PIMCO ETF Trust
Semiannual Report
December 31, 2016
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Actively-Managed Exchange-Traded Funds
PIMCO Diversified Income Active Exchange-Traded Fund
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
PIMCO Low Duration Active Exchange-Traded Fund
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
PIMCO Total Return Active Exchange-Traded Fund
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Fund | Fund Summary |
Schedule of Investments |
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7 | 35 | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
8 | 36 | ||||||
9 | 37 | |||||||
10 | 38 | |||||||
11 | 39 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
12 | 40 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
13 | 47 | ||||||
14 | 53 | |||||||
15 | 61 | |||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
16 | 66 | ||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
17 | 77 | ||||||
18 | 81 | |||||||
19 | 88 | |||||||
20 | 91 |
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
Dear Shareholder,
Please find enclosed the Semiannual Report for the PIMCO ETF Trust covering the six-month reporting period ended December 31, 2016. 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.
In June 2016, the unexpected outcome of the U.K. “Brexit” referendum dominated headlines and market movements. Volatility rose as a result and sovereign yields rallied significantly, while risk assets generally underperformed. Steadier commodity prices and fiscal stimulus in China helped bolster market sentiment, even as central banks remained on hold ahead of the Brexit referendum. Softer-than-expected employment data in the U.S. pushed market expectations for the next Federal Reserve (“Fed”) interest rate hike further out into the future, with the Fed continuing to hold rates steady through the end of November.
Leading up to the November 8th U.S. presidential election, investors generally shook off the surprising result of the Brexit referendum, along with a host 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 featured prominently in the headlines as monetary policy concerns (in particular, the longevity of central bank support) lingered beneath the seemingly benign market environment. The Bank of Japan’s “comprehensive review,” inaction by the European Central Bank (“ECB”), and the Fed’s solidifying path towards a potential interest rate increase in December 2016 all contributed to sovereign yields generally rising during this period. Still, equities moved higher (U.S. stock indices set record highs), credit spreads tightened, and emerging market assets continued to gain.
In the wake of the not expected result of the U.S. election, volatility fell, equities rallied, credit spreads continued to tighten and the U.S. dollar strengthened. In contrast, interest rates rose dramatically as most markets focused on the pro-growth and inflationary potential of fiscal expansion, tax cuts, and deregulation. Part of the rise in interest rates was also due to a sharp increase in inflation expectations. Despite the generally positive risk sentiment towards the end of the reporting period, emerging markets weakened as protectionist rhetoric from the incoming administration weighed on the asset class.
Finally, the ECB at its December 8th meeting opted to leave its main policy rate unchanged and announced an expansion of its Quantitative Easing program to exceed $2.4 trillion by the end of 2017. And on December 14th, the Fed raised its key lending rate, the Federal Funds Rate, by 0.25% to a range of 0.50%-0.75%, representing their second rate increase in ten years.
Highlights of the financial markets during the six-month reporting period include:
∎ |
U.S. Treasuries, as represented by the Bloomberg Barclays U.S. Treasury Index, declined 4.11% for the reporting period. Yields rose across the U.S. Treasury yield curve in reaction to the Fed’s interest rate increases, rising concern over inflation and strong investor risk appetite. The benchmark ten-year U.S. Treasury note yielded 2.45% at the end of the reporting period, up from 1.49% on June 30, 2016. |
∎ |
U.S. Treasury Inflation-Protected Securities (“TIPS”), as represented by the Bloomberg Barclays U.S. TIPS Index, declined 1.47% over the reporting period. Global inflation-linked bonds (“ILBs”), as represented by the Bloomberg Barclays Universal Government Inflation-Linked Bond Index, declined 2.01% over the reporting period. Global interest rates saw a steady rise over the reporting period, creating a headwind for inflation-linked bond returns, as market participants questioned the longevity of global central bank support. U.S. TIPS, while posting negative absolute returns, saw significant outperformance versus comparable nominal U.S. Treasuries as the surprise U.S. election result fueled inflation fears and resulted in a significant jolt higher in U.S. breakeven inflation rates. Globally, U.K. index-linked Gilts also saw significant outperformance relative to nominal Gilts as the British pound continued to depreciate and feed into higher inflation readings. |
2 | PIMCO ETF TRUST |
∎ |
U.S. investment grade credit, as measured by the Bloomberg Barclays U.S. Credit Index, declined 1.78% over the reporting period as yields spiked in the second half of the reporting period. However, global investment grade corporate spreads tightened alongside the sell-off in yields, benefiting from investor optimism stemming from a pro-business policy agenda from the incoming U.S. administration, in addition to strong demand for stable income. The U.S. short-dated high yield debt market, as represented by the BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Index, returned 7.35% over the reporting period. |
∎ |
Tax-exempt municipal bonds, as represented by the Bloomberg Barclays Municipal Bond Index, declined 3.91% over the reporting period. Rising U.S. Treasury yields, elevated municipal bond supply coupled with reduced demand depressed municipal bond returns over the reporting period. Much of the sell-off occurred after the U.S. election as investors weighed what impact the new administration will have on tax policy, healthcare reform and infrastructure spending. New municipal bond issue supply in 2016 reached a record-breaking $446 billion, while flows into municipal bond mutual funds turned negative for the first time in over a year. |
If you have any questions regarding the PIMCO ETF Trust, please contact your financial adviser, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
Thank you again for the trust you have placed in us. We are privileged to serve you through our ETF offerings.
Sincerely,
Brent R. Harris Chairman of the Board,
February 21, 2017 |
Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income dividends and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 3 |
Important Information About the Funds
4 | PIMCO ETF TRUST |
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 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 5 |
Important Information About the Funds (Cont.)
Fund Name | Fund Inception |
Diversification Status | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
09/03/09 | Diversified | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
06/16/11 | Diversified | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
09/20/10 | Diversified | ||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
01/22/14 | Diversified | ||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
11/16/09 | Diversified | ||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
04/30/12 | Non-diversified | ||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
11/30/09 | Diversified | ||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
01/22/14 | Diversified | ||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
02/01/10 | Diversified | ||||||||
PIMCO Total Return Active Exchange-Traded Fund |
02/29/12 | Diversified |
6 | PIMCO ETF TRUST |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol - TUZ |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (06/01/2009) |
|||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) | (0.62)% | 0.69% | 0.44% | 0.87% | ||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | (0.60)% | 0.73% | 0.43% | 0.87% | ||||||||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury Index± | (0.54)% | 0.88% | 0.57% | 0.99% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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 impacted 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. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 7 |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol - ZROZ |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 12/31/2016†§
U.S. Treasury Obligations |
98.9% | |||
Short-Term Instruments |
1.1% |
† |
% 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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (10/30/2009) |
|||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) | (17.86)% | 1.42% | 2.73% | 8.60% | ||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | (17.98)% | 2.14% | 2.67% | 8.57% | ||||||||||||||
The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± | (17.15)% | 1.95% | 3.02% | 8.77% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Long US Treasury Principal STRIPS IndexSM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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 it’s 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 impacted 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 December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (08/20/2009) |
|||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) | (0.13)% | 2.99% | 0.28% | 1.74% | ||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) | (0.07)% | 2.93% | 0.27% | 1.74% | ||||||||||||||
The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± | (0.02)% | 3.16% | 0.50% | 1.97% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-5 Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 1 year and less than 5 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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 impacted 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 yield curve, resulting in negative performance for both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 9 |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - LTPZ |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/03/2009) |
|||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) | (4.51)% | 9.51% | 1.41% | 5.78% | ||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) | (4.47)% | 9.13% | 1.43% | 5.77% | ||||||||||||||
The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± | (4.27)% | 9.20% | 1.63% | 5.99% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 15+ Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 15 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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 impacted 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 yield curve, resulting in negative performance for both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Underlying Index. |
10 | PIMCO ETF TRUST |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - TIPZ |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/03/2009) |
|||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) | (1.74)% | 4.88% | 0.74% | 3.60% | ||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) | (1.50)% | 4.51% | 0.76% | 3.64% | ||||||||||||||
The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± | (1.66)% | 4.85% | 0.93% | 3.79% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities).
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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 impacted 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 yield curve, resulting in negative performance for both the Fund and the Underlying Index. |
» |
A positive inflation accrual, or change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 11 |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol - HYS |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Corporate Bonds & Notes |
84.5% | |||
Short-Term Instruments |
14.5% | |||
U.S. Treasury Obligations |
1.0% |
† |
% 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 December 31, 2016 | ||||||||||||||||||
6 Months* | 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) | 6.66% | 14.54% | 5.91% | 5.30% | ||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 6.39% | 14.89% | 5.62% | 5.28% | ||||||||||||||
BofA Merrill Lynch 0-5 Year US High Yield Constrained Index± | 7.35% | 16.15% | 6.58% | 5.84% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 0-5 Year US High Yield Constrained Index 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.
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 impacted performance during the reporting period:
» |
Yields in the short-term segment of the U.S. high yield 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 December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Industrials |
46.2% | |||
Banking & Finance |
34.4% | |||
Utilities |
12.8% | |||
Short-Term Instruments |
6.0% | |||
U.S. Treasury Obligations |
0.4% | |||
Other |
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (09/20/2010) |
|||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | (1.64)% | 6.16% | 4.23% | 4.38% | ||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | (2.15)% | 6.23% | 4.30% | 4.38% | ||||||||||||||
BofA Merrill Lynch US Corporate IndexSM± | (1.49)% | 5.96% | 4.25% | 4.49% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± 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.
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 impacted performance during the reporting period:
» |
An increase in bond yields negatively impacted price returns, resulting in negative performance for both the Fund and the Underlying Index. |
» |
Returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 13 |
PIMCO Diversified Income Active Exchange-Traded Fund
Ticker Symbol - DI |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Corporate Bonds & Notes |
41.5% | |||
Asset-Backed Securities |
15.9% | |||
Short-Term Instruments |
10.7% | |||
Sovereign Issues |
9.3% | |||
U.S. Treasury Obligations |
9.1% | |||
U.S. Government Agencies |
6.0% | |||
Other |
7.5% |
† |
% 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 December 31, 2016 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (1/22/2014) |
||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund (Based on Net Asset Value) | 2.75% | 10.84% | 4.18% | |||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund (At Market Price)(1) | 4.26% | 11.87% | 4.58% | |||||||||||
Bloomberg Barclays Global Credit Hedged USD Index± | 0.58% | 7.33% | 4.29% | |||||||||||
1/3 each — Bloomberg Barclays Global Aggregate Credit ex Emerging Markets, USD Hedged; BofA Merrill Lynch BB-B Rated Developed Markets High Yield Constrained Index, USD Hedged; and JPMorgan EMBI Global, USD Hedged±± | 1.72% | 9.81% | 4.90% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Bloomberg Barclays Global Credit Hedged USD contains investment grade and high yield credit securities from the Multiverse represented in US Dollars on a hedged basis, (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield).
±± The Bloomberg Barclays Global Aggregate Credit ex Emerging Markets (USD Hedged) provides a broad-based measure of the global developed markets investment-grade fixed income markets. The BofA Merrill Lynch BB-B Rated Developed Markets High Yield Constrained Index (USD Hedged) tracks the performance of below investment grade bonds of corporate issuers domiciled in developed market countries rated BB1 through B3, based on an average of Moody’s, S&P and Fitch. Qualifying bonds are capitalization-weighted provided the total allocation to an individual issuer (defined by Bloomberg tickers) does not exceed 2%. Issuers that exceed the limit are reduced to 2% and the face value of each of their bonds is adjusted on a pro-rata basis. Similarly, the face value of bonds of all other issuers that fall below the 2% cap are increased on a pro-rata basis. The index is rebalanced on the last calendar day of the month. The JPMorgan EMBI Global (USD Hedged) tracks total returns for U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities, Brady bonds, loans, Eurobonds and local market instruments.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.86%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Diversified Income Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund 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 impacted performance during the reporting period:
» |
Exposure to non-Agency MBS benefited the Fund’s relative performance, as the sector outperformed the benchmark. |
» |
An overweight to high yield CoCos benefited the Fund’s relative performance, as the sector outperformed the benchmark. |
» |
An overweight to Brazilian corporate and quasi-sovereign debt benefited the Fund’s relative performance, as the sector outperformed the benchmark. |
» |
Security selection in investment grade banking benefited the Fund’s relative performance. |
» |
An underweight to the 10-year portion of the U.S. yield curve benefited the Fund’s relative performance, as U.S. interest rates in this portion of the yield curve generally underperformed other portions of the yield curve. |
» |
An underweight to high yield energy reduced the Fund’s relative performance, as the sector outperformed the benchmark. |
» |
An underweight to high yield raw materials reduced the Fund’s relative performance, as the sector outperformed the benchmark. |
14 | PIMCO ETF TRUST |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
Ticker Symbol - MINT |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Corporate Bonds & Notes |
64.1% | |||
Short-Term Instruments |
13.4% | |||
Asset-Backed Securities |
10.7% | |||
Sovereign Issues |
5.0% | |||
Non-Agency Mortgage-Backed Securities |
3.0% | |||
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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (11/16/2009) |
|||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Based on Net Asset Value) | 1.00% | 1.99% | 1.25% | 1.17% | ||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (At Market Price)(1) | 0.98% | 2.06% | 1.23% | 1.18% | ||||||||||||||
Citi 3-Month Treasury Bill Index± | 0.15% | 0.27% | 0.09% | 0.09%¨ |
All Fund returns are net of fees and expenses.
* Cumulative return.
¨ Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Citi 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
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. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following impacted performance during the reporting period:
» |
Exposure to investment grade credit contributed to performance. |
» |
U.S. interest rate strategies benefited relative performance. |
» |
Holdings of securitized credit, such as CLOs, CMBS and ABS, contributed to performance. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 15 |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
Ticker Symbol - ILB |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Geographic Breakdown
as of 12/31/2016†§
United States |
39.9% | |||
Mexico |
9.3% | |||
United Kingdom |
9.2% | |||
Japan |
8.1% | |||
Chile |
5.3% | |||
Other |
28.2% |
† |
% of Investments, at value. |
§ |
Geographic Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2016 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (04/30/2012) |
||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Based on Net Asset Value) | (1.29)% | 4.45% | (2.32)% | |||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (At Market Price)(1) | (0.62)% | 4.88% | (2.35)% | |||||||||||
Bloomberg Barclays Universal Government Inflation-Linked Bond Index± | (2.01)% | 6.52% | 0.28% | |||||||||||
PIMCO Global Advantage Inflation-Linked Bond Index (USD Partially Hedged)±± | (1.92)% | 4.52% | (0.21)% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The Bloomberg Barclays Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets. The index includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea. The index is market capitalization weighted and rebalances monthly.
