Your Global Investment Authority
PIMCO ETF Trust
Semiannual Report
December 31, 2014
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Actively Managed Exchange-Traded Funds
PIMCO Diversified Income Active Exchange-Traded Fund
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
PIMCO Foreign Currency Strategy 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
Table of Contents
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FUND | Fund Summary |
Schedule of Investments |
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6 | 43 | |||||||
7 | 44 | |||||||
8 | 45 | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
9 | 46 | ||||||
10 | 47 | |||||||
11 | 48 | |||||||
12 | 49 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
13 | 50 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
14 | 56 | ||||||
15 | 61 | |||||||
16 | 67 | |||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund* |
17 | 73 | ||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund* |
18 | 78 | ||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund* |
19 | 87 | ||||||
20 | 92 | |||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund* |
21 | 99 | ||||||
22 | 102 |
* On October 31, 2014, the Funds underwent name changes to add “Active” into each Fund’s respective name.
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, 2014. On the following pages, you’ll find specific details on investment performance and a discussion of the factors that most affected performance.
As previously announced on September 26, 2014, William “Bill” Gross, PIMCO’s Chief Investment Officer and co-founder, resigned from the firm. PIMCO subsequently elected Daniel Ivascyn to serve as Group Chief Investment Officer (“Group CIO”). In addition, PIMCO appointed Andrew Balls, CIO Global Fixed Income; Mark Kiesel, CIO Global Credit; Virginie Maisonneuve, CIO Global Equities; Scott Mather, CIO U.S. Core Strategies; and Mihir Worah, CIO Real Return and Asset Allocation. On November 3, 2014, PIMCO also announced that Marc Seidner would return to the firm effective November 12, 2014 in a new role as CIO Non-traditional Strategies and Head of Portfolio Management in the New York office.
Under this leadership structure, Mr. Balls and Mr. Worah have additional managerial responsibility for PIMCO’s Portfolio Management group and trade floor activities globally. Mr. Balls will oversee Portfolio Management in Europe and Asia-Pacific, and Mr. Worah will oversee Portfolio Management in the U.S. Douglas Hodge, PIMCO’s Chief Executive Officer, and Jay Jacobs, PIMCO’s President, continue to serve as the firm’s senior executive leadership team, spearheading PIMCO’s business strategy, client service and the firm’s operations.
These appointments are a further evolution of the structure that PIMCO established early in 2014, reflecting our belief that the best approach for PIMCO’s clients and our firm is an investment leadership team of seasoned, highly skilled investors overseeing all areas of PIMCO’s investment activities.
During his 43 years at PIMCO, Mr. Gross made great contributions to building the firm and delivering value to PIMCO’s clients. Over this period PIMCO developed into a global asset manager, expanding beyond core fixed income, and now encompasses nearly 2,500 employees across 13 offices, including over 250 portfolio managers. Mr. Gross was also responsible for starting PIMCO’s robust investment process, with a focus on long-term macroeconomic views and bottom-up security selection—a process that is well institutionalized and will continue into PIMCO’s future.
Highlights of the financial markets during our six-month reporting period include:
n |
The U.S. economy showed continuing signs of strong growth and a steady decline in unemployment and renewed business investment activity, as the U.S. continued to be a key driving force behind global growth. The Federal Reserve (“Fed”) provided an optimistic view of the U.S. economy and completed its bond purchase program at the end of October. On December 17, the Fed removed language indicating its intent to keep the Federal Funds Rate near zero for “a considerable time”, and instead said it would remain patient on the timing of its first interest rate increase since 2006. The Fed also noted that future increases in the Federal Funds Rate would be dependent on economic conditions, including signs of continuing U.S. economic growth and a decline in the U.S. unemployment rate. |
n |
In Europe, bond markets rallied on raised expectations that the European Central Bank (“ECB”) will expand asset purchases to include sovereign bonds. Slower economic growth and fears of deflation prompted a series of unprecedented actions by the ECB. Beginning in June, ECB President Mario Draghi lowered the ECB’s benchmark rate, reduced its deposit rate into negative territory to help mitigate potential deflationary forces (making the ECB the first major central bank to do so), opened a liquidity channel to help encourage bank lending, and initiated dedicated asset purchases of covered bonds and asset-backed securities. These measures reflect the ECB’s determination to tackle the threat of deflation in the Eurozone amid slower-than-expected economic growth. As such, outside of the reporting period on January 22, 2015, the ECB announced an expansion to its quantitative easing asset purchase program to also include purchases of investment grade sovereign and Agency bonds at 60 billion euros per month until September 2016, implying a total of just over 1 trillion euros. |
n |
U.S. Treasuries, as represented by the Barclays U.S. Treasury Index, returned 2.28% for the reporting period as intermediate and longer-maturity yields declined, while the front-end of the U.S. Treasury yield curve was modestly weaker in anticipation of monetary tightening sometime in 2015. The benchmark ten-year U.S. Treasury note yielded 2.17% at the end of the reporting period, down from 2.53% on June 30, 2014. |
2 | PIMCO ETF TRUST |
n |
U.S. Treasury Inflation-Protected Securities (“TIPS”), as represented by the Barclays U.S. TIPS Index, declined 2.07% over the reporting period. The collapse in oil prices pushed inflation expectations to multi-year lows and caused U.S. TIPS to underperform nominal U.S. Treasuries by a large margin. Outside of the U.S., returns of global inflation-linked bonds (“ILBs”) varied across countries depending on their respective inflation expectations. However, few ILB markets were able to keep pace with their nominal counterparts as global inflation expectations were similarly impacted by lower energy prices. |
n |
Tax-exempt municipal bonds, as represented by the Barclays Municipal Bond Index, returned 2.88% over the reporting period. Positive returns were fueled by strong retail demand and the flight-to-quality sentiment, but municipals failed to keep pace with the rally in U.S. Treasuries. Demand for municipal bonds was concentrated in high yield and longer-duration segments, as investor appetite for yield outweighed negative credit headlines in Detroit, Michigan, the state of Illinois, and San Bernardino, California, where court rulings favored pensioners over bondholders. |
n |
U.S. investment grade credit, as measured by the Barclays U.S. Credit Index, returned 1.73% over the reporting period. Performance deteriorated towards the end of the reporting period amid the significant sell-off in oil and subsequent emerging markets sell-off, combined with heightened volatility in the Eurozone. The U.S. short-dated high yield market, as measured by the BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Index, declined 2.53%, as lower oil prices were the primary reason for lackluster returns during the reporting period. The dramatic decline in oil also elevated general risk aversion and most specifically to high yield, where oil makes up a meaningful component of the broader high yield market, which turned flows negative. |
PIMCO ETFs are designed to provide well-engineered solutions to meet a broad range of investor needs, and offers access to PIMCO’s unique investment process and world-class portfolio management expertise in the ETF vehicle, which features portfolio transparency and intra-day pricing in a conveniently traded format. PIMCO ETFs include a range of actively-managed and Smart Passive strategies, providing investors access to a variety of sectors, geographical regions and investment objectives.
If you have any questions regarding your PIMCO ETF Trust investment, please contact your financial advisor, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
Thank you again for the trust you have placed in PIMCO. We are privileged to serve you through our ETF offerings.
Sincerely,
Brent R. Harris Chairman of the Board, PIMCO ETF Trust
January 23, 2015 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 3 |
Important Information About the Funds
4 | PIMCO ETF TRUST |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 5 |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | TUZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 99.5% | |||
Short-Term Instruments | 0.5% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* |
1 Year |
5 Year |
Fund Inception |
|||||||||||||||
|
PIMCO 1-3 Year U.S. Treasury Index
Exchange-Traded Fund |
0.15% | 0.49% | 0.97% | 0.99% | |||||||||||||
|
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) |
0.23% | 0.53% | 0.98% | 1.00% | |||||||||||||
|
The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± |
0.21% | 0.62% | 1.06% | 1.09% |
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 IndexSM is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 1- to 3-year segment of the U.S. Treasury yield curve moved higher over the course of the reporting period, negatively impacting the price return of the Fund and the Underlying Index. Returns due to income positively contributed to performance for both the Fund and the Underlying Index, resulting in positive overall performance for both. |
6 | PIMCO ETF TRUST |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | FIVZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (10/30/2009) |
|||||||||||||||
|
PIMCO 3-7 Year U.S.
Treasury Index Exchange-Traded Fund (Based on Net Asset Value) |
1.09% | 3.05% | 3.48% | 3.19% | |||||||||||||
|
PIMCO 3-7 Year U.S.
Treasury Index Exchange-Traded Fund (At Market Price)(1) |
1.00% | 2.91% | 3.45% | 3.17% | |||||||||||||
|
The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM± | 1.14% | 3.12% | 3.58% | 3.29% |
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 3-7 Year US Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 3 years and less than 7 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Changes in yields in the 3- to 7-year segment of the U.S. Treasury yield curve were mixed over the course of the reporting period, having a muted impact on the performance of the Fund and the Underlying Index. Returns due to income positively contributed to performance for both the Fund and the Underlying Index, resulting in positive overall performance for both. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 7 |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | TENZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 99.8% | |||
Short-Term Instruments | 0.2% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* |
1 Year | 5 Year |
Fund Inception |
|||||||||||||||
|
PIMCO 7-15 Year U.S. Treasury Index
Exchange-Traded Fund |
3.79% | 9.32% | 6.06% | 5.35% | |||||||||||||
|
PIMCO 7-15 Year U.S. Treasury Index
Exchange-Traded Fund |
3.80% | 9.36% | 6.06% | 5.35% | |||||||||||||
|
The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM± |
3.81% | 9.32% | 6.24% | 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 7-15 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 7 years and less than 15 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 7- to 15-year segment of the U.S. Treasury yield curve declined over the course of the reporting period, resulting in a positive impact on price returns. Returns due to income also positively contributed to performance for both the Fund and the Underlying Index. |
8 | PIMCO ETF TRUST |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | ZROZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
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) | 21.34% | 49.35% | 15.85% | 12.91% | |||||||||||||
|
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | 21.18% | 48.55% | 15.83% | 12.95% | |||||||||||||
|
The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± | 20.98% | 48.65% | 15.89% | 12.92% |
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 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve declined over the reporting period, positively contributing to performance for the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 9 |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | STPZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 99.8% | |||
Short-Term Instruments | 0.2% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* |
1 Year | 5 Year |
Fund Inception |
|||||||||||||||
|
PIMCO 1-5 Year U.S. TIPS Index
Exchange-Traded Fund |
-3.15% | -1.32% | 1.41% | 1.92% | |||||||||||||
|
PIMCO 1-5 Year U.S. TIPS Index
Exchange-Traded Fund |
-3.25% | -1.43% | 1.38% | 1.91% | |||||||||||||
|
The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± |
-3.07% | -1.06% | 1.63% | 2.15% |
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.
Portfolio Insights
» |
The PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Real yields, or the rates of return in excess of expected future inflation, rose across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, negatively impacting performance for both the Fund and the Underlying Index. A negative inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period also had a negative impact on price returns. |
10 | PIMCO ETF TRUST |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | LTPZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 100.0% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* | 1 Year |
5 Year |
Fund Inception |
|||||||||||||||
|
PIMCO 15+ Year U.S. TIPS Index
Exchange-Traded Fund |
3.61% | 19.32% | 7.85% | 8.05% | |||||||||||||
|
PIMCO 15+ Year U.S. TIPS Index
Exchange-Traded Fund |
3.89% | 19.57% | 7.93% | 8.10% | |||||||||||||
|
The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± |
3.42% | 19.31% | 8.09% | 8.25% |
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 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Changes in real yields, or the rates of return in excess of expected future inflation, were mixed above the 15-year point along the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A negative inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period had a negative impact on price returns. On an aggregate basis, these factors combined for an overall positive return for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 11 |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | TIPZ |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
U.S. Treasury Obligations | 99.7% | |||
Short-Term Instruments | 0.3% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* | 1 Year |
5 Year |
Fund Inception |
|||||||||||||||
|
PIMCO Broad U.S. TIPS Index
Exchange-Traded Fund |
-1.78% | 4.37% | 4.07% | 4.47% | |||||||||||||
|
PIMCO Broad U.S. TIPS Index
Exchange-Traded Fund |
-1.71% | 4.50% | 4.09% | 4.49% | |||||||||||||
|
The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± |
-1.78% | 4.49% | 4.28% | 4.66% |
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 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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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 U.S. Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
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Real yields, or the rates of return in excess of expected future inflation, generally rose across the U.S. Treasury Inflation-Protected Securities (“TIPS”) 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 (“CPI”), applied to the principal of underlying securities over the reporting period also had a negative impact on price returns. |
12 | PIMCO ETF TRUST |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | HYS |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Corporate Bonds & Notes |
95.0% | |||
Short-Term Instruments |
2.6% | |||
U.S. Treasury Obligations |
1.3% | |||
U.S. Government Agencies |
1.1% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||
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) |
-2.08% | 0.50% | 5.77% | ||||||||||
|
PIMCO 0-5 Year High
Yield Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) |
-2.65% | -0.10% | 5.62% | ||||||||||
|
The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM± | -2.53% | 0.88% | 6.23% |
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.
Portfolio Insights
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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 U.S. 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. |
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Over the reporting period, yields in the short-term segment of the U.S. high yield market rose, which negatively impacted performance. Coupon returns positively contributed to performance for the Fund and the Underlying Index. The net result, however, was negative overall performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 13 |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | CORP |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Banking & Finance | 37.9% | |||
Industrials | 36.0% | |||
Utilities | 17.6% | |||
Short-Term Instruments | 8.5% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||
6 Months* |
1 Year |
Fund Inception |
||||||||||||
|
PIMCO Investment Grade Corporate Bond
Index Exchange-Traded Fund |
1.40% | 7.43% | 5.13% | ||||||||||
|
PIMCO Investment Grade Corporate Bond
Index Exchange-Traded Fund |
1.42% | 7.33% | 5.12% | ||||||||||
|
The BofA Merrill Lynch U.S. Corporate IndexSM± |
1.48% | 7.51% | 5.37% |
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.
Portfolio Insights
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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 U.S. Corporate IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not component securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “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. |
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An increase in investment grade corporate yields and wider option-adjusted spreads 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 both. |
14 | PIMCO ETF TRUST |
PIMCO Diversified Income Active Exchange-Traded Fund
Ticker Symbol | DI |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Corporate Bonds & Notes | 72.7% | |||
Sovereign Issues | 12.2% | |||
Short-Term Instruments | 6.0% | |||
Municipal Bonds & Notes | 2.6% | |||
Bank Loan Obligations | 2.4% | |||
Other | 4.1% |
† |
% of Investments, at value as of 12/31/14 |
Cumulative Total Return for the period ended December 31, 2014 | ||||||||||
6 Months |
Fund Inception |
|||||||||
|
PIMCO Diversified Income Active
Exchange-Traded Fund |
-3.63% | 1.48% | |||||||
|
PIMCO Diversified Income Active
Exchange-Traded Fund |
-2.48% | 2.50% | |||||||
|
Barclays Global Credit Hedged USD Index± |
1.37% | 5.64% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Global Credit Hedged USD contains investment grade and high yield credit securities from the Multiverse represented in U.S. Dollars on a hedged basis, (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield). It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.85%. 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.
Portfolio Insights
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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. |
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The Fund commenced operations on January 22, 2014. |
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An overweight to high yield spread duration detracted from relative performance as high yield spreads widened during the reporting period. |
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An underweight to high yield energy bonds benefited performance as these bonds generally sold-off during the reporting period. |
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Exposure to Russia detracted from performance as spreads of Russian bonds widened during the reporting period. |
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Exposure to U.S. duration (or sensitivity to changes in market interest rates) benefited performance as U.S. interest rates fell across most of the yield curve during the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 15 |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
Ticker Symbol | MINT |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Corporate Bonds & Notes |
64.6% | |||
Short-Term Instruments |
9.3% | |||
Asset-Backed Securities |
7.2% | |||
Sovereign Issues | 6.7% | |||
U.S. Government Agencies | 5.8% | |||
Other |
6.4% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (11/16/2009) |
|||||||||||||||
|
PIMCO Enhanced
Short Maturity Active Exchange-Traded Fund (Based on Net Asset Value) |
0.04% | 0.53% | 1.17% | 1.14% | |||||||||||||
|
PIMCO Enhanced
Short Maturity Active Exchange-Traded Fund (At Market Price)(1) |
0.10% | 0.55% | 1.16% | 1.15% | |||||||||||||
|
Citi 3-Month Treasury Bill Index± | 0.01% | 0.03% | 0.07% | 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.
± Citi 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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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. |
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An overweight to U.S. duration (or sensitivity to changes in market interest rates) benefited performance by generating positive income for the portfolio above that of the Fund’s Underlying Index. |
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An overweight to Agency mortgages benefited performance as prices for these securities generally rose during the reporting period. |
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An overweight to commercial mortgage-backed securities (“CMBS”) benefited performance as these securities generally posted positive total returns during the reporting period. |
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An overweight to U.S. dollar-denominated Korean debt benefited performance as these securities generally provided positive income during the reporting period. |
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Exposure to investment grade credit detracted from performance as credit spreads widened during the reporting period. |
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Exposure to Brazilian quasi-sovereign corporate debt detracted from performance as prices of these securities generally fell during the reporting period. |
16 | PIMCO ETF TRUST |
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund
Ticker Symbol | FORX |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Short-Term Instruments | 37.1% | |||
Denmark | 18.7% | |||
Poland | 12.5% | |||
Japan | 7.0% | |||
Brazil | 5.8% | |||
Mexico | 5.3% | |||
United Kingdom | 5.0% | |||
Other | 8.6% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||
6 Months* |
1 Year |
Fund Inception |
||||||||||||
|
PIMCO Foreign Currency Strategy Active
Exchange-Traded Fund |
-4.58% | -2.27% | -3.83% | ||||||||||
|
PIMCO Foreign Currency Strategy Active
Exchange-Traded Fund |
-6.10% | -3.95% | -4.95% | ||||||||||
|
BofA Merrill Lynch 1-3 Year Trade-Weighted Global Government Index± |
-11.06% | -9.97% | -4.60% |
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 Trade-Weighted Global Government Index tracks the performance of a fixed-weighted blend of select short-dated sovereign indices whose securities are publicly issued and denominated in the issuer’s own domestic market and currency. The weights of constituent markets are re-set on each calendar month-end rebalancing date with the following weights: Canada (9.1%); Euro member countries (57.6%); Japan (13.6%); Sweden (4.2%); Switzerland (3.6%) and the U.K. (11.9%). It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.65%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Foreign Currency Strategy Active Exchange-Traded Fund seeks maximum total return, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in currencies of, or Fixed Income Instruments denominated in the currencies of, foreign (non-U.S.) countries, including, but not limited to, a combination of short-term Fixed Income Instruments, money market securities, currency forwards backed by high-quality, low duration securities, and derivative instruments, such as options, futures contracts, or swap agreements. “Foreign Currency Strategy” in the Fund’s name refers to the Fund’s proprietary investment strategy of seeking exposure to foreign (non-U.S.) currencies likely to outperform the U.S. dollar over the long-term. Assets not invested in currencies, currency forwards or Fixed Income Instruments denominated in currencies of non-U.S. countries or related derivative instruments may be invested in other types of Fixed Income Instruments. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
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Short exposure to the Japanese yen and Swiss franc added to performance as these developed market currencies depreciated relative to the U.S. dollar over the reporting period. |
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Exposure to the British pound, Swedish krona, Norwegian krone and Canadian dollar detracted from performance as these developed market currencies depreciated relative to the U.S. dollar over the reporting period. |
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Exposure to the Polish zloty, Russian ruble, Malaysian ringgit, and Indonesian rupiah detracted from performance as these emerging market currencies depreciated relative to the U.S. dollar over the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 17 |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
Ticker Symbol | ILB |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
United States | 40.5% | |||
Brazil | 11.5% | |||
Italy | 10.9% | |||
Short-Term Instruments | 5.3% | |||
Mexico | 4.9% | |||
Other | 26.9% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||
6 Months* |
1 Year |
Fund Inception |
||||||||||
|
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Based on Net Asset Value) |
-8.62% | -0.86% | 1.40% | ||||||||
|
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (At Market Price)(1) |
-8.79% | -0.81% | -1.60% | ||||||||
|
Barclays Universal Government Inflation-Linked Bond Index± |
-4.06% | 3.49% | 0.93% | ||||||||
|
PIMCO Global Advantage Inflation-Linked
Bond Index® |
-8.43% | -0.20% | -1.27% |
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. It is not possible to invest directly in an unmanaged index.
±± PIMCO Global Advantage Inflation-Linked Bond Index® (USD Unhedged) (NY Close). The PIMCO GLADI ILB represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the 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 0.61%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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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. |
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Exposure to global inflation-linked bonds detracted from absolute performance as global inflation-linked bonds, measured by the Barclays Universal Government Inflation-Linked Bond Index, generally posted negative returns over the reporting period. |
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An underweight to Japanese real duration (or sensitivity to changes in real interest rates) benefited relative performance as Japanese real yields rose over the reporting period. |
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Exposure to Spanish nominal rates benefited relative performance as yields in Spain fell over the reporting period. |
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An overweight to 30-year Mexican real rates benefited performance as the Mexican real yield curve flattened and longer-dated maturities outperformed shorter-dated maturities over the reporting period. |
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An overweight to the 3- to 10-year portion of the U.S. real yield curve detracted from relative performance as the U.S. real yield curve flattened and shorter-dated real yields rose over the reporting period. |
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Exposure to the Polish zloty detracted from relative performance as the Polish zloty depreciated versus the U.S. dollar over the reporting period. |
18 | PIMCO ETF TRUST |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
Ticker Symbol | MUNI |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
New York | 19.1% | |||
Texas | 11.3% | |||
California | 11.1% | |||
Ohio | 7.1% | |||
Short-Term Instruments | 5.9% | |||
Illinois | 5.9% | |||
Florida | 5.1% | |||
Other | 34.5% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||
6 Months* | 1 Year |
5 Year |
Fund Inception |
|||||||||||
|
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Based on Net Asset Value) |
1.78% | 5.33% | 3.83% | 3.68% | |||||||||
|
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (At Market Price)(1) |
1.87% | 5.49% | 3.82% | 3.70% | |||||||||
|
Barclays 1-15 Year Municipal Bond Index± |
2.04% | 6.36% | 4.31% | 4.23% |
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.
Portfolio Insights
» |
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. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in municipal bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
» |
Duration (or sensitivity to changes in market interest rates) positioning was managed below the Fund’s benchmark index throughout the majority of the reporting period, which detracted from performance as municipal bond yields moved lower across intermediate and long maturities of the municipal bond yield curve. |
» |
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 transportation sector throughout the majority of the reporting period contributed to performance as this segment outperformed the general municipal bond market. |
» |
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 water and sewer utility sector contributed to performance as this segment outperformed the general municipal bond market over the reporting period. |
» |
An underweight to the housing sector detracted from performance as this segment outperformed the general municipal bond market over the reporting period. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 19 |
PIMCO Low Duration Active Exchange-Traded Fund
Ticker Symbol | LDUR |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Corporate Bonds & Notes | 55.5% | |||
U.S. Treasury Obligations | 25.3% | |||
Sovereign Issues | 5.7% | |||
Mortgage-Backed Securities | 5.3% | |||
Asset-Backed Securities | 5.1% | |||
Short-Term Instruments | 2.9% | |||
Other | 0.2% |
† |
% of Investments, at value as of 12/31/14 |
Cumulative Total Return for the period ended December 31, 2014 | ||||||||||
6 Months |
Fund Inception |
|||||||||
|
PIMCO Low Duration Active
Exchange-Traded Fund |
0.35% | 1.87% | |||||||
|
PIMCO Low Duration Active
Exchange-Traded Fund |
-1.12% | 1.82% | |||||||
|
The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± |
0.21% | 0.63% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 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. The average portfolio duration of this Fund normally varies from one to three years based on PIMCO’s forecast for interest rates. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates. |
» |
The Fund commenced operations on January 22, 2014. |
» |
An underweight to the 2-year portion of the U.S. yield curve benefited performance as 2-year U.S. interest rates increased over the reporting period. |
» |
An overweight to non-Agency residential mortgage-backed securities (“RMBS”) benefited performance as prices of these securities generally rose over the reporting period. |
» |
An overweight to commercial mortgage-backed securities (“CMBS”) benefited performance as the total return of these securities generally rose over the reporting period. |
» |
An overweight to high yield credit detracted from performance as spreads widened over the reporting period. |
» |
Exposure to Brazilian quasi-sovereign corporate debt detracted from performance as prices on these securities generally fell over the reporting period. |
» |
Short exposure to the Japanese yen benefited performance as the Japanese yen depreciated versus the U.S. dollar over the reporting period. |
» |
Short exposure to the euro benefited performance as the euro depreciated versus the U.S. dollar over the reporting period. |
20 | PIMCO ETF TRUST |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
Ticker Symbol | SMMU |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Florida | 13.0% | |||
Texas | 12.9% | |||
New York | 11.5% | |||
Ohio | 7.1% | |||
Pennsylvania | 5.4% | |||
Other | 50.1% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 |
||||||||||||||
6 Months* |
1 Year |
Fund Inception |
||||||||||||
|
PIMCO Short Term Municipal Bond Active
Exchange-Traded Fund |
0.11% | 0.82% | 1.04% | ||||||||||
|
PIMCO Short Term Municipal Bond Active
Exchange-Traded Fund |
-0.01% | 0.70% | 1.00% | ||||||||||
|
Barclays 1 Year Municipal Bond Index± |
0.12% | 0.58% | 0.97% |
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.
