PIMCO ETF Trust
Annual Report
June 30, 2017
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Actively-Managed Exchange-Traded Funds
PIMCO Active Bond Exchange-Traded Fund
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
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Fund | Fund Summary |
Schedule of Investments |
||||||
7 | 33 | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
8 | 34 | ||||||
9 | 35 | |||||||
10 | 36 | |||||||
11 | 37 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
12 | 38 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
13 | 45 | ||||||
14 | 51 | |||||||
15 | 60 | |||||||
16 | 67 | |||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
17 | 73 | ||||||
18 | 77 |
* | Effective May 17, 2017 the Fund’s name was changed. Prior to May 17, 2017 the Fund’s name was PIMCO Total Return Active Exchange-Traded Fund. |
** | Effective May 8, 2017 the Fund’s name was changed. Prior to May 8, 2017 the Fund’s name was PIMCO Low Duration Active Exchange-Traded Fund. |
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
Dear Shareholder,
Please find enclosed the Annual Report for the PIMCO ETF Trust covering the twelve-month reporting period ended June 30, 2017. The following pages contain specific details about the investment performance of each Fund and a discussion of the factors that most affected performance over the reporting period.
Highlights of the financial markets during the twelve-month reporting period include:
∎ |
The outcome of Brexit in June 2016, whereby U.K. voters opted to leave the European Union, prompted market volatility to rise, sovereign yields to rally significantly and risk assets to generally underperform. Investor risk appetite returned later, however, as investors viewed the global economy as stable and expectations for further central bank easing helped anchor risk appetite. Improving commodity prices and fiscal stimulus in China also contributed to renewed investor confidence. |
∎ |
Leading up to the U.S. presidential election on November 8, investors generally shook off a number of political developments, including new leadership in the U.K. and Brazil, and a coup attempt in Turkey. In this environment, volatility generally remained low and risk assets rallied. Central banks were featured prominently in the headlines as monetary policy concerns (in particular, the longevity of central bank support) lingered beneath the seemingly benign market environment. In December, the Federal Reserve (“Fed”) raised its key lending rate, the Federal Funds Rate, by 0.25% to a range of 0.50% to 0.75%. Furthermore, equities moved higher (U.S. stock indices set record highs), credit spreads tightened, and emerging market (“EM”) assets continued to gain over this period. |
∎ |
Through early 2017, the robust risk sentiment that marked the post-U.S. election period broadly continued, though there were some signs of moderation towards the end of March. Early challenges in President Donald Trump’s policy agenda left some investors less optimistic about the potential for other highly anticipated agenda items such as tax reform and infrastructure spending. Still, solid fundamental data, relatively easy financial conditions, and optimism among businesses and consumers helped encourage positive investor sentiment. This environment provided an opportunity for the Fed to continue on its path towards policy normalization, and led the Fed to raise the Federal Funds Rate again in March by 0.25% to a range of 0.75% to 1.00%. |
∎ |
Geopolitics, including elections in several countries as well as political controversy in both the U.S. and Brazil, dominated headlines and contributed to brief periods of market volatility throughout the last quarter of the reporting period. The Fed raised the Federal Funds Rate once again in June by 0.25% to a range of 1.00% to 1.25%, and unveiled details of its plan to gradually unwind its balance sheet, contributing to a flattening yield curve. A perceived hawkish shift in tone from other major central banks, including the European Central Bank, the Bank of England, and the Bank of Canada, spurred most developed market yields to rise even as longer-term interest rates actually fell in the U.S. The fundamental economic backdrop remained largely intact and the broader risk rally continued as equities marched higher, credit spreads tightened, and EM assets strengthened. |
If you have any questions regarding the PIMCO ETF Trust, please contact your financial adviser, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
2 | PIMCO ETF TRUST |
Thank you again, for the trust you place in us. We are privileged to serve you through our ETF offerings.
Sincerely,
Brent R. Harris Chairman of the Board,
August 24, 2017 |
Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.
ANNUAL REPORT | JUNE 30, 2017 | 3 |
Important Information About the Funds
4 | PIMCO ETF TRUST |
ANNUAL REPORT | JUNE 30, 2017 | 5 |
Important Information About the Funds (Cont.)
The following table discloses the inception dates of each Fund along with each Fund’s diversification status as of period end:
Fund Name | Fund Inception |
Diversification Status | ||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
06/01/09 | Diversified | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
10/30/09 | Diversified | ||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
08/20/09 | Diversified | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
06/16/11 | Diversified | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
09/20/10 | Diversified | ||||||||
PIMCO Active Bond Exchange-Traded Fund |
02/29/12 | Diversified | ||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
01/22/14 | Diversified | ||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
11/16/09 | Diversified | ||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
11/30/09 | Diversified | ||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
02/01/10 | Diversified |
6 | PIMCO ETF TRUST |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol - TUZ |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 06/30/2017†§
U.S. Treasury Obligations |
99.8% | |||
Short-Term Instruments |
0.2% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (06/01/2009) |
||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) | (0.26)% | 0.50% | 0.86% | |||||||||||
PIMCO
1-3 Year U.S. Treasury Index
Exchange-Traded Fund (At Market Price)(1) |
(0.24)% | 0.51% | 0.86% | |||||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± | (0.11)% | 0.63% | 0.98% |
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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch 1-3 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Yields in the 1- to 3-year segment of the U.S. Treasury yield curve rose, negatively impacting the price return of both the Fund and the Underlying Index. Returns due to income contributed to performance for both the Fund and the Underlying Index. The net result was negative absolute performance for both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2017 | 7 |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol - ZROZ |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
U.S. Treasury Obligations |
95.0% | |||
Short-Term Instruments |
5.0% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
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) | (10.88)% | 3.19% | 9.18% | |||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | (10.92)% | 3.27% | 9.17% | |||||||||||
BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± | (10.49)% | 3.48% | 9.27% |
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.
± 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. The principal STRIPS comprising the Underlying Index must have 25 years or more remaining term to final maturity and must be stripped from U.S. Treasury bonds having at least $1 billion in outstanding face value.
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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch Long US Treasury Principal STRIPS IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve rose, negatively impacting absolute performance for both the Fund and the Underlying Index. |
8 | PIMCO ETF TRUST |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - STPZ |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
U.S. Treasury Obligations |
100.0% | |||
Short-Term Instruments |
0.0% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (08/20/2009) |
||||||||||||
PIMCO
1-5 Year U.S. TIPS Index
Exchange-Traded Fund (Based on Net Asset Value) |
0.00% | 0.11% | 1.64% | |||||||||||
PIMCO
1-5 Year U.S. TIPS Index
Exchange-Traded Fund (At Market Price)(1) |
0.02% | 0.12% | 1.64% | |||||||||||
BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± | 0.19% | 0.33% | 1.87% |
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.
± BofA Merrill Lynch 1-5 Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch 1-5 Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
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, negatively impacting performance of both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index (CPI), applied to the principal of the underlying TIPS, positively impacted performance of both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2017 | 9 |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - LTPZ |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
U.S. Treasury Obligations |
100.0% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (09/03/2009) |
||||||||||||
PIMCO 15+
Year U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) |
(2.82)% | 0.34% | 5.64% | |||||||||||
PIMCO 15+
Year U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) |
(2.74)% | 0.35% | 5.64% | |||||||||||
BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± | (2.54)% | 0.56% | 5.84% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± BofA Merrill Lynch 15+ Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value and a remaining term to final maturity greater 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch 15+ Year US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
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, negatively impacting performance of both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index (CPI), applied to the principal of the underlying TIPS, positively impacted performance of both the Fund and the Underlying Index. |
10 | PIMCO ETF TRUST |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - TIPZ |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
U.S. Treasury Obligations |
99.7% | |||
Short-Term Instruments |
0.3% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (09/03/2009) |
||||||||||||
PIMCO
Broad U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) |
(0.87)% | 0.11% | 3.49% | |||||||||||
PIMCO
Broad U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) |
(0.91)% | 0.12% | 3.48% | |||||||||||
BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± | (0.75)% | 0.30% | 3.67% |
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.
± BofA Merrill Lynch US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of U.S. Treasury Inflation Protected Securities with at least $1 billion in outstanding face value.
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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch US Inflation-Linked Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
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, negatively impacting performance of both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index (CPI), applied to the principal of the underlying TIPS, positively impacted performance of both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2017 | 11 |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol - HYS |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Corporate Bonds & Notes |
80.9% | |||
Short-Term Instruments |
19.1% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (06/16/2011) |
||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | 10.88% | 5.55% | 5.53% | |||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 10.40% | 5.42% | 5.48% | |||||||||||
BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM± | 12.01% | 6.17% | 6.09% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 0-5 Year US 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 $250 million, issued publicly. Prior to September 30, 2016, securities with minimum amount outstanding of $100 million qualified. 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch 0-5 Year US High Yield Constrained IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Yields in the short-term segment of the U.S. high yield bond market decreased, which positively impacted price returns for these securities. Coupon income also positively contributed to performance for both the Fund and the Underlying Index. The result was positive performance for both the Fund and the Underlying Index. |
12 | PIMCO ETF TRUST |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Ticker Symbol - CORP |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Industrials |
49.7% | |||
Banking & Finance |
34.4% | |||
Utilities |
12.7% | |||
Short-Term Instruments |
3.1% | |||
Sovereign Issues |
0.1% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (09/20/2010) |
||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | 2.19% | 3.99% | 4.64% | |||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 1.81% | 4.00% | 4.67% | |||||||||||
BofA Merrill Lynch US Corporate IndexSM± | 2.33% | 4.05% | 4.74% |
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.
± BofA Merrill Lynch US 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the BofA Merrill Lynch US Corporate IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in Fixed Income Instruments that are not Component Securities, but which PIMCO believes will help the Fund track its Underlying Index, as well as in cash and investment grade, liquid short-term instruments, forwards or derivatives, such as options, futures contracts or swap agreements, and shares of affiliated bond funds. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
An increase in bond yields negatively impacted price returns for both the Fund and the Underlying Index. |
» |
Returns due to income positively contributed to performance, resulting in positive performance of both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2017 | 13 |
PIMCO Active Bond Exchange-Traded Fund
Ticker Symbol - BOND |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
U.S. Government Agencies |
35.5% | |||
Corporate Bonds & Notes |
23.4% | |||
U.S. Treasury Obligations |
21.6% | |||
Asset-Backed Securities |
11.1% | |||
Non-Agency Mortgage-Backed Securities |
4.1% | |||
Municipal Bonds & Notes |
1.7% | |||
Sovereign Issues |
1.7% | |||
Short-Term Instruments |
0.9% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (02/29/2012) |
||||||||||||
PIMCO
Active Bond Exchange-Traded Fund (Based on Net Asset Value) |
2.00% | 3.49% | 4.45% | |||||||||||
PIMCO
Active Bond Exchange-Traded Fund (At Market Price)(1) |
2.16% | 3.50% | 4.46% | |||||||||||
Bloomberg Barclays U.S. Aggregate Index± | (0.31)% | 2.21% | 2.36% |
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.
± Bloomberg 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.56%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Active Bond Exchange-Traded Fund seeks current income and long-term capital appreciation, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Positions in U.S. Treasury Inflation-Protected Securities (TIPS) contributed to relative performance, as breakeven inflation rates rose. |
» |
Positions in student loans contributed to relative performance, as total returns were positive. |
» |
Overweight exposure to investment grade corporate credit risk, particularly financials, benefited relative performance, as the sector outperformed the broader market. |
» |
Short exposure to a basket of Asian emerging markets currencies detracted from relative performance, as the currencies appreciated against the U.S. dollar. |
» |
Long exposure to the Brazilian real contributed to relative performance, as the currency appreciated against the U.S. dollar. |
» |
Short exposure to the French OAT-German Bund spread detracted from relative performance, as the spread narrowed. |
14 | PIMCO ETF TRUST |
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
Ticker Symbol - LDUR |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Corporate Bonds & Notes |
44.4% | |||
U.S. Treasury Obligations |
38.4% | |||
Asset-Backed Securities |
9.0% | |||
U.S. Government Agencies |
2.6% | |||
Short-Term Instruments |
1.8% | |||
Other |
3.8% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||
1 Year | Fund Inception (01/22/2014) |
|||||||||
PIMCO
Enhanced Low Duration Active Exchange-Traded Fund (Based on Net Asset Value) |
2.54% | 2.38% | ||||||||
PIMCO
Enhanced Low Duration Active Exchange-Traded Fund (At Market Price)(1) |
2.63% | 2.43% | ||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± | (0.11)% | 0.72% |
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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Enhanced 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 80% of its net assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Exposure to investment grade corporate credit contributed to relative performance, as this sector generally posted positive excess returns. |
» |
Underweight exposure to U.S. interest rates, particularly an underweight to the front end of the yield curve, contributed to relative performance, as interest rates rose. |
» |
Positions in non-agency mortgage-backed securities (MBS) contributed to relative performance, as total returns in these securities were positive. |
» |
Holdings of short- to intermediate-term U.S. Treasury Inflation-Protected Securities (TIPS) benefited performance, as the sector generally posted positive total returns. |
» |
Overweight exposure to Australian duration detracted from relative performance, as interest rates in Australia rose. |
» |
Overweight exposure to Mexican duration detracted from relative performance, as interest rates in Mexico rose. |
ANNUAL REPORT | JUNE 30, 2017 | 15 |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
Ticker Symbol - MINT |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Corporate Bonds & Notes |
60.1% | |||
Asset-Backed Securities |
14.5% | |||
Short-Term Instruments |
12.6% | |||
Sovereign Issues |
7.1% | |||
U.S. Government Agencies |
3.4% | |||
Non-Agency Mortgage-Backed Securities |
1.6% | |||
Other |
0.7% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (11/16/2009) |
||||||||||||
PIMCO
Enhanced Short Maturity Exchange-Traded Fund (Based on Net Asset Value) |
2.05% | 1.14% | 1.24% | |||||||||||
PIMCO
Enhanced Short Maturity Exchange-Traded Fund (At Market Price)(1) |
2.01% | 1.14% | 1.23% | |||||||||||
Citi 3-Month Treasury Bill Index± | 0.46% | 0.15% | 0.13%¨ |
All Fund returns are net of fees and expenses.
¨ Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Citi 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.36%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
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 80% of its net assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The Fund primarily invests in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. Fund strategies may change from time to time. The Fund may invest, without limitation, in U.S. dollar-denominated securities and instruments of foreign issuers. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
Exposure to investment grade corporate credit contributed to relative performance, as this sector generally posted positive excess returns. |
» |
U.S. interest rate strategies contributed to performance relative to the Fund’s benchmark by, generating higher carry from yield curve roll-down. |
» |
Exposure to securitized debt benefited performance, as these securities generally posted positive excess returns. |
» |
Holdings of U.S. dollar-denominated emerging market debt benefited performance, as the sector generally posted positive excess returns. |
16 | PIMCO ETF TRUST |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - MUNI |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Municipal Bonds & Notes |
||||
Health, Hospital & Nursing Home Revenue |
16.0% | |||
Ad Valorem Property Tax |
13.2% | |||
College & University Revenue |
9.0% | |||
Highway Revenue Tolls |
8.8% | |||
Water Revenue |
8.0% | |||
Electric Power & Light Revenue |
5.0% | |||
Income Tax Revenue |
4.7% | |||
Port, Airport & Marina Revenue |
4.1% | |||
Tobacco Settlement Funded |
3.9% | |||
Natural Gas Revenue |
3.3% | |||
Miscellaneous Taxes |
3.3% | |||
Miscellaneous Revenue |
2.9% | |||
Lease (Appropriation) |
2.4% | |||
Sales Tax Revenue |
2.0% | |||
Appropriations |
2.0% | |||
Industrial Revenue |
1.7% | |||
Transit Revenue |
1.6% | |||
General Fund |
1.1% | |||
Sewer Revenue |
1.1% | |||
Economic Development Revenue |
1.0% | |||
Other |
3.8% | |||
Short-Term Instruments |
0.7% | |||
U.S. Treasury Obligations |
0.4% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (11/30/2009) |
||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Based on Net Asset Value) | (0.69)% | 2.11% | 3.17% | |||||||||||
PIMCO
Intermediate Municipal Bond Exchange-Traded Fund (At Market Price)(1) |
(0.76)% | 2.10% | 3.17% | |||||||||||
Bloomberg Barclays 1-15 Year Municipal Bond Index± | (0.15)% | 2.70% | 3.63% |
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.
± Bloomberg 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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
The Fund’s effective duration (or sensitivity to changes in market interest rates) positioning was managed below the benchmark index throughout the majority of the period, which contributed to performance as Municipal Bond yields moved higher across the curve. |
» |
Overweight exposure to the transportation sector throughout the majority of the period contributed to performance, as the segment outperformed the general municipal bond market. |
» |
Security selection within the healthcare sector detracted from performance versus the Fund’s benchmark. |
» |
Overweight exposure to the special tax sector throughout the majority of the period detracted from performance, as the segment underperformed the general municipal bond market. |
» |
Security selection within the industrial revenue sector detracted from performance versus the Fund’s benchmark. |
ANNUAL REPORT | JUNE 30, 2017 | 17 |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - SMMU |
Cumulative Returns Through June 30, 2017
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 06/30/2017†§
Municipal Bonds & Notes |
||||
Health, Hospital & Nursing Home Revenue |
14.0% | |||
Electric Power & Light Revenue |
13.0% | |||
Ad Valorem Property Tax |
10.9% | |||
Highway Revenue Tolls |
10.1% | |||
Industrial Revenue |
6.8% | |||
Miscellaneous Revenue |
5.3% | |||
College & University Revenue |
3.8% | |||
Resource Recovery Revenue |
3.7% | |||
Port, Airport & Marina Revenue |
3.6% | |||
Water Revenue |
3.4% | |||
Sales Tax Revenue |
3.2% | |||
Natural Gas Revenue |
2.7% | |||
Tobacco Settlement Funded |
2.7% | |||
Appropriations |
2.3% | |||
General Fund |
1.9% | |||
Miscellaneous Taxes |
1.8% | |||
Fuel Sales Tax Revenue |
1.7% | |||
Lease (Renewal) |
1.6% | |||
Income Tax Revenue |
1.5% | |||
Lease (Non-Terminable) |
1.2% | |||
Local or Guaranteed Housing |
1.1% | |||
Other |
1.7% | |||
Short-Term Instruments |
2.0% |
† |
% of Investments, at value. |
§ |
Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended June 30, 2017 | ||||||||||||||
1 Year | 5 Year | Fund Inception (02/01/2010) |
||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund (Based on Net Asset Value) | 0.37% | 0.73% | 1.00% | |||||||||||
PIMCO
Short Term Municipal Bond Exchange-Traded Fund (At Market Price)(1) |
0.67% | 0.70% | 0.97% | |||||||||||
Bloomberg Barclays 1 Year Municipal Bond Index± | 0.60% | 0.72% | 0.90% |
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.