±± The PIMCO Global Advantage Inflation-Linked Bond Index® (“GLADI”) (USD Partially Hedged) represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the principals of the PIMCO Global Advantage Indices when applicable to the global inflation-linked bond market.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.79%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund seeks total return which exceeds that of its benchmark indexes, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in inflation-linked bonds that are economically tied to at least three developed and emerging market countries (one of which may be the United States), which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. Inflation-linked bonds are fixed income securities that are structured to provide protection against inflation. Fund 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 impacted performance during the reporting period:
» |
Exposure to global inflation-linked bonds (ILBs) detracted from absolute performance as global inflation-linked bonds, as measured by the Bloomberg Barclays Universal Government Inflation-Linked Bond Index, posted negative returns over the reporting period. |
» |
Underweight U.S. nominal duration for a portion of the period benefited relative performance, as rates rose across the curve. |
» |
Exposure to U.K. index-linked gilts benefited relative performance, as rates fell across the curve. |
» |
An overweight to European breakeven inflation spreads (or the yield differential between European nominal bonds and like-maturity European ILBs) via derivatives benefited relative performance, as breakeven inflation spreads rose. |
» |
An underweight to U.K. breakeven inflation spreads (or the yield differential between U.K. nominal Gilts and like-maturity U.K. index-linked Gilts) detracted from relative performance, as breakeven inflation spreads rose. |
» |
Overweight U.S. real duration concentrated in longer-term maturities detracted from relative performance, as long-term real rates rose. |
16 | PIMCO ETF TRUST |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - MUNI |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Municipal Bonds & Notes |
||||
Health, Hospital & Nursing Home Revenue |
12.8% | |||
Ad Valorem Property Tax |
10.9% | |||
College & University Revenue |
9.9% | |||
Water Revenue |
7.3% | |||
Highway Revenue Tolls |
6.1% | |||
Miscellaneous Revenue |
4.8% | |||
Income Tax Revenue |
4.7% | |||
Electric Power & Light Revenue |
4.7% | |||
Port, Airport & Marina Revenue |
4.6% | |||
Miscellaneous Taxes |
3.7% | |||
Tobacco Settlement Funded |
3.0% | |||
Natural Gas Revenue |
2.9% | |||
Lease (Appropriation) |
2.2% | |||
Sales Tax Revenue |
1.9% | |||
Appropriations |
1.9% | |||
Transit Revenue |
1.5% | |||
Sewer Revenue |
1.3% | |||
Hotel Occupancy Tax |
1.3% | |||
General Fund |
1.0% | |||
Other |
3.5% | |||
Short-Term Instruments |
10.0% |
† |
% 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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (11/30/2009) |
|||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Based on Net Asset Value) | (3.57)% | (0.20)% | 1.99% | 2.97% | ||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (At Market Price)(1) | (3.55)% | (0.42)% | 1.98% | 2.98% | ||||||||||||||
Bloomberg Barclays 1-15 Year Municipal Bond Index± | (3.26)% | 0.01% | 2.54% | 3.42% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± 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.
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 impacted performance during the reporting period:
» |
Underweight duration positioning throughout the majority of the reporting period contributed to performance, as municipal yields moved higher. |
» |
Exposure to the industrial revenue sector detracted from performance, as the segment underperformed the general municipal market. |
» |
Exposure to the healthcare revenue sector detracted from performance, as the segment underperformed the general municipal market. |
» |
Limited exposure to the lease-backed revenue sector contributed to performance, as the segment underperformed the general municipal market. |
» |
Limited exposure to the electric utility revenue sector contributed to performance, as the segment underperformed the general municipal market. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 17 |
PIMCO Low Duration Active Exchange-Traded Fund
Ticker Symbol - LDUR |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of 12/31/2016†§
Corporate Bonds & Notes |
55.4% | |||
U.S. Treasury Obligations |
26.1% | |||
Asset-Backed Securities |
10.4% | |||
Non-Agency Mortgage-Backed Securities |
4.8% | |||
Short-Term Instruments |
1.0% | |||
Other |
2.3% |
† |
% 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 December 31, 2016 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (01/22/2014) |
||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund (Based on Net Asset Value) | 1.09% | 2.84% | 2.30% | |||||||||||
PIMCO Low Duration Active Exchange-Traded Fund (At Market Price)(1) | 1.13% | 2.91% | 2.33% | |||||||||||
BofA Merrill Lynch 1-3 Year U.S. Treasury Index± | (0.54)% | 0.88% | 0.70% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. 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.
The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented, is 0.64%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus.
Investment Objective and Strategy Overview
PIMCO Low Duration Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. Fund 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 impacted performance during the reporting period:
» |
Exposure to investment grade credit contributed to performance. |
» |
An underweight to U.S. duration relative to its benchmark benefited performance. |
» |
Holdings of securitized credit, such as CLOs, CMBS and ABS, contributed to performance. |
» |
Long U.S. dollar versus the euro, Australian dollar and Canadian dollar benefited performance. |
» |
Exposure to high yield corporate credit in the beginning of the reporting period contributed to performance. |
» |
Duration exposure in Mexico detracted from performance. |
» |
Duration exposure in Australia detracted from performance. |
18 | PIMCO ETF TRUST |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - SMMU |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
Municipal Bonds & Notes |
||||
Electric Power & Light Revenue |
17.8% | |||
Miscellaneous Revenue |
9.2% | |||
Health, Hospital & Nursing Home Revenue |
9.2% | |||
Highway Revenue Tolls |
8.6% | |||
Port, Airport & Marina Revenue |
7.3% | |||
Industrial Revenue |
6.9% | |||
Ad Valorem Property Tax |
6.0% | |||
Water Revenue |
4.6% | |||
Sales Tax Revenue |
3.1% | |||
Natural Gas Revenue |
2.4% | |||
Appropriations |
2.3% | |||
College & University Revenue |
2.3% | |||
Tobacco Settlement Funded |
1.8% | |||
Fuel Sales Tax Revenue |
1.7% | |||
General Fund |
1.6% | |||
Lottery Revenue |
1.6% | |||
Lease (Renewal) |
1.6% | |||
Income Tax Revenue |
1.5% | |||
Resource Recovery Revenue |
1.3% | |||
Lease (Non-Terminable) |
1.2% | |||
Local or Guaranteed Housing |
1.1% | |||
Other |
2.6% | |||
Short-Term Instruments |
4.3% |
† |
% 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 December 31, 2016 | ||||||||||||||||||
6 Months* | 1 Year | 5 Year | Fund Inception (02/01/2010) |
|||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund (Based on Net Asset Value) | (1.28)% | (0.25)% | 0.54% | 0.83% | ||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund (At Market Price)(1) | (1.03)% | (0.57)% | 0.49% | 0.79% | ||||||||||||||
Bloomberg Barclays 1 Year Municipal Bond Index± | (0.36)% | 0.30% | 0.63% | 0.82% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± 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.
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 impacted performance during the reporting period:
» |
Overweight duration positioning detracted from performance, as municipal yields moved higher across the curve. |
» |
Exposure to the industrial revenue sector detracted from performance, as the segment underperformed the general municipal market. |
» |
Exposure to the transportation revenue sector detracted from performance, as the segment underperformed the general municipal market. |
» |
Exposure to the healthcare revenue sector detracted from performance, as the segment underperformed the general municipal market. |
» |
Exposure to the water and sewer utility revenue sector broadly detracted from performance, though security selection positively offset the market performance. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 19 |
PIMCO Total Return Active Exchange-Traded Fund
Ticker Symbol - BOND |
Cumulative Returns Through December 31, 2016
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown
as of 12/31/2016†§
U.S. Government Agencies |
32.8% | |||
Corporate Bonds & Notes |
23.0% | |||
U.S. Treasury Obligations |
21.7% | |||
Short-Term Instruments |
6.2% | |||
Sovereign Issues |
5.5% | |||
Asset-Backed Securities |
5.2% | |||
Other |
5.6% |
† |
% 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 December 31, 2016 | ||||||||||||||
6 Months* | 1 Year | Fund Inception (02/29/2012) |
||||||||||||
PIMCO Total Return Active Exchange-Traded Fund (Based on Net Asset Value) | (0.87)% | 3.11% | 4.30% | |||||||||||
PIMCO Total Return Active Exchange-Traded Fund (At Market Price)(1) | (0.85)% | 2.77% | 4.28% | |||||||||||
Bloomberg Barclays U.S. Aggregate Index± | (2.53)% | 2.65% | 2.13% |
All Fund returns are net of fees and expenses.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± 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.
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 Total Return Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private- sector entities. Fund 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 impacted performance during the reporting period:
» |
Positions in U.S. Treasury Inflation-Protected Securities contributed to relative performance, as breakeven inflation rates rose. |
» |
Positions in student loans contributed to relative performance, as total returns were positive. |
» |
Short exposure to a basket of Asian emerging markets currencies added to relative performance, as the currencies depreciated against the U.S. dollar. |
» |
Overweight to the belly of the U.S. Treasury curve detracted from relative performance, as intermediate rates rose. |
» |
Underweight to investment grade corporate spread duration detracted from relative performance, as spreads narrowed. |
» |
Long exposure to the Mexican peso later in the reporting period detracted from relative performance, as the currency depreciated against the U.S. dollar during that time. |
20 | PIMCO ETF TRUST |
Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from July 1, 2016 to December 31, 2016 unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example For Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||||||||
Beginning Account Value (07/01/16) |
Ending Account Value (12/31/16) |
Expenses Paid During Period* |
Beginning Account Value (07/01/16) |
Ending Account Value (12/31/16) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | $ | 1,000.00 | $ | 993.80 | $ | 0.76 | $ | 1,000.00 | $ | 1,024.72 | $ | 0.77 | 0.15 | % | ||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 821.40 | 0.70 | 1,000.00 | 1,024.72 | 0.77 | 0.15 | |||||||||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 998.70 | 1.02 | 1,000.00 | 1,024.46 | 1.03 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 954.90 | 1.00 | 1,000.00 | 1,024.46 | 1.03 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 982.60 | 1.01 | 1,000.00 | 1,024.46 | 1.03 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 1,066.60 | 2.90 | 1,000.00 | 1,022.68 | 2.83 | 0.55 | |||||||||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 983.60 | 1.01 | 1,000.00 | 1,024.46 | 1.03 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund | 1,000.00 | 1,027.50 | 4.49 | 1,000.00 | 1,021.05 | 4.48 | 0.87 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
1,000.00 | 1,010.00 | 1.79 | 1,000.00 | 1,023.70 | 1.80 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1,000.00 | 987.10 | 4.35 | 1,000.00 | 1,021.10 | 4.43 | 0.86 | |||||||||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 964.30 | 1.75 | 1,000.00 | 1,023.70 | 1.80 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund | 1,000.00 | 1,010.90 | 2.97 | 1,000.00 | 1,022.52 | 2.99 | 0.58 | |||||||||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
1,000.00 | 987.20 | 1.77 | 1,000.00 | 1,023.70 | 1.80 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund | 1,000.00 | 991.30 | 3.04 | 1,000.00 | 1,022.42 | 3.09 | 0.60 |
* 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 186/365 (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 can be found in Note 8 in the Notes to Financial Statements.
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 21 |
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 |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 51.26 | $ | 0.19 | $ | (0.50 | ) | $ | (0.31 | ) | $ | (0.24 | ) | $ | (0.04 | ) | $ | 0.00 | $ | (0.28 | ) | |||||||||||||||
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 | ) | ||||||||||||||||||||||||
06/30/2012 |
