0 | 1,510 | 0 | 0 | ||||||||||||||||||||
290 | 0 | 0 | 0 | 11,529 | 0 | 0 | ||||||||||||||||||||
9 | 0 | 71 | 0 | 381 | 0 | 4,097 | ||||||||||||||||||||
1,654 | 0 | 2,137 | 0 | 334 | 0 | 27,207 | ||||||||||||||||||||
0 | 45,787 | 9,737 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 13 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
8,660 | 0 | 0 | 0 | 0 | 0 | 1,584,840 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 700 | 0 | 600 | 0 | 75,792 | ||||||||||||||||||||
318 | 3,564 | 0 | 463 | 781 | 43 | 28,591 | ||||||||||||||||||||
38 | 1,272 | 47 | 77 | 59 | 18 | 1,353 | ||||||||||||||||||||
1 | 0 | 0 | 0 | 2 | 0 | 85 | ||||||||||||||||||||
3 | 0 | 24 | 1 | 11 | 4 | 117 | ||||||||||||||||||||
10,973 | 124,868 | 50,675 | 541 | 35,317 | 65 | 1,749,127 | ||||||||||||||||||||
$ | 48,791 | $ | 4,104,304 | $ | 82,888 | $ | 237,110 | $ | 127,141 | $ | 55,860 | $ | 2,606,972 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 27 |
Statements of Assets and Liabilities (Cont.)
(Amounts in thousands†, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
|||||||||||||||||||||
Net Assets Consist of: |
||||||||||||||||||||||||||||
Paid in capital |
$ | 132,330 | $ | 189,697 | $ | 1,114,119 | $ | 118,408 | $ | 78,800 | $ | 2,219,365 | $ | 259,033 | ||||||||||||||
Undistributed (overdistributed) net investment income |
(22 | ) | (17 | ) | (13,522 | ) | (20 | ) | (359 | ) | (4,932 | ) | 25 | |||||||||||||||
Accumulated undistributed net realized gain (loss) |
56 | (19,603 | ) | (11,425 | ) | (9,517 | ) | (968 | ) | (100,079 | ) | 211 | ||||||||||||||||
Net unrealized appreciation (depreciation) |
(345 | ) | (13,537 | ) | (19,978 | ) | (10,626 | ) | (3,843 | ) | (228,018 | ) | (8,516 | ) | ||||||||||||||
$ | 132,019 | $ | 156,540 | $ | 1,069,194 | $ | 98,245 | $ | 73,630 | $ | 1,886,336 | $ | 250,753 | |||||||||||||||
Shares Issued and Outstanding |
2,602 | 1,420 | 20,870 | 1,620 | 1,330 | 20,500 | 2,530 | |||||||||||||||||||||
Net Asset Value and Redemption Price Per Share Outstanding |
$ | 50.74 | $ | 110.24 | $ | 51.23 | $ | 60.65 | $ | 55.36 | $ | 92.02 | $ | 99.11 | ||||||||||||||
Cost of Investments in securities |
$ | 131,183 | $ | 170,012 | $ | 1,084,530 | $ | 108,368 | $ | 77,063 | $ | 2,078,002 | $ | 257,109 | ||||||||||||||
Cost of Investments in Affiliates |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 69,011 | $ | 1,509 | ||||||||||||||
Cost of Foreign Currency Held |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
Proceeds Received on Short Sales |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
Cost or Premiums of Financial Derivative Instruments, net |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
* Includes repurchase agreements of: |
$ | 455 | $ | 0 | $ | 212 | $ | 0 | $ | 641 | $ | 81,265 | $ | 534 | ||||||||||||||
^ Includes securities on loan of: |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 67,654 | $ | 1,480 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
28 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||||||||||||||||
$ | 53,078 | $ | 4,123,281 | $ | 114,143 | $ | 231,252 | $ | 129,438 | $ | 55,814 | $ | 2,695,323 | |||||||||||||
|
(84 |
) |
(763 | ) | (3,500 | ) | 55 | (786 | ) | (38 | ) | (32,643 | ) | |||||||||||||
(750 | ) | 818 | (14,811 | ) | (2,058 | ) | (97 | ) | (213 | ) | (49,027 | ) | ||||||||||||||
(3,453 | ) | (19,032 | ) | (12,944 | ) | 7,861 | (1,414 | ) | 297 | (6,681 | ) | |||||||||||||||
$ | 48,791 | $ | 4,104,304 | $ | 82,888 | $ | 237,110 | $ | 127,141 | $ | 55,860 | $ | 2,606,972 | |||||||||||||
1,060 | 40,770 | 2,060 | 4,410 | 1,280 | 1,110 | 25,080 | ||||||||||||||||||||
$ |
46.03 |
|
$ | 100.67 | $ | 40.24 | $ | 53.77 | $ | 99.33 | $ | 50.33 | $ | 103.95 | ||||||||||||
$ | 55,661 | $ | 3,986,826 | $ | 125,228 | $ | 227,213 | $ | 148,705 | $ | 55,101 | $ | 3,526,600 | |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||
$ | 90 | $ | 0 | $ | 999 | $ | 0 | $ | 446 | $ | 0 | $ | 5,109 | |||||||||||||
$ | 288 | $ | 0 | $ | 0 | $ | 0 | $ | 11,434 | $ | 0 | $ | 0 | |||||||||||||
$ |
(1,292 |
) |
$ | 0 | $ | (112 | ) | $ | 0 | $ | (538 | ) | $ | 0 | $ | (6,693 | ) | |||||||||
$ | 205 | $ | 26,001 | $ | 444 | $ | 550 | $ | 515 | $ | 548 | $ | 10,627 | |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 29 |
Six Months Ended December 31, 2015 | ||||||||||||||||||||||||||||
(Amounts in thousands†) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
|||||||||||||||||||||
Investment Income: |
||||||||||||||||||||||||||||
Interest, net of foreign taxes* |
$ | 450 | $ | 2,623 | $ | 2,500 | $ | 754 | $ | 348 | $ | 61,172 | $ | 4,149 | ||||||||||||||
Dividends from Affiliate investments |
0 | 0 | 0 | 0 | 0 | 11 | 0 | |||||||||||||||||||||
Securities lending income |
0 | 0 | 0 | 0 | 0 | 496 | 11 | |||||||||||||||||||||
Total Income |
450 | 2,623 | 2,500 | 754 | 348 | 61,679 | 4,160 | |||||||||||||||||||||
Expenses: |
||||||||||||||||||||||||||||
Management fees |
88 | 131 | 1,166 | 95 | 74 | 6,523 | 253 | |||||||||||||||||||||
Trustee fees |
3 | 3 | 25 | 2 | 2 | 58 | 5 | |||||||||||||||||||||
Interest expense |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Miscellaneous expense |
3 | 4 | 0 | 2 | 2 | 0 | 0 | |||||||||||||||||||||
Total Expenses |
94 | 138 | 1,191 | 99 | 78 | 6,581 | 258 | |||||||||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(3 | ) | (3 | ) | 0 | (2 | ) | (2 | ) | 0 | 0 | |||||||||||||||||
Net Expenses |
91 | 135 | 1,191 | 97 | 76 | 6,581 | 258 | |||||||||||||||||||||
Net Investment Income |
359 | 2,488 | 1,309 | 657 | 272 | 55,098 | 3,902 | |||||||||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||||||||||
Investments in securities |
(16 | ) | (2,232 | ) | (3,872 | ) | (683 | ) | (101 | ) | (30,511 | ) | 171 | |||||||||||||||
In-kind redemptions |
92 | 404 | (817 | ) | 378 | (79 | ) | (28,157 | ) | 272 | ||||||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | 0 | (1,909 | ) | 0 | ||||||||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Foreign currency |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Net Realized Gain (Loss) |
76 | (1,828 | ) | (4,689 | ) | (305 | ) | (180 | ) | (60,577 | ) | 443 | ||||||||||||||||
Net Change in
Unrealized |
||||||||||||||||||||||||||||
Investments in securities |
(526 | ) | 2,120 | (11,887 | ) | (3,061 | ) | (1,251 | ) | (140,698 | ) | (3,966 | ) | |||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | 0 | 1,579 | 0 | |||||||||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Foreign currency assets and liabilities |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Net Change in Unrealized |
(526 | ) | 2,120 | (11,887 | ) | (3,061 | ) | (1,251 | ) | (139,119 | ) | (3,966 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (91 | ) | $ | 2,780 | $ | (15,267 | ) | $ | (2,709 | ) | $ | (1,159 | ) | $ | (144,598 | ) | $ | 379 | |||||||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
30 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation- Linked Bond Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||||||||||||||||
$ | 1,269 | $ | 25,333 | $ | 2,316 | $ | 3,172 | $ | 2,140 | $ | 378 | $ | 45,032 | |||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 1 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
1,269 | 25,334 | 2,316 | 3,172 | 2,140 | 378 | 45,032 | ||||||||||||||||||||
229 | 7,138 | 288 | 417 | 461 | 104 | 7,280 | ||||||||||||||||||||
1 | 82 | 2 | 5 | 4 | 1 | 55 | ||||||||||||||||||||
0 | 259 | 75 | 0 | 73 | 0 | 94 | ||||||||||||||||||||
1 | 0 | 3 | 0 | 4 | 1 | 144 | ||||||||||||||||||||
231 | 7,479 | 368 | 422 | 542 | 106 | 7,573 | ||||||||||||||||||||
(1 | ) | 0 | (2 | ) | 0 | (54 | ) | 0 | (132 | ) | ||||||||||||||||
230 | 7,479 | 366 | 422 | 488 | 106 | 7,441 | ||||||||||||||||||||
1,039 | 17,855 | 1,950 | 2,750 | 1,652 | 272 | 37,591 | ||||||||||||||||||||
(178 | ) | 852 | (11,989 | ) | 12 | (1,023 | ) | 3 | (12,165 | ) | ||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
141 | 0 | (619 | ) | (238 | ) | 15 | 0 | (24,783 | ) | |||||||||||||||||
145 | 0 | 2,438 | 0 | 1,056 | 0 | 9,255 | ||||||||||||||||||||
32 | 0 | (8 | ) | 0 | 9 | 0 | 2,474 | |||||||||||||||||||
140 | 852 | (10,178 | ) | (226 | ) | 57 | 3 | (25,219 | ) | |||||||||||||||||
(2,082 | ) | (17,664 | ) | 1,763 | 4,258 | (1,399 | ) | 75 | (43,320 | ) | ||||||||||||||||
(69 | ) | 0 | (211 | ) | (35 | ) | (131 | ) | 0 | 3,140 | ||||||||||||||||
(89 | ) | 0 | (773 | ) | 0 | (53 | ) | 0 | 32,601 | |||||||||||||||||
(1 | ) | 0 | (99 | ) | 0 | (8 | ) | 0 | 108 | |||||||||||||||||
(2,241 | ) | (17,664 | ) | 680 | 4,223 | (1,591 | ) | 75 | (7,471 | ) | ||||||||||||||||
$ | (1,062 | ) | $ | 1,043 | $ | (7,548 | ) | $ | 6,747 | $ | 118 | $ | 350 | $ | 4,901 | |||||||||||
$ | 0 | $ | 0 | $ | 12 | $ | 0 | $ | 1 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 31 |
Statements of Changes in Net Assets
PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
||||||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income (loss) |
$ | 359 | $ | 584 | $ | 2,488 | $ | 2,897 | $ | 1,309 | $ | (16,352 | ) | |||||||||||
Net realized gain (loss) |
76 | 272 | (1,828 | ) | 6,210 | (4,689 | ) | (2,855 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) |
(526 | ) | 15 | 2,120 | (12,606 | ) | (11,887 | ) | (13,900 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets
Resulting |
(91 | ) | 871 | 2,780 | (3,499 | ) | (15,267 | ) | (33,107 | ) | ||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income(a) |
(354 | ) | (573 | ) | (2,540 | ) | (2,862 | ) | (5,648 | ) | (614 | ) | ||||||||||||
From net realized capital gains(a) |
(50 | ) | (134 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||
Tax basis return of capital(a) |
0 | 0 | 0 | 0 | 0 | (4,196 | ) | |||||||||||||||||
Total Distributions |
(404 | ) | (707 | ) | (2,540 | ) | (2,862 | ) | (5,648 | ) | (4,810 | ) | ||||||||||||
Fund Share Transactions: |
||||||||||||||||||||||||
Receipts for shares sold |
61,044 | 45,872 | 136,969 | 142,709 | 30,929 | 237,002 | ||||||||||||||||||
Cost of shares redeemed |
(35,705 | ) | (66,303 | ) | (77,629 | ) | (116,290 | ) | (123,686 | ) | (354,094 | ) | ||||||||||||
Net increase (decrease) resulting from Fund share transactions |
25,339 | (20,431 | ) | 59,340 | 26,419 | (92,757 | ) | (117,092 | ) | |||||||||||||||
Total Increase (Decrease) in Net Assets |
24,844 | (20,267 | ) | 59,580 | 20,058 | (113,672 | ) | (155,009 | ) | |||||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of period |
107,175 | 127,442 | 96,960 | 76,902 | 1,182,866 | 1,337,875 | ||||||||||||||||||
End of period* |
$ | 132,019 | $ | 107,175 | $ | 156,540 | $ | 96,960 | $ | 1,069,194 | $ | 1,182,866 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (22 | ) | $ | (27 | ) | $ | (17 | ) | $ | 35 | $ | (13,522 | ) | $ | (9,183 | ) | |||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||
Shares Sold |
1,200 | 900 | 1,200 | 1,200 | 600 | 4,500 | ||||||||||||||||||
Shares Redeemed |
(700 | ) | (1,300 | ) | (700 | ) | (1,050 | ) | (2,400 | ) | (6,800 | ) | ||||||||||||
Net increase (decrease) in shares outstanding |
500 | (400 | ) | 500 | 150 | (1,800 | ) | (2,300 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information. |
32 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
|||||||||||||||||||||||||||
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
|||||||||||||||||||||||
$ | 657 | $ | 273 | $ | 272 | $ | (4 | ) | $ | 55,098 | $ | 131,070 | $ | 3,902 | $ | 6,950 | ||||||||||||||
(305 | ) | (645 | ) | (180 | ) | (992 | ) | (60,577 | ) | (28,750 | ) | 443 | 4,790 | |||||||||||||||||
(3,061 | ) | (3,665 | ) | (1,251 | ) | (1,916 | ) | (139,119 | ) | (158,093 | ) | (3,966 | ) | (12,252 | ) | |||||||||||||||
(2,709 | ) | (4,037 | ) | |
(1,159 |
) |
(2,912 | ) | (144,598 | ) | (55,773 | ) | 379 | (512 | ) | |||||||||||||||
(638 | ) | (523 | ) | (397 | ) | (325 | ) | (57,862 | ) | (140,838 | ) | (3,804 | ) | (7,130 | ) | |||||||||||||||
0 | 0 | 0 | 0 | 0 | (28,504 | ) | (97 | ) | (558 | ) | ||||||||||||||||||||
0 | 0 | 0 | (218 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
(638 | ) | (523 | ) | (397 | ) | (543 | ) | (57,862 | ) | (169,342 | ) | (3,901 | ) | (7,688 | ) | |||||||||||||||
43,253 | 34,269 | 11,140 | 92,705 | 103,267 | 905,955 | 35,293 | 223,452 | |||||||||||||||||||||||
(34,200 | ) | (6,740 | ) | (28,427 | ) | (103,179 | ) | (819,712 | ) | (2,994,801 | ) | (25,221 | ) | (170,245 | ) | |||||||||||||||
9,053 | 27,529 | (17,287 | ) | (10,474 | ) | (716,445 | ) | (2,088,846 | ) | 10,072 | 53,207 | |||||||||||||||||||
5,706 | 22,969 | (18,843 | ) | (13,929 | ) | (918,905 | ) | (2,313,961 | ) | 6,550 | 45,007 | |||||||||||||||||||
92,539 | 69,570 | 92,473 | 106,402 | 2,805,241 | 5,119,202 | 244,203 | 199,196 | |||||||||||||||||||||||
$ | 98,245 | $ | 92,539 | $ | 73,630 | $ | 92,473 | $ | 1,886,336 | $ | 2,805,241 | $ | 250,753 | $ | 244,203 | |||||||||||||||
$ | (20 | ) | $ | (39 | ) | $ | (359 | ) | $ | (234 | ) | $ | (4,932 | ) | $ | (2,168 | ) | $ | 25 | $ | (73 | ) | ||||||||
700 | 500 | 200 | 1,600 | 1,050 | 8,800 | 350 | 2,150 | |||||||||||||||||||||||
(550 | ) | (100 | ) | (500 | ) | (1,800 | ) | (8,500 | ) | (28,800 | ) | (250 | ) | (1,650 | ) | |||||||||||||||
150 | 400 | (300 | ) | (200 | ) | (7,450 | ) | (20,000 | ) | 100 | 500 |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 33 |
Statements of Changes in Net Assets (Cont.)