Portfolio Insights
» |
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. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in municipal bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. |
» |
Duration (or sensitivity to changes in market interest rates) positioning was managed above the Fund’s benchmark index throughout the reporting period, which detracted from performance as municipal bond yields moved higher in short maturities of the municipal bond yield curve. |
» |
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 transportation 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 education sector contributed to performance as this segment outperformed the general municipal bond market over the reporting period. |
» |
An underweight to the housing sector detracted from performance as this segment outperformed the general municipal bond market over the reporting period. |
» |
An overweight to the special tax sector throughout the majority of the reporting period detracted from performance as this segment underperformed the general municipal bond market. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 21 |
PIMCO Total Return Active Exchange-Traded Fund
Ticker Symbol | BOND |
Cumulative Returns Through December 31, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown†
Corporate Bonds & Notes | 36.2% | |||
U.S. Treasury Obligations | 21.0% | |||
Short-Term Instruments | 15.3% | |||
Mortgage-Backed Securities | 10.3% | |||
Sovereign Issues | 6.6% | |||
Other | 10.6% |
† |
% of Investments, at value as of 12/31/14 |
Average Annual Total Return for the period ended December 31, 2014 | ||||||||||||||
6 Months* |
1 Year |
Fund Inception |
||||||||||||
|
PIMCO Total Return Active
Exchange-Traded Fund |
2.48% | 6.87% | 6.01% | ||||||||||
|
PIMCO Total Return Active
Exchange-Traded Fund |
2.10% | 6.65% | 5.94% | ||||||||||
|
Barclays U.S. Aggregate Index± |
1.96% | 5.97% | 2.51% |
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 0.56%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO Total Return 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. |
» |
An underweight to the longer-term portion of the U.S. Treasury yield curve during the reporting period detracted from performance as longer-term U.S. Treasury yields fell. |
» |
An allocation to U.S. Treasury Inflation-Protected Securities (“TIPS”) detracted from performance as break-even inflation levels narrowed during the reporting period. |
» |
Short exposure to U.K. nominal interest rates toward the end of the reporting period detracted from performance as nominal yields in the U.K. fell. |
» |
An overweight to the U.S. dollar versus the euro and Japanese yen added to returns as these currencies depreciated against the U.S. dollar during the reporting period. |
» |
An underweight to investment grade corporate bonds benefited performance as these securities underperformed like-duration U.S. Treasuries over the reporting period. |
» |
Exposure to Italian and Spanish sovereign debt added to performance as Italian and Spanish sovereign interest rates fell during the reporting period. |
22 | PIMCO ETF TRUST |
(Unaudited)
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, 2014 to December 31, 2014 unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example For Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||
Beginning Account Value (07/01/14) |
Ending Account Value (12/31/14) |
Expenses Paid During Period* |
Beginning Account Value (07/01/14) |
Ending Account Value (12/31/14) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 1,000.00 | $ | 1,001.50 | $ | 0.56 | $ | 1,000.00 | $ | 1,024.78 | $ | 0.56 | 0.11 | % | ||||||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,010.90 | 0.76 | 1,000.00 | 1,024.58 | 0.77 | 0.15 | |||||||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,037.90 | 0.77 | 1,000.00 | 1,024.58 | 0.77 | 0.15 | |||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,213.40 | 0.84 | 1,000.00 | 1,024.58 | 0.77 | 0.15 | |||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 968.50 | 1.00 | 1,000.00 | 1,024.33 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 1,036.10 | 1.03 | 1,000.00 | 1,024.33 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 982.20 | 1.00 | 1,000.00 | 1,024.33 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 979.20 | 2.76 | 1,000.00 | 1,022.55 | 2.82 | 0.55 | |||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 1,014.00 | 1.02 | 1,000.00 | 1,024.33 | 1.03 | 0.20 | |||||||||||||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
1,000.00 | 963.70 | 4.23 | 1,000.00 | 1,021.03 | 4.35 | 0.85 | |||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
1,000.00 | 1,000.40 | 1.77 | 1,000.00 | 1,023.57 | 1.79 | 0.35 | |||||||||||||||||||||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
1,000.00 | 954.20 | 3.22 | 1,000.00 | 1,022.05 | 3.33 | 0.65 | |||||||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1,000.00 | 913.80 | 3.01 | 1,000.00 | 1,022.20 | 3.18 | 0.62 | |||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 1,017.80 | 1.79 | 1,000.00 | 1,023.57 | 1.79 | 0.35 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 23 |
Expense Examples (Cont.)
(Unaudited)
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||
Beginning Account Value (07/01/14) |
Ending Account Value (12/31/14) |
Expenses Paid During Period* |
Beginning Account Value (07/01/14) |
Ending Account Value (12/31/14) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
$ | 1,000.00 | $ | 1,003.50 | $ | 2.64 | $ | 1,000.00 | $ | 1,022.71 | $ | 2.67 | 0.52 | % | ||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 1,001.10 | 1.77 | 1,000.00 | 1,023.57 | 1.79 | 0.35 | |||||||||||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
1,000.00 | 1,024.80 | 3.03 | 1,000.00 | 1,022.35 | 3.02 | 0.59 |
* 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 the number of days in the period/365 (to reflect the one-half year period).
** The Net Annualized Expense Ratio is reflective of any applicable waivers related to contractual agreements for contractual fee waivers or voluntary fee waivers. Details regarding fee waivers can be found in Note 8 in the Notes to Financial Statements.
24 | PIMCO ETF TRUST |
(THIS PAGE INTENTIONALLY LEFT BLANK)
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 25 |
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) |
Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 50.94 | $ | 0.12 | $ | (0.04 | ) | $ | 0.08 | $ | (0.12 | ) | $ | (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 | |||||||||||||||||
06/30/2010 |
49.94 | 0.43 | 0.84 | 1.27 | (0.43 | ) | (0.02 | ) | ||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 79.51 | $ | 0.53 | $ | 0.33 | $ | 0.86 | $ | (0.52 | ) | $ | (0.42 | ) | ||||||||||
06/30/2014 |
79.28 | 1.01 | 0.38 | 1.39 | (0.92 | ) | (0.24 | ) | ||||||||||||||||
06/30/2013 |
81.94 | 1.16 | (2.11 | ) | (0.95 | ) | (1.09 | ) | (0.62 | ) | ||||||||||||||
06/30/2012 |
78.36 | 1.29 | 3.91 | 5.20 | (1.28 | ) | (0.34 | ) | ||||||||||||||||
06/30/2011 |
77.91 | 1.44 | 1.24 | 2.68 | (1.49 | ) | (0.74 | ) | ||||||||||||||||
10/30/2009 - 06/30/2010 |
75.34 | 1.08 | 2.53 | 3.61 | (1.04 | ) | 0.00 | |||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 83.42 | $ | 0.95 | $ | 2.19 | $ | 3.14 | $ | (0.92 | ) | $ | 0.00 | |||||||||||
06/30/2014 |
82.66 | 1.80 | 0.69 | 2.49 | (1.73 | ) | 0.00 | |||||||||||||||||
06/30/2013 |
87.76 | 1.27 | (4.35 | ) | (3.08 | ) | (1.47 | ) | (0.55 | ) | ||||||||||||||
06/30/2012 |
78.21 | 1.86 | 10.13 | 11.99 | (1.77 | ) | (0.67 | ) | ||||||||||||||||
06/30/2011 |
79.23 | 2.27 | 0.05 | 2.32 | (2.29 | ) | (1.05 | ) | ||||||||||||||||
09/10/2009 - 06/30/2010 |
75.67 | 1.94 | 3.65 | 5.59 | (1.98 | ) | (0.05 | ) | ||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 99.87 | $ | 1.63 | $ | 19.54 | $ | 21.17 | $ | (1.68 | ) | $ | 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 | |||||||||||||||
10/30/2009 - 06/30/2010 |
76.98 | 2.24 | 5.93 | 8.17 | (2.13 | ) | 0.00 | |||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 53.58 | $ | (0.20 | ) | $ | (1.48 | ) | $ | (1.68 | ) | $ | (0.19 | ) | $ | 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 | ) | ||||||||||||||||
08/20/2009 - 06/30/2010 |
50.00 | 0.86 | 1.71 | 2.57 | (0.78 | ) | 0.00 | |||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 65.02 | $ | 0.25 | $ | 2.09 | $ | 2.34 | $ | (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 | |||||||||||||||||
09/03/2009 - 06/30/2010 |
50.01 | 1.22 | 4.20 | 5.42 | (1.26 | ) | 0.00 | |||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 58.14 | $ | 0.13 | $ | (1.16 | ) | $ | (1.03 | ) | $ | (0.24 | ) | $ | 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 | ) | ||||||||||||||||
09/03/2009 - 06/30/2010 |
50.01 | 0.96 | 2.97 | 3.93 | (0.92 | ) | (0.07 | ) |
26 | PIMCO ETF TRUST | See Accompanying Notes |
Total Distributions |
Net Asset Value End of Year or Period |
Total Return |
Net Assets 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 (b) |
|||||||||||||||||||||||
$ | (0.18 | ) | $ | 50.84 | 0.15 | % | $ | 114,503 | 0.11 | %* | 0.15 | %* | 0.46 | %* | 33 | % | ||||||||||||||
(0.19 | ) | 50.94 | 0.68 | 127,442 | 0.10 | 0.16 | 0.32 | 61 | ||||||||||||||||||||||
(0.30 | ) | 50.78 | 0.20 | 129,595 | 0.09 | 0.15 | 0.33 | 15 | ||||||||||||||||||||||
(0.39 | ) | 50.98 | 0.74 | 132,657 | 0.09 | 0.15 | 0.57 | 8 | ||||||||||||||||||||||
(0.40 | ) | 51.00 | 1.26 | 107,206 | 0.09 | 0.15 | 0.78 | 18 | ||||||||||||||||||||||
(0.45 | ) | 50.76 | 2.56 | 86,400 | 0.09 | 0.19 | 0.83 | 256 | ||||||||||||||||||||||
$ | (0.94 | ) | $ | 79.43 | 1.09 | % | $ | 9,267 | 0.15 | %* | 0.15 | %* | 1.31 | %* | 24 | % | ||||||||||||||
(1.16 | ) | 79.51 | 1.78 | 13,251 | 0.16 | 0.16 | 1.28 | 39 | ||||||||||||||||||||||
(1.71 | ) | 79.28 | (1.20 | ) | 21,140 | 0.15 | 0.15 | 1.42 | 4 | |||||||||||||||||||||
(1.62 | ) | 81.94 | 6.67 | 21,852 | 0.15 | 0.15 | 1.59 | 37 | ||||||||||||||||||||||
(2.23 | ) | 78.36 | 3.49 | 20,895 | 0.15 | 0.15 | 1.83 | 48 | ||||||||||||||||||||||
(1.04 | ) | 77.91 | 4.85 | 51,942 | 0.15 | * | 0.41 | * | 2.14 | * | 178 | |||||||||||||||||||
$ | (0.92 | ) | $ | 85.64 | 3.79 | % | $ | 110,196 | 0.15 | %* | 0.15 | %* | 2.23 | %* | 26 | % | ||||||||||||||
(1.73 | ) | 83.42 | 3.07 | 73,969 | 0.15 | 0.15 | 2.19 | 52 | ||||||||||||||||||||||
(2.02 | ) | 82.66 | (3.61 | ) | 11,296 | 0.15 | 0.15 | 1.45 | 26 | |||||||||||||||||||||
(2.44 | ) | 87.76 | 15.47 | 37,446 | 0.15 | 0.15 | 2.17 | 24 | ||||||||||||||||||||||
(3.34 | ) | 78.21 | 3.00 | 8,342 | 0.15 | 0.15 | 2.87 | 76 | ||||||||||||||||||||||
(2.03 | ) | 79.23 | 7.54 | 14,790 | 0.15 | * | 0.86 | * | 3.31 | * | 209 | |||||||||||||||||||
$ | (1.68 | ) | $ | 119.36 | 21.34 | % | $ | 97,875 | 0.15 | %* | 0.15 | %* | 2.98 | %* | 10 | % | ||||||||||||||
(3.42 | ) | 99.87 | 9.70 | 76,902 | 0.16 | 0.16 | 3.61 | 18 | ||||||||||||||||||||||
(3.57 | ) | 94.57 | (15.97 | ) | 82,276 | 0.15 | 0.15 | 2.89 | 8 | |||||||||||||||||||||
(3.22 | ) | 116.38 | 70.82 | 169,915 | 0.15 | 0.15 | 3.15 | 11 | ||||||||||||||||||||||
(3.23 | ) | 70.18 | (11.69 | ) | 40,705 | 0.15 | 0.15 | 4.41 | 50 | |||||||||||||||||||||
(2.13 | ) | 83.02 | 11.02 | 21,586 | 0.15 | * | 0.83 | * | 4.56 | * | 39 | |||||||||||||||||||
$ | (0.19 | ) | $ | 51.71 | (3.15 | )% | $ | 1,330,073 | 0.20 | %* | 0.20 | %* | (0.75 | )%* | 14 | % | ||||||||||||||
(0.31 | ) | 53.58 | 2.28 | 1,337,875 | 0.20 | 0.20 | 0.63 | 33 | ||||||||||||||||||||||
(0.10 | ) | 52.69 | (1.13 | ) | 1,041,609 | 0.20 | 0.20 | 0.04 | 11 | |||||||||||||||||||||
(0.82 | ) | 53.39 | 1.71 | 999,496 | 0.20 | 0.20 | 1.51 | 31 | ||||||||||||||||||||||
(1.43 | ) | 53.30 | 5.70 | 1,184,369 | 0.20 | 0.21 | 3.50 | 17 | ||||||||||||||||||||||
(0.78 | ) | 51.79 | 5.17 | 539,680 | 0.20 | * | 0.23 | * | 2.02 | * | 5 | |||||||||||||||||||
$ | (0.45 | ) | $ | 66.91 | 3.61 | % | $ | 78,290 | 0.20 | %* | 0.20 | %* | 0.74 | %* | 3 | % | ||||||||||||||
(1.35 | ) | 65.02 | 8.83 | 69,570 | 0.21 | 0.21 | 1.81 | 47 | ||||||||||||||||||||||
(0.37 | ) | 61.05 | (11.33 | ) | 105,004 | 0.20 | 0.20 | 0.56 | 16 | |||||||||||||||||||||
(1.58 | ) | 69.22 | 26.53 | 375,182 | 0.20 | 0.20 | 2.53 | 11 | ||||||||||||||||||||||
(2.17 | ) | 56.04 | 7.58 | 258,901 | 0.20 | 0.20 | 4.76 | 38 | ||||||||||||||||||||||
(1.26 | ) | 54.17 | 10.95 | 22,753 | 0.20 | * | 0.70 | * | 3.02 | * | 35 | |||||||||||||||||||
$ | (0.24 | ) | $ | 56.87 | (1.78 | )% | $ | 47,205 | 0.20 | %* | 0.20 | %* | 0.45 | %* | 16 | % | ||||||||||||||
(0.78 | ) | 58.14 | 4.50 | 106,402 | 0.21 | 0.21 | 1.26 | 19 | ||||||||||||||||||||||
(0.31 | ) | 56.40 | (5.41 | ) | 72,186 | 0.20 | 0.20 | 0.72 | 11 | |||||||||||||||||||||
(1.28 | ) | 59.93 | 12.21 | 109,678 | 0.20 | 0.20 | 2.38 | 6 | ||||||||||||||||||||||
(2.22 | ) | 54.58 | 7.39 | 56,219 | 0.20 | 0.21 | 4.04 | 20 | ||||||||||||||||||||||
(0.99 | ) | 52.95 | 7.91 | 28,063 | 0.20 | * | 0.61 | * | 2.35 | * | 122 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 27 |
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) |
Net Increase (Decrease) from Investment Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 106.76 | $ | 2.03 | $ | (4.24 | ) | $ | (2.21 | ) | $ | (2.23 | ) | $ | (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 Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 103.21 | $ | 1.61 | $ | (0.18 | ) | $ | 1.43 | $ | (1.65 | ) | $ | (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 |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 51.98 | $ | 0.99 | $ | (2.85 | ) | $ | (1.86 | ) | $ | (1.44 | ) | $ | (0.38 | ) | ||||||||
01/22/2014 - 06/30/2014 |
50.00 | 0.77 | 1.87 | 2.64 | (0.66 | ) | 0.00 | |||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 101.45 | $ | 0.26 | $ | (0.22 | ) | $ | 0.04 | $ | (0.37 | ) | $ | (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 | ) | ||||||||||||||||
11/16/2009 - 06/30/2010 |
100.00 | 0.32 | 0.37 | 0.69 | (0.35 | ) | 0.00 | |||||||||||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 48.68 | $ | 0.25 | $ | (2.48 | ) | $ | (2.23 | ) | $ | 0.00 | $ | 0.00 | ||||||||||
06/30/2014 |
47.14 | 0.35 | 1.19 | 1.54 | 0.00 | 0.00 | ||||||||||||||||||
02/11/2013 - 06/30/2013 |
50.00 | 0.13 | (2.99 | ) | (2.86 | ) | 0.00 | 0.00 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 51.66 | $ | 0.67 | $ | (5.04 | ) | $ | (4.37 | ) | $ | (1.48 | ) | $ | 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 |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 53.17 | $ | 0.55 | $ | 0.39 | $ | 0.94 | $ | (0.52 | ) | $ | 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 | ) | ||||||||||||||||
11/30/2009 - 06/30/2010 |
50.00 | 0.63 | 0.61 | 1.24 | (0.61 | ) | 0.00 | |||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 101.27 | $ | 0.65 | $ | (0.30 | ) | $ | 0.35 | $ | (1.17 | ) | $ | (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 |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 50.47 | $ | 0.18 | $ | (0.12 | ) | $ | 0.06 | $ | (0.20 | ) | $ | 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 | |||||||||||||||||
02/01/2010 - 06/30/2010 |
50.00 | 0.21 | 0.14 | 0.35 | (0.22 | ) | 0.00 |
28 | PIMCO ETF TRUST | See Accompanying Notes |
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 (b) |
|||||||||||||||||||||||
$ | (3.19 | ) | $ | 101.36 | (2.08 | )% | $ | 2,893,886 | 0.55 | %* | 0.55 | %* | 3.83 | %* | 14 | % | ||||||||||||||
(4.84 | ) | 106.76 | 8.98 | 5,119,202 | 0.55 | 0.55 | 3.98 | 28 | ||||||||||||||||||||||
(5.15 | ) | 102.54 | 8.21 | 2,307,178 | 0.55 | 0.55 | 4.52 | 33 | ||||||||||||||||||||||
(5.60 | ) | 99.62 | 5.16 | 323,771 | 0.55 | 0.55 | 6.14 | 33 | ||||||||||||||||||||||
(0.16 | ) | 100.29 | 0.45 | 25,073 | 0.55 | * | 7.30 | * | 4.65 | * | 0 | |||||||||||||||||||
$ | (1.98 | ) | $ | 102.66 | 1.40 | % | $ | 172,467 | 0.20 | %* | 0.20 | %* | 3.08 | %* | 4 | % | ||||||||||||||
(6.96 | ) | 103.21 | 8.24 | 199,196 | 0.20 | 0.20 | 3.36 | 17 | ||||||||||||||||||||||
(4.46 | ) | 102.11 | 0.92 | 140,916 | 0.20 | 0.20 | 3.15 | 34 | ||||||||||||||||||||||
(3.35 | ) | 105.46 | 9.20 | 256,267 | 0.20 | 0.20 | 3.32 | 5 | ||||||||||||||||||||||
(2.61 | ) | 99.76 | 2.40 | 72,821 | 0.20 | * | 0.34 | * | 3.36 | * | 69 | |||||||||||||||||||
$ | (1.82 | ) | $ | 48.30 | (3.63 | )% | $ | 46,369 | 0.85 | %* | 0.85 | %* | 3.87 | %* | 23 | % | ||||||||||||||
(0.66 | ) | 51.98 | 5.30 | 44,706 | 0.85 | * | 1.04 | * | 3.45 | * | 61 | |||||||||||||||||||
$ | (0.46 | ) | $ | 101.03 | 0.04 | % | $ | 3,857,308 | 0.35 | %*† | 0.35 | %*† | 0.50 | %* | 116 | % | ||||||||||||||
(0.84 | ) | 101.45 | 1.02 | 3,773,896 | 0.35 | † | 0.35 | † | 0.66 | 188 | ||||||||||||||||||||
(0.92 | ) | 101.26 | 1.09 | 3,752,615 | 0.35 | 0.35 | 0.87 | 100 | ||||||||||||||||||||||
(1.09 | ) | 101.08 | 1.13 | 1,715,342 | 0.35 | 0.35 | 1.05 | 229 | ||||||||||||||||||||||
(1.19 | ) | 101.04 | 1.89 | 1,233,727 | 0.35 | 0.36 | 0.85 | 280 | ||||||||||||||||||||||
(0.35 | ) | 100.34 | 0.69 | 656,227 | 0.35 | * | 0.41 | * | 0.57 | * | 276 | |||||||||||||||||||
$ | 0.00 | $ | 46.45 | (4.58 | )% | $ | 15,792 | 0.65 | %*† | 0.65 | %*† | 1.03 | %* | 49 | % | |||||||||||||||
0.00 | 48.68 | 3.27 | 21,417 | 0.66 | 0.66 | 0.73 | 39 | |||||||||||||||||||||||
0.00 | 47.14 | (5.72 | ) | 25,456 | 0.65 | * | 1.22 | * | 0.70 | * | 37 | |||||||||||||||||||
$ | (1.48 | ) | $ | 45.81 | (8.62 | )% | $ | 117,270 | 0.62 | %*(d) | 0.62 | %*(d) | 2.69 | %* | 44 | % | ||||||||||||||
(0.54 | ) | 51.66 | 7.55 | 137,415 | 0.62 | (c) | 0.62 | (c) | 3.93 | 80 | ||||||||||||||||||||
(0.50 | ) | 48.55 | (2.55 | ) | 119,436 | 0.63 | (d) | 0.64 | (c) | 2.54 | 216 | |||||||||||||||||||
0.00 | 50.28 | 0.56 | 28,156 | 0.61 | *(d) | 2.14 | *(e) | 3.63 | * | 381 | ||||||||||||||||||||
$ | (0.52 | ) | $ | 53.59 | 1.78 | % | $ | 222,952 | 0.35 | %* | 0.35 | %* | 2.01 | %* | 3 | % | ||||||||||||||
(1.07 | ) | 53.17 | 4.23 | 210,548 | 0.35 | 0.35 | 2.01 | 15 | ||||||||||||||||||||||
(1.27 | ) | 52.06 | (0.76 | ) | 187,931 | 0.35 | 0.35 | 2.26 | 35 | |||||||||||||||||||||
(1.25 | ) | 53.70 | 6.88 | 153,576 | 0.35 | 0.35 | 2.30 | 11 | ||||||||||||||||||||||
(1.30 | ) | 51.44 | 4.20 | 90,529 | 0.35 | 0.36 | 2.37 | 44 | ||||||||||||||||||||||
(0.61 | ) | 50.63 | 2.50 | 43,543 | 0.35 | * | 0.91 | * | 2.14 | * | 72 | |||||||||||||||||||
$ | (1.42 | ) | $ | 100.20 | 0.35 | % | $ | 138,271 | 0.52 | %*(f) | 0.56 | %*(g) | 1.26 | %* | 829 | % | ||||||||||||||
(0.25 | ) | 101.27 | 1.52 | 139,750 | 0.56 | * | 0.69 | * | 0.69 | * | 4,098 | |||||||||||||||||||
$ | (0.20 | ) | $ | 50.33 | 0.11 | % | $ | 65,926 | 0.35 | %* | 0.35 | %* | 0.69 | %* | 9 | % | ||||||||||||||
(0.22 | ) | 50.47 | 1.10 | 76,211 | 0.35 | 0.35 | 0.51 | 44 | ||||||||||||||||||||||
(0.47 | ) | 50.14 | 0.14 | 60,671 | 0.35 | 0.35 | 0.79 | 42 | ||||||||||||||||||||||
(0.50 | ) | 50.54 | 1.36 | 43,463 | 0.35 | 0.35 | 0.96 | 17 | ||||||||||||||||||||||
(0.60 | ) | 50.36 | 1.67 | 23,168 | 0.35 | 0.35 | 1.20 | 35 | ||||||||||||||||||||||
(0.22 | ) | 50.13 | 0.70 | 18,046 | 0.35 | * | 2.17 | * | 1.09 | * | 4 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 29 |
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) |
Net Increase (Decrease) from Investment Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
||||||||||||||||||||||||
07/01/2014 - 12/31/2014+ |
$ | 108.85 | $ | 1.51 | $ | 1.17 | $ | 2.68 | $ | (4.08 | ) | $ | 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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions. |
(c) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.61%. |
(d) | Ratio of expenses to average net assets excluding interest expense was 0.60%. |
(e) | Ratio of expenses to average net assets excluding waivers and interest expense was 2.13%. |
(f) | Ratio of expenses to average net assets excluding interest expense was 0.51%. |
(g) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.55%. |
(h) | Ratio of expenses to average net assets excluding interest expense was 0.55%. |
(i) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.65%. |
(j) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.56%. |
30 | PIMCO ETF TRUST | See Accompanying Notes |
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 (b) |
|||||||||||||||||||||||
$ | (4.08 | ) | $ | 107.45 | 2.48 | % | $ | 2,367,199 | 0.59 | %*(h) | 0.69 | %*(i) | 2.73 | %* | 33 | % | ||||||||||||||
(2.13 | ) | 108.85 | 5.10 | 3,431,844 | 0.56 | (h) | 0.57 | (j) | 2.24 | 577 | ||||||||||||||||||||
(3.22 | ) | 105.66 | 3.11 | 4,398,592 | 0.55 | 0.55 | 2.26 | 449 | ||||||||||||||||||||||
(0.71 | ) | 105.55 | 6.27 | 1,765,865 | 0.55 | * | 0.62 | * | 2.86 | * | 322 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 31 |
Statements of Assets and Liabilities
(Amounts in thousands†, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
|||||||||||||||