51.00 | 0.29 | 0.08 | 0.37 | (0.29 | ) | (0.10 | ) | 0.00 | (0.39 | ) | |||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 135.43 | $ | 1.56 | $ | (25.48 | ) | $ | (23.92 | ) | $ | (2.63 | ) | $ | 0.00 | $ | 0.00 | $ | (2.63 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||
06/30/2012 |
70.18 | 3.27 | 46.15 | 49.42 | (3.22 | ) | 0.00 | 0.00 | (3.22 | ) | ||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 52.83 | $ | 0.38 | $ | (0.45 | ) | $ | (0.07 | ) | $ | (0.34 | ) | $ | 0.00 | $ | 0.00 | $ | (0.34 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||||||
06/30/2012 |
53.30 | 0.81 | 0.10 | 0.91 | (0.75 | ) | (0.07 | ) | 0.00 | (0.82 | ) | |||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 69.55 | $ | 0.81 | $ | (3.90 | ) | $ | (3.09 | ) | $ | (1.51 | ) | $ | 0.00 | $ | 0.00 | $ | (1.51 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||
06/30/2012 |
56.04 | 1.65 | 13.11 | 14.76 | (1.58 | ) | 0.00 | 0.00 | (1.58 | ) | ||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 59.09 | $ | 0.52 | $ | (1.54 | ) | $ | (1.02 | ) | $ | (0.61 | ) | $ | 0.00 | $ | 0.00 | $ | (0.61 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||||||
06/30/2012 |
54.58 | 1.40 | 5.23 | 6.63 | (1.28 | ) | 0.00 | 0.00 | (1.28 | ) | ||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 96.65 | $ | 2.36 | $ | 3.98 | $ | 6.34 | $ | (3.06 | ) | $ | 0.00 | $ | 0.00 | $ | (3.06 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
06/30/2012 |
100.29 | 6.06 | (1.13 | ) | 4.93 | (5.60 | ) | 0.00 | 0.00 | (5.60 | ) | |||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 105.72 | $ | 1.52 | $ | (3.22 | ) | $ | (1.70 | ) | $ | (1.78 | ) | $ | 0.00 | $ | 0.00 | $ | (1.78 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||
06/30/2012 |
99.76 | 3.44 | 5.61 | 9.05 | (3.35 | ) | 0.00 | 0.00 | (3.35 | ) |
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) |
||||||||||||||||||||||||||
$ | 50.67 | (0.62 | )% | $ | 134,378 | 0.15 | %* | 0.16 | %* | 0.15 | %* | 0.16 | %* | 0.73 | %* | 27 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
50.98 | 0.74 | 132,657 | 0.09 | 0.15 | 0.09 | 0.15 | 0.57 | 8 | ||||||||||||||||||||||||||
$ | 108.88 | (17.86 | )% | $ | 149,160 | 0.15 | %* | 0.15 | %* | 0.15 | %* | 0.15 | %* | 2.35 | %* | 6 | % | |||||||||||||||||
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 | |||||||||||||||||||||||||
116.38 | 70.82 | 169,915 | 0.15 | 0.15 | 0.15 | 0.15 | 3.15 | 11 | ||||||||||||||||||||||||||
$ | 52.42 | (0.13 | )% | $ | 1,078,290 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 1.44 | %* | 16 | % | |||||||||||||||||
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 | |||||||||||||||||||||||||
53.39 | 1.71 | 999,496 | 0.20 | 0.20 | 0.20 | 0.20 | 1.51 | 31 | ||||||||||||||||||||||||||
$ | 64.95 | (4.51 | )% | $ | 101,974 | 0.20 | %* | 0.21 | %* | 0.20 | %* | 0.21 | %* | 2.30 | %* | 3 | % | |||||||||||||||||
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 | |||||||||||||||||||||||||
69.22 | 26.53 | 375,182 | 0.20 | 0.20 | 0.20 | 0.20 | 2.53 | 11 | ||||||||||||||||||||||||||
$ | 57.46 | (1.74 | )% | $ | 62,055 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 1.73 | %* | 2 | % | |||||||||||||||||
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 | |||||||||||||||||||||||||
59.93 | 12.21 | 109,678 | 0.20 | 0.20 | 0.20 | 0.20 | 2.38 | 6 | ||||||||||||||||||||||||||
$ | 99.93 | 6.66 | % | $ | 2,263,393 | 0.55 | %* | 0.55 | %* | 0.55 | %* | 0.55 | %* | 4.70 | %* | 19 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
99.62 | 5.16 | 323,771 | 0.55 | 0.55 | 0.55 | 0.55 | 6.14 | 33 | ||||||||||||||||||||||||||
$ | 102.24 | (1.64 | )% | $ | 514,280 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 2.84 | %* | 3 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
105.46 | 9.20 | 256,267 | 0.20 | 0.20 | 0.20 | 0.20 | 3.32 | 5 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 23 |
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 Diversified Income Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 48.84 | $ | 0.86 | $ | 0.48 | $ | 1.34 | $ | (1.34 | ) | $ | 0.00 | $ | 0.00 | $ | (1.34 | ) | ||||||||||||||||||
06/30/2016 |
48.31 | 1.93 | 0.77 | 2.70 | (2.17 | ) | 0.00 | 0.00 | (2.17 | ) | ||||||||||||||||||||||||||
06/30/2015 |
51.98 | 2.00 | (2.81 | ) | (0.81 | ) | (2.48 | ) | (0.38 | ) | 0.00 | (2.86 | ) | |||||||||||||||||||||||
01/22/2014 - 06/30/2014 |
50.00 | 0.77 | 1.87 | 2.64 | (0.66 | ) | 0.00 | 0.00 | (0.66 | ) | ||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 101.14 | $ | 0.70 | $ | 0.30 | $ | 1.00 | $ | (0.84 | ) | $ | 0.00 | $ | 0.00 | $ | (0.84 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
06/30/2012 |
101.04 | 1.06 | 0.07 | 1.13 | (1.03 | ) | (0.06 | ) | 0.00 | (1.09 | ) | |||||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 42.58 | $ | 0.74 | $ | (1.29 | ) | $ | (0.55 | ) | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | ||||||||||||||||||
06/30/2016 |
43.51 | 1.56 | (2.49 | ) | (0.93 | ) | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||
06/30/2015 |
51.66 | 1.32 | (7.35 | ) | (6.03 | ) | (2.12 | ) | 0.00 | 0.00 | (2.12 | ) | ||||||||||||||||||||||||
06/30/2014 |
48.55 | 1.94 | 1.71 | 3.65 | (0.35 | ) | (0.19 | ) | 0.00 | (0.54 | ) | |||||||||||||||||||||||||
06/30/2013 |
50.28 | 1.34 | (2.57 | ) | (1.23 | ) | (0.34 | ) | (0.16 | ) | 0.00 | (0.50 | ) | |||||||||||||||||||||||
04/30/2012 - 06/30/2012 |
50.00 | 0.30 | (0.02 | ) | 0.28 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 55.11 | $ | 0.62 | $ | (2.57 | ) | $ | (1.95 | ) | $ | (0.71 | ) | $ | 0.00 | $ | 0.00 | $ | (0.71 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||||||
06/30/2012 |
51.44 | 1.22 | 2.29 | 3.51 | (1.19 | ) | (0.06 | ) | 0.00 | (1.25 | ) | |||||||||||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 100.23 | $ | 0.99 | $ | 0.10 | $ | 1.09 | $ | (1.05 | ) | $ | 0.00 | $ | 0.00 | $ | (1.05 | ) | ||||||||||||||||||
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 Short Term Municipal Bond Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 50.65 | $ | 0.28 | $ | (0.93 | ) | $ | (0.65 | ) | $ | (0.30 | ) | $ | 0.00 | $ | 0.00 | $ | (0.30 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||||||
06/30/2012 |
50.36 | 0.48 | 0.20 | 0.68 | (0.47 | ) | (0.03 | ) | 0.00 | (0.50 | ) | |||||||||||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||||
07/01/2016 - 12/31/2016+ |
$ | 107.31 | $ | 1.46 | $ | (2.38 | ) | $ | (0.92 | ) | $ | (2.17 | ) | $ | 0.00 | $ | 0.00 | $ | (2.17 | ) | ||||||||||||||||
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 | ) | |||||||||||||||||||||||||
02/29/2012 - 06/30/2012 |
100.00 | 1.00 | 5.26 | 6.26 | (0.71 | ) | 0.00 | 0.00 | (0.71 | ) |
+ | Unaudited |
* | 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. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2 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) |
The amount previously reported in the Funds’ Annual Report has been adjusted. In the Funds’ Annual Report, the PIMCO Diversified Income Active Exchange-Traded Fund, PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund and PIMCO Low Duration Active Exchange-Traded Fund reported amounts of 0.85%, 0.60% and 0.55%, respectively. |
24 | 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 |
Net Investment Income (Loss) |
Portfolio Turnover Rate(c) |
||||||||||||||||||||||||||
$ | 48.84 | 2.75 | % | $ | 37,116 | 0.87 | %* | 0.87 | %* | 0.86 | %* | 0.86 | %* | 3.41 | %* | 104 | % | |||||||||||||||||
48.84 | 5.87 | 37,117 | 0.86 | 0.86 | 0.86 | (d) | 0.86 | 4.08 | 163 | |||||||||||||||||||||||||
48.31 | (1.55 | ) | 56,043 | 0.85 | 0.85 | 0.85 | 0.85 | 4.01 | 44 | |||||||||||||||||||||||||
51.98 | 5.30 | 44,706 | 0.85 | * | 1.04 | * | 0.05 | * | 1.04 | * | 3.45 | * | 61 | |||||||||||||||||||||
$ | 101.30 | 1.00 | % | $ | 5,619,347 | 0.35 | %* | 0.35 | %* | 0.35 | %* | 0.35 | %* | 1.35 | %* | 45 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
101.08 | 1.13 | 1,715,342 | 0.35 | 0.35 | 0.35 | 0.35 | 1.05 | 229 | ||||||||||||||||||||||||||
$ | 42.03 | (1.29 | )% | $ | 78,178 | 0.86 | %* | 0.87 | %* | 0.61 | %* | 0.62 | %* | 3.41 | %* | 72 | % | |||||||||||||||||
42.58 | (2.14 | ) | 87,713 | 0.79 | 0.79 | 0.61 | (d) | 0.61 | 3.80 | 60 | ||||||||||||||||||||||||
43.51 | (11.96 | ) | 102,680 | 0.67 | 0.67 | 0.60 | 0.61 | 2.81 | 114 | |||||||||||||||||||||||||
51.66 | 7.55 | 137,415 | 0.62 | 0.62 | 0.61 | 0.61 | 3.93 | 80 | ||||||||||||||||||||||||||
48.55 | (2.55 | ) | 119,436 | 0.63 | 0.64 | 0.60 | 0.61 | 2.54 | 216 | |||||||||||||||||||||||||
50.28 | 0.56 | 28,156 | 0.61 | * | 2.14 | * | 0.60 | * | 2.13 | * | 3.63 | * | 381 | |||||||||||||||||||||
$ | 52.45 | (3.57 | )% | $ | 273,276 | 0.35 | %* | 0.35 | %* | 0.35 | %* | 0.35 | %* | 2.25 | %* | 16 | % | |||||||||||||||||
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 | |||||||||||||||||||||||||
53.70 | 6.88 | 153,576 | 0.35 | 0.35 | 0.35 | 0.35 | 2.30 | 11 | ||||||||||||||||||||||||||
$ | 100.27 | 1.09 | % | $ | 73,196 | 0.58 | %* | 0.64 | %* | 0.50 | %* | 0.56 | %* | 1.94 | %* | 458 | % | |||||||||||||||||
100.23 | 1.75 | 58,134 | 0.57 | 0.64 | 0.49 | (d) | 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 | |||||||||||||||||||||
$ | 49.70 | (1.28 | )% | $ | 67,597 | 0.35 | %* | 0.35 | %* | 0.35 | %* | 0.35 | %* | 1.07 | %* | 42 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
50.54 | 1.36 | 43,463 | 0.35 | 0.35 | 0.35 | 0.35 | 0.96 | 17 | ||||||||||||||||||||||||||
$ | 104.22 | (0.87 | )% | $ | 2,197,058 | 0.60 | %* | 0.61 | %* | 0.55 | %* | 0.56 | %* | 2.68 | %* | 263 | % | |||||||||||||||||
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 | ||||||||||||||||||||||||||
105.55 | 6.27 | 1,765,865 | 0.55 | * | 0.62 | * | 0.55 | * | 0.62 | * | 2.86 | * | 322 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 25 |
Statements of Assets and Liabilities
(Amounts in thousands†, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
|||||||||||||||
Assets: |
||||||||||||||||||||
Investments, at value |
||||||||||||||||||||
Investments in securities*^ |
$ | 133,754 | $ | 150,835 | $ | 1,074,453 | $ | 101,445 | $ | 61,685 | ||||||||||
Investments in Affiliates |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Cash |
0 | 0 | 54 | 38 | 2 | |||||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Foreign currency, at value |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Receivable for investments sold |
3,476 | 6,770 | 32,464 | 995 | 136 | |||||||||||||||
Receivable for investments sold on a delayed-delivery basis |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Receivable for TBA investments sold |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Receivable for Fund shares sold |
38,003 | 0 | 0 | 0 | 0 | |||||||||||||||
Interest and/or dividends receivable |
582 | 0 | 3,331 | 459 | 317 | |||||||||||||||
Reimbursement receivable from PIMCO |
17 | 15 | 0 | 15 | 13 | |||||||||||||||
Other assets |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Total Assets |
175,832 | 157,620 | 1,110,302 | 102,952 | 62,153 | |||||||||||||||
Liabilities: |
||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Payable for sale-buyback transactions |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable for short sales |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||
Exchange-traded or centrally cleared |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable for investments purchased |
41,353 | 6,895 | 31,786 | 0 | 0 | |||||||||||||||
Payable for TBA investments purchased |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable upon return of securities loaned |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Deposits from counterparty |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Payable for Fund shares redeemed |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Distributions payable |
67 | 1,521 | 0 | 942 | 72 | |||||||||||||||
Accrued management fees |
13 | 21 | 191 | 18 | 11 | |||||||||||||||
Accrued taxes payable |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Other liabilities |
21 | 23 | 35 | 18 | 15 | |||||||||||||||
Total Liabilities |
41,454 | 8,460 | 32,012 | 978 | 98 | |||||||||||||||
Net Assets |
$ | 134,378 | $ | 149,160 | $ | 1,078,290 | $ | 101,974 | $ | 62,055 | ||||||||||
Net Assets Consist of: |
||||||||||||||||||||
Paid in capital |
$ | 134,798 | $ | 167,448 | $ | 1,090,950 | $ | 117,302 | $ | 63,617 | ||||||||||
Undistributed (overdistributed) net investment income |
(26 | ) | (35 | ) | (1,516 | ) | (20 | ) | (90 | ) | ||||||||||
Accumulated undistributed net realized gain (loss) |
90 | 8,578 | (13,288 | ) | (9,804 | ) | 200 | |||||||||||||
Net unrealized appreciation (depreciation) |
(484 | ) | (26,831 | ) | 2,144 | (5,504 | ) | (1,672 | ) | |||||||||||
Net Assets |
$ | 134,378 | $ | 149,160 | $ | 1,078,290 | $ | 101,974 | $ | 62,055 | ||||||||||
Shares Issued and Outstanding |
2,652 | 1,370 | 20,570 | 1,570 | 1,080 | |||||||||||||||
Net Asset Value Per Share Outstanding: |
$ | 50.67 | $ | 108.88 | $ | 52.42 | $ | 64.95 | $ | 57.46 | ||||||||||
Cost of investments in securities |
$ | 134,238 | $ | 177,666 | $ | 1,072,309 | $ | 106,949 | $ | 63,357 | ||||||||||
Cost of investments in Affiliates |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Cost of foreign currency held |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Proceeds received on short sales |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Cost or premiums of financial derivative instruments, net |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