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
||||||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||
Net investment income |
$ | 1,039 | $ | 1,868 | $ | 17,855 | $ | 22,763 | $ | 1,950 | $ | 3,247 | ||||||||||||
Net realized gain (loss) |
140 | (97 | ) | 852 | 5,884 | (10,178 | ) | (6,268 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) |
(2,241 | ) | (2,497 | ) | (17,664 | ) | (9,437 | ) | 680 | (12,232 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(1,062 | ) | (726 | ) | 1,043 | 19,210 | (7,548 | ) | (15,253 | ) | ||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income(a) |
(1,524 | ) | (2,308 | ) | (19,658 | ) | (27,034 | ) | 0 | (5,282 | ) | |||||||||||||
From net realized capital gains(a) |
0 | (325 | ) | (825 | ) | (3,333 | ) | 0 | 0 | |||||||||||||||
Total Distributions |
(1,524 | ) | (2,633 | ) | (20,483 | ) | (30,367 | ) | 0 | (5,282 | ) | |||||||||||||
Fund Share Transactions: |
||||||||||||||||||||||||
Receipts for shares sold |
0 | 19,590 | 1,251,926 | 1,878,459 | 28 | 9,342 | ||||||||||||||||||
Cost of shares redeemed |
(4,666 | ) | (4,894 | ) | (664,232 | ) | (2,105,148 | ) | (12,272 | ) | (23,542 | ) | ||||||||||||
Net increase (decrease) resulting from Fund share transactions |
(4,666 | ) | 14,696 | 587,694 | (226,689 | ) | (12,244 | ) | (14,200 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets |
(7,252 | ) | 11,337 | 568,254 | (237,846 | ) | (19,792 | ) | (34,735 | ) | ||||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of period |
56,043 | 44,706 | 3,536,050 | 3,773,896 | 102,680 | 137,415 | ||||||||||||||||||
End of period* |
$ | 48,791 | $ | 56,043 | $ | 4,104,304 | $ | 3,536,050 | $ | 82,888 | $ | 102,680 | ||||||||||||
* Including undistributed
(overdistributed) net |
$ | (84 | ) | $ | 401 | $ | (763 | ) | $ | 1,040 | $ | (3,500 | ) | $ | (5,450 | ) | ||||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||
Shares Sold |
0 | 400 | 12,390 | 18,550 | 0 | 200 | ||||||||||||||||||
Shares Redeemed |
(100 | ) | (100 | ) | (6,580 | ) | (20,790 | ) | (300 | ) | (500 | ) | ||||||||||||
Net increase (decrease) in shares outstanding |
(100 | ) | 300 | 5,810 | (2,240 | ) | (300 | ) | (300 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Determined in accordance with federal income tax regulations, see Note 2(c) in the Notes to Financial Statements for more information. |
34 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
|||||||||||||||||||||||||||
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
June 30, 2015 | Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
Six Months Ended December 31, 2015 (Unaudited) |
Year Ended June 30, 2015 |
|||||||||||||||||||||||
$ | 2,750 | $ | 4,653 | $ | 1,652 | $ | 1,924 | $ | 272 | $ | 501 | $ | 37,591 | $ | 72,435 | |||||||||||||||
(226 | ) | 16 | 57 | 1,600 | 3 | (34 | ) | (25,219 | ) | 125,758 | ||||||||||||||||||||
4,223 | (1,733 | ) | (1,591 | ) | 11 | 75 | (203 | ) | (7,471 | ) | (123,007 | ) | ||||||||||||||||||
6,747 | 2,936 | 118 | 3,535 | 350 | 264 | 4,901 | 75,186 | |||||||||||||||||||||||
(2,659 | ) | (4,619 | ) | (2,271 | ) | (2,542 | ) | (258 | ) | (534 | ) | (73,583 | ) | (129,616 | ) | |||||||||||||||
0 | 0 | (1,051 | ) | (349 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||||
(2,659 | ) | (4,619 | ) | (3,322 | ) | (2,891 | ) | (258 | ) | (534 | ) | (73,583 | ) | (129,616 | ) | |||||||||||||||
13,304 | 26,858 | 10,130 | 45,528 | 2,519 | 0 | 362,735 | 482,627 | |||||||||||||||||||||||
(8,010 | ) | (7,995 | ) | (55,593 | ) | (10,114 | ) | (2,516 | ) | (20,176 | ) | (176,153 | ) | (1,370,969 | ) | |||||||||||||||
5,294 | 18,863 | (45,463 | ) | 35,414 | 3 | (20,176 | ) | 186,582 | (888,342 | ) | ||||||||||||||||||||
9,382 | 17,180 | (48,667 | ) | 36,058 | 95 | (20,446 | ) | 117,900 | (942,772 | ) | ||||||||||||||||||||
227,728 | 210,548 | 175,808 | 139,750 | 55,765 | 76,211 | 2,489,072 | 3,431,844 | |||||||||||||||||||||||
$ | 237,110 | $ | 227,728 | $ | 127,141 | $ | 175,808 | $ | 55,860 | $ | 55,765 | $ | 2,606,972 | $ | 2,489,072 | |||||||||||||||
$ |
55 |
|
$ | (36 | ) | $ | (786 | ) | $ | (167 | ) | $ | (38 | ) | $ | (52 | ) | $ | (32,643 | ) | $ | 3,349 | ||||||||
250 | 500 | 100 | 450 | 50 | 0 | 3,400 | 4,400 | |||||||||||||||||||||||
(150 | ) | (150 | ) | (550 | ) | (100 | ) | (50 | ) | (400 | ) | (1,650 | ) | (12,600 | ) | |||||||||||||||
100 | 350 | (450 | ) | 350 | 0 | (400 | ) | 1,750 | (8,200 | ) |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 35 |
Six Months Ended December 31, 2015 (Unaudited) | ||||||||
(Amounts in thousands†) | PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
||||||
Cash Flows Provided by Operating Activities: |
||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (7,548 | ) | $ | 118 | |||
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by Operating Activities: |
||||||||
Purchases of long-term securities |
(40,445 | ) | (1,476,647 | ) | ||||
Proceeds from sales of long-term securities |
58,158 | 1,502,012 | ||||||
Proceeds from sales of short-term portfolio investments, net |
1,447 | 23,279 | ||||||
(Increase) decrease in deposits with counterparty |
442 | (134 | ) | |||||
(Increase) in receivable for investments sold |
(15,708 | ) | (2,098 | ) | ||||
Decrease in interest and dividends receivable |
291 | 71 | ||||||
(Increase) decrease in exchange-traded or centrally cleared financial derivative instruments |
(895 | ) | 30 | |||||
Decrease in over the counter financial derivative instruments |
2,412 | 1,089 | ||||||
Increase in reimbursement receivable from PIMCO |
1 | 1 | ||||||
Increase (decrease) in payable for investments purchased |
9,615 | (1,747 | ) | |||||
(Decrease) in deposits from counterparty |
(40 | ) | (40 | ) | ||||
(Decrease) in accrued supervisory and administrative fees |
(2 | ) | (8 | ) | ||||
Proceeds from short sales transactions, net |
0 | 2,012 | ||||||
Proceeds from (Payments on) foreign currency transactions |
(207 | ) | 1 | |||||
Increase in other liabilities |
9 | 5 | ||||||
Net Realized (Gain) Loss |
||||||||
Investments in securities |
11,989 | 1,023 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
619 | (15 | ) | |||||
Over the counter financial derivative instruments |
(2,438 | ) | (1,056 | ) | ||||
Foreign currency |
8 | (9 | ) | |||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||
Investments in securities |
(1,763 | ) | 1,399 | |||||
Exchange-traded or centrally cleared financial derivative instruments |
211 | 131 | ||||||
Over the counter financial derivative instruments |
773 | 53 | ||||||
Foreign currency assets and liabilities |
99 | 8 | ||||||
Net amortization on investments |
141 | 691 | ||||||
Net Cash Provided by Operating Activities |
17,169 | 50,169 | ||||||
Cash Flows (Used for) Financing Activities: |
||||||||
Proceeds from shares sold |
28 | 10,130 | ||||||
Payments on shares redeemed |
(12,272 | ) | (55,593 | ) | ||||
Cash dividend paid |
0 | (2,749 | ) | |||||
Proceeds from reverse repurchase agreements |
125,659 | 231,656 | ||||||
Payments on reverse repurchase agreements |
(118,800 | ) | (235,790 | ) | ||||
Proceeds from sale-buyback transactions |
149,940 | 124,339 | ||||||
Payments on sale-buyback transactions |
(161,535 | ) | (122,829 | ) | ||||
Net Cash (Used for) Financing Activities |
(16,980 | ) | (50,836 | ) | ||||
Net Increase (Decrease) in Cash and Foreign Currency |
189 | (667 | ) | |||||
Cash and Foreign Currency: |
||||||||
Beginning of period |
805 | 1,108 | ||||||
End of period |
$ | 994 | $ | 441 | ||||
Supplemental Disclosure of Cash Flow Information: |
||||||||
Interest expense paid during the period |
$ | 122 | $ | 45 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
36 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 455 | Fannie Mae 2.140% due 11/07/2022 | $ | (466 | ) | $ | 455 | $ | 456 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (466 | ) | $ | 455 | $ | 456 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 456 | $ | 0 | $ | 0 | $ | 0 | $ | 456 | $ | (466 | ) | $ | (10 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 456 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 130,383 | $ | 0 | $ | 130,383 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 455 | 0 | 455 | ||||||||||||||
Total Investments |
$ | 0 | $ | 130,838 | $ | 0 | $ | 130,838 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 37 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon bond. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 156,475 | $ | 0 | $ | 156,475 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
38 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 212 | Fannie Mae 2.140% due 11/07/2022 | $ | (221 | ) | $ | 212 | $ | 212 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (221 | ) | $ | 212 | $ | 212 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 212 | $ | 0 | $ | 0 | $ | 0 | $ | 212 | $ | (221 | ) | $ | (9 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 212 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 1,064,340 | $ | 0 | $ | 1,064,340 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 212 | 0 | 212 | ||||||||||||||
Total Investments |
$ | 0 | $ | 1,064,552 | $ | 0 | $ | 1,064,552 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 39 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 97,742 | $ | 0 | $ | 97,742 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
40 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 641 | Fannie Mae 2.140% due 11/07/2022 | $ | (657 | ) | $ | 641 | $ | 643 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (657 | ) | $ | 641 | $ | 643 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 643 | $ | 0 | $ | 0 | $ | 0 | $ | 643 | $ | (657 | ) | $ | (14 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 643 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 72,579 | $ | 0 | $ | 72,579 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 641 | 0 | 641 | ||||||||||||||
Total Investments |
$ | 0 | $ | 73,220 | $ | 0 | $ | 73,220 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 41 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
42 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 43 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
44 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Payment in-kind bond security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(d) | Institutional Class Shares of each Fund. |
(e) | Securities with an aggregate market value of $67,654 were out on loan in exchange for $69,011 of cash collateral as of December 31, 2015. The collateral was invested in a cash collateral reinvestment vehicle as described in Note 5(d) in the Notes to Financial Statements. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BOS |
0.420 | % | 12/21/2015 | 01/04/2016 | $ | 10,500 | U.S. Treasury Bonds 3.625% due 08/15/2043 | $ | (10,585 | ) | $ | 10,500 | $ | 10,502 | ||||||||||||||||||
MBC |
0.560 | 12/31/2015 | 01/04/2016 | 63,600 | U.S. Treasury Notes 2.000% due 11/30/2022 | (65,701 | ) | 63,600 | 63,604 | |||||||||||||||||||||||
SSB |
0.010 | 12/31/2015 | 01/04/2016 | 7,165 | Fannie Mae 2.140% due 11/07/2022 | (7,309 | ) | 7,165 | 7,182 | |||||||||||||||||||||||
Total Repurchase Agreements |
$ | (83,595 | ) | $ | 81,265 | $ | 81,288 |
(1) |
Includes accrued interest. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 45 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BOS |
$ | 10,502 | $ | 0 | $ | 0 | $ | 0 | $ | 10,502 | $ | (10,585 | ) | $ | (83 | ) | ||||||||||||||
MBC |
63,604 | 0 | 0 | 0 | 63,604 | (65,701 | ) | (2,097 | ) | |||||||||||||||||||||
SSB |
7,182 | 0 | 0 | 0 | 7,182 | (7,309 | ) | 127 | ||||||||||||||||||||||
Master Securities Lending Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | 0 | (60,457 | ) | (60,457 | ) | 61,667 | 1,210 | |||||||||||||||||||||
DEU |
0 | 0 | 0 | (565 | ) | (565 | ) | 577 | 12 | |||||||||||||||||||||
FOB |
0 | 0 | 0 | (1,203 | ) | (1,203 | ) | 1,225 | 22 | |||||||||||||||||||||
JPM |
0 | 0 | 0 | (2,369 | ) | (2,369 | ) | 2,416 | 47 | |||||||||||||||||||||
RDR |
0 | 0 | 0 | (985 | ) | (985 | ) | 1,010 | 25 | |||||||||||||||||||||
SAL |
0 | 0 | 0 | (2,075 | ) | (2,075 | ) | 2,118 | 43 | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 81,288 | $ | 0 | $ | 0 | $ | (67,654 | ) |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Securities Lending Transactions |
||||||||||||||||||||||
Corporate Bonds & Notes |
$ | (67,654 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (67,654 | ) | ||||||||||
Total Borrowings |
$ | (67,654 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (67,654 | ) | ||||||||||
Gross amount of recognized liabilities for securities lending transactions. |
$ | (67,654 | ) |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Long | 03/2016 | 498 | $ | (147 | ) | $ | 70 | $ | 0 | ||||||||||||||||
Total Futures Contracts |
$ | (147 | ) | $ | 70 | $ | 0 |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount (2) |
Market Value (3) |
Unrealized (Depreciation) |
Variation Margin | ||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
CDX.HY-24 5-Year Index |
5.000 | % | 06/20/2020 | $ | 80,121 | $ | 3,154 | $ | (1,801 | ) | $ | 80 | $ | 0 | ||||||||||||||||
CDX.HY-25 5-Year Index |
5.000 | 12/20/2020 | 114,200 | 1,595 | (36 | ) | 189 | 0 | ||||||||||||||||||||||
$ | 4,749 | $ | (1,837 | ) | $ | 269 | $ | 0 | ||||||||||||||||||||||
Total Swap Agreements |
$ | 4,749 | $ | (1,837 | ) | $ | 269 | $ | 0 |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
46 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
(3) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:
(h) | Securities with an aggregate market value of $11,425 and cash of $2,855 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Market Value | Variation
Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 70 | $ | 269 | $ | 339 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 70 | $ | 70 | ||||||||||||||
Swap Agreements |
0 | 269 | 0 | 0 | 0 | 269 | ||||||||||||||||||||
$ | 0 | $ | 269 | $ | 0 | $ | 0 | $ | 70 | $ | 339 |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (97 | ) | $ | (97 | ) | ||||||||||||
Swap Agreements |
0 | (1,812 | ) | 0 | 0 | 0 | (1,812 | ) | ||||||||||||||||||
$ | 0 | $ | (1,812 | ) | $ | 0 | $ | 0 | $ | (97 | ) | $ | (1,909 | ) | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (108 | ) | $ | (108 | ) | ||||||||||||
Swap Agreements |
0 | 1,687 | 0 | 0 | 0 | 1,687 | ||||||||||||||||||||
$ | 0 | $ | 1,687 | $ | 0 | $ | 0 | $ | (108 | ) | $ | 1,579 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 47 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2015
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value
at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 384,431 | $ | 0 | $ | 384,431 | ||||||||||
Industrials |
0 | 1,201,351 | 0 | 1,201,351 | ||||||||||||||
Utilities |
0 | 162,145 | 0 | 162,145 | ||||||||||||||
U.S. Treasury Obligations |
0 | 4,200 | 0 | 4,200 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 81,265 | 0 | 81,265 | ||||||||||||||
U.S. Treasury Bills |
0 | 18,576 | 0 | 18,576 | ||||||||||||||
$ | 0 | $ | 1,851,968 | $ | 0 | $ | 1,851,968 | |||||||||||
Investments in Affiliates, at Value |
||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Mutual Funds |
69,011 | 0 | 0 | 69,011 | ||||||||||||||
Total Investments |
$ | 69,011 | $ | 1,851,968 | $ | 0 | $ | 1,920,979 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
$ | 70 | $ | 269 | $ | 0 | $ | 339 | ||||||||||
Totals |
$ | 69,081 | $ | 1,852,237 | $ | 0 | $ | 1,921,318 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
48 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 49 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
50 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(b) | Institutional Class Shares of each Fund. |
(c) | Securities with an aggregate market value of $1,480 were out on loan in exchange for $1,509 of cash collateral as of December 31, 2015. The collateral was invested in a cash collateral reinvestment vehicle as described in Note 5(d) in the Notes to Financial Statements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 51 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(d) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 534 | Fannie Mae 2.140% due 11/07/2022 | $ | (549 | ) | $ | 534 | $ | 535 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (549 | ) | $ | 534 | $ | 535 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 535 | $ | 0 | $ | 0 | $ | 0 | $ | 535 | $ | (549 | ) | $ | (14 | ) | ||||||||||||||
Master Securities Lending Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | 0 | (1,354 | ) | (1,354 | ) | 1,381 | 27 | |||||||||||||||||||||
JPM |
0 | 0 | 0 | (126 | ) | (126 | ) | 128 | 2 | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 535 | $ | 0 | $ | 0 | $ | (1,480 | ) |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Securities Lending Transactions |
||||||||||||||||||||||
Corporate Bonds & Notes |
$ | (1,480 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (1,480 | ) | ||||||||||
Total Borrowings |
$ | (1,480 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (1,480 | ) | ||||||||||
Gross amount of recognized
liabilities for securities |
$ | (1,480 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 94,690 | $ | 0 | $ | 94,690 | ||||||||||
Industrials |
0 | 109,408 | 0 | 109,408 | ||||||||||||||
Utilities |
0 | 36,252 | 0 | 36,252 | ||||||||||||||
U.S. Treasury Obligations |
0 | 7,209 | 0 | 7,209 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 534 | 0 | 534 | ||||||||||||||
U.S. Treasury Bills |
0 | 500 | 0 | 500 | ||||||||||||||
$ | 0 | $ | 248,593 | $ | 0 | $ | 248,593 |
52 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Affiliates, at Value |
||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Mutual Funds |
$ | 1,509 | $ | 0 | $ | 0 | $ | 1,509 | ||||||||||
Total Investments |
$ | 1,509 | $ | 248,593 | $ | 0 | $ | 250,102 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 53 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund
54 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 55 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Payment in-kind bond security. |
(b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 205 | Fannie Mae 2.170% due 10/17/2022 | $ | (212 | ) | $ | 205 | $ | 205 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (212 | ) | $ | 205 | $ | 205 |
(1) |
Includes accrued interest. |
SHORT SALES:
SHORT SALES ON U.S. GOVERNMENT AGENCIES*
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales |
|||||||||||||||||
Fannie Mae, TBA |
2.500 | % | 01/01/2046 | $ | 300 | $ | (288 | ) | $ | (290 | ) | |||||||||||
Total Short Sales |
$ | (288 | ) | $ | (290 | ) |
* | Short Sales shown are To-Be-Announced (“TBA”) securities which are not subject to collateral pledging under the terms of any master agreements. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||
SSB |
$ | 205 | $ | 0 | $ | 0 | $ | 205 | $ | (212 | ) | $ | (7 | ) | ||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 205 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
56 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
(d) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2017 | 48 | $ | (32 | ) | $ | 0 | $ | (3 | ) | |||||||||||||||
Euro-BTP Italy Government Bond March Futures |
Long | 03/2016 | 2 | (3 | ) | 1 | 0 | |||||||||||||||||||
Euro-Bund 10-Year Bond March Futures |
Long | 03/2016 | 5 | (12 | ) | 0 | 0 | |||||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Long | 03/2016 | 43 | (12 | ) | 13 | 0 | |||||||||||||||||||