± Bloomberg Barclays 1 Year Municipal Bond Index is is a rules-based, market-value-weighted index engineered for the long term tax-exempt bond market. To be included in the Index, bonds must be rated investment-grade (Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P and Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark.
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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recent month-end is available at www.pimcoetfs.com or call (888) 400-4ETF.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance during the reporting period:
» |
The Fund’s effective duration (or sensitivity to changes in market interest rates) positioning was managed above the benchmark index, which detracted from performance, as Municipal Bond yields moved higher across the curve. |
» |
Security selection within the special tax sector contributed to performance versus the Fund’s benchmark index. |
» |
Security selection within the electric utility sector contributed to performance versus the Fund’s benchmark index. |
» |
Overweight to the health care sector contributed to performance, as the segment outperformed the general municipal bond market. |
» |
Underweight exposure to the pre-refunded municipal bond sector detracted from performance, as the segment outperformed the general municipal bond market. |
18 | PIMCO ETF TRUST |
Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from January 1, 2017 to June 30, 2017 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 rows, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example For Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||||||||
Beginning Account Value (01/01/17) |
Ending Account Value (06/30/17) |
Expenses Paid During Period* |
Beginning Account Value (01/01/17) |
Ending Account Value (06/30/17) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | $ | 1,000.00 | $ | 1,003.60 | $ | 0.75 | $ | 1,000.00 | $ | 1,024.05 | $ | 0.75 | 0.15 | % | ||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | 1,000.00 | 1,085.00 | 0.78 | 1,000.00 | 1,024.05 | 0.75 | 0.15 | |||||||||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,001.30 | 0.99 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,017.60 | 1.00 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,008.80 | 1.00 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 1,000.00 | 1,039.60 | 2.78 | 1,000.00 | 1,022.07 | 2.76 | 0.55 | |||||||||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 1,000.00 | 1,038.90 | 1.01 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund | 1,000.00 | 1,028.90 | 3.22 | 1,000.00 | 1,021.62 | 3.21 | 0.64 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund | 1,000.00 | 1,014.30 | 3.80 | 1,000.00 | 1,021.03 | 3.81 | 0.76 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 1,000.00 | 1,010.40 | 1.74 | 1,000.00 | 1,023.06 | 1.76 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund | 1,000.00 | 1,029.90 | 1.76 | 1,000.00 | 1,023.06 | 1.76 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund | 1,000.00 | 1,016.80 | 1.75 | 1,000.00 | 1,023.06 | 1.76 | 0.35 |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** Net Annualized Expense Ratio is reflective of any applicable contractual fee waivers and/or expense reimbursements or voluntary fee waivers. Details regarding fee waivers, if any, can be found in Note 9, Fees and Expenses, in the Notes to Financial Statements.
ANNUAL REPORT | JUNE 30, 2017 | 19 |
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (Loss)(a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | ||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 51.26 | $ | 0.42 | $ | (0.55 | ) | $ | (0.13 | ) | $ | (0.42 | ) | $ | (0.04 | ) | $ | 0.00 | $ | (0.46 | ) | |||||||||||||||
06/30/2016 |
50.99 | 0.35 | 0.25 | 0.60 | (0.31 | ) | (0.02 | ) | 0.00 | (0.33 | ) | |||||||||||||||||||||||||
06/30/2015 |
50.94 | 0.25 | 0.11 | 0.36 | (0.25 | ) | (0.06 | ) | 0.00 | (0.31 | ) | |||||||||||||||||||||||||
06/30/2014 |
50.78 | 0.16 | 0.19 | 0.35 | (0.16 | ) | (0.03 | ) | 0.00 | (0.19 | ) | |||||||||||||||||||||||||
06/30/2013 |
50.98 | 0.17 | (0.07 | ) | 0.10 | (0.16 | ) | (0.14 | ) | 0.00 | (0.30 | ) | ||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 135.43 | $ | 3.10 | $ | (17.80 | ) | $ | (14.70 | ) | $ | (3.35 | ) | $ | 0.00 | $ | 0.00 | $ | (3.35 | ) | ||||||||||||||||
06/30/2016 |
105.39 | 3.16 | 29.17 | 32.33 | (2.29 | ) | 0.00 | 0.00 | (2.29 | ) | ||||||||||||||||||||||||||
06/30/2015 |
99.87 | 3.18 | 5.62 | 8.80 | (3.28 | ) | 0.00 | 0.00 | (3.28 | ) | ||||||||||||||||||||||||||
06/30/2014 |
94.57 | 3.26 | 5.46 | 8.72 | (3.42 | ) | 0.00 | 0.00 | (3.42 | ) | ||||||||||||||||||||||||||
06/30/2013 |
116.38 | 3.20 | (21.44 | ) | (18.24 | ) | (3.57 | ) | 0.00 | 0.00 | (3.57 | ) | ||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS
Index |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 52.83 | $ | 0.87 | $ | (0.87 | ) | $ | 0.00 | $ | (0.65 | ) | $ | 0.00 | $ | 0.00 | $ | (0.65 | ) | |||||||||||||||||
06/30/2016 |
52.18 | 0.19 | 0.71 | 0.90 | 0.00 | 0.00 | (0.25 | ) | (0.25 | ) | ||||||||||||||||||||||||||
06/30/2015 |
53.58 | (0.67 | ) | (0.54 | ) | (1.21 | ) | (0.02 | ) | 0.00 | (0.17 | ) | (0.19 | ) | ||||||||||||||||||||||
06/30/2014 |
52.69 | 0.34 | 0.86 | 1.20 | (0.31 | ) | 0.00 | 0.00 | (0.31 | ) | ||||||||||||||||||||||||||
06/30/2013 |
53.39 | 0.02 | (0.62 | ) | (0.60 | ) | (0.07 | ) | (0.03 | ) | 0.00 | (0.10 | ) | |||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS
Index |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 69.55 | $ | 1.80 | $ | (3.74 | ) | $ | (1.94 | ) | $ | (1.97 | ) | $ | 0.00 | $ | 0.00 | $ | (1.97 | ) | ||||||||||||||||
06/30/2016 |
62.95 | 1.01 | 6.02 | 7.03 | (0.43 | ) | 0.00 | 0.00 | (0.43 | ) | ||||||||||||||||||||||||||
06/30/2015 |
65.02 | 0.21 | (1.83 | ) | (1.62 | ) | (0.45 | ) | 0.00 | 0.00 | (0.45 | ) | ||||||||||||||||||||||||
06/30/2014 |
61.05 | 1.09 | 4.23 | 5.32 | (1.35 | ) | 0.00 | 0.00 | (1.35 | ) | ||||||||||||||||||||||||||
06/30/2013 |
69.22 | 0.39 | (8.19 | ) | (7.80 | ) | (0.37 | ) | 0.00 | 0.00 | (0.37 | ) | ||||||||||||||||||||||||
PIMCO Broad U.S. TIPS
Index |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 59.09 | $ | 1.10 | $ | (1.61 | ) | $ | (0.51 | ) | $ | (0.97 | ) | $ | 0.00 | $ | 0.00 | $ | (0.97 | ) | ||||||||||||||||
06/30/2016 |
56.73 | 0.54 | 2.13 | 2.67 | (0.31 | ) | 0.00 | 0.00 | (0.31 | ) | ||||||||||||||||||||||||||
06/30/2015 |
58.14 | 0.00 | (1.17 | ) | (1.17 | ) | (0.09 | ) | 0.00 | (0.15 | ) | (0.24 | ) | |||||||||||||||||||||||
06/30/2014 |
56.40 | 0.71 | 1.81 | 2.52 | (0.78 | ) | 0.00 | 0.00 | (0.78 | ) | ||||||||||||||||||||||||||
06/30/2013 |
59.93 | 0.44 | (3.66 | ) | (3.22 | ) | (0.31 | ) | (0.00 | )^ | 0.00 | (0.31 | ) | |||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 96.65 | $ | 4.60 | $ | 5.66 | $ | 10.26 | $ | (5.29 | ) | $ | 0.00 | $ | 0.00 | $ | (5.29 | ) | ||||||||||||||||||
06/30/2016 |
100.37 | 4.52 | (3.69 | ) | 0.83 | (4.55 | ) | 0.00 | 0.00 | (4.55 | ) | |||||||||||||||||||||||||
06/30/2015 |
106.76 | 4.06 | (4.96 | ) | (0.90 | ) | (4.53 | ) | (0.96 | ) | 0.00 | (5.49 | ) | |||||||||||||||||||||||
06/30/2014 |
102.54 | 4.23 | 4.83 | 9.06 | (4.59 | ) | (0.25 | ) | 0.00 | (4.84 | ) | |||||||||||||||||||||||||
06/30/2013 |
99.62 | 4.70 | 3.37 | 8.07 | (5.15 | ) | 0.00 | 0.00 | (5.15 | ) | ||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 105.72 | $ | 3.11 | $ | (0.86 | ) | $ | 2.25 | $ | (3.07 | ) | $ | 0.00 | $ | 0.00 | $ | (3.07 | ) | |||||||||||||||||
06/30/2016 |
100.50 | 3.10 | 4.91 | 8.01 | (2.75 | ) | (0.04 | ) | 0.00 | (2.79 | ) | |||||||||||||||||||||||||
06/30/2015 |
103.21 | 3.14 | (2.35 | ) | 0.79 | (3.17 | ) | (0.33 | ) | 0.00 | (3.50 | ) | ||||||||||||||||||||||||
06/30/2014 |
102.11 | 3.42 | 4.64 | 8.06 | (3.28 | ) | (3.68 | ) | 0.00 | (6.96 | ) | |||||||||||||||||||||||||
06/30/2013 |
105.46 | 3.40 | (2.29 | ) | 1.11 | (3.71 | ) | (0.75 | ) | 0.00 | (4.46 | ) | ||||||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 107.31 | $ | 2.88 | $ | (0.80 | ) | $ | 2.08 | $ | (2.48 | ) | $ | 0.00 | $ | (0.84 | ) | $ | (3.32 | ) | ||||||||||||||||
06/30/2016 |
106.69 | 3.09 | 1.31 | 4.40 | (3.78 | ) | 0.00 | 0.00 | (3.78 | ) | ||||||||||||||||||||||||||
06/30/2015 |
108.85 | 2.83 | 0.42 | 3.25 | (5.41 | ) | 0.00 | 0.00 | (5.41 | ) | ||||||||||||||||||||||||||
06/30/2014 |
105.66 | 2.38 | 2.94 | 5.32 | (1.69 | ) | (0.44 | ) | 0.00 | (2.13 | ) | |||||||||||||||||||||||||
06/30/2013 |
105.55 | 2.46 | 0.87 | 3.33 | (2.34 | ) | (0.88 | ) | 0.00 | (3.22 | ) |
20 | PIMCO ETF TRUST | See Accompanying Notes |
Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
Net Asset Value End of Year or Period |
Total Return | Net Assets End of Year or Period (000s) |
Expenses | Expenses Excluding Waivers |
Expenses Excluding Interest Expense |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income (Loss) |
Portfolio Turnover Rate(c) |
||||||||||||||||||||||||||
$ | 50.67 | (0.26 | )% | $ | 119,187 | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.82 | % | 56 | % | |||||||||||||||||
51.26 | 1.19 | 151,316 | 0.15 | 0.15 | 0.15 | 0.15 | 0.68 | 66 | ||||||||||||||||||||||||||
50.99 | 0.70 | 107,175 | 0.14 | 0.16 | 0.14 | 0.16 | 0.49 | 60 | ||||||||||||||||||||||||||
50.94 | 0.68 | 127,442 | 0.10 | 0.16 | 0.10 | 0.16 | 0.32 | 61 | ||||||||||||||||||||||||||
50.78 | 0.20 | 129,595 | 0.09 | 0.15 | 0.09 | 0.15 | 0.33 | 15 | ||||||||||||||||||||||||||
$ | 117.38 | (10.88 | )% | $ | 166,683 | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 2.53 | % | 14 | % | |||||||||||||||||
135.43 | 31.09 | 442,851 | 0.15 | 0.15 | 0.15 | 0.15 | 2.67 | 23 | ||||||||||||||||||||||||||
105.39 | 8.64 | 96,960 | 0.16 | 0.16 | 0.16 | 0.16 | 2.75 | 18 | ||||||||||||||||||||||||||
99.87 | 9.70 | 76,902 | 0.16 | 0.16 | 0.16 | 0.16 | 3.61 | 18 | ||||||||||||||||||||||||||
94.57 | (15.97 | ) | 82,276 | 0.15 | 0.15 | 0.15 | 0.15 | 2.89 | 8 | |||||||||||||||||||||||||
$ | 52.18 | 0.00 | % | $ | 1,136,011 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 1.64 | % | 38 | % | |||||||||||||||||
52.83 | 1.74 | 1,065,611 | 0.20 | 0.20 | 0.20 | 0.20 | 0.36 | 41 | ||||||||||||||||||||||||||
52.18 | (2.27 | ) | 1,182,866 | 0.20 | 0.20 | 0.20 | 0.20 | (1.28 | ) | 31 | ||||||||||||||||||||||||
53.58 | 2.28 | 1,337,875 | 0.20 | 0.20 | 0.20 | 0.20 | 0.63 | 33 | ||||||||||||||||||||||||||
52.69 | (1.13 | ) | 1,041,609 | 0.20 | 0.20 | 0.20 | 0.20 | 0.04 | 11 | |||||||||||||||||||||||||
$ | 65.64 | (2.82 | )% | $ | 148,992 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 2.66 | % | 16 | % | |||||||||||||||||
69.55 | 11.25 | 109,197 | 0.20 | 0.20 | 0.20 | 0.20 | 1.59 | 12 | ||||||||||||||||||||||||||
62.95 | (2.52 | ) | 92,539 | 0.21 | 0.21 | 0.21 | 0.21 | 0.31 | 14 | |||||||||||||||||||||||||
65.02 | 8.83 | 69,570 | 0.21 | 0.21 | 0.21 | 0.21 | 1.81 | 47 | ||||||||||||||||||||||||||
61.05 | (11.33 | ) | 105,004 | 0.20 | 0.20 | 0.20 | 0.20 | 0.56 | 16 | |||||||||||||||||||||||||
$ | 57.61 | (0.87 | )% | $ | 70,864 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 1.88 | % | 8 | % | |||||||||||||||||
59.09 | 4.73 | 90,404 | 0.20 | 0.20 | 0.20 | 0.20 | 0.96 | 10 | ||||||||||||||||||||||||||
56.73 | (2.02 | ) | 92,473 | 0.21 | 0.21 | 0.21 | 0.21 | (0.01 | ) | 23 | ||||||||||||||||||||||||
58.14 | 4.50 | 106,402 | 0.21 | 0.21 | 0.21 | 0.21 | 1.26 | 19 | ||||||||||||||||||||||||||
56.40 | (5.41 | ) | 72,186 | 0.20 | 0.20 | 0.20 | 0.20 | 0.72 | 11 | |||||||||||||||||||||||||
$ | 101.62 | 10.88 | % | $ | 1,824,151 | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 4.58 | % | 43 | % | |||||||||||||||||
96.65 | 1.04 | 2,044,168 | 0.55 | 0.55 | 0.55 | 0.55 | 4.75 | 34 | ||||||||||||||||||||||||||
100.37 | (0.82 | ) | 2,805,241 | 0.55 | 0.55 | 0.55 | 0.55 | 3.92 | 28 | |||||||||||||||||||||||||
106.76 | 8.98 | 5,119,202 | 0.55 | 0.55 | 0.55 | 0.55 | 3.98 | 28 | ||||||||||||||||||||||||||
102.54 | 8.21 | 2,307,178 | 0.55 | 0.55 | 0.55 | 0.55 | 4.52 | 33 | ||||||||||||||||||||||||||
$ | 104.90 | 2.19 | % | $ | 737,459 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 2.97 | % | 7 | % | |||||||||||||||||
105.72 | 8.14 | 447,211 | 0.20 | 0.20 | 0.20 | 0.20 | 3.05 | 13 | ||||||||||||||||||||||||||
100.50 | 0.74 | 244,203 | 0.20 | 0.20 | 0.20 | 0.20 | 3.04 | 12 | ||||||||||||||||||||||||||
103.21 | 8.24 | 199,196 | 0.20 | 0.20 | 0.20 | 0.20 | 3.36 | 17 | ||||||||||||||||||||||||||
102.11 | 0.92 | 140,916 | 0.20 | 0.20 | 0.20 | 0.20 | 3.15 | 34 | ||||||||||||||||||||||||||
$ | 106.07 | 2.00 | % | $ | 2,039,657 | 0.61 | % | 0.61 | % | 0.55 | % | 0.55 | % | 2.70 | % | 569 | % | |||||||||||||||||
107.31 | 4.25 | 2,594,821 | 0.56 | 0.58 | 0.55 | 0.57 | 2.92 | 475 | ||||||||||||||||||||||||||
106.69 | 3.01 | 2,489,072 | 0.57 | 0.63 | 0.55 | 0.61 | 2.60 | 180 | ||||||||||||||||||||||||||
108.85 | 5.10 | 3,431,844 | 0.56 | 0.57 | 0.55 | 0.56 | 2.24 | 577 | ||||||||||||||||||||||||||
105.66 | 3.11 | 4,398,592 | 0.55 | 0.55 | 0.55 | 0.55 | 2.26 | 449 |
ANNUAL REPORT | JUNE 30, 2017 | 21 |
Financial Highlights (Cont.)