* Includes repurchase agreements of: |
$ | 272 | $ | 1,691 | $ | 0 | $ | 0 | $ | 109 | ||||||||||
^ Includes securities on loan of: |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
26 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||||||||||||||||||||||
$ | 2,271,311 | $ | 509,829 | $ | 39,231 | $ | 5,602,910 | $ | 92,983 | $ | 277,835 | $ | 91,598 | $ | 68,268 | $ | 3,414,922 | |||||||||||||||||
52,989 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
403 | 7 | 41 | 0 | 37 | 0 | 41 | 0 | 3,386 | ||||||||||||||||||||||||||
0 | 0 | 169 | 0 | 1,818 | 0 | 126 | 0 | 35,452 | ||||||||||||||||||||||||||
7,661 | 2 | 1 | 0 | 0 | 10 | 77 | 0 | 1,329 | ||||||||||||||||||||||||||
18,743 | 829 | 580 | 0 | 1,076 | 0 | 946 | 0 | 4,553 | ||||||||||||||||||||||||||
0 | 0 | 41 | 0 | 127 | 0 | 133 | 0 | 2,134 | ||||||||||||||||||||||||||
80 | 0 | 1 | 133 | 3,720 | 0 | 15 | 0 | 598 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 3,572 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 4,997 | 0 | 0 | 0 | 0 | 0 | 870,155 | ||||||||||||||||||||||||||
0 | 0 | 0 | 21,270 | 0 | 2,618 | 0 | 0 | 0 | ||||||||||||||||||||||||||
32,419 | 5,176 | 384 | 26,799 | 441 | 2,877 | 598 | 579 | 16,894 | ||||||||||||||||||||||||||
0 | 0 | 4 | 0 | 11 | 0 | 11 | 0 | 160 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
2,383,606 | 515,843 | 45,449 | 5,651,112 | 103,786 | 283,340 | 93,545 | 68,847 | 4,349,583 | ||||||||||||||||||||||||||
$ | 3,219 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 20,130 | $ | 0 | $ | 214,572 | |||||||||||||||||
0 | 0 | 0 | 0 | 23,418 | 0 | 0 | 0 | 7,949 | ||||||||||||||||||||||||||
0 | 0 | 285 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 11 | 0 | 88 | 0 | 17 | 0 | 4,891 | ||||||||||||||||||||||||||
0 | 0 | 614 | 0 | 1,667 | 0 | 55 | 0 | 23,918 | ||||||||||||||||||||||||||
52,667 | 0 | 0 | 22,265 | 12 | 9,460 | 0 | 1,158 | 678 | ||||||||||||||||||||||||||
0 | 0 | 7,115 | 0 | 0 | 0 | 0 | 0 | 1,851,575 | ||||||||||||||||||||||||||
52,989 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 330 | 0 | 0 | 0 | 22,803 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 10,380 | ||||||||||||||||||||||||||
10,193 | 1,454 | 274 | 7,606 | 0 | 511 | 102 | 68 | 14,403 | ||||||||||||||||||||||||||
1,082 | 96 | 29 | 1,730 | 43 | 82 | 33 | 22 | 1,132 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 18 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
63 | 13 | 5 | 164 | 32 | 11 | 12 | 2 | 224 | ||||||||||||||||||||||||||
120,213 | 1,563 | 8,333 | 31,765 | 25,608 | 10,064 | 20,349 | 1,250 | 2,152,525 | ||||||||||||||||||||||||||
$ | 2,263,393 | $ | 514,280 | $ | 37,116 | $ | 5,619,347 | $ | 78,178 | $ | 273,276 | $ | 73,196 | $ | 67,597 | $ | 2,197,058 | |||||||||||||||||
$ | 2,383,609 | $ | 519,890 | $ | 39,159 | $ | 5,611,778 | $ | 104,096 | $ | 274,018 | $ | 75,353 | $ | 68,479 | $ | 2,273,802 | |||||||||||||||||
(6,834 | ) | (116 | ) | (186 | ) | (1,330 | ) | (8,405 | ) | 29 | (249 | ) | (25 | ) | (5,800 | ) | ||||||||||||||||||
(122,795 | ) | (2,629 | ) | (1,515 | ) | (3,340 | ) | (12,259 | ) | (2,980 | ) | (1,739 | ) | (482 | ) | (53,928 | ) | |||||||||||||||||
9,413 | (2,865 | ) | (342 | ) | 12,239 | (5,254 | ) | 2,209 | (169 | ) | (375 | ) | (17,016 | ) | ||||||||||||||||||||
$ | 2,263,393 | $ | 514,280 | $ | 37,116 | $ | 5,619,347 | $ | 78,178 | $ | 273,276 | $ | 73,196 | $ | 67,597 | $ | 2,197,058 | |||||||||||||||||
22,650 | 5,030 | 760 | 55,470 | 1,860 | 5,210 | 730 | 1,360 | 21,080 | ||||||||||||||||||||||||||
$ | 99.93 | $ | 102.24 | $ | 48.84 | $ | 101.30 | $ | 42.03 | $ | 52.45 | $ | 100.27 | $ | 49.70 | $ | 104.22 | |||||||||||||||||
$ | 2,272,683 | $ | 512,839 | $ | 39,837 | $ | 5,590,671 | $ | 98,911 | $ | 275,626 | $ | 91,628 | $ | 68,643 | $ | 3,476,057 | |||||||||||||||||
$ | 52,989 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||
$ | 0 | $ | 0 | $ | 40 | $ | 0 | $ | 129 | $ | 0 | $ | 138 | $ | 0 | $ | 2,126 | |||||||||||||||||
$ | 0 | $ | 0 | $ | 285 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||
$ | 0 | $ | 0 | $ | (651 | ) | $ | 0 | $ | (165 | ) | $ | 0 | $ | (7 | ) | $ | 0 | $ | (11,221 | ) | |||||||||||||
$ | 283,620 | $ | 30,763 | $ | 321 | $ | 43,231 | $ | 123 | $ | 1,597 | $ | 0 | $ | 158 | $ | 2,361 | |||||||||||||||||
$ | 57,204 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 27 |
Six Months Ended December 31, 2016 (Unaudited) | ||||||||||||||||||||
(Amounts in thousands†) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
|||||||||||||||
Investment Income: |
||||||||||||||||||||
Interest, net of foreign taxes* |
$ | 598 | $ | 3,113 | $ | 8,841 | $ | 1,273 | $ | 776 | ||||||||||
Dividends from Investments in Affiliates |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Securities lending income |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Total Income |
598 | 3,113 | 8,841 | 1,273 | 776 | |||||||||||||||
Expenses: |
||||||||||||||||||||
Management fees |
101 | 187 | 1,077 | 102 | 80 | |||||||||||||||
Trustee fees |
4 | 6 | 26 | 3 | 2 | |||||||||||||||
Interest expense |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Miscellaneous expense |
3 | 6 | 0 | 2 | 2 | |||||||||||||||
Total Expenses |
108 | 199 | 1,103 | 107 | 84 | |||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(3 | ) | (6 | ) | 0 | (3 | ) | (2 | ) | |||||||||||
Net Expenses |
105 | 193 | 1,103 | 104 | 82 | |||||||||||||||
Net Investment Income |
493 | 2,920 | 7,738 | 1,169 | 694 | |||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||
Investments in securities |
8 | (1,857 | ) | (808 | ) | (315 | ) | (36 | ) | |||||||||||
In-kind redemptions |
128 | 28,851 | 400 | 1,302 | 1,113 | |||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Foreign currency |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Net Realized Gain (Loss) |
136 | 26,994 | (408 | ) | 987 | 1,077 | ||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||
Investments in securities |
(1,377 | ) | (55,008 | ) | (8,577 | ) | (6,305 | ) | (2,443 | ) | ||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Foreign currency assets and liabilities |
0 | 0 | 0 | 0 | 0 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
(1,377 | ) | (55,008 | ) | (8,577 | ) | (6,305 | ) | (2,443 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | (748 | ) | $ | (25,094 | ) | $ | (1,247 | ) | $ | (4,149 | ) | $ | (672 | ) | |||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
28 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
PIMCO Diversified Income Active Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange- Traded Fund |
PIMCO Total Return Active Exchange- Traded Fund |
||||||||||||||||||||||||||
$ | 52,441 | $ | 8,210 | $ | 796 | $ | 43,592 | $ | 1,816 | $ | 3,426 | $ | 879 | $ | 504 | $ | 41,644 | |||||||||||||||||
95 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
546 | 1 | 0 | 4 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
53,082 | 8,211 | 796 | 43,602 | 1,816 | 3,426 | 879 | 504 | 41,644 | ||||||||||||||||||||||||||
5,564 | 538 | 158 | 8,941 | 256 | 461 | 193 | 123 | 6,988 | ||||||||||||||||||||||||||
50 | 12 | 1 | 116 | 2 | 7 | 1 | 2 | 64 | ||||||||||||||||||||||||||
0 | 0 | 2 | 87 | 106 | 0 | 28 | 0 | 594 | ||||||||||||||||||||||||||
0 | 0 | 1 | 0 | 2 | 0 | 2 | 0 | 0 | ||||||||||||||||||||||||||
5,614 | 550 | 162 | 9,144 | 366 | 468 | 224 | 125 | 7,646 | ||||||||||||||||||||||||||
0 | 0 | (1 | ) | 0 | (2 | ) | 0 | (23 | ) | 0 | (104 | ) | ||||||||||||||||||||||
5,614 | 550 | 161 | 9,144 | 364 | 468 | 201 | 125 | 7,542 | ||||||||||||||||||||||||||
47,468 | 7,661 | 635 | 34,458 | 1,452 | 2,958 | 678 | 379 | 34,102 | ||||||||||||||||||||||||||
(8,234 | ) | (1,837 | ) | (169 | ) | 1,324 | (3,250 | ) | (1,083 | ) | 315 | (266 | ) | (11,389 | ) | |||||||||||||||||||
7,182 | 240 | 0 | 122 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
7,650 | 191 | (228 | ) | 0 | (240 | ) | 0 | (184 | ) | 0 | (39,778 | ) | ||||||||||||||||||||||
0 | 0 | 593 | 0 | 827 | 0 | 370 | 0 | 14,737 | ||||||||||||||||||||||||||
0 | 0 | (11 | ) | 0 | (189 | ) | 0 | 6 | 0 | (3,196 | ) | |||||||||||||||||||||||
6,598 | (1,406 | ) | 185 | 1,446 | (2,852 | ) | (1,083 | ) | 507 | (266 | ) | (39,626 | ) | |||||||||||||||||||||
67,624 | (17,947 | ) | 119 | 12,965 | (2,934 | ) | (11,110 | ) | (578 | ) | (1,015 | ) | (135,115 | ) | ||||||||||||||||||||
6,187 | 131 | (138 | ) | 0 | 1,693 | 0 | 91 | 0 | 76,074 | |||||||||||||||||||||||||
0 | 0 | 114 | 0 | 1,539 | 0 | (24 | ) | 0 | 42,714 | |||||||||||||||||||||||||
0 | 0 | (1 | ) | 0 | 8 | 0 | (10 | ) | 0 | (116 | ) | |||||||||||||||||||||||
73,811 | (17,816 | ) | 94 | 12,965 | 306 | (11,110 | ) | (521 | ) | (1,015 | ) | (16,443 | ) | |||||||||||||||||||||
$ | 127,877 | $ | (11,561 | ) | $ | 914 | $ | 48,869 | $ | (1,094 | ) | $ | (9,235 | ) | $ | 664 | $ | (902 | ) | $ | (21,967 | ) | ||||||||||||
$ | 1 | $ | 0 | $ | 0 | $ | 2 | $ | 17 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 29 |
Statements of Changes in Net Assets
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
|||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income |
$ | 493 | $ | 872 | $ | 2,920 | $ | 5,361 | ||||||||
Net realized gain (loss) |
136 | 147 | 26,994 | 2,619 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
(1,377 | ) | 712 | (55,008 | ) | 43,834 | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
(748 | ) | 1,731 | (25,094 | ) | 51,814 | ||||||||||
Distributions to Shareholders: |
||||||||||||||||
From net investment income |
(591 | ) | (773 | ) | (4,541 | ) | (3,812 | ) | ||||||||
From net realized capital gains |
(71 | ) | (50 | ) | 0 | 0 | ||||||||||
Tax basis return of capital |
0 | 0 | 0 | 0 | ||||||||||||
Total Distributions(a) |
(662 | ) | (823 | ) | (4,541 | ) | (3,812 | ) | ||||||||
Fund Share Transactions: |
||||||||||||||||
Receipts for shares sold |
43,114 | 86,563 | 22,423 | 436,758 | ||||||||||||
Cost of shares redeemed |
(58,642 | ) | (43,330 | ) | (286,479 | ) | (138,869 | ) | ||||||||
Net increase (decrease) resulting from Fund share transactions |
(15,528 | ) | 43,233 | (264,056 | ) | 297,889 | ||||||||||
Total Increase (Decrease) in Net Assets |
(16,938 | ) | 44,141 | (293,691 | ) | 345,891 | ||||||||||
Net Assets: |
||||||||||||||||
Beginning of period |
151,316 | 107,175 | 442,851 | 96,960 | ||||||||||||
End of period* |
$ | 134,378 | $ | 151,316 | $ | 149,160 | $ | 442,851 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (26 | ) | $ | 72 | $ | (35 | ) | $ | 1,586 | ||||||
Shares of Beneficial Interest: |
||||||||||||||||
Shares Sold |
850 | 1,700 | 200 | 3,550 | ||||||||||||
Shares Redeemed |
(1,150 | ) | (850 | ) | (2,100 | ) | (1,200 | ) | ||||||||
Net increase (decrease) in shares outstanding |
(300 | ) | 850 | (1,900 | ) | 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. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2 in the Notes to Financial Statements for more information. |
30 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
|||||||||||||||||||||||||||||
$ | 7,738 | $ | 3,945 | $ | 1,169 | $ | 1,642 | $ | 694 | $ | 730 | $ | 47,468 | $ | 99,510 | $ | 7,661 | $ | 9,106 | |||||||||||||||||||
(408 | ) | (5,579 | ) | 987 | 2,963 | 1,077 | (70 | ) | 6,598 | (140,449 | ) | (1,406 | ) | (647 | ) | |||||||||||||||||||||||
(8,577 | ) | 18,812 | (6,305 | ) | 8,366 | (2,443 | ) | 3,363 | 73,811 | 24,501 | (17,816 | ) | 19,501 | |||||||||||||||||||||||||
(1,247 | ) | 17,178 | (4,149 | ) | 12,971 | (672 | ) | 4,023 | 127,877 | (16,438 | ) | (11,561 | ) | 27,960 | ||||||||||||||||||||||||
(6,819 | ) | 0 | (2,217 | ) | (638 | ) | (891 | ) | (397 | ) | (62,364 | ) | (99,652 | ) | (8,842 | ) | (7,997 | ) | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (97 | ) | ||||||||||||||||||||||||||||
0 | (5,648 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
(6,819 | ) | (5,648 | ) | (2,217 | ) | (638 | ) | (891 | ) | (397 | ) | (62,364 | ) | (99,652 | ) | (8,842 | ) | (8,094 | ) | |||||||||||||||||||
65,442 | 88,364 | 20,403 | 139,711 | 14,716 | 34,038 | 614,606 | 588,513 | 143,522 | 253,220 | |||||||||||||||||||||||||||||
(44,697 | ) | (217,149 | ) | (21,260 | ) | (135,386 | ) | (41,502 | ) | (39,733 | ) | (460,894 | ) | (1,233,496 | ) | (56,050 | ) | (70,078 | ) | |||||||||||||||||||
20,745 | (128,785 | ) | (857 | ) | 4,325 | (26,786 | ) | (5,695 | ) | 153,712 | (644,983 | ) | 87,472 | 183,142 | ||||||||||||||||||||||||
12,679 | (117,255 | ) | (7,223 | ) | 16,658 | (28,349 | ) | (2,069 | ) | 219,225 | (761,073 | ) | 67,069 | 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 | |||||||||||||||||||||||||||||
$ | 1,078,290 | $ | 1,065,611 | $ | 101,974 | $ | 109,197 | $ | 62,055 | $ | 90,404 | $ | 2,263,393 | $ | 2,044,168 | $ | 514,280 | $ | 447,211 | |||||||||||||||||||
$ | (1,516 | ) | $ | (2,435 | ) | $ | (20 | ) | $ | 1,028 | $ | (90 | ) | $ | 107 | $ | (6,834 | ) | $ | 8,062 | $ | (116 | ) | $ | 1,065 | |||||||||||||
1,250 | 1,700 | 300 | 2,200 | 250 | 600 | 6,200 | 6,250 | 1,350 | 2,500 | |||||||||||||||||||||||||||||
(850 | ) | (4,200 | ) | (300 | ) | (2,100 | ) | (700 | ) | (700 | ) | (4,700 | ) | (13,050 | ) | (550 | ) | (700 | ) | |||||||||||||||||||
400 | (2,500 | ) | 0 | 100 | (450 | ) | (100 | ) | 1,500 | (6,800 | ) | 800 | 1,800 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 31 |
Statements of Changes in Net Assets (Cont.)