United Kingdom Long Gilt March Futures |
Long | 03/2016 | 3 | (1 | ) | 2 | (3 | ) | ||||||||||||||||||
Total Futures Contracts |
$ | (60 | ) | $ | 16 | $ | (6 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive |
Floating Rate Index | Fixed Rate |
Maturity |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.250 | % | 12/16/2016 | $ | 13,500 | $ | (59 | ) | $ | (9 | ) | $ | 0 | $ | (2 | ) | |||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 12/16/2025 | 300 | (9 | ) | (14 | ) | 0 | (1 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 06/15/2046 | 400 | (18 | ) | (2 | ) | 3 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
0.500 | 03/16/2021 | EUR | 3,300 | 22 | (3 | ) | 0 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
1.000 | 03/16/2026 | 100 | 0 | (1 | ) | 0 | 0 | |||||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
1.500 | 03/16/2046 | 200 | 7 | 0 | 1 | 0 | ||||||||||||||||||||||||||||
$ | (57 | ) | $ | (29 | ) | $ | 4 | $ | (3 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (57 | ) | $ | (29 | ) | $ | 4 | $ | (3 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:
Cash of $233 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation
Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 16 | $ | 4 | $ | 20 | $ | 0 | $ | (6 | ) | $ | (3 | ) | $ | (9 | ) |
(e) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
01/2016 | JPY | 83,400 | $ | 680 | $ | 0 | $ | (14 | ) | ||||||||||||||||||||
01/2016 | $ | 2,643 | EUR | 2,405 | 0 | (29 | ) | |||||||||||||||||||||||
02/2016 | AUD | 395 | $ | 277 | 0 | (10 | ) | |||||||||||||||||||||||
02/2016 | EUR | 2,405 | 2,644 | 29 | 0 | |||||||||||||||||||||||||
02/2016 | THB | 9,973 | 278 | 1 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 59 | GBP | 39 | 0 | (1 | ) | |||||||||||||||||||||||
02/2016 | 458 | JPY | 56,000 | 9 | 0 | |||||||||||||||||||||||||
CBK |
01/2016 | EUR | 31 | $ | 34 | 0 | 0 | |||||||||||||||||||||||
DUB |
01/2016 | BRL | 1,690 | 447 | 20 | 0 | ||||||||||||||||||||||||
01/2016 | KRW | 328,118 | 281 | 2 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 57 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
01/2016 | $ | 431 | BRL | 1,690 | $ | 0 | $ | (4 | ) | |||||||||||||||||||||
02/2016 | BRL | 1,690 | $ | 427 | 4 | 0 | ||||||||||||||||||||||||
GLM |
03/2016 | MXN | 5,203 | 303 | 3 | 0 | ||||||||||||||||||||||||
HUS |
01/2016 | EUR | 2,414 | 2,573 | 0 | (51 | ) | |||||||||||||||||||||||
10/2016 | CNH | 582 | 89 | 3 | 0 | |||||||||||||||||||||||||
MSB |
01/2016 | GBP | 1,054 | 1,589 | 35 | 0 | ||||||||||||||||||||||||
01/2016 | $ | 43 | EUR | 40 | 1 | 0 | ||||||||||||||||||||||||
01/2016 | 1,560 | GBP | 1,054 | 0 | (6 | ) | ||||||||||||||||||||||||
01/2016 | 689 | JPY | 83,400 | 5 | 0 | |||||||||||||||||||||||||
02/2016 | GBP | 1,054 | $ | 1,561 | 7 | 0 | ||||||||||||||||||||||||
02/2016 | JPY | 121,400 | 999 | 0 | (12 | ) | ||||||||||||||||||||||||
SCX |
01/2016 | MYR | 1,197 | 273 | 0 | (5 | ) | |||||||||||||||||||||||
02/2016 | SGD | 392 | 278 | 2 | 0 | |||||||||||||||||||||||||
UAG |
02/2016 | TWD | 9,063 | 279 | 4 | 0 | ||||||||||||||||||||||||
10/2016 | CNH | 2,981 | 456 | 15 | 0 | |||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 140 | $ | (132 | ) |
PURCHASED OPTIONS:
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||||||
BPS |
Call - OTC USD versus CNH |
CNH | 6.615 | 08/18/2016 | $ | 558 | $ | 12 | $ | 17 | ||||||||||||||||||||
Total Purchased Options |
$ | 12 | $ | 17 |
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||||
BRC |
Put - OTC CDX.IG-25 5-Year Index |
Sell | 0.950 | % | 01/20/2016 | $ | 1,300 | $ | (2 | ) | $ | (1 | ) |
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||
BOA |
Put - OTC EUR versus USD |
$ | 1.023 | 03/02/2016 | EUR | 500 | $ | (4 | ) | $ | (1 | ) | ||||||||||||||||||
Call - OTC EUR versus USD |
1.107 | 03/02/2016 | 500 | (5 | ) | (5 | ) | |||||||||||||||||||||||
BPS |
Call - OTC USD versus CNH |
CNH | 6.985 | 08/18/2016 | $ | 558 | (7 | ) | (7 | ) | ||||||||||||||||||||
$ | (16 | ) | $ | (13 | ) |
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||
CBK |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.550 | % | 03/21/2016 | $ | 6,200 | $ | (26 | ) | $ | (19 | ) | ||||||||||||||
Total Written Options |
$ | (44 | ) | $ | (33 | ) |
* | This security has a forward starting effective date. See Note 2a for further information. |
58 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2015:
Notional Amount in $ |
Notional Amount in AUD |
Notional Amount in EUR |
Notional Amount in GBP |
Premiums | ||||||||||||||||||||||||||||||
Balance at Beginning of Period |
$ | 10,157 | AUD | 603 | EUR | 4,739 | GBP | 311 | $ | (88 | ) | |||||||||||||||||||||||
Sales |
11,758 | 0 | 1,000 | 0 | (58 | ) | ||||||||||||||||||||||||||||
Closing Buys |
0 | 0 | (3,800 | ) | 0 | 5 | ||||||||||||||||||||||||||||
Expirations |
(10,879 | ) | (603 | ) | (939 | ) | 0 | 73 | ||||||||||||||||||||||||||
Exercised |
(2,978 | ) | 0 | 0 | (311 | ) | 24 | |||||||||||||||||||||||||||
Balance at End of Period |
$ | 8,058 | AUD | 0 | EUR | 1,000 | GBP | 0 | $ | (44 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION (1)
Counterparty | Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2015 (2) |
Notional Amount (3) |
Premiums (Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BOA |
Venezuela |
5.000 | % | 06/20/2020 | 61.978 | % | $ | 2,000 | $ | (1,121 | ) | $ | (140 | ) | $ | 0 | $ | (1,261 | ) | |||||||||||||||||
BRC |
Colombia Government International Bond |
1.000 | 06/20/2020 | 2.261 | % | 400 | (11 | ) | (10 | ) | 0 | (21 | ) | |||||||||||||||||||||||
Saudi Arabia |
1.000 | 12/20/2020 | 1.526 | % | 100 | (3 | ) | 1 | 0 | (2 | ) | |||||||||||||||||||||||||
CBK |
Freeport-McMoRan, Inc. |
1.000 | 09/20/2020 | 12.721 | % | 400 | (76 | ) | (67 | ) | 0 | (143 | ) | |||||||||||||||||||||||
Turkey |
1.000 | 03/20/2020 | 2.454 | % | 1,000 | (46 | ) | (11 | ) | 0 | (57 | ) | ||||||||||||||||||||||||
HUS |
Colombia Government International Bond |
1.000 | 03/20/2020 | 2.188 | % | 100 | (3 | ) | (2 | ) | 0 | (5 | ) | |||||||||||||||||||||||
$ | (1,260 | ) | $ | (229 | ) | $ | 0 | $ | (1,489 | ) |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
Counterparty | Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount (3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value (4) | |||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
CBK |
MCDX-25 5-Year Index |
1.000 | % | 12/20/2020 | $ | 200 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||
Total Swap Agreements |
$ | (1,260 | ) | $ | (229 | ) | $ | 0 | $ | (1,489 | ) |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as 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. |
(3) |
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. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 59 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:
(f) | Securities with an aggregate market value of $1,535 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015. |
Counterparty |
Financial Derivative Assets |
Financial Derivative Liabilities |
||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (5) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 39 | $ | 0 | $ | 0 | $ | 39 | $ | (54 | ) | $ | (6 | ) | $ | (1,261 | ) | $ | (1,321 | ) | $ | (1,282 | ) | $ | 1,234 | $ | (48 | ) | ||||||||||||||||||||
BPS |
0 | 17 | 0 | 17 | 0 | (7 | ) | 0 | (7 | ) | 10 | 0 | 10 | |||||||||||||||||||||||||||||||||||
BRC |
0 | 0 | 0 | 0 | 0 | (1 | ) | (23 | ) | (24 | ) | (24 | ) | 0 | (24 | ) | ||||||||||||||||||||||||||||||||
CBK |
0 | 0 | 0 | 0 | 0 | (19 | ) | (200 | ) | (219 | ) | (219 | ) | 301 | 82 | |||||||||||||||||||||||||||||||||
DUB |
26 | 0 | 0 | 26 | (4 | ) | 0 | 0 | (4 | ) | 22 | 0 | 22 | |||||||||||||||||||||||||||||||||||
GLM |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
HUS |
3 | 0 | 0 | 3 | (51 | ) | 0 | (5 | ) | (56 | ) | (53 | ) | 0 | (53 | ) | ||||||||||||||||||||||||||||||||
MSB |
48 | 0 | 0 | 48 | (18 | ) | 0 | 0 | (18 | ) | 30 | 0 | 30 | |||||||||||||||||||||||||||||||||||
SCX |
2 | 0 | 0 | 2 | (5 | ) | 0 | 0 | (5 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
UAG |
19 | 0 | 0 | 19 | 0 | 0 | 0 | 0 | 19 | 0 | 19 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 140 | $ | 17 | $ | 0 | $ | 157 | $ | (132 | ) | $ | (33 | ) | $ | (1,489 | ) | $ | (1,654 | ) |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 16 | $ | 16 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 4 | 4 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 20 | $ | 20 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 140 | $ | 0 | $ | 140 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 17 | 0 | 17 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 157 | $ | 0 | $ | 157 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 157 | $ | 20 | $ | 177 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 6 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 3 | 3 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | $ | 9 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 132 | $ | 0 | $ | 132 | ||||||||||||||
Written Options |
0 | 1 | 0 | 13 | 19 | 33 | ||||||||||||||||||||
Swap Agreements |
0 | 1,489 | 0 | 0 | 0 | 1,489 | ||||||||||||||||||||
$ | 0 | $ | 1,490 | $ | 0 | $ | 145 | $ | 19 | $ | 1,654 | |||||||||||||||
$ | 0 | $ | 1,490 | $ | 0 | $ | 145 | $ | 28 | $ | 1,663 |
60 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 79 | $ | 79 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 62 | 62 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 141 | $ | 141 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 87 | $ | 0 | $ | 87 | ||||||||||||||
Written Options |
0 | 9 | 0 | 22 | 46 | 77 | ||||||||||||||||||||
Swap Agreements |
0 | (19 | ) | 0 | 0 | 0 | (19 | ) | ||||||||||||||||||
$ | 0 | $ | (10 | ) | $ | 0 | $ | 109 | $ | 46 | $ | 145 | ||||||||||||||
$ | 0 | $ | (10 | ) | $ | 0 | $ | 109 | $ | 187 | $ | 286 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (38 | ) | $ | (38 | ) | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (31 | ) | (31 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (69 | ) | $ | (69 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 34 | $ | 0 | $ | 34 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 5 | 0 | 5 | ||||||||||||||||||||
Written Options |
0 | (1 | ) | 0 | (11 | ) | (11 | ) | (23 | ) | ||||||||||||||||
Swap Agreements |
0 | (105 | ) | 0 | 0 | 0 | (105 | ) | ||||||||||||||||||
$ | 0 | $ | (106 | ) | $ | 0 | $ | 28 | $ | (11 | ) | $ | (89 | ) | ||||||||||||
$ | 0 | $ | (106 | ) | $ | 0 | $ | 28 | $ | (80 | ) | $ | (158 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 1,416 | $ | 0 | $ | 1,416 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
121 | 15,195 | 0 | 15,316 | ||||||||||||||
Industrials |
0 | 10,942 | 0 | 10,942 | ||||||||||||||
Utilities |
0 | 7,624 | 0 | 7,624 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Illinois |
0 | 101 | 0 | 101 | ||||||||||||||
Iowa |
0 | 181 | 0 | 181 | ||||||||||||||
New Jersey |
0 | 166 | 0 | 166 | ||||||||||||||
Ohio |
0 | 806 | 0 | 806 | ||||||||||||||
Texas |
0 | 349 | 0 | 349 | ||||||||||||||
U.S. Government Agencies |
0 | 2,882 | 0 | 2,882 | ||||||||||||||
U.S. Treasury Obligations |
0 | 200 | 0 | 200 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 548 | 0 | 548 | ||||||||||||||
Asset-Backed Securities |
0 | 1,160 | 0 | 1,160 | ||||||||||||||
Sovereign Issues |
0 | 6,372 | 0 | 6,372 | ||||||||||||||
Preferred Securities |
||||||||||||||||||
Utilities |
3 | 0 | 0 | 3 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 205 | 0 | 205 | ||||||||||||||
Short-Term Notes |
0 | 2,900 | 0 | 2,900 | ||||||||||||||
U.S. Treasury Bills |
0 | 1,335 | 0 | 1,335 | ||||||||||||||
Total Investments |
$ | 124 | $ | 52,382 | $ | 0 | $ | 52,506 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 61 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Short Sales, at Value - Liabilities |
||||||||||||||||||
U.S. Government Agencies |
$ | 0 | $ | (290 | ) | $ | 0 | $ | (290 | ) | ||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
16 | 4 | 0 | 20 | ||||||||||||||
Over the counter |
0 | 157 | 0 | 157 | ||||||||||||||
$ | 16 | $ | 161 | $ | 0 | $ | 177 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(6 | ) | (3 | ) | 0 | (9 | ) | |||||||||||
Over the counter |
0 | (1,654 | ) | 0 | (1,654 | ) | ||||||||||||
$ | (6 | ) | $ | (1,657 | ) | $ | 0 | $ | (1,663 | ) | ||||||||
Totals |
$ | 134 | $ | 50,596 | $ | 0 | $ | 50,730 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
62 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 63 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
64 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 65 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
66 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
NOM |
0.500 | % | 12/31/2015 | 01/04/2016 | $ | 25,800 | U.S. Treasury Notes 2.125% due 05/15/2025 | $ | (26,353 | ) | $ | 25,800 | $ | 25,801 | ||||||||||||||||||
SSB |
0.010 | 12/31/2015 | 01/04/2016 | 201 | Fannie Mae 2.140% due 11/07/2022 | (206 | ) | 201 | 202 | |||||||||||||||||||||||
Total Repurchase Agreements |
$ | (26,559 | ) | $ | 26,001 | $ | 26,003 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BPG |
0.630 | % | 11/04/2015 | 01/05/2016 | $ | (1,956 | ) | $ | (1,958 | ) | ||||||||||||
0.630 | 12/03/2015 | 01/05/2016 | (1,226 | ) | (1,227 | ) | ||||||||||||||||
BPS |
0.650 | 11/03/2015 | 01/05/2016 | (2,994 | ) | (2,997 | ) | |||||||||||||||
RDR |
0.630 | 12/03/2015 | 01/08/2016 | (2,353 | ) | (2,354 | ) | |||||||||||||||
0.740 | 11/24/2015 | 01/04/2016 | (62,270 | ) | (62,319 | ) | ||||||||||||||||
0.780 | 12/18/2015 | 01/05/2016 | (937 | ) | (937 | ) | ||||||||||||||||
SOG |
0.770 | 12/04/2015 | 01/05/2016 | (2,451 | ) | (2,453 | ) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ | (74,245 | ) |
(2) |
As of December 31, 2015, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended December 31, 2015 was $(123,414) at a weighted average interest rate of 0.480%. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 67 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
(b) | Securities with an aggregate market value of $72,276 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (3) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BPG |
$ | 0 | $ | (3,185 | ) | $ | 0 | $ | 0 | $ | (3,185 | ) | $ | 3,330 | $ | 145 | ||||||||||||||
BPS |
0 | (2,997 | ) | 0 | 0 | (2,997 | ) | 0 | (2,997 | ) | ||||||||||||||||||||
NOM |
25,801 | 0 | 0 | 0 | 25,801 | (26,353 | ) | (552 | ) | |||||||||||||||||||||
RDR |
0 | (65,610 | ) | 0 | 0 | (65,610 | ) | 66,385 | 775 | |||||||||||||||||||||
SOG |
0 | (2,453 | ) | 0 | 0 | (2,453 | ) | 2,562 | 109 | |||||||||||||||||||||
SSB |
202 | 0 | 0 | 0 | 202 | (206 | ) | (4 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 26,003 | $ | (74,245 | ) | $ | 0 | $ | 0 |
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (74,245 | ) | $ | 0 | $ | 0 | $ | (74,245 | ) | ||||||||||
Total Borrowings |
$ | 0 | $ | (74,245 | ) | $ | 0 | $ | 0 | $ | (74,245 | ) | ||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
$ | (74,245 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 1,364,932 | $ | 0 | $ | 1,364,932 | ||||||||||
Industrials |
0 | 1,042,919 | 0 | 1,042,919 | ||||||||||||||
Utilities |
0 | 488,139 | 0 | 488,139 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arkansas |
0 | 923 | 0 | 923 | ||||||||||||||
California |
0 | 12,956 | 0 | 12,956 | ||||||||||||||
Oregon |
0 | 3,504 | 0 | 3,504 | ||||||||||||||
Texas |
0 | 4,404 | 0 | 4,404 | ||||||||||||||
U.S. Government Agencies |
0 | 87,273 | 0 | 87,273 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 268,983 | 8,981 | 277,964 | ||||||||||||||
Asset-Backed Securities |
0 | 334,820 | 0 | 334,820 | ||||||||||||||
Sovereign Issues |
0 | 134,330 | 0 | 134,330 |
68 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
$ | 0 | $ | 13,651 | $ | 0 | $ | 13,651 | ||||||||||
Commercial Paper |
0 | 118,645 | 0 | 118,645 | ||||||||||||||
Repurchase Agreements |
0 | 26,001 | 0 | 26,001 | ||||||||||||||
Short-Term Notes |
0 | 57,333 | 0 | 57,333 | ||||||||||||||
Total Investments |
$ | 0 | $ | 3,958,813 | $ | 8,981 | $ | 3,967,794 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 69 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
70 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon bond. |
(b) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 444 | Fannie Mae 2.140% due 11/07/2022 | $ | (456 | ) | $ | 444 | $ | 445 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (456 | ) | $ | 444 | $ | 445 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable
for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
0.450 | % | 10/07/2015 | 04/07/2016 | $ (4,313 | ) | $ | (4,318 | ) | |||||||||||||
0.450 | 12/02/2015 | 04/07/2016 | (11,406 | ) | (11,410 | ) | ||||||||||||||||
0.650 | 11/24/2015 | 01/25/2016 | (504 | ) | (505 | ) | ||||||||||||||||
BRC |
0.880 | 12/08/2015 | 01/08/2016 | GBP (3,225 | ) | (4,757 | ) | |||||||||||||||
BSN |
0.430 | 11/04/2015 | 01/05/2016 | $ (4,364 | ) | (4,367 | ) | |||||||||||||||
GRE |
0.580 | 11/16/2015 | 01/15/2016 | (2,730 | ) | (2,732 | ) | |||||||||||||||
JPS |
0.450 | 12/30/2015 | 01/25/2016 | (100 | ) | (100 | ) | |||||||||||||||
SCX |
0.390 | 10/13/2015 | 01/13/2016 | (1,258 | ) | (1,259 | ) | |||||||||||||||
0.570 | 11/25/2015 | 01/21/2016 | (499 | ) | (500 | ) | ||||||||||||||||
0.580 | 12/04/2015 | 02/04/2016 | (347 | ) | (347 | ) | ||||||||||||||||
Total Reverse Repurchase Agreements |
$ | (30,295 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 71 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable
for Sale-Buyback Transactions (3) |
|||||||||||||||||
GSC |
0.829 | % | 12/04/2015 | 01/04/2016 | $ (4,010 | ) | $ | (4,013 | ) | |||||||||||||
MSC |
0.520 | 11/13/2015 | 01/12/2016 | (1,102 | ) | (1,103 | ) | |||||||||||||||
TDM |
0.549 | 11/16/2015 | 02/12/2016 | (895 | ) | (895 | ) | |||||||||||||||
0.650 | 12/08/2015 | 01/08/2016 | CAD (2,268 | ) | (1,640 | ) | ||||||||||||||||
Total Sale-Buyback Transactions |
$ | (7,651 | ) |
(2) |
The average amount of borrowings outstanding during the period ended December 31, 2015 was $(38,983) at a weighted average interest rate of 0.370% |
(3) |
Payable for sale-buyback transactions includes $(1) of deferred price drop. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
(d) | Securities with an aggregate market value of $37,684 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (4) |
||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||
BOS |
$ | 0 | $ | (16,233 | ) | $ | 0 | $ | (16,233 | ) | $ | 16,162 | $ | (71 | ) | |||||||||||
BRC |
0 | (4,757 | ) | 0 | (4,757 | ) | 4,688 | (69 | ) | |||||||||||||||||
BSN |
0 | (4,367 | ) | 0 | (4,367 | ) | 4,338 | (29 | ) | |||||||||||||||||
GRE |
0 | (2,732 | ) | 0 | (2,732 | ) | 2,724 | (8 | ) | |||||||||||||||||
JPS |
0 | (100 | ) | 0 | (100 | ) | 100 | 0 | ||||||||||||||||||
SCX |
0 | (2,106 | ) | 0 | (2,106 | ) | 2,068 | (38 | ) | |||||||||||||||||
SSB |
445 | 0 | 0 | 445 | (456 | ) | (11 | ) | ||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||
GSC |
0 | 0 | (4,013 | ) | (4,013 | ) | 3,980 | (33 | ) | |||||||||||||||||
MSC |
0 | 0 | (1,103 | ) | (1,103 | ) | 1,090 | (13 | ) | |||||||||||||||||
TDM |
0 | 0 | (2,535 | ) | (2,535 | ) | 2,535 | 0 | ||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 445 | $ | (30,295 | ) | $ | (7,651 | ) |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||||
Sovereign Issues |
0 | (4,757 | ) | 0 | 0 | (4,757 | ) | |||||||||||||||