Investment Operations | Less Distributions(b) | |||||||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (Loss)(a) |
Net Realized/ Unrealized Gain (Loss) |
Total | From Net Investment Income |
From Net Realized Capital Gains |
Tax Basis Return of Capital |
Total | ||||||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 100.23 | $ | 2.17 | $ | 0.35 | $ | 2.52 | $ | (1.73 | ) | $ | 0.00 | $ | 0.00 | $ | (1.73 | ) | ||||||||||||||||||
06/30/2016 |
101.62 | 1.97 | (0.24 | ) | 1.73 | (2.30 | ) | (0.82 | ) | 0.00 | (3.12 | ) | ||||||||||||||||||||||||
06/30/2015 |
101.27 | 1.32 | 1.05 | 2.37 | (1.77 | ) | (0.25 | ) | 0.00 | (2.02 | ) | |||||||||||||||||||||||||
01/22/2014 - 06/30/2014 |
100.00 | 0.30 | 1.22 | 1.52 | (0.25 | ) | 0.00 | 0.00 | (0.25 | ) | ||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 101.14 | $ | 1.45 | $ | 0.61 | $ | 2.06 | $ | (1.46 | ) | $ | 0.00 | $ | 0.00 | $ | (1.46 | ) | ||||||||||||||||||
06/30/2016 |
101.15 | 1.05 | (0.02 | ) | 1.03 | (1.02 | ) | (0.02 | ) | 0.00 | (1.04 | ) | ||||||||||||||||||||||||
06/30/2015 |
101.45 | 0.62 | (0.09 | ) | 0.53 | (0.74 | ) | (0.09 | ) | 0.00 | (0.83 | ) | ||||||||||||||||||||||||
06/30/2014 |
101.26 | 0.67 | 0.36 | 1.03 | (0.69 | ) | (0.15 | ) | 0.00 | (0.84 | ) | |||||||||||||||||||||||||
06/30/2013 |
101.08 | 0.88 | 0.22 | 1.10 | (0.92 | ) | 0.00 | 0.00 | (0.92 | ) | ||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 55.11 | $ | 1.25 | $ | (1.64 | ) | $ | (0.39 | ) | $ | (1.24 | ) | $ | 0.00 | $ | 0.00 | $ | (1.24 | ) | ||||||||||||||||
06/30/2016 |
52.84 | 1.25 | 2.15 | 3.40 | (1.13 | ) | 0.00 | 0.00 | (1.13 | ) | ||||||||||||||||||||||||||
06/30/2015 |
53.17 | 1.12 | (0.34 | ) | 0.78 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||||||
06/30/2014 |
52.06 | 1.05 | 1.13 | 2.18 | (1.07 | ) | 0.00 | 0.00 | (1.07 | ) | ||||||||||||||||||||||||||
06/30/2013 |
53.70 | 1.23 | (1.60 | ) | (0.37 | ) | (1.20 | ) | (0.07 | ) | 0.00 | (1.27 | ) | |||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
06/30/2017 |
$ | 50.65 | $ | 0.60 | $ | (0.41 | ) | $ | 0.19 | $ | (0.59 | ) | $ | 0.00 | $ | 0.00 | $ | (0.59 | ) | |||||||||||||||||
06/30/2016 |
50.24 | 0.48 | 0.36 | 0.84 | (0.43 | ) | 0.00 | 0.00 | (0.43 | ) | ||||||||||||||||||||||||||
06/30/2015 |
50.47 | 0.38 | (0.19 | ) | 0.19 | (0.42 | ) | 0.00 | 0.00 | (0.42 | ) | |||||||||||||||||||||||||
06/30/2014 |
50.14 | 0.26 | 0.29 | 0.55 | (0.22 | ) | 0.00 | 0.00 | (0.22 | ) | ||||||||||||||||||||||||||
06/30/2013 |
50.54 | 0.40 | (0.33 | ) | 0.07 | (0.47 | ) | (0.00 | )^ | 0.00 | (0.47 | ) |
* | Annualized |
^ | Reflects an amount rounding to less than one cent. |
(a) |
Per share amounts based on average number of shares outstanding during the year or period. |
(b) |
The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
(c) |
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions. |
(d) |
Effective May 8, 2017, the Fund’s management fee was decreased by 0.09% to an annual rate of 0.46%. |
22 | PIMCO ETF TRUST | See Accompanying Notes |
Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
Net Asset Value End of Year or Period |
Total Return | Net Assets End of Year or Period (000s) |
Expenses | Expenses Excluding Waivers |
Expenses Excluding Interest Expense |
Expenses Excluding Interest Expense and Waivers |
Net Investment Income (Loss) |
Portfolio Turnover Rate(c) |
||||||||||||||||||||||||||
$ | 101.02 | 2.54 | % | $ | 93,947 | 0.67 | %(d) | 0.74 | %(d) | 0.47 | %(d) | 0.54 | %(d) | 2.15 | % | 651 | % | |||||||||||||||||
100.23 | 1.75 | 58,134 | 0.57 | 0.64 | 0.55 | 0.56 | 1.96 | 2,288 | ||||||||||||||||||||||||||
101.62 | 2.37 | 175,808 | 0.52 | 0.57 | 0.50 | 0.55 | 1.30 | 1,591 | ||||||||||||||||||||||||||
101.27 | 1.52 | 139,750 | 0.56 | * | 0.69 | * | 0.56 | * | 0.69 | * | 0.69 | * | 4,098 | |||||||||||||||||||||
$ | 101.74 | 2.05 | % | $ | 7,195,945 | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 1.43 | % | 82 | % | |||||||||||||||||
101.14 | 1.03 | 4,647,542 | 0.36 | 0.36 | 0.35 | 0.35 | 1.04 | 208 | ||||||||||||||||||||||||||
101.15 | 0.53 | 3,536,050 | 0.36 | 0.36 | 0.35 | 0.35 | 0.61 | 193 | ||||||||||||||||||||||||||
101.45 | 1.02 | 3,773,896 | 0.35 | 0.35 | 0.35 | 0.35 | 0.66 | 188 | ||||||||||||||||||||||||||
101.26 | 1.09 | 3,752,615 | 0.35 | 0.35 | 0.35 | 0.35 | 0.87 | 100 | ||||||||||||||||||||||||||
$ | 53.48 | (0.69 | )% | $ | 259,917 | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 2.33 | % | 30 | % | |||||||||||||||||
55.11 | 6.52 | 254,045 | 0.35 | 0.35 | 0.35 | 0.35 | 2.32 | 23 | ||||||||||||||||||||||||||
52.84 | 1.45 | 227,728 | 0.35 | 0.35 | 0.35 | 0.35 | 2.09 | 13 | ||||||||||||||||||||||||||
53.17 | 4.23 | 210,548 | 0.35 | 0.35 | 0.35 | 0.35 | 2.01 | 15 | ||||||||||||||||||||||||||
52.06 | (0.76 | ) | 187,931 | 0.35 | 0.35 | 0.35 | 0.35 | 2.26 | 35 | |||||||||||||||||||||||||
$ | 50.25 | 0.37 | % | $ | 65,826 | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 1.20 | % | 80 | % | |||||||||||||||||
50.65 | 1.67 | 68,881 | 0.35 | 0.35 | 0.35 | 0.35 | 0.95 | 36 | ||||||||||||||||||||||||||
50.24 | 0.37 | 55,765 | 0.35 | 0.35 | 0.35 | 0.35 | 0.76 | 20 | ||||||||||||||||||||||||||
50.47 | 1.10 | 76,211 | 0.35 | 0.35 | 0.35 | 0.35 | 0.51 | 44 | ||||||||||||||||||||||||||
50.14 | 0.14 | 60,671 | 0.35 | 0.35 | 0.35 | 0.35 | 0.79 | 42 |
ANNUAL REPORT | JUNE 30, 2017 | 23 |
Statements of Assets and Liabilities
(Amounts in thousands†, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
||||||||||||
Assets: |
||||||||||||||||
Investments, at value |
||||||||||||||||
Investments in securities*^ |
$ | 117,938 | $ | 174,530 | $ | 1,129,369 | $ | 147,725 | ||||||||
Investments in Affiliates |
0 | 0 | 0 | 0 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | ||||||||||||
Over the counter |
0 | 0 | 0 | 0 | ||||||||||||
Cash |
0 | 0 | 0 | 16 | ||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | ||||||||||||
Foreign currency, at value |
0 | 0 | 0 | 0 | ||||||||||||
Receivable for investments sold |
6,350 | 0 | 3,480 | 4,600 | ||||||||||||
Receivable for investments sold on a delayed-delivery basis |
0 | 0 | 0 | 0 | ||||||||||||
Receivable for TBA investments sold |
0 | 0 | 0 | 0 | ||||||||||||
Receivable for Fund shares sold |
0 | 0 | 0 | 0 | ||||||||||||
Interest and/or dividends receivable |
541 | 0 | 3,370 | 645 | ||||||||||||
Other assets |
0 | 0 | 0 | 0 | ||||||||||||
Total Assets |
124,829 | 174,530 | 1,136,219 | 152,986 | ||||||||||||
Liabilities: |
||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||
Payable for reverse repurchase agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 0 | ||||||||||||
Payable for short sales |
0 | 0 | 0 | 0 | ||||||||||||
Financial Derivative Instruments |
||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | ||||||||||||
Over the counter |
0 | 0 | 0 | 0 | ||||||||||||
Payable for investments purchased |
5,624 | 7,821 | 0 | 3,965 | ||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 0 | ||||||||||||
Payable upon return of securities loaned |
0 | 0 | 0 | 0 | ||||||||||||
Deposits from counterparty |
0 | 0 | 0 | 0 | ||||||||||||
Overdraft due to custodian |
0 | 1 | 0 | 0 | ||||||||||||
Accrued management fees |
16 | 23 | 199 | 27 | ||||||||||||
Accrued reimbursement to PIMCO |
2 | 1 | 0 | 1 | ||||||||||||
Other liabilities |
0 | 1 | 9 | 1 | ||||||||||||
Total Liabilities |
5,642 | 7,847 | 208 | 3,994 | ||||||||||||
Net Assets |
$ | 119,187 | $ | 166,683 | $ | 1,136,011 | $ | 148,992 | ||||||||
Paid in capital |
119,688 | 201,763 | 1,155,421 | 164,722 | ||||||||||||
Undistributed (overdistributed) net investment income |
84 | 1,188 | 2,601 | 944 | ||||||||||||
Accumulated undistributed net realized gain (loss) |
(94 | ) | (22,189 | ) | (14,425 | ) | (11,963 | ) | ||||||||
Net unrealized appreciation (depreciation) |
(491 | ) | (14,079 | ) | (7,586 | ) | (4,711 | ) | ||||||||
Net Assets |
$ | 119,187 | $ | 166,683 | $ | 1,136,011 | $ | 148,992 | ||||||||
Shares Issued and Outstanding |
2,352 | 1,420 | 21,770 | 2,270 | ||||||||||||
Net Asset Value Per Share Outstanding: |
$ | 50.67 | $ | 117.38 | $ | 52.18 | $ | 65.64 | ||||||||
Cost of investments in securities |
$ | 118,429 | $ | 188,609 | $ | 1,136,955 | $ | 152,436 | ||||||||
Cost of investments in Affiliates |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Cost of foreign currency held |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Proceeds received on short sales |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Cost or premiums of financial derivative instruments, net |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
* Includes repurchase agreements of: |
$ | 178 | $ | 8,720 | $ | 417 | $ | 0 | ||||||||
^ Includes securities on loan of: |
$ | 0 | $ | 0 | $ | 0 | $ | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
24 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
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 Active Bond Exchange- Traded Fund |
PIMCO Enhanced Low Duration Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
|||||||||||||||||||||||
$ | 69,748 | $ | 1,974,740 | $ | 734,873 | $ | 2,657,036 | $ | 141,509 | $ | 7,259,845 | $ | 257,162 | $ | 67,146 | |||||||||||||||
0 | 45,886 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 350 | 12 | 149 | 35 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 7,985 | 100 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 83 | 6,032 | 0 | 97 | |||||||||||||||||||||||
0 | 10,646 | 1,142 | 1,722 | 881 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 190 | 20 | 0 | 0 | 0 | |||||||||||||||||||||||
986 | 21,245 | 1,412 | 4,828 | 0 | 545 | 0 | 0 | |||||||||||||||||||||||
0 | 585 | 0 | 10,368 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 567,814 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 5,304 | 0 | 42,727 | 0 | 0 | |||||||||||||||||||||||
342 | 26,091 | 7,336 | 13,603 | 806 | 32,535 | 2,837 | 481 | |||||||||||||||||||||||
0 | 3,000 | 0 | 2 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
71,076 | 2,082,543 | 744,775 | 3,269,001 | 143,434 | 7,341,684 | 259,999 | 67,724 | |||||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 73,245 | $ | 39,403 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
0 | 0 | 0 | 484,101 | 4,990 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 122,130 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 119 | 0 | 2 | 9 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 16,687 | 205 | 0 | 0 | 0 | |||||||||||||||||||||||
198 | 208,450 | 7,183 | 32,334 | 4,847 | 143,510 | 0 | 1,877 | |||||||||||||||||||||||
0 | 0 | 0 | 494,952 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 48,886 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 4,893 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 35 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
12 | 885 | 128 | 982 | 31 | 2,175 | 80 | 20 | |||||||||||||||||||||||
1 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | |||||||||||||||||||||||
1 | 17 | 5 | 18 | 1 | 54 | 2 | 1 | |||||||||||||||||||||||
212 | 258,392 | 7,316 | 1,229,344 | 49,487 | 145,739 | 82 | 1,898 | |||||||||||||||||||||||
$ | 70,864 | $ | 1,824,151 | $ | 737,459 | $ | 2,039,657 | $ | 93,947 | $ | 7,195,945 | $ | 259,917 | $ | 65,826 | |||||||||||||||
73,510 | 1,942,515 | 723,995 | 2,062,692 | 95,465 | 7,161,558 | 255,588 | 65,995 | |||||||||||||||||||||||
190 | 5,459 | 1,988 | 7,723 | 333 | 10,918 | 565 | 40 | |||||||||||||||||||||||
(930 | ) | (134,450 | ) | (702 | ) | (30,550 | ) | (2,419 | ) | (2,203 | ) | (4,088 | ) | (600 | ) | |||||||||||||||
(1,906 | ) | 10,627 | 12,178 | (208 | ) | 568 | 25,672 | 7,852 | 391 | |||||||||||||||||||||
$ | 70,864 | $ | 1,824,151 | $ | 737,459 | $ | 2,039,657 | $ | 93,947 | $ | 7,195,945 | $ | 259,917 | $ | 65,826 | |||||||||||||||
1,230 | 17,950 | 7,030 | 19,230 | 930 | 70,730 | 4,860 | 1,310 | |||||||||||||||||||||||
$ | 57.61 | $ | 101.62 | $ | 104.90 | $ | 106.07 | $ | 101.02 | $ | 101.74 | $ | 53.48 | $ | 50.25 | |||||||||||||||
$ | 71,654 | $ | 1,971,242 | $ | 722,846 | $ | 2,651,585 | $ | 140,915 | $ | 7,234,173 | $ | 249,310 | $ | 66,755 | |||||||||||||||
$ | 0 | $ | 45,886 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 186 | $ | 20 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 122,524 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | (2,344 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
$ | 212 | $ | 339,141 | $ | 22,670 | $ | 1,404 | $ | 1,152 | $ | 24,200 | $ | 1,143 | $ | 0 | |||||||||||||||
$ | 0 | $ | 47,908 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
ANNUAL REPORT | JUNE 30, 2017 | 25 |
Year Ended June 30, 2017 | ||||||||||||||||
(Amounts in thousands†) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
||||||||||||
Investment Income: |
||||||||||||||||
Interest, net of foreign taxes* |
$ | 1,282 | $ | 5,562 | $ | 20,278 | $ | 3,347 | ||||||||
Dividends from Investments in Affiliates |
0 | 0 | 0 | 0 | ||||||||||||
Securities lending income |
0 | 0 | 0 | 0 | ||||||||||||
Total Income |
1,282 | 5,562 | 20,278 | 3,347 | ||||||||||||
Expenses: |
||||||||||||||||
Management fees |
198 | 313 | 2,194 | 234 | ||||||||||||
Trustee fees |
6 | 9 | 47 | 5 | ||||||||||||
Interest expense |
0 | 1 | 0 | 0 | ||||||||||||
Miscellaneous expense |
7 | 10 | 0 | 6 | ||||||||||||
Total Expenses |
211 | 333 | 2,241 | 245 | ||||||||||||
Waiver and/or Reimbursement by PIMCO |
(6 | ) | (9 | ) | 0 | (5 | ) | |||||||||
Net Expenses |
205 | 324 | 2,241 | 240 | ||||||||||||
Net Investment Income (Loss) |
1,077 | 5,238 | 18,037 | 3,107 | ||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||
Investments in securities |
(63 | ) | (3,772 | ) | (1,054 | ) | (1,173 | ) | ||||||||
In-kind redemptions |
108 | 28,734 | 1,516 | 1,497 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | ||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | ||||||||||||
Short sales |
0 | 0 | 0 | 0 | ||||||||||||
Foreign currency |
0 | 0 | 0 | 0 | ||||||||||||
Net Realized Gain (Loss) |
45 | 24,962 | 462 | 324 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||
Investments in securities |
(1,384 | ) | (42,256 | ) | (18,307 | ) | (5,512 | ) | ||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | ||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | ||||||||||||
Short sales |
0 | 0 | 0 | 0 | ||||||||||||
Foreign currency assets and liabilities |