PIMCO Diversified Income Active Exchange-Traded Fund |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
|||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year
Ended June 30, 2016 |
||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income |
$ | 635 | $ | 1,922 | $ | 34,458 | $ | 43,357 | ||||||||
Net realized gain (loss) |
185 | (745 | ) | 1,446 | (822 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
94 | 776 | 12,965 | 642 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations |
914 | 1,953 | 48,869 | 43,177 | ||||||||||||
Distributions to Shareholders: |
||||||||||||||||
From net investment income |
(1,000 | ) | (2,208 | ) | (42,013 | ) | (42,103 | ) | ||||||||
From net realized capital gains |
0 | 0 | 0 | (825 | ) | |||||||||||
Total Distributions(a) |
(1,000 | ) | (2,208 | ) | (42,013 | ) | (42,928 | ) | ||||||||
Fund Share Transactions: |
||||||||||||||||
Receipts for shares sold |
5,035 | 0 | 1,453,935 | 2,437,791 | ||||||||||||
Cost of shares redeemed |
(4,950 | ) | (18,671 | ) | (488,986 | ) | (1,326,548 | ) | ||||||||
Net increase (decrease) resulting from Fund share transactions |
85 | (18,671 | ) | 964,949 | 1,111,243 | |||||||||||
Total Increase (Decrease) in Net Assets |
(1 | ) | (18,926 | ) | 971,805 | 1,111,492 | ||||||||||
Net Assets: |
||||||||||||||||
Beginning of period |
37,117 | 56,043 | 4,647,542 | 3,536,050 | ||||||||||||
End of period* |
$ | 37,116 | $ | 37,117 | $ | 5,619,347 | $ | 4,647,542 | ||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (186 | ) | $ | 179 | $ | (1,330 | ) | $ | 6,225 | ||||||
Shares of Beneficial Interest: |
||||||||||||||||
Shares Sold |
100 | 0 | 14,350 | 24,150 | ||||||||||||
Shares Redeemed |
(100 | ) | (400 | ) | (4,830 | ) | (13,160 | ) | ||||||||
Net increase (decrease) in shares outstanding |
0 | (400 | ) | 9,520 | 10,990 |
† |
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. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2 in the Notes to Financial Statements for more information. |
32 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
PIMCO Low Duration Active Exchange-Traded Fund |
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
PIMCO Total Return Active Exchange-Traded Fund |
||||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2016 (Unaudited) |
Year
Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year
Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
Six Months Ended December 31, 2016 (Unaudited) |
Year Ended June 30, 2016 |
|||||||||||||||||||||||||||||
$ | 1,452 | $ | 3,385 | $ | 2,958 | $ | 5,554 | $ | 678 | $ | 2,322 | $ | 379 | $ | 584 | $ | 34,102 | $ | 75,862 | |||||||||||||||||||
(2,852 | ) | (14,172 | ) | (1,083 | ) | (65 | ) | 507 | (1,598 | ) | (266 | ) | 0 | (39,626 | ) | 33,619 | ||||||||||||||||||||||
306 | 8,064 | (11,110 | ) | 9,681 | (521 | ) | 175 | (1,015 | ) | 418 | (16,443 | ) | (1,363 | ) | ||||||||||||||||||||||||
(1,094 | ) | (2,723 | ) | (9,235 | ) | 15,170 | 664 | 899 | (902 | ) | 1,002 | (21,967 | ) | 108,118 | ||||||||||||||||||||||||
0 | 0 | (3,397 | ) | (5,050 | ) | (709 | ) | (2,867 | ) | (418 | ) | (518 | ) | (49,607 | ) | (93,619 | ) | |||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | (1,051 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
0 | 0 | (3,397 | ) | (5,050 | ) | (709 | ) | (3,918 | ) | (418 | ) | (518 | ) | (49,607 | ) | (93,619 | ) | |||||||||||||||||||||
14 | 28 | 34,524 | 29,643 | 15,107 | 15,098 | 2,523 | 15,148 | 27,188 | 529,851 | |||||||||||||||||||||||||||||
(8,455 | ) | (12,272 | ) | (2,661 | ) | (13,446 | ) | 0 | (129,753 | ) | (2,487 | ) | (2,516 | ) | (353,377 | ) | (438,601 | ) | ||||||||||||||||||||
(8,441 | ) | (12,244 | ) | 31,863 | 16,197 | 15,107 | (114,655 | ) | 36 | 12,632 | (326,189 | ) | 91,250 | |||||||||||||||||||||||||
(9,535 | ) | (14,967 | ) | 19,231 | 26,317 | 15,062 | (117,674 | ) | (1,284 | ) | 13,116 | (397,763 | ) | 105,749 | ||||||||||||||||||||||||
87,713 | 102,680 | 254,045 | 227,728 | 58,134 | 175,808 | 68,881 | 55,765 | 2,594,821 | 2,489,072 | |||||||||||||||||||||||||||||
$ | 78,178 | $ | 87,713 | $ | 273,276 | $ | 254,045 | $ | 73,196 | $ | 58,134 | $ | 67,597 | $ | 68,881 | $ | 2,197,058 | $ | 2,594,821 | |||||||||||||||||||
$ | (8,405 | ) | $ | (9,857 | ) | $ | 29 | $ | 468 | $ | (249 | ) | $ | (218 | ) | $ | (25 | ) | $ | 14 | $ | (5,800 | ) | $ | 9,705 | |||||||||||||
0 | 0 | 650 | 550 | 150 | 150 | 50 | 300 | 250 | 5,000 | |||||||||||||||||||||||||||||
(200 | ) | (300 | ) | (50 | ) | (250 | ) | 0 | (1,300 | ) | (50 | ) | (50 | ) | (3,350 | ) | (4,150 | ) | ||||||||||||||||||||
(200 | ) | (300 | ) | 600 | 300 | 150 | (1,150 | ) | 0 | 250 | (3,100 | ) | 850 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 33 |
Six Months Ended December 31, 2016 (Unaudited) | ||||||||
(Amounts in thousands†) | PIMCO Global Advantage® Inflation-Linked Bond Active Exchange- Traded Fund |
PIMCO Low Duration Active Exchange Traded Fund |
||||||
Cash Flows Provided by (Used for) Operating Activities: |
||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (1,094 | ) | $ | 664 | |||
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 |
(78,207 | ) | (374,364 | ) | ||||
Proceeds from sales of long-term securities |
97,118 | 343,674 | ||||||
(Purchases) from sales of short-term portfolio investments, net |
(4,365 | ) | (242 | ) | ||||
(Increase) in deposits with counterparty |
(92 | ) | (496 | ) | ||||
(Increase) decrease in receivable for investments sold |
(7,258 | ) | 18,317 | |||||
(Increase) decrease in interest and/or dividends receivable |
148 | (199 | ) | |||||
Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments |
1,575 | (122 | ) | |||||
Proceeds from over the counter financial derivative instruments |
912 | 359 | ||||||
(Increase) reimbursement receivable from PIMCO |
(9 | ) | (13 | ) | ||||
(Decrease) in payable for investments purchased |
(8 | ) | (18,737 | ) | ||||
(Decrease) in deposits from counterparty |
(300 | ) | (530 | ) | ||||
Increase in accrued management fees |
1 | 10 | ||||||
Increase in accrued taxes payable |
17 | 0 | ||||||
(Payments on) foreign currency transactions |
(181 | ) | (4 | ) | ||||
Increase (Decrease) in other liabilities |
(1 | ) | 0 | |||||
Net Realized (Gain) Loss |
||||||||
Investments in securities |
3,250 | (315 | ) | |||||
Exchange-traded or centrally cleared financial derivative instruments |
240 | 184 | ||||||
Over the counter financial derivative instruments |
(827 | ) | (370 | ) | ||||
Foreign currency |
189 | (6 | ) | |||||
Net Change in Unrealized (Appreciation) Depreciation |
||||||||
Investments in securities |
2,934 | 578 | ||||||
Exchange-traded or centrally cleared financial derivative instruments |
(1,693 | ) | (91 | ) | ||||
Over the counter financial derivative instruments |
(1,539 | ) | 24 | |||||
Foreign currency assets and liabilities |
(8 | ) | 10 | |||||
Net amortization on investments |
73 | 294 | ||||||
Net Cash Provided by (Used for) Operating Activities |
10,875 | (31,375 | ) | |||||
Cash Flows Received from (Used for) Financing Activities: |
||||||||
Proceeds from shares sold |
14 | 15,107 | ||||||
Payments on shares redeemed |
(8,455 | ) | 0 | |||||
Cash distributions paid |
0 | (607 | ) | |||||
Proceeds from reverse repurchase agreements |
80,519 | 451,047 | ||||||
Payments on reverse repurchase agreements |
(101,846 | ) | (432,496 | ) | ||||
Proceeds from sale-buyback transactions |
214,843 | 236,307 | ||||||
Payments on sale-buyback transactions |
(196,148 | ) | (237,873 | ) | ||||
Net Cash Received from (Used for) Financing Activities |
(11,073 | ) | 31,485 | |||||
Net Increase (Decrease) in Cash and Foreign Currency |
(198 | ) | 110 | |||||
Cash and Foreign Currency: |
||||||||
Beginning of period |
325 | 100 | ||||||
End of period |
$ | 127 | $ | 210 | ||||
Supplemental Disclosure of Cash Flow Information: |
||||||||
Interest expense paid during the period |
$ | 115 | $ | 24 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
34 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 272 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | 280 | $ | 272 | $ | 272 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | 280 | $ | 272 | $ | 272 | |||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 272 | $ | 0 | $ | 0 | $ | 0 | $ | 272 | $ | (280 | ) | $ | (8 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 272 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 |
||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 133,482 | $ | 0 | $ | 133,482 | ||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements |
0 | 272 | 0 | 272 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 133,754 | $ | 0 | $ | 133,754 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 35 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
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 | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 1,691 | U.S. Treasury Notes 1.000% due 05/15/2018(2) | $ | (1,726 | ) | $ | 1,691 | $ | 1,691 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (1,726 | ) | $ | 1,691 | $ | 1,691 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 1,691 | $ | 0 | $ | 0 | $ | 0 | $ | 1,691 | $ | (1,726 | ) | $ | (35 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,691 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 149,144 | $ | 0 | $ | 149,144 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 1,691 | 0 | 1,691 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 150,835 | $ | 0 | $ | 150,835 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
36 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 |
||||||||||||
Investments in Securities, at Value |
|
|||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 1,074,453 | $ | 0 | $ | 1,074,453 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 37 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 |
||||||||||||
Investments in Securities, at Value |
|
|||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 101,445 | $ | 0 | $ | 101,445 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
38 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/3/2017 | $ | 109 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | 116 | $ | 109 | $ | 109 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | 116 | $ | 109 | $ | 109 | ||||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable
for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 109 | $ | 0 | $ | 0 | $ | 0 | $ | 109 | $ | (116 | ) | $ | (7 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 109 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2016 |
||||||||||||
Investments in Securities, at Value |
||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 61,576 | $ | 0 | $ | 61,576 | ||||||||
Short-Term Instruments |
||||||||||||||||
Repurchase Agreements |
0 | 109 | 0 | 109 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
$ | 0 | $ | 61,685 | $ | 0 | $ | 61,685 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 39 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
40 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 41 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
42 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Payment in-kind security. |
(b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(c) | Institutional Class Shares of each Fund. |
(d) | Securities with an aggregate market value of $57,204 were out on loan in exchange for $52,989 of cash collateral as of December 31, 2016. See Note 5(d), Securities Lending, in the Notes to Financial Statements for more information regarding securities on loan and cash collateral. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(e) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement
Date |
Maturity
Date |
Principal
Amount |
Collateralized By | Collateral
(Received) |
Repurchase
Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
BOS | 0.530 | % | 01/03/2017 | 01/04/2017 | $ | 49,200 | U.S. Treasury Bonds 3.750% due 11/15/2043 | $ | (51,384 | ) | $ | 49,200 | $ | 49,200 | ||||||||||||||||
0.650 | 12/30/2016 | 01/03/2017 | 100,000 | U.S. Treasury Notes 1.750% - 2.125% due 04/30/2022 - 06/30/2022 | (102,415 | ) | 100,000 | 100,007 | ||||||||||||||||||||||
BSN | 0.470 | 12/30/2016 | 01/03/2017 | 125,300 | U.S. Treasury Notes 2.125% due 08/15/2021 | (127,988 | ) | 125,300 | 125,307 | |||||||||||||||||||||
SSB | 0.010 | 12/30/2016 | 01/03/2017 | 9,120 | U.S. Treasury Notes 1.000% due 05/15/2018(2) | (9,306 | ) | 9,120 | 9,120 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (291,093 | ) | $ | 283,620 | $ | 283,634 | |||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(4) |
Borrowing Date |
Maturity Date |
Amount
Borrowed(4) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
BCY |
(3.000 | )% | 11/10/2016 | TBD | (3) | $ | (3,234 | ) | $ | (3,219 | ) | |||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (3,219 | ) | ||||||||||||||||
|
|
(3) |
Open maturity reverse repurchase agreement. |
(4) |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(4,266) at a weighted average interest rate of (3.418)%. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 43 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2016:
(f) | Securities with an aggregate market value of $3,642 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
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 |
||||||||||||||||||||||||||||
BCY |
$ | 0 | $ | (3,219 | ) | $ | 0 | $ | 0 | $ | (3,219 | ) | $ | 3,399 | $ | 180 | ||||||||||||
BOS |
149,207 | 0 | 0 | 0 | 149,207 | (153,799 | ) | (4,592 | ) | |||||||||||||||||||
BSN |
125,307 | 0 | 0 | 0 | 125,307 | (127,988 | ) | (2,681 | ) | |||||||||||||||||||
SSB |
9,120 | 0 | 0 | 0 | 9,120 | (9,306 | ) | (186 | ) | |||||||||||||||||||
Master Securities Lending Agreement |
||||||||||||||||||||||||||||
BCY |
0 | 0 | 0 | 27,100 | 27,100 | (27,639 | ) | (539 | ) | |||||||||||||||||||
DEU |
0 | 0 | 0 | 9,717 | 9,717 | (9,903 | ) | (186 | ) | |||||||||||||||||||
FOB |
0 | 0 | 0 | 6,498 | 6,498 | (6,628 | ) | (130 | ) | |||||||||||||||||||
JPM |
0 | 0 | 0 | 2,513 | 2,513 | (2,563 | ) | (50 | ) | |||||||||||||||||||
RDR |
0 | 0 | 0 | 4,164 | 4,164 | (4,280 | ) | (116 | ) | |||||||||||||||||||
SAL |
0 | 0 | 0 | 7,212 | 7,212 | (7,353 | ) | (141 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 283,634 | $ | (3,219 | ) | $ | 0 | $ | 57,204 | |||||||||||||||||||
|
|
|
|
|
|
|
|
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | 0 | $ | 0 | $ | (3,219 | ) | $ | (3,219 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Securities Lending Transactions(5) |
||||||||||||||||||||
Corporate Bonds & Notes |
$ | 52,989 | $ | 0 | $ | 0 | $ | 0 | $ | 52,989 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 52,989 | $ | 0 | $ | 0 | $ | (3,219 | ) | $ | 49,770 | |||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and securities lending transactions |
|
$ | 49,770 | |||||||||||||||||
|
|
(5) |
Includes cash collateral as described in Note 5(d) in the Notes to Financial Statements. |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Type | Expiration Month |
#
of Contracts |
Unrealized (Depreciation) |
Variation Margin | ||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Long | 03/2017 | 695 | $ | (318 | ) | $ | 114 | $ | 0 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (318 | ) | $ | 114 | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Fixed Receive Rate |
Maturity Date |
Notional Amount(2) |
Market Value(3) |
Unrealized Appreciation |
Variation Margin | |||||||||||||||||||||||
Index/Tranches | Asset | Liability | ||||||||||||||||||||||||||
CDX.HY-25 5-Year Index |
5.000 | % | 12/20/2020 | $ | 39,204 | $ | 2,753 | $ | 2,112 | $ | 16 | $ | 0 | |||||||||||||||
CDX.HY-26 5-Year Index |
5.000 | 06/20/2021 | 233,200 | 16,657 | 8,856 | 195 | 0 | |||||||||||||||||||||
CDX.HY-27 5-Year Index |
5.000 | 12/20/2021 | 59,300 | 3,784 | 135 | 78 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 23,194 | $ | 11,103 | $ | 289 | $ | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Swap Agreements |
$ | 23,194 | $ | 11,103 | $ | 289 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
44 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
(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 an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
Cash of $18,743 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total | Market Value | Variation
Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 114 | $ | 289 | $ | 403 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 114 | $ | 114 | ||||||||||||
Swap Agreements |
0 | 289 | 0 | 0 | 0 | 289 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 289 | $ | 0 | $ | 0 | $ | 114 | $ | 403 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments |
||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,191 | ) | $ | (1,191 | ) | ||||||||||
Swap Agreements |
0 | 8,841 | 0 | 0 | 0 | 8,841 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 8,841 | $ | 0 | $ | 0 | $ | (1,191 | ) | $ | 7,650 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1,430 | ) | $ | (1,430 | ) | ||||||||||
Swap Agreements |
0 | 7,617 | 0 | 0 | 0 | 7,617 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 7,617 | $ | 0 | $ | 0 | $ | (1,430 | ) | $ | 6,187 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 45 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
46 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 47 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
48 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 49 |
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. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 563 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | (576 | ) | $ | 563 | $ | 563 | ||||||||||||||||
TDM | 0.600 | 12/30/2016 | 01/03/2017 | 30,200 | U.S. Treasury Notes 2.125% due 05/15/2025 | (30,989 | ) | 30,200 | 30,202 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (31,565 | ) | $ | 30,763 | $ | 30,765 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(366) at a weighted average interest rate of (1.000)%. Average borrowings includes reverse repurchase agreements, of which there were none open at period end.