U.S. Treasury Obligations |
0 | (9,463 | ) | (347 | ) | (15,728 | ) | (25,538 | ) | |||||||||||||
Total |
$ | 0 | $ | (14,220 | ) | $ | (347 | ) | $ | (15,728 | ) | $ | (30,295 | ) | ||||||||
Sale-Buyback Transactions |
||||||||||||||||||||||
Sovereign Issues |
0 | (1,640 | ) | 0 | 0 | (1,640 | ) | |||||||||||||||
U.S. Treasury Obligations |
0 | (5,116 | ) | (895 | ) | 0 | (6,011 | ) | ||||||||||||||
Total |
$ | 0 | $ | (6,756 | ) | $ | (895 | ) | $ | 0 | $ | (7,651 | ) | |||||||||
Total Borrowings |
$ | 0 | $ | (20,976 | ) | $ | (1,242 | ) | $ | (15,728 | ) | $ | (37,946 | ) | ||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
$ | (37,946 | ) |
72 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
(e) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
Call Options Strike @ USD 99.250 on United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Short | 03/2016 | 26 | $ | 2 | $ | 0 | $ | 0 | |||||||||||||||||
Euro-BTP Italy Government Bond March Futures |
Long | 03/2016 | 4 | (6 | ) | 3 | 0 | |||||||||||||||||||
Euro-Bund 10-Year Bond March Futures |
Short | 03/2016 | 2 | 5 | 0 | 0 | ||||||||||||||||||||
Put Options Strike @ GBP 98.000 on United Kingdom 90-Day LIBOR Sterling December Futures |
Short | 12/2016 | 93 | 1 | 0 | 0 | ||||||||||||||||||||
Put Options Strike @ GBP 98.500 on United Kingdom 90-Day LIBOR Sterling December Futures |
Long | 12/2016 | 93 | (4 | ) | 0 | 0 | |||||||||||||||||||
Put Options Strike @ USD 98.625 on United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Long | 03/2016 | 26 | 2 | 1 | 0 | ||||||||||||||||||||
Put Options Strike @ USD 98.625 on United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Short | 03/2016 | 26 | (1 | ) | 0 | 0 | |||||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Short | 03/2016 | 19 | 7 | 0 | (6 | ) | |||||||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Short | 03/2016 | 37 | (9 | ) | 0 | (19 | ) | ||||||||||||||||||
Total Futures Contracts |
$ | (3 | ) | $ | 4 | $ | (25 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive |
Floating Rate Index |
Fixed Rate |
Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | % | 12/16/2017 | $ | 10,700 | $ | (78 | ) | $ | 33 | $ | 0 | $ | (2 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 12/16/2020 | 4,400 | (60 | ) | 21 | 0 | (7 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.225 | 09/16/2025 | 300 | (3 | ) | (3 | ) | 0 | (1 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
3.000 | 09/16/2025 | 1,700 | (21 | ) | (16 | ) | 0 | (4 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.800 | 10/28/2025 | 7,000 | (22 | ) | 3 | 0 | (14 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 12/16/2025 | 3,500 | (107 | ) | (160 | ) | 0 | (14 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 | 12/16/2045 | 650 | (1 | ) | (2 | ) | 3 | (3 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 | 12/14/2046 | 200 | 0 | 0 | 2 | 0 | ||||||||||||||||||||||||||||
Pay |
6-Month EUR-EURIBOR |
1.000 | 03/16/2026 | EUR | 800 | (4 | ) | (7 | ) | 0 | (1 | ) | ||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.500 | 03/16/2018 | GBP | 6,100 | (56 | ) | 12 | 3 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.088 | 12/04/2024 | 500 | (10 | ) | (3 | ) | 2 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.000 | 03/16/2026 | 1,580 | 8 | 3 | 8 | 0 | ||||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.250 | 03/16/2046 | 1,520 | (45 | ) | (12 | ) | 17 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
6.710 | 09/20/2029 | MXN | 300 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||
$ | (399 | ) | $ | (131 | ) | $ | 35 | $ | (46 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (399 | ) | $ | (131 | ) | $ | 35 | $ | (46 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:
Cash of $1,054 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Market Value | Variation
Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 4 | $ | 35 | $ | 39 | $ | 0 | $ | (25 | ) | $ | (46 | ) | $ | (71 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 73 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
(f) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
AZD |
01/2016 | AUD | 2,416 | $ | 1,733 | $ | 0 | $ | (28 | ) | ||||||||||||||||||||
01/2016 | $ | 2,585 | NZD | 3,770 | 0 | (7 | ) | |||||||||||||||||||||||
02/2016 | NZD | 3,770 | $ | 2,581 | 7 | 0 | ||||||||||||||||||||||||
02/2016 | $ | 1,730 | AUD | 2,416 | 28 | 0 | ||||||||||||||||||||||||
BOA |
01/2016 | BRL | 2,847 | $ | 748 | 28 | 0 | |||||||||||||||||||||||
01/2016 | CAD | 2,526 | 1,819 | 0 | (7 | ) | ||||||||||||||||||||||||
01/2016 | NZD | 3,770 | 2,458 | 0 | (120 | ) | ||||||||||||||||||||||||
01/2016 | $ | 726 | BRL | 2,847 | 1 | (7 | ) | |||||||||||||||||||||||
01/2016 | 13,425 | EUR | 12,218 | 0 | (147 | ) | ||||||||||||||||||||||||
02/2016 | BRL | 678 | $ | 168 | 0 | (1 | ) | |||||||||||||||||||||||
02/2016 | EUR | 12,218 | 13,435 | 148 | 0 | |||||||||||||||||||||||||
02/2016 | TWD | 20,141 | 621 | 10 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 1,819 | CAD | 2,526 | 7 | 0 | ||||||||||||||||||||||||
05/2016 | ZAR | 29,214 | $ | 1,975 | 130 | 0 | ||||||||||||||||||||||||
10/2016 | BRL | 800 | 203 | 18 | 0 | |||||||||||||||||||||||||
BPS |
01/2016 | 3,135 | 816 | 24 | 0 | |||||||||||||||||||||||||
01/2016 | GBP | 136 | 208 | 7 | 0 | |||||||||||||||||||||||||
01/2016 | TRY | 600 | 205 | 0 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 814 | BRL | 3,135 | 0 | (21 | ) | |||||||||||||||||||||||
02/2016 | COP | 259,257 | $ | 83 | 2 | 0 | ||||||||||||||||||||||||
04/2016 | CLP | 878,098 | 1,235 | 9 | 0 | |||||||||||||||||||||||||
10/2016 | BRL | 500 | 120 | 5 | 0 | |||||||||||||||||||||||||
01/2017 | 900 | 207 | 5 | 0 | ||||||||||||||||||||||||||
BRC |
02/2016 | 6,557 | 1,631 | 0 | (10 | ) | ||||||||||||||||||||||||
02/2016 | $ | 291 | COP | 932,655 | 2 | 0 | ||||||||||||||||||||||||
03/2016 | 146 | MXN | 2,516 | 0 | (1 | ) | ||||||||||||||||||||||||
CBK |
01/2016 | BRL | 3,632 | $ | 1,089 | 171 | 0 | |||||||||||||||||||||||
01/2016 | $ | 948 | BRL | 3,632 | 0 | (30 | ) | |||||||||||||||||||||||
01/2016 | 289 | ILS | 1,130 | 1 | 0 | |||||||||||||||||||||||||
01/2016 | 1,997 | TRY | 5,846 | 5 | 0 | |||||||||||||||||||||||||
01/2016 | 366 | ZAR | 5,698 | 2 | 0 | |||||||||||||||||||||||||
02/2016 | AUD | 3,259 | $ | 2,289 | 0 | (81 | ) | |||||||||||||||||||||||
02/2016 | EUR | 149 | 164 | 2 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 188 | COP | 594,174 | 0 | (2 | ) | |||||||||||||||||||||||
02/2016 | 550 | INR | 37,198 | 8 | 0 | |||||||||||||||||||||||||
03/2016 | MXN | 98,212 | $ | 5,633 | 0 | (38 | ) | |||||||||||||||||||||||
04/2016 | $ | 220 | CLP | 158,345 | 1 | 0 | ||||||||||||||||||||||||
10/2016 | BRL | 300 | $ | 73 | 3 | 0 | ||||||||||||||||||||||||
DUB |
01/2016 | 23,345 | 5,958 | 57 | 0 | |||||||||||||||||||||||||
01/2016 | GBP | 404 | 603 | 8 | 0 | |||||||||||||||||||||||||
01/2016 | KRW | 4,642 | 4 | 0 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 6,175 | BRL | 23,345 | 0 | (274 | ) | |||||||||||||||||||||||
02/2016 | ILS | 1,132 | $ | 290 | 0 | (1 | ) | |||||||||||||||||||||||
02/2016 | $ | 98 | AUD | 136 | 1 | 0 | ||||||||||||||||||||||||
02/2016 | 5,900 | BRL | 23,345 | 0 | (57 | ) | ||||||||||||||||||||||||
02/2016 | 1,861 | ILS | 7,217 | 0 | (4 | ) | ||||||||||||||||||||||||
01/2017 | BRL | 1,100 | $ | 254 | 7 | 0 | ||||||||||||||||||||||||
FBF |
02/2016 | 13,812 | 3,438 | 0 | (19 | ) | ||||||||||||||||||||||||
GLM |
01/2016 | JPY | 869,800 | 7,121 | 0 | (116 | ) | |||||||||||||||||||||||
01/2016 | $ | 224 | EUR | 206 | 0 | 0 |
74 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
02/2016 | SEK | 627 | $ | 72 | $ | 0 | $ | (2 | ) | |||||||||||||||||||||
03/2016 | MXN | 12,753 | 744 | 7 | 0 | |||||||||||||||||||||||||
01/2017 | BRL | 2,400 | 562 | 21 | 0 | |||||||||||||||||||||||||
HUS |
01/2016 | 22 | 6 | 0 | 0 | |||||||||||||||||||||||||
01/2016 | EUR | 15,021 | 16,008 | 0 | (317 | ) | ||||||||||||||||||||||||
01/2016 | $ | 6 | BRL | 22 | 0 | 0 | ||||||||||||||||||||||||
01/2016 | 1,627 | CAD | 2,200 | 0 | (37 | ) | ||||||||||||||||||||||||
01/2016 | 4,796 | GBP | 3,182 | 0 | (105 | ) | ||||||||||||||||||||||||
01/2016 | 192 | TRY | 566 | 2 | 0 | |||||||||||||||||||||||||
02/2016 | COP | 4,940,995 | $ | 1,676 | 126 | 0 | ||||||||||||||||||||||||
03/2016 | $ | 1,272 | MXN | 22,125 | 5 | 0 | ||||||||||||||||||||||||
JPM |
01/2016 | BRL | 5,495 | $ | 1,407 | 18 | 0 | |||||||||||||||||||||||
01/2016 | CNH | 1,522 | 235 | 4 | 0 | |||||||||||||||||||||||||
01/2016 | KRW | 268,087 | 231 | 3 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 1,458 | BRL | 5,495 | 0 | (69 | ) | |||||||||||||||||||||||
01/2016 | 1,896 | CAD | 2,526 | 0 | (70 | ) | ||||||||||||||||||||||||
01/2016 | 2,613 | EUR | 2,382 | 0 | (24 | ) | ||||||||||||||||||||||||
01/2016 | 9,345 | GBP | 6,297 | 0 | (62 | ) | ||||||||||||||||||||||||
01/2016 | 1,967 | KRW | 2,313,484 | 1 | 0 | |||||||||||||||||||||||||
02/2016 | BRL | 4,781 | $ | 1,195 | 0 | (2 | ) | |||||||||||||||||||||||
02/2016 | DKK | 23,304 | 3,367 | 0 | (30 | ) | ||||||||||||||||||||||||
02/2016 | GBP | 6,297 | 9,345 | 61 | 0 | |||||||||||||||||||||||||
02/2016 | ILS | 2,508 | 643 | 0 | (2 | ) | ||||||||||||||||||||||||
02/2016 | JPY | 12,050 | 98 | 0 | (2 | ) | ||||||||||||||||||||||||
02/2016 | SEK | 6,070 | 706 | 0 | (14 | ) | ||||||||||||||||||||||||
02/2016 | $ | 8,799 | BRL | 35,381 | 56 | 0 | ||||||||||||||||||||||||
02/2016 | 1,528 | DKK | 10,465 | 0 | (3 | ) | ||||||||||||||||||||||||
02/2016 | 83 | GBP | 56 | 0 | 0 | |||||||||||||||||||||||||
02/2016 | 546 | NZD | 838 | 25 | 0 | |||||||||||||||||||||||||
04/2016 | BRL | 4,580 | $ | 1,400 | 277 | 0 | ||||||||||||||||||||||||
04/2016 | $ | 265 | CLP | 189,562 | 0 | 0 | ||||||||||||||||||||||||
05/2016 | ZAR | 1,438 | $ | 97 | 6 | 0 | ||||||||||||||||||||||||
10/2016 | BRL | 1,200 | 298 | 21 | 0 | |||||||||||||||||||||||||
01/2017 | 2,300 | 541 | 23 | 0 | ||||||||||||||||||||||||||
MSB |
01/2016 | GBP | 5,862 | 8,838 | 196 | 0 | ||||||||||||||||||||||||
01/2016 | KRW | 323,478 | 280 | 5 | 0 | |||||||||||||||||||||||||
01/2016 | TRY | 646 | 221 | 1 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 7,184 | JPY | 869,800 | 52 | 0 | ||||||||||||||||||||||||
02/2016 | CAD | 4,827 | $ | 3,635 | 146 | 0 | ||||||||||||||||||||||||
02/2016 | JPY | 827,400 | 6,842 | 0 | (46 | ) | ||||||||||||||||||||||||
NAB |
01/2016 | $ | 1,738 | AUD | 2,416 | 22 | 0 | |||||||||||||||||||||||
SCX |
01/2016 | TRY | 2,660 | $ | 901 | 0 | (7 | ) | ||||||||||||||||||||||
02/2016 | SGD | 333 | 237 | 2 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 97 | CAD | 130 | 0 | (3 | ) | |||||||||||||||||||||||
05/2016 | 122 | ZAR | 1,809 | 0 | (7 | ) | ||||||||||||||||||||||||
SOG |
02/2016 | 351 | COP | 1,115,938 | 0 | (1 | ) | |||||||||||||||||||||||
05/2016 | ZAR | 1,382 | $ | 95 | 8 | 0 | ||||||||||||||||||||||||
UAG |
01/2016 | $ | 234 | EUR | 215 | 0 | 0 | |||||||||||||||||||||||
01/2016 | 158 | GBP | 105 | 0 | (3 | ) | ||||||||||||||||||||||||
01/2016 | 432 | INR | 28,549 | 0 | (2 | ) | ||||||||||||||||||||||||
02/2016 | ILS | 281 | $ | 73 | 1 | 0 | ||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 1,786 | $ | (1,779 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 75 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
PURCHASED OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||
CBK |
Put - OTC 1-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.500 | % | 04/11/2016 | $ | 15,100 | $ | 13 | $ | 0 | ||||||||||||||||
FBF |
Put - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 3.400 | 12/05/2016 | 1,800 | 13 | 8 | ||||||||||||||||||||
GLM |
Put - OTC 1-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 0.950 | 01/05/2016 | 6,200 | 4 | 0 | ||||||||||||||||||||
Put - OTC 1-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.500 | 04/29/2016 | 5,800 | 5 | 1 | |||||||||||||||||||||
$ | 35 | $ | 9 | |||||||||||||||||||||||||
Total Purchased Options |
$ | 35 | $ | 9 |
* | This security has a forward starting effective date. See Note 2a for further information. |
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||
JPM |
Put - OTC CDX.IG-25 5-Year Index |
Sell | 1.100 | % | 01/20/2016 | $ | 200 | $ | 0 | $ | 0 | |||||||||||||||||||
Put - OTC CDX.IG-25 5-Year Index |
Sell | 1.100 | 02/17/2016 | 200 | (1 | ) | 0 | |||||||||||||||||||||||
Put - OTC CDX.IG-25 5-Year Index |
Sell | 1.200 | 02/17/2016 | 200 | 0 | 0 | ||||||||||||||||||||||||
$ | (1 | ) | $ | 0 |
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||||
DUB |
Put - OTC USD versus BRL |
BRL | 3.700 | 01/14/2016 | $ | 400 | $ | (7 | ) | $ | 0 | |||||||||||||||||||||
FBF |
Call - OTC USD versus BRL |
4.000 | 03/17/2016 | 200 | (8 | ) | (10 | ) | ||||||||||||||||||||||||
$ | (15 | ) | $ | (10 | ) |
INFLATION-CAPPED OPTIONS
Counterparty | Description | Initial Index |
Floating Rate | Expiration Date (1) |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||
DUB |
Cap - OTC CPURNSA Index |
236.119 | Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0 | 06/01/2016 | $ | 200 | $ | 0 | $ | 0 | ||||||||||||||||||||
GLM |
Cap - OTC CPALEMU Index |
117.930 | Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0 | 06/22/2035 | EUR | 300 | (14 | ) | (8 | ) | ||||||||||||||||||||
JPM |
Cap - OTC YOY CPURNSA Index |
233.707 | Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0 | 04/10/2020 | $ | 3,900 | 0 | 21 | ||||||||||||||||||||||
Floor - OTC YOY CPURNSA Index |
233.707 | Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 | 04/10/2020 | 3,900 | 0 | (1 | ) | |||||||||||||||||||||||
Floor - OTC YOY CPURNSA Index |
234.810 | Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 | 03/24/2020 | 1,100 | (12 | ) | (14 | ) | ||||||||||||||||||||||
$ | (26 | ) | $ | (2 | ) |
(1) |
YOY options may have a series of expirations. |
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||
FBF |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.400 | % | 12/05/2016 | $ | 1,800 | $ | (14 | ) | $ | (11 | ) | ||||||||||||||||||
GLM |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.500 | 01/19/2016 | 1,500 | (6 | ) | (1 | ) | ||||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Pay | 3.000 | 01/19/2016 | 1,500 | (6 | ) | (1 | ) | |||||||||||||||||||||||
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.500 | 02/18/2016 | 6,600 | (21 | ) | (10 | ) | |||||||||||||||||||||||
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.400 | 03/14/2016 | 3,200 | (12 | ) | (5 | ) | |||||||||||||||||||||||
JPM |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.500 | 01/25/2016 | 110 | (1 | ) | 0 | |||||||||||||||||||||||
NGF |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.400 | 03/14/2016 | 800 | (3 | ) | (1 | ) | ||||||||||||||||||||||
RYL |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 2.500 | 01/25/2016 | 1,190 | (4 | ) | (1 | ) | ||||||||||||||||||||||
$ | (67 | ) | $ | (30 | ) | |||||||||||||||||||||||||||
Total Written Options |
$ | (109 | ) | $ | (42 | ) |
* | This security has a forward starting effective date. See Note 2a for further information. |
76 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2015:
#
of Contracts |
Notional Amount in $ |
Notional Amount in EUR |
Notional Amount in GBP |
Premiums | ||||||||||||||||||||||||||
Balance at Beginning of Period |
12 | $ | 23,300 | EUR | 7,300 | GBP | 1,200 | $ | (138 | ) | ||||||||||||||||||||
Sales |
0 | 35,580 | 2,940 | 0 | (211 | ) | ||||||||||||||||||||||||
Closing Buys |
0 | (18,673 | ) | (4,100 | ) | (800 | ) | 142 | ||||||||||||||||||||||
Expirations |
(6 | ) | (7,800 | ) | (3,740 | ) | (400 | ) | 61 | |||||||||||||||||||||
Exercised |
(6 | ) | (5,407 | ) | (2,100 | ) | 0 | 37 | ||||||||||||||||||||||
Balance at End of Period |
0 | $ | 27,000 | EUR | 300 | GBP | 0 | $ | (109 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Counterparty | Pay/ Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BOA |
Receive |
3-Month EUR-EXT-CPI Index |
1.018 | % | 11/15/2020 | EUR | 4,250 | $ | 0 | $ | (39 | ) | $ | 0 | $ | (39 | ) | |||||||||||||||||||||
Receive |
3-Month USD-CPURNSA Index |
1.010 | 10/16/2017 | $ | 100 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Receive |
3-Month USD-CPURNSA Index |
1.730 | 08/26/2025 | 100 | 0 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
BRC |
Pay |
1-Year BRL-CDI |
13.030 | 01/02/2018 | BRL | 500 | 0 | (6 | ) | 0 | (6 | ) | ||||||||||||||||||||||||||
CBK |
Pay |
1-Month GBP-UKRPI |
3.190 | 04/15/2030 | GBP | 400 | 0 | 3 | 3 | 0 | ||||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.350 | 05/15/2030 | 300 | 0 | 13 | 13 | 0 | ||||||||||||||||||||||||||||||
DUB |
Receive |
3-Month EUR-EXT-CPI Index |
0.650 | 10/15/2018 | EUR | 1,400 | 1 | (3 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
FBF |
Pay |
1-Month GBP-UKRPI |
3.353 | 05/15/2030 | GBP | 100 | 0 | 5 | 5 | 0 | ||||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.335 | 04/15/2035 | 300 | 0 | 1 | 1 | 0 | ||||||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.550 | 11/15/2044 | 900 | (1 | ) | 110 | 109 | 0 | |||||||||||||||||||||||||||||
GLM |
Pay |
1-Month GBP-UKRPI |
3.140 | 01/14/2030 | 950 | 0 | 9 | 9 | 0 | |||||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.320 | 05/15/2030 | 300 | 0 | 11 | 11 | 0 | ||||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
13.730 | 01/02/2018 | BRL | 3,600 | 0 | (36 | ) | 0 | (36 | ) | |||||||||||||||||||||||||||
Receive |
3-Month EUR-EXT-CPI Index |
0.650 | 09/15/2018 | EUR | 1,500 | (3 | ) | 0 | 0 | (3 | ) | |||||||||||||||||||||||||||
Receive |
3-Month EUR-EXT-CPI Index |
0.650 | 10/15/2018 | 700 | 0 | (1 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||||
HUS |
Pay |
1-Year BRL-CDI |
15.710 | 01/04/2021 | BRL | 6,500 | 0 | (27 | ) | 0 | (27 | ) | ||||||||||||||||||||||||||
JPM |
Pay |
1-Year BRL-CDI |
13.730 | 01/02/2018 | 20,200 | (35 | ) | (165 | ) | 0 | (200 | ) | ||||||||||||||||||||||||||
UAG |
Receive |
3-Month EUR-EXT-CPI Index |
0.610 | 09/15/2018 | EUR | 2,600 | 0 | (2 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-CPURNSA Index |
2.063 | 05/12/2025 | $ | 1,300 | 0 | 27 | 27 | 0 | |||||||||||||||||||||||||||||
$ | (38 | ) | $ | (99 | ) | $ | 179 | $ | (316 | ) | ||||||||||||||||||||||||||||
Total Swap Agreements |
$ | (38 | ) | $ | (99 | ) | $ | 179 | $ | (316 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:
(g) | Securities with an aggregate market value of $885 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 35 | $ | 0 | $ | 0 | $ | 35 | $ | (35 | ) | $ | 0 | $ | 0 | $ | (35 | ) | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
BOA |
342 | 0 | 1 | 343 | (282 | ) | 0 | (39 | ) | (321 | ) | 22 | 0 | 22 | ||||||||||||||||||||||||||||||||||
BPS |
52 | 0 | 0 | 52 | (21 | ) | 0 | 0 | (21 | ) | 31 | 0 | 31 | |||||||||||||||||||||||||||||||||||
BRC |
2 | 0 | 0 | 2 | (11 | ) | 0 | (6 | ) | (17 | ) | (15 | ) | 0 | (15 | ) | ||||||||||||||||||||||||||||||||
CBK |
193 | 0 | 16 | 209 | (151 | ) | 0 | 0 | (151 | ) | 58 | (160 | ) | (102 | ) | |||||||||||||||||||||||||||||||||
DUB |
73 | 0 | 0 | 73 | (336 | ) | 0 | (2 | ) | (338 | ) | (265 | ) | 52 | (213 | ) | ||||||||||||||||||||||||||||||||
FBF |
0 | 8 | 115 | 123 | (19 | ) | (21 | ) | 0 | (40 | ) | 83 | (20 | ) | 63 | |||||||||||||||||||||||||||||||||
GLM |
28 | 1 | 20 | 49 | (118 | ) | (25 | ) | (40 | ) | (183 | ) | (134 | ) | 0 | (134 | ) | |||||||||||||||||||||||||||||||
HUS |