0 | 0 | 0 | 0 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(1,384 | ) | (42,256 | ) | (18,307 | ) | (5,512 | ) | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (262 | ) | $ | (12,056 | ) | $ | 192 | $ | (2,081 | ) | |||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 0 | $ | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
26 | PIMCO ETF TRUST | See Accompanying Notes |
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 Active Bond Exchange- Traded Fund |
PIMCO Enhanced Low Duration Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
|||||||||||||||||||||||
$ | 1,583 | $ | 100,688 | $ | 19,111 | $ | 75,671 | $ | 2,176 | $ | 101,835 | $ | 7,006 | $ | 1,051 | |||||||||||||||
0 | 244 | 0 | 0 | 0 | 5 | 0 | 0 | |||||||||||||||||||||||
0 | 859 | 1 | 0 | 0 | 5 | 0 | 0 | |||||||||||||||||||||||
1,583 | 101,791 | 19,112 | 75,671 | 2,176 | 101,845 | 7,006 | 1,051 | |||||||||||||||||||||||
152 | 10,899 | 1,204 | 12,559 | 411 | 19,985 | 915 | 237 | |||||||||||||||||||||||
3 | 88 | 22 | 103 | 3 | 222 | 11 | 3 | |||||||||||||||||||||||
0 | 0 | 0 | 1,461 | 156 | 239 | 0 | 0 | |||||||||||||||||||||||
4 | 0 | 0 | 5 | 4 | 0 | 0 | 0 | |||||||||||||||||||||||
159 | 10,987 | 1,226 | 14,128 | 574 | 20,446 | 926 | 240 | |||||||||||||||||||||||
(3 | ) | 0 | 0 | (104 | ) | (51 | ) | 0 | 0 | 0 | ||||||||||||||||||||
156 | 10,987 | 1,226 | 14,024 | 523 | 20,446 | 926 | 240 | |||||||||||||||||||||||
1,427 | 90,804 | 17,886 | 61,647 | 1,653 | 81,399 | 6,080 | 811 | |||||||||||||||||||||||
(27 | ) | (12,932 | ) | 279 | (12,888 | ) | 854 | 6,176 | (2,191 | ) | (384 | ) | ||||||||||||||||||
1,211 | 31,265 | (1,333 | ) | 0 | 0 | 122 | 0 | 0 | ||||||||||||||||||||||
0 | 19,886 | 464 | (14,989 | ) | (914 | ) | 0 | 0 | 0 | |||||||||||||||||||||
0 | 35 | 2 | 8,052 | 71 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 4 | (7 | ) | 0 | 0 | 0 | ||||||||||||||||||||||
0 | 0 | 0 | (6,341 | ) | 6 | 0 | 0 | 0 | ||||||||||||||||||||||
1,184 | 38,254 | (588 | ) | (26,162 | ) | 10 | 6,298 | (2,191 | ) | (384 | ) | |||||||||||||||||||
(2,677 | ) | 72,493 | (2,910 | ) | (68,528 | ) | 46 | 26,398 | (5,467 | ) | (249 | ) | ||||||||||||||||||
0 | 2,532 | 137 | 54,922 | 381 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 13,517 | (208 | ) | 0 | 0 | 0 | ||||||||||||||||||||||
0 | 0 | 0 | 395 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 59 | (3 | ) | 0 | 0 | 0 | ||||||||||||||||||||||
(2,677 | ) | 75,025 | (2,773 | ) | 365 | 216 | 26,398 | (5,467 | ) | (249 | ) | |||||||||||||||||||
$ | (66 | ) | $ | 204,083 | $ | 14,525 | $ | 35,850 | $ | 1,879 | $ | 114,095 | $ | (1,578 | ) | $ | 178 | |||||||||||||
$ | 0 | $ | 1 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
ANNUAL REPORT | JUNE 30, 2017 | 27 |
Statements of Changes in Net Assets
PIMCO |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
|||||||||||||||
(Amounts in thousands†) | Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year
Ended June 30, 2017 |
Year
Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 1,077 | $ | 872 | $ | 5,238 | $ | 5,361 | ||||||||
Net realized gain (loss) |
45 | 147 | 24,962 | 2,619 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
(1,384 | ) | 712 | (42,256 | ) | 43,834 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(262 | ) | 1,731 | (12,056 | ) | 51,814 | ||||||||||
Distributions to Shareholders: |
||||||||||||||||
From net investment income |
(1,065 | ) | (773 | ) | (5,636 | ) | (3,812 | ) | ||||||||
From net realized capital gains |
(71 | ) | (50 | ) | 0 | 0 | ||||||||||
Tax basis return of capital |
0 | 0 | 0 | 0 | ||||||||||||
Total Distributions(a) |
(1,136 | ) | (823 | ) | (5,636 | ) | (3,812 | ) | ||||||||
Fund Share Transactions: |
||||||||||||||||
Receipts for shares sold |
50,723 | 86,563 | 84,145 | 436,758 | ||||||||||||
Cost of shares redeemed |
(81,454 | ) | (43,330 | ) | (342,621 | ) | (138,869 | ) | ||||||||
Net increase (decrease) resulting from Fund share transactions |
(30,731 | ) | 43,233 | (258,476 | ) | 297,889 | ||||||||||
Total Increase (Decrease) in Net Assets |
(32,129 | ) | 44,141 | (276,168 | ) | 345,891 | ||||||||||
Net Assets: |
||||||||||||||||
Beginning of year |
151,316 | 107,175 | 442,851 | 96,960 | ||||||||||||
End of year* |
$ | 119,187 | $ | 151,316 | $ | 166,683 | $ | 442,851 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 84 | $ | 72 | $ | 1,188 | $ | 1,586 | ||||||||
Shares of Beneficial Interest: |
||||||||||||||||
Shares sold |
1,000 | 1,700 | 750 | 3,550 | ||||||||||||
Shares redeemed |
(1,600 | ) | (850 | ) | (2,600 | ) | (1,200 | ) | ||||||||
Net increase (decrease) in shares outstanding |
(600 | ) | 850 | (1,850 | ) | 2,350 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) |
The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
28 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
PIMCO |
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 |
||||||||||||||||||||||||||||||||||
Year
Ended June 30, 2017 |
Year
Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year
Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
|||||||||||||||||||||||||||||
$ | 18,037 | $ | 3,945 | $ | 3,107 | $ | 1,642 | $ | 1,427 | $ | 730 | $ | 90,804 | $ | 99,510 | $ | 17,886 | $ | 9,106 | |||||||||||||||||||
462 | (5,579 | ) | 324 | 2,963 | 1,184 | (70 | ) | 38,254 | (140,449 | ) | (588 | ) | (647 | ) | ||||||||||||||||||||||||
(18,307 | ) | 18,812 | (5,512 | ) | 8,366 | (2,677 | ) | 3,363 | 75,025 | 24,501 | (2,773 | ) | 19,501 | |||||||||||||||||||||||||
192 | 17,178 | (2,081 | ) | 12,971 | (66 | ) | 4,023 | 204,083 | (16,438 | ) | 14,525 | 27,960 | ||||||||||||||||||||||||||
(13,498 | ) | 0 | (3,191 | ) | (638 | ) | (1,369 | ) | (397 | ) | (105,587 | ) | (99,652 | ) | (17,186 | ) | (7,997 | ) | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (97 | ) | ||||||||||||||||||||||||||||
0 | (5,648 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
(13,498 | ) | (5,648 | ) | (3,191 | ) | (638 | ) | (1,369 | ) | (397 | ) | (105,587 | ) | (99,652 | ) | (17,186 | ) | (8,094 | ) | |||||||||||||||||||
220,618 | 88,364 | 69,647 | 139,711 | 32,134 | 34,038 | 983,067 | 588,513 | 364,630 | 253,220 | |||||||||||||||||||||||||||||
(136,912 | ) | (217,149 | ) | (24,580 | ) | (135,386 | ) | (50,239 | ) | (39,733 | ) | (1,301,580 | ) | (1,233,496 | ) | (71,721 | ) | (70,078 | ) | |||||||||||||||||||
83,706 | (128,785 | ) | 45,067 | 4,325 | (18,105 | ) | (5,695 | ) | (318,513 | ) | (644,983 | ) | 292,909 | 183,142 | ||||||||||||||||||||||||
70,400 | (117,255 | ) | 39,795 | 16,658 | (19,540 | ) | (2,069 | ) | (220,017 | ) | (761,073 | ) | 290,248 | 203,008 | ||||||||||||||||||||||||
1,065,611 | 1,182,866 | 109,197 | 92,539 | 90,404 | 92,473 | 2,044,168 | 2,805,241 | 447,211 | 244,203 | |||||||||||||||||||||||||||||
$ | 1,136,011 | $ | 1,065,611 | $ | 148,992 | $ | 109,197 | $ | 70,864 | $ | 90,404 | $ | 1,824,151 | $ | 2,044,168 | $ | 737,459 | $ | 447,211 | |||||||||||||||||||
$ | 2,601 | $ | (2,435 | ) | $ | 944 | $ | 1,028 | $ | 190 | $ | 107 | $ | 5,459 | $ | 8,062 | $ | 1,988 | $ | 1,065 | ||||||||||||||||||
4,200 | 1,700 | 1,050 | 2,200 | 550 | 600 | 9,850 | 6,250 | 3,500 | 2,500 | |||||||||||||||||||||||||||||
(2,600 | ) | (4,200 | ) | (350 | ) | (2,100 | ) | (850 | ) | (700 | ) | (13,050 | ) | (13,050 | ) | (700 | ) | (700 | ) | |||||||||||||||||||
1,600 | (2,500 | ) | 700 | 100 | (300 | ) | (100 | ) | (3,200 | ) | (6,800 | ) | 2,800 | 1,800 |
ANNUAL REPORT | JUNE 30, 2017 | 29 |
Statements of Changes in Net Assets (Cont.)
PIMCO Active Bond Exchange-Traded Fund |
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
|||||||||||||||
(Amounts in thousands†) | Year
Ended June 30, 2017 |
Year
Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year
Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 61,647 | $ | 75,862 | $ | 1,653 | $ | 2,322 | ||||||||
Net realized gain (loss) |
(26,162 | ) | 33,619 | 10 | (1,598 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
365 | (1,363 | ) | 216 | 175 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
35,850 | 108,118 | 1,879 | 899 | ||||||||||||
Distributions to Shareholders: |
||||||||||||||||
From net investment income |
(53,716 | ) | (93,619 | ) | (1,285 | ) | (2,867 | ) | ||||||||
From net realized capital gains |
0 | 0 | 0 | (1,051 | ) | |||||||||||
Tax basis return of capital |
(17,981 | ) | 0 | 0 | 0 | |||||||||||
Total Distributions(a) |
(71,697 | ) | (93,619 | ) | (1,285 | ) | (3,918 | ) | ||||||||
Fund Share Transactions: |
||||||||||||||||
Receipts for shares sold |
133,005 | 529,851 | 35,219 | 15,098 | ||||||||||||
Cost of shares redeemed |
(652,322 | ) | (438,601 | ) | 0 | (129,753 | ) | |||||||||
Net increase (decrease) resulting from Fund share transactions |
(519,317 | ) | 91,250 | 35,219 | (114,655 | ) | ||||||||||
Total Increase (Decrease) in Net Assets |
(555,164 | ) | 105,749 | 35,813 | (117,674 | ) | ||||||||||
Net Assets: |
||||||||||||||||
Beginning of year |
2,594,821 | 2,489,072 | 58,134 | 175,808 | ||||||||||||
End of year* |
$ | 2,039,657 | $ | 2,594,821 | $ | 93,947 | $ | 58,134 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 7,723 | $ | 9,705 | $ | 333 | $ | (218 | ) | |||||||
Shares of Beneficial Interest: |
||||||||||||||||
Shares sold |
1,250 | 5,000 | 350 | 150 | ||||||||||||
Shares redeemed |
(6,200 | ) | (4,150 | ) | 0 | (1,300 | ) | |||||||||
Net increase (decrease) in shares outstanding |
(4,950 | ) | 850 | 350 | (1,150 | ) |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) |
The tax characterization of distributions is determined in accordance with federal income tax regulations. See Note 2, Dividends and Distributions to Shareholders, in the Notes to Financial Statements for more information. |
30 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||
Year
Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
Year Ended June 30, 2017 |
Year Ended June 30, 2016 |
|||||||||||||||||
$ | 81,399 | $ | 43,357 | $ | 6,080 | $ | 5,554 | $ | 811 | $ | 584 | |||||||||||
6,298 | (822 | ) | (2,191 | ) | (65 | ) | (384 | ) | 0 | |||||||||||||
26,398 | 642 | (5,467 | ) | 9,681 | (249 | ) | 418 | |||||||||||||||
114,095 | 43,177 | (1,578 | ) | 15,170 | 178 | 1,002 | ||||||||||||||||
(80,300 | ) | (42,103 | ) | (5,984 | ) | (5,050 | ) | (784 | ) | (518 | ) | |||||||||||
0 | (825 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
(80,300 | ) | (42,928 | ) | (5,984 | ) | (5,050 | ) | (784 | ) | (518 | ) | |||||||||||
3,131,507 | 2,437,791 | 39,807 | 29,643 | 5,032 | 15,148 | |||||||||||||||||
(616,899 | ) | (1,326,548 | ) | (26,373 | ) | (13,446 | ) | (7,481 | ) | (2,516 | ) | |||||||||||
2,514,608 | 1,111,243 | 13,434 | 16,197 | (2,449 | ) | 12,632 | ||||||||||||||||
2,548,403 | 1,111,492 | 5,872 | 26,317 | (3,055 | ) | 13,116 | ||||||||||||||||
4,647,542 | 3,536,050 | 254,045 | 227,728 | 68,881 | 55,765 | |||||||||||||||||
$ | 7,195,945 | $ | 4,647,542 | $ | 259,917 | $ | 254,045 | $ | 65,826 | $ | 68,881 | |||||||||||
$ | 10,918 | $ | 6,225 | $ | 565 | $ | 468 | $ | 40 | $ | 14 | |||||||||||
30,870 | 24,150 | 750 | 550 | 100 | 300 | |||||||||||||||||
(6,090 | ) | (13,160 | ) | (500 | ) | (250 | ) | (150 | ) | (50 | ) | |||||||||||
24,780 | 10,990 | 250 | 300 | (50 | ) | 250 |
ANNUAL REPORT | JUNE 30, 2017 | 31 |
Year Ended June 30, 2017 | ||||
(Amounts in thousands) | PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
|||
Cash Flows Provided by (Used for) Operating Activities: |
||||
Net increase (decrease) in net assets resulting from operations |
$ | 1,879 | ||
Adjustments to Reconcile Net Increase (Decrease) in Net Assets from Operations to Net Cash Provided by (Used for) Operating Activities: |
||||
Purchases of long-term securities |
(679,141 | ) | ||
Proceeds from sales of long-term securities |
600,229 | |||
(Purchases) Proceeds from sales of short-term portfolio investments, net |
(1,077 | ) | ||
(Increase) decrease in deposits with counterparty |
(431 | ) | ||
(Increase) decrease in receivable for investments sold |
18,332 | |||
(Increase) decrease in interest and/or dividends receivable |
(407 | ) | ||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
(564 | ) | ||
Proceeds from (Payments on) over the counter financial derivative instruments |
52 | |||
Increase (decrease) in payable for investments purchased |
(13,890 | ) | ||
Increase (decrease) in deposits from counterparty |
(530 | ) | ||
Increase (decrease) in accrued management fees |
8 | |||
Increase (Decrease) in reimbursement receivable from PIMCO |
(1 | ) | ||
Proceeds from (Payments on) short sales transactions, net |
(7 | ) | ||
Proceeds from (Payments on) foreign currency transactions |
3 | |||
Increase (decrease) in other liabilities |
(11 | ) | ||
Net Realized (Gain) Loss |
||||
Investments in securities |
(854 | ) | ||
Exchange-traded or centrally cleared financial derivative instruments |
914 | |||
Over the counter financial derivative instruments |
(71 | ) | ||
Short sales |
7 | |||
Foreign currency |
(6 | ) | ||
Net Change in Unrealized (Appreciation) Depreciation |
||||
Investments in securities |
(46 | ) | ||
Exchange-traded or centrally cleared financial derivative instruments |
(381 | ) | ||
Over the counter financial derivative instruments |
208 | |||
Foreign currency assets and liabilities |
3 | |||
Net amortization (accretion) on investments |
603 | |||
Net Cash Provided by (Used for) Operating Activities |
(75,179 | ) | ||
Cash Flows Received from (Used for) Financing Activities: |
||||
Proceeds from shares sold |
35,219 | |||
Cash distributions paid |
(1,285 | ) | ||
Proceeds from reverse repurchase agreements |
866,374 | |||
Payments on reverse repurchase agreements |
(828,550 | ) | ||
Proceeds from sale-buyback transactions |
1,395,073 | |||
Payments on sale-buyback transactions |
(1,391,649 | ) | ||
Net Cash Received from (Used for) Financing Activities |
75,182 | |||
Net Increase (Decrease) in Cash and Foreign Currency |
3 | |||
Cash and Foreign Currency: |
||||
Beginning of year |
100 | |||
End of year |
$ | 103 | ||
Supplemental Disclosure of Cash Flow Information: |
||||
Interest expense paid during the year |
$ | 151 |
A Statement of Cash Flows is presented when the Fund had a significant amount of borrowing during the year, based on the average total borrowing outstanding in relation to total assets or when substantially all of the Fund’s investments were not classified as Level 1 or 2 in the fair value hierarchy.