Assets: |
||||||||||||||||||||
Investments, at value |
||||||||||||||||||||
Investments in securities* |
$ | 114,011 | $ | 9,184 | $ | 109,209 | $ | 97,845 | $ | 1,324,803 | ||||||||||
Investments in Affiliates |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Cash |
0 | 43 | 0 | 12 | 0 | |||||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Foreign currency, at value |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Receivable for investments sold |
4,581 | 118 | 278 | 5,469 | 50,874 | |||||||||||||||
Receivable for Fund shares sold |
2,542 | 0 | 0 | 0 | 0 | |||||||||||||||
Interest receivable |
488 | 46 | 915 | 0 | 5,823 | |||||||||||||||
Reimbursement receivable from PIMCO |
9 | 2 | 0 | 9 | 0 | |||||||||||||||
121,631 | 9,393 | 110,402 | 103,335 | 1,381,500 | ||||||||||||||||
Liabilities: |
||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||
Payable for sale-buyback transactions |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable for investments purchased |
7,021 | 110 | 0 | 4,798 | 51,170 | |||||||||||||||
Payable upon return of securities loaned |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Deposits from counterparty |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable for Fund shares redeemed |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Dividends payable |
48 | 13 | 189 | 639 | 0 | |||||||||||||||
Accrued management fees |
16 | 1 | 14 | 12 | 237 | |||||||||||||||
Other liabilities |
43 | 2 | 3 | 11 | 20 | |||||||||||||||
7,128 | 126 | 206 | 5,460 | 51,427 | ||||||||||||||||
Net Assets |
$ | 114,503 | $ | 9,267 | $ | 110,196 | $ | 97,875 | $ | 1,330,073 | ||||||||||
Net Assets Consist of: |
||||||||||||||||||||
Paid in capital |
114,460 | 9,286 | 107,235 | 105,071 | 1,374,884 | |||||||||||||||
(Overdistributed) net investment income |
(37 | ) | (34 | ) | (32 | ) | (32 | ) | (9,460 | ) | ||||||||||
Accumulated undistributed net realized gain (loss) |
136 | 30 | 161 | (13,900 | ) | (4,994 | ) | |||||||||||||
Net unrealized appreciation (depreciation) |
(56 | ) | (15 | ) | 2,832 | 6,736 | (30,357 | ) | ||||||||||||
$ | 114,503 | $ | 9,267 | $ | 110,196 | $ | 97,875 | $ | 1,330,073 | |||||||||||
Shares Issued and Outstanding |
2,252 | 117 | 1,287 | 820 | 25,720 | |||||||||||||||
Net Asset Value Per Share |
$ | 50.84 | $ | 79.43 | $ | 85.64 | $ | 119.36 | $ | 51.71 | ||||||||||
Cost of Investments in securities |
$ | 114,067 | $ | 9,199 | $ | 106,377 | $ | 91,109 | $ | 1,355,160 | ||||||||||
Cost of Investments in Affiliates |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Cost of Foreign Currency Held |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Cost or Premiums of Financial Derivative Instruments, net |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
* Includes repurchase agreements of: |
$ | 536 | $ | 0 | $ | 241 | $ | 0 | $ | 2,431 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
32 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
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 Foreign Currency Strategy Active Exchange- Traded Fund |
||||||||||||||||||||
$ | 77,840 | $ | 46,818 | $ | 2,858,604 | $ | 170,914 | $ | 41,655 | $ | 3,795,489 | $ | 15,621 | |||||||||||||
0 | 0 | 28,386 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 303 | 4 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 167 | 0 | 1,046 | ||||||||||||||||||||
92 | 0 | 240 | 0 | 4 | 6,756 | 0 | ||||||||||||||||||||
0 | 0 | 1,732 | 104 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 3 | 0 | 21 | ||||||||||||||||||||
63 | 103 | 0 | 0 | 1 | 0 | 16 | ||||||||||||||||||||
0 | 0 | 20,251 | 0 | 4,835 | 106,075 | 0 | ||||||||||||||||||||
358 | 295 | 48,116 | 1,899 | 672 | 16,396 | 117 | ||||||||||||||||||||
9 | 8 | 0 | 0 | 0 | 0 | 1 | ||||||||||||||||||||
78,362 | 47,224 | 2,957,632 | 172,921 | 47,337 | 3,924,716 | 16,822 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 56,683 | $ | 0 | |||||||||||||
0 | 0 | 0 | 0 | 19 | 0 | 748 | ||||||||||||||||||||
0 | 0 | 20,663 | 0 | 486 | 0 | 1 | ||||||||||||||||||||
0 | 0 | 28,386 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 270 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 7,075 | 0 | ||||||||||||||||||||
47 | 0 | 13,324 | 420 | 430 | 2,451 | 0 | ||||||||||||||||||||
14 | 9 | 1,439 | 31 | 32 | 1,140 | 9 | ||||||||||||||||||||
11 | 10 | 44 | 3 | 1 | 59 | 2 | ||||||||||||||||||||
72 | 19 | 63,746 | 454 | 968 | 67,408 | 1,030 | ||||||||||||||||||||
$ | 78,290 | $ | 47,205 | $ | 2,893,886 | $ | 172,467 | $ | 46,369 | $ | 3,857,308 | $ | 15,792 | |||||||||||||
88,038 | 50,976 | 2,998,032 | 166,002 | 47,885 | 3,861,186 | 17,245 | ||||||||||||||||||||
(93 | ) | (330 | ) | (5,259 | ) | (145 | ) | (332 | ) | (2,590 | ) | (314 | ) | |||||||||||||
(8,165 | ) | (1,754 | ) | 5,588 | 4,459 | 60 | 2,792 | (667 | ) | |||||||||||||||||
(1,490 | ) | (1,687 | ) | (104,475 | ) | 2,151 | (1,244 | ) | (4,080 | ) | (472 | ) | ||||||||||||||
$ | 78,290 | $ | 47,205 | $ | 2,893,886 | $ | 172,467 | $ | 46,369 | $ | 3,857,308 | $ | 15,792 | |||||||||||||
1,170 | 830 | 28,550 | 1,680 | 960 | 38,180 | 340 | ||||||||||||||||||||
$ | 66.91 | $ | 56.87 | $ | 101.36 | $ | 102.66 | $ | 48.30 | $ | 101.03 | $ | 46.45 | |||||||||||||
$ | 79,330 | $ | 48,505 | $ | 2,963,963 | $ | 168,814 | $ | 42,105 | $ | 3,799,569 | $ | 16,201 | |||||||||||||
$ | 0 | $ | 0 | $ | 28,386 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 3 | $ | 0 | $ | 20 | |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 36 | $ | 0 | $ | 0 | |||||||||||||
$ | 0 | $ | 155 | $ | 11,435 | $ | 14,560 | $ | 199 | $ | 1,905 | $ | 170 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 33 |
Statements of Assets and Liabilities (Cont.)
(Unaudited)
December 31, 2014
(Amounts in thousands†, except per share amounts) | 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 |
|||||||||||||||
Assets: |
||||||||||||||||||||
Investments, at value |
||||||||||||||||||||
Investments in securities* |
$ | 161,845 | $ | 224,751 | $ | 181,369 | $ | 65,345 | $ | 2,471,901 | ||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
6 | 0 | 9 | 0 | 899 | |||||||||||||||
Over the counter |
1,324 | 0 | 407 | 0 | 60,980 | |||||||||||||||
Cash |
0 | 0 | 18 | 0 | 84 | |||||||||||||||
Deposits with counterparty |
329 | 0 | 248 | 0 | 695 | |||||||||||||||
Foreign currency, at value |
605 | 0 | 51 | 0 | 2,496 | |||||||||||||||
Receivable for investments sold |
994 | 0 | 11,957 | 0 | 31 | |||||||||||||||
Interest receivable |
1,046 | 2,163 | 1,013 | 651 | 17,682 | |||||||||||||||
Reimbursement receivable from PIMCO |
5 | 0 | 1 | 1 | 0 | |||||||||||||||
Other assets |
7 | 0 | 0 | 0 | 0 | |||||||||||||||
166,161 | 226,914 | 195,073 | 65,997 | 2,554,768 | ||||||||||||||||
Liabilities: |
||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 8,003 | $ | 0 | $ | 42,548 | $ | 0 | $ | 67,455 | ||||||||||
Payable for sale-buyback transactions |
37,431 | 0 | 1,069 | 0 | 0 | |||||||||||||||
Payable for short sales |
0 | 0 | 12,001 | 0 | 0 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
41 | 0 | 13 | 0 | 71 | |||||||||||||||
Over the counter |
1,500 | 0 | 6 | 0 | 25,889 | |||||||||||||||
Payable for investments purchased |
779 | 3,498 | 0 | 0 | 0 | |||||||||||||||
Deposits from counterparty |
580 | 0 | 259 | 0 | 44,566 | |||||||||||||||
Payable for Fund shares redeemed |
0 | 0 | 0 | 0 | 10,728 | |||||||||||||||
Dividends payable |
460 | 391 | 842 | 47 | 37,621 | |||||||||||||||
Accrued management fees |
62 | 68 | 60 | 21 | 1,163 | |||||||||||||||
Accrued taxes payable |
10 | 0 | 0 | 0 | 0 | |||||||||||||||
Reimbursement to PIMCO |
0 | 0 | 0 | 0 | 38 | |||||||||||||||
Other liabilities |
25 | 5 | 4 | 3 | 38 | |||||||||||||||
48,891 | 3,962 | 56,802 | 71 | 187,569 | ||||||||||||||||
Net Assets |
$ | 117,270 | $ | 222,952 | $ | 138,271 | $ | 65,926 | $ | 2,367,199 | ||||||||||
Net Assets Consist of: |
||||||||||||||||||||
Paid in capital |
135,502 | 217,791 | 139,493 | 65,898 | 2,363,583 | |||||||||||||||
Undistributed (overdistributed) net investment income |
(489 | ) | 9 | (723 | ) | (47 | ) | (55,852 | ) | |||||||||||
Accumulated undistributed net realized gain (loss) |
(3,282 | ) | (1,803 | ) | 309 | (185 | ) | 3,128 | ||||||||||||
Net unrealized appreciation (depreciation) |
(14,461 | ) | 6,955 | (808 | ) | 260 | 56,340 | |||||||||||||
$ | 117,270 | $ | 222,952 | $ | 138,271 | $ | 65,926 | $ | 2,367,199 | |||||||||||
Shares Issued and Outstanding |
2,560 | 4,160 | 1,380 | 1,310 | 22,030 | |||||||||||||||
Net Asset Value Per Share |
$ | 45.81 | $ | 53.59 | $ | 100.20 | $ | 50.33 | $ | 107.45 | ||||||||||
Cost of Investments in securities |
$ | 175,965 | $ | 217,796 | $ | 182,528 | $ | 65,085 | $ | 2,451,354 | ||||||||||
Cost of Foreign Currency Held |
$ | 608 | $ | 0 | $ | 52 | $ | 0 | $ | 2,526 | ||||||||||
Proceeds Received on Short Sales |
$ | 0 | $ | 0 | $ | 11,874 | $ | 0 | $ | 0 | ||||||||||
Cost or Premiums of Financial Derivative Instruments, net |
$ | (56 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (2,269 | ) | ||||||||
* Includes repurchase agreements of: |
$ | 1,664 | $ | 527 | $ | 939 | $ | 571 | $ | 162,189 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
34 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
Six Months Ended December 31, 2014 | ||||||||||||||||||||
(Amounts in thousands†) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
|||||||||||||||
Investment Income: |
||||||||||||||||||||
Interest |
$ | 356 | $ | 95 | $ | 1,186 | $ | 1,227 | $ | (3,807 | ) | |||||||||
Total Income |
356 | 95 | 1,186 | 1,227 | (3,807 | ) | ||||||||||||||
Expenses: |
||||||||||||||||||||
Management fees |
94 | 10 | 74 | 59 | 1,398 | |||||||||||||||
Trustee fees |
2 | 0 | 2 | 1 | 21 | |||||||||||||||
Miscellaneous expense |
3 | 0 | 1 | 2 | 0 | |||||||||||||||
Total Expenses |
99 | 10 | 77 | 62 | 1,419 | |||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(28 | ) | 0 | 0 | (1 | ) | 0 | |||||||||||||
Net Expenses |
71 | 10 | 77 | 61 | 1,419 | |||||||||||||||
Net Investment Income (Loss) |
285 | 85 | 1,109 | 1,166 | (5,226 | ) | ||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||
Investments in securities |
53 | (2 | ) | 413 | (250 | ) | (2,184 | ) | ||||||||||||
In-kind redemptions |
128 | 34 | 241 | 4,137 | (308 | ) | ||||||||||||||
Net Realized Gain (Loss) |
181 | 32 | 654 | 3,887 | (2,492 | ) | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||
Investments in securities |
(222 | ) | 47 | 2,299 | 9,787 | (36,166 | ) | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(222 | ) | 47 | 2,299 | 9,787 | (36,166 | ) | |||||||||||||
Net Gain (Loss) |
(41 | ) | 79 | 2,953 | 13,674 | (38,658 | ) | |||||||||||||
Net Increase (decrease) in Net Assets Resulting from Operations |
$ | 244 | $ | 164 | $ | 4,062 | $ | 14,840 | $ | (43,884 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 35 |
Statements of Operations (Cont.)
Six Months Ended December 31, 2014 | ||||||||||||||||||||
(Amounts in thousands†) | 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 |
|||||||||||||||
Investment Income: |
||||||||||||||||||||
Interest, net of foreign taxes* |
$ | 370 | $ | 297 | $ | 84,051 | $ | 3,568 | $ | 1,019 | ||||||||||
Dividends |
0 | 0 | 0 | 0 | 26 | |||||||||||||||
Dividends from Investments in Affiliates |
0 | 0 | 8 | 0 | 0 | |||||||||||||||
Securities lending income |
0 | 0 | 379 | 0 | 0 | |||||||||||||||
Total Income |
370 | 297 | 84,438 | 3,568 | 1,045 | |||||||||||||||
Expenses: |
||||||||||||||||||||
Management fees |
78 | 91 | 10,628 | 217 | 188 | |||||||||||||||
Trustee fees |
1 | 1 | 44 | 3 | 1 | |||||||||||||||
Interest expense |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Legal expense |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Miscellaneous expense |
2 | 2 | 0 | 0 | 1 | |||||||||||||||
Total Expenses |
81 | 94 | 10,672 | 220 | 190 | |||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(1 | ) | (1 | ) | 0 | 0 | (1 | ) | ||||||||||||
Net Expenses |
80 | 93 | 10,672 | 220 | 189 | |||||||||||||||
Net Investment Income |
290 | 204 | 73,766 | 3,348 | 856 | |||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||
Investments in securities |
(370 | ) | (261 | ) | 56 | 326 | (372 | ) | ||||||||||||
In-kind redemptions |
276 | (958 | ) | 838 | 4,275 | 0 | ||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 7,880 | 371 | 0 | |||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 443 | |||||||||||||||
Foreign currency |
0 | 0 | 0 | 0 | (8 | ) | ||||||||||||||
Net Realized Gain (Loss) |
(94 | ) | (1,219 | ) | 8,774 | 4,972 | 63 | |||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||
Investments in securities |
2,410 | (1,011 | ) | (166,532 | ) | (5,602 | ) | (2,684 | ) | |||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | (7,137 | ) | 51 | 0 | ||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 162 | |||||||||||||||
Foreign currency assets and liabilities |
0 | 0 | 0 | 0 | (7 | ) | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
2,410 | (1,011 | ) | (173,669 | ) | (5,551 | ) | (2,529 | ) | |||||||||||
Net Gain (Loss) |
2,316 | (2,230 | ) | (164,895 | ) | (579 | ) | (2,466 | ) | |||||||||||
Net Increase (decrease) in Net Assets Resulting from Operations |
$ | 2,606 | $ | (2,026 | ) | $ | (91,129 | ) | $ | 2,769 | $ | (1,610 | ) | |||||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
36 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Foreign Currency Strategy 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 |
||||||||||||||||||||
$ | 16,356 | $ | 168 | $ | 2,121 | $ | 2,580 | $ | 1,269 | $ | 385 | $ | 50,725 | |||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 163 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
16,356 | 168 | 2,121 | 2,580 | 1,269 | 385 | 50,888 | ||||||||||||||||||||
6,691 | 65 | 383 | 381 | 392 | 129 | 8,426 | ||||||||||||||||||||
58 | 0 | 2 | 4 | 2 | 1 | 37 | ||||||||||||||||||||
36 | 0 | 15 | 0 | 5 | 0 | 610 | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 1,447 | ||||||||||||||||||||
0 | 0 | 3 | 1 | 4 | 2 | 75 | ||||||||||||||||||||
6,785 | 65 | 403 | 386 | 403 | 132 | 10,595 | ||||||||||||||||||||
0 | 0 | (2 | ) | 0 | (29 | ) | (1 | ) | (1,484 | ) | ||||||||||||||||
6,785 | 65 | 401 | 386 | 374 | 131 | 9,111 | ||||||||||||||||||||
9,571 | 103 | 1,720 | 2,194 | 895 | 254 | 41,777 | ||||||||||||||||||||
4,107 | (475 | ) | 5 | 45 | 104 | (3 | ) | 18,987 | ||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||
0 | 0 | (35 | ) | 0 | (1 | ) | 0 | 6,055 | ||||||||||||||||||
0 | 114 | 186 | 0 | 452 | 0 | 69,747 | ||||||||||||||||||||
0 | 79 | (79 | ) | 0 | 9 | 0 | (737 | ) | ||||||||||||||||||
4,107 | (282 | ) | 77 | 45 | 564 | (3 | ) | 94,052 | ||||||||||||||||||
(12,149 | ) | (937 | ) | (12,687 | ) | 1,584 | (1,409 | ) | (165 | ) | (116,268 | ) | ||||||||||||||
0 | 0 | (155 | ) | 0 | (3 | ) | 0 | (1,253 | ) | |||||||||||||||||
0 | 182 | (142 | ) | 0 | 444 | 0 | 50,545 | |||||||||||||||||||
0 | 16 | (85 | ) | 0 | (6 | ) | 0 | (481 | ) | |||||||||||||||||
(12,149 | ) | (739 | ) | (13,069 | ) | 1,584 | (974 | ) | (165 | ) | (67,457 | ) | ||||||||||||||
(8,042 | ) | (1,021 | ) | (12,992 | ) | 1,629 | (410 | ) | (168 | ) | 26,595 | |||||||||||||||
$ | 1,529 | $ | (918 | ) | $ | (11,272 | ) | $ | 3,823 | $ | 485 | $ | 86 | $ | 68,372 | |||||||||||
$ | 0 | $ | 0 | $ | 14 | $ | 0 | $ | 1 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 37 |
Statements of Changes in Net Assets
PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
|||||||||||||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
||||||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||||||||||
Net investment income (loss) |
$ | 285 | $ | 429 | $ | 85 | $ | 197 | $ | 1,109 | $ | 936 | $ | 1,166 | $ | 2,840 | ||||||||||||||||
Net realized gain (loss) |
181 | 246 | 32 | 240 | 654 | (707 | ) | 3,887 | (8,619 | ) | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(222 | ) | 271 | 47 | (138 | ) | 2,299 | 1,108 | 9,787 | 7,861 | ||||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
244 | 946 | 164 | 299 | 4,062 | 1,337 | 14,840 | 2,082 | ||||||||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||||||||||
From net investment income |
(283 | ) | (406 | ) | (82 | ) | (183 | ) | (1,136 | ) | (891 | ) | (1,198 | ) | (2,765 | ) | ||||||||||||||||
From net realized capital gains |
(134 | ) | (70 | ) | (70 | ) | (41 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||
Total Distributions |
(417 | ) | (476 | ) | (152 | ) | (224 | ) | (1,136 | ) | (891 | ) | (1,198 | ) | (2,765 | ) | ||||||||||||||||
Fund Share Transactions: |
||||||||||||||||||||||||||||||||
Receipts for shares sold |
33,131 | 45,761 | 0 | 7,926 | 45,916 | 111,298 | 77,481 | 112,640 | ||||||||||||||||||||||||
Cost of shares redeemed |
(45,897 | ) | (48,384 | ) | (3,996 | ) | (15,890 | ) | (12,615 | ) | (49,071 | ) | (70,150 | ) | (117,331 | ) | ||||||||||||||||
Net increase (decrease) resulting from Fund share transactions** |
(12,766 | ) | (2,623 | ) | (3,996 | ) | (7,964 | ) | 33,301 | 62,227 | 7,331 | (4,691 | ) | |||||||||||||||||||
Total Increase (Decrease) in Net Assets |
(12,939 | ) | (2,153 | ) | (3,984 | ) | (7,889 | ) | 36,227 | 62,673 | 20,973 | (5,374 | ) | |||||||||||||||||||
Net Assets: |
||||||||||||||||||||||||||||||||
Beginning of period |
127,442 | 129,595 | 13,251 | 21,140 | 73,969 | 11,296 | 76,902 | 82,276 | ||||||||||||||||||||||||
End of period* |
$ | 114,503 | $ | 127,442 | $ | 9,267 | $ | 13,251 | $ | 110,196 | $ | 73,969 | $ | 97,875 | $ | 76,902 | ||||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (37 | ) | $ | (39 | ) | $ | (34 | ) | $ | (37 | ) | $ | (32 | ) | $ | (5 | ) | $ | (32 | ) | $ | 0 | |||||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||||||||||
Shares Sold |
650 | 900 | 0 | 100 | 550 | 1,350 | 700 | 1,250 | ||||||||||||||||||||||||
Shares Redeemed |
(900 | ) | (950 | ) | (50 | ) | (200 | ) | (150 | ) | (600 | ) | (650 | ) | (1,350 | ) | ||||||||||||||||
Net increase (decrease) in shares outstanding |
(250 | ) | (50 | ) | (50 | ) | (100 | ) | 400 | 750 | 50 | (100 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
** | See Note 12 in the Notes to Financial Statements. |
38 | PIMCO ETF TRUST | See Accompanying Notes |
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 |
||||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
|||||||||||||||||||||||||||||
$ | (5,226 | ) | $ | 8,084 | $ | 290 | $ | 1,408 | $ | 204 | $ | 742 | $ | 73,766 | $ | 153,109 | $ | 3,348 | $ | 5,669 | ||||||||||||||||||
(2,492 | ) | 53 | (94 | ) | (11,723 | ) | (1,219 | ) | (919 | ) | 8,774 | 52,503 | 4,972 | 1,228 | ||||||||||||||||||||||||
|
(36,166 |
) |
19,880 | 2,410 | 15,728 | (1,011 | ) | 2,492 | (173,669 | ) | 91,869 | (5,551 | ) | 7,101 | ||||||||||||||||||||||||
|
(43,884 |
) |
28,017 | 2,606 | 5,413 | (2,026 | ) | 2,315 | (91,129 | ) | 297,481 | 2,769 | 13,998 | |||||||||||||||||||||||||
(4,810 | ) | (7,653 | ) | (523 | ) | (1,698 | ) | (543 | ) | (933 | ) | (76,329 | ) | (170,299 | ) | (3,548 | ) | (5,512 | ) | |||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | (28,504 | ) | (8,529 | ) | (558 | ) | (6,182 | ) | |||||||||||||||||||||||||
(4,810 | ) | (7,653 | ) | (523 | ) | (1,698 | ) | (543 | ) | (933 | ) | (104,833 | ) | (178,828 | ) | (4,106 | ) | (11,694 | ) | |||||||||||||||||||
122,146 | 429,595 | 9,974 | 3,018 | 37,828 | 60,731 | 417,753 | 2,968,939 | 124,000 | 86,738 | |||||||||||||||||||||||||||||
(81,254 | ) | (153,693 | ) | (3,337 | ) | (42,167 | ) | (94,456 | ) | (27,897 | ) | (2,447,107 | ) | (275,568 | ) | (149,392 | ) | (30,762 | ) | |||||||||||||||||||
|
40,892 |
|
275,902 | 6,637 | (39,149 | ) | (56,628 | ) | 32,834 | (2,029,354 | ) | 2,693,371 | (25,392 | ) | 55,976 | |||||||||||||||||||||||
(7,802 | ) | 296,266 | 8,720 | (35,434 | ) | (59,197 | ) | 34,216 | (2,225,316 | ) | 2,812,024 | (26,729 | ) | 58,280 | ||||||||||||||||||||||||
1,337,875 | 1,041,609 | 69,570 | 105,004 | 106,402 | 72,186 | 5,119,202 | 2,307,178 | 199,196 | 140,916 | |||||||||||||||||||||||||||||
$ | 1,330,073 | $ | 1,337,875 | $ | 78,290 | $ | 69,570 | $ | 47,205 | $ | 106,402 | $ | 2,893,886 | $ | 5,119,202 | $ | 172,467 | $ | 199,196 | |||||||||||||||||||
$ |
(9,460 |
) |
$ | 576 | $ | (93 | ) | $ | 140 | $ | (330 | ) | $ | 9 | $ | (5,259 | ) | $ | (2,696 | ) | $ | (145 | ) | $ | 55 | |||||||||||||
2,300 | 8,100 | 150 | 50 | 650 | 1,050 | 4,000 | 28,050 | 1,200 | 850 | |||||||||||||||||||||||||||||
(1,550 | ) | (2,900 | ) | (50 | ) | (700 | ) | (1,650 | ) | (500 | ) | (23,400 | ) | (2,600 | ) | (1,450 | ) | (300 | ) | |||||||||||||||||||
|
750 |
|
5,200 | 100 | (650 | ) | (1,000 | ) | 550 | (19,400 | ) | 25,450 | (250 | ) | 550 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 39 |
Statements of Changes in Net Assets (Cont.)