133 | 0 | 0 | 133 | (459 | ) | 0 | (27 | ) | (486 | ) | (353 | ) | 623 | 270 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 77 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||||||||||||||||
JPM |
$ | 495 | $ | 0 | $ | 0 | $ | 495 | $ | (278 | ) | $ | 6 | $ | (200 | ) | $ | (472 | ) | $ | 23 | $ | 0 | $ | 23 | |||||||||||||||||||||||
MSB |
400 | 0 | 0 | 400 | (46 | ) | 0 | 0 | (46 | ) | 354 | (310 | ) | 44 | ||||||||||||||||||||||||||||||||||
NAB |
22 | 0 | 0 | 22 | 0 | 0 | 0 | 0 | 22 | 0 | 22 | |||||||||||||||||||||||||||||||||||||
NGF |
0 | 0 | 0 | 0 | 0 | (1 | ) | 0 | (1 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
RYL |
0 | 0 | 0 | 0 | 0 | (1 | ) | 0 | (1 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
SCX |
2 | 0 | 0 | 2 | (17 | ) | 0 | 0 | (17 | ) | (15 | ) | 0 | (15 | ) | |||||||||||||||||||||||||||||||||
SOG |
8 | 0 | 0 | 8 | (1 | ) | 0 | 0 | (1 | ) | 7 | 0 | 7 | |||||||||||||||||||||||||||||||||||
UAG |
1 | 0 | 27 | 28 | (5 | ) | 0 | (2 | ) | (7 | ) | 21 | 0 | 21 | ||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 1,786 | $ | 9 | $ | 179 | $ | 1,974 | $ | (1,779 | ) | $ | (42 | ) | $ | (316 | ) | $ | (2,137 | ) |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 4 | $ | 4 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 35 | 35 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 39 | $ | 39 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,786 | $ | 0 | $ | 1,786 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 9 | 9 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 179 | 179 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,786 | $ | 188 | $ | 1,974 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,786 | $ | 227 | $ | 2,013 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 25 | $ | 25 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 46 | 46 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 71 | $ | 71 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,779 | $ | 0 | $ | 1,779 | ||||||||||||||
Written Options |
0 | 0 | 0 | 10 | 32 | 42 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 316 | 316 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,789 | $ | 348 | $ | 2,137 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,789 | $ | 419 | $ | 2,208 |
78 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (6 | ) | $ | (6 | ) | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | 5 | 5 | ||||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (407 | ) | (407 | ) | ||||||||||||||||||
Swap Agreements |
0 | 3 | 0 | 0 | (214 | ) | (211 | ) | ||||||||||||||||||
$ | 0 | $ | 3 | $ | 0 | $ | 0 | $ | (622 | ) | $ | (619 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 2,600 | $ | 0 | $ | 2,600 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (36 | ) | (36 | ) | ||||||||||||||||||
Written Options |
0 | 9 | 0 | 11 | 74 | 94 | ||||||||||||||||||||
Swap Agreements |
0 | 2 | 0 | 0 | (222 | ) | (220 | ) | ||||||||||||||||||
$ | 0 | $ | 11 | $ | 0 | $ | 2,611 | $ | (184 | ) | $ | 2,438 | ||||||||||||||
$ | 0 | $ | 14 | $ | 0 | $ | 2,611 | $ | (806 | ) | $ | 1,819 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||||
Written Options |
0 | 0 | 0 | 0 | (2 | ) | (2 | ) | ||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | 68 | 68 | ||||||||||||||||||||
Swap Agreements |
0 | 10 | 0 | 0 | (288 | ) | (278 | ) | ||||||||||||||||||
$ | 0 | $ | 10 | $ | 0 | $ | 0 | $ | (221 | ) | $ | (211 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (709 | ) | $ | 0 | $ | (709 | ) | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (25 | ) | (25 | ) | ||||||||||||||||||
Written Options |
0 | 7 | 0 | (19 | ) | 54 | 42 | |||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (81 | ) | (81 | ) | ||||||||||||||||||
$ | 0 | $ | 7 | $ | 0 | $ | (728 | ) | $ | (52 | ) | $ | (773 | ) | ||||||||||||
$ | 0 | $ | 17 | $ | 0 | $ | (728 | ) | $ | (273 | ) | $ | (984 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Australia |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 413 | $ | 0 | $ | 413 | ||||||||||
Brazil |
||||||||||||||||||
Sovereign Issues |
0 | 2,098 | 0 | 2,098 | ||||||||||||||
Canada |
||||||||||||||||||
Sovereign Issues |
0 | 1,640 | 0 | 1,640 | ||||||||||||||
Chile |
||||||||||||||||||
Sovereign Issues |
0 | 3,077 | 0 | 3,077 | ||||||||||||||
Colombia |
||||||||||||||||||
Sovereign Issues |
0 | 3,192 | 0 | 3,192 | ||||||||||||||
Denmark |
||||||||||||||||||
Sovereign Issues |
0 | 1,826 | 0 | 1,826 | ||||||||||||||
France |
||||||||||||||||||
Sovereign Issues |
0 | 2,275 | 0 | 2,275 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 79 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Germany |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 94 | $ | 0 | $ | 94 | ||||||||||
India |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 1,303 | 0 | 1,303 | ||||||||||||||
Israel |
||||||||||||||||||
Sovereign Issues |
0 | 633 | 0 | 633 | ||||||||||||||
Italy |
||||||||||||||||||
Sovereign Issues |
0 | 8,779 | 0 | 8,779 | ||||||||||||||
Japan |
||||||||||||||||||
Sovereign Issues |
0 | 6,871 | 0 | 6,871 | ||||||||||||||
Mexico |
||||||||||||||||||
Sovereign Issues |
0 | 12,545 | 0 | 12,545 | ||||||||||||||
New Zealand |
||||||||||||||||||
Sovereign Issues |
0 | 1,996 | 0 | 1,996 | ||||||||||||||
Slovenia |
||||||||||||||||||
Sovereign Issues |
0 | 226 | 0 | 226 | ||||||||||||||
South Africa |
||||||||||||||||||
Sovereign Issues |
0 | 4,571 | 0 | 4,571 | ||||||||||||||
South Korea |
||||||||||||||||||
Sovereign Issues |
0 | 1,363 | 0 | 1,363 | ||||||||||||||
Spain |
||||||||||||||||||
Sovereign Issues |
0 | 891 | 0 | 891 | ||||||||||||||
Sweden |
||||||||||||||||||
Sovereign Issues |
0 | 780 | 0 | 780 | ||||||||||||||
Turkey |
||||||||||||||||||
Sovereign Issues |
0 | 5,322 | 0 | 5,322 | ||||||||||||||
United Kingdom |
||||||||||||||||||
Sovereign Issues |
0 | 8,892 | 0 | 8,892 | ||||||||||||||
United States |
||||||||||||||||||
U.S. Government Agencies |
0 | 1,316 | 0 | 1,316 | ||||||||||||||
U.S. Treasury Obligations |
0 | 41,847 | 0 | 41,847 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 444 | 0 | 444 | ||||||||||||||
Short-Term Notes |
0 | 200 | 0 | 200 | ||||||||||||||
Total Investments |
$ | 0 | $ | 112,594 | $ | 0 | $ | 112,594 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
4 | 35 | 0 | 39 | ||||||||||||||
Over the counter |
0 | 1,974 | 0 | 1,974 | ||||||||||||||
$ | 4 | $ | 2,009 | $ | 0 | $ | 2,013 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(25 | ) | (46 | ) | 0 | (71 | ) | |||||||||||
Over the counter |
0 | (2,137 | ) | 0 | (2,137 | ) | ||||||||||||
$ | (25 | ) | $ | (2,183 | ) | $ | 0 | $ | (2,208 | ) | ||||||||
Totals |
$ | (21 | ) | $ | 112,420 | $ | 0 | $ | 112,399 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
80 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 81 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
82 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon bond. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 83 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 550 | Fannie Mae 2.140% due 11/07/2022 | $ | (564 | ) | $ | 550 | $ | 551 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (564 | ) | $ | 550 | $ | 551 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||
SSB |
$ | 551 | $ | 0 | $ | 0 | $ | 551 | $ | (564 | ) | $ | (13 | ) | ||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 551 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (238 | ) | $ | (238 | ) | ||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (35 | ) | $ | (35 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Alabama |
$ | 0 | $ | 1,902 | $ | 0 | $ | 1,902 | ||||||||||
Arizona |
0 | 7,465 | 0 | 7,465 | ||||||||||||||
Arkansas |
0 | 379 | 0 | 379 | ||||||||||||||
California |
0 | 21,622 | 0 | 21,622 | ||||||||||||||
Colorado |
0 | 2,191 | 0 | 2,191 | ||||||||||||||
District of Columbia |
0 | 3,548 | 0 | 3,548 | ||||||||||||||
Florida |
0 | 10,799 | 0 | 10,799 | ||||||||||||||
Georgia |
0 | 3,533 | 0 | 3,533 |
84 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Guam |
$ | 0 | $ | 869 | $ | 0 | $ | 869 | ||||||||||
Hawaii |
0 | 2,441 | 0 | 2,441 | ||||||||||||||
Illinois |
0 | 24,068 | 0 | 24,068 | ||||||||||||||
Indiana |
0 | 3,362 | 0 | 3,362 | ||||||||||||||
Iowa |
0 | 516 | 0 | 516 | ||||||||||||||
Kansas |
0 | 537 | 0 | 537 | ||||||||||||||
Kentucky |
0 | 1,022 | 0 | 1,022 | ||||||||||||||
Maryland |
0 | 71 | 0 | 71 | ||||||||||||||
Massachusetts |
0 | 6,395 | 0 | 6,395 | ||||||||||||||
Michigan |
0 | 3,611 | 0 | 3,611 | ||||||||||||||
Minnesota |
0 | 1,079 | 0 | 1,079 | ||||||||||||||
Missouri |
0 | 2,606 | 0 | 2,606 | ||||||||||||||
Nevada |
0 | 1,761 | 0 | 1,761 | ||||||||||||||
New Hampshire |
0 | 1,591 | 0 | 1,591 | ||||||||||||||
New Jersey |
0 | 5,559 | 0 | 5,559 | ||||||||||||||
New Mexico |
0 | 531 | 0 | 531 | ||||||||||||||
New York |
0 | 33,550 | 0 | 33,550 | ||||||||||||||
North Carolina |
0 | 6,009 | 0 | 6,009 | ||||||||||||||
Ohio |
0 | 19,140 | 0 | 19,140 | ||||||||||||||
Oregon |
0 | 534 | 0 | 534 | ||||||||||||||
Pennsylvania |
0 | 13,146 | 0 | 13,146 | ||||||||||||||
Rhode Island |
0 | 7,962 | 0 | 7,962 | ||||||||||||||
South Dakota |
0 | 2,147 | 0 | 2,147 | ||||||||||||||
Tennessee |
0 | 6,381 | 0 | 6,381 | ||||||||||||||
Texas |
0 | 18,276 | 0 | 18,276 | ||||||||||||||
Virginia |
0 | 2,296 | 0 | 2,296 | ||||||||||||||
Washington |
0 | 4,293 | 0 | 4,293 | ||||||||||||||
Wisconsin |
0 | 1,231 | 0 | 1,231 | ||||||||||||||
U.S. Treasury Obligations |
0 | 8,701 | 0 | 8,701 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 550 | 0 | 550 | ||||||||||||||
U.S. Treasury Bills |
0 | 3,400 | 0 | 3,400 | ||||||||||||||
Total Investments |
$ | 0 | $ | 235,074 | $ | 0 | $ | 235,074 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 85 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund
86 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 87 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon bond. |
(b) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 515 | Fannie Mae 2.170% due 10/17/2022 | $ | (526 | ) | $ | 515 | $ | 516 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (526 | ) | $ | 515 | $ | 516 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BPG |
0.630 | % | 10/05/2015 | 01/05/2016 | $ | (2,806 | ) | $ | (2,811 | ) | ||||||||||||
0.630 | 10/06/2015 | 01/06/2016 | (2,729 | ) | (2,733 | ) | ||||||||||||||||
JPS |
0.370 | 11/17/2015 | 01/19/2016 | (7,591 | ) | (7,594 | ) | |||||||||||||||
RDR |
0.630 | 10/08/2015 | 01/08/2016 | (3,303 | ) | (3,308 | ) | |||||||||||||||
0.630 | 10/22/2015 | 01/21/2016 | (2,254 | ) | (2,257 | ) | ||||||||||||||||
SGY |
0.150 | 12/21/2015 | 01/15/2016 | (1,407 | ) | (1,407 | ) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ | (20,110 | ) |
88 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
GSC |
0.909 | % | 12/09/2015 | 01/08/2016 | $ | (1,509 | ) | $ | (1,510 | ) | ||||||||||||
Total Sale-Buyback Transactions |
$ | (1,510 | ) |
(2) |
The average amount of borrowings outstanding during the period ended December 31, 2015 was $(28,782) at a weighted average interest rate of 0.468%. |
(3) |
Payable for sale-buyback transactions include $(1) of deferred price drop. |
SHORT SALES:
SHORT SALES ON U.S. TREASURY OBLIGATIONS
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales (4) |
|||||||||||||||||
U.S. Treasury Notes |
1.625 | % | 07/31/2020 | $ | 11,500 | $ | (11,434 | ) | $ | (11,529 | ) | |||||||||||
Total Short Sales |
$ | (11,434 | ) | $ | (11,529 | ) |
(4) |
Payable for short sales includes $80 of accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
(d) | Securities with an aggregate market value of $21,972 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Payable for Short Sales |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (5) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BPG |
$ | 0 | $ | (5,544 | ) | $ | 0 | $ | 0 | $ | (5,544 | ) | $ | 5,715 | $ | 171 | ||||||||||||||
JPS |
0 | (7,594 | ) | 0 | 0 | (7,594 | ) | 7,561 | (33 | ) | ||||||||||||||||||||
RDR |
0 | (5,565 | ) | 0 | 0 | (5,565 | ) | 5,795 | 230 | |||||||||||||||||||||
SGY |
0 | (1,407 | ) | 0 | 0 | (1,407 | ) | 1,397 | (10 | ) | ||||||||||||||||||||
SSB |
516 | 0 | 0 | 0 | 516 | (526 | ) | (10 | ) | |||||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
GSC |
0 | 0 | (1,510 | ) | 0 | (1,510 | ) | 1,504 | (6 | ) | ||||||||||||||||||||
NOM |
0 | 0 | 0 | (11,529 | ) | (11,529 | ) | 0 | (11,529 | ) | ||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 516 | $ | (20,110 | ) | $ | (1,510 | ) | $ | (11,529 | ) |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | (11,109 | ) | $ | 0 | $ | 0 | $ | (11,109 | ) | ||||||||||
U.S. Treasury Obligations |
0 | (9,001 | ) | 0 | 0 | (9,001 | ) | |||||||||||||||
Total |
$ | 0 | $ | (20,110 | ) | $ | 0 | $ | 0 | $ | (20,110 | ) | ||||||||||
Sale-Buyback Transactions |
||||||||||||||||||||||
U.S. Treasury Obligations |
0 | (1,510 | ) | 0 | 0 | (1,510 | ) | |||||||||||||||
Total |
$ | 0 | $ | (1,510 | ) | $ | 0 | $ | 0 | $ | (1,510 | ) | ||||||||||
Total Borrowings |
$ | 0 | $ | (21,620 | ) | $ | 0 | $ | 0 | $ | (21,620 | ) | ||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
$ | (21,620 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 89 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
(e) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
#
of Contracts |
Cost | Market Value |
|||||||||||||||||
Call - CBOT U.S. Treasury 10-Year Note March Futures |
$ | 128.000 | 02/19/2016 | 59 | $ | 30 | $ | 14 | ||||||||||||||
Total Purchased Options |
$ | 30 | $ | 14 |
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
#
of Contracts |
Premiums (Received) |
Market Value |
|||||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
$ | 117.750 | 02/19/2016 | 34 | $ | (19 | ) | $ | (10 | ) | ||||||||||||
Call - CME 90-Day Eurodollar December Futures |
98.750 | 12/19/2016 | 350 | (320 | ) | (164 | ) | |||||||||||||||
Put - CME 90-Day Eurodollar December Futures |
98.750 | 12/19/2016 | 350 | (196 | ) | (146 | ) | |||||||||||||||
$ | (535 | ) | $ | (320 | ) | |||||||||||||||||
Total Written Options |
$ | (535 | ) | $ | (320 | ) |
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
3-Month Euribor March Futures |
Long | 03/2018 | 122 | $ | 54 | $ | 3 | $ | 0 | |||||||||||||||||
90-Day Eurodollar September Futures |
Short | 09/2018 | 77 | 22 | 0 | (6 | ) | |||||||||||||||||||
Australia Government 3-Year Note March Futures |
Long | 03/2016 | 143 | 31 | 0 | (16 | ) | |||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Short | 03/2018 | 171 | (7 | ) | 13 | (3 | ) | ||||||||||||||||||
Total Futures Contracts |
$ | 100 | $ | 16 | $ | (25 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
3-Month CAD-Bank Bill |
1.000 | % | 12/15/2017 | CAD | 38,200 | $ | 37 | $ | 4 | $ | 7 | $ | 0 | ||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 12/16/2020 | $ | 7,300 | (107 | ) | (139 | ) | 0 | (13 | ) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 12/16/2022 | 7,300 | (154 | ) | (240 | ) | 0 | (23 | ) | |||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
4.195 | 10/05/2017 | MXN | 201,400 | (20 | ) | (13 | ) | 10 | 0 | |||||||||||||||||||||||||
$ | (244 | ) | $ | (388 | ) | $ | 17 | $ | (36 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (244 | ) | $ | (388 | ) | $ | 17 | $ | (36 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:
Cash of $1,498 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 14 | $ | 16 | $ | 17 | $ | 47 | $ | (320 | ) | $ | (25 | ) | $ | (36 | ) | $ | (381 | ) |
90 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
(f) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency to |
Currency to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
02/2016 | EUR | 623 | $ | 674 | $ | 0 | $ | (3 | ) | ||||||||||||||||||||
BPS |
01/2016 | BRL | 4,100 | 1,249 | 212 | 0 | ||||||||||||||||||||||||
01/2016 | $ | 1,050 | BRL | 4,100 | 0 | (14 | ) | |||||||||||||||||||||||
CBK |
02/2016 | AUD | 3,266 | $ | 2,294 | 0 | (81 | ) | ||||||||||||||||||||||
02/2016 | CZK | 6,016 | 251 | 9 | 0 | |||||||||||||||||||||||||
02/2016 | EUR | 541 | 594 | 5 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 570 | CZK | 14,024 | 0 | (6 | ) | |||||||||||||||||||||||
02/2016 | 115 | EUR | 106 | 1 | 0 | |||||||||||||||||||||||||
DUB |
02/2016 | CZK | 6,015 | $ | 253 | 11 | 0 | |||||||||||||||||||||||
GLM |
01/2016 | JPY | 426,500 | 3,492 | 0 | (57 | ) | |||||||||||||||||||||||
01/2016 | $ | 1,663 | JPY | 205,100 | 43 | 0 | ||||||||||||||||||||||||
03/2016 | MXN | 1,441 | $ | 84 | 1 | 0 | ||||||||||||||||||||||||
HUS |
01/2016 | BRL | 6,300 | 1,918 | 326 | 0 | ||||||||||||||||||||||||
01/2016 | $ | 1,613 | BRL | 6,300 | 0 | (21 | ) | |||||||||||||||||||||||
JPM |
01/2016 | BRL | 10,400 | $ | 2,663 | 35 | 0 | |||||||||||||||||||||||
01/2016 | $ | 2,634 | BRL | 10,400 | 0 | (5 | ) | |||||||||||||||||||||||
02/2016 | AUD | 127 | $ | 90 | 0 | (2 | ) | |||||||||||||||||||||||
02/2016 | CAD | 181 | 136 | 6 | 0 | |||||||||||||||||||||||||
02/2016 | EUR | 4,223 | 4,544 | 0 | (50 | ) | ||||||||||||||||||||||||
02/2016 | GBP | 370 | 562 | 16 | 0 | |||||||||||||||||||||||||
02/2016 | JPY | 112,800 | 917 | 0 | (23 | ) | ||||||||||||||||||||||||
02/2016 | $ | 133 | GBP | 90 | 0 | (1 | ) | |||||||||||||||||||||||
02/2016 | 1,428 | JPY | 175,900 | 37 | 0 | |||||||||||||||||||||||||
07/2016 | BRL | 11,100 | $ | 2,653 | 9 | 0 | ||||||||||||||||||||||||
09/2016 | CZK | 93,140 | 3,882 | 87 | 0 | |||||||||||||||||||||||||
MSB |
01/2016 | $ | 1,828 | JPY | 221,400 | 13 | 0 | |||||||||||||||||||||||
02/2016 | JPY | 221,400 | $ | 1,830 | 0 | (13 | ) | |||||||||||||||||||||||
09/2016 | $ | 3,816 | CZK | 93,177 | 0 | (19 | ) | |||||||||||||||||||||||
UAG |
02/2016 | CZK | 2,004 | $ | 83 | 3 | 0 | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 814 | $ | (295 | ) |
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2015:
# of Contracts |
Notional Amount in $ |
Notional |
Premiums | |||||||||||||||||||
Balance at Beginning of Period |
368 | $ | 0 | EUR | 0 | $ | (259 | ) | ||||||||||||||
Sales |
848 | 118,700 | 1,606 | (839 | ) | |||||||||||||||||
Closing Buys |
(482 | ) | (118,700 | ) | 0 | 560 | ||||||||||||||||
Expirations |
0 | 0 | (1,606 | ) | 3 | |||||||||||||||||
Exercised |
0 | 0 | 0 | 0 | ||||||||||||||||||
Balance at End of Period |
734 | $ | 0 | EUR | 0 | $ | (535 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 91 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION (1)
Counterparty |
Reference Entity |
Fixed |
Maturity |
Implied |
Notional |
Premiums |
Unrealized |
Swap Agreements, at Value |
||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BPS |
Mexico Government
International |
1.000 | % | 09/20/2020 | 1.639 | % | $ 1,300 | $ | (18 | ) | $ | (18 | ) | $ | 0 | $ | (36 | ) | ||||||||||||||||||
CBK |
Volvo Treasury AB |
1.000 | % | 12/20/2020 | 1.090 | EUR | 300 | (7 | ) | 6 | 0 | (1 | ) | |||||||||||||||||||||||
MYC |
Volvo Treasury AB |
1.000 | % | 12/20/2020 | 1.090 | 400 | (8 | ) | 6 | 0 | (2 | ) | ||||||||||||||||||||||||
$ | (33 | ) | $ | (6 | ) | $ | 0 | $ | (39 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (33 | ) | $ | (6 | ) | $ | 0 | $ | (39 | ) |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as 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. |
(3) |
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. |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:
Counterparty |
Financial Derivative Assets |
Financial Derivative Liabilities |
||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral Pledged |