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable
for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
SSB |
$ | 563 | $ | 0 | $ | 0 | $ | 0 | $ | 563 | $ | (576 | ) | $ | (13 | ) | ||||||||||||
TDM |
30,202 | 0 | 0 | 0 | 30,202 | (30,989 | ) | (787 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 30,765 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
50 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
(b) 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) |
Market Value(3) |
Unrealized Appreciation |
Variation Margin | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
CDX.IG-26 5-Year Index |
1.000 | % | 06/20/2021 | $ | 13,700 | $ | 233 | $ | 85 | $ | 3 | $ | 0 | |||||||||||||||
CDX.IG-27 5-Year Index |
1.000 | 12/20/2021 | 14,200 | 220 | 60 | 4 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 453 | $ | 145 | $ | 7 | $ | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Swap Agreements |
|
$ | 453 | $ | 145 | $ | 7 | $ | 0 | |||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, 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 an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
Cash of $829 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
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 | $ | 7 | $ | 7 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 7 | $ | 0 | $ | 0 | $ | 0 | $ | 7 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
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 | $ | 191 | $ | 0 | $ | 0 | $ | 0 | $ | 191 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Swap Agreements |
$ | 0 | $ | 131 | $ | 0 | $ | 0 | $ | 0 | $ | 131 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 51 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
52 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 53 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Coupon represents a weighted average yield to maturity. |
(b) | Zero coupon security. |
(c) | Coupon represents a yield to maturity. |
(d) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
54 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(e) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 321 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | (333 | ) | $ | 321 | $ | 321 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
$ | (333 | ) | $ | 321 | $ | 321 | |||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
SHORT SALES:
SHORT SALES ON U.S. GOVERNMENT AGENCIES
Description | Coupon | Maturity Date |
Principal Amount |
Proceeds | Payable for Short Sales |
|||||||||||||
Fannie Mae, TBA |
2.500% | 01/01/2047 | $ | 300 | $ | (285 | ) | $ | (285 | ) | ||||||||
|
|
|
|
|||||||||||||||
Total Short Sales |
|
$ | (285 | ) | $ | (285 | ) | |||||||||||
|
|
|
|
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(411) at a weighted average interest rate of 0.925%. Average borrowings includes reverse repurchase agreements and sale-buyback transactions, of which there were none open at period end.
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 December 31, 2016:
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 |
$ | 321 | $ | 0 | $ | 0 | $ | 0 | $ | 321 | $ | (333 | ) | $ | (12 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 321 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(f) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||
Euro-Bund 10-Year Bond March Futures |
Long | 03/2017 | 3 | $ | 7 | $ | 2 | $ | (1 | ) | ||||||||||||||
Euro-Buxl 30-Year Bond March Futures |
Short | 03/2017 | 1 | (2 | ) | 2 | (2 | ) | ||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Long | 03/2017 | 35 | (22 | ) | 12 | 0 | |||||||||||||||||
U.S. Treasury Ultra Long-Term Bond March Futures |
Long | 03/2017 | 7 | (10 | ) | 7 | 0 | |||||||||||||||||
United Kingdom Long Gilt March Futures |
Long | 03/2017 | 3 | 8 | 3 | 0 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (19 | ) | $ | 26 | $ | (3 | ) | ||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(2) |
Market Value(3) |
Unrealized Appreciation |
Variation Margin | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
CDX.HY-26 5-Year Index |
5.000 | % | 06/20/2021 | $ | 2,500 | $ | 179 | $ | 59 | $ | 2 | $ | 0 | |||||||||||||||
CDX.HY-27 5-Year Index |
5.000 | 12/20/2021 | 2,200 | 140 | 24 | 3 | 0 | |||||||||||||||||||||
CDX.IG-26 5-Year Index |
1.000 | 06/20/2021 | 2,000 | 34 | 7 | 0 | 0 | |||||||||||||||||||||
CDX.IG-27 5-Year Index |
1.000 | 12/20/2021 | 2,100 | 33 | 9 | 1 | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | 386 | $ | 99 | $ | 6 | $ | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 55 |
Schedule of Investments PIMCO Diversified Income Active 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) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.550 | % | 03/23/2026 | $ | 3,000 | $ | 25 | $ | 37 | $ | 0 | $ | (7 | ) | |||||||||||||||||||
Pay |
6-Month AUD-BBR-BBSW |
2.750 | 06/17/2026 | AUD | 500 | (7 | ) | (25 | ) | 3 | 0 | |||||||||||||||||||||||
Pay* |
6-Month EUR-EURIBOR |
0.000 | 03/15/2022 | EUR | 3,300 | (20 | ) | (30 | ) | 4 | 0 | |||||||||||||||||||||||
Pay* |
6-Month EUR-EURIBOR |
0.500 | 03/15/2027 | 100 | 2 | 3 | 0 | 0 | ||||||||||||||||||||||||||
Pay* |
6-Month EUR-EURIBOR |
1.250 | 03/15/2047 | 200 | 0 | 9 | 0 | (1 | ) | |||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.610 | 07/07/2021 | MXN | 2,900 | (11 | ) | (3 | ) | 0 | 0 | |||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.798 | 09/06/2021 | 1,800 | (6 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.030 | 11/10/2021 | 9,100 | (10 | ) | (9 | ) | 2 | 0 | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.350 | 11/17/2021 | 900 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.388 | 11/17/2021 | 700 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.199 | 12/03/2021 | 700 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (28 | ) | $ | (20 | ) | $ | 9 | $ | (8 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | 358 | $ | 79 | $ | 15 | $ | (8 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | This instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
Cash of $577 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total | Market Value | Variation
Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 26 | $ | 15 | $ | 41 | $ | 0 | $ | (3) | $ | (8) | $ | (11) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(g) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA |
01/2017 | $ | 1,612 | EUR | 1,550 | $ | 20 | $ | 0 | |||||||||||||||
02/2017 | EUR | 1,550 | $ | 1,614 | 0 | (20 | ) | |||||||||||||||||
BPS |
01/2017 | 1,573 | 1,668 | 12 | 0 | |||||||||||||||||||
01/2017 | GBP | 452 | 565 | 8 | 0 | |||||||||||||||||||
01/2017 | JPY | 30,000 | 291 | 34 | 0 | |||||||||||||||||||
02/2017 | $ | 177 | CNH | 1,233 | 0 | (3 | ) | |||||||||||||||||
BRC |
02/2017 | CNH | 3,832 | $ | 563 | 21 | 0 | |||||||||||||||||
CBK |
01/2017 | JPY | 40,000 | 387 | 45 | 0 | ||||||||||||||||||
01/2017 | $ | 219 | GBP | 177 | 0 | (1 | ) | |||||||||||||||||
DUB |
01/2017 | BRL | 606 | $ | 181 | 0 | (5 | ) | ||||||||||||||||
01/2017 | $ | 178 | BRL | 606 | 8 | 0 | ||||||||||||||||||
02/2017 | BRL | 606 | $ | 177 | 0 | (8 | ) | |||||||||||||||||
02/2017 | $ | 166 | BRL | 562 | 5 | 0 |
56 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
GLM |
01/2017 | JPY | 4,200 | $ | 37 | $ | 1 | $ | 0 | |||||||||||||||
02/2017 | $ | 177 | MXN | 3,641 | 0 | (2 | ) | |||||||||||||||||
MSB |
01/2017 | BRL | 563 | $ | 173 | 0 | 0 | |||||||||||||||||
01/2017 | $ | 188 | AUD | 252 | 0 | (6 | ) | |||||||||||||||||
01/2017 | 168 | BRL | 562 | 5 | 0 | |||||||||||||||||||
RBC |
01/2017 | 24 | EUR | 23 | 0 | 0 | ||||||||||||||||||
SCX |
01/2017 | AUD | 260 | $ | 192 | 4 | 0 | |||||||||||||||||
02/2017 | MXN | 192 | 9 | 0 | 0 | |||||||||||||||||||
02/2017 | $ | 369 | CNH | 2,600 | 0 | (2 | ) | |||||||||||||||||
12/2017 | CNH | 2,600 | $ | 358 | 2 | 0 | ||||||||||||||||||
TOR |
01/2017 | BRL | 606 | 179 | 0 | (7 | ) | |||||||||||||||||
01/2017 | $ | 186 | BRL | 606 | 0 | 0 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 165 | $ | (54 | ) | ||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2016:
Balance at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance at End of Period |
|||||||||||||||||||||||||||||||||||||||
Notional Amount in $ |
$ | 558 | $ | 0 | $ | 0 | $ | (558 | ) | $ | 0 | $ | 0 | |||||||||||||||||||||||||||||||
Notional Amount in EUR |
EUR | 800 | EUR | 0 | EUR | 0 | EUR | (800 | ) | EUR | 0 | EUR | 0 | |||||||||||||||||||||||||||||||
Premiums |
$ | (8 | ) | $ | 0 | $ | 0 | $ | 8 | $ | 0 | $ | 0 |
As of December 31, 2016 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 December 31, 2016(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BOA |
Colombia Government International Bond |
1.000 | % | 12/20/2021 | 1.632 | % | $ | 400 | $ | (15 | ) | $ | 3 | $ | 0 | $ | (12 | ) | ||||||||||||||||
Venezuela Government International Bond |
5.000 | 06/20/2020 | 44.051 | 700 | (392 | ) | 14 | 0 | (378 | ) | ||||||||||||||||||||||||
BPS |
Colombia Government International Bond |
1.000 | 12/20/2021 | 1.632 | 400 | (14 | ) | 2 | 0 | (12 | ) | |||||||||||||||||||||||
BRC |
Colombia Government International Bond |
1.000 | 12/20/2021 | 1.632 | 400 | (14 | ) | 2 | 0 | (12 | ) | |||||||||||||||||||||||
CBK |
South Africa Government International Bond |
1.000 | 12/20/2021 | 2.140 | 100 | (8 | ) | 3 | 0 | (5 | ) | |||||||||||||||||||||||
Turkey Government International Bond |
1.000 | 03/20/2020 | 2.011 | 1,000 | (46 | ) | 15 | 0 | (31 | ) | ||||||||||||||||||||||||
DUB |
Colombia Government International Bond |
1.000 | 12/20/2021 | 1.632 | 400 | (14 | ) | 2 | 0 | (12 | ) | |||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 06/20/2021 | 1.407 | 200 | (5 | ) | 2 | 0 | (3 | ) | ||||||||||||||||||||||||
Petroleos Mexicanos |
1.000 | 06/20/2021 | 2.796 | 100 | (9 | ) | 2 | 0 | (7 | ) | ||||||||||||||||||||||||
GST |
Mexico Government International Bond |
1.000 | 12/20/2021 | 1.545 | 1,300 | (46 | ) | 14 | 0 | (32 | ) | |||||||||||||||||||||||
HUS |
Colombia Government International Bond |
1.000 | 12/20/2021 | 1.632 | 200 | (8 | ) | 2 | 0 | (6 | ) | |||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 03/20/2017 | 0.362 | 400 | 1 | 0 | 1 | 0 | ||||||||||||||||||||||||||
Mexico Government International Bond |
1.000 | 12/20/2021 | 1.545 | 100 | (4 | ) | 2 | 0 | (2 | ) | ||||||||||||||||||||||||
NGF |
Saudi Arabia Government International Bond |
1.000 | 06/20/2021 | 1.009 | 100 | (3 | ) | 3 | 0 | 0 | ||||||||||||||||||||||||
South Africa Government International Bond |
1.000 | 06/20/2021 | 1.949 | 300 | (18 | ) | 6 | 0 | (12 | ) | ||||||||||||||||||||||||
South Africa Government International Bond |
1.000 | 12/20/2021 | 2.140 | 200 | (14 | ) | 4 | 0 | (10 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (609 | ) | $ | 76 | $ | 1 | $ | (534 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation |
Swap Agreements, at Value(4) |
|||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
CBK |
MCDX-27 5-Year Index |
1.000 | % | 12/20/2021 | $ | 200 | $ | 2 | $ | 1 | $ | 3 | $ | 0 | ||||||||||||||||
GST |
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 1,200 | (44 | ) | 18 | 0 | (26 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (42 | ) | $ | 19 | $ | 3 | $ | (26 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | (651 | ) | $ | 95 | $ | 4 | $ | (560 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 57 |
Schedule of Investments PIMCO Diversified Income Active 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 an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
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 as of December 31, 2016:
(h) | Securities with an aggregate market value of $391 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
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 |
Net Exposure(5) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ | 20 | $ | 0 | $ | 0 | $ | 20 | $ | (20 | ) | $ | 0 | $ | (390 | ) | $ | (410 | ) | $ | (390 | ) | $ | 391 | $ | 1 | ||||||||||||||||||||||
BPS |
54 | 0 | 0 | 54 | (3 | ) | 0 | (12 | ) | (15 | ) | 39 | 0 | 39 | ||||||||||||||||||||||||||||||||||
BRC |
21 | 0 | 0 | 21 | 0 | 0 | (12 | ) | (12 | ) | 9 | 0 | 9 | |||||||||||||||||||||||||||||||||||
CBK |
45 | 0 | 3 | 48 | (1 | ) | 0 | (36 | ) | (37 | ) | 11 | 0 | 11 | ||||||||||||||||||||||||||||||||||
DUB |
13 | 0 | 0 | 13 | (13 | ) | 0 | (22 | ) | (35 | ) | (22 | ) | 0 | (22 | ) | ||||||||||||||||||||||||||||||||
GLM |
1 | 0 | 0 | 1 | (2 | ) | 0 | 0 | (2 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (58 | ) | (58 | ) | (58 | ) | 0 | (58 | ) | |||||||||||||||||||||||||||||||||
HUS |
0 | 0 | 1 | 1 | 0 | 0 | (8 | ) | (8 | ) | (7 | ) | 0 | (7 | ) | |||||||||||||||||||||||||||||||||
MSB |
5 | 0 | 0 | 5 | (6 | ) | 0 | 0 | (6 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
NGF |
0 | 0 | 0 | 0 | 0 | 0 | (22 | ) | (22 | ) | (22 | ) | 0 | (22 | ) | |||||||||||||||||||||||||||||||||
SCX |
6 | 0 | 0 | 6 | (2 | ) | 0 | 0 | (2 | ) | 4 | 0 | 4 | |||||||||||||||||||||||||||||||||||
TOR |
0 | 0 | 0 | 0 | (7 | ) | 0 | 0 | (7 | ) | (7 | ) | 0 | (7 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 165 | $ | 0 | $ | 4 | $ | 169 | $ | (54 | ) | $ | 0 | $ | (560 | ) | $ | (614 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 26 | $ | 26 | ||||||||||||
Swap Agreements |
0 | 6 | 0 | 0 | 9 | 15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 6 | $ | 0 | $ | 0 | $ | 35 | $ | 41 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 165 | $ | 0 | $ | 165 | ||||||||||||
Swap Agreements |
0 | 4 | 0 | 0 | 0 | 4 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 4 | $ | 0 | $ | 165 | $ | 0 | $ | 169 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 10 | $ | 0 | $ | 165 | $ | 35 | $ | 210 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
58 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 3 | $ | 3 | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 8 | 8 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 11 | $ | 11 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 54 | $ | 0 | $ | 54 | ||||||||||||
Swap Agreements |
0 | 560 | 0 | 0 | 0 | 560 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 560 | $ | 0 | $ | 54 | $ | 0 | $ | 614 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 560 | $ | 0 | $ | 54 | $ | 11 | $ | 625 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
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 | $ | (269 | ) | $ | (269 | ) | ||||||||||
Swap Agreements |
0 | 90 | 0 | 0 | (49 | ) | 41 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 90 | $ | 0 | $ | 0 | $ | (318 | ) | $ | (228 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 191 | $ | 0 | $ | 191 | ||||||||||||
Written Options |
0 | 1 | 0 | 7 | 0 | 8 | ||||||||||||||||||
Swap Agreements |
0 | 136 | 0 | 0 | 258 | 394 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 137 | $ | 0 | $ | 198 | $ | 258 | $ | 593 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 227 | $ | 0 | $ | 198 | $ | (60 | ) | $ | 365 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (121 | ) | $ | (121 | ) | ||||||||||
Swap Agreements |
0 | 77 | 0 | 0 | (94 | ) | (17 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 77 | $ | 0 | $ | 0 | $ | (215 | ) | $ | (138 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 33 | $ | 0 | $ | 33 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 5 | 0 | 5 | ||||||||||||||||||
Written Options |
0 | 0 | 0 | (6 | ) | 0 | (6 | ) | ||||||||||||||||
Swap Agreements |
0 | 82 | 0 | 0 | 0 | 82 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 82 | $ | 0 | $ | 32 | $ | 0 | $ | 114 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 159 | $ | 0 | $ | 32 | $ | (215 | ) | $ | (24 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 59 |
Schedule of Investments PIMCO Diversified Income Active Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
There were assets and liabilities valued at $1,008 transferred from Level 1 to Level 2 during the period ended December 31, 2016. There were no significant assets and liabilities transferred from Level 2 to Level 1 during the period ended December 31, 2016. There were no significant transfers between Levels 2 and 3 during the period ended December 31, 2016.