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Foreign Currency Strategy Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
|||||||||||||||||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2014 (Unaudited) |
Period from January 22, 2014 to June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Period from June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
||||||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||||||||
Operations: |
||||||||||||||||||||||||||||||||
Net investment income |
$ | 856 | $ | 622 | $ | 9,571 | $ | 26,240 | $ | 103 | $ | 167 | $ | 1,720 | $ | 4,719 | ||||||||||||||||
Net realized gain (loss) |
63 | 318 | 4,107 | 7,018 | (282 | ) | (849 | ) | 77 | (4,751 | ) | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
(2,529 | ) | 1,285 | (12,149 | ) | 7,016 | (739 | ) | 1,369 | (13,069 | ) | 10,207 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,610 | ) | 2,225 | 1,529 | 40,274 | (918 | ) | 687 | (11,272 | ) | 10,175 | |||||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||||||||||
From net investment income |
(1,237 | ) | (568 | ) | (13,695 | ) | (26,777 | ) | 0 | 0 | (3,789 | ) | (931 | ) | ||||||||||||||||||
From net realized capital gains |
(325 | ) | 0 | (3,333 | ) | (5,604 | ) | 0 | 0 | 0 | (431 | ) | ||||||||||||||||||||
Total Distributions |
(1,562 | ) | (568 | ) | (17,028 | ) | (32,381 | ) | 0 | 0 | (3,789 | ) | (1,362 | ) | ||||||||||||||||||
Fund Share Transactions: |
||||||||||||||||||||||||||||||||
Receipts for shares sold |
4,835 | 63,166 | 879,725 | 1,469,252 | 12 | 0 | 4,944 | 33,649 | ||||||||||||||||||||||||
Cost of shares redeemed |
0 | (20,117 | ) | (780,814 | ) | (1,455,864 | ) | (4,719 | ) | (4,726 | ) | (10,028 | ) | (24,483 | ) | |||||||||||||||||
Net increase (decrease) resulting from Fund share transactions** |
4,835 | 43,049 | 98,911 | 13,388 | (4,707 | ) | (4,726 | ) | (5,084 | ) | 9,166 | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets |
1,663 | 44,706 | 83,412 | 21,281 | (5,625 | ) | (4,039 | ) | (20,145 | ) | 17,979 | |||||||||||||||||||||
Net Assets: |
||||||||||||||||||||||||||||||||
Beginning of period |
44,706 | 0 | 3,773,896 | 3,752,615 | 21,417 | 25,456 | 137,415 | 119,436 | ||||||||||||||||||||||||
End of period* |
$ | 46,369 | $ | 44,706 | $ | 3,857,308 | $ | 3,773,896 | $ | 15,792 | $ | 21,417 | $ | 117,270 | $ | 137,415 | ||||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (332 | ) | $ | 49 | $ | (2,590 | ) | $ | 1,534 | $ | (314 | ) | $ | (417 | ) | $ | (489 | ) | $ | 1,580 | |||||||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||||||||||
Shares Sold |
100 | 1,260 | 8,680 | 14,490 | 0 | 0 | 100 | 700 | ||||||||||||||||||||||||
Shares Redeemed |
0 | (400 | ) | (7,700 | ) | (14,350 | ) | (100 | ) | (100 | ) | (200 | ) | (500 | ) | |||||||||||||||||
Net increase (decrease) in shares outstanding |
100 | 860 | 980 | 140 | (100 | ) | (100 | ) | (100 | ) | 200 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
** | See Note 12 in the Notes to Financial Statements. |
40 | PIMCO ETF TRUST | See Accompanying Notes |
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 |
|||||||||||||||||||||||||||
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Period from January 22, 2014 to June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
Six Months Ended December 31, 2014 (Unaudited) |
Year Ended June 30, 2014 |
|||||||||||||||||||||||
$ | 2,194 | $ | 3,957 | $ | 895 | $ | 150 | $ | 254 | $ | 388 | $ | 41,777 | $ | 82,474 | |||||||||||||||
45 | (1,260 | ) | 564 | 86 | (3 | ) | (180 | ) | 94,052 | (133,776 | ) | |||||||||||||||||||
|
1,584 |
|
5,494 | (974 | ) | 166 | (165 | ) | 616 | (67,457 | ) | 225,061 | ||||||||||||||||||
|
3,823 |
|
8,191 | 485 | 402 | 86 | 824 | 68,372 | 173,759 | |||||||||||||||||||||
(2,116 | ) | (4,026 | ) | (1,618 | ) | (138 | ) | (282 | ) | (332 | ) | (98,188 | ) | (60,989 | ) | |||||||||||||||
0 | 0 | (349 | ) | 0 | 0 | 0 | 0 | (14,866 | ) | |||||||||||||||||||||
(2,116 | ) | (4,026 | ) | (1,967 | ) | (138 | ) | (282 | ) | (332 | ) | (98,188 | ) | (75,855 | ) | |||||||||||||||
13,399 | 36,706 | 5,075 | 154,645 | 10 | 20,087 | 153,816 | 97,253 | |||||||||||||||||||||||
(2,702 | ) | (18,254 | ) | (5,072 | ) | (15,159 | ) | (10,099 | ) | (5,039 | ) | (1,188,645 | ) | (1,161,905 | ) | |||||||||||||||
|
10,697 |
|
18,452 | 3 | 139,486 | (10,089 | ) | 15,048 | (1,034,829 | ) | (1,064,652 | ) | ||||||||||||||||||
|
12,404 |
|
22,617 | (1,479 | ) | 139,750 | (10,285 | ) | 15,540 | (1,064,645 | ) | (966,748 | ) | |||||||||||||||||
210,548 | 187,931 | 139,750 | 0 | 76,211 | 60,671 | 3,431,844 | 4,398,592 | |||||||||||||||||||||||
$ | 222,952 | $ | 210,548 | $ | 138,271 | $ | 139,750 | $ | 65,926 | $ | 76,211 | $ | 2,367,199 | $ | 3,431,844 | |||||||||||||||
$ |
9 |
|
$ | (69 | ) | $ | (723 | ) | $ | 0 | $ | (47 | ) | $ | (19 | ) | $ | (55,852 | ) | $ | 559 | |||||||||
250 | 700 | 50 | 1,530 | 0 | 400 | 1,400 | 900 | |||||||||||||||||||||||
(50 | ) | (350 | ) | (50 | ) | (150 | ) | (200 | ) | (100 | ) | (10,900 | ) | (11,000 | ) | |||||||||||||||
|
200 |
|
350 | 0 | 1,380 | (200 | ) | 300 | (9,500 | ) | (10,100 | ) |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 41 |
Six Months Ended December 31, 2014 (Unaudited) | ||||||||
(Amounts in thousands†) | PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||
Cash flows provided by operating activities: |
||||||||
Net increase in net assets resulting from operations |
$ | 485 | $ | 68,372 | ||||
Adjustments to
reconcile net increase in net assets from operations to net cash provided
by |
||||||||
Purchases of long-term securities |
(1,256,329 | ) | (1,024,357 | ) | ||||
Proceeds from sales of long-term securities |
1,228,044 | 3,095,753 | ||||||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
4,476 | (356,742 | ) | |||||
(Increase) in deposits with counterparty |
(246 | ) | (695 | ) | ||||
Decrease in receivable for investments sold |
94,134 | 94,562 | ||||||
(Increase) Decrease in interest and dividends receivable |
(68 | ) | 12,046 | |||||
Decrease in exchange-traded or centrally cleared derivatives |
0 | 3,974 | ||||||
Decrease in over the counter derivatives |
452 | 72,016 | ||||||
Decrease in other assets |
0 | 15 | ||||||
(Decrease) in payable for investments purchased |
(107,380 | ) | (207,341 | ) | ||||
Increase in deposits from counterparty |
259 | 41,735 | ||||||
Increase (Decrease) in accrued supervisory and administrative fees |
(3 | ) | 29 | |||||
(Decrease) in reimbursement to PIMCO |
0 | (62 | ) | |||||
Proceeds from short sales transactions, net |
11,957 | 0 | ||||||
Proceeds from (Payments on) currency transactions |
3 | (1,218 | ) | |||||
Increase (Decrease) in other liabilities |
2 | (18 | ) | |||||
Net Realized (Gain) Loss |
||||||||
Investments in securities |
(104 | ) | (18,987 | ) | ||||
Exchange-traded or centrally cleared financial derivative instruments |
1 | (6,055 | ) | |||||
Over the counter financial derivative instruments |
(452 | ) | (69,747 | ) | ||||
Foreign currency |
(9 | ) | 737 | |||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||
Investments in securities |
1,409 | 116,268 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
3 | 1,253 | ||||||
Over the counter financial derivative instruments |
(444 | ) | (50,545 | ) | ||||
Foreign currency assets and liabilities |
6 | 481 | ||||||
Net amortization (accretion) on investments |
879 | 11,839 | ||||||
Net cash provided by (used for) operating activities |
(22,925 | ) | 1,783,313 | |||||
Cash flows provided by (used for) financing activities: |
||||||||
Proceeds from shares sold |
5,075 | 164,701 | ||||||
Payments on shares redeemed |
(5,072 | ) | (1,177,917 | ) | ||||
(Decrease) in overdraft due to custodian |
0 | (1,384 | ) | |||||
Cash dividend paid |
(1,194 | ) | (62,138 | ) | ||||
Proceeds from reverse repurchase agreements |
1,649,879 | 4,848,354 | ||||||
Payments on reverse repurchase agreements |
(1,627,506 | ) | (5,460,633 | ) | ||||
Proceeds from sale-buyback transactions |
1,153,955 | 9,091,556 | ||||||
Payments on sale-buyback transactions |
(1,152,886 | ) | (9,188,107 | ) | ||||
Net cash provided by (used for) financing activities |
22,251 | (1,785,568 | ) | |||||
Net (Decrease) in Cash and Foreign Currency |
(674 | ) | (2,255 | ) | ||||
Cash and Foreign Currency: |
||||||||
Beginning of period |
743 | 4,835 | ||||||
End of period |
$ | 69 | $ | 2,580 | ||||
Supplemental disclosure of cash flow information: |
||||||||
Interest expense paid during the period |
$ | 0 | $ | 631 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
42 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 536 | Fannie Mae 2.200% due 10/17/2022 | $ | (548 | ) | $ | 536 | $ | 536 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (548 | ) | $ | 536 | $ | 536 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 536 | $ | 0 | $ | 0 | $ | 0 | $ | 536 | $ | (548 | ) | $ | (12 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 536 | $ | 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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 113,475 | $ | 0 | $ | 113,475 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 536 | 0 | 536 | ||||||||||||||
Total Investments |
$ | 0 | $ | 114,011 | $ | 0 | $ | 114,011 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 43 |
Schedule of Investments PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 9,184 | $ | 0 | $ | 9,184 | ||||||||||
Total Investments |
$ | 0 | $ | 9,184 | $ | 0 | $ | 9,184 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
44 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 241 | Fannie Mae 2.200% due 10/17/2022 | $ | (247 | ) | $ | 241 | $ | 241 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (247 | ) | $ | 241 | $ | 241 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 241 | $ | 0 | $ | 0 | $ | 0 | $ | 241 | $ | (247 | ) | $ | (6 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 241 | $ | 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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 108,968 | $ | 0 | $ | 108,968 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 241 | 0 | 241 | ||||||||||||||
Total Investments |
$ | 0 | $ | 109,209 | $ | 0 | $ | 109,209 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 45 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 97,845 | $ | 0 | $ | 97,845 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
46 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 2,431 | Fannie Mae 2.200% due 10/17/2022 | $ | (2,483 | ) | $ | 2,431 | $ | 2,431 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (2,483 | ) | $ | 2,431 | $ | 2,431 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 2,431 | $ | 0 | $ | 0 | $ | 0 | $ | 2,431 | $ | (2,483 | ) | $ | (52 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 2,431 | $ | 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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair
Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 1,322,372 | $ | 0 | $ | 1,322,372 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 2,431 | 0 | 2,431 | ||||||||||||||
Total Investments |
$ | 0 | $ | 1,324,803 | $ | 0 | $ | 1,324,803 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 47 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 77,840 | $ | 0 | $ | 77,840 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
48 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 155 | Fannie Mae 2.200% due 10/17/2022 | $ | (160 | ) | $ | 155 | $ | 155 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (160 | ) | $ | 155 | $ | 155 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 155 | $ | 0 | $ | 0 | $ | 0 | $ | 155 | $ | (160 | ) | $ | (5 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 155 | $ | 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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 46,663 | $ | 0 | $ | 46,663 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 155 | 0 | 155 | ||||||||||||||
Total Investments |
$ | 0 | $ | 46,818 | $ | 0 | $ | 46,818 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 49 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
50 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 51 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
52 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | 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 $28,646 were out on loan in exchange for $28,386 of cash collateral as of December 31, 2014. The collateral was invested in a cash collateral reinvestment vehicle as described in Note 5(d) in the Notes to Financial Statements. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 11,435 | Fannie Mae 2.200% due 10/17/2022 | $ | (11,664 | ) | $ | 11,435 | $ | 11,435 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (11,664 | ) | $ | 11,435 | $ | 11,435 |
(1) |
Includes accrued interest. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 53 |
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) as of December 31, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 11,435 | $ | 0 | $ | 0 | $ | 0 | $ | 11,435 | $ | (11,664 | ) | $ | (229 | ) | ||||||||||||||
Master Securities Lending Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | 0 | (17,535 | ) | 0 | 17,055 | (480 | ) | |||||||||||||||||||||
DEU |
0 | 0 | 0 | (4,534 | ) | 0 | 4,624 | 90 | ||||||||||||||||||||||
JPM |
0 | 0 | 0 | (6,360 | ) | 0 | 6,486 | 126 | ||||||||||||||||||||||
SAL |
0 | 0 | 0 | (217 | ) | 0 | 221 | 4 | ||||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 11,435 | $ | 0 | $ | 0 | $ | (28,646 | ) |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
Index/Tranches |
Fixed Deal |
Maturity |
Notional |
Market |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
CDX.HY-20 5-Year Index |
5.000 | % | 06/20/2018 | $ | 11,088 | $ | 826 | $ | 341 | $ | 9 | $ | 0 | |||||||||||||||||
CDX.HY-21 5-Year Index |
5.000 | % | 12/20/2018 | 23,859 | 1,740 | 39 | 20 | 0 | ||||||||||||||||||||||
CDX.HY-23 5-Year Index |
5.000 | % | 12/20/2019 | 280,300 | 17,807 | 504 | 274 | 0 | ||||||||||||||||||||||
$ | 20,373 | $ | 884 | $ | 303 | $ | 0 | |||||||||||||||||||||||
Total Swap Agreements |
$ | 20,373 | $ | 884 | $ | 303 | $ | 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. |
(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, 2014:
(h) | Securities with an aggregate market value of $14,121 and cash of $1,732 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 303 | $ | 303 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
54 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | 303 | $ | 0 | $ | 0 | $ | 0 | $ | 303 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | 7,880 | $ | 0 | $ | 0 | $ | 0 | $ | 7,880 | ||||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | (7,137 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (7,137 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 614,929 | $ | 0 | $ | 614,929 | ||||||||||
Industrials |
0 | 1,834,557 | 17,650 | 1,852,207 | ||||||||||||||
Utilities |
0 | 275,101 | 1,452 | 276,553 | ||||||||||||||
U.S. Government Agencies |
0 | 32,648 | 0 | 32,648 | ||||||||||||||
U.S. Treasury Obligations |
0 | 37,199 | 0 | 37,199 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 11,435 | 0 | 11,435 | ||||||||||||||
Short-Term Notes |
0 | 19,698 | 0 | 19,698 | ||||||||||||||
U.S. Treasury Bills |
0 | 13,935 | 0 | 13,935 | ||||||||||||||
$ | 0 | $ | 2,839,502 | $ | 19,102 | $ | 2,858,604 | |||||||||||
Investments in Affiliates, at Value |
||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Mutual Funds |
28,386 | 0 | 0 | 28,386 | ||||||||||||||
Total Investments |
$ | 28,386 | $ | 2,839,502 | $ | 19,102 | $ | 2,886,990 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
$ | 0 | $ | 303 | $ | 0 | $ | 303 | ||||||||||
Totals |
$ | 28,386 | $ | 2,839,805 | $ | 19,102 | $ | 2,887,293 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 55 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
56 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 57 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index 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) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BCY |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 8,000 | U.S. Treasury Notes 2.250% due 03/31/2021 | $ | (8,163 | ) | $ | 8,000 | $ | 8,000 | ||||||||||||||||||
DEU |
0.000 | % | 12/31/2014 | 01/02/2015 | 2,400 | U.S. Treasury Bonds 3.125% due 02/15/2043 | (2,449 | ) | 2,400 | 2,400 | ||||||||||||||||||||||
JPS |
0.000 | % | 12/31/2014 | 01/02/2015 | 3,600 | U.S. Treasury Notes 1.875% due 06/30/2015 | (3,683 | ) | 3,600 | 3,600 | ||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | 560 | Fannie Mae 2.260% due 10/17/2022 | (575 | ) | 560 | 560 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (14,870 | ) | $ | 14,560 | $ | 14,560 |
(1) |
Includes accrued interest. |
58 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BCY |
$ | 8,000 | $ | 0 | $ | 0 | $ | 0 | $ | 8,000 | $ | (8,163 | ) | $ | (163 | ) | ||||||||||||||
DEU |
2,400 | 0 | 0 | 0 | 2,400 | (2,449 | ) | (49 | ) | |||||||||||||||||||||
JPS |
3,600 | 0 | 0 | 0 | 3,600 | (3,683 | ) | (83 | ) | |||||||||||||||||||||
SSB |
560 | 0 | 0 | 0 | 560 | (575 | ) | (15 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 14,560 | $ | 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. |
(c) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Type | Expiration Month |
# of Contracts |
Unrealized Appreciation |
Variation Margin | ||||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Long | 03/2015 | 13 | $ | 51 | $ | 4 | $ | 0 | |||||||||||||||||
Total Futures Contracts |
$ | 51 | $ | 4 | $ | 0 |
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, 2014:
Cash of $104 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 4 | $ | 0 | $ | 4 | $ | 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, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 4 | $ | 4 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 59 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 342 | $ | 342 | ||||||||||||||
Swap Agreements |
0 | 29 | 0 | 0 | 0 | 29 | ||||||||||||||||||||
$ | 0 | $ | 29 | $ | 0 | $ | 0 | $ | 342 | $ | 371 | |||||||||||||||
Net Change in Unrealized Appreciation on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 51 | $ | 51 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 64,773 | $ | 0 | $ | 64,773 | ||||||||||
Industrials |
0 | 61,516 | 0 | 61,516 | ||||||||||||||
Utilities |
0 | 30,065 | 0 | 30,065 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 14,560 | 0 | 14,560 | ||||||||||||||
Total Investments |
$ | 0 | $ | 170,914 | $ | 0 | $ | 170,914 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
$ | 4 | $ | 0 | $ | 0 | $ | 4 | ||||||||||
Totals |
$ | 4 | $ | 170,914 | $ | 0 | $ | 170,918 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
60 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 61 |
Schedule of Investments PIMCO Diversified Income 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. |
^ | 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, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 199 | Fannie Mae 2.260% due 10/17/2022 | $ | (205 | ) | $ | 199 | $ | 199 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (205 | ) | $ | 199 | $ | 199 |
(1) |
Includes accrued interest. |
62 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 199 | $ | 0 | $ | 0 | $ | 0 | $ | 199 | $ | (205 | ) | $ | (6 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 199 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(d) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
01/2015 | $ | 1,170 | JPY | 140,300 | $ | 1 | $ | 0 | |||||||||||||||||||||
02/2015 | JPY | 140,300 | $ | 1,170 | 0 | (1 | ) | |||||||||||||||||||||||
CBK |
01/2015 | BRL | 573 | 236 | 21 | 0 | ||||||||||||||||||||||||
01/2015 | JPY | 42,600 | 352 | 0 | (3 | ) | ||||||||||||||||||||||||
01/2015 | $ | 216 | BRL | 573 | 0 | 0 | ||||||||||||||||||||||||
01/2015 | 300 | INR | 18,594 | 0 | (7 | ) | ||||||||||||||||||||||||
02/2015 | EUR | 514 | $ | 635 | 13 | 0 | ||||||||||||||||||||||||
04/2015 | BRL | 359 | 146 | 15 | 0 | |||||||||||||||||||||||||
DUB |
01/2015 | 573 | 216 | 0 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 223 | BRL | 573 | 0 | (7 | ) | |||||||||||||||||||||||
07/2015 | BRL | 573 | $ | 211 | 6 | 0 | ||||||||||||||||||||||||
FBF |
01/2015 | JPY | 97,700 | 826 | 10 | 0 | ||||||||||||||||||||||||
MSB |
02/2015 | GBP | 1,006 | 1,572 | 4 | 0 | ||||||||||||||||||||||||
SOG |
02/2015 | EUR | 1,941 | 2,421 | 71 | 0 | ||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 141 | $ | (18 | ) |
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||
BOA |
Put - OTC CDX.IG-23 5-Year Index |
Sell | 1.000 | % | 03/18/2015 | $ | 400 | $ | (1 | ) | $ | (1 | ) | |||||||||||||||||
SOG |
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.600 | % | 01/21/2015 | EUR | 200 | 0 | 0 | |||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.900 | % | 01/21/2015 | 200 | 0 | 0 | |||||||||||||||||||||||
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.550 | % | 02/18/2015 | 200 | 0 | 0 | |||||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 02/18/2015 | 200 | (1 | ) | 0 | ||||||||||||||||||||||
$ | (2 | ) | $ | (1 | ) | |||||||||||||||||||||||||
Total Written Options |
$ | (2 | ) | $ | (1 | ) |
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2014:
Notional Amount in $ |
Notional Amount in EUR |
Premiums | ||||||||||||
Balance at Beginning of Period |
$ | 0 | EUR | 0 | $ | 0 | ||||||||
Sales |
400 | 800 | (2 | ) | ||||||||||
Closing Buys |
0 | 0 | 0 | |||||||||||
Expirations |
0 | 0 | 0 | |||||||||||
Exercised |
0 | 0 | 0 | |||||||||||