32 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 178 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (183 | ) | $ | 178 | $ | 178 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (183 | ) | $ | 178 | $ | 178 | |||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 178 | $ | 0 | $ | 0 | $ | 0 | $ | 178 | $ | (183 | ) | $ | (5 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 178 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2017 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 117,760 | $ | 0 | $ | 117,760 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 178 | 0 | 178 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 117,938 | $ | 0 | $ | 117,938 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 33 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 8,720 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (8,897 | ) | $ | 8,720 | $ | 8,720 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (8,897 | ) | $ | 8,720 | $ | 8,720 | |||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 8,720 | $ | 0 | $ | 0 | $ | 0 | $ | 8,720 | $ | (8,897 | ) | $ | (177 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 8,720 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2017 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 165,810 | $ | 0 | $ | 165,810 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 8,720 | 0 | 8,720 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 174,530 | $ | 0 | $ | 174,530 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
34 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 417 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (427 | ) | $ | 417 | $ | 417 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (427 | ) | $ | 417 | $ | 417 | |||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 417 | $ | 0 | $ | 0 | $ | 0 | $ | 417 | $ | (427 | ) | $ | (10 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 417 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2017 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 1,128,952 | $ | 0 | $ | 1,128,952 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 417 | 0 | 417 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 1,129,369 | $ | 0 | $ | 1,129,369 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 35 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2017
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 June 30, 2017 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2017 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 147,725 | $ | 0 | $ | 147,725 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
36 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 212 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (219 | ) | $ | 212 | $ | 212 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (219 | ) | $ | 212 | $ | 212 | |||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 212 | $ | 0 | $ | 0 | $ | 0 | $ | 212 | $ | (219 | ) | $ | (7 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 212 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2017 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 69,536 | $ | 0 | $ | 69,536 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 212 | 0 | 212 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 69,748 | $ | 0 | $ | 69,748 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 37 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
38 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 39 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
40 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | When-issued security. |
(b) | Payment in-kind security. |
(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 $47,908 were out on loan in exchange for $48,886 of cash collateral as of June 30, 2017. See Note 5, Securities Lending, in the Notes to Financial Statements for more information regarding securities on loan and cash collateral. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BOS | 1.200 | % | 07/03/2017 | 07/05/2017 | $ | 153,300 | U.S. Treasury Bonds 3.625% due 08/15/2043 | $ | (158,212 | ) | $ | 153,300 | $ | 153,310 | ||||||||||||||||
1.330 | 06/30/2017 | 07/03/2017 | 150,000 | U.S. Treasury Bonds 3.625% due 02/15/2044 | (154,300 | ) | 150,000 | 150,017 | ||||||||||||||||||||||
MBC | 1.400 | 06/30/2017 | 07/03/2017 | 28,200 | U.S. Treasury Floating Rate Note 1.080% due 07/31/2017 |
(29,113 | ) | 28,200 | 28,203 | |||||||||||||||||||||
SSB | 0.050 | 06/30/2017 | 07/03/2017 | 7,641 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | (7,793 | ) | 7,641 | 7,641 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (349,418 | ) | $ | 339,141 | $ | 339,171 | |||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
BOS |
$ | 303,327 | $ | 0 | $ | 0 | $ | 0 | $ | 303,327 | $ | (312,512 | ) | $ | (9,185 | ) | ||||||||||||
MBC |
28,203 | 0 | 0 | 0 | 28,203 | (29,113 | ) | (910 | ) | |||||||||||||||||||
SSB |
7,641 | 0 | 0 | 0 | 7,641 | (7,793 | ) | (152 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 41 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Master Securities Lending Agreement |
| |||||||||||||||||||||||||||
BCY |
$ | 0 | $ | 0 | $ | 0 | $ | 35,788 | $ | 35,788 | $ | (36,504 | ) | $ | (716 | ) | ||||||||||||
DEU |
0 | 0 | 0 | 3,121 | 3,121 | (3,188 | ) | (67 | ) | |||||||||||||||||||
FOB |
0 | 0 | 0 | 1,303 | 1,303 | (1,329 | ) | (26 | ) | |||||||||||||||||||
JPM |
0 | 0 | 0 | 2,301 | 2,301 | (2,347 | ) | (46 | ) | |||||||||||||||||||
RDR |
0 | 0 | 0 | 2,799 | 2,799 | (2,872 | ) | (73 | ) | |||||||||||||||||||
SAL |
0 | 0 | 0 | 2,596 | 2,596 | (2,647 | ) | (51 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 339,171 | $ | 0 | $ | 0 | $ | 47,908 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Securities Lending Transactions(4) |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 48,886 | $ | 0 | $ | 0 | $ | 0 | $ | 48,886 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 48,886 | $ | 0 | $ | 0 | $ | 0 | $ | 48,886 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and securities lending transactions |
|
$ | 48,886 | |||||||||||||||||
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(4) |
Includes cash collateral as described in Note 5, Securities Lending, in the Notes to Financial Statements. |
The average amount of borrowings outstanding during the period ended June 30, 2017 was $(2,858) at a weighted average interest rate of (3.137)%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
Description | Expiration Month |
# of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
U.S. Treasury 5-Year Note September Futures |
09/2017 | 695 | $ | 81,896 | $ | (186 | ) | $ | 0 | $ | (119 | ) | ||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | (186 | ) | $ | 0 | $ | (119 | ) | |||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(3) |
Variation Margin | |||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
CDX.HY-26 5-Year Index |
5.000% | 06/20/2021 | $ | 151,272 | $ | 5,632 | $ | 6,424 | $ | 12,056 | $ | 224 | $ | 0 | ||||||||||||||||||
CDX.HY-27 5-Year Index |
5.000 | 12/20/2021 | 58,707 | 3,612 | 891 | 4,503 | 126 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 9,244 | $ | 7,315 | $ | 16,559 | $ | 350 | $ | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | 9,244 | $ | 7,315 | $ | 16,559 | $ | 350 | $ | 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 June 30, 2017:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total | Market Value | Variation
Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 350 | $ | 350 | $ | 0 | $ | (119) | $ | 0 | $ | (119) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
Cash of $10,646 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2017. See Note 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) |
The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2017:
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 | $ | 350 | $ | 0 | $ | 0 | $ | 0 | $ | 350 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 119 | $ | 119 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2017:
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 | $ | (591 | ) | $ | (591 | ) | ||||||||||
Swap Agreements |
0 | 20,492 | 0 | 0 | (15 | ) | 20,477 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 20,492 | $ | 0 | $ | 0 | $ | (606 | ) | $ | 19,886 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 35 | $ | 0 | $ | 0 | $ | 0 | $ | 35 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 20,527 | $ | 0 | $ | 0 | $ | (606 | ) | $ | 19,921 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,298 | ) | $ | (1,298 | ) | ||||||||||
Swap Agreements |
0 | 3,830 | 0 | 0 | 0 | 3,830 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,830 | $ | 0 | $ | 0 | $ | (1,298 | ) | $ | 2,532 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 43 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
June 30, 2017
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
44 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 45 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
46 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 47 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index 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. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
JPS | 1.400 | % | 06/30/2017 | 07/03/2017 | $ | 22,100 | U.S. Treasury Notes 0.875% - 1.250% due 05/31/2018 - 10/31/2021 | $ | (22,556 | ) | $ | 22,100 | $ | 22,103 | ||||||||||||||||
SSB | 0.050 | 06/30/2017 | 07/03/2017 | 570 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | (585 | ) | 570 | 570 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (23,141 | ) | $ | 22,670 | $ | 22,673 | ||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
JPS |
$ | 22,103 | $ | 0 | $ | 0 | $ | 0 | $ | 22,103 | $ | (22,556 | ) | $ | (453 | ) | ||||||||||||
SSB |
570 | 0 | 0 | 0 | 570 | (585 | ) | (15 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 22,673 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
48 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
The average amount of borrowings outstanding during the period ended June 30, 2017 was $(184) at a weighted average interest rate of (1.000)%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.
(c) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(2) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(3) |
Variation Margin | |||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
CDX.IG-26 5-Year Index |
1.000 | % | 06/20/2021 | $ | 6,800 | $ | 73 | $ | 76 | $ | 149 | $ | 3 | $ | 0 | |||||||||||||||||
CDX.IG-27 5-Year Index |
1.000 | 12/20/2021 | 8,300 | 114 | 59 | 173 | 4 | 0 | ||||||||||||||||||||||||
CDX.IG-28 5-Year Index |
1.000 | 06/20/2022 | 11,000 | 191 | 16 | 207 | 5 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 378 | $ | 151 | $ | 529 | $ | 12 | $ | 0 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
|
$ | 378 | $ | 151 | $ | 529 | $ | 12 | $ | 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 June 30, 2017:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total |
Market Value | Variation Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 12 | $ | 12 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $1,142 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2017. See Note 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) |
The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2017:
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 | $ | 12 | $ | 0 | $ | 0 | $ | 0 | $ | 12 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 49 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
June 30, 2017
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2017:
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 | $ | 465 | $ | 0 | $ | 0 | $ | (1 | ) | $ | 464 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
| |||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 0 | $ | 2 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 467 | $ | 0 | $ | 0 | $ | (1 | ) | $ | 466 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 137 | $ | 0 | $ | 0 | $ | 0 | $ | 137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
50 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Active Bond Exchange-Traded Fund
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 51 |
Schedule of Investments PIMCO Active Bond Exchange-Traded Fund (Cont.)
52 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
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) | Interest only security. |
(b) | Principal only security. |
(c) | When-issued security. |
(d) | Coupon represents a weighted average yield to maturity. |
(e) | Zero coupon security. |
(f) | Coupon represents a yield to maturity. |
(g) | Principal amount of security is adjusted for inflation. |
(h) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(i) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 1,404 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (1,434 | ) | $ | 1,404 | $ | 1,404 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (1,434 | ) | $ | 1,404 | $ | 1,404 | ||||||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 53 |
Schedule of Investments PIMCO Active Bond Exchange-Traded Fund (Cont.)
REVERSE REPURCHASE AGREEMENTS:
Counterparty |
Borrowing Rate(3) |
Settlement Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Reverse Repurchase Agreements |
|||||||||||||||
BOS |
1.000 | % | 06/29/2017 | 07/06/2017 | $ | (2,642 | ) | $ | (2,643 | ) | ||||||||||
1.300 | 06/08/2017 | 07/10/2017 | (21,321 | ) | (21,340 | ) | ||||||||||||||
BSN |
1.000 | 06/20/2017 | 07/10/2017 | (43,477 | ) | (43,493 | ) | |||||||||||||
SGY |
1.000 | 06/30/2017 | 07/07/2017 | (3,544 | ) | (3,544 | ) | |||||||||||||
1.040 | 06/29/2017 | 07/13/2017 | (2,225 | ) | (2,225 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (73,245 | ) | ||||||||||||||||
|
|
SALE-BUYBACK TRANSACTIONS:
Counterparty |
Borrowing Rate(3) |
Borrowing Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Sale-Buyback Transactions(4) |
|||||||||||||||
GSC |
1.050 | % | 06/13/2017 | 07/13/2017 | $ | (72,944 | ) | $ | (72,987 | ) | ||||||||||
1.100 | 06/22/2017 | 07/06/2017 | (5,005 | ) | (5,007 | ) | ||||||||||||||
1.200 | 06/07/2017 | 07/07/2017 | (62,625 | ) | (62,679 | ) | ||||||||||||||
TDM |
1.200 | 06/06/2017 | 07/06/2017 | (9,668 | ) | (9,677 | ) | |||||||||||||
UBS |
1.200 | 06/07/2017 | 08/07/2017 | (285,153 | ) | (285,400 | ) | |||||||||||||
1.220 | 06/08/2017 | 08/08/2017 | (48,310 | ) | (48,351 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Sale-Buyback Transactions |
|
$ | (484,101 | ) | ||||||||||||||||
|
|
SHORT SALES:
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable
for Short Sales |
|||||||||||||||
U.S. Government Agencies (6.0)% |
| |||||||||||||||||||
Fannie Mae, TBA |
3.500 | % | 07/01/2047 | $ | 110,000 | $ | (61,878 | ) | $ | (61,611 | ) | |||||||||
Fannie Mae, TBA |
3.500 | 08/01/2047 | 14,000 | (14,372 | ) | (14,351 | ) | |||||||||||||
Fannie Mae, TBA |
4.000 | 08/01/2047 | 44,000 | (46,274 | ) | (46,168 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||
Total Short Sales (6.0)% |
|
$ | (122,524 | ) | $ | (122,130 | ) | |||||||||||||
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(5) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
BOS |
$ | 0 | $ | (23,983 | ) | $ | 0 | $ | 0 | $ | (23,983 | ) | $ | 23,822 | $ | (161 | ) | |||||||||||
BSN |
0 | (43,493 | ) | 0 | 0 | (43,493 | ) | 42,957 | (536 | ) | ||||||||||||||||||
SGY |
0 | (5,769 | ) | 0 | 0 | (5,769 | ) | 5,738 | (31 | ) | ||||||||||||||||||
SSB |
1,404 | 0 | 0 | 0 | 1,404 | (1,434 | ) | (30 | ) | |||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||
GSC |
0 | 0 | (140,673 | ) | 0 | (140,673 | ) | 139,527 | (1,146 | ) | ||||||||||||||||||
TDM |
0 | 0 | (9,677 | ) | 0 | (9,677 | ) | 9,467 | (210 | ) | ||||||||||||||||||
UBS |
0 | 0 | (333,751 | ) | 0 | (333,751 | ) | 332,146 | (1,605 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,404 | $ | (73,245 | ) | $ | (484,101 | ) | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
|
|
54 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
||||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | (73,245 | ) | $ | 0 | $ | 0 | $ | (73,245 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (73,245 | ) | $ | 0 | $ | 0 | $ | (73,245 | ) | ||||||||
Sale-Buyback Transactions |
||||||||||||||||||||
U.S. Treasury Obligations |
0 | (150,350 | ) | (333,751 | ) | 0 | (484,101 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (150,350 | ) | $ | (333,751 | ) | $ | 0 | $ | (484,101 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (223,595 | ) | $ | (333,751 | ) | $ | 0 | $ | (557,346 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (557,346 | ) | ||||||||||||||||
|
|
(j) | Securities with an aggregate market value of $553,850 have been pledged as collateral under the terms of the above master agreements as of June 30, 2017. |
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(3) |
The average amount of borrowings outstanding during the period ended June 30, 2017 was $(161,348) at a weighted average interest rate of 0.789%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
(4) |
Payable for sale-buyback transactions includes $(423) of deferred price drop. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(k) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity |
Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at June 30, 2017(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC |
5.000% | 06/20/2022 | 1.325 | % | $ | 14,000 | $ | 2,370 | $ | 54 | $ | 2,424 | $ | 3 | $ | 0 | ||||||||||||||||||
General Motors Co. |
5.000 | 06/20/2022 | 1.420 | 6,000 | 988 | 24 | 1,012 | 2 | 0 | |||||||||||||||||||||||||
Goldman Sachs Group, Inc. |
1.000 | 09/20/2020 | 0.438 | 8,200 | 131 | 17 | 148 | 2 | 0 | |||||||||||||||||||||||||
Goldman Sachs Group, Inc. |
1.000 | 06/20/2022 | 0.658 | 6,500 | 77 | 31 | 108 | 5 | 0 | |||||||||||||||||||||||||
JPMorgan Chase & Co. |
1.000 | 06/20/2022 | 0.469 | 12,000 | 268 | 39 | 307 | 0 | 0 | |||||||||||||||||||||||||
MetLife, Inc. |
1.000 | 06/20/2021 | 0.414 | 3,100 | 51 | 20 | 71 | 1 | 0 | |||||||||||||||||||||||||
MetLife, Inc. |
1.000 | 12/20/2021 | 0.512 | 8,100 | 106 | 67 | 173 | 0 | (2 | ) | ||||||||||||||||||||||||
Navient Corp. |
5.000 | 06/20/2022 | 2.914 | 6,000 | 392 | 179 | 571 | 21 | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 4,383 | $ | 431 | $ | 4,814 | $ | 34 | $ | (2 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Fixed
Receive Rate |
Maturity Date |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(4) |
Variation Margin | ||||||||||||||||||||||||
Index/Tranches | Asset | Liability | ||||||||||||||||||||||||||||
CDX.HY-28 5-Year Index |
5.000% | 06/20/2022 | $ | 50,000 | $ | 3,681 | $ | (148 | ) | $ | 3,533 | $ | 115 | $ | 0 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Swap Agreements |
|
$ | 8,064 | $ | 283 | $ | 8,347 | $ | 149 | $ | (2 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2017:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total | Market Value | Variation
Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 149 | $ | 149 | $ | 0 | $ | 0 | $ | (2) | $ | (2) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(l) | Securities with an aggregate market value of $17,885 and cash of $213 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2017. See Note 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 55 |
Schedule of Investments PIMCO Active Bond Exchange-Traded Fund (Cont.)