60 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 61 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
62 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 63 |
Schedule of Investments PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Cont.)
64 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
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) |
||||||||||||||||||||||
SAL | 0.610 | % | 12/30/2016 | 01/03/2017 | $ | 43,000 | U.S. Treasury Notes 1.375% due 02/29/2020 | $ | (43,859 | ) | $ | 43,000 | $ | 43,003 | ||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | 231 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | (238 | ) | 231 | 231 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (44,097 | ) | $ | 43,231 | $ | 43,234 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(22,124) at a weighted average interest rate of 0.755%. Average borrowings includes reverse repurchase agreements and sale-buyback transactions, of which there were none open at period end.
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
SAL |
$ | 43,003 | $ | 0 | $ | 0 | $ | 0 | $ | 43,003 | $ | (43,859 | ) | $ | (856 | ) | ||||||||||||
SSB |
231 | 0 | 0 | 0 | 231 | (238 | ) | (7 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 43,234 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 65 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund
66 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Coupon represents a weighted average yield to maturity. |
(b) | Zero coupon security. |
(c) | Coupon represents a yield to maturity. |
(d) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(e) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 123 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | (127 | ) | $ | 123 | $ | 123 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (127 | ) | $ | 123 | $ | 123 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(3) |
Borrowing Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Sale-Buyback Transactions(4) |
|||||||||||||||
BPG |
1.300 | % | 12/28/2016 | 01/04/2017 | $ | (1,941 | ) | $ | (1,942 | ) | ||||||||||
MSC |
0.990 | 11/09/2016 | 01/09/2017 | (1,312 | ) | (1,314 | ) | |||||||||||||
TDM |
0.860 | 10/27/2016 | 01/13/2017 | (11,226 | ) | (11,244 | ) | |||||||||||||
0.920 | 11/02/2016 | 01/04/2017 | (317 | ) | (318 | ) | ||||||||||||||
1.000 | 11/09/2016 | 01/09/2017 | (5,791 | ) | (5,800 | ) | ||||||||||||||
1.000 | 11/17/2016 | 01/13/2017 | (2,797 | ) | (2,800 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Sale-Buyback Transactions |
|
$ | (23,418 | ) | ||||||||||||||||
|
|
(3) |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(30,175) at a weighted average interest rate of 0.667%. Average borrowings includes reverse repurchase agreements, of which there were none open at period end. |
(4) |
Payable for sale-buyback transactions includes $(5) of deferred price drop. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 67 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2016:
(f) | Securities with an aggregate market value of $21,849 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
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 |
||||||||||||||||||||||||||||
SSB |
$ | 123 | $ | 0 | $ | 0 | $ | 123 | $ | (127 | ) | $ | (4 | ) | ||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||
BPG |
0 | 0 | (1,942 | ) | (1,942 | ) | 1,950 | 8 | ||||||||||||||||||||
MSC |
0 | 0 | (1,314 | ) | (1,314 | ) | 0 | (1,314 | ) | |||||||||||||||||||
TDM |
0 | 0 | (20,162 | ) | (20,162 | ) | 19,899 | (263 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 123 | $ | 0 | $ | (23,418 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Sale-Buyback Transactions |
| |||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | (23,418 | ) | $ | 0 | $ | 0 | $ | (23,418 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (23,418 | ) | $ | 0 | $ | 0 | $ | (23,418 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for sale-buyback financing transactions |
|
$ | (23,418 | ) | ||||||||||||||||
|
|
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
WRITTEN OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
#
of Contracts |
Premiums (Received) |
Market Value |
|||||||||||||||
Put - CBOT U.S. Treasury 10-Year Note February Futures |
$ | 122.500 | 01/27/2017 | 4 | $ | (2 | ) | $ | (1 | ) | ||||||||||
|
|
|
|
|||||||||||||||||
Total Written Options |
|
$ | (2 | ) | $ | (1 | ) | |||||||||||||
|
|
|
|
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||
Asset | Liability | |||||||||||||||||||||
Euro-BTP Italy Government Bond March Futures |
Short | 03/2017 | 3 | $ | (6 | ) | $ | 1 | $ | (1 | ) | |||||||||||
Euro-Bund 10-Year Bond March Futures |
Long | 03/2017 | 11 | 23 | 6 | (5 | ) | |||||||||||||||
Euro-OAT France Government 10-Year Bond March Futures |
Short | 03/2017 | 3 | (5 | ) | 2 | (2 | ) | ||||||||||||||
Put Options Strike @ GBP 98.000 on United Kingdom 90-Day LIBOR Sterling June Futures |
Short | 06/2017 | 25 | 0 | 0 | 0 | ||||||||||||||||
Put Options Strike @ GBP 98.500 on United Kingdom 90-Day LIBOR Sterling June Futures |
Long | 06/2017 | 25 | (2 | ) | 0 | 0 | |||||||||||||||
U.S. Treasury 2-Year Note March Futures |
Short | 03/2017 | 28 | 7 | 0 | (2 | ) | |||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Long | 03/2017 | 23 | 17 | 4 | 0 | ||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Long | 03/2017 | 18 | (2 | ) | 6 | 0 | |||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Short | 03/2017 | 5 | 6 | 0 | (4 | ) | |||||||||||||||
United Kingdom Long Gilt March Futures |
Short | 03/2017 | 2 | (5 | ) | 0 | (2 | ) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total Futures Contracts |
|
$ | 33 | $ | 19 | $ | (16 | ) | ||||||||||||||
|
|
|
|
|
|
68 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(2) |
Market |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
CDX.IG-25 5-Year Index |
(1.000 | )% | 12/20/2020 | $ | 100 | $ | (1 | ) | $ | (1 | ) | $ | 0 | $ | 0 | |||||||||||||
CDX.IG-27 5-Year Index |
(1.000 | ) | 12/20/2021 | 500 | (8 | ) | 0 | 0 | 0 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | (9 | ) | $ | (1 | ) | $ | 0 | $ | 0 | |||||||||||||||||||
|
|
|
|
|
|
|
|
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, 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 an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.250 | % | 06/15/2018 | $ | 700 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 12/16/2020 | 1,100 | (7 | ) | 13 | 0 | (1 | ) | ||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | 12/21/2021 | 100 | 2 | 1 | 0 | 0 | ||||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.500 | 12/19/2023 | 2,400 | 2 | 21 | 4 | 0 | ||||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.500 | 02/22/2026 | 5,200 | 53 | 70 | 0 | (12 | ) | |||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.400 | 03/16/2026 | 2,000 | 30 | 37 | 0 | (5 | ) | |||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.300 | 04/27/2026 | 1,400 | 27 | 33 | 0 | (3 | ) | |||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
1.850 | 07/27/2026 | 450 | 18 | 19 | 0 | (1 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | 12/21/2026 | 760 | 40 | 45 | 0 | (3 | ) | |||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 12/21/2046 | 810 | 67 | (32 | ) | 0 | (7 | ) | ||||||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
2.750 | 12/19/2048 | 600 | (2 | ) | (17 | ) | 0 | (6 | ) | |||||||||||||||||||||||
Pay* |
6-Month EUR-EURIBOR |
0.500 | 03/15/2027 | EUR | 800 | (16 | ) | (21 | ) | 3 | 0 | |||||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
0.500 | 03/15/2019 | GBP | 3,200 | 11 | 17 | 0 | (4 | ) | ||||||||||||||||||||||||
Pay |
6-Month GBP-LIBOR |
2.088 | 12/04/2024 | 500 | (48 | ) | (41 | ) | 0 | (3 | ) | |||||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
0.750 | 03/15/2027 | 1,980 | 117 | 52 | 0 | (14 | ) | |||||||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
1.500 | 03/15/2047 | 150 | (3 | ) | (13 | ) | 0 | (3 | ) | |||||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
1.750 | 03/15/2047 | 370 | (37 | ) | 23 | 0 | (6 | ) | ||||||||||||||||||||||||
Pay |
6-Month JPY-LIBOR |
1.500 | 12/21/2045 | JPY | 13,400 | (22 | ) | 21 | 0 | (2 | ) | |||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.610 | 07/07/2021 | MXN | 5,700 | (21 | ) | (6 | ) | 1 | 0 | |||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
6.750 | 08/31/2021 | 3,100 | (5 | ) | (3 | ) | 0 | 0 | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.030 | 11/10/2021 | 4,400 | (5 | ) | (5 | ) | 1 | 0 | ||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.388 | 11/17/2021 | 500 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.380 | 11/04/2026 | 300 | (1 | ) | (1 | ) | 0 | 0 | ||||||||||||||||||||||||
Receive |
CPTFEMU |
0.830 | 05/15/2018 | EUR | 1,100 | (10 | ) | (5 | ) | 1 | 0 | |||||||||||||||||||||||
Pay |
CPTFEMU |
0.625 | 09/15/2018 | 2,600 | 11 | 18 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
0.650 | 10/15/2018 | 1,400 | 6 | 10 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
0.883 | 11/15/2018 | 200 | 1 | 1 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
1.000 | 12/15/2020 | 4,100 | 4 | 63 | 3 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
0.806 | 04/15/2021 | 1,200 | 27 | 21 | 1 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
0.875 | 05/15/2021 | 800 | 17 | 12 | 1 | 0 | ||||||||||||||||||||||||||
Pay |
CPTFEMU |
1.165 | 12/15/2021 | 500 | 3 | 2 | 2 | 0 | ||||||||||||||||||||||||||
Receive |
CPTFEMU |
1.385 | 12/15/2026 | 300 | (3 | ) | (2 | ) | 0 | 0 | ||||||||||||||||||||||||
Receive |
CPURNSA |
2.027 | 11/23/2020 | $ | 300 | 2 | 2 | 0 | 0 | |||||||||||||||||||||||||
Receive |
CPURNSA |
2.021 | 11/25/2020 | 300 | 2 | 2 | 0 | 0 | ||||||||||||||||||||||||||
Pay |
FRCPXTOB |
0.890 | 11/15/2018 | EUR | 200 | 1 | 1 | 0 | 0 | |||||||||||||||||||||||||
Pay |
UKRPI |
3.190 | 04/15/2030 | GBP | 400 | (18 | ) | 5 | 0 | 0 | ||||||||||||||||||||||||
Pay |
UKRPI |
3.350 | 05/15/2030 | 400 | (4 | ) | 3 | 0 | 0 | |||||||||||||||||||||||||
Pay |
UKRPI |
3.140 | 04/15/2031 | 900 | (90 | ) | 5 | 0 | (1 | ) | ||||||||||||||||||||||||
Pay |
UKRPI |
3.100 | 06/15/2031 | 900 | (107 | ) | (8 | ) | 1 | 0 | ||||||||||||||||||||||||
Pay |
UKRPI |
3.358 | 04/15/2035 | 300 | (12 | ) | 4 | 0 | 0 | |||||||||||||||||||||||||
Receive |
UKRPI |
3.585 | 10/15/2046 | 100 | (4 | ) | 1 | 0 | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 25 | $ | 348 | $ | 18 | $ | (71 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | 16 | $ | 347 | $ | 18 | $ | (71 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | This instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 69 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
Cash of $1,082 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Total | Market Value | Variation Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 19 | $ | 18 | $ | 37 | $ | (1) | $ | (16) | $ | (71) | $ | (88) | ||||||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
(h) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
01/2017 | $ | 1,876 | AUD | 2,605 | $ | 4 | $ | 0 | |||||||||||||||
01/2017 | 1,319 | NZD | 1,903 | 2 | 0 | |||||||||||||||||||
02/2017 | AUD | 2,409 | $ | 1,733 | 0 | (4 | ) | |||||||||||||||||
02/2017 | NZD | 1,903 | 1,318 | 0 | (2 | ) | ||||||||||||||||||
BOA |
01/2017 | CNH | 21 | 3 | 0 | 0 | ||||||||||||||||||
01/2017 | COP | 530,005 | 175 | 0 | (1 | ) | ||||||||||||||||||
01/2017 | DKK | 7,800 | 1,179 | 75 | 0 | |||||||||||||||||||
01/2017 | SGD | 297 | 210 | 6 | 0 | |||||||||||||||||||
01/2017 | $ | 8,205 | EUR | 7,889 | 101 | 0 | ||||||||||||||||||
02/2017 | EUR | 7,889 | $ | 8,216 | 0 | (101 | ) | |||||||||||||||||
BPS |
01/2017 | BRL | 900 | 207 | 0 | (69 | ) | |||||||||||||||||
01/2017 | EUR | 8,955 | 9,498 | 70 | 0 | |||||||||||||||||||
01/2017 | GBP | 6,737 | 8,424 | 121 | 0 | |||||||||||||||||||
01/2017 | INR | 7,327 | 108 | 1 | 0 | |||||||||||||||||||
01/2017 | $ | 276 | BRL | 900 | 0 | 0 | ||||||||||||||||||
01/2017 | 629 | COP | 2,006,352 | 37 | 0 | |||||||||||||||||||
01/2017 | 233 | JPY | 27,500 | 2 | 0 | |||||||||||||||||||
02/2017 | JPY | 20,000 | $ | 191 | 20 | 0 | ||||||||||||||||||
BRC |
01/2017 | $ | 53 | COP | 157,463 | 0 | (1 | ) | ||||||||||||||||
01/2017 | 6 | DKK | 40 | 0 | 0 | |||||||||||||||||||
CBK |
01/2017 | COP | 4,116,294 | $ | 1,374 | 8 | 0 | |||||||||||||||||
01/2017 | JPY | 120,000 | 1,165 | 138 | 0 | |||||||||||||||||||
01/2017 | $ | 173 | CAD | 233 | 0 | 0 | ||||||||||||||||||
01/2017 | 91 | COP | 276,172 | 0 | 0 | |||||||||||||||||||
01/2017 | 473 | EUR | 455 | 6 | 0 | |||||||||||||||||||
02/2017 | JPY | 60,000 | $ | 573 | 58 | 0 | ||||||||||||||||||
DUB |
01/2017 | BRL | 6,700 | 1,972 | 0 | (86 | ) | |||||||||||||||||
01/2017 | CNH | 1,398 | 202 | 2 | 0 | |||||||||||||||||||
01/2017 | INR | 4,856 | 72 | 0 | 0 | |||||||||||||||||||
01/2017 | $ | 1,935 | BRL | 6,700 | 124 | 0 | ||||||||||||||||||