Balance at End of Period |
$ | 400 | EUR | 800 | $ | (2 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 63 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - BUY PROTECTION (1)
Counterparty |
Reference Entity |
Fixed Deal (Pay) Rate |
Maturity |
Implied Credit Spread at December 31, 2014 (2) |
Notional |
Premiums |
Unrealized |
Swap Agreements, at Value | ||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
BOA |
Brazil Government International Bond |
(1.000 | %) | 12/20/2019 | 1.937 | % | $ | 300 | $ | 19 | $ | (6 | ) | $ | 13 | $ | 0 | |||||||||||||||||||||||
BRC |
Brazil Government International Bond |
(1.000 | %) | 12/20/2019 | 1.937 | % | 300 | 19 | (6 | ) | 13 | 0 | ||||||||||||||||||||||||||||
$ | 38 | $ | (12 | ) | $ | 26 | $ | 0 | ||||||||||||||||||||||||||||||||
Total Swap Agreements |
$ | 38 | $ | (12 | ) | $ | 26 | $ | 0 |
(1) |
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as 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, 2014:
Counterparty | Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (4) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 1 | $ | 0 | $ | 13 | $ | 14 | $ | (1 | ) | $ | (1 | ) | $ | 0 | $ | (2 | ) | $ | 12 | $ | 0 | $ | 12 | |||||||||||||||||||||||
BRC |
0 | 0 | 13 | 13 | 0 | 0 | 0 | 0 | 13 | 0 | 13 | |||||||||||||||||||||||||||||||||||||
CBK |
49 | 0 | 0 | 49 | (10 | ) | 0 | 0 | (10 | ) | 39 | 0 | 39 | |||||||||||||||||||||||||||||||||||
DUB |
6 | 0 | 0 | 6 | (7 | ) | 0 | 0 | (7 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
FBF |
10 | 0 | 0 | 10 | 0 | 0 | 0 | 0 | 10 | 0 | 10 | |||||||||||||||||||||||||||||||||||||
MSB |
4 | 0 | 0 | 4 | 0 | 0 | 0 | 0 | 4 | 0 | 4 | |||||||||||||||||||||||||||||||||||||
SOG |
71 | 0 | 0 | 71 | 0 | 0 | 0 | 0 | 71 | 0 | 71 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 141 | $ | 0 | $ | 26 | $ | 167 | $ | (18 | ) | $ | (1 | ) | $ | 0 | $ | (19 | ) |
(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. |
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, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 141 | $ | 0 | $ | 141 | ||||||||||||||
Swap Agreements |
0 | 26 | 0 | 0 | 0 | 26 | ||||||||||||||||||||
$ | 0 | $ | 26 | $ | 0 | $ | 141 | $ | 0 | $ | 167 |
64 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 18 | $ | 0 | $ | 18 | ||||||||||||||
Written Options |
0 | 1 | 0 | 0 | 0 | 1 | ||||||||||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | 18 | $ | 0 | $ | 19 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 443 | $ | 0 | $ | 443 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 173 | $ | 0 | $ | 173 | ||||||||||||||
Written Options |
0 | 1 | 0 | 0 | 0 | 1 | ||||||||||||||||||||
Swap Agreements |
0 | (12 | ) | 0 | 0 | 0 | (12 | ) | ||||||||||||||||||
$ | 0 | $ | (11 | ) | $ | 0 | $ | 173 | $ | 0 | $ | 162 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 1,083 | $ | 0 | $ | 1,083 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 11,958 | 0 | 11,958 | ||||||||||||||
Industrials |
0 | 10,860 | 480 | 11,340 | ||||||||||||||
Utilities |
0 | 6,997 | 0 | 6,997 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Iowa |
0 | 200 | 0 | 200 | ||||||||||||||
New Jersey |
0 | 151 | 0 | 151 | ||||||||||||||
Ohio |
0 | 515 | 0 | 515 | ||||||||||||||
Texas |
0 | 351 | 0 | 351 | ||||||||||||||
U.S. Treasury Obligations |
0 | 200 | 0 | 200 | ||||||||||||||
Mortgage-Backed Securities |
0 | 285 | 0 | 285 | ||||||||||||||
Asset-Backed Securities |
0 | 987 | 0 | 987 | ||||||||||||||
Sovereign Issues |
0 | 5,086 | 0 | 5,086 | ||||||||||||||
Preferred Securities |
||||||||||||||||||
Utilities |
3 | 0 | 0 | 3 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 199 | 0 | 199 | ||||||||||||||
Short-Term Notes |
0 | 2,200 | 0 | 2,200 | ||||||||||||||
U.S. Treasury Bills |
0 | 100 | 0 | 100 | ||||||||||||||
Total Investments |
$ | 3 | $ | 41,172 | $ | 480 | $ | 41,655 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 65 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 167 | $ | 0 | $ | 167 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (19 | ) | $ | 0 | $ | (19 | ) | ||||||||
Totals |
$ | 3 | $ | 41,320 | $ | 480 | $ | 41,803 |
There were assets and liabilities valued at $3 transferred from Level 2 to Level 1 during the period ended December 31, 2014. There were no significant assets and liabilities transferred from Level 1 to Level 2 during the period ended December 31, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2014:
Category and Subcategory | Beginning Balance at 06/30/2014 |
Net Purc hases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net Change in Unrealized Appreciation/ (Depre ciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2014 |
Net
Change
in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2014 (1) |
||||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||||
Industrials |
$ | 496 | $ | 0 | $ | (13 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 480 | $ | (2 | ) |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 12/31/2014 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Industrials |
$ | 480 | Third Party Vendor | Broker Quote | 101.50 | |||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
66 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 67 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
68 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 69 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
70 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 1,905 | Fannie Mae 2.200% due 10/17/2022 | $ | (1,945 | ) | $ | 1,905 | $ | 1,905 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (1,945 | ) | $ | 1,905 | $ | 1,905 |
(1) |
Includes accrued interest. |
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
BCY |
0.400 | % | 12/31/2014 | 01/07/2015 | $ | (6,008 | ) | $ | (6,004 | ) | ||||||||||||
0.500 | % | 12/29/2014 | 01/05/2015 | (16,282 | ) | (16,283 | ) | |||||||||||||||
0.550 | % | 12/26/2014 | 01/02/2015 | (34,392 | ) | (34,396 | ) | |||||||||||||||
Total Sale-Buyback Transactions |
$ | (56,683 | ) |
(2) |
As of December 31, 2014, there were no open reverse repurchase agreements. The average amount of borrowings outstanding during the period ended December 31, 2014 was $33,005 at a weighted average interest rate of 0.216%. |
(3) |
Payable for sale-buyback transactions includes $(1) of deferred price drop on sale-buyback transactions. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 71 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of December 31, 2014:
(b) | Securities with an aggregate market value of $56,628 have been pledged as collateral under the terms of the following master agreements as of December 31, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (4) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 1,905 | $ | 0 | $ | 0 | $ | 0 | $ | 1,905 | $ | (1,945 | ) | $ | (40 | ) | ||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | (56,683 | ) | 0 | (56,683 | ) | 56,628 | (55 | ) | ||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,905 | $ | 0 | $ | (56,683 | ) | $ | 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. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory |
Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 1,127,850 | $ | 0 | $ | 1,127,850 | ||||||||||
Industrials |
0 | 938,535 | 1,031 | 939,566 | ||||||||||||||
Utilities |
0 | 384,065 | 0 | 384,065 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arkansas |
0 | 1,096 | 0 | 1,096 | ||||||||||||||
California |
0 | 25,156 | 0 | 25,156 | ||||||||||||||
Florida |
0 | 1,202 | 0 | 1,202 | ||||||||||||||
Massachusetts |
0 | 5,036 | 0 | 5,036 | ||||||||||||||
New Jersey |
0 | 16,715 | 0 | 16,715 | ||||||||||||||
New York |
0 | 102 | 0 | 102 | ||||||||||||||
Oregon |
0 | 3,529 | 0 | 3,529 | ||||||||||||||
Pennsylvania |
0 | 1,196 | 0 | 1,196 | ||||||||||||||
Texas |
0 | 5,718 | 0 | 5,718 | ||||||||||||||
Virginia |
0 | 200 | 0 | 200 | ||||||||||||||
U.S. Government Agencies |
0 | 218,177 | 1,540 | 219,717 | ||||||||||||||
Mortgage-Backed Securities |
0 | 180,473 | 4,652 | 185,125 | ||||||||||||||
Asset-Backed Securities |
0 | 272,738 | 74 | 272,812 | ||||||||||||||
Sovereign Issues |
0 | 255,116 | 0 | 255,116 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 129,053 | 0 | 129,053 | ||||||||||||||
Commercial Paper |
0 | 209,333 | 0 | 209,333 | ||||||||||||||
Repurchase Agreements |
0 | 1,905 | 0 | 1,905 | ||||||||||||||
Short-Term Notes |
0 | 10,997 | 0 | 10,997 | ||||||||||||||
Total Investments |
$ | 0 | $ | 3,788,192 | $ | 7,297 | $ | 3,795,489 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
72 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Foreign Currency Strategy Active Exchange-Traded Fund
(Unaudited)
December 31, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 170 | Fannie Mae 2.200% due 10/17/2022 | $ | (175 | ) | $ | 170 | $ | 170 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (175 | ) | $ | 170 | $ | 170 |
(1) |
Includes accrued interest. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 73 |
Schedule of Investments PIMCO Foreign Currency Strategy 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) as of December 31, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 170 | $ | 0 | $ | 0 | $ | 0 | $ | 170 | $ | (175 | ) | $ | (5 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 170 | $ | 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. |
(b) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
01/2015 | JPY | 374,364 | $ | 3,174 | $ | 49 | $ | 0 | |||||||||||||||||||||
01/2015 | PLN | 1,362 | 402 | 18 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 563 | EUR | 450 | 0 | (19 | ) | |||||||||||||||||||||||
02/2015 | JPY | 5,600 | $ | 47 | 1 | 0 | ||||||||||||||||||||||||
02/2015 | MXN | 2,657 | 195 | 15 | 0 | |||||||||||||||||||||||||
02/2015 | MYR | 3 | 1 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 765 | CAD | 887 | 0 | (3 | ) | |||||||||||||||||||||||
03/2015 | MXN | 9,150 | $ | 636 | 19 | 0 | ||||||||||||||||||||||||
BPS |
01/2015 | BRL | 151 | 58 | 1 | 0 | ||||||||||||||||||||||||
01/2015 | EUR | 1,613 | 2,032 | 80 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 57 | BRL | 151 | 0 | 0 | ||||||||||||||||||||||||
01/2015 | 8,522 | EUR | 6,910 | 0 | (159 | ) | ||||||||||||||||||||||||
01/2015 | 386 | NZD | 491 | 0 | (3 | ) | ||||||||||||||||||||||||
02/2015 | CNY | 99 | $ | 16 | 0 | 0 | ||||||||||||||||||||||||
02/2015 | EUR | 3,358 | 4,094 | 29 | 0 | |||||||||||||||||||||||||
03/2015 | MXN | 3,454 | 239 | 6 | 0 | |||||||||||||||||||||||||
05/2015 | 8,877 | 604 | 8 | 0 | ||||||||||||||||||||||||||
BRC |
01/2015 | PLN | 99 | 29 | 1 | 0 | ||||||||||||||||||||||||
01/2015 | $ | 635 | PLN | 2,136 | 0 | (32 | ) | |||||||||||||||||||||||
02/2015 | INR | 55,047 | $ | 883 | 20 | 0 | ||||||||||||||||||||||||
02/2015 | $ | 611 | MXN | 8,335 | 0 | (47 | ) | |||||||||||||||||||||||
04/2015 | BRL | 2,100 | $ | 825 | 54 | 0 | ||||||||||||||||||||||||
CBK |
01/2015 | EUR | 3,358 | 4,194 | 130 | 0 | ||||||||||||||||||||||||
01/2015 | $ | 4,097 | EUR | 3,358 | 0 | (34 | ) | |||||||||||||||||||||||
01/2015 | 3,094 | INR | 193,237 | 0 | (44 | ) | ||||||||||||||||||||||||
01/2015 | ZAR | 9,072 | $ | 779 | 0 | (2 | ) | |||||||||||||||||||||||
02/2015 | EUR | 3,358 | 4,099 | 34 | 0 | |||||||||||||||||||||||||
02/2015 | GBP | 1,309 | 2,055 | 15 | 0 | |||||||||||||||||||||||||
02/2015 | HKD | 1,210 | 156 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | MYR | 2,690 | 795 | 30 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 207 | CNY | 1,277 | 0 | 0 | ||||||||||||||||||||||||
02/2015 | 620 | INR | 38,849 | 0 | (11 | ) | ||||||||||||||||||||||||
03/2015 | MXN | 2,285 | $ | 159 | 5 | 0 | ||||||||||||||||||||||||
DUB |
01/2015 | BRL | 151 | 57 | 0 | 0 | ||||||||||||||||||||||||
01/2015 | MYR | 6,024 | 1,827 | 107 | 0 |
74 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
01/2015 | $ | 59 | BRL | 151 | $ | 0 | $ | (2 | ) | |||||||||||||||||||||
01/2015 | 1,726 | IDR | 21,408,342 | 0 | (8 | ) | ||||||||||||||||||||||||
07/2015 | BRL | 151 | $ | 56 | 2 | 0 | ||||||||||||||||||||||||
FBF |
01/2015 | IDR | 12,088,080 | 970 | 0 | 0 | ||||||||||||||||||||||||
GLM |
01/2015 | AUD | 451 | 385 | 17 | 0 | ||||||||||||||||||||||||
01/2015 | EUR | 3,658 | 4,562 | 135 | 0 | |||||||||||||||||||||||||
01/2015 | IDR | 6,178,480 | 476 | 0 | (20 | ) | ||||||||||||||||||||||||
01/2015 | PLN | 2,161 | 626 | 16 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 1,568 | EUR | 1,250 | 0 | (55 | ) | |||||||||||||||||||||||
01/2015 | 261 | NZD | 334 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | INR | 40,430 | $ | 635 | 1 | 0 | ||||||||||||||||||||||||
02/2015 | $ | 156 | CAD | 181 | 0 | (1 | ) | |||||||||||||||||||||||
02/2015 | 48 | CHF | 46 | 0 | (1 | ) | ||||||||||||||||||||||||
HUS |
01/2015 | 387 | AUD | 453 | 0 | (18 | ) | |||||||||||||||||||||||
02/2015 | CAD | 470 | $ | 414 | 10 | 0 | ||||||||||||||||||||||||
03/2015 | MXN | 1,985 | 137 | 3 | 0 | |||||||||||||||||||||||||
JPM |
01/2015 | TRY | 1,797 | 768 | 3 | 0 | ||||||||||||||||||||||||
01/2015 | $ | 779 | TRY | 1,788 | 0 | (18 | ) | |||||||||||||||||||||||
01/2015 | 807 | ZAR | 8,937 | 0 | (37 | ) | ||||||||||||||||||||||||
02/2015 | CNY | 5,378 | $ | 872 | 0 | (2 | ) | |||||||||||||||||||||||
02/2015 | HKD | 6,266 | 808 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | JPY | 374,364 | 3,110 | 0 | (16 | ) | ||||||||||||||||||||||||
02/2015 | MXN | 2,268 | 160 | 7 | 0 | |||||||||||||||||||||||||
02/2015 | MYR | 773 | 230 | 11 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 626 | CAD | 727 | 0 | (1 | ) | |||||||||||||||||||||||
02/2015 | 1,817 | CNY | 11,198 | 1 | 0 | |||||||||||||||||||||||||
02/2015 | 4,979 | HKD | 38,606 | 0 | (1 | ) | ||||||||||||||||||||||||
02/2015 | 1,163 | MXN | 17,090 | 0 | (6 | ) | ||||||||||||||||||||||||
02/2015 | 257 | MYR | 906 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | 476 | NOK | 3,511 | 0 | (6 | ) | ||||||||||||||||||||||||
04/2015 | 630 | BRL | 1,700 | 0 | (6 | ) | ||||||||||||||||||||||||
MSB |
02/2015 | CHF | 777 | $ | 807 | 25 | 0 | |||||||||||||||||||||||
02/2015 | DKK | 9,135 | 1,511 | 26 | 0 | |||||||||||||||||||||||||
02/2015 | GBP | 507 | 793 | 4 | 0 | |||||||||||||||||||||||||
02/2015 | HKD | 13,767 | 1,776 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | JPY | 135,917 | 1,166 | 31 | 0 | |||||||||||||||||||||||||
02/2015 | MXN | 2,268 | 160 | 7 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 408 | CAD | 466 | 0 | (7 | ) | |||||||||||||||||||||||
02/2015 | 2,829 | GBP | 1,802 | 0 | (22 | ) | ||||||||||||||||||||||||
02/2015 | 801 | HKD | 6,210 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | 758 | JPY | 90,200 | 0 | (5 | ) | ||||||||||||||||||||||||
SCX |
02/2015 | MXN | 2,268 | $ | 160 | 7 | 0 | |||||||||||||||||||||||
02/2015 | MYR | 2,719 | 813 | 40 | 0 | |||||||||||||||||||||||||
SOG |
01/2015 | EUR | 162 | 200 | 4 | 0 | ||||||||||||||||||||||||
01/2015 | NZD | 825 | 641 | 0 | (3 | ) | ||||||||||||||||||||||||
01/2015 | $ | 406 | PLN | 1,363 | 0 | (21 | ) | |||||||||||||||||||||||
02/2015 | 14 | INR | 880 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | 639 | NZD | 825 | 3 | 0 | |||||||||||||||||||||||||
03/2015 | MXN | 2,260 | $ | 159 | 7 | 0 | ||||||||||||||||||||||||
UAG |
01/2015 | EUR | 581 | 726 | 23 | 0 | ||||||||||||||||||||||||
01/2015 | $ | 709 | EUR | 581 | 0 | (6 | ) | |||||||||||||||||||||||
01/2015 | 248 | IDR | 3,068,394 | 0 | (2 | ) | ||||||||||||||||||||||||
01/2015 | 1,841 | MYR | 6,024 | 0 | (122 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 75 |
Schedule of Investments PIMCO Foreign Currency Strategy Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
02/2015 | CHF | 781 | $ | 816 | $ | 30 | $ | 0 | ||||||||||||||||||||||
02/2015 | EUR | 581 | 709 | 6 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 181 | BRL | 476 | 0 | (3 | ) | |||||||||||||||||||||||
02/2015 | 1,871 | CNY | 11,557 | 5 | 0 | |||||||||||||||||||||||||
02/2015 | 204 | INR | 12,732 | 0 | (5 | ) | ||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 1,046 | $ | (748 | ) |
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) as of December 31, 2014:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received) |
Net Exposure (1) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ | 102 | $ | 0 | $ | 0 | $ | 102 | $ | (22 | ) | $ | 0 | $ | 0 | $ | (22 | ) | $ | 80 | $ | 0 | $ | 80 | ||||||||||||||||||||||||
BPS |
124 | 0 | 0 | 124 | (162 | ) | 0 | 0 | (162 | ) | (38 | ) | 0 | (38 | ) | |||||||||||||||||||||||||||||||||
BRC |
75 | 0 | 0 | 75 | (79 | ) | 0 | 0 | (79 | ) | (4 | ) | 0 | (4 | ) | |||||||||||||||||||||||||||||||||
CBK |
214 | 0 | 0 | 214 | (91 | ) | 0 | 0 | (91 | ) | 123 | 0 | 123 | |||||||||||||||||||||||||||||||||||
DUB |
109 | 0 | 0 | 109 | (10 | ) | 0 | 0 | (10 | ) | 99 | (270 | ) | (171 | ) | |||||||||||||||||||||||||||||||||
GLM |
169 | 0 | 0 | 169 | (77 | ) | 0 | 0 | (77 | ) | 92 | 0 | 92 | |||||||||||||||||||||||||||||||||||
HUS |
13 | 0 | 0 | 13 | (18 | ) | 0 | 0 | (18 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
JPM |
22 | 0 | 0 | 22 | (93 | ) | 0 | 0 | (93 | ) | (71 | ) | 0 | (71 | ) | |||||||||||||||||||||||||||||||||
MSB |
93 | 0 | 0 | 93 | (34 | ) | 0 | 0 | (34 | ) | 59 | 0 | 59 | |||||||||||||||||||||||||||||||||||
SCX |
47 | 0 | 0 | 47 | 0 | 0 | 0 | 0 | 47 | 0 | 47 | |||||||||||||||||||||||||||||||||||||
SOG |
14 | 0 | 0 | 14 | (24 | ) | 0 | 0 | (24 | ) | (10 | ) | 0 | (10 | ) | |||||||||||||||||||||||||||||||||
UAG |
64 | 0 | 0 | 64 | (138 | ) | 0 | 0 | (138 | ) | (74 | ) | 0 | (74 | ) | |||||||||||||||||||||||||||||||||
Total Over |
$ | 1,046 | $ | 0 | $ | 0 | $ | 1,046 | $ | (748 | ) | $ | 0 | $ | 0 | $ | (748 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,046 | $ | 0 | $ | 1,046 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 748 | $ | 0 | $ | 748 |
76 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 114 | $ | 0 | $ | 114 | ||||||||||||||
Net Change in Unrealized Appreciation on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 182 | $ | 0 | $ | 182 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Brazil |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 913 | $ | 0 | $ | 913 | ||||||||||
Denmark |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 2,915 | 0 | 2,915 | ||||||||||||||
Japan |
||||||||||||||||||
Sovereign Issues |
0 | 1,088 | 0 | 1,088 | ||||||||||||||
Mexico |
||||||||||||||||||
Sovereign Issues |
0 | 828 | 0 | 828 | ||||||||||||||
New Zealand |
||||||||||||||||||
Sovereign Issues |
0 | 542 | 0 | 542 | ||||||||||||||
Poland |
||||||||||||||||||
Sovereign Issues |
0 | 1,960 | 0 | 1,960 | ||||||||||||||
Slovenia |
||||||||||||||||||
Sovereign Issues |
0 | 487 | 0 | 487 | ||||||||||||||
Supranational |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 311 | 0 | 311 | ||||||||||||||
United Kingdom |
||||||||||||||||||
Sovereign Issues |
0 | 780 | 0 | 780 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 170 | 0 | 170 | ||||||||||||||
Short-Term Notes |
0 | 500 | 0 | 500 | ||||||||||||||
France Treasury Bills |
0 | 363 | 0 | 363 | ||||||||||||||
Italy Treasury Bills |
0 | 1,331 | 0 | 1,331 | ||||||||||||||
Malaysia Treasury Bills |
0 | 1,499 | 0 | 1,499 | ||||||||||||||
Mexico Treasury Bills |
0 | 603 | 0 | 603 | ||||||||||||||
Spain Treasury Bills |
0 | 1,331 | 0 | 1,331 | ||||||||||||||
Total Investments |
$ | 0 | $ | 15,621 | $ | 0 | $ | 15,621 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 1,046 | $ | 0 | $ | 1,046 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (748 | ) | $ | 0 | $ | (748 | ) | ||||||||
Totals |
$ | 0 | $ | 15,919 | $ | 0 | $ | 15,919 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 77 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
78 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
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) | Coupon represents a weighted average yield to maturity. |
(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, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BPG |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 1,100 | Freddie Mac 3.500% due 09/01/2044 | $ | (1,140 | ) | $ | 1,100 | $ | 1,100 | ||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | 564 | Fannie Mae 2.200% due 10/17/2022 | (577 | ) | 564 | 564 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (1,717 | ) | $ | 1,664 | $ | 1,664 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
0.000 | % | 12/22/2014 | 01/07/2015 | $ | (5,779 | ) | $ | (5,779 | ) | ||||||||||||
BSN |
0.000 | % | 11/14/2014 | 01/14/2015 | (1,770 | ) | (1,771 | ) | ||||||||||||||
0.000 | % | 12/02/2014 | 01/13/2015 | (453 | ) | (453 | ) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ | (8,003 | ) |
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
BCY |
0.353 | % | 12/24/2014 | 01/26/2015 | $ | (2,717 | ) | $ | (2,685 | ) | ||||||||||||
FOB |
0.270 | % | 12/17/2014 | 01/08/2015 | (2,016 | ) | (2,014 | ) | ||||||||||||||
GSC |
0.380 | % | 12/19/2014 | 01/30/2015 | (5,746 | ) | (5,723 | ) | ||||||||||||||
0.383 | % | 12/18/2014 | 01/29/2015 | (1,329 | ) | (1,315 | ) | |||||||||||||||
0.450 | % | 12/18/2014 | 01/09/2015 | (3,113 | ) | (3,111 | ) | |||||||||||||||
0.450 | % | 12/19/2014 | 01/07/2015 | (5,470 | ) | (5,468 | ) | |||||||||||||||
MSC |
0.220 | % | 11/24/2014 | 01/06/2015 | (4,570 | ) | (4,570 | ) | ||||||||||||||
0.380 | % | 12/12/2014 | 01/15/2015 | (7,580 | ) | (7,570 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 79 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
TDM |
0.230 | % | 11/20/2014 | 01/20/2015 | $ | (1,145 | ) | $ | (1,143 | ) | ||||||||||||
0.310 | % | 12/04/2014 | 01/06/2015 | (2,647 | ) | (2,646 | ) | |||||||||||||||