(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
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 indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(m) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
07/2017 | $ | 218 | CAD | 293 | $ | 8 | $ | 0 | |||||||||||||||
BOA |
07/2017 | DKK | 785 | $ | 113 | 0 | (7 | ) | ||||||||||||||||
07/2017 | EUR | 94,825 | 106,583 | 0 | (1,721 | ) | ||||||||||||||||||
07/2017 | $ | 768 | DKK | 5,238 | 37 | 0 | ||||||||||||||||||
07/2018 | DKK | 30,000 | $ | 4,444 | 0 | (264 | ) | |||||||||||||||||
BPS |
07/2017 | GBP | 84,362 | 108,591 | 0 | (1,286 | ) | |||||||||||||||||
07/2017 | $ | 1,081 | JPY | 118,200 | 0 | (30 | ) | |||||||||||||||||
10/2017 | BRL | 132,300 | $ | 36,339 | 0 | (2,885 | ) | |||||||||||||||||
10/2017 | $ | 46,823 | BRL | 152,300 | 0 | (1,669 | ) | |||||||||||||||||
01/2018 | 73,565 | 242,800 | 0 | (2,611 | ) | |||||||||||||||||||
BRC |
10/2017 | 14,419 | DKK | 97,970 | 704 | 0 | ||||||||||||||||||
01/2018 | 9,532 | 64,400 | 463 | 0 | ||||||||||||||||||||
DUB |
01/2018 | BRL | 200 | $ | 53 | 0 | (6 | ) | ||||||||||||||||
FBF |
07/2017 | CNH | 612 | 89 | 0 | (2 | ) | |||||||||||||||||
07/2017 | $ | 59,287 | EUR | 52,304 | 452 | 0 | ||||||||||||||||||
07/2017 | 108 | INR | 7,113 | 2 | 0 | |||||||||||||||||||
08/2017 | EUR | 52,304 | $ | 59,374 | 0 | (450 | ) | |||||||||||||||||
GLM |
07/2017 | CAD | 293 | 217 | 0 | (9 | ) | |||||||||||||||||
07/2017 | JPY | 118,200 | 1,068 | 17 | 0 | |||||||||||||||||||
07/2017 | $ | 27,891 | EUR | 24,920 | 571 | 0 | ||||||||||||||||||
07/2017 | 2,864 | GBP | 2,263 | 83 | 0 | |||||||||||||||||||
01/2018 | DKK | 33,615 | $ | 4,925 | 0 | (293 | ) | |||||||||||||||||
04/2018 | 189,925 | 27,733 | 0 | (1,906 | ) | |||||||||||||||||||
HUS |
10/2017 | 97,970 | 15,003 | 0 | (121 | ) | ||||||||||||||||||
01/2018 | BRL | 68,000 | 20,016 | 144 | 0 | |||||||||||||||||||
04/2018 | 69,200 | 20,507 | 564 | 0 | ||||||||||||||||||||
04/2018 | $ | 28,269 | DKK | 189,925 | 1,370 | 0 | ||||||||||||||||||
07/2018 | 4,491 | 30,000 | 216 | 0 | ||||||||||||||||||||
IND |
07/2017 | 90 | CNH | 612 | 0 | 0 | ||||||||||||||||||
JPM |
07/2017 | INR | 7,113 | $ | 110 | 0 | 0 | |||||||||||||||||
07/2017 | NZD | 669 | 473 | 0 | (17 | ) | ||||||||||||||||||
07/2017 | $ | 481 | NZD | 669 | 10 | 0 | ||||||||||||||||||
10/2017 | BRL | 20,000 | $ | 5,656 | 0 | (273 | ) | |||||||||||||||||
10/2017 | IDR | 31,162,616 | 2,308 | 0 | (5 | ) | ||||||||||||||||||
10/2017 | $ | 300 | IDR | 4,069,376 | 2 | 0 | ||||||||||||||||||
01/2018 | BRL | 174,600 | $ | 52,217 | 1,429 | (235 | ) | |||||||||||||||||
04/2018 | $ | 20,650 | BRL | 69,200 | 0 | (706 | ) | |||||||||||||||||
MSB |
01/2018 | DKK | 30,785 | $ | 4,562 | 0 | (216 | ) | ||||||||||||||||
SCX |
07/2017 | $ | 32,513 | GBP | 25,246 | 369 | 0 | |||||||||||||||||
10/2017 | 2,002 | IDR | 27,093,240 | 8 | 0 | |||||||||||||||||||
SOG |
07/2017 | DKK | 4,453 | $ | 676 | 0 | (8 | ) | ||||||||||||||||
UAG |
07/2017 | $ | 19,798 | EUR | 17,601 | 305 | 0 | |||||||||||||||||
07/2017 | 72,863 | GBP | 56,853 | 1,185 | 0 | |||||||||||||||||||
08/2017 | GBP | 56,853 | $ | 72,928 | 0 | (1,186 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 7,939 | $ | (15,906 | ) | |||||||||||||||||||
|
|
|
|
56 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
WRITTEN OPTIONS:
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED JUNE 30, 2017:
Balance
at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance at End of Period |
|||||||||||||||||||||||||||||||||||||
# of Contracts |
420 | 5,702 | (1,067 | ) | (3,546 | ) | (1,509 | ) | 0 | |||||||||||||||||||||||||||||||||
Notional Amount in $ |
$ | 334,400 | $ | 916,800 | $ | (237,700 | ) | $ | (790,200 | ) | $ | (223,300 | ) | $ | 0 | |||||||||||||||||||||||||||
Notional Amount in AUD |
AUD | 52,000 | AUD | 127,300 | AUD | 0 | AUD | (149,500 | ) | AUD | (29,800 | ) | AUD | 0 | ||||||||||||||||||||||||||||
Notional Amount in EUR |
EUR | 46,500 | EUR | 10,000 | EUR | (26,400 | ) | EUR | (30,100 | ) | EUR | 0 | EUR | 0 | ||||||||||||||||||||||||||||
Notional Amount in GBP |
GBP | 17,200 | GBP | 44,700 | GBP | (14,100 | ) | GBP | (35,000 | ) | GBP | (12,800 | ) | GBP | 0 | |||||||||||||||||||||||||||
Premiums |
$ | (4,725 | ) | $ | (8,044 | ) | $ | 3,764 | $ | 6,720 | $ | 2,285 | $ | 0 |
As of June 30, 2017, there were no open written options.
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at June 30, 2017(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||
BOA |
Colombia Government International Bond |
1.000% | 06/20/2022 | 1.359 | % | $ 10,000 | $ | (104 | ) | $ | (60 | ) | $ | 0 | $ | (164 | ) | |||||||||||||||
CBK |
Petroleos Mexicanos |
1.000 | 06/20/2022 | 2.147 | 5,000 | (252 | ) | (9 | ) | 0 | (261 | ) | ||||||||||||||||||||
GST |
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 2.229 | 6,300 | (1,348 | ) | 1,112 | 0 | (236 | ) | |||||||||||||||||||||
Springleaf Finance Corp. | 5.000 | 06/20/2022 | 2.972 | 500 | 43 | 3 | 46 | 0 | ||||||||||||||||||||||||
JPM |
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 2.229 | 3,200 | (683 | ) | 563 | 0 | (120 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | (2,344 | ) | $ | 1,609 | $ | 46 | $ | (781 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (2,344 | ) | $ | 1,609 | $ | 46 | $ | (781 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2017:
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 Pledged/ (Received) |
Net Exposure(4) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 8 | $ | 0 | $ | 0 | $ | 8 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 8 | $ | 0 | $ | 8 | ||||||||||||||||||||||||||
BOA |
37 | 0 | 0 | 37 | (1,992 | ) | 0 | (164 | ) | (2,156 | ) | (2,119 | ) | 2,302 | 183 | |||||||||||||||||||||||||||||||||
BPS |
0 | 0 | 0 | 0 | (8,481 | ) | 0 | 0 | (8,481 | ) | (8,481 | ) | 8,190 | (291 | ) | |||||||||||||||||||||||||||||||||
BRC |
1,167 | 0 | 0 | 1,167 | 0 | 0 | 0 | 0 | 1,167 | (1,050 | ) | 117 | ||||||||||||||||||||||||||||||||||||
CBK |
0 | 0 | 0 | 0 | 0 | 0 | (261 | ) | (261 | ) | (261 | ) | 265 | 4 | ||||||||||||||||||||||||||||||||||
DUB |
0 | 0 | 0 | 0 | (6 | ) | 0 | 0 | (6 | ) | (6 | ) | 251 | 245 | ||||||||||||||||||||||||||||||||||
FBF |
454 | 0 | 0 | 454 | (452 | ) | 0 | 0 | (452 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
GLM |
671 | 0 | 0 | 671 | (2,208 | ) | 0 | 0 | (2,208 | ) | (1,537 | ) | 1,609 | 72 | ||||||||||||||||||||||||||||||||||
GST |
0 | 0 | 46 | 46 | 0 | 0 | (236 | ) | (236 | ) | (190 | ) | 332 | 142 | ||||||||||||||||||||||||||||||||||
HUS |
2,294 | 0 | 0 | 2,294 | (121 | ) | 0 | 0 | (121 | ) | 2,173 | (1,860 | ) | 313 | ||||||||||||||||||||||||||||||||||
JPM |
1,441 | 0 | 0 | 1,441 | (1,236 | ) | 0 | (120 | ) | (1,356 | ) | 85 | 0 | 85 | ||||||||||||||||||||||||||||||||||
MSB |
0 | 0 | 0 | 0 | (216 | ) | 0 | 0 | (216 | ) | (216 | ) | 0 | (216 | ) | |||||||||||||||||||||||||||||||||
SCX |
377 | 0 | 0 | 377 | 0 | 0 | 0 | 0 | 377 | (280 | ) | 97 | ||||||||||||||||||||||||||||||||||||
SOG |
0 | 0 | 0 | 0 | (8 | ) | 0 | 0 | (8 | ) | (8 | ) | 0 | (8 | ) | |||||||||||||||||||||||||||||||||
UAG |
1,490 | 0 | 0 | 1,490 | (1,186 | ) | 0 | 0 | (1,186 | ) | 304 | (350 | ) | (46 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 7,939 | $ | 0 | $ | 46 | $ | 7,985 | $ | (15,906 | ) | $ | 0 | $ | (781 | ) | $ | (16,687 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(n) | Securities with an aggregate market value of $12,948 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2017. |
(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
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 indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(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 | ANNUAL REPORT | JUNE 30, 2017 | 57 |
Schedule of Investments PIMCO Active Bond Exchange-Traded Fund (Cont.)
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2017:
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 | $ | 149 | $ | 0 | $ | 0 | $ | 0 | $ | 149 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 7,939 | $ | 0 | $ | 7,939 | ||||||||||||
Swap Agreements |
0 | 46 | 0 | 0 | 0 | 46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 46 | $ | 0 | $ | 7,939 | $ | 0 | $ | 7,985 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 195 | $ | 0 | $ | 7,939 | $ | 0 | $ | 8,134 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 0 | $ | 2 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 15,906 | $ | 0 | $ | 15,906 | ||||||||||||
Swap Agreements |
0 | 781 | 0 | 0 | 0 | 781 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 781 | $ | 0 | $ | 15,906 | $ | 0 | $ | 16,687 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 783 | $ | 0 | $ | 15,906 | $ | 0 | $ | 16,689 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2017:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (281 | ) | $ | (281 | ) | ||||||||||
Written Options |
0 | 0 | 0 | 0 | 1,014 | 1,014 | ||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (20,349 | ) | (20,349 | ) | ||||||||||||||||
Swap Agreements |
0 | 1,817 | 0 | 0 | 2,810 | 4,627 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 1,817 | $ | 0 | $ | 0 | $ | (16,806 | ) | $ | (14,989 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (5,891 | ) | $ | 0 | $ | (5,891 | ) | ||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (2,590 | ) | (2,590 | ) | ||||||||||||||||
Written Options |
0 | 36 | 0 | 5,037 | 3,656 | 8,729 | ||||||||||||||||||
Swap Agreements |
0 | 7,549 | 0 | 90 | 165 | 7,804 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 7,585 | $ | 0 | $ | (764 | ) | $ | 1,231 | $ | 8,052 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 9,402 | $ | 0 | $ | (764 | ) | $ | (15,575 | ) | $ | (6,937 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 13 | $ | 13 | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | (21 | ) | (21 | ) | ||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (3,223 | ) | (3,223 | ) | ||||||||||||||||
Swap Agreements |
0 | 283 | 0 | 0 | 57,870 | 58,153 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 283 | $ | 0 | $ | 0 | $ | 54,639 | $ | 54,922 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 15,852 | $ | 0 | $ | 15,852 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 1,844 | 1,844 | ||||||||||||||||||
Written Options |
0 | (28 | ) | 0 | (712 | ) | (1,593 | ) | (2,333 | ) | ||||||||||||||
Swap Agreements |
0 | (1,873 | ) | 0 | (82 | ) | 109 | (1,846 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (1,901 | ) | $ | 0 | $ | 15,058 | $ | 360 | $ | 13,517 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (1,618 | ) | $ | 0 | $ | 15,058 | $ | 54,999 | $ | 68,439 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
58 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 59 |
Schedule of Investments PIMCO Enhanced Low Duration Active Exchange-Traded Fund
60 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 61 |
Schedule of Investments PIMCO Enhanced 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) | When-issued security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Zero coupon security. |
(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) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 1,152 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (1,179 | ) | $ | 1,152 | $ | 1,152 | ||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (1,179 | ) | $ | 1,152 | $ | 1,152 | ||||||||||||||||||||||
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) |
Settlement Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Reverse Repurchase Agreements |
|||||||||||||||
BOS | 1.130 | % | 06/26/2017 | 08/31/2017 | $ | (22,366 | ) | $ | (22,371 | ) | ||||||||||
SCX | 1.020 | 06/29/2017 | 07/06/2017 | (8,950 | ) | (8,951 | ) | |||||||||||||
SGY | 1.450 | 06/30/2017 | 07/03/2017 | (8,080 | ) | (8,081 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (39,403 | ) | ||||||||||||||||
|
|
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(3) |
Borrowing Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Sale-Buyback Transactions |
|||||||||||||||
BCY | 1.500 | % | 06/28/2017 | 07/05/2017 | $ | (4,989 | ) | $ | (4,990 | ) | ||||||||||
|
|
|||||||||||||||||||
Total Sale-Buyback Transactions |
|
$ | (4,990 | ) | ||||||||||||||||
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(4) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
BOS |
$ | 0 | $ | (22,371 | ) | $ | 0 | $ | 0 | $ | (22,371 | ) | $ | 22,246 | $ | (125 | ) | |||||||||||
SCX |
0 | (8,951 | ) | 0 | 0 | (8,951 | ) | 8,936 | (15 | ) | ||||||||||||||||||
SGY |
0 | (8,081 | ) | 0 | 0 | (8,081 | ) | 8,064 | (17 | ) | ||||||||||||||||||
SSB |
1,152 | 0 | 0 | 0 | 1,152 | (1,179 | ) | (27 | ) | |||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||
BCY |
0 | 0 | (4,990 | ) | 0 | (4,990 | ) | 4,972 | (18 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,152 | $ | (39,403 | ) | $ | (4,990 | ) | ||||||||||||||||||||
|
|
62 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
U.S. Treasury Obligation |
$ | 0 | $ | (17,032 | ) | $ | (22,371 | ) | $ | 0 | $ | (39,403 | ) | |||||||
|
|
|||||||||||||||||||
Total |
$ | 0 | $ | (17,032 | ) | $ | (22,371 | ) | $ | 0 | $ | (39,403 | ) | |||||||
Sale-Buyback Transactions |
||||||||||||||||||||
U.S. Treasury Obligations |
0 | (4,990 | ) | 0 | 0 | (4,990 | ) | |||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 0 | $ | (4,990 | ) | $ | 0 | $ | 0 | $ | (4,990 | ) | ||||||||
|
|
|||||||||||||||||||
Total Borrowings |
$ | 0 | $ | (22,022 | ) | $ | (22,371 | ) | $ | 0 | $ | (44,393 | ) | |||||||
|
|
|||||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (44,393 | ) | ||||||||||||||||
|
|
(g) | Securities with an aggregate market value of $44,217 have been pledged as collateral under the terms of the above master agreements as of June 30, 2017. |
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(3) |
The average amount of borrowings outstanding during the period ended June 30, 2017 was $(21,131) at a weighted average interest rate of 0.696%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(h) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
SHORT FUTURES CONTRACTS
Expiration Month |
#
of Contracts |
Notional Amount |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||
U.S. Treasury 5-Year Note September Futures |
09/2017 | 76 | $ | 8,955 | $ | 21 | $ | 13 | $ | 0 | ||||||||||||||
U.S. Treasury 10-Year Note September Futures |
09/2017 | 77 | 9,666 | 87 | 22 | 0 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 108 | $ | 35 | $ | 0 | |||||||||||||||||||
|
|
|||||||||||||||||||||||
Total Futures Contracts |
|
$ | 108 | $ | 35 | $ | 0 | |||||||||||||||||
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed
Receive Rate |
Maturity Date |
Implied Credit Spread at June 30, 2017(3) |
Notional Amount(4) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(5) |
Variation Margin | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Exelon Generation Co. LLC |
1.000% | 12/20/2021 | 1.298 | % | $ | 600 | $ | (23 | ) | $ | 16 | $ | (7 | ) | $ | 0 | $ | 0 | ||||||||||||||||
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(2)
Fixed Receive Rate |
Maturity Date |
Notional Amount(4) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Market Value(5) |
Variation Margin | ||||||||||||||||||||||||||
Index/Tranches | Asset | Liability | ||||||||||||||||||||||||||||||
CDX.HY-28 5-Year Index |
5.000 | % | 06/20/2022 | $ | 2,400 | $ | (167 | ) | $ | (3 | ) | $ | (170 | ) | $ | 0 | $ | (6 | ) | |||||||||||||
CDX.IG-26 5-Year Index |
1.000 | 06/20/2021 | 9,500 | (165 | ) | (43 | ) | (208 | ) | 0 | (3 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
$ | (332 | ) | $ | (46 | ) | $ | (378 | ) | $ | 0 | $ | (9 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Total Swap Agreements |
|
$ | (355 | ) | $ | (30 | ) | $ | (385 | ) | $ | 0 | $ | (9 | ) | |||||||||||||||||
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 63 |
Schedule of Investments PIMCO Enhanced 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 June 30, 2017:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total |
Market Value | Variation
Margin Liability |
Total |
|||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 35 | $ | 0 | $ | 35 | $ | 0 | $ | 0 | $ | (9) | $ | (9) | ||||||||||||||||||||
|
|
|
|
Cash of $858 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2017. See Note 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements.