Net Exposure (4) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | (3 | ) | $ | 0 | $ | (3 | ) | ||||||||||||||||||||||
BPS |
212 | 0 | 0 | 212 | (14 | ) | 0 | (36 | ) | (50 | ) | 162 | (260 | ) | (98 | ) | ||||||||||||||||||||||||||||||||
CBK |
15 | 0 | 0 | 15 | (87 | ) | 0 | (1 | ) | (88 | ) | (73 | ) | 0 | (73 | ) | ||||||||||||||||||||||||||||||||
DUB |
11 | 0 | 0 | 11 | 0 | 0 | 0 | 0 | 11 | (10 | ) | 1 | ||||||||||||||||||||||||||||||||||||
GLM |
44 | 0 | 0 | 44 | (57 | ) | 0 | 0 | (57 | ) | (13 | ) | 0 | (13 | ) | |||||||||||||||||||||||||||||||||
HUS |
326 | 0 | 0 | 326 | (21 | ) | 0 | 0 | (21 | ) | 305 | (330 | ) | (25 | ) | |||||||||||||||||||||||||||||||||
JPM |
190 | 0 | 0 | 190 | (81 | ) | 0 | 0 | (81 | ) | 109 | 0 | 109 | |||||||||||||||||||||||||||||||||||
MSB |
13 | 0 | 0 | 13 | (32 | ) | 0 | 0 | (32 | ) | (19 | ) | 0 | (19 | ) | |||||||||||||||||||||||||||||||||
MYC |
0 | 0 | 0 | 0 | 0 | 0 | (2 | ) | (2 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
UAG |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 814 | $ | 0 | $ | 0 | $ | 814 | $ | (295 | ) | $ | 0 | $ | (39 | ) | $ | (334 | ) |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
92 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 14 | $ | 14 | ||||||||||||||
Futures |
0 | 0 | 0 | 0 | 16 | 16 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 17 | 17 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 47 | $ | 47 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 814 | $ | 0 | $ | 814 | ||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 814 | $ | 47 | $ | 861 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 320 | $ | 320 | ||||||||||||||
Futures |
0 | 0 | 0 | 0 | 25 | 25 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 36 | 36 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 381 | $ | 381 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 295 | $ | 0 | $ | 295 | ||||||||||||||
Swap Agreements |
0 | 39 | 0 | 0 | 0 | 39 | ||||||||||||||||||||
$ | 0 | $ | 39 | $ | 0 | $ | 295 | $ | 0 | $ | 334 | |||||||||||||||
$ | 0 | $ | 39 | $ | 0 | $ | 295 | $ | 381 | $ | 715 |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 95 | $ | 95 | ||||||||||||||
Futures |
0 | 0 | 0 | 0 | (9 | ) | (9 | ) | ||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (71 | ) | (71 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 15 | $ | 15 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,016 | $ | 0 | $ | 1,016 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | (19 | ) | 20 | 1 | |||||||||||||||||||
Written Options |
0 | 0 | 0 | 3 | 32 | 35 | ||||||||||||||||||||
Swap Agreements |
0 | 8 | 0 | 0 | (4 | ) | 4 | |||||||||||||||||||
$ | 0 | $ | 8 | $ | 0 | $ | 1,000 | $ | 48 | $ | 1,056 | |||||||||||||||
$ | 0 | $ | 8 | $ | 0 | $ | 1,000 | $ | 63 | $ | 1,071 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 93 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2015
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (17 | ) | $ | (17 | ) | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | 153 | 153 | ||||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | 24 | 24 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (291 | ) | (291 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (131 | ) | $ | (131 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (47 | ) | $ | 0 | $ | (47 | ) | ||||||||||||
Swap Agreements |
0 | (6 | ) | 0 | 0 | 0 | (6 | ) | ||||||||||||||||||
$ | 0 | $ | (6 | ) | $ | 0 | $ | (47 | ) | $ | 0 | $ | (53 | ) | ||||||||||||
$ | 0 | $ | (6 | ) | $ | 0 | $ | (47 | ) | $ | (131 | ) | $ | (184 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 1,378 | $ | 0 | $ | 1,378 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 38,679 | 0 | 38,679 | ||||||||||||||
Industrials |
0 | 59,336 | 0 | 59,336 | ||||||||||||||
Utilities |
0 | 9,959 | 0 | 9,959 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
California |
0 | 506 | 0 | 506 | ||||||||||||||
Kansas |
0 | 499 | 0 | 499 | ||||||||||||||
U.S. Treasury Obligations |
0 | 15,447 | 0 | 15,447 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 5,942 | 0 | 5,942 | ||||||||||||||
Asset-Backed Securities |
0 | 9,429 | 186 | 9,615 | ||||||||||||||
Sovereign Issues |
0 | 4,324 | 0 | 4,324 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 515 | 0 | 515 | ||||||||||||||
Short-Term Notes |
0 | 692 | 0 | 692 | ||||||||||||||
Total Investments |
$ | 0 | $ | 146,706 | $ | 186 | $ | 146,892 | ||||||||||
Short Sales, at Value - Liabilities |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | (11,529 | ) | $ | 0 | $ | (11,529 | ) | ||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
16 | 31 | 0 | 47 | ||||||||||||||
Over the counter |
0 | 814 | 0 | 814 | ||||||||||||||
$ | 16 | $ | 845 | $ | 0 | $ | 861 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(335 | ) | (46 | ) | 0 | (381 | ) | |||||||||||
Over the counter |
0 | (334 | ) | 0 | (334 | ) | ||||||||||||
$ | (335 | ) | $ | (380 | ) | $ | 0 | $ | (715 | ) | ||||||||
Totals |
$ | (319 | ) | $ | 135,642 | $ | 186 | $ | 135,509 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
94 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 95 |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.010 | % | 12/31/2015 | 01/04/2016 | $ | 548 | Fannie Mae 2.140% due 11/07/2022 | $ | (559 | ) | $ | 548 | $ | 549 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (559 | ) | $ | 548 | $ | 549 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2015:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||
SSB |
$ | 549 | $ | 0 | $ | 0 | $ | 549 | $ | (559 | ) | $ | (10 | ) | ||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 549 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
96 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2015 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arizona |
$ | 0 | $ | 1,334 | $ | 0 | $ | 1,334 | ||||||||||
California |
0 | 1,261 | 0 | 1,261 | ||||||||||||||
Colorado |
0 | 1,150 | 0 | 1,150 | ||||||||||||||
Florida |
0 | 5,786 | 0 | 5,786 | ||||||||||||||
Georgia |
0 | 2,660 | 0 | 2,660 | ||||||||||||||
Illinois |
0 | 3,943 | 0 | 3,943 | ||||||||||||||
Louisiana |
0 | 354 | 0 | 354 | ||||||||||||||
Michigan |
0 | 1,567 | 0 | 1,567 | ||||||||||||||
Minnesota |
0 | 831 | 0 | 831 | ||||||||||||||
Nebraska |
0 | 2,056 | 0 | 2,056 | ||||||||||||||
Nevada |
0 | 2,101 | 0 | 2,101 | ||||||||||||||
New Mexico |
0 | 1,792 | 0 | 1,792 | ||||||||||||||
New York |
0 | 4,775 | 0 | 4,775 | ||||||||||||||
North Carolina |
0 | 1,350 | 0 | 1,350 | ||||||||||||||
Ohio |
0 | 4,096 | 0 | 4,096 | ||||||||||||||
Oklahoma |
0 | 445 | 0 | 445 | ||||||||||||||
Oregon |
0 | 260 | 0 | 260 | ||||||||||||||
Pennsylvania |
0 | 3,073 | 0 | 3,073 | ||||||||||||||
Texas |
0 | 6,355 | 0 | 6,355 | ||||||||||||||
Utah |
0 | 1,380 | 0 | 1,380 | ||||||||||||||
Virginia |
0 | 2,275 | 0 | 2,275 | ||||||||||||||
Washington |
0 | 1,000 | 0 | 1,000 | ||||||||||||||
Wisconsin |
0 | 806 | 0 | 806 | ||||||||||||||
U.S. Treasury Obligations |
0 | 4,200 | 0 | 4,200 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 548 | 0 | 548 | ||||||||||||||
Total Investments |
$ | 0 | $ | 55,398 | $ | 0 | $ | 55,398 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 97 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund
98 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 99 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon bond. |
(e) | Principal amount of security is adjusted for inflation. |
(f) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
100 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BOS |
0.420 | % | 12/21/2015 | 01/04/2016 | $ | 10,000 | U.S. Treasury Bonds 3.750% due 11/15/2043 | $ | (10,000 | ) | $ | 10,000 | $ | 10,002 | ||||||||||||||||||
SSB |
0.010 | 12/31/2015 | 01/04/2016 | 627 | Fannie Mae 2.140% due 11/07/2022 | (643 | ) | 627 | 628 | |||||||||||||||||||||||
Total Repurchase Agreements |
$ | (10,643 | ) | $ | 10,627 | $ | 10,630 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (3) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
GRE |
0.900 | % | 12/31/2015 | 01/05/2016 | $ | (8,292 | ) | $ | (8,293 | ) | ||||||||||||
GSC |
(1.000 | ) | 10/20/2015 | TBD | (2) | (5,699 | ) | (5,687 | ) | |||||||||||||
JPS |
0.470 | 12/03/2015 | 01/14/2016 | (9,761 | ) | (9,765 | ) | |||||||||||||||
SCX |
0.460 | 11/09/2015 | 02/09/2016 | (3,298 | ) | (3,300 | ) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ | (27,045 | ) |
(2) |
Open maturity reverse repurchase agreement. |
(3) |
As of December 31, 2015, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended December 31, 2015 was $(30,384) at a weighted average interest rate of 0.151%. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2015:
(h) Securities with an aggregate market value of $27,994 have been pledged as collateral under the terms of the following master agreements as of December 31, 2015.
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for |
Payable for |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (4) |
||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||
BOS |
$ | 10,002 | $ | 0 | $ | 0 | $ | 10,002 | $ | (10,000 | ) | $ | 2 | |||||||||||||
GRE |
0 | (8,293 | ) | 0 | (8,293 | ) | 8,278 | (15 | ) | |||||||||||||||||
GSC |
0 | (5,687 | ) | 0 | (5,687 | ) | 6,043 | 356 | ||||||||||||||||||
JPS |
0 | (9,765 | ) | 0 | (9,765 | ) | 9,654 | (111 | ) | |||||||||||||||||
SCX |
0 | (3,300 | ) | 0 | (3,300 | ) | 3,297 | (3 | ) | |||||||||||||||||
SSB |
628 | 0 | 0 | 628 | (643 | ) | (15 | ) | ||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 10,630 | $ | (27,045 | ) | $ | 0 |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | 0 | $ | 0 | $ | (5,687 | ) | $ | (5,687 | ) | ||||||||||
U.S. Government Obligations |
0 | (18,058 | ) | (3,300 | ) | 0 | (21,358 | ) | ||||||||||||||
Total Borrowings |
$ | 0 | $ | (18,058 | ) | $ | (3,300 | ) | $ | (5,687 | ) | $ | (27,045 | ) | ||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
$ | (27,045 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 101 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
(i) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
#
of Contracts |
Cost | Market Value |
|||||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
$ | 110.250 | 02/19/2016 | 1,100 | $ | 9 | $ | 8 | ||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
110.500 | 02/19/2016 | 1,156 | 10 | 9 | |||||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
110.750 | 02/19/2016 | 208 | 2 | 1 | |||||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
111.000 | 02/19/2016 | 770 | 7 | 6 | |||||||||||||||||
$ | 28 | $ | 24 | |||||||||||||||||||
Total Purchased Options |
$ | 28 | $ | 24 |
FUTURES CONTRACTS:
Description |
Type |
Expiration |
# of |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
3-Month Euribor March Futures |
Long | 03/2016 | 393 | $ | 5 | $ | 0 | $ | (5 | ) | ||||||||||||||||
90-Day Eurodollar June Futures |
Short | 06/2016 | 1,308 | (269 | ) | 0 | (33 | ) | ||||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2016 | 1,539 | (1,147 | ) | 0 | (58 | ) | ||||||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2017 | 195 | (104 | ) | 0 | (7 | ) | ||||||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2018 | 1,840 | (1,655 | ) | 0 | (115 | ) | ||||||||||||||||||
90-Day Eurodollar September Futures |
Short | 09/2016 | 1,572 | (939 | ) | 0 | (39 | ) | ||||||||||||||||||
Euro-Bobl March Futures |
Long | 03/2016 | 547 | (126 | ) | 24 | 0 | |||||||||||||||||||
Euro-Schatz March Futures |
Long | 03/2016 | 254 | 6 | 6 | 0 | ||||||||||||||||||||
Put Options Strike @ EUR 126.250 on Euro-Bobl 10-Year Bond March Futures |
Long | 02/2016 | 460 | 0 | 0 | 0 | ||||||||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Long | 03/2016 | 5,321 | (1,850 | ) | 748 | 0 | |||||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Short | 03/2016 | 3,000 | 1,036 | 0 | (891 | ) | |||||||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Long | 03/2016 | 412 | (77 | ) | 206 | 0 | |||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate December Futures |
Short | 12/2016 | 769 | 118 | 43 | 0 | ||||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Short | 03/2017 | 1,498 | 269 | 83 | 0 | ||||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures |
Short | 06/2017 | 76 | 32 | 4 | 0 | ||||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures |
Short | 09/2017 | 224 | 84 | 16 | (4 | ) | |||||||||||||||||||
Total Futures Contracts |
$ | (4,617 | ) | $ | 1,130 | $ | (1,152 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Maturity |
Notional |
Market |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
1-Day USD-Federal Funds Rate Compounded-OIS |
0.500 | % | 06/17/2016 | $ | 51,900 | $ | (112 | ) | $ | (87 | ) | $ | 0 | $ | (1 | ) | |||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 12/16/2019 | 59,100 | (1,030 | ) | 288 | 0 | (66 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 12/16/2022 | 137,600 | (2,933 | ) | (1,604 | ) | 0 | (439 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.350 | 08/05/2025 | 29,900 | (704 | ) | 147 | 0 | (99 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 12/16/2025 | 29,200 | (897 | ) | (307 | ) | 0 | (121 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 06/15/2026 | 49,400 | 157 | 141 | 0 | (202 | ) | |||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 | 12/16/2045 | 234,200 | (5,129 | ) | 3,432 | 0 | (1,982 | ) | ||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 06/15/2046 | 1,100 | 38 | (11 | ) | 0 | (9 | ) | ||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.880 | 10/05/2017 | GBP | 21,300 | (550 | ) | 44 | 6 | 0 | ||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.500 | 12/16/2017 | 71,200 | (893 | ) | 221 | 21 | 0 | |||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.500 | 03/16/2018 | 134,400 | (1,245 | ) | 586 | 68 | 0 | |||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.000 | 06/15/2018 | 11,700 | 100 | 59 | 6 | 0 | ||||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.250 | 09/21/2018 | 14,800 | 71 | 21 | 9 | 0 |
102 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Maturity |
Notional |
Market |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.500 | % | 09/21/2018 | GBP | 9,500 | $ | (24 | ) | $ | (8 | ) | $ | 6 | $ | 0 | ||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
3.610 | 03/14/2016 | MXN | 5,404,000 | (47 | ) | (47 | ) | 0 | (9 | ) | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
4.060 | 08/24/2016 | 856,600 | 110 | (72 | ) | 15 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
4.390 | 09/08/2017 | 60,800 | 11 | (7 | ) | 3 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.615 | 06/02/2020 | 96,500 | 65 | (54 | ) | 8 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.535 | 06/11/2020 | 191,200 | 82 | (51 | ) | 16 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
6.960 | 07/27/2020 | 265,500 | 1,037 | (205 | ) | 24 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.495 | 09/22/2020 | 183,400 | 28 | (105 | ) | 14 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.430 | 11/17/2021 | 1,118,700 | (1,143 | ) | (686 | ) | 100 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.375 | 01/07/2022 | 287,900 | (375 | ) | (124 | ) | 27 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
6.000 | 06/07/2022 | 297,900 | 102 | (186 | ) | 34 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.940 | 07/13/2022 | 147,100 | (24 | ) | 43 | 0 | (17 | ) | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.500 | 09/02/2022 | 64,500 | (92 | ) | (39 | ) | 8 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.975 | 09/16/2022 | 79,600 | 10 | (54 | ) | 10 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.910 | 09/22/2022 | 180,400 | (25 | ) | (131 | ) | 22 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.780 | 10/06/2022 | 55,900 | (31 | ) | 75 | 7 | 0 | |||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
6.530 | 06/05/2025 | 110,200 | 99 | (94 | ) | 15 | 0 | |||||||||||||||||||||||||||
$ | (13,344 | ) | $ | 1,185 | $ | 419 | $ | (2,945 | ) | |||||||||||||||||||||||||||
Total Swap Agreements |
$ | (13,344 | ) | $ | 1,185 | $ | 419 | $ | (2,945 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2015:
(j) | Securities with an aggregate market value of $39,201 and cash of $5,400 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2015. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Market Value | Variation
Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 24 | $ | 1,130 | $ | 419 | $ | 1,573 | $ | 0 | $ | (1,152 | ) | $ | (2,945 | ) | $ | (4,097 | ) |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
AZD |
01/2016 | MYR | 13,269 | $ | 3,093 | $ | 18 | $ | 0 | |||||||||||||||||||||
BOA |
01/2016 | BRL | 13,331 | 3,414 | 44 | 0 | ||||||||||||||||||||||||
01/2016 | MYR | 15,089 | 3,496 | 0 | (1 | ) | ||||||||||||||||||||||||
01/2016 | $ | 3,445 | BRL | 13,331 | 0 | (75 | ) | |||||||||||||||||||||||
01/2016 | 3,447 | TRY | 10,156 | 19 | 0 | |||||||||||||||||||||||||
02/2016 | EUR | 46,535 | $ | 50,371 | 0 | (247 | ) | |||||||||||||||||||||||
02/2016 | SGD | 3,290 | 2,309 | 0 | (8 | ) | ||||||||||||||||||||||||
02/2016 | THB | 128,668 | 3,584 | 13 | 0 | |||||||||||||||||||||||||
03/2016 | $ | 2,851 | MXN | 49,063 | 0 | (19 | ) | |||||||||||||||||||||||
06/2016 | EUR | 58,878 | $ | 80,612 | 16,326 | 0 | ||||||||||||||||||||||||
06/2016 | $ | 3,452 | EUR | 2,556 | 0 | (661 | ) | |||||||||||||||||||||||
BPS |
01/2016 | BRL | 37,223 | $ | 9,533 | 124 | 0 | |||||||||||||||||||||||
01/2016 | $ | 9,743 | BRL | 37,223 | 0 | (334 | ) | |||||||||||||||||||||||
02/2016 | TWD | 45,055 | $ | 1,388 | 23 | 0 | ||||||||||||||||||||||||
02/2016 | $ | 6,405 | ILS | 24,843 | 0 | (16 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 103 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
03/2016 | MXN | 835,308 | $ | 47,938 | $ | 29 | $ | (321 | ) | |||||||||||||||||||||
09/2016 | CNH | 43,372 | 6,592 | 157 | 0 | |||||||||||||||||||||||||
10/2016 | BRL | 110,000 | 25,632 | 241 | 0 | |||||||||||||||||||||||||
BRC |
01/2016 | 17,880 | 4,579 | 60 | 0 | |||||||||||||||||||||||||
01/2016 | THB | 145,668 | 4,033 | 0 | (14 | ) | ||||||||||||||||||||||||
01/2016 | $ | 4,510 | BRL | 17,880 | 10 | 0 | ||||||||||||||||||||||||
01/2016 | 4,287 | RUB | 281,701 | 0 | (437 | ) | ||||||||||||||||||||||||
01/2016 | 2,125 | TRY | 6,220 | 0 | (2 | ) | ||||||||||||||||||||||||
02/2016 | MYR | 17,405 | $ | 4,057 | 27 | 0 | ||||||||||||||||||||||||
02/2016 | THB | 74,846 | 2,071 | 0 | (6 | ) | ||||||||||||||||||||||||
02/2016 | TWD | 155,491 | 4,725 | 13 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 3,765 | ILS | 14,544 | 0 | (24 | ) | |||||||||||||||||||||||
03/2016 | 2,401 | MXN | 41,407 | 0 | (10 | ) | ||||||||||||||||||||||||
06/2016 | EUR | 11,049 | $ | 15,193 | 3,125 | 0 | ||||||||||||||||||||||||
CBK |
01/2016 | BRL | 49,237 | 12,580 | 142 | (7 | ) | |||||||||||||||||||||||
01/2016 | CNH | 17,803 | 2,712 | 12 | 0 | |||||||||||||||||||||||||
01/2016 | GBP | 117,493 | 177,508 | 4,300 | 0 | |||||||||||||||||||||||||
01/2016 | INR | 281,702 | 4,242 | 0 | (4 | ) | ||||||||||||||||||||||||
01/2016 | JPY | 222,900 | 1,836 | 0 | (18 | ) | ||||||||||||||||||||||||
01/2016 | KRW | 553,904 | 483 | 12 | 0 | |||||||||||||||||||||||||
01/2016 | MYR | 34,691 | 7,994 | 24 | (70 | ) | ||||||||||||||||||||||||
01/2016 | $ | 12,497 | BRL | 49,237 | 60 | (111 | ) | |||||||||||||||||||||||
01/2016 | 1,859 | JPY | 229,200 | 48 | 0 | |||||||||||||||||||||||||
01/2016 | 1,534 | PHP | 71,766 | 0 | (6 | ) | ||||||||||||||||||||||||