0.333 | % | 12/16/2014 | 01/27/2015 | (1,200 | ) | (1,186 | ) | |||||||||||||||
Total Sale-Buyback Transactions |
$ | (37,431 | ) |
(2) |
The average amount of borrowings outstanding during the period ended December 31, 2014 was $14,178 at a weighted average interest rate of 0.203%. |
(3) |
Payable for sale-buyback transactions includes $(63) of deferred price drop on sale-buyback transactions. |
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, 2014:
(d) | Securities with an aggregate market value of $45,115 have been pledged as collateral under the terms of the following master agreements as of December 31, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (4) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BOS |
$ | 0 | $ | (5,779 | ) | $ | 0 | $ | 0 | $ | (5,779 | ) | $ | 5,749 | $ | (30 | ) | |||||||||||||
BPG |
1,100 | 0 | 0 | 0 | 1,100 | (1,140 | ) | (40 | ) | |||||||||||||||||||||
BSN |
0 | (2,224 | ) | 0 | 0 | (2,224 | ) | 2,186 | (38 | ) | ||||||||||||||||||||
SSB |
564 | 0 | 0 | 0 | 564 | (577 | ) | (13 | ) | |||||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | (2,685 | ) | 0 | (2,685 | ) | 2,672 | (13 | ) | ||||||||||||||||||||
FOB |
0 | 0 | (2,014 | ) | 0 | (2,014 | ) | 2,002 | (12 | ) | ||||||||||||||||||||
GSC |
0 | 0 | (15,617 | ) | 0 | (15,617 | ) | 15,600 | (17 | ) | ||||||||||||||||||||
MSC |
0 | 0 | (12,140 | ) | 0 | (12,140 | ) | 11,994 | (146 | ) | ||||||||||||||||||||
TDM |
0 | 0 | (4,975 | ) | 0 | (4,975 | ) | 4,912 | (63 | ) | ||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,664 | $ | (8,003 | ) | $ | (37,431 | ) | $ | 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. |
(e) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description |
Type |
Expiration |
# of |
Unrealized |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2015 | 41 | $ | 8 | $ | 0 | $ | (1 | ) | ||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2016 | 9 | (1 | ) | 0 | 0 | |||||||||||||||||||
90-Day Eurodollar June Futures |
Short | 06/2016 | 50 | 9 | 0 | (1 | ) | |||||||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2016 | 50 | 9 | 0 | (1 | ) | |||||||||||||||||||
90-Day Eurodollar September Futures |
Short | 09/2016 | 50 | 7 | 0 | (2 | ) | |||||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Short | 03/2015 | 29 | (15 | ) | 0 | (6 | ) | ||||||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Short | 03/2015 | 38 | (129 | ) | 0 | (11 | ) | ||||||||||||||||||
Total Futures Contracts |
$ | (112 | ) | $ | 0 | $ | (22 | ) |
80 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive |
Floating Rate Index |
Fixed Rate |
Maturity |
Notional |
Market |
Unrealized |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.088 | % | 12/04/2024 | GBP | 500 | $ | (18 | ) | $ | (18 | ) | $ | 0 | $ | (4 | ) | |||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.750 | % | 03/18/2025 | 2,000 | (253 | ) | (62 | ) | 0 | (15 | ) | ||||||||||||||||||||||||
Pay |
6-Month JPY-LIBOR |
1.000 | % | 03/20/2024 | JPY | 640,000 | 272 | 41 | 4 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.630 | % | 10/11/2021 | MXN | 3,000 | (1 | ) | (3 | ) | 1 | 0 | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.560 | % | 11/11/2021 | 1,700 | (2 | ) | (1 | ) | 0 | 0 | |||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.750 | % | 12/06/2021 | 3,100 | 0 | 1 | 1 | 0 | |||||||||||||||||||||||||||
$ | (2 | ) | $ | (42 | ) | $ | 6 | $ | (19 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (2 | ) | $ | (42 | ) | $ | 6 | $ | (19 | ) |
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, 2014:
Cash of $323 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 6 | $ | 6 | $ | 0 | $ | (22 | ) | $ | (19 | ) | $ | (41 | ) |
(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 | |||||||||||||||||||||||||||||
BOA |
01/2015 | AUD | 721 | $ | 614 | $ | 26 | $ | 0 | |||||||||||||||||||||
01/2015 | JPY | 816,794 | 6,811 | 0 | (8 | ) | ||||||||||||||||||||||||
02/2015 | EUR | 745 | 928 | 27 | 0 | |||||||||||||||||||||||||
02/2015 | KRW | 239,926 | 220 | 1 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 6,812 | JPY | 816,794 | 8 | 0 | ||||||||||||||||||||||||
02/2015 | 745 | SEK | 5,511 | 0 | (38 | ) | ||||||||||||||||||||||||
BPS |
01/2015 | BRL | 8,024 | $ | 3,059 | 57 | (16 | ) | ||||||||||||||||||||||
01/2015 | $ | 3,021 | BRL | 8,024 | 0 | (2 | ) | |||||||||||||||||||||||
01/2015 | 1,862 | ILS | 7,217 | 0 | (11 | ) | ||||||||||||||||||||||||
02/2015 | MXN | 80,160 | $ | 5,477 | 57 | 0 | ||||||||||||||||||||||||
06/2015 | COP | 4,856,025 | 2,110 | 88 | 0 | |||||||||||||||||||||||||
BRC |
02/2015 | MXN | 2,951 | 216 | 17 | 0 | ||||||||||||||||||||||||
02/2015 | $ | 658 | BRL | 1,703 | 0 | (23 | ) | |||||||||||||||||||||||
02/2015 | 203 | KRW | 218,186 | 0 | (4 | ) | ||||||||||||||||||||||||
02/2015 | 193 | MXN | 2,633 | 0 | (15 | ) | ||||||||||||||||||||||||
CBK |
02/2015 | EUR | 6,487 | $ | 8,012 | 159 | 0 | |||||||||||||||||||||||
02/2015 | MXN | 3,740 | 277 | 24 | 0 | |||||||||||||||||||||||||
05/2015 | 22,738 | 1,541 | 12 | 0 | ||||||||||||||||||||||||||
DUB |
01/2015 | BRL | 7,935 | 2,976 | 2 | (11 | ) | |||||||||||||||||||||||
01/2015 | $ | 3,084 | BRL | 7,935 | 0 | (99 | ) | |||||||||||||||||||||||
01/2015 | 5,755 | TRY | 13,154 | 0 | (157 | ) | ||||||||||||||||||||||||
02/2015 | MXN | 653 | $ | 45 | 1 | 0 | ||||||||||||||||||||||||
07/2015 | BRL | 7,935 | 2,925 | 86 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 81 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
FBF |
01/2015 | BRL | 4,136 | $ | 1,715 | $ | 159 | $ | 0 | |||||||||||||||||||||
01/2015 | $ | 1,598 | BRL | 4,136 | 0 | (42 | ) | |||||||||||||||||||||||
01/2015 | 8,006 | JPY | 947,394 | 0 | (97 | ) | ||||||||||||||||||||||||
07/2015 | BRL | 4,136 | $ | 1,515 | 36 | 0 | ||||||||||||||||||||||||
GLM |
01/2015 | JPY | 130,600 | 1,106 | 16 | 0 | ||||||||||||||||||||||||
02/2015 | EUR | 511 | 633 | 14 | 0 | |||||||||||||||||||||||||
02/2015 | GBP | 35 | 55 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 1,383 | EUR | 1,109 | 0 | (41 | ) | |||||||||||||||||||||||
HUS |
01/2015 | CLP | 703,071 | $ | 1,207 | 50 | 0 | |||||||||||||||||||||||
01/2015 | NZD | 4,194 | 3,272 | 1 | 0 | |||||||||||||||||||||||||
01/2015 | ZAR | 17,612 | 1,558 | 42 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 2,031 | BRL | 5,221 | 0 | (82 | ) | |||||||||||||||||||||||
JPM |
02/2015 | MXN | 1,722 | $ | 125 | 8 | 0 | |||||||||||||||||||||||
02/2015 | $ | 1,593 | INR | 100,804 | 0 | (14 | ) | |||||||||||||||||||||||
02/2015 | $ | 5,053 | KRW | 5,354,129 | $ | 0 | $ | (171 | ) | |||||||||||||||||||||
02/2015 | 126 | MXN | 1,863 | 0 | 0 | |||||||||||||||||||||||||
MSB |
01/2015 | BRL | 3,338 | $ | 1,257 | 1 | 0 | |||||||||||||||||||||||
01/2015 | $ | 1,256 | BRL | 3,338 | 0 | (1 | ) | |||||||||||||||||||||||
02/2015 | BRL | 3,338 | $ | 1,246 | 0 | 0 | ||||||||||||||||||||||||
02/2015 | GBP | 744 | 1,162 | 3 | 0 | |||||||||||||||||||||||||
03/2015 | $ | 2,448 | CAD | 2,803 | 0 | (39 | ) | |||||||||||||||||||||||
RBC |
02/2015 | MXN | 13,581 | $ | 960 | 42 | 0 | |||||||||||||||||||||||
02/2015 | $ | 1,640 | MXN | 21,776 | 0 | (167 | ) | |||||||||||||||||||||||
SCX |
02/2015 | KRW | 588,330 | $ | 540 | 3 | 0 | |||||||||||||||||||||||
SOG |
01/2015 | $ | 3,257 | NZD | 4,195 | 14 | 0 | |||||||||||||||||||||||
01/2015 | 2,578 | PLN | 8,657 | 0 | (136 | ) | ||||||||||||||||||||||||
02/2015 | NZD | 4,194 | $ | 3,248 | 0 | (14 | ) | |||||||||||||||||||||||
UAG |
01/2015 | BRL | 3,417 | 1,398 | 121 | (9 | ) | |||||||||||||||||||||||
01/2015 | $ | 1,287 | BRL | 3,417 | 0 | (1 | ) | |||||||||||||||||||||||
02/2015 | DKK | 26,512 | $ | 4,431 | 121 | 0 | ||||||||||||||||||||||||
02/2015 | GBP | 38 | 60 | 0 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 474 | MXN | 6,647 | 0 | (25 | ) | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 1,196 | $ | (1,223 | ) |
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 7-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.426 | % | 03/18/2015 | $ | 8,200 | $ | 36 | $ | 21 | ||||||||||||||||||
Total Purchased Options |
$ | 36 | $ | 21 |
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||
BOA |
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.550 | % | 02/18/2015 | EUR | 300 | $ | 0 | $ | 0 | |||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 02/18/2015 | 300 | (1 | ) | 0 | ||||||||||||||||||||||
GST |
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.500 | % | 03/18/2015 | 2,600 | (2 | ) | (2 | ) | ||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 03/18/2015 | 2,600 | (5 | ) | (5 | ) |
82 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||||
JPM |
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.550 | % | 02/18/2015 | EUR | 100 | $ | 0 | $ | 0 | |||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 02/18/2015 | 100 | 0 | 0 | |||||||||||||||||||||||
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.500 | % | 03/18/2015 | 1,000 | (1 | ) | (1 | ) | |||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 03/18/2015 | 1,000 | (2 | ) | (2 | ) | |||||||||||||||||||||
SOG |
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.600 | % | 01/21/2015 | 100 | 0 | 0 | ||||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.900 | % | 01/21/2015 | 100 | 0 | 0 | |||||||||||||||||||||||
Call - OTC iTraxx Europe 22 5-Year Index |
Buy | 0.550 | % | 02/18/2015 | 200 | 0 | 0 | |||||||||||||||||||||||
Put - OTC iTraxx Europe 22 5-Year Index |
Sell | 0.850 | % | 02/18/2015 | 200 | 0 | 0 | |||||||||||||||||||||||
$ | (11 | ) | $ | (10 | ) |
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||
GLM |
Call - OTC 7-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.926 | % | 03/18/2015 | $ | 8,200 | $ | (37 | ) | $ | (34 | ) | ||||||||||||||
JPM |
Call - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.300 | % | 02/18/2015 | 4,500 | (21 | ) | (38 | ) | |||||||||||||||||
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.750 | % | 02/18/2015 | 4,500 | (24 | ) | (3 | ) | ||||||||||||||||||
$ | (82 | ) | $ | (75 | ) | |||||||||||||||||||||||
Total Written Options |
$ | (93 | ) | $ | (85 | ) |
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2014:
Notional Amount in $ |
Notional Amount in EUR |
Premiums | ||||||||||||||||
Balance at Beginning of Period |
$ | 0 | EUR | 0 | $ | 0 | ||||||||||||
Sales |
19,659 | 8,600 | (118 | ) | ||||||||||||||
Closing Buys |
0 | 0 | 0 | |||||||||||||||
Expirations |
0 | 0 | 0 | |||||||||||||||
Exercised |
(2,459 | ) | 0 | 25 | ||||||||||||||
Balance at End of Period |
$ | 17,200 | EUR | 8,600 | $ | (93 | ) |
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 |
Pay |
3-Month EUR- |
0.750 | % | 12/10/2019 | EUR | 900 | $ | 0 | $ | (10 | ) | $ | 0 | $ | (10 | ) | |||||||||||||||||||||
BPS |
Pay |
1-Month GBP-UKRPI |
3.125 | % | 12/15/2024 | GBP | 200 | 0 | 3 | 3 | 0 | |||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.170 | % | 12/15/2024 | 300 | 0 | 6 | 6 | 0 | |||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.680 | % | 01/04/2021 | BRL | 1,600 | (1 | ) | (4 | ) | 0 | (5 | ) | |||||||||||||||||||||||||
DUB |
Pay |
1-Year BRL-CDI |
11.680 | % | 01/04/2021 | 500 | 0 | (2 | ) | 0 | (2 | ) | ||||||||||||||||||||||||||
FBF |
Pay |
1-Month GBP-UKRPI |
3.100 | % | 12/11/2024 | GBP | 100 | 2 | (1 | ) | 1 | 0 | ||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.550 | % | 11/15/2044 | 900 | (1 | ) | 84 | 83 | 0 | ||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.680 | % | 01/04/2021 | BRL | 200 | 0 | (1 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
GLM |
Pay |
1-Month GBP-UKRPI |
3.450 | % | 12/15/2044 | GBP | 200 | (1 | ) | 5 | 4 | 0 | ||||||||||||||||||||||||||
Pay |
1-Month GBP-UKRPI |
3.510 | % | 12/15/2044 | 100 | 0 | 6 | 6 | 0 | |||||||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
11.500 | % | 01/04/2021 | BRL | 2,300 | (4 | ) | (9 | ) | 0 | (13 | ) | |||||||||||||||||||||||||
Pay |
1-Year BRL-CDI |
12.230 | % | 01/04/2021 | 900 | 0 | 4 | 4 | 0 | |||||||||||||||||||||||||||||
Pay |
3-Month EUR- |
0.900 | % | 11/15/2019 | EUR | 8,200 | 6 | (166 | ) | 0 | (160 | ) | ||||||||||||||||||||||||||
JPM |
Pay |
3-Month EUR- |
0.700 | % | 12/15/2018 | 100 | 0 | (1 | ) | 0 | (1 | ) | ||||||||||||||||||||||||||
UAG |
Pay |
28-Day MXN-TIIE |
5.630 | % | 10/11/2021 | MXN | 300 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||
$ | 1 | $ | (86 | ) | $ | 107 | $ | (192 | ) | |||||||||||||||||||||||||||||
Total Swap |
$ | 1 | $ | (86 | ) | $ | 107 | $ | (192 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 83 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond 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, 2014:
(g) | Securities with an aggregate market value of $725 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2014. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ | 62 | $ | 0 | $ | 0 | $ | 62 | $ | (46 | ) | $ | 0 | $ | (10 | ) | $ | (56 | ) | $ | 6 | $ | 0 | $ | 6 | |||||||||||||||||||||||
BPS |
202 | 0 | 9 | 211 | (29 | ) | 0 | (5 | ) | (34 | ) | 177 | 0 | 177 | ||||||||||||||||||||||||||||||||||
BRC |
17 | 0 | 0 | 17 | (42 | ) | 0 | 0 | (42 | ) | (25 | ) | 78 | 53 | ||||||||||||||||||||||||||||||||||
CBK |
195 | 0 | 0 | 195 | 0 | 0 | 0 | 0 | 195 | (290 | ) | (95 | ) | |||||||||||||||||||||||||||||||||||
DUB |
89 | 0 | 0 | 89 | (267 | ) | 0 | (2 | ) | (269 | ) | (180 | ) | 275 | 95 | |||||||||||||||||||||||||||||||||
FBF |
195 | 0 | 84 | 279 | (139 | ) | 0 | (1 | ) | (140 | ) | 139 | (290 | ) | (151 | ) | ||||||||||||||||||||||||||||||||
GLM |
30 | 21 | 14 | 65 | (41 | ) | (34 | ) | (173 | ) | (248 | ) | (183 | ) | 80 | (103 | ) | |||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | (7 | ) | 0 | (7 | ) | (7 | ) | 0 | (7 | ) | |||||||||||||||||||||||||||||||||
HUS |
93 | 0 | 0 | 93 | (82 | ) | 0 | 0 | (82 | ) | 11 | 0 | 11 | |||||||||||||||||||||||||||||||||||
JPM |
8 | 0 | 0 | 8 | (185 | ) | (44 | ) | (1 | ) | (230 | ) | (222 | ) | 292 | 70 | ||||||||||||||||||||||||||||||||
MSB |
4 | 0 | 0 | 4 | (40 | ) | 0 | 0 | (40 | ) | (36 | ) | 0 | (36 | ) | |||||||||||||||||||||||||||||||||
RBC |
42 | 0 | 0 | 42 | (167 | ) | 0 | 0 | (167 | ) | (125 | ) | 0 | (125 | ) | |||||||||||||||||||||||||||||||||
SCX |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
SOG |
14 | 0 | 0 | 14 | (150 | ) | 0 | 0 | (150 | ) | (136 | ) | 0 | (136 | ) | |||||||||||||||||||||||||||||||||
UAG |
242 | 0 | 0 | 242 | (35 | ) | 0 | 0 | (35 | ) | 207 | 0 | 207 | |||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 1,196 | $ | 21 | $ | 107 | $ | 1,324 | $ | (1,223 | ) | $ | (85 | ) | $ | (192 | ) | $ | (1,500 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 6 | ||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,196 | $ | 0 | $ | 1,196 | ||||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 21 | 21 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 107 | 107 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,196 | $ | 128 | $ | 1,324 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,196 | $ | 134 | $ | 1,330 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 22 | $ | 22 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 19 | 19 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 41 | $ | 41 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,223 | $ | 0 | $ | 1,223 | ||||||||||||||
Written Options |
0 | 10 | 0 | 0 | 75 | 85 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 192 | 192 | ||||||||||||||||||||
$ | 0 | $ | 10 | $ | 0 | $ | 1,223 | $ | 267 | $ | 1,500 | |||||||||||||||
$ | 0 | $ | 10 | $ | 0 | $ | 1,223 | $ | 308 | $ | 1,541 |
84 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (18 | ) | $ | (18 | ) | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (17 | ) | (17 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (35 | ) | $ | (35 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 116 | $ | 0 | $ | 116 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 70 | 70 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 116 | $ | 70 | $ | 186 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 116 | $ | 35 | $ | 151 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (112 | ) | $ | (112 | ) | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (42 | ) | (42 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (154 | ) | $ | (154 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (48 | ) | $ | 0 | $ | (48 | ) | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (15 | ) | (15 | ) | ||||||||||||||||||
Written Options |
0 | 1 | 0 | 0 | 7 | 8 | ||||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (87 | ) | (87 | ) | ||||||||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | (48 | ) | $ | (95 | ) | $ | (142 | ) | ||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | (48 | ) | $ | (249 | ) | $ | (296 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Australia |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 3,624 | $ | 0 | $ | 3,624 | ||||||||||
Brazil |
||||||||||||||||||
Sovereign Issues |
0 | 18,632 | 0 | 18,632 | ||||||||||||||
Canada |
||||||||||||||||||
Sovereign Issues |
0 | 1,375 | 0 | 1,375 | ||||||||||||||
Chile |
||||||||||||||||||
Sovereign Issues |
0 | 2,906 | 0 | 2,906 | ||||||||||||||
Colombia |
||||||||||||||||||
Sovereign Issues |
0 | 4,118 | 0 | 4,118 | ||||||||||||||
Denmark |
||||||||||||||||||
Sovereign Issues |
0 | 4,666 | 0 | 4,666 | ||||||||||||||
France |
||||||||||||||||||
Sovereign Issues |
0 | 7,571 | 0 | 7,571 | ||||||||||||||
Germany |
||||||||||||||||||
Sovereign Issues |
0 | 316 | 0 | 316 | ||||||||||||||
India |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 1,313 | 0 | 1,313 | ||||||||||||||
Italy |
||||||||||||||||||
Sovereign Issues |
0 | 17,678 | 0 | 17,678 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 85 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Mexico |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 7,898 | $ | 0 | $ | 7,898 | ||||||||||
New Zealand |
||||||||||||||||||
Sovereign Issues |
0 | 3,464 | 0 | 3,464 | ||||||||||||||
Poland |
||||||||||||||||||
Sovereign Issues |
0 | 1,569 | 0 | 1,569 | ||||||||||||||
Slovenia |
||||||||||||||||||
Sovereign Issues |
0 | 259 | 0 | 259 | ||||||||||||||
South Africa |
||||||||||||||||||
Sovereign Issues |
0 | 4,151 | 0 | 4,151 | ||||||||||||||
Spain |
||||||||||||||||||
Sovereign Issues |
0 | 950 | 0 | 950 | ||||||||||||||
Sweden |
||||||||||||||||||
Sovereign Issues |
0 | 479 | 0 | 479 | ||||||||||||||
United Kingdom |
||||||||||||||||||
Sovereign Issues |
0 | 6,724 | 0 | 6,724 | ||||||||||||||
United States |
||||||||||||||||||
U.S. Government Agencies |
0 | 1,318 | 0 | 1,318 | ||||||||||||||
U.S. Treasury Obligations |
0 | 64,190 | 0 | 64,190 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 1,664 | 0 | 1,664 | ||||||||||||||
Mexico Treasury Bills |
0 | 6,980 | 0 | 6,980 | ||||||||||||||
Total Investments |
$ | 0 | $ | 161,845 | $ | 0 | $ | 161,845 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 6 | 0 | 6 | ||||||||||||||
Over the counter |
0 | 1,324 | 0 | 1,324 | ||||||||||||||
$ | 0 | $ | 1,330 | $ | 0 | $ | 1,330 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(22 | ) | (19 | ) | 0 | (41 | ) | |||||||||||
Over the counter |
0 | (1,500 | ) | 0 | (1,500 | ) | ||||||||||||
$ | (22 | ) | $ | (1,519 | ) | $ | 0 | $ | (1,541 | ) | ||||||||
Totals |
$ | (22 | ) | $ | 161,656 | $ | 0 | $ | 161,634 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
86 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 87 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
88 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 89 |
Schedule of Investments PIMCO Intermediate 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. |
(a) | When-issued security. |
(b) | Coupon represents a weighted average yield to maturity. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 527 | Fannie Mae 2.200% due 10/17/2022 | $ | (538 | ) | $ | 527 | $ | 527 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (538 | ) | $ | 527 | $ | 527 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 527 | $ | 0 | $ | 0 | $ | 0 | $ | 527 | $ | (538 | ) | $ | (11 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 527 | $ | 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, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Alabama |
$ | 0 | $ | 1,921 | $ | 0 | $ | 1,921 | ||||||||||
Arizona |
0 | 7,522 | 0 | 7,522 | ||||||||||||||
Arkansas |
0 | 376 | 0 | 376 | ||||||||||||||
California |
0 | 24,974 | 0 | 24,974 | ||||||||||||||
Colorado |
0 | 282 | 0 | 282 | ||||||||||||||
District of Columbia |
0 | 1,167 | 0 | 1,167 | ||||||||||||||
Florida |
0 | 11,459 | 0 | 11,459 | ||||||||||||||
Georgia |
0 | 1,544 | 0 | 1,544 | ||||||||||||||
Guam |
0 | 884 | 0 | 884 | ||||||||||||||
Illinois |
0 | 13,167 | 0 | 13,167 | ||||||||||||||
Indiana |
0 | 4,162 | 0 | 4,162 | ||||||||||||||
Iowa |
0 | 533 | 0 | 533 | ||||||||||||||
Kansas |
0 | 557 | 0 | 557 | ||||||||||||||
Kentucky |
0 | 1,065 | 0 | 1,065 | ||||||||||||||
Maryland |
0 | 72 | 0 | 72 | ||||||||||||||
Massachusetts |
0 | 9,452 | 0 | 9,452 | ||||||||||||||
Michigan |
0 | 3,137 | 0 | 3,137 | ||||||||||||||
Minnesota |
0 | 1,106 | 0 | 1,106 | ||||||||||||||
Missouri |
0 | 2,662 | 0 | 2,662 |
90 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Nevada |
$ | 0 | $ | 5,773 | $ | 0 | $ | 5,773 | ||||||||||
New Hampshire |
0 | 1,617 | 0 | 1,617 | ||||||||||||||
New Jersey |
0 | 7,863 | 0 | 7,863 | ||||||||||||||
New Mexico |
0 | 552 | 0 | 552 | ||||||||||||||
New York |
0 | 42,965 | 0 | 42,965 | ||||||||||||||
North Carolina |
0 | 6,278 | 0 | 6,278 | ||||||||||||||
Ohio |
0 | 15,933 | 0 | 15,933 | ||||||||||||||
Oregon |
0 | 552 | 0 | 552 | ||||||||||||||
Pennsylvania |