(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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
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, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) |
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. |
(5) |
The prices and resulting values for credit default swap agreements on credit indices serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(i) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
07/2017 | AUD | 92 | $ | 69 | $ | 0 | $ | (1 | ) | ||||||||||||||
07/2017 | $ | 2,328 | AUD | 3,069 | 30 | 0 | ||||||||||||||||||
08/2017 | AUD | 3,069 | $ | 2,328 | 0 | (30 | ) | |||||||||||||||||
BOA |
07/2017 | 2,402 | 1,789 | 0 | (58 | ) | ||||||||||||||||||
07/2017 | EUR | 805 | 905 | 0 | (14 | ) | ||||||||||||||||||
08/2017 | MXN | 40,813 | 2,157 | 0 | (79 | ) | ||||||||||||||||||
BPS |
07/2017 | $ | 954 | EUR | 839 | 4 | 0 | |||||||||||||||||
07/2017 | 2,782 | JPY | 311,400 | 0 | (13 | ) | ||||||||||||||||||
08/2017 | EUR | 839 | $ | 956 | 0 | (4 | ) | |||||||||||||||||
08/2017 | JPY | 311,400 | 2,785 | 13 | 0 | |||||||||||||||||||
BRC |
08/2017 | $ | 959 | EUR | 839 | 1 | 0 | |||||||||||||||||
GLM |
07/2017 | JPY | 298,700 | $ | 2,698 | 42 | 0 | |||||||||||||||||
08/2017 | $ | 2,188 | MXN | 40,000 | 4 | 0 | ||||||||||||||||||
JPM |
07/2017 | AUD | 575 | $ | 437 | 0 | (5 | ) | ||||||||||||||||
07/2017 | EUR | 34 | 38 | 0 | (1 | ) | ||||||||||||||||||
07/2017 | JPY | 4,900 | 44 | 0 | 0 | |||||||||||||||||||
07/2017 | $ | 958 | EUR | 839 | 1 | 0 | ||||||||||||||||||
NAB |
07/2017 | JPY | 12,700 | $ | 115 | 3 | 0 | |||||||||||||||||
SOG |
08/2017 | $ | 41 | MXN | 799 | 2 | 0 | |||||||||||||||||
|
|
|||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 100 | $ | (205 | ) | ||||||||||||||||||
|
|
WRITTEN OPTIONS:
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED JUNE 30, 2017:
Balance
at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance at End of Period |
|||||||||||||||||||||||||||||||||||||||
Notional Amount in $ |
$ | 7,200 | $ | 67,200 | $ | (66,500 | ) | $ | 0 | $ | (7,900 | ) | $ | 0 | ||||||||||||||||||||||||||||||
Notional Amount in EUR |
EUR | 1,000 | EUR | 0 | EUR | 0 | EUR | (1,000 | ) | EUR | 0 | EUR | 0 | |||||||||||||||||||||||||||||||
Premiums |
$ | (18 | ) | $ | (155 | ) | $ | 164 | $ | 5 | $ | 4 | $ | 0 |
As of June 30, 2017, there were no open written options.
64 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of June 30, 2017:
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 Pledged/ (Received) |
Net Exposure(1) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 30 | $ | 0 | $ | 0 | $ | 30 | $ | (31 | ) | $ | 0 | $ | 0 | $ | (31 | ) | $ | (1 | ) | $ | 0 | $ | (1 | ) | ||||||||||||||||||||||
BOA |
0 | 0 | 0 | 0 | (151 | ) | 0 | 0 | (151 | ) | (151 | ) | 0 | (151 | ) | |||||||||||||||||||||||||||||||||
BPS |
17 | 0 | 0 | 17 | (17 | ) | 0 | 0 | (17 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
BRC |
1 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | |||||||||||||||||||||||||||||||||||||
GLM |
46 | 0 | 0 | 46 | 0 | 0 | 0 | 0 | 46 | 0 | 46 | |||||||||||||||||||||||||||||||||||||
JPM |
1 | 0 | 0 | 1 | (6 | ) | 0 | 0 | (6 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
NAB |
3 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 3 | 0 | 3 | |||||||||||||||||||||||||||||||||||||
SOG |
2 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 100 | $ | 0 | $ | 0 | $ | 100 | $ | (205 | ) | $ | 0 | $ | 0 | $ | (205 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2017:
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 | $ | 35 | $ | 35 | ||||||||||||
|
|
|||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 100 | $ | 0 | $ | 100 | ||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 100 | $ | 35 | $ | 135 | |||||||||||||
|
|
|||||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 9 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | ||||||||||||
|
|
|||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 205 | $ | 0 | $ | 205 | ||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | 9 | $ | 0 | $ | 205 | $ | 0 | $ | 214 | |||||||||||||
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended June 30, 2017:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (2 | ) | $ | (2 | ) | ||||||||||
Futures |
0 | 0 | 0 | 0 | (49 | ) | (49 | ) | ||||||||||||||||
Swap Agreements |
0 | (407 | ) | 0 | 0 | (456 | ) | (863 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | (407 | ) | $ | 0 | $ | 0 | $ | (507 | ) | $ | (914 | ) | ||||||||||
|
|
|||||||||||||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 61 | $ | 0 | $ | 61 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 132 | 132 | ||||||||||||||||||
Written Options |
0 | 11 | 0 | 5 | (138 | ) | (122 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | 11 | $ | 0 | $ | 66 | $ | (6 | ) | $ | 71 | ||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | (396 | ) | $ | 0 | $ | 66 | $ | (513 | ) | $ | (843 | ) | ||||||||||
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 65 |
Schedule of Investments PIMCO Enhanced Low Duration Active Exchange-Traded Fund (Cont.)
June 30, 2017
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 214 | $ | 214 | ||||||||||||
Swap Agreements |
0 | (14 | ) | 0 | 0 | 181 | 167 | |||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 395 | $ | 381 | ||||||||||||
|
|
|||||||||||||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (199 | ) | $ | 0 | $ | (199 | ) | ||||||||||
Written Options |
0 | (9 | ) | 0 | 0 | 0 | (9 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | (9 | ) | $ | 0 | $ | (199 | ) | $ | 0 | $ | (208 | ) | ||||||||||
|
|
|||||||||||||||||||||||
$ | 0 | $ | (23 | ) | $ | 0 | $ | (199 | ) | $ | 395 | $ | 173 | |||||||||||
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
66 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 67 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
68 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 69 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
70 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
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. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BCY | 1.440 | % | 06/30/2017 | 07/03/2017 | $ | 24,200 | Fannie Mae 4.000% due 04/01/2047 | $ | (25,182 | ) | $ | 24,200 | $ | 24,203 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (25,182 | ) | $ | 24,200 | $ | 24,203 | ||||||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 71 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
June 30, 2017
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged/(Received) |
Net Exposure(2) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
BCY |
$ | 24,203 | $ | 0 | $ | 0 | $ | 0 | $ | 24,203 | $ | (25,182 | ) | $ | (979 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 24,203 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
The average amount of borrowings outstanding during the period ended June 30, 2017 was $(26,843) at a weighted average interest rate of 0.864%. Average borrowings may include sale-buyback transactions and reverse repurchase agreements, if held during the period.
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
72 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 73 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
74 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.050 | % | 06/30/2017 | 07/03/2017 | $ | 1,143 | U.S. Treasury Notes 2.000% due 08/31/2021(2) | $ | (1,169 | ) | $ | 1,143 | $ | 1,143 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (1,169 | ) | $ | 1,143 | $ | 1,143 | ||||||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 75 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
June 30, 2017
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of June 30, 2017:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and |
Collateral Pledged/(Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 1,143 | $ | 0 | $ | 0 | $ | 0 | $ | 1,143 | $ | (1,169 | ) | $ | (26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,143 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
(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 8, Master Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
76 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
June 30, 2017
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 77 |
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. |
(a) | When-issued security. |
(b) | Zero coupon security. |
(c) | Coupon represents a weighted average yield to maturity. |
78 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2017
BORROWINGS AND OTHER FINANCING TRANSACTIONS
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2017 in valuing the Fund’s assets and liabilities:
There were no significant transfers among Levels 1, 2, or 3 during the period ended June 30, 2017.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2017 | 79 |
80 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 81 |
Notes to Financial Statements (Cont.)
82 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 83 |
Notes to Financial Statements (Cont.)
84 | PIMCO ETF TRUST |
June 30, 2017
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
Each Fund may invest the cash collateral received for securities out on loan in the PIMCO Government Money Market Fund and PIMCO Money Market Fund under the Securities Lending Agreement. PIMCO Government Money Market Fund and PIMCO Money Market Fund are considered to be affiliated with the Funds. The table below shows the Funds’ transactions in and earnings from investments in these affiliated Funds for the period ended June 30, 2017 (amounts in thousands†):
Investments in PIMCO Government Money Market Fund
Fund Name | Market Value 06/30/2016 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Market Value 06/30/2017 |
Dividend Income(1) |
|||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
$ | 0 | $ | 285,350 | $ | (239,464 | ) | $ | 0 | $ | 0 | $ | 45,886 | $ | 204 | |||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 14,426 | (14,426 | ) | 0 | 0 | 0 | 3 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year of the affiliated fund. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
Investments in PIMCO Money Market Fund*
Fund Name | Market Value 06/30/2016 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Market Value 06/30/2017 |
Dividend Income(1) |
|||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
$ | 87,953 | $ | 118,913 | $ | (206,866 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 40 | |||||||||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Exchange Traded Fund |
1,691 | 4,421 | (6,112 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 15,496 | (15,496 | ) | 0 | 0 | 0 | 2 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
* | Effective September 23, 2016, the Fund was reorganized into the PIMCO Government Money Market Fund. |
(1) |
The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid are determined at the end of the fiscal year of the affiliated fund. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
ANNUAL REPORT | JUNE 30, 2017 | 85 |
Notes to Financial Statements (Cont.)
86 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 87 |
Notes to Financial Statements (Cont.)
88 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 89 |
Notes to Financial Statements (Cont.)
90 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 91 |
Notes to Financial Statements (Cont.)
92 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 93 |
Notes to Financial Statements (Cont.)
94 | PIMCO ETF TRUST |
June 30, 2017
ANNUAL REPORT | JUNE 30, 2017 | 95 |
Notes to Financial Statements (Cont.)
96 | PIMCO ETF TRUST |
June 30, 2017
Under certain conditions, PIMCO may be reimbursed for these waived amounts in future periods, not to exceed thirty-six months after the waiver. The total recoverable amounts to PIMCO (from the applicable Fee Waiver Agreements and Expense Limitation Agreement combined) at June 30, 2017, were as follows (amounts in thousands†):
Expiring Within | ||||||||||||||||||||
Fund Name | 12 Months | 13-24 Months | 25-36 Months | Total | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | $ | 5 | $ | 5 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 1 | 1 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 5 | 5 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 2 | 2 | ||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
76 | 77 | 51 | 204 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
ANNUAL REPORT | JUNE 30, 2017 | 97 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2017, were as follows (amounts in thousands†):
U.S. Government/Agency | All Other | |||||||||||||||||||
Portfolio Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 75,371 | $ | 73,321 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
31,349 | 36,363 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
417,967 | 423,472 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
19,238 | 21,788 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
6,170 | 7,057 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 2,101 | 824,232 | 724,809 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,374 | 2,041 | 153,401 | 36,605 | ||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
16,210,512 | 16,604,860 | 676,021 | 1,016,429 | ||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
598,684 | 544,502 | 77,870 | 44,821 | ||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
1,017,490 | 849,692 | 4,425,638 | 2,595,890 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 102,626 | 73,689 | ||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 53,567 | 50,379 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
13. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed on 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 Variable Charge for Cash Creations** |
Maximum 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. |
14. INVESTMENT TRANSACTIONS
For the period ended June 30, 2017, certain Funds had in-kind contributions and in-kind redemptions as follows (amounts in thousands):
Fund Name | Contributions | Redemptions | ||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 50,241 | $ | 80,619 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
83,835 | 342,230 | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
220,382 | 136,823 | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
69,251 | 24,416 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
31,640 | 49,816 | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
942,473 | 1,217,469 | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
252,675 | 56,250 | ||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
23,645 | 23,644 |
98 | PIMCO ETF TRUST |
June 30, 2017
As of June 30, 2017, the components of distributable taxable earnings are as follows (amounts in thousands†):
Undistributed Tax Exempt Income |
Undistributed Ordinary Income(1) |
Undistributed Long-Term Capital Gains |
Net Tax
Basis Unrealized Appreciation/ (Depreciation)(2) |
Other Book-to-Tax Accounting Differences(3) |
Accumulated Capital Losses(4) |
Qualified Late-Year Loss Deferral - Capital(5) |
Qualified Late-Year Loss Deferral - Ordinary(6) |
|||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 111 | $ | 0 | $ | (491 | ) | $ | (27 | ) | $ | 0 | $ | (94 | ) | $ | 0 | |||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 1,218 | 0 | (14,079 | ) | (30 | ) | (22,189 | ) | 0 | 0 | |||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 2,626 | 0 | (7,586 | ) | (25 | ) | (14,425 | ) | 0 | 0 | |||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 969 | 0 | (4,784 | ) | (25 | ) | (11,890 | ) | 0 | 0 | |||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 232 | 0 | (1,923 | ) | (25 | ) | (930 | ) | 0 | 0 | |||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 5,877 | 0 | 342 | (39 | ) | (124,544 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
0 | 2,038 | 0 | 12,184 | (40 | ) | (718 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
0 | 0 | 0 | 5,840 | (1,780 | ) | (27,095 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
0 | 238 | 0 | 536 | (22 | ) | (2,270 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 10,955 | 0 | 25,672 | (37 | ) | (2,203 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
602 | 0 | 0 | 7,853 | (38 | ) | (4,088 | ) | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
79 | 0 | 0 | 390 | (38 | ) | (600 | ) | 0 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
Includes undistributed short-term capital gains, if any. |
(2) |
Adjusted for open wash sale loss deferrals and the accelerated recognition of unrealized gain or loss on certain futures, and forward contracts for federal income tax purposes. Also, adjusted for differences between book and tax realized and unrealized gain (loss) on swap contracts, treasury inflation-protected securities (TIPS), Passive Foreign Investment Companies (PFICs), sale/buyback transactions, and reversal of defaulted bond marked-to-market adjustments. |
(3) |
Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, namely for straddle loss deferrals, and organizational expenditures. |
(4) |
Capital losses available to offset future net capital gains expire in varying amounts as shown below. |
(5) |
Capital losses realized during the period November 1, 2016 through June 30, 2017 which the Funds elected to defer to the following taxable year pursuant to income tax regulations. |
(6) |
Specified losses realized during the period November 1, 2016 through June 30, 2017 and Ordinary losses realized during the period January 1, 2017 through June 30, 2017, which the Funds elected to defer to the following taxable year pursuant to income tax regulations. |
ANNUAL REPORT | JUNE 30, 2017 | 99 |
Notes to Financial Statements (Cont.)