02/2016 | EUR | 12,589 | $ | 13,749 | 62 | (7 | ) | |||||||||||||||||||||||
02/2016 | $ | 1,651 | BRL | 6,629 | 9 | 0 | ||||||||||||||||||||||||
02/2016 | 105,347 | EUR | 98,327 | 1,607 | 0 | |||||||||||||||||||||||||
02/2016 | 3,542 | ILS | 13,740 | 1 | (9 | ) | ||||||||||||||||||||||||
02/2016 | 75,281 | JPY | 9,216,100 | 1,455 | 0 | |||||||||||||||||||||||||
03/2016 | MXN | 87,433 | $ | 4,995 | 0 | (53 | ) | |||||||||||||||||||||||
04/2016 | BRL | 5,100 | 1,506 | 255 | 0 | |||||||||||||||||||||||||
DUB |
01/2016 | 345,456 | 93,040 | 5,721 | 0 | |||||||||||||||||||||||||
01/2016 | KRW | 7,503,864 | 6,474 | 93 | 0 | |||||||||||||||||||||||||
01/2016 | MYR | 28,414 | 6,551 | 0 | (33 | ) | ||||||||||||||||||||||||
01/2016 | $ | 88,600 | BRL | 345,456 | 0 | (1,281 | ) | |||||||||||||||||||||||
01/2016 | 6,740 | KRW | 7,878,107 | 0 | (40 | ) | ||||||||||||||||||||||||
01/2016 | 7,776 | MYR | 33,613 | 37 | (18 | ) | ||||||||||||||||||||||||
02/2016 | BRL | 156,144 | $ | 39,459 | 380 | 0 | ||||||||||||||||||||||||
02/2016 | EUR | 57,270 | 77,068 | 14,789 | 0 | |||||||||||||||||||||||||
02/2016 | TWD | 82,012 | 2,507 | 22 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 1,828 | BRL | 7,194 | 0 | (28 | ) | |||||||||||||||||||||||
02/2016 | 2,316 | TWD | 75,764 | 0 | (20 | ) | ||||||||||||||||||||||||
05/2016 | 1,381 | MYR | 5,891 | 0 | (21 | ) | ||||||||||||||||||||||||
06/2016 | EUR | 6,201 | $ | 8,490 | 1,720 | 0 | ||||||||||||||||||||||||
06/2016 | $ | 3,897 | EUR | 2,883 | 0 | (749 | ) | |||||||||||||||||||||||
10/2016 | BRL | 352,200 | $ | 82,522 | 1,614 | (391 | ) | |||||||||||||||||||||||
FBF |
04/2016 | 109,137 | 29,072 | 2,472 | (161 | ) | ||||||||||||||||||||||||
GLM |
01/2016 | 15,923 | 4,159 | 134 | 0 | |||||||||||||||||||||||||
01/2016 | JPY | 10,593,612 | 86,233 | 0 | (1,904 | ) | ||||||||||||||||||||||||
01/2016 | PHP | 100,996 | 2,144 | 0 | (6 | ) | ||||||||||||||||||||||||
01/2016 | RUB | 162,532 | 2,270 | 48 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 4,047 | BRL | 15,923 | 0 | (22 | ) | |||||||||||||||||||||||
01/2016 | 4,959 | JPY | 607,700 | 97 | 0 |
104 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
01/2016 | $ | 4,362 | KRW | 5,088,102 | $ | 0 | $ | (35 | ) | |||||||||||||||||||||
01/2016 | 4,419 | MYR | 18,789 | 0 | (65 | ) | ||||||||||||||||||||||||
01/2016 | 8,223 | TRY | 24,021 | 0 | (24 | ) | ||||||||||||||||||||||||
02/2016 | EUR | 10,983 | $ | 11,966 | 20 | 0 | ||||||||||||||||||||||||
02/2016 | SGD | 1,966 | 1,399 | 15 | 0 | |||||||||||||||||||||||||
02/2016 | TWD | 144,617 | 4,413 | 30 | 0 | |||||||||||||||||||||||||
03/2016 | MXN | 16,236 | 940 | 2 | 0 | |||||||||||||||||||||||||
03/2016 | $ | 1,398 | MXN | 24,222 | 1 | 0 | ||||||||||||||||||||||||
03/2016 | 1,311 | RUB | 96,516 | 0 | (14 | ) | ||||||||||||||||||||||||
10/2016 | BRL | 23,600 | $ | 5,557 | 109 | 0 | ||||||||||||||||||||||||
HUS |
01/2016 | 44,000 | 13,008 | 1,886 | 0 | |||||||||||||||||||||||||
01/2016 | KRW | 2,887,613 | 2,537 | 81 | 0 | |||||||||||||||||||||||||
01/2016 | MYR | 3,908 | 905 | 0 | (1 | ) | ||||||||||||||||||||||||
01/2016 | $ | 11,268 | BRL | 44,000 | 0 | (147 | ) | |||||||||||||||||||||||
01/2016 | 844 | KRW | 978,618 | 0 | (12 | ) | ||||||||||||||||||||||||
01/2016 | 4,652 | TRY | 13,581 | 0 | (17 | ) | ||||||||||||||||||||||||
02/2016 | THB | 125,485 | $ | 3,466 | 0 | (17 | ) | |||||||||||||||||||||||
05/2016 | $ | 78 | MYR | 330 | 0 | (2 | ) | |||||||||||||||||||||||
09/2016 | CNH | 51,446 | $ | 7,815 | 185 | 0 | ||||||||||||||||||||||||
10/2016 | 40,743 | 6,208 | 174 | 0 | ||||||||||||||||||||||||||
12/2016 | 46,365 | 6,978 | 136 | 0 | ||||||||||||||||||||||||||
JPM |
01/2016 | BRL | 41,129 | 10,533 | 137 | 0 | ||||||||||||||||||||||||
01/2016 | KRW | 12,974,819 | 11,284 | 250 | 0 | |||||||||||||||||||||||||
01/2016 | MYR | 30,304 | 7,156 | 167 | (34 | ) | ||||||||||||||||||||||||
01/2016 | TRY | 66,848 | 22,476 | 0 | (340 | ) | ||||||||||||||||||||||||
01/2016 | TWD | 135,063 | 4,104 | 8 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 10,873 | BRL | 41,129 | 0 | (477 | ) | |||||||||||||||||||||||
01/2016 | 3,145 | GBP | 2,086 | 0 | (70 | ) | ||||||||||||||||||||||||
01/2016 | 14,294 | KRW | 16,668,214 | 0 | (119 | ) | ||||||||||||||||||||||||
01/2016 | 2,251 | TRY | 6,610 | 5 | 0 | |||||||||||||||||||||||||
02/2016 | CHF | 15,440 | $ | 15,452 | 22 | (10 | ) | |||||||||||||||||||||||
02/2016 | EUR | 38,285 | 41,508 | 28 | (164 | ) | ||||||||||||||||||||||||
02/2016 | JPY | 12,736,200 | 103,568 | 0 | (2,482 | ) | ||||||||||||||||||||||||
02/2016 | MYR | 4,556 | 1,067 | 12 | 0 | |||||||||||||||||||||||||
02/2016 | SGD | 9,593 | 6,792 | 38 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 7,391 | CHF | 7,534 | 143 | 0 | ||||||||||||||||||||||||
02/2016 | 8,940 | EUR | 8,134 | 0 | (92 | ) | ||||||||||||||||||||||||
02/2016 | 2,004 | GBP | 1,346 | 0 | (20 | ) | ||||||||||||||||||||||||
02/2016 | 25,643 | ILS | 99,478 | 4 | (61 | ) | ||||||||||||||||||||||||
03/2016 | 6,915 | MXN | 118,085 | 0 | (97 | ) | ||||||||||||||||||||||||
03/2016 | 1,069 | RUB | 78,860 | 0 | (9 | ) | ||||||||||||||||||||||||
09/2016 | CNH | 6,771 | $ | 1,032 | 28 | 0 | ||||||||||||||||||||||||
10/2016 | BRL | 146,100 | 33,906 | 184 | (2 | ) | ||||||||||||||||||||||||
10/2016 | CNH | 24,616 | 3,765 | 119 | 0 | |||||||||||||||||||||||||
MSB |
01/2016 | BRL | 60,400 | 21,004 | 5,737 | 0 | ||||||||||||||||||||||||
01/2016 | JPY | 1,865,300 | 15,378 | 0 | (141 | ) | ||||||||||||||||||||||||
01/2016 | $ | 15,371 | BRL | 60,400 | 59 | (163 | ) | |||||||||||||||||||||||
01/2016 | 173,747 | GBP | 117,358 | 0 | (738 | ) | ||||||||||||||||||||||||
01/2016 | 91,654 | JPY | 11,097,512 | 675 | 0 | |||||||||||||||||||||||||
01/2016 | 2,039 | TRY | 5,973 | 0 | 0 | |||||||||||||||||||||||||
02/2016 | GBP | 117,358 | $ | 173,758 | 735 | 0 | ||||||||||||||||||||||||
02/2016 | JPY | 11,097,512 | 91,707 | 0 | (676 | ) | ||||||||||||||||||||||||
02/2016 | TWD | 82,711 | 2,524 | 17 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 105 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency
to be Delivered |
Currency
to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
02/2016 | $ | 3,506 | CHF | 3,481 | $ | 0 | $ | (25 | ) | |||||||||||||||||||||
06/2016 | EUR | 15,595 | $ | 21,449 | 4,423 | 0 | ||||||||||||||||||||||||
07/2016 | BRL | 23,612 | 5,397 | 0 | (227 | ) | ||||||||||||||||||||||||
12/2016 | CNH | 61,321 | 9,217 | 167 | 0 | |||||||||||||||||||||||||
NAB |
06/2016 | EUR | 33,844 | 46,470 | 9,512 | 0 | ||||||||||||||||||||||||
07/2016 | 17,634 | 23,922 | 4,639 | 0 | ||||||||||||||||||||||||||
NGF |
01/2016 | THB | 114,911 | 3,184 | 0 | (8 | ) | |||||||||||||||||||||||
01/2016 | $ | 1,129 | KRW | 1,311,898 | 0 | (13 | ) | |||||||||||||||||||||||
RYL |
02/2016 | 1,529 | ILS | 5,956 | 3 | 0 | ||||||||||||||||||||||||
SCX |
01/2016 | BRL | 3,749 | $ | 960 | 12 | 0 | |||||||||||||||||||||||
01/2016 | KRW | 9,368,784 | 8,019 | 51 | 0 | |||||||||||||||||||||||||
01/2016 | MYR | 28,337 | 6,567 | 44 | (44 | ) | ||||||||||||||||||||||||
01/2016 | $ | 928 | BRL | 3,749 | 20 | 0 | ||||||||||||||||||||||||
01/2016 | 2,869 | CNH | 18,832 | 0 | (13 | ) | ||||||||||||||||||||||||
01/2016 | 6,190 | MYR | 26,111 | 0 | (139 | ) | ||||||||||||||||||||||||
02/2016 | SGD | 3,080 | $ | 2,188 | 19 | 0 | ||||||||||||||||||||||||
02/2016 | THB | 91,571 | 2,538 | 0 | (3 | ) | ||||||||||||||||||||||||
02/2016 | $ | 4,942 | EUR | 4,654 | 121 | 0 | ||||||||||||||||||||||||
05/2016 | 1,790 | MYR | 7,717 | 0 | (9 | ) | ||||||||||||||||||||||||
09/2016 | CNH | 89,904 | $ | 13,627 | 296 | 0 | ||||||||||||||||||||||||
SOG |
01/2016 | RUB | 201,768 | 2,835 | 77 | 0 | ||||||||||||||||||||||||
01/2016 | $ | 17,236 | RUB | 1,139,122 | 0 | (1,665 | ) | |||||||||||||||||||||||
02/2016 | ILS | 182,581 | $ | 47,186 | 226 | 0 | ||||||||||||||||||||||||
02/2016 | SGD | 4,813 | 3,399 | 11 | 0 | |||||||||||||||||||||||||
02/2016 | $ | 6,170 | ILS | 23,868 | 0 | (31 | ) | |||||||||||||||||||||||
03/2016 | 12,002 | RUB | 821,311 | 0 | (965 | ) | ||||||||||||||||||||||||
05/2016 | 2,030 | MYR | 8,729 | 0 | (15 | ) | ||||||||||||||||||||||||
UAG |
01/2016 | GBP | 2,785 | $ | 4,181 | 75 | 0 | |||||||||||||||||||||||
01/2016 | JPY | 1,048,600 | 8,543 | 0 | (181 | ) | ||||||||||||||||||||||||
01/2016 | MYR | 41,116 | 9,663 | 129 | 0 | |||||||||||||||||||||||||
01/2016 | $ | 1,242 | GBP | 834 | 0 | (12 | ) | |||||||||||||||||||||||
01/2016 | 4,369 | INR | 288,815 | 0 | (16 | ) | ||||||||||||||||||||||||
01/2016 | 14,708 | JPY | 1,796,000 | 235 | 0 | |||||||||||||||||||||||||
01/2016 | 449 | MYR | 1,936 | 0 | 0 | |||||||||||||||||||||||||
01/2016 | 632 | PHP | 29,834 | 3 | 0 | |||||||||||||||||||||||||
02/2016 | 2,357 | CHF | 2,402 | 45 | 0 | |||||||||||||||||||||||||
02/2016 | 29,528 | JPY | 3,611,700 | 544 | 0 | |||||||||||||||||||||||||
02/2016 | 1,856 | THB | 66,698 | 0 | (5 | ) | ||||||||||||||||||||||||
03/2016 | MXN | 55,031 | $ | 3,201 | 23 | 0 | ||||||||||||||||||||||||
03/2016 | $ | 5,259 | MXN | 90,922 | 0 | (9 | ) | |||||||||||||||||||||||
10/2016 | CNH | 5,363 | $ | 817 | 23 | 0 | ||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 87,048 | $ | (16,543 | ) |
106 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
PURCHASED OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||||
GLM |
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.930 | % | 08/20/2018 | $ | 4,400 | $ | 467 | $ | 400 | ||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.940 | 08/20/2018 | 3,900 | 381 | 351 | |||||||||||||||||||||||
MYC |
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.580 | 05/12/2016 | 13,300 | 426 | 94 | ||||||||||||||||||||||
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.580 | 05/23/2016 | 31,200 | 882 | 243 | |||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 3.020 | 08/21/2017 | 8,300 | 564 | 487 | |||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.905 | 08/20/2018 | 3,800 | 380 | 355 | |||||||||||||||||||||||
$ | 3,100 | $ | 1,930 |
OPTIONS ON SECURITIES
Counterparty |
Description |
Strike |
Expiration Date |
Notional |
Cost | Market Value |
||||||||||||||||||||||
JPM |
Put - OTC Fannie Mae 4.000% due 02/01/2046 |
$ 78.000 | 02/04/2016 | $ | 50,000 | $ | 2 | $ | 0 | |||||||||||||||||||
Total Purchased Options |
$ | 3,102 | $ | 1,930 |
WRITTEN OPTIONS:
FOREIGN CURRENCY OPTIONS
Counterparty | Description |
Strike |
Expiration Date |
Notional |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||||
BOA |
Put - OTC EUR versus USD |
$ | 1.082 | 01/15/2016 | EUR | 21,300 | $ | (135 | ) | $ | (112 | ) | ||||||||||||||||||||
CBK |
Put - OTC EUR versus USD |
1.078 | 01/22/2016 | 8,600 | (61 | ) | (52 | ) | ||||||||||||||||||||||||
Call - OTC USD versus RUB |
RUB | 71.500 | 02/24/2016 | $ | 2,300 | (45 | ) | (97 | ) | |||||||||||||||||||||||
Call - OTC USD versus RUB |
71.500 | 03/09/2016 | 4,100 | (88 | ) | (195 | ) | |||||||||||||||||||||||||
DUB |
Call - OTC USD versus BRL |
BRL | 4.550 | 03/17/2016 | 8,400 | (212 | ) | (97 | ) | |||||||||||||||||||||||
FBF |
Call - OTC USD versus BRL |
4.600 | 03/14/2016 | 12,500 | (352 | ) | (118 | ) | ||||||||||||||||||||||||
GLM |
Call - OTC USD versus BRL |
4.450 | 01/14/2016 | 15,200 | (312 | ) | (8 | ) | ||||||||||||||||||||||||
Call - OTC USD versus MXN |
MXN | 17.400 | 02/05/2016 | 9,400 | (92 | ) | (98 | ) | ||||||||||||||||||||||||
Call - OTC USD versus MXN |
17.650 | 03/08/2016 | 9,400 | (106 | ) | (112 | ) | |||||||||||||||||||||||||
HUS |
Call - OTC USD versus MXN |
18.100 | 03/11/2016 | 4,200 | (45 | ) | (29 | ) | ||||||||||||||||||||||||
Call - OTC USD versus RUB |
RUB | 70.000 | 01/19/2016 | 1,300 | (19 | ) | (52 | ) | ||||||||||||||||||||||||
Call - OTC USD versus RUB |
72.500 | 02/24/2016 | 2,100 | (42 | ) | (73 | ) | |||||||||||||||||||||||||
Call - OTC USD versus RUB |
87.000 | 12/08/2016 | 11,800 | (507 | ) | (603 | ) | |||||||||||||||||||||||||
SCX |
Call - OTC USD versus CNH |
CNH | 6.850 | 06/01/2016 | 10,100 | (93 | ) | (115 | ) | |||||||||||||||||||||||
$ | (2,109 | ) | $ | (1,761 | ) |
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||||
DUB |
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR | Pay | 1.900 | % | 02/16/2016 | $ | 34,700 | $ | (141 | ) | $ | (90 | ) | ||||||||||||||||||||
GLM |
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR | Pay | 2.800 | 08/20/2018 | 36,500 | (850 | ) | (648 | ) | ||||||||||||||||||||||||
MYC |
Put - OTC 2-Year Interest Rate Swap* |
3-Month USD-LIBOR | Pay | 2.500 | 05/12/2016 | 126,800 | (427 | ) | (74 | ) | ||||||||||||||||||||||||
Put - OTC 2-Year Interest Rate Swap* |
3-Month USD-LIBOR | Pay | 2.500 | 05/23/2016 | 296,200 | (926 | ) | (193 | ) | |||||||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR | Pay | 1.900 | 02/16/2016 | 130,800 | (539 | ) | (339 | ) | |||||||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR | Pay | 2.700 | 08/21/2017 | 36,700 | (569 | ) | (395 | ) | |||||||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR | Pay | 2.800 | 08/20/2018 | 16,600 | (370 | ) | (295 | ) | |||||||||||||||||||||||||
$ | (3,822 | ) | $ | (2,034 | ) | |||||||||||||||||||||||||||||
Total Written Options |
$ | (5,931 | ) | $ | (3,795 | ) |
* | This security has a forward starting effective date. See Note 2a for further information. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 107 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2015:
# of Contracts |
Notional Amount in $ |
Notional |
Notional |
Premiums | ||||||||||||||||||||||||||
Balance at Beginning of Period |
873 | $ | 574,700 | AUD | 0 | EUR | 104,000 | $ | (3,235 | ) | ||||||||||||||||||||
Sales |
3,325 | 728,700 | 63,400 | 318,500 | (10,432 | ) | ||||||||||||||||||||||||
Closing Buys |
0 | (1,000 | ) | (4,500 | ) | (93,000 | ) | 539 | ||||||||||||||||||||||
Expirations |
(3,524 | ) | (430,600 | ) | (34,700 | ) | (270,438 | ) | 5,677 | |||||||||||||||||||||
Exercised |
(674 | ) | (102,700 | ) | (24,200 | ) | (29,162 | ) | 1,520 | |||||||||||||||||||||
Balance at End of Period |
0 | $ | 769,100 | AUD | 0 | EUR | 29,900 | $ | (5,931 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION (1)
Counterparty |
Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2015 (2) |
Notional Amount (3) |
Premiums Paid/ (Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
BOA |
Volkswagen International Finance NV |
1.000 | % | 12/20/2016 | 1.169 | % | EUR | 2,700 | $ | (19 | ) | $ | 15 | $ | 0 | $ | (4 | ) | ||||||||||||||||||
BPS |
Petrobras International Finance Co. |
1.000 | 12/20/2019 | 9.956 | $ 2,600 | (246 | ) | (470 | ) | 0 | (716 | ) | ||||||||||||||||||||||||
Volkswagen International Finance NV |
1.000 | 12/20/2016 | 1.169 | EUR | 2,000 | (26 | ) | 23 | 0 | (3 | ) | |||||||||||||||||||||||||
Volkswagen International Finance NV |
1.000 | 12/20/2017 | 1.310 | 5,000 | (96 | ) | 65 | 0 | (31 | ) | ||||||||||||||||||||||||||
BRC |
Brazil Government International Bond |
1.000 | 03/20/2016 | 1.120 | $ 16,200 | (54 | ) | 56 | 2 | 0 | ||||||||||||||||||||||||||
Brazil Government International Bond |
1.000 | 12/20/2016 | 2.151 | 7,500 | (123 | ) | 42 | 0 | (81 | ) | ||||||||||||||||||||||||||
CBK |
BMW Finance NV |
1.000 | 12/20/2020 | 0.711 | EUR | 7,000 | (108 | ) | 219 | 111 | 0 | |||||||||||||||||||||||||
Goldman Sachs Group, Inc. |
1.000 | 09/20/2020 | 0.814 | $ 8,200 | (12 | ) | 84 | 72 | 0 | |||||||||||||||||||||||||||
MetLife, Inc. |
1.000 | 12/20/2020 | 0.874 | 6,200 | 8 | 31 | 39 | 0 | ||||||||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 09/20/2020 | 1.639 | 2,600 | (68 | ) | (5 | ) | 0 | (73 | ) | |||||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 12/20/2020 | 1.689 | 3,100 | (132 | ) | 34 | 0 | (98 | ) | ||||||||||||||||||||||||||
Tesco PLC |
1.000 | 12/20/2020 | 2.886 | EUR | 5,400 | (501 | ) | (4 | ) | 0 | (505 | ) | ||||||||||||||||||||||||
Volkswagen International Finance NV |
1.000 | 12/20/2017 | 1.310 | 2,000 | (46 | ) | 34 | 0 | (12 | ) | ||||||||||||||||||||||||||
GST |
Bank of America Corp. |
1.000 | 12/20/2020 | 0.723 | $ 6,000 | 19 | 62 | 81 | 0 | |||||||||||||||||||||||||||
Brazil Government International Bond |
1.000 | 12/20/2016 | 2.151 | 2,500 | (42 | ) | 15 | 0 | (27 | ) | ||||||||||||||||||||||||||
JPMorgan Chase & Co. |
1.000 | 12/20/2020 | 0.721 | 13,000 | 80 | 97 | 177 | 0 | ||||||||||||||||||||||||||||
MetLife, Inc. |
1.000 | 12/20/2020 | 0.874 | 5,000 | 25 | 7 | 32 | 0 | ||||||||||||||||||||||||||||
Morgan Stanley |
1.000 | 12/20/2020 | 0.847 | 5,200 | (19 | ) | 59 | 40 | 0 | |||||||||||||||||||||||||||
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 10.013 | 6,300 | (1,348 | ) | (620 | ) | 0 | (1,968 | ) | |||||||||||||||||||||||||
Petrobras International Finance Co. |
1.000 | 12/20/2019 | 9.956 | 5,700 | (560 | ) | (1,009 | ) | 0 | (1,569 | ) | |||||||||||||||||||||||||
HUS |
Mexico Government International Bond |
1.000 | 12/20/2019 | 1.446 | 17,800 | 105 | (400 | ) | 0 | (295 | ) | |||||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 12/20/2020 | 1.689 | 500 | (22 | ) | 6 | 0 | (16 | ) | ||||||||||||||||||||||||||
JPM |
Mexico Government International Bond |
1.000 | 12/20/2019 | 1.446 | 21,400 | 127 | (481 | ) | 0 | (354 | ) | |||||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 09/20/2020 | 1.639 | 2,600 | (73 | ) | 0 | 0 | (73 | ) | ||||||||||||||||||||||||||
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 10.013 | 3,200 | (683 | ) | (316 | ) | 0 | (999 | ) | |||||||||||||||||||||||||
$ | (3,814 | ) | $ | (2,456 | ) | $ | 554 | $ | (6,824 | ) |
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
Counterparty |
Index/Tranches |
Fixed |
Maturity |
Notional |
Premiums |
Unrealized |
Swap Agreements, at Value (4) | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
MYC |
CMBX.NA.AAA.3 Index |
0.080% | 12/13/2049 | $ | 11,321 | $ | (78 | ) | $ | 33 | $ | 0 | $ | (45 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
108 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as 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. |
(3) |
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. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Counterparty |
Pay/Receive Floating Rate |
Floating Rate Index |
Fixed Rate |
Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation |
Swap Agreements, at Value | ||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BOA |
Receive |
3-Month USD-CPURNSA Index |
0.400 | % | 09/25/2016 | $ | 5,500 | $ | 0 | $ | 16 | $ | 16 | $ | 0 | |||||||||||||||||||||||
Receive |
3-Month USD-CPURNSA Index |
1.730 | 08/26/2025 | 6,400 | 0 | 64 | 64 | 0 | ||||||||||||||||||||||||||||||
$ | 0 | $ | 80 | $ | 80 | $ | 0 | |||||||||||||||||||||||||||||||
Total Swap Agreements |
$ | (3,892 | ) | $ | (2,343 | ) | $ | 634 | $ | (6,869 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of December 31, 2015:
(l) | Securities with an aggregate market value of $12,373 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2015. |
Counterparty | Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (5) |
||||||||||||||||||||||||||||||||||||||
AZD |
$ | 18 | $ | 0 | $ | 0 | $ | 18 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 18 | $ | 0 | $ | 18 | ||||||||||||||||||||||||||
BOA |
16,402 | 0 | 80 | 16,482 | (1,011 | ) | (112 | ) | (4 | ) | (1,127 | ) | 15,355 | (14,620 | ) | 735 | ||||||||||||||||||||||||||||||||
BPS |
574 | 0 | 0 | 574 | (671 | ) | 0 | (750 | ) | (1,421 | ) | (847 | ) | 471 | (376 | ) | ||||||||||||||||||||||||||||||||
BRC |
3,235 | 0 | 2 | 3,237 | (493 | ) | 0 | (81 | ) | (574 | ) | 2,663 | (2,440 | ) | 223 | |||||||||||||||||||||||||||||||||