0 | 10,455 | 0 | 10,455 | ||||||||||||||
South Carolina |
0 | 250 | 0 | 250 | ||||||||||||||
Tennessee |
0 | 2,183 | 0 | 2,183 | ||||||||||||||
Texas |
0 | 25,437 | 0 | 25,437 | ||||||||||||||
Washington |
0 | 4,302 | 0 | 4,302 | ||||||||||||||
Wisconsin |
0 | 1,224 | 0 | 1,224 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 527 | 0 | 527 | ||||||||||||||
U.S. Treasury Bills |
0 | 12,798 | 0 | 12,798 | ||||||||||||||
Total Investments |
$ | 0 | $ | 224,751 | $ | 0 | $ | 224,751 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 91 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund
92 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 93 |
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) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 939 | Fannie Mae 2.260% due 10/17/2022 | $ | (960 | ) | $ | 939 | $ | 939 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (960 | ) | $ | 939 | $ | 939 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
JPS |
0.000 | % | 12/31/2014 | 01/07/2015 | $ | (42,547 | ) | $ | (42,548 | ) | ||||||||||||
Total Reverse Repurchase Agreements |
$ | (42,548 | ) |
94 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
BCY |
0.351 | % | 12/23/2014 | 01/26/2015 | $ | (1,075 | ) | $ | (1,069 | ) | ||||||||||||
Total Sale-Buyback Transactions |
$ | (1,069 | ) |
(2) |
The average amount of borrowings outstanding during the period ended December 31, 2014 was $34,694 at a weighted average interest rate of (0.227%). |
(3) |
Payable for sale-buyback transactions includes $(4) of deferred price drop on sale-buyback transactions. |
SHORT SALES:
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales (4) |
|||||||||||||||||
U.S. Treasury Notes |
1.625 | % | 07/31/2019 | $ | 11,900 | $ | (11,874 | ) | $ | (12,001 | ) | |||||||||||
Total Short Sales |
$ | (11,874 | ) | $ | (12,001 | ) |
(4) |
Payable for short sales includes $83 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, 2014:
(c) | Securities with an aggregate market value of $43,626 have been pledged as collateral under the terms of the following master agreements as of December 31, 2014. |
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 |
||||||||||||||||||||||||||||||
JPS |
$ | 0 | $ | (42,548 | ) | $ | 0 | $ | 0 | $ | (42,548 | ) | $ | 42,558 | $ | 10 | ||||||||||||||
SSB |
939 | 0 | 0 | 0 | 939 | (960 | ) | (21 | ) | |||||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | (1,069 | ) | (12,001 | ) | (13,070 | ) | 1,067 | (12,003 | ) | |||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 939 | $ | (42,548 | ) | $ | (1,069 | ) | $ | (12,001 | ) |
(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. |
(d) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Description | Type | Expiration Month |
# of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2018 | 72 | $ | (5 | ) | $ | 0 | $ | (6 | ) | |||||||||||||||
U.S. Treasury 2-Year Note March Futures |
Long | 03/2015 | 182 | 13 | 9 | 0 | ||||||||||||||||||||
Total Futures Contracts |
$ | 8 | $ | 9 | $ | (6 | ) |
SWAP AGREEMENTS:
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized (Depreciation) |
Variation Margin | |||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
Pay |
1-Day USD-Federal Funds Rate Compounded-OIS |
0.685 | % | 12/22/2016 | $ | 34,600 | $ | 4 | $ | (11 | ) | $ | 0 | $ | (7 | ) | ||||||||||||||||
Total Swap Agreements |
$ | 4 | $ | (11 | ) | $ | 0 | $ | (7 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 95 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2014:
Cash of $248 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 9 | $ | 0 | $ | 9 | $ | 0 | $ | (6 | ) | $ | (7 | ) | $ | (13 | ) |
(e) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency to |
Currency to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BRC |
03/2015 | EUR | 100 | $ | 137 | $ | 16 | $ | 0 | |||||||||||||||||||||
FBF |
07/2015 | BRL | 6,000 | 2,467 | 321 | 0 | ||||||||||||||||||||||||
HUS |
01/2015 | AUD | 994 | 850 | 39 | 0 | ||||||||||||||||||||||||
MSB |
02/2015 | GBP | 1,298 | 2,033 | 10 | 0 | ||||||||||||||||||||||||
02/2015 | $ | 2,035 | GBP | 1,302 | 0 | (6 | ) | |||||||||||||||||||||||
SOG |
02/2015 | EUR | 581 | $ | 725 | 21 | 0 | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 407 | $ | (6 | ) |
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) as of December 31, 2014:
Counterparty | Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received) |
Net Exposure (1) |
||||||||||||||||||||||||||||||||||||||
BRC |
$ | 16 | $ | 0 | $ | 0 | $ | 16 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 16 | $ | 0 | $ | 16 | ||||||||||||||||||||||||||
FBF |
321 | 0 | 0 | 321 | 0 | 0 | 0 | 0 | 321 | (260 | ) | 61 | ||||||||||||||||||||||||||||||||||||
HUS |
39 | 0 | 0 | 39 | 0 | 0 | 0 | 0 | 39 | 0 | 39 | |||||||||||||||||||||||||||||||||||||
MSB |
10 | 0 | 0 | 10 | (6 | ) | 0 | 0 | (6 | ) | 4 | 0 | 4 | |||||||||||||||||||||||||||||||||||
SOG |
21 | 0 | 0 | 21 | 0 | 0 | 0 | 0 | 21 | 0 | 21 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 407 | $ | 0 | $ | 0 | $ | 407 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (6 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
96 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | $ | 9 | ||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 407 | $ | 0 | $ | 407 | ||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 407 | $ | 9 | $ | 416 | |||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 6 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 7 | 7 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 13 | $ | 13 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 0 | $ | 6 | ||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 13 | $ | 19 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | ||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 451 | $ | 1 | $ | 452 | ||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 451 | $ | 0 | $ | 451 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 8 | $ | 8 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (11 | ) | (11 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (3 | ) | $ | (3 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 444 | $ | 0 | $ | 444 | ||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 444 | $ | (3 | ) | $ | 441 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 40,442 | $ | 0 | $ | 40,442 | ||||||||||
Industrials |
0 | 41,536 | 519 | 42,055 | ||||||||||||||
Utilities |
0 | 18,081 | 0 | 18,081 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 97 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
California |
$ | 0 | $ | 501 | $ | 0 | $ | 501 | ||||||||||
U.S. Treasury Obligations |
0 | 45,861 | 0 | 45,861 | ||||||||||||||
Mortgage-Backed Securities |
0 | 9,681 | 0 | 9,681 | ||||||||||||||
Asset-Backed Securities |
0 | 8,991 | 250 | 9,241 | ||||||||||||||
Sovereign Issues |
0 | 10,293 | 0 | 10,293 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 2,900 | 0 | 2,900 | ||||||||||||||
Commercial Paper |
0 | 1,375 | 0 | 1,375 | ||||||||||||||
Repurchase Agreements |
0 | 939 | 0 | 939 | ||||||||||||||
Total Investments |
$ | 0 | $ | 180,600 | $ | 769 | $ | 181,369 | ||||||||||
Short Sales, at Value - Liabilities |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | (12,001 | ) | $ | 0 | $ | (12,001 | ) | ||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
9 | 0 | 0 | 9 | ||||||||||||||
Over the counter |
0 | 407 | 0 | 407 | ||||||||||||||
$ | 9 | $ | 407 | $ | 0 | $ | 416 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(6 | ) | (7 | ) | 0 | (13 | ) | |||||||||||
Over the counter |
0 | (6 | ) | 0 | (6 | ) | ||||||||||||
$ | (6 | ) | $ | (13 | ) | $ | 0 | $ | (19 | ) | ||||||||
Totals |
$ | 3 | $ | 168,993 | $ | 769 | $ | 169,765 |
There were no significant transfers between Level 1 and 2 during the period ended December 31, 2014. There were assets and liabilities valued at $1,836 transferred from Level 3 to Level 2 during the period ended December 31, 2014. There were no significant assets and liabilities transferred from Level 2 to Level 3 during the period ended December 31, 2014.
98 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 99 |
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, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 571 | Fannie Mae 2.200% due 10/17/2022 | $ | (587 | ) | $ | 571 | $ | 571 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (587 | ) | $ | 571 | $ | 571 |
(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, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 571 | $ | 0 | $ | 0 | $ | 0 | $ | 571 | $ | (587 | ) | $ | (16 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 571 | $ | 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. |
100 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arizona |
$ | 0 | $ | 1,056 | $ | 0 | $ | 1,056 | ||||||||||
California |
0 | 1,288 | 0 | 1,288 | ||||||||||||||
Connecticut |
0 | 1,663 | 0 | 1,663 | ||||||||||||||
Florida |
0 | 8,518 | 0 | 8,518 | ||||||||||||||
Georgia |
0 | 1,572 | 0 | 1,572 | ||||||||||||||
Illinois |
0 | 1,955 | 0 | 1,955 | ||||||||||||||
Massachusetts |
0 | 1,999 | 0 | 1,999 | ||||||||||||||
Michigan |
0 | 1,016 | 0 | 1,016 | ||||||||||||||
Minnesota |
0 | 3,062 | 0 | 3,062 | ||||||||||||||
Nebraska |
0 | 2,107 | 0 | 2,107 | ||||||||||||||
Nevada |
0 | 2,246 | 0 | 2,246 | ||||||||||||||
New Jersey |
0 | 1,095 | 0 | 1,095 | ||||||||||||||
New Mexico |
0 | 1,145 | 0 | 1,145 | ||||||||||||||
New York |
0 | 7,501 | 0 | 7,501 | ||||||||||||||
North Carolina |
0 | 1,391 | 0 | 1,391 | ||||||||||||||
Ohio |
0 | 4,618 | 0 | 4,618 | ||||||||||||||
Oklahoma |
0 | 463 | 0 | 463 | ||||||||||||||
Oregon |
0 | 1,559 | 0 | 1,559 | ||||||||||||||
Pennsylvania |
0 | 3,518 | 0 | 3,518 | ||||||||||||||
Texas |
0 | 8,446 | 0 | 8,446 | ||||||||||||||
Utah |
0 | 1,428 | 0 | 1,428 | ||||||||||||||
Virginia |
0 | 1,294 | 0 | 1,294 | ||||||||||||||
Washington |
0 | 2,309 | 0 | 2,309 | ||||||||||||||
Wisconsin |
0 | 823 | 0 | 823 | ||||||||||||||
U.S. Treasury Obligations |
0 | 2,702 | 0 | 2,702 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 571 | 0 | 571 | ||||||||||||||
Total Investments |
$ | 0 | $ | 65,345 | $ | 0 | $ | 65,345 |
There were no significant transfers between Level 1, 2, and 3 during the period ended December 31, 2014.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 101 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund
102 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 103 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
104 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
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) | Principal amount of security is adjusted for inflation. |
(e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BOM |
0.000 | % | 12/31/2014 | 01/02/2015 | $ | 49,600 | U.S. Treasury Notes 1.500% - 3.625% due 12/31/2018 - 08/15/2019 | $ | (50,635 | ) | $ | 49,600 | $ | 49,600 | ||||||||||||||||||
BOS |
0.000 | % | 12/31/2014 | 01/02/2015 | 34,900 | U.S. Treasury Bonds 3.625% due 02/15/2044 | (36,097 | ) | 34,900 | 34,900 | ||||||||||||||||||||||
RYL |
0.000 | % | 12/31/2014 | 01/02/2015 | 75,000 | U.S. Treasury Notes 4.500% due 11/15/2015 | (76,535 | ) | 75,000 | 75,001 | ||||||||||||||||||||||
SSB |
0.000 | % | 12/31/2014 | 01/02/2015 | 2,689 | Fannie Mae 2.200% due 10/17/2022 | (2,745 | ) | 2,689 | 2,689 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (166,012 | ) | $ | 162,189 | $ | 162,190 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BRC |
0.000 | % | 10/28/2014 | 01/28/2015 | $ | (11,199 | ) | $ | (11,208 | ) | ||||||||||||
RDR |
0.000 | % | 10/29/2014 | 01/29/2015 | (20,926 | ) | (20,942 | ) | ||||||||||||||
SOG |
0.000 | % | 11/04/2014 | 01/05/2015 | (35,291 | ) | (35,305 | ) | ||||||||||||||
Total Reverse Repurchase Agreements |
$ | (67,455 | ) |
(2) |
As of December 31, 2014, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended December 31, 2014 was $513,732 at a weighted average interest rate of 0.218%. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 105 |
Schedule of Investments PIMCO Total Return 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, 2014:
(g) | Securities with an aggregate market value of $69,272 have been pledged as collateral under the terms of the following master agreements as of December 31, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (3) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BOM |
$ | 49,600 | $ | 0 | $ | 0 | $ | 0 | $ | 49,600 | $ | (50,635 | ) | $ | (1,035 | ) | ||||||||||||||
BOS |
34,900 | 0 | 0 | 0 | 34,900 | (36,097 | ) | (1,197 | ) | |||||||||||||||||||||
BRC |
0 | (11,208 | ) | 0 | 0 | (11,208 | ) | 12,538 | 1,330 | |||||||||||||||||||||
RDR |
0 | (20,942 | ) | 0 | 0 | (20,942 | ) | 21,399 | 457 | |||||||||||||||||||||
RYL |
75,001 | 0 | 0 | 0 | 75,001 | (76,535 | ) | (1,534 | ) | |||||||||||||||||||||
SOG |
0 | (35,305 | ) | 0 | 0 | (35,305 | ) | 35,115 | (190 | ) | ||||||||||||||||||||
SSB |
2,689 | 0 | 0 | 0 | 2,689 | (2,745 | ) | (56 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 162,190 | $ | (67,455 | ) | $ | 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. |
(h) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Type | Expiration Month |
# of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||||
Euro-BTP Italy Government Bond March Futures |
Long | 03/2015 | 146 | $ | 264 | $ | 184 | $ | 0 | |||||||||||||||||
Euro-Bund 10-Year Bond March Futures |
Short | 03/2015 | 5 | (13 | ) | 0 | (1 | ) | ||||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Long | 03/2015 | 2,659 | 704 | 581 | 0 | ||||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate June Futures |
Short | 06/2015 | 4 | (3 | ) | 0 | 0 | |||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate March Futures |
Short | 03/2015 | 65 | (24 | ) | 0 | (1 | ) | ||||||||||||||||||
United Kingdom 90-Day LIBOR Sterling Interest Rate September Futures |
Short | 09/2015 | 76 | (66 | ) | 0 | (3 | ) | ||||||||||||||||||
Total Futures Contracts |
$ | 862 | $ | 765 | $ | (5 | ) |
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 |
6-Month GBP-LIBOR |
1.500 | % | 09/18/2016 | GBP | 179,800 | $ | (2,527 | ) | $ | (1,982 | ) | $ | 0 | $ | (51 | ) | |||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
1.880 | % | 10/05/2017 | 21,300 | (422 | ) | (422 | ) | 0 | (15 | ) | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.840 | % | 09/14/2021 | MXN | 500,000 | 235 | 289 | 134 | 0 | ||||||||||||||||||||||||||
$ | (2,714 | ) | $ | (2,115 | ) | $ | 134 | $ | (66 | ) | ||||||||||||||||||||||||||
Total Swap Agreements |
$ | (2,714 | ) | $ | (2,115 | ) | $ | 134 | $ | (66 | ) |
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, 2014:
(i) | Securities with an aggregate market value of $6,437 and cash of $541 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 765 | $ | 134 | $ | 899 | $ | 0 | $ | (5 | ) | $ | (66 | ) | $ | (71 | ) |
106 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
(j) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
01/2015 | EUR | 14,370 | $ | 17,811 | $ | 423 | $ | 0 | |||||||||||||||||||||
01/2015 | ILS | 24,213 | 6,373 | 173 | (8 | ) | ||||||||||||||||||||||||
01/2015 | $ | 1,228 | AUD | 1,449 | 0 | (45 | ) | |||||||||||||||||||||||
01/2015 | 23,656 | EUR | 19,046 | 0 | (609 | ) | ||||||||||||||||||||||||
01/2015 | 3,214 | ILS | 12,164 | 0 | (96 | ) | ||||||||||||||||||||||||
01/2015 | 44,220 | JPY | 5,303,199 | 54 | 0 | |||||||||||||||||||||||||
02/2015 | JPY | 5,303,199 | $ | 44,230 | 0 | (55 | ) | |||||||||||||||||||||||
03/2015 | ILS | 16,199 | 4,175 | 28 | (7 | ) | ||||||||||||||||||||||||
06/2015 | EUR | 20,880 | 28,389 | 3,084 | 0 | |||||||||||||||||||||||||
06/2015 | $ | 185 | EUR | 140 | 0 | (16 | ) | |||||||||||||||||||||||
06/2016 | EUR | 58,878 | $ | 80,612 | 8,524 | 0 | ||||||||||||||||||||||||
06/2016 | $ | 3,452 | EUR | 2,556 | 0 | (323 | ) | |||||||||||||||||||||||
BPS |
01/2015 | EUR | 4,971 | $ | 6,183 | 168 | 0 | |||||||||||||||||||||||
01/2015 | ILS | 8,157 | 2,104 | 13 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 2,406 | EUR | 1,946 | 0 | (51 | ) | |||||||||||||||||||||||
02/2015 | CHF | 166 | $ | 172 | 5 | 0 | ||||||||||||||||||||||||
04/2015 | BRL | 229 | 93 | 9 | 0 | |||||||||||||||||||||||||
06/2015 | EUR | 9,381 | 12,722 | 1,353 | 0 | |||||||||||||||||||||||||
BRC |
02/2015 | $ | 1,029 | MXN | 14,461 | 0 | (51 | ) | ||||||||||||||||||||||
06/2015 | EUR | 12,039 | $ | 16,356 | 1,766 | 0 | ||||||||||||||||||||||||
06/2015 | $ | 112,768 | EUR | 85,414 | 0 | (9,251 | ) | |||||||||||||||||||||||
06/2016 | EUR | 11,049 | $ | 15,193 | 1,659 | 0 | ||||||||||||||||||||||||
CBK |
01/2015 | 10,466 | 12,901 | 236 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 87,453 | EUR | 70,872 | 0 | (1,695 | ) | |||||||||||||||||||||||
01/2015 | 13,363 | JPY | 1,582,800 | 0 | (149 | ) | ||||||||||||||||||||||||
02/2015 | EUR | 35,356 | $ | 43,330 | 535 | 0 | ||||||||||||||||||||||||
02/2015 | $ | 1,573 | CHF | 1,527 | 0 | (36 | ) | |||||||||||||||||||||||
02/2015 | 212 | MXN | 2,906 | 0 | (15 | ) | ||||||||||||||||||||||||
06/2015 | EUR | 10,388 | $ | 14,200 | 1,611 | 0 | ||||||||||||||||||||||||
06/2015 | $ | 4,024 | EUR | 3,042 | 0 | (338 | ) | |||||||||||||||||||||||
DUB |
08/2015 | EUR | 13,000 | $ | 17,424 | 1,657 | 0 | |||||||||||||||||||||||
02/2016 | 57,270 | 77,068 | 7,322 | 0 | ||||||||||||||||||||||||||
06/2016 | 6,201 | 8,490 | 899 | 0 | ||||||||||||||||||||||||||
06/2016 | $ | 3,897 | EUR | 2,883 | 0 | (367 | ) | |||||||||||||||||||||||
FBF |
01/2015 | AUD | 5,804 | $ | 4,749 | 11 | 0 | |||||||||||||||||||||||
04/2015 | BRL | 10,872 | 4,413 | 422 | 0 | |||||||||||||||||||||||||
06/2015 | EUR | 17,137 | 23,260 | 2,491 | 0 | |||||||||||||||||||||||||
GLM |
01/2015 | AUD | 661 | 540 | 1 | 0 | ||||||||||||||||||||||||
01/2015 | EUR | 41,835 | 51,534 | 911 | 0 | |||||||||||||||||||||||||
01/2015 | GBP | 628 | 984 | 5 | 0 | |||||||||||||||||||||||||
01/2015 | ILS | 41,925 | 11,236 | 487 | 0 | |||||||||||||||||||||||||
01/2015 | JPY | 2,571,700 | 21,675 | 205 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 6,929 | AUD | 8,181 | 0 | (250 | ) | |||||||||||||||||||||||
01/2015 | 39,871 | EUR | 32,279 | 0 | (812 | ) | ||||||||||||||||||||||||
01/2015 | 11,952 | JPY | 1,417,200 | 0 | (121 | ) | ||||||||||||||||||||||||
02/2015 | AUD | 5,122 | $ | 4,145 | 0 | (28 | ) | |||||||||||||||||||||||
02/2015 | CHF | 5,818 | 6,041 | 185 | 0 | |||||||||||||||||||||||||
02/2015 | EUR | 42,464 | 51,723 | 323 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 3,221 | CHF | 3,122 | 0 | (79 | ) | |||||||||||||||||||||||
06/2015 | 26,024 | EUR | 19,570 | 0 | (2,306 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 107 |
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 | |||||||||||||||||||||||||||||
HUS |
01/2015 | AUD | 15,716 | $ | 13,443 | $ | 613 | $ | 0 | |||||||||||||||||||||
01/2015 | ILS | 53,808 | 14,278 | 483 | 0 | |||||||||||||||||||||||||
01/2015 | NZD | 20,771 | 16,205 | 3 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 1,180 | GBP | 753 | 0 | (6 | ) | |||||||||||||||||||||||
01/2015 | 12,075 | JPY | 1,429,900 | 0 | (137 | ) | ||||||||||||||||||||||||
02/2015 | AUD | 3,679 | $ | 2,995 | 1 | (3 | ) | |||||||||||||||||||||||
04/2015 | BRL | 10,899 | 4,425 | 424 | 0 | |||||||||||||||||||||||||
JPM |
01/2015 | AUD | 2,709 | 2,218 | 7 | 0 | ||||||||||||||||||||||||
01/2015 | EUR | 52,501 | 64,905 | 1,376 | 0 | |||||||||||||||||||||||||
01/2015 | JPY | 3,219,200 | 27,233 | 357 | 0 | |||||||||||||||||||||||||
01/2015 | $ | 61,392 | JPY | 7,345,300 | 144 | (213 | ) | |||||||||||||||||||||||
02/2015 | EUR | 10,384 | $ | 12,702 | 132 | 0 | ||||||||||||||||||||||||
02/2015 | JPY | 1,428,900 | 11,868 | 0 | (64 | ) | ||||||||||||||||||||||||
02/2015 | MXN | 6,965 | 483 | 12 | 0 | |||||||||||||||||||||||||
02/2015 | $ | 380 | MXN | 5,444 | 0 | (11 | ) | |||||||||||||||||||||||
03/2015 | ILS | 21,146 | $ | 5,394 | 0 | (28 | ) | |||||||||||||||||||||||
08/2015 | $ | 17,180 | EUR | 13,000 | 0 | (1,413 | ) | |||||||||||||||||||||||
MSB |
01/2015 | ILS | 5,639 | $ | 1,483 | 37 | 0 | |||||||||||||||||||||||
01/2015 | $ | 5,524 | AUD | 6,747 | 0 | (16 | ) | |||||||||||||||||||||||
01/2015 | 192,996 | GBP | 124,473 | 1,008 | 0 | |||||||||||||||||||||||||
01/2015 | 29,955 | JPY | 3,484,300 | 0 | (866 | ) | ||||||||||||||||||||||||
02/2015 | AUD | 6,747 | $ | 5,512 | 16 | 0 | ||||||||||||||||||||||||
02/2015 | GBP | 124,473 | 192,949 | 0 | (1,011 | ) | ||||||||||||||||||||||||
02/2015 | MXN | 337,925 | 23,899 | 1,038 | 0 | |||||||||||||||||||||||||
03/2015 | ILS | 6,852 | 1,749 | 0 | (8 | ) | ||||||||||||||||||||||||
06/2015 | EUR | 14,702 | 20,154 | 2,336 | 0 | |||||||||||||||||||||||||
06/2016 | 15,595 | 21,449 | 2,356 | 0 | ||||||||||||||||||||||||||
NAB |
06/2015 | 23,639 | 32,095 | 3,445 | 0 | |||||||||||||||||||||||||
06/2016 | 33,844 | 46,470 | 5,026 | 0 | ||||||||||||||||||||||||||
07/2016 | 17,634 | 23,922 | 2,295 | 0 | ||||||||||||||||||||||||||
RBC |
01/2015 | GBP | 125,784 | 197,501 | 1,453 | 0 | ||||||||||||||||||||||||
02/2015 | MXN | 479,962 | 34,629 | 2,159 | 0 | |||||||||||||||||||||||||
SOG |
01/2015 | $ | 3,871 | ILS | 14,606 | 0 | (126 | ) | ||||||||||||||||||||||
01/2015 | 16,132 | NZD | 20,771 | 70 | 0 | |||||||||||||||||||||||||
02/2015 | NZD | 20,771 | $ | 16,087 | 0 | (71 | ) | |||||||||||||||||||||||
UAG |
01/2015 | JPY | 14,771,799 | 124,930 | 1,606 | 0 | ||||||||||||||||||||||||
01/2015 | $ | 1,852 | GBP | 1,186 | 0 | (3 | ) | |||||||||||||||||||||||
02/2015 | JPY | 39,513 | $ | 328 | 0 | (2 | ) | |||||||||||||||||||||||
02/2015 | $ | 116 | MXN | 1,715 | 0 | 0 | ||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 60,957 | $ | (20,686 | ) |