As of June 30, 2017, the Funds had accumulated capital losses expiring in the following years (amounts in thousands†). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
Expiration of Accumulated Capital Losses | ||||||||||||
06/30/2018 | 06/30/2019 | |||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 363 | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Active Bond Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
As of June 30, 2017, the Funds had the following post-effective capital losses with no expiration (amounts in thousands†):
Short-Term | Long-Term | |||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
16,151 | 5,675 | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
4,636 | 9,789 | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
4,069 | 7,821 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
164 | 766 | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
28,750 | 95,794 | ||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
0 | 718 | ||||||||||
PIMCO Active Bond Exchange-Traded Fund |
0 | 27,095 | ||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
1,618 | 652 | ||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 2,203 | ||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
3,623 | 465 | ||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
526 | 74 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
100 | PIMCO ETF TRUST |
June 30, 2017
As of June 30, 2017, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands†):
Federal Tax Cost |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net Unrealized Appreciation/ (Depreciation)(7) |
|||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 118,429 | $ | 0 | $ | (491 | ) | $ | (491 | ) | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
188,609 | 788 | (14,867 | ) | (14,079 | ) | ||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,136,955 | 287 | (7,873 | ) | (7,586 | ) | ||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
152,509 | 0 | (4,784 | ) | (4,784 | ) | ||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
71,670 | 0 | (1,922 | ) | (1,922 | ) | ||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
2,028,620 | 13,287 | (21,281 | ) | (7,994 | ) | ||||||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
722,846 | 14,048 | (2,021 | ) | 12,027 | |||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
2,652,774 | 28,077 | (23,815 | ) | 4,262 | |||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
140,928 | 725 | (144 | ) | 581 | |||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
7,234,173 | 26,901 | (1,229 | ) | 25,672 | |||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
249,309 | 7,958 | (105 | ) | 7,853 | |||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
66,755 | 433 | (42 | ) | 391 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(7) |
Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash sale loss deferrals, treasury inflation-protected securities (TIPS), sale/buyback transactions, defaulted bond marked-to-market adjustment, and Passive Foreign Investment Companies (PFICs) for federal income tax purposes. |
For the fiscal years ended June 30, 2017 and June 30, 2016, respectively, the Funds made the following tax basis distributions (amounts in thousands†):
June 30, 2017 | June 30, 2016 | |||||||||||||||||||||||||||||||||
Tax-Exempt Income Distributions |
Ordinary Income Distributions(8) |
Long-Term Capital Gain Distributions |
Return of Capital(9) |
Tax-Exempt Income Distributions |
Ordinary Income Distributions(8) |
Long-Term Capital Gain Distributions |
Return ofCapital(9) |
|||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 1,115 | $ | 21 | $ | 0 | $ | 0 | $ | 789 | $ | 34 | $ | 0 | ||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 5,636 | 0 | 0 | 0 | 3,812 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 13,498 | 0 | 0 | 0 | 0 | 0 | 5,648 | ||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 3,191 | 0 | 0 | 0 | 638 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 1,369 | 0 | 0 | 0 | 397 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 105,587 | 0 | 0 | 0 | 99,652 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
0 | 17,186 | 0 | 0 | 0 | 7,997 | 97 | 0 | ||||||||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
0 | 53,716 | 0 | 17,981 | 0 | 93,619 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
0 | 1,285 | 0 | 0 | 0 | 3,475 | 443 | 0 | ||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 80,300 | 0 | 0 | 0 | 42,928 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
5,901 | 83 | 0 | 0 | 5,034 | 16 | 0 | 0 | ||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
770 | 14 | 0 | 0 | 506 | 12 | 0 | 0 |
ANNUAL REPORT | JUNE 30, 2017 | 101 |
Notes to Financial Statements (Cont.)
June 30, 2017
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(8) |
Includes short-term capital gains, if any, distributed. |
(9) |
A portion of the distributions made represents a tax return of capital. Return of capital distributions have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
102 | PIMCO ETF TRUST |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of PIMCO ETF Trust and Shareholders of the PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund, PIMCO Active Bond Exchange-Traded Fund (formerly known as PIMCO Total Return Active Exchange-Traded Fund), PIMCO Enhanced Low Duration Active Exchange-Traded Fund (formerly known as PIMCO Low Duration Active Exchange-Traded Fund), PIMCO Enhanced Short Maturity Active Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund, and PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
In our opinion, the (i) accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations, of changes in net assets, and of cash flows and the financial highlights present fairly, in all material respects, the financial position of the PIMCO Enhanced Low Duration Active Exchange-Traded Fund (formerly known as PIMCO Low Duration Active Exchange-Traded Fund) as of June 30, 2017, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, and (ii) accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund, PIMCO Active Bond Exchange-Traded Fund (formerly known as PIMCO Total Return Active Exchange-Traded Fund), PIMCO Enhanced Short Maturity Active Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund, and PIMCO Short Term Municipal Bond Active Exchange-Traded Fund as of June 30, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, (twelve of the funds constituting the PIMCO ETF Trust, hereafter referred to as the “Funds”), in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of June 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Kansas City, Missouri
August 24, 2017
ANNUAL REPORT | JUNE 30, 2017 | 103 |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: |
||||||||||
AZD |
Australia and New Zealand Banking Group |
FOB |
Credit Suisse Securities (USA) LLC |
NAB |
National Australia Bank Ltd. | |||||
BCY |
Barclays Capital, Inc. |
GLM |
Goldman Sachs Bank USA |
RDR |
RBC Capital Markets | |||||
BOA |
Bank of America N.A. |
GRE |
RBS Securities, Inc. |
RYL |
Royal Bank of Scotland Group PLC | |||||
BOS |
Banc of America Securities LLC |
GST |
Goldman Sachs International |
SAL |
Citigroup Global Markets, Inc. | |||||
BPS |
BNP Paribas S.A. |
HUS |
HSBC Bank USA N.A. |
SCX |
Standard Chartered Bank | |||||
BRC |
Barclays Bank PLC |
JPM |
JPMorgan Chase Bank N.A. |
SGY |
Societe Generale, New York | |||||
BSN |
Bank of Nova Scotia |
JPS |
JPMorgan Securities, Inc. |
SOG |
Societe Generale | |||||
CBK |
Citibank N.A. |
KCG |
Knight Capital Group |
SSB |
State Street Bank and Trust Co. | |||||
DEU |
Deutsche Bank Securities, Inc. |
MBC |
HSBC Bank Plc |
TDM |
TD Securities (USA) LLC | |||||
DUB |
Deutsche Bank AG |
MSB |
Morgan Stanley Bank, N.A |
UAG |
UBS AG Stamford | |||||
FBF |
Credit Suisse International |
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Currency Abbreviations: |
||||||||||
AUD |
Australian Dollar |
EUR |
Euro |
JPY |
Japanese Yen | |||||
BRL |
Brazilian Real |
GBP |
British Pound |
MXN |
Mexican Peso | |||||
CAD |
Canadian Dollar |
IDR |
Indonesian Rupiah |
NZD |
New Zealand Dollar | |||||
CNH |
Chinese Renminbi (Offshore) |
INR |
Indian Rupee |
USD (or $) |
United States Dollar | |||||
DKK |
Danish Krone |
|||||||||
Exchange Abbreviations: |
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CME |
Chicago Mercantile Exchange |
OTC |
Over the Counter |
|||||||
Index/Spread Abbreviations: |
||||||||||
CDX.HY |
Credit Derivatives Index - High Yield |
CDX.IG |
Credit Derivatives Index - Investment Grade |
|||||||
Municipal Bond or Agency Abbreviations: |
||||||||||
AGC |
Assured Guaranty Corp. |
NPFGC |
National Public Finance Guarantee Corp. |
PSF |
Public School Fund | |||||
AGM |
Assured Guaranty Municipal |
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Other Abbreviations: |
||||||||||
BABs |
Build America Bonds |
FDIC |
Federal Deposit Insurance Corp. |
PIK |
Payment-in-Kind | |||||
CDO |
Collateralized Debt Obligation |
JSC |
Joint Stock Company |
REMIC |
Real Estate Mortgage Investment Conduit | |||||
CLO |
Collateralized Loan Obligation |
NCUA |
National Credit Union Administration |
TBA |
To-Be-Announced |
104 | PIMCO ETF TRUST |
Federal Income Tax Information
(Unaudited)
As required by the Internal Revenue Code (“Code”) and Treasury Regulations, if applicable, shareholders must be notified within 60 days of the Funds’ fiscal year end regarding the status of qualified dividend income and the dividend received deduction.
Dividend Received Deduction. Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Fund’s dividend distribution that qualifies under tax law. The percentage of the following Funds’ Fiscal 2017 ordinary income dividend that qualifies for the corporate dividend received deduction is set forth in the table below.
Qualified Dividend Income. Under the Jobs and Growth Tax Relief Reconciliation Act of 2003 (the “Act”), the following percentage of ordinary dividends paid during the calendar year was designated as “qualified dividend income”, as defined in the Act, subject to reduced tax rates in 2017 is set forth in the table below.
Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders only). Under the American Jobs Creation Act of 2004, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2017 are considered to be derived from “qualified interest income,” as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest-related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2017 are considered to be derived from “qualified short-term capital gain,” as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term gain dividends, as defined by Section 871(k)(2)(C) of the Code are also set forth in the table below.
Dividend Received Deduction % |
Qualified Dividend Income % |
Qualified Interest Income (000s† ) |
Qualified Short-Term Capital Gain (000s†) |
|||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
0.00% | 0.00% | $ | 962 | $ | 11 | ||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0.00% | 0.00% | 5,636 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0.00% | 0.00% | 13,498 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0.00% | 0.00% | 3,191 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0.00% | 0.00% | 1,369 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0.00% | 0.00% | 99,252 | 0 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Exchange-Traded Fund |
0.00% | 0.00% | 14,780 | 0 | ||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund |
0.00% | 0.00% | 65,043 | 0 | ||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund |
0.00% | 0.00% | 0 | 0 | ||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0.00% | 0.00% | 977 | 0 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0.00% | 0.00% | 0 | 0 | ||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0.00% | 0.00% | 28,945 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
Shareholders are advised to consult their own tax advisor with respect to the tax consequences of their investment in the Trust. In January 2018, you will be advised on IRS Form 1099-DIV as to the federal tax status of the dividends and distributions received by you in calendar year 2017.
ANNUAL REPORT | JUNE 30, 2017 | 105 |
The charts below identify the Trustees and executive officers of the Trust. Unless otherwise indicated, the address of all persons below is 650 Newport Center Drive, Newport Beach, CA 92660.
The Funds’ Statement of Additional Information includes more information about the Trustees and Officers. To request a free copy, call PIMCO at (888) 400-4ETF or visit the Funds’ website at www.pimcoetfs.com.
Name, Year of
Birth and Position Held with Trust |
Term
of Office and Length of Time Served† |
Principal Occupation(s) During Past 5 Years | Number
of Funds in Fund Complex Overseen by Trustee |
Other Public
Company and Investment Company Directorships Held by Trustee During the Past 5 Years | ||||
Interested Trustees1 | ||||||||
Brent R. Harris (1959) Chairman of the
Board |
02/2009 to present | Managing Director, PIMCO. Formerly, member of Executive Committee, PIMCO. | 163 | Chairman and Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT; Director, StocksPLUS® Management, Inc; and member of Board of Governors, Investment Company Institute. | ||||
Peter G. Strelow* (1970) Trustee |
05/2017 to present | Managing Director, Chief Administrative Officer, and Co-Chief Operating Officer, PIMCO. President of the Trust, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | 142 | Trustee, PIMCO Variable Insurance Trust and PIMCO ETF Trust. | ||||
Independent Trustees | ||||||||
George E. Borst (1948) Trustee |
04/2015 to present | Executive Advisor, McKinsey & Company (since 10/14); Executive Advisor, Toyota Financial Services (10/13-12/14); CEO, Toyota Financial Services (1/01-9/13). | 142 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
Jennifer Holden Dunbar (1963) Trustee |
04/2015 to present | Managing Director, Dunbar Partners, LLC (business consulting and investments). | 163 | Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT; Director, PS Business Parks; Director, Big 5 Sporting Goods Corporation. | ||||
Kym M. Hubbard (1957) Trustee |
02/2017 to present | Formerly, Global Head of Investments, Chief Investment Officer and Treasurer, Ernst & Young. | 142 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
Gary F. Kennedy (1955) Trustee |
04/2015 to present | Formerly, Senior Vice President, General Counsel and Chief Compliance Officer, American Airlines and AMR Corporation (now American Airlines Group). | 142 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
Peter B. McCarthy (1950) Trustee |
04/2015 to present | Formerly, Assistant Secretary and Chief Financial Officer, United States Department of Treasury; Deputy Managing Director, Institute of International Finance. | 163 | Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | ||||
Ronald C. Parker (1951) Lead Independent Trustee |
07/2009 to present
Lead Independent Trustee 02/2017 to present |
Director of Roseburg Forest Products Company. Formerly, Chairman of the Board, The Ford Family Foundation. Formerly President, Chief Executive Officer, Hampton Affiliates (forestry products). | 163 | Lead Independent Trustee, PIMCO Funds and PIMCO Variable Insurance Trust; Trustee, PIMCO Equity Series and PIMCO Equity Series VIT. |
1 |
Mr. Harris and Mr. Strelow are “interested persons” of the Trust (as that term is defined in the 1940 Act) because of their affiliations with PIMCO. |
† |
Trustees serve until their successors are duly elected and qualified. |
* | The information for the individuals listed is as of June 30, 2016. Mr. Strelow became a Trustee of the Trust effective May, 16 2017. |
106 | PIMCO ETF TRUST |
(Unaudited)
Executive Officers
Name, Year of Birth and Position Held with Trust* |
Term of Office
and Length of Time Served |
Principal Occupation(s) During Past 5 Years† | ||
Peter G. Strelow (1970) President |
01/2015 to present
Senior Vice President 11/2013 to 01/2015
Vice President 02/2009 to 11/2013 |
Managing Director, Chief Administrative Officer and Co-Chief Operating Officer PIMCO. President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
David C. Flattum (1964) Chief Legal Officer |
02/2009 to present | Managing Director and General Counsel, PIMCO. Chief Legal Officer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Managing Director, Chief Operating Officer and General Counsel, Allianz Asset Management of America L.P. | ||
Jennifer E. Durham (1970) Chief Compliance Officer |
02/2009 to present | Managing Director and Chief Compliance Officer, PIMCO. Chief Compliance Officer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | ||
Brent R. Harris (1959) Senior Vice President |
01/2015 to present
President 03/2009 to 01/2015 |
Managing Director, PIMCO. Senior Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, member of Executive Committee, PIMCO. | ||
Joshua D. Ratner (1976)** Vice President - Senior Counsel, Secretary |
11/2013 to present
Assistant Secretary 02/2009 to 01/2011 |
Executive Vice President and Senior Counsel, PIMCO. Chief Legal Officer, PIMCO Investments LLC. Vice President - Senior Counsel, Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Vice President, Secretary and Chief Legal Officer, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Ryan G. Leshaw (1980) Assistant Secretary |
05/2012 to present | Senior Vice President and Senior Counsel, PIMCO. Assistant Secretary, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. Formerly, Associate, Willkie Farr & Gallagher LLP. | ||
Stacie D. Anctil (1969) Vice President |
05/2015 to present
Assistant Treasurer 02/2009 to 05/2015 |
Executive Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
William G. Galipeau (1974) Vice President |
11/2013 to present | Executive Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Treasurer, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Eric D. Johnson (1970)** Vice President |
05/2011 to present | Executive Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Henrik P. Larsen (1970) Vice President |
02/2009 to present | Senior Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | ||
Bijal Y. Parikh (1978) Vice President |
02/2017 to present | Senior Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Greggory S. Wolf (1970) Vice President |
05/2011 to present | Senior Vice President, PIMCO. Vice President, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. | ||
Trent W. Walker (1974) Treasurer |
11/2013 to present
Assistant Treasurer 02/2009 to 11/2013 |
Executive Vice President, PIMCO. Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Assistant Treasurer, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Erik C. Brown (1967) Assistant Treasurer |
02/2009 to present | Executive Vice President, PIMCO. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Laura S. Melman (1966)** Assistant Treasurer |
02/2017 to present | Senior Vice President, PIMCO. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. | ||
Colleen D. Miller (1980)** Assistant Treasurer |
02/2017 to present | Vice President, PIMCO. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. Formerly, Vice President Cohen & Steers Capital Management. | ||
Christopher M. Morin (1980) Assistant Treasurer |
08/2016 to present | Vice President, PIMCO. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. Formerly, Vice President of Operations, Standard Life Investments USA; Assistant Vice President, Brown Brothers Harriman. |
ANNUAL REPORT | JUNE 30, 2017 | 107 |
Management of the Trust (Cont.)
(Unaudited)
Name, Year of Birth and Position Held with Trust* |
Term of Office
and Length of Time Served |
Principal Occupation(s) During Past 5 Years† | ||
Jason J. Nagler (1982)** Assistant Treasurer |
05/2015 to present | Vice President, PIMCO. Assistant Treasurer, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, PIMCO-Sponsored Interval Funds and PIMCO-Sponsored Closed-End Funds. Formerly, Head of Mutual Fund Reporting, GMO and Assistant Treasurer, GMO Trust and GMO Series Trust Funds. |
* | Unless otherwise noted, the information for the individuals listed is as of June 30, 2017. |
† |
The term “PIMCO Closed-End Funds” as used herein includes: PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II, PIMCO New York Municipal Income Fund III, PCM Fund Inc., PIMCO Corporate & Income Opportunity Fund, PIMCO Corporate & Income Strategy Fund, PIMCO Dynamic Credit and Mortgage Income Fund, PIMCO Dynamic Income Fund, PIMCO Global StocksPLUS® & Income Fund, PIMCO High Income Fund, PIMCO Income Opportunity Fund, PIMCO Income Strategy Fund, PIMCO Income Strategy Fund II and PIMCO Strategic Income Fund, Inc.; the term “PIMCO-Sponsored Interval Funds” as used herein includes: PIMCO Flexible Credit Income Fund. |
** | The address of these officers is Pacific Investment Management Company LLC, 1633 Broadway, New York, New York 10019. |
108 | PIMCO ETF TRUST |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2017 | 109 |
Privacy Policy1 (Cont.)
(Unaudited)
change your cookie preferences by changing the setting on your web browser to delete or reject cookies. If you delete or reject cookies, some website pages may not function properly. The Funds do not look for web browser “do not track” requests.
CHANGES TO THE PRIVACY POLICY
From time to time, the Funds may update or revise this privacy policy. If there are changes to the terms of this privacy policy, documents containing the revised policy on the relevant website will be updated.
1 Amended as of February 14, 2017.
2 PIMCO Investments LLC (“PI”) serves as the Funds’ distributor. This Privacy Policy applies to the activities of PI to the extent that PI regularly effects or engages in transactions with or for a Fund shareholder who is the record owner of such shares. For purposes of this Privacy Policy, references to “the Funds” shall include PI when acting in this capacity.
3 When distributing this Policy, a Fund may combine the distribution with any similar distribution of its investment adviser’s privacy policy. The distributed, combined policy may be written in the first person (i.e., by using “we” instead of “the Funds”).
110 | PIMCO ETF TRUST |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent
State Street Bank
1 Heritage Drive
Quincy, MA 02171
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.
ETF3001AR_063017