CBK |
7,987 | 0 | 222 | 8,209 | (285 | ) | (344 | ) | (688 | ) | (1,317 | ) | 6,892 | (5,680 | ) | 1,212 | ||||||||||||||||||||||||||||||||
DUB |
24,376 | 0 | 0 | 24,376 | (2,581 | ) | (187 | ) | 0 | (2,768 | ) | 21,608 | (27,220 | ) | (5,612 | ) | ||||||||||||||||||||||||||||||||
FBF |
2,472 | 0 | 0 | 2,472 | (161 | ) | (118 | ) | 0 | (279 | ) | 2,193 | (2,372 | ) | (179 | ) | ||||||||||||||||||||||||||||||||
GLM |
456 | 751 | 0 | 1,207 | (2,070 | ) | (866 | ) | 0 | (2,936 | ) | (1,729 | ) | 1,679 | (50 | ) | ||||||||||||||||||||||||||||||||
GST |
0 | 0 | 330 | 330 | 0 | 0 | (3,564 | ) | (3,564 | ) | (3,234 | ) | 3,059 | (175 | ) | |||||||||||||||||||||||||||||||||
HUS |
2,462 | 0 | 0 | 2,462 | (196 | ) | (757 | ) | (311 | ) | (1,264 | ) | 1,198 | (1,230 | ) | (32 | ) | |||||||||||||||||||||||||||||||
JPM |
1,145 | 0 | 0 | 1,145 | (3,977 | ) | 0 | (1,426 | ) | (5,403 | ) | (4,258 | ) | 4,585 | 327 | |||||||||||||||||||||||||||||||||
MSB |
11,813 | 0 | 0 | 11,813 | (1,970 | ) | 0 | 0 | (1,970 | ) | 9,843 | (9,830 | ) | 13 | ||||||||||||||||||||||||||||||||||
MYC |
0 | 1,179 | 0 | 1,179 | 0 | (1,296 | ) | (45 | ) | (1,341 | ) | (162 | ) | 176 | 14 | |||||||||||||||||||||||||||||||||
NAB |
14,151 | 0 | 0 | 14,151 | 0 | 0 | 0 | 0 | 14,151 | (13,600 | ) | 551 | ||||||||||||||||||||||||||||||||||||
NGF |
0 | 0 | 0 | 0 | (21 | ) | 0 | 0 | (21 | ) | (21 | ) | 0 | (21 | ) | |||||||||||||||||||||||||||||||||
RYL |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
SCX |
563 | 0 | 0 | 563 | (208 | ) | (115 | ) | 0 | (323 | ) | 240 | (210 | ) | 30 | |||||||||||||||||||||||||||||||||
SOG |
314 | 0 | 0 | 314 | (2,676 | ) | 0 | 0 | (2,676 | ) | (2,362 | ) | 2,294 | (68 | ) | |||||||||||||||||||||||||||||||||
UAG |
1,077 | 0 | 0 | 1,077 | (223 | ) | 0 | 0 | (223 | ) | 854 | (740 | ) | 114 | ||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 87,048 | $ | 1,930 | $ | 634 | $ | 89,612 | $ | (16,543 | ) | $ | (3,795 | ) | $ | (6,869 | ) | $ | (27,207 | ) |
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 109 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 24 | $ | 24 | ||||||||||||||
Futures |
0 | 0 | 0 | 0 | 1,130 | 1,130 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 419 | 419 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,573 | $ | 1,573 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 87,048 | $ | 0 | $ | 87,048 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 1,930 | 1,930 | ||||||||||||||||||||
Swap Agreements |
0 | 554 | 0 | 0 | 80 | 634 | ||||||||||||||||||||
$ | 0 | $ | 554 | $ | 0 | $ | 87,048 | $ | 2,010 | $ | 89,612 | |||||||||||||||
$ | 0 | $ | 554 | $ | 0 | $ | 87,048 | $ | 3,583 | $ | 91,185 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,152 | $ | 1,152 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 2,945 | 2,945 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 4,097 | $ | 4,097 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 16,543 | $ | 0 | $ | 16,543 | ||||||||||||||
Written Options |
0 | 0 | 0 | 1,761 | 2,034 | 3,795 | ||||||||||||||||||||
Swap Agreements |
0 | 6,869 | 0 | 0 | 0 | 6,869 | ||||||||||||||||||||
$ | 0 | $ | 6,869 | $ | 0 | $ | 18,304 | $ | 2,034 | $ | 27,207 | |||||||||||||||
$ | 0 | $ | 6,869 | $ | 0 | $ | 18,304 | $ | 6,131 | $ | 31,304 |
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2015:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain
(Loss) on Financial |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (31 | ) | $ | (31 | ) | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | 1,294 | 1,294 | ||||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (1,237 | ) | (1,237 | ) | ||||||||||||||||||
Swap Agreements |
0 | (9 | ) | 0 | 0 | (24,800 | ) | (24,809 | ) | |||||||||||||||||
$ | 0 | $ | (9 | ) | $ | 0 | $ | 0 | $ | (24,774 | ) | $ | (24,783 | ) | ||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (1,052 | ) | $ | 0 | $ | (1,052 | ) | ||||||||||||
Purchased Options |
0 | 0 | 0 | (29 | ) | (8 | ) | (37 | ) | |||||||||||||||||
Written Options |
0 | 75 | 0 | 4,096 | 686 | 4,857 | ||||||||||||||||||||
Swap Agreements |
0 | 2,497 | 0 | 0 | 2,990 | 5,487 | ||||||||||||||||||||
$ | 0 | $ | 2,572 | $ | 0 | $ | 3,015 | $ | 3,668 | $ | 9,255 | |||||||||||||||
$ | 0 | $ | 2,563 | $ | 0 | $ | 3,015 | $ | (21,106 | ) | $ | (15,528 | ) |
110 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (3 | ) | $ | (3 | ) | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | 32 | 32 | ||||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (1,442 | ) | (1,442 | ) | ||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 4,553 | 4,553 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 3,140 | $ | 3,140 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 33,857 | $ | 0 | $ | 33,857 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 28 | (1,530 | ) | (1,502 | ) | ||||||||||||||||||
Written Options |
0 | (3 | ) | 0 | 99 | 1,768 | 1,864 | |||||||||||||||||||
Swap Agreements |
0 | (1,698 | ) | 0 | 0 | 80 | (1,618 | ) | ||||||||||||||||||
$ | 0 | $ | (1,701 | ) | $ | 0 | $ | 33,984 | $ | 318 | $ | 32,601 | ||||||||||||||
$ | 0 | $ | (1,701 | ) | $ | 0 | $ | 33,984 | $ | 3,458 | $ | 35,741 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2015 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 |
Level 2 |
Level 3 |
Fair Value at |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 13,562 | $ | 0 | $ | 13,562 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 555,704 | 1,997 | 557,701 | ||||||||||||||
Industrials |
0 | 191,730 | 0 | 191,730 | ||||||||||||||
Utilities |
0 | 58,826 | 0 | 58,826 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
California |
0 | 20,819 | 0 | 20,819 | ||||||||||||||
Florida |
0 | 10,325 | 0 | 10,325 | ||||||||||||||
Illinois |
0 | 11,714 | 0 | 11,714 | ||||||||||||||
South Dakota |
0 | 8,070 | 0 | 8,070 | ||||||||||||||
U.S. Government Agencies |
0 | 922,362 | 0 | 922,362 | ||||||||||||||
U.S. Treasury Obligations |
0 | 1,045,410 | 0 | 1,045,410 | ||||||||||||||
Non-Agency Mortgage-Backed Securities |
0 | 158,566 | 0 | 158,566 | ||||||||||||||
Asset-Backed Securities |
0 | 61,497 | 0 | 61,497 | ||||||||||||||
Sovereign Issues |
0 | 281,592 | 0 | 281,592 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Commercial Paper |
0 | 71,639 | 0 | 71,639 | ||||||||||||||
Repurchase Agreements |
0 | 10,627 | 0 | 10,627 | ||||||||||||||
Japan Treasury Bills |
0 | 19,635 | 0 | 19,635 | ||||||||||||||
U.S. Treasury Bills |
0 | 10,291 | 0 | 10,291 | ||||||||||||||
Total Investments |
$ | 0 | $ | 3,452,369 | $ | 1,997 | $ | 3,454,366 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
1,138 | 435 | 0 | 1,573 | ||||||||||||||
Over the counter |
0 | 89,612 | 0 | 89,612 | ||||||||||||||
$ | 1,138 | $ | 90,047 | $ | 0 | $ | 91,185 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2015 | 111 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2015
Category and Subcategory | Level 1 |
Level 2 |
Level 3 |
Fair Value at |
||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
$ | (1,152 | ) | $ | (2,945 | ) | $ | 0 | $ | (4,097 | ) | |||||||
Over the counter |
0 | (27,207 | ) | 0 | (27,207 | ) | ||||||||||||
$ | (1,152 | ) | $ | (30,152 | ) | $ | 0 | $ | (31,304 | ) | ||||||||
Totals |
$ | (14 | ) | $ | 3,512,264 | $ | 1,997 | $ | 3,514,247 |
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2015.
112 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 113 |
Notes to Financial Statements (Cont.)
114 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 115 |
Notes to Financial Statements (Cont.)
116 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
Each Fund may invest the cash collateral received for securities out on loan in the PIMCO Government Money Market Portfolio and PIMCO Money Market Fund under the Securities Lending Agreement. PIMCO Government Money Market Fund and PIMCO Money Market Fund are considered to be affiliated with the Funds. The table below shows the Funds’ transactions in and earnings from investments in these affiliated Funds for the period ended December 31, 2015 (amounts in thousands†):
Investments in PIMCO Money Market Fund
Fund Name | Market Value 06/30/2015 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Market Value 12/31/2015 |
Dividend Income (1) |
|||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
$ | 43,471 | $ | 170,074 | $ | (144,534 | ) | $ | 0 | $ | 0 | $ | 69,011 | $ | 11 | |||||||||||||||
PIMCO Investment Grade Corporate Bond
Index |
1,693 | 692 | (876 | ) | 0 | 0 | 1,509 | 0 | ||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 12,265 | (12,265 | ) | 0 | 0 | 0 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
A portion of this may be recharacterized to return of capital and reflected as such on tax forms mailed to shareholders on or about January 31st following each calendar year. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 117 |
Notes to Financial Statements (Cont.)
118 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 119 |
Notes to Financial Statements (Cont.)
120 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 121 |
Notes to Financial Statements (Cont.)
122 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 123 |
Notes to Financial Statements (Cont.)
124 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 125 |
Notes to Financial Statements (Cont.)
126 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 127 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2015, were as follows (amounts in thousands†):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 38,170 | $ | 36,474 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange Traded Fund |
16,361 | 19,020 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
222,861 | 221,980 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,955 | 4,013 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
2,587 | 3,088 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
2,098 | 0 | 319,311 | 555,215 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 13,922 | 8,673 | ||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
30,878 | 29,869 | 3,311 | 6,771 | ||||||||||||||||
PIMCO Enhanced Short Maturity Strategy Active Exchange-Traded Fund |
912,105 | 1,072,286 | 1,087,703 | 620,371 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
21,669 | 25,289 | 17,126 | 33,109 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Strategy Active Exchange-Traded Fund |
0 | 0 | 36,581 | 32,276 | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
1,443,434 | 1,429,504 | 33,282 | 72,193 | ||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 10,261 | 10,925 | ||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
7,917,669 | 7,334,334 | 489,575 | 328,108 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
12. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the sub-administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units
128 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.
Standard Creation/ Redemption Transaction Fee* |
Maximum Additional Variable Charge for Cash Creations** |
Maximum Additional Variable Charge for Cash Redemptions** |
||||||||
$ | 500 | 3.00 | % | 2.00 | % |
* | Applicable to in-kind contributions or redemptions only. |
** | As a percentage of the cash amount invested or received. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 129 |
Notes to Financial Statements (Cont.)
As of June 30, 2015, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
Expiration of
Accumulated Capital Losses (amounts in thousands) |
||||||||||||||||||
06/30/2016 | 06/30/2017 | 06/30/2018 | 06/30/2019 | |||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | — | $ | — | $ | — | $ | — | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
— | — | — | 363 | ||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
— | — | — | — | ||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
— | — | — | — |
Under the Regulated Investment Company Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
As of June 30, 2015, the Funds had the following post-effective capital losses with no expiration (amounts in thousands):
Short-Term | Long-Term | |||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | — | $ | — | ||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
13,085 | 4,327 | ||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
2,565 | 3,726 | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,847 | 5,365 | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
166 | 622 | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
— | — | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
— | — | ||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
532 | 348 | ||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
— | — | ||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1,527 | 2,904 | ||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
1,439 | 358 | ||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
— | — | ||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
192 | 24 | ||||||||
PIMCO Total Return Active Exchange-Traded Fund |
14,091 | 6,372 |
As of December 31, 2015, the aggregate cost and the net unrealized appreciation (depreciation) of investments for federal income tax purposes are as follows (amounts in thousands†):
Fund Name | Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) (1) |
||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 131,198 | $ | 1 | $ | (361 | ) | $ | (360 | ) | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
170,012 | 0 | (13,537 | ) | (13,537 | ) | ||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,084,676 | 0 | (20,124 | ) | (20,124 | ) | ||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
108,368 | 0 | (10,626 | ) | (10,626 | ) | ||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
77,063 | 0 | (3,843 | ) | (3,843 | ) | ||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
2,147,149 | 3,950 | (230,120 | ) | (226,170 | ) |
130 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2015
Fund Name | Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation) (1) |
||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
$ | 258,620 | $ | 923 | $ | (9,441 | ) | $ | (8,518 | ) | ||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
55,662 | 443 | (3,599 | ) | (3,156 | ) | ||||||||||||
PIMCO Enhanced Short Maturity Strategy Active Exchange-Traded Fund |
3,986,846 | 2,770 | (21,822 | ) | (19,052 | ) | ||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
125,807 | 145 | (13,358 | ) | (13,213 | ) | ||||||||||||
PIMCO Intermediate Municipal Bond Strategy Active Exchange-Traded Fund |
227,213 | 8,072 | (211 | ) | 7,861 | |||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
148,747 | 216 | (2,071 | ) | (1,855 | ) | ||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
55,101 | 308 | (11 | ) | 297 | |||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
3,564,760 | 22,877 | (133,271 | ) | (110,394 | ) |
(1) |
Primary differences, if any, between book and tax net unrealized appreciation (depreciation) are attributable to wash sale loss deferrals. |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 131 |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: | ||||||||||
AZD |
Australia and New Zealand Banking Group |
FOB |
Credit Suisse Securities (USA) LLC |
NAB |
National Australia Bank Ltd. | |||||
BCY |
Barclays Capital, Inc. |
GLM |
Goldman Sachs Bank USA |
NGF |
Nomura Global Financial Products, Inc. | |||||
BOA |
Bank of America N.A. |
GRE |
RBS Securities, Inc. |
NOM |
Nomura Securities International Inc. | |||||
BOS |
Banc of America Securities LLC |
GSC |
Goldman Sachs & Co. |
RDR |
RBC Dain Rausher, Inc. | |||||
BPG |
BNP Paribas Securities Corp. |
GST |
Goldman Sachs International |
RYL |
Royal Bank of Scotland Group PLC | |||||
BPS |
BNP Paribas S.A. |
HUS |
HSBC Bank USA N.A. |
SAL |
Citigroup Global Markets, Inc. | |||||
BRC |
Barclays Bank PLC |
JPM |
JPMorgan Chase Bank N.A. |
SCX |
Standard Chartered Bank | |||||
BSN |
Bank of Nova Scotia |
JPS |
JPMorgan Securities, Inc. |
SGY |
Societe Generale, New York | |||||
CBK |
Citibank N.A. |
MBC |
HSBC Bank Plc |
SOG |
Societe Generale | |||||
DEU |
Deutsche Bank Securities, Inc. |
MSB |
Morgan Stanley Bank, N.A |
SSB |
State Street Bank and Trust Co. | |||||
DUB |
Deutsche Bank AG |
MSC |
Morgan Stanley & Co., Inc. |
TDM |
TD Securities (USA) LLC | |||||
FBF |
Credit Suisse International |
MYC |
Morgan Stanley Capital Services, Inc. |
UAG |
UBS AG Stamford | |||||
Currency Abbreviations: | ||||||||||
AUD |
Australian Dollar |
EUR |
Euro |
PHP |
Philippine Peso | |||||
BRL |
Brazilian Real |
GBP |
British Pound |
RUB |
Russian Ruble | |||||
CAD |
Canadian Dollar |
ILS |
Israeli Shekel |
SEK |
Swedish Krona | |||||
CHF |
Swiss Franc |
INR |
Indian Rupee |
SGD |
Singapore Dollar | |||||
CLP |
Chilean Peso |
JPY |
Japanese Yen |
THB |
Thai Baht | |||||
CNH |
Chinese Renminbi (Offshore) |
KRW |
South Korean Won |
TRY |
Turkish New Lira | |||||
COP |
Colombian Peso |
MXN |
Mexican Peso |
TWD |
Taiwanese Dollar | |||||
CZK |
Czech Koruna |
MYR |
Malaysian Ringgit |
USD (or $) |
United States Dollar | |||||
DKK |
Danish Krone |
NZD |
New Zealand Dollar |
ZAR |
South African Rand | |||||
Exchange Abbreviations: | ||||||||||
CBOT |
Chicago Board of Trade |
CME |
Chicago Mercantile Exchange |
OTC |
Over the Counter | |||||
Index/Spread Abbreviations: | ||||||||||
CDX.HY |
Credit Derivatives Index - High Yield |
CPALEMU |
Euro Area All Items Non-Seasonally Adjusted Index |
MCDX |
Municipal Bond Credit Derivative Index | |||||
CDX.IG |
Credit Derivatives Index - Investment Grade |
CPURNSA |
Consumer Price All Urban Non-Seasonally Adjusted Index |
UKRPI |
United Kingdom Retail Price Index | |||||
CMBX.NA |
Commercial Mortgage-Backed Index |
EXT-CPI |
Excluding Tobacco-Non-revised Consumer Price Index |
|||||||
Municipal Bond or Agency Abbreviations: | ||||||||||
AGC |
Assured Guaranty Corp. |
AMBAC |
American Municipal Bond Assurance Corp. |
NPFGC |
National Public Finance Guarantee Corp. | |||||
AGM |
Assured Guaranty Municipal |
BHAC |
Berkshire Hathaway Assurance Corporation |
PSF |
Public School Fund | |||||
Other Abbreviations: | ||||||||||
ABS |
Asset-Backed Security |
EURIBOR |
Euro Interbank Offered Rate |
OIS |
Overnight Index Swap | |||||
ALT |
Alternate Loan Trust |
FDIC |
Federal Deposit Insurance Corp. |
PIK |
Payment-in-Kind | |||||
BABs |
Build America Bonds |
JSC |
Joint Stock Company |
REMIC |
Real Estate Mortgage Investment Conduit | |||||
CDI |
Brazil Interbank Deposit Rate |
LIBOR |
London Interbank Offered Rate |
TIIE |
Tasa de Interés Interbancaria de Equilibrio | |||||
CDO |
Collateralized Debt Obligation |
NCUA |
National Credit Union Administration |
YOY |
Year-Over-Year | |||||
CLO |
Collateralized Loan Obligation |
132 | PIMCO ETF TRUST |
Approval of Investment Management Agreement
(Unaudited)
Approval of Renewal of the Investment Management Agreement
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 133 |
Approval of Investment Management Agreement (Cont.)
134 | PIMCO ETF TRUST |
(Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2015 | 135 |
Approval of Investment Management Agreement (Cont.)
(Unaudited)
136 | PIMCO ETF TRUST |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent
State Street Bank and Trust Company
100 Huntington Avenue
Copley Place, Tower 1 Floor 2
Boston, MA 02116
Legal Counsel
Dechert LLP
1900 K Street N.W.
Washington, D.C. 20006
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the PIMCO ETF Trust.
ETF4001SAR_123115