WRITTEN OPTIONS:
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||
CBK |
Put - OTC USD versus JPY | JPY | 99.000 | 09/30/2015 | $ | 5,400 | $ | (44 | ) | $ | (12 | ) | ||||||||||||||||
FBF |
Call - OTC USD versus MXN | MXN | 14.500 | 02/02/2015 | 3,200 | (22 | ) | (74 | ) | |||||||||||||||||||
GLM |
Call - OTC USD versus INR | INR | 63.500 | 01/12/2015 | 3,500 | (24 | ) | (12 | ) | |||||||||||||||||||
HUS |
Put - OTC USD versus MXN | MXN | 13.200 | 01/14/2015 | 4,100 | (16 | ) | 0 | ||||||||||||||||||||
Call - OTC USD versus MXN | 13.800 | 01/14/2015 | 4,100 | (39 | ) | (269 | ) | |||||||||||||||||||||
$ | (145 | ) | $ | (367 | ) | |||||||||||||||||||||||
Total Written Options |
$ | (145 | ) | $ | (367 | ) |
108 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2014:
Notional Amount |
Premiums | |||||||||
Balance at Beginning of Period |
$ | 0 | $ | 0 | ||||||
Sales |
23,700 | (165 | ) | |||||||
Closing Buys |
0 | 0 | ||||||||
Expirations |
0 | 0 | ||||||||
Exercised |
(3,400 | ) | 20 | |||||||
Balance at End of Period |
$ | 20,300 | $ | (145 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION (1)
Counterparty | Reference Entity | Fixed Deal Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2014 (2) |
Notional |
Premiums Paid/(Received) |
Unrealized (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
BPS |
Petrobras International Finance Co. |
1.000 | % | 12/20/2019 | 4.408 | % | $ | 5,300 | $ | (500 | ) | $ | (259 | ) | $ | 0 | $ | (759 | ) | |||||||||||||||||||||
BRC |
Russia Government International Bond |
1.000 | % | 12/20/2019 | 4.779 | % | 4,200 | (301 | ) | (358 | ) | 0 | (659 | ) | ||||||||||||||||||||||||||
GST |
Greece Government International Bond |
1.000 | % | 12/20/2015 | 16.350 | % | EUR | 5,700 | (294 | ) | (627 | ) | 0 | (921 | ) | |||||||||||||||||||||||||
Petrobras International Finance Co. |
1.000 | % | 12/20/2019 | 4.408 | % | $ | 5,700 | (560 | ) | (257 | ) | 0 | (817 | ) | ||||||||||||||||||||||||||
Russia Government International Bond |
1.000 | % | 12/20/2015 | 5.114 | % | 4,100 | (60 | ) | (99 | ) | 0 | (159 | ) | |||||||||||||||||||||||||||
HUS |
Mexico Government International Bond |
1.000 | % | 12/20/2019 | 0.996 | % | 22,000 | 130 | (119 | ) | 11 | 0 | ||||||||||||||||||||||||||||
Russia Government International Bond |
1.000 | % | 12/20/2019 | 4.779 | % | 9,700 | (687 | ) | (834 | ) | 0 | (1,521 | ) | |||||||||||||||||||||||||||
JPM |
Mexico Government International Bond |
1.000 | % | 12/20/2019 | 0.996 | % | 25,000 | 148 | (136 | ) | 12 | 0 | ||||||||||||||||||||||||||||
$ | (2,124 | ) | $ | (2,689 | ) | $ | 23 | $ | (4,836 | ) | ||||||||||||||||||||||||||||||
Total Swap |
$ | (2,124 | ) | $ | (2,689 | ) | $ | 23 | $ | (4,836 | ) |
(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. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 109 |
Schedule of Investments PIMCO Total Return 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, 2014:
(k) | Securities with an aggregate market value of $10,052 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2014. |
Counterparty |
Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agree ments |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agree ments |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (4) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 12,286 | $ | 0 | $ | 0 | $ | 12,286 | $ | (1,159 | ) | $ | 0 | $ | 0 | $ | (1,159 | ) | $ | 11,127 | $ | (10,610 | ) | $ | 517 | |||||||||||||||||||||||
BPS |
1,548 | 0 | 0 | 1,548 | (51 | ) | 0 | (759 | ) | (810 | ) | 738 | (735 | ) | 3 | |||||||||||||||||||||||||||||||||
BRC |
3,425 | 0 | 0 | 3,425 | (9,302 | ) | 0 | (659 | ) | (9,961 | ) | (6,536 | ) | 6,031 | (505 | ) | ||||||||||||||||||||||||||||||||
CBK |
2,382 | 0 | 0 | 2,382 | (2,233 | ) | (12 | ) | 0 | (2,245 | ) | 137 | (190 | ) | (53 | ) | ||||||||||||||||||||||||||||||||
DUB |
9,878 | 0 | 0 | 9,878 | (367 | ) | 0 | 0 | (367 | ) | 9,511 | (8,910 | ) | 601 | ||||||||||||||||||||||||||||||||||
FBF |
2,924 | 0 | 0 | 2,924 | 0 | (74 | ) | 0 | (74 | ) | 2,850 | (2,770 | ) | 80 | ||||||||||||||||||||||||||||||||||
GLM |
2,117 | 0 | 0 | 2,117 | (3,596 | ) | (12 | ) | 0 | (3,608 | ) | (1,491 | ) | 1,614 | 123 | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (1,897 | ) | (1,897 | ) | (1,897 | ) | 1,977 | 80 | ||||||||||||||||||||||||||||||||||
HUS |
1,524 | 0 | 11 | 1,535 | (146 | ) | (269 | ) | (1,521 | ) | (1,936 | ) | (401 | ) | 430 | 29 | ||||||||||||||||||||||||||||||||
JPM |
2,028 | 0 | 12 | 2,040 | (1,729 | ) | 0 | 0 | (1,729 | ) | 311 | 0 | 311 | |||||||||||||||||||||||||||||||||||
MSB |
6,791 | 0 | 0 | 6,791 | (1,901 | ) | 0 | 0 | (1,901 | ) | 4,890 | (4,780 | ) | 110 | ||||||||||||||||||||||||||||||||||
NAB |
10,766 | 0 | 0 | 10,766 | 0 | 0 | 0 | 0 | 10,766 | (10,170 | ) | 596 | ||||||||||||||||||||||||||||||||||||
RBC |
3,612 | 0 | 0 | 3,612 | 0 | 0 | 0 | 0 | 3,612 | (4,060 | ) | (448 | ) | |||||||||||||||||||||||||||||||||||
SOG |
70 | 0 | 0 | 70 | (197 | ) | 0 | 0 | (197 | ) | (127 | ) | 0 | (127 | ) | |||||||||||||||||||||||||||||||||
UAG |
1,606 | 0 | 0 | 1,606 | (5 | ) | 0 | 0 | (5 | ) | 1,601 | (1,370 | ) | 231 | ||||||||||||||||||||||||||||||||||
Total |
$ | 60,957 | $ | 0 | $ | 23 | $ | 60,980 | $ | (20,686 | ) | $ | (367 | ) | $ | (4,836 | ) | $ | (25,889 | ) |
(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. |
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, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 765 | $ | 765 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 134 | 134 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 899 | $ | 899 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 60,957 | $ | 0 | $ | 60,957 | ||||||||||||||
Swap Agreements |
0 | 23 | 0 | 0 | 0 | 23 | ||||||||||||||||||||
$ | 0 | $ | 23 | $ | 0 | $ | 60,957 | $ | 0 | $ | 60,980 | |||||||||||||||
$ | 0 | $ | 23 | $ | 0 | $ | 60,957 | $ | 899 | $ | 61,879 |
110 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 5 | $ | 5 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 66 | 66 | ||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 71 | $ | 71 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 20,686 | $ | 0 | $ | 20,686 | ||||||||||||||
Written Options |
0 | 0 | 0 | 367 | 0 | 367 | ||||||||||||||||||||
Swap Agreements |
0 | 4,836 | 0 | 0 | 0 | 4,836 | ||||||||||||||||||||
$ | 0 | $ | 4,836 | $ | 0 | $ | 21,053 | $ | 0 | $ | 25,889 | |||||||||||||||
$ | 0 | $ | 4,836 | $ | 0 | $ | 21,053 | $ | 71 | $ | 25,960 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended December 31, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6,415 | $ | 6,415 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (360 | ) | (360 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6,055 | $ | 6,055 | |||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 69,029 | $ | 0 | $ | 69,029 | ||||||||||||||
Swap Agreements |
0 | 718 | 0 | 0 | 0 | 718 | ||||||||||||||||||||
$ | 0 | $ | 718 | $ | 0 | $ | 69,029 | $ | 0 | $ | 69,747 | |||||||||||||||
$ | 0 | $ | 718 | $ | 0 | $ | 69,029 | $ | 6,055 | $ | 75,802 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 862 | $ | 862 | ||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | (2,115 | ) | (2,115 | ) | ||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,253 | ) | $ | (1,253 | ) | |||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 53,455 | $ | 0 | $ | 53,455 | ||||||||||||||
Written Options |
0 | 0 | 0 | (222 | ) | 0 | (222 | ) | ||||||||||||||||||
Swap Agreements |
0 | (2,688 | ) | 0 | 0 | 0 | (2,688 | ) | ||||||||||||||||||
$ | 0 | $ | (2,688 | ) | $ | 0 | $ | 53,233 | $ | 0 | $ | 50,545 | ||||||||||||||
$ | 0 | $ | (2,688 | ) | $ | 0 | $ | 53,233 | $ | (1,253 | ) | $ | 49,292 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 33,400 | $ | 0 | $ | 33,400 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 632,267 | 0 | 632,267 | ||||||||||||||
Industrials |
0 | 162,211 | 36,185 | 198,396 | ||||||||||||||
Utilities |
0 | 63,226 | 0 | 63,226 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2014 | 111 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
(Unaudited)
December 31, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2014 |
||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
California |
$ | 0 | $ | 47,015 | $ | 0 | $ | 47,015 | ||||||||||
Florida |
0 | 10,547 | 0 | 10,547 | ||||||||||||||
South Dakota |
0 | 8,020 | 0 | 8,020 | ||||||||||||||
U.S. Government Agencies |
0 | 74,278 | 0 | 74,278 | ||||||||||||||
U.S. Treasury Obligations |
0 | 519,027 | 0 | 519,027 | ||||||||||||||
Mortgage-Backed Securities |
0 | 242,836 | 11,367 | 254,203 | ||||||||||||||
Asset-Backed Securities |
0 | 84,928 | 0 | 84,928 | ||||||||||||||
Sovereign Issues |
0 | 164,111 | 0 | 164,111 | ||||||||||||||
Preferred Securities |
||||||||||||||||||
Banking & Finance |
0 | 4,621 | 0 | 4,621 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 162,189 | 0 | 162,189 | ||||||||||||||
Short-Term Notes |
0 | 210,387 | 0 | 210,387 | ||||||||||||||
U.S. Treasury Bills |
0 | 5,286 | 0 | 5,286 | ||||||||||||||
Total Investments |
$ | 0 | $ | 2,424,349 | $ | 47,552 | $ | 2,471,901 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Exchange-traded or centrally cleared |
765 | 134 | 0 | 899 | ||||||||||||||
Over the counter |
0 | 60,980 | 0 | 60,980 | ||||||||||||||
$ | 765 | $ | 61,114 | $ | 0 | $ | 61,879 | |||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
(5 | ) | (66 | ) | 0 | (71 | ) | |||||||||||
Over the counter |
0 | (25,889 | ) | 0 | (25,889 | ) | ||||||||||||
$ | (5 | ) | $ | (25,955 | ) | $ | 0 | $ | (25,960 | ) | ||||||||
Totals |
$ | 760 | $ | 2,459,508 | $ | 47,552 | $ | 2,507,820 |
There were no significant transfers between Level 1 and 2 during the period ended December 31, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended December 31, 2014:
Category and Subcategory |
Beginning Balance at 06/30/2014 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 12/31/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 12/31/2014 (1) |
||||||||||||||||||||||||||||||||
Investments |
||||||||||||||||||||||||||||||||||||||||||
Corporate |
||||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
$ | 6,874 | $ | 0 | $ | (7,220 | ) | $ | (20 | ) | $ | 326 | $ | 40 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
Industrials |
32,655 | 0 | (55 | ) | 5 | 4 | 3,576 | 0 | 0 | 36,185 | 3,574 | |||||||||||||||||||||||||||||||
Mortgage- |
37,018 | 0 | (27,385 | ) | (6 | ) | 394 | (83 | ) | 5,861 | (4,432 | ) | 11,367 | (83 | ) | |||||||||||||||||||||||||||
Totals |
$ | 76,547 | $ | 0 | $ | (34,660 | ) | $ | (21 | ) | $ | 724 | $ | 3,533 | $ | 5,861 | $ | (4,432 | ) | $ | 47,552 | $ | 3,491 |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 12/31/2014 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Industrials |
$ | 36,185 | Benchmark Pricing | Base Price | 99.09 | |||||||||||||
Mortgage-Backed Securities |
11,367 | Benchmark Pricing | Base Price | 101.02 - 104.50 | ||||||||||||||
Total |
$ | 47,552 |
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
112 | PIMCO ETF TRUST | See Accompanying Notes |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 113 |
Notes to Financial Statements (Cont.)
114 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 115 |
Notes to Financial Statements (Cont.)
116 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 117 |
Notes to Financial Statements (Cont.)
118 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
(b) 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 Fund’s transactions in and earnings from investments in these affiliated Funds for the period ended December 31, 2014, (amounts in thousands†):
Investments in PIMCO Money Market Fund
Fund Name | Market Value 06/30/2014 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain/(Loss) |
Change
in Unrealized Appreciation/ (Depreciation) |
Market Value 12/31/2014 |
Dividend Income |
|||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
$ | 70,609 | $ | 112,910 | $ | (155,133 | ) | $ | 0 | $ | 0 | $ | 28,386 | $ | 8 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 119 |
Notes to Financial Statements (Cont.)
120 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 121 |
Notes to Financial Statements (Cont.)
122 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 123 |
Notes to Financial Statements (Cont.)
124 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 125 |
Notes to Financial Statements (Cont.)
126 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 127 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2014, were as follows (amounts in thousands†):
U.S. Government/Agency |
All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 54,436 | $ | 40,900 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
2,986 | 3,001 | 0 | 0 | ||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
26,175 | 26,049 | 0 | 0 | ||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
7,705 | 8,960 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
200,260 | 196,498 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
2,670 | 2,758 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
14,856 | 15,128 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 59,960 | 537,415 | 428,243 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 105,522 | 7,371 | ||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
0 | 0 | 9,734 | 9,275 | ||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
2,307,793 | 2,261,727 | 1,373,678 | 1,415,925 | ||||||||||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
0 | 400 | 2,414 | 2,150 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
60,639 | 21,235 | 18,689 | 39,165 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 23,871 | 5,047 | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
1,203,742 | 1,190,670 | 52,584 | 34,992 | ||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 701 | 6,086 | 17,057 | ||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
890,896 | 1,128,706 | 133,984 | 1,908,693 |
† | 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 in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the sub-administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.
Standard Creation/ Redemption Transaction Fee* |
Maximum Additional Variable Charge for Cash Creations** |
Maximum Additional Variable Charge for Cash Redemptions** |
||||||||
$ | 500 | 3.00 | % | 2.00 | % |
* | Applicable to in-kind contributions or redemptions only. |
** | As a percentage of the cash amount invested or received. |
128 | PIMCO ETF TRUST |
(Unaudited)
December 31, 2014
As of June 30, 2014, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
Expiration Year of Accumulated Capital Losses (amounts in thousands) | ||||||||||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | ||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 363 | 0 | 0 | |||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 129 |
Notes to Financial Statements (Cont.)
(Unaudited)
December 31, 2014
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new losses for an unlimited period. Additionally, such capital losses that are carried over retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law. As of June 30, 2014, the Funds had the following post-effective capital losses with no expiration:
Short-Term | Long-Term | |||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | ||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
41 | 143 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
4,932 | 71 | ||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,718 | 0 | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,847 | 4,082 | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
301 | 78 | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
29 | 0 | ||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Build America Bond Exchange-Traded Fund |
889 | 59 | ||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
119 | 180 | ||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1,700 | 0 | ||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
1,147 | 672 | ||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
182 | 0 | ||||||||
PIMCO Total Return Active Exchange-Traded Fund |
43,673 | 12,699 |
As of December 31, 2014, 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 |
$ | 114,067 | $ | 21 | $ | (77 | ) | $ | (56 | ) | ||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
9,199 | 33 | (48 | ) | (15 | ) | ||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
106,377 | 2,832 | 0 | 2,832 | ||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
91,109 | 6,736 | 0 | 6,736 | ||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,355,755 | 0 | (30,952 | ) | (30,952 | ) | ||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
79,330 | 955 | (2,445 | ) | (1,490 | ) | ||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
48,505 | 42 | (1,729 | ) | (1,687 | ) | ||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
2,992,349 | 10,263 | (115,622 | ) | (105,359 | ) | ||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
168,820 | 3,522 | (1,428 | ) | 2,094 | |||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
43,007 | 455 | (1,807 | ) | (1,352 | ) | ||||||||||||
PIMCO Enhanced Short Maturity Strategy Active Exchange-Traded Fund |
3,799,653 | 4,654 | (8,818 | ) | (4,164 | ) | ||||||||||||
PIMCO Foreign Currency Strategy Active Exchange-Traded Fund |
16,401 | 5 | (785 | ) | (780 | ) | ||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
176,151 | 508 | (14,814 | ) | (14,306 | ) | ||||||||||||
PIMCO Intermediate Municipal Bond Strategy Active Exchange-Traded Fund |
217,796 | 7,009 | (54 | ) | 6,955 | |||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
182,528 | 217 | (1,376 | ) | (1,159 | ) | ||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
65,085 | 352 | (92 | ) | 260 | |||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
2,453,917 | 52,344 | (34,360 | ) | 17,984 |
(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. |
130 | PIMCO ETF TRUST |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: | ||||||||||
BCY |
Barclays Capital, Inc. |
DUB |
Deutsche Bank AG |
MSC |
Morgan Stanley & Co., Inc. | |||||
BOA |
Bank of America N.A. |
FBF |
Credit Suisse International |
NAB |
National Australia Bank Ltd. | |||||
BOM |
Bank of Montreal |
FOB |
Credit Suisse Securities (USA) LLC |
RBC |
Royal Bank of Canada | |||||
BOS |
Banc of America Securities LLC |
GLM |
Goldman Sachs Bank USA |
RDR |
RBC Dain Rausher, Inc. | |||||
BPG |
BNP Paribas Securities Corp. |
GSC |
Goldman Sachs & Co. |
RYL |
Royal Bank of Scotland Group PLC | |||||
BPS |
BNP Paribas S.A. |
GST |
Goldman Sachs International |
SCX |
Standard Chartered Bank | |||||
BRC |
Barclays Bank PLC |
HUS |
HSBC Bank USA N.A. |
SOG |
Societe Generale | |||||
BSN |
Bank of Nova Scotia |
JPM |
JPMorgan Chase Bank N.A. |
SSB |
State Street Bank and Trust Co. | |||||
CBK |
Citibank N.A. |
JPS |
JPMorgan Securities, Inc. |
TDM |
TD Securities (USA) LLC | |||||
DEU |
Deutsche Bank Securities, Inc. |
MSB |
Morgan Stanley Bank, N.A |
UAG |
UBS AG Stamford | |||||
Currency Abbreviations: | ||||||||||
AUD |
Australian Dollar |
GBP |
British Pound |
MYR |
Malaysian Ringgit | |||||
BRL |
Brazilian Real |
HKD |
Hong Kong Dollar |
NOK |
Norwegian Krone | |||||
CAD |
Canadian Dollar |
IDR |
Indonesian Rupiah |
NZD |
New Zealand Dollar | |||||
CHF |
Swiss Franc |
ILS |
Israeli Shekel |
PLN |
Polish Zloty | |||||
CLP |
Chilean Peso |
INR |
Indian Rupee |
SEK |
Swedish Krona | |||||
CNY |
Chinese Renminbi (Mainland) |
JPY |
Japanese Yen |
TRY |
Turkish New Lira | |||||
COP |
Colombian Peso |
KRW |
South Korean Won |
USD (or $) |
United States Dollar | |||||
DKK |
Danish Krone |
MXN |
Mexican Peso |
ZAR |
South African Rand | |||||
EUR |
Euro |
|||||||||
Exchange Abbreviations: | ||||||||||
OTC |
Over the Counter |
|||||||||
Index Abbreviations: | ||||||||||
CDX.HY |
Credit Derivatives Index - High Yield |
CPI |
Consumer Price Index |
UKRPI |
United Kingdom Retail Price Index | |||||
CDX.IG |
Credit Derivatives Index - Investment Grade |
EXT-CPI |
Excluding Tobacco-Non-revised Consumer Price Index |
|||||||
Municipal Bond or Agency Abbreviations: | ||||||||||
AGM |
Assured Guaranty Municipal |
FGIC |
Financial Guaranty Insurance Co. |
NPFGC |
National Public Finance Guarantee Corp. | |||||
AMBAC |
American Municipal Bond Assurance Corp. |
FHA |
Federal Housing Administration |
PSF |
Public School Fund | |||||
BHAC |
Berkshire Hathaway Assurance Corporation |
|||||||||
Other Abbreviations: | ||||||||||
ALT |
Alternate Loan Trust |
FDIC |
Federal Deposit Insurance Corp. |
OIS |
Overnight Index Swap | |||||
BABs |
Build America Bonds |
JSC |
Joint Stock Company |
PIK |
Payment-in-Kind | |||||
CDI |
Brazil Interbank Deposit Rate |
LIBOR |
London Interbank Offered Rate |
REMIC |
Real Estate Mortgage Investment Conduit | |||||
CDO |
Collateralized Debt Obligation |
NCUA |
National Credit Union Administration |
TIIE |
Tasa de Interés Interbancaria de Equilibrio | |||||
CLO |
Collateralized Loan Obligation |
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 131 |
Approval of Renewal of the Investment Management Agreement
132 | PIMCO ETF TRUST |
(Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 133 |
Approval of Renewal of the Investment Management Agreement (Cont.)
134 | PIMCO ETF TRUST |
(Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2014 | 135 |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Legal Counsel
Dechert LLP
1900 K Street N.W.
Washington, D.C. 20006
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the PIMCO ETF Trust.
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