02/2017 | MXN | 14,595 | $ | 711 | 11 | 0 | ||||||||||||||||||
02/2017 | $ | 3,080 | MXN | 59,093 | 0 | (245 | ) | |||||||||||||||||
FBF |
02/2017 | 2,023 | 41,181 | 0 | (48 | ) | ||||||||||||||||||
02/2017 | 71 | RUB | 4,373 | 0 | 0 | |||||||||||||||||||
GLM |
01/2017 | BRL | 2,400 | $ | 561 | 0 | (176 | ) | ||||||||||||||||
01/2017 | CLP | 622,098 | 948 | 21 | 0 | |||||||||||||||||||
01/2017 | GBP | 513 | 648 | 15 | 0 | |||||||||||||||||||
01/2017 | JPY | 74,700 | 733 | 94 | 0 | |||||||||||||||||||
01/2017 | $ | 736 | BRL | 2,400 | 1 | 0 | ||||||||||||||||||
01/2017 | 548 | JPY | 62,500 | 0 | (13 | ) | ||||||||||||||||||
02/2017 | 107 | MXN | 2,190 | 0 | (2 | ) | ||||||||||||||||||
02/2017 | 135 | RUB | 8,620 | 4 | 0 | |||||||||||||||||||
HUS |
01/2017 | AUD | 2,605 | $ | 1,939 | 60 | 0 | |||||||||||||||||
01/2017 | $ | 93 | CLP | 63,035 | 1 | 0 | ||||||||||||||||||
01/2017 | 121 | NZD | 175 | 1 | 0 | |||||||||||||||||||
02/2017 | MXN | 9,319 | $ | 495 | 48 | 0 | ||||||||||||||||||
02/2017 | $ | 2,107 | ILS | 8,008 | 0 | (26 | ) |
70 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
IND |
01/2017 | $ | 8,137 | GBP | 6,646 | $ | 54 | $ | 0 | |||||||||||||||
02/2017 | GBP | 6,646 | $ | 8,142 | 0 | (55 | ) | |||||||||||||||||
JPM |
01/2017 | BRL | 2,300 | 541 | 0 | (166 | ) | |||||||||||||||||
01/2017 | GBP | 142 | 181 | 6 | 0 | |||||||||||||||||||
01/2017 | $ | 706 | BRL | 2,300 | 1 | 0 | ||||||||||||||||||
01/2017 | 345 | EUR | 324 | 0 | (4 | ) | ||||||||||||||||||
01/2017 | 775 | GBP | 622 | 0 | (9 | ) | ||||||||||||||||||
01/2017 | 4,507 | JPY | 529,855 | 26 | 0 | |||||||||||||||||||
02/2017 | CNH | 1,640 | $ | 239 | 7 | 0 | ||||||||||||||||||
02/2017 | GBP | 90 | 111 | 1 | 0 | |||||||||||||||||||
02/2017 | JPY | 549,855 | 4,704 | 19 | (28 | ) | ||||||||||||||||||
02/2017 | MXN | 23,891 | 1,135 | 0 | (11 | ) | ||||||||||||||||||
02/2017 | $ | 40 | EUR | 38 | 0 | 0 | ||||||||||||||||||
02/2017 | 209 | ILS | 806 | 1 | 0 | |||||||||||||||||||
02/2017 | 3,075 | MXN | 61,304 | 0 | (134 | ) | ||||||||||||||||||
02/2017 | 574 | ZAR | 7,930 | 0 | (1 | ) | ||||||||||||||||||
MSB |
01/2017 | 436 | CNH | 2,941 | 0 | (15 | ) | |||||||||||||||||
01/2017 | 1,164 | COP | 3,497,368 | 0 | (3 | ) | ||||||||||||||||||
02/2017 | ZAR | 4,995 | $ | 350 | 0 | (11 | ) | |||||||||||||||||
NAB |
01/2017 | $ | 156 | GBP | 124 | 0 | (3 | ) | ||||||||||||||||
SCX |
01/2017 | CAD | 2,438 | $ | 1,807 | 0 | (9 | ) | ||||||||||||||||
01/2017 | CNH | 1,522 | 221 | 3 | 0 | |||||||||||||||||||
01/2017 | JPY | 615,154 | 5,505 | 241 | 0 | |||||||||||||||||||
01/2017 | $ | 108 | KRW | 129,092 | 0 | (1 | ) | |||||||||||||||||
02/2017 | MXN | 397 | $ | 19 | 0 | 0 | ||||||||||||||||||
SOG |
01/2017 | CLP | 543,323 | 806 | 0 | (4 | ) | |||||||||||||||||
01/2017 | COP | 1,017,228 | 322 | 0 | (15 | ) | ||||||||||||||||||
01/2017 | NZD | 2,078 | 1,470 | 27 | 0 | |||||||||||||||||||
TOR |
01/2017 | $ | 1,636 | CAD | 2,205 | 6 | 0 | |||||||||||||||||
02/2017 | CAD | 2,205 | $ | 1,637 | 0 | (6 | ) | |||||||||||||||||
UAG |
01/2017 | KRW | 1,753,944 | 1,471 | 18 | 0 | ||||||||||||||||||
01/2017 | SEK | 1,130 | 123 | 0 | (1 | ) | ||||||||||||||||||
01/2017 | $ | 308 | EUR | 287 | 0 | (6 | ) | |||||||||||||||||
01/2017 | 418 | INR | 28,237 | 0 | (3 | ) | ||||||||||||||||||
01/2017 | 1,433 | KRW | 1,624,852 | 0 | (88 | ) | ||||||||||||||||||
02/2017 | CNH | 8,510 | $ | 1,251 | 46 | 0 | ||||||||||||||||||
03/2017 | $ | 1,486 | KRW | 1,772,096 | 0 | (19 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 1,487 | $ | (1,366 | ) | |||||||||||||||||||
|
|
|
|
PURCHASED OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||||
CBK |
Put - OTC 1-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.200 | % | 02/13/2017 | $ | 6,000 | $ | 3 | $ | 4 | ||||||||||||||||||
DUB |
Call - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.150 | 06/15/2018 | 400 | 40 | 15 | ||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.150 | 06/15/2018 | 400 | 40 | 63 | |||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.860 | 10/23/2018 | 400 | 27 | 32 | |||||||||||||||||||||||
GLM |
Put - OTC 1-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.250 | 01/09/2017 | 24,400 | 11 | 1 | ||||||||||||||||||||||
NGF |
Call - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.150 | 06/15/2018 | 200 | 20 | 7 | ||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.150 | 06/15/2018 | 200 | 20 | 31 | |||||||||||||||||||||||
RBC |
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.765 | 07/16/2018 | 3,700 | 44 | 121 | ||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | 205 | $ | 274 | |||||||||||||||||||||||||||
|
|
|
|
INTEREST RATE-CAPPED OPTIONS
Counterparty | Description | Exercise Rate |
Floating Rate Index | Expiration Date |
Notional Amount |
Cost | Market Value |
|||||||||||||||||
FAR |
Call - OTC 2-Year Interest Rate Floor* |
1.600 | % |
3-Month USD-LIBOR |
12/06/2019 | $ | 3,800 | $ | 53 | $ | 18 | |||||||||||||
NGF |
Call - OTC 2-Year Interest Rate Floor* |
1.600 |
3-Month USD-LIBOR |
12/06/2019 | 3,900 | 54 | 18 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 107 | $ | 36 | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Purchased Options |
|
$ | 312 | $ | 310 | |||||||||||||||||||
|
|
|
|
* | The underlying instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 71 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||||||
BOA |
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.000 | % | 02/15/2017 | EUR | 100 | $ | 0 | $ | 0 | |||||||||||||||||
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.000 | 03/15/2017 | 300 | (1 | ) | (1 | ) | ||||||||||||||||||||
BRC |
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.050 | 02/15/2017 | 300 | (1 | ) | 0 | ||||||||||||||||||||
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.100 | 02/15/2017 | 200 | 0 | 0 | ||||||||||||||||||||||
CBK |
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.000 | 02/15/2017 | 100 | 0 | 0 | |||||||||||||||||||||
GST |
Call - OTC CDX.IG-27 5-Year Index |
Buy | 0.700 | 03/15/2017 | $ | 900 | (2 | ) | (2 | ) | ||||||||||||||||||
Put - OTC iTraxx Europe 26 5-Year Index |
Sell | 1.050 | 02/15/2017 | EUR | 100 | 0 | 0 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | (4 | ) | $ | (3 | ) | |||||||||||||||||||||||
|
|
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||
BOA |
Call - OTC GBP versus USD |
$ | 1.297 | 01/27/2017 | GBP | 630 | $ | (5 | ) | $ | (1 | ) | ||||||||||||||
|
|
|
|
INFLATION-CAPPED OPTIONS
Counterparty | Description | Initial Index |
Floating Rate | Expiration Date(1) |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||
GLM |
Cap - OTC CPALEMU |
100.151 |
Maximum of [(Final Index/Initial Index - 1) - 3.000%] or 0 |
06/22/2035 | EUR 300 | $ | (14 | ) | $ | (4 | ) | |||||||||||||
JPM |
Cap - OTC YOY CPURNSA |
233.707 |
Maximum of [(3 + 0.000%) - (Final Index/Initial Index)] or 0 |
04/10/2020 | $ | 3,900 | (10 | ) | 12 | |||||||||||||||
Floor - OTC YOY CPURNSA |
233.707 |
Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 |
04/10/2020 | 3,900 | (10 | ) | 11 | |||||||||||||||||
Floor - OTC YOY CPURNSA |
234.812 |
Maximum of [0.000% - (Final Index/Initial Index - 1)] or 0 |
03/24/2020 | 1,100 | (13 | ) | (8 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||
$ | (47 | ) | $ | 11 | ||||||||||||||||||||
|
|
(1) |
YOY options may have a series of expirations. |
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||
DUB |
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.500 | % | 10/23/2018 | $ | 1,800 | $ | (25 | ) | $ | (38 | ) | ||||||||||||||||
GLM |
Call - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.950 | 02/16/2017 | 1,700 | (12 | ) | (1 | ) | ||||||||||||||||||||
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.400 | 02/16/2017 | 1,700 | (14 | ) | (18 | ) | |||||||||||||||||||||
RYL |
Call - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Receive | 1.800 | 11/07/2017 | 900 | (8 | ) | (2 | ) | ||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap* |
3-Month USD-LIBOR |
Pay | 2.600 | 11/07/2017 | 900 | (8 | ) | (18 | ) | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | (67 | ) | $ | (77 | ) | |||||||||||||||||||||||||
|
|
|
|
* | The underlying instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
INTEREST RATE-CAPPED OPTIONS
Counterparty | Description | Exercise Rate |
Floating Rate Index | Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
|||||||||||||||||
FAR |
Call - OTC 2-Year Interest Rate Floor* |
0.943 | % |
3-Month USD-LIBOR |
12/06/2019 | $ | 7,600 | $ | (53 | ) | $ | (8 | ) | |||||||||||
NGF |
Call - OTC 2-Year Interest Rate Floor* |
0.943 |
3-Month USD-LIBOR |
12/06/2019 | 7,800 | (54 | ) | (8 | ) | |||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | (107 | ) | $ | (16 | ) | |||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Written Options |
$ | (230 | ) | $ | (86 | ) | ||||||||||||||||||
|
|
|
|
* | The underlying instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
72 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2016:
Balance
at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance
at End of Period |
|||||||||||||||||||||||||||||||||||||||
# of Contracts |
0 | 84 | (41 | ) | (14 | ) | (25 | ) | 4 | |||||||||||||||||||||||||||||||||||
Notional Amount in $ |
$ | 43,120 | $ | 14,441 | $ | (10,240 | ) | $ | (11,150 | ) | $ | (3,971 | ) | $ | 32,200 | |||||||||||||||||||||||||||||
Notional Amount in EUR |
EUR | 5,300 | EUR | 4,253 | EUR | (2,580 | ) | EUR | (3,453 | ) | EUR | (2,120 | ) | EUR | 1,400 | |||||||||||||||||||||||||||||
Notional Amount in GBP |
GBP | 0 | GBP | 1,710 | GBP | 0 | GBP | (1,080 | ) | GBP | 0 | GBP | 630 | |||||||||||||||||||||||||||||||
Premiums |
$ | (268 | ) | $ | (135 | ) | $ | 94 | $ | 51 | $ | 26 | $ | (232 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION(2)
Counterparty | Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2016(3) |
Notional Amount(4) |
Premiums (Received) |
Unrealized Appreciation |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BOA |
Mexico Government International Bond |
1.000 | % | 06/20/2021 | 1.407 | % | $ 600 | $ | (15 | ) | $ | 5 | $ | 0 | $ | (10 | ) | |||||||||||||||||
BRC |
Mexico Government International Bond |
1.000 | 06/20/2021 | 1.407 | 200 | (5 | ) | 2 | 0 | (3 | ) | |||||||||||||||||||||||
DUB |
Colombia Government International Bond |
1.000 | 06/20/2021 | 1.480 | 400 | (10 | ) | 2 | 0 | (8 | ) | |||||||||||||||||||||||
FBF |
Mexico Government International Bond |
1.000 | 06/20/2021 | 1.407 | 1,100 | (29 | ) | 10 | 0 | (19 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (59 | ) | $ | 19 | $ | 0 | $ | (40 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(2)
Counterparty | Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(4) |
Premiums (Received) |
Unrealized Appreciation |
Swap Agreements, at Value(5) |
|||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
DUB |
CMBX.NA.AAA.7 Index |
0.500 | % | 01/17/2047 | $ | 800 | $ (25 | ) | $ | 21 | $ | 0 | $ | (4 | ) | |||||||||||||||
CMBX.NA.AAA.8 Index |
0.500 | 10/17/2057 | 400 | (30 | ) | 25 | 0 | (5 | ) | |||||||||||||||||||||
GST |
CMBX.NA.AAA.7 Index |
0.500 | 01/17/2047 | 400 | (20 | ) | 18 | 0 | (2 | ) | ||||||||||||||||||||
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 1,700 | (101 | ) | 64 | 0 | (37 | ) | |||||||||||||||||||||
UAG |
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 100 | (9 | ) | 7 | 0 | (2 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ (185 | ) | $ | 135 | $ | 0 | $ | (50 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
(2) |
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. |
(3) |
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(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 an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Counterparty | Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BOA |
Pay |
CPURNSA |
1.500 | % | 01/15/2017 | $ | 400 | $ | 0 | $ | (1 | ) | $ | 0 | $ | (1 | ) | |||||||||||||||||
Pay |
CPURNSA |
1.540 | 01/15/2017 | 1,700 | 0 | (2 | ) | 0 | (2 | ) | ||||||||||||||||||||||||
Pay |
CPURNSA |
2.000 | 04/15/2017 | 1,200 | 0 | (3 | ) | 0 | (3 | ) | ||||||||||||||||||||||||
Receive |
CPURNSA |
1.010 | 10/16/2017 | 100 | 0 | 2 | 2 | 0 | ||||||||||||||||||||||||||
Receive |
CPURNSA |
1.565 | 06/07/2018 | 100 | 0 | 1 | 1 | 0 | ||||||||||||||||||||||||||
BPS |
Pay |
FRCPXTOB |
1.140 | 08/15/2026 | EUR | 500 | 0 | (21 | ) | 0 | (21 | ) | ||||||||||||||||||||||
CBK |
Pay |
CPTFEMU |
1.178 | 05/15/2026 | 200 | 0 | (6 | ) | 0 | (6 | ) | |||||||||||||||||||||||
GLM |
Pay |
UKRPI |
3.320 | 05/15/2030 | GBP | 240 | 0 | (5 | ) | 0 | (5 | ) | ||||||||||||||||||||||
Receive |
UKRPI |
3.120 | 06/15/2046 | 30 | 0 | 8 | 8 | 0 | ||||||||||||||||||||||||||
JPM |
Pay |
CPURNSA |
1.330 | 01/01/2017 | $ | 900 | 0 | (3 | ) | 0 | (3 | ) | ||||||||||||||||||||||
Pay |
CPURNSA |
1.413 | 01/15/2017 | 500 | 0 | (1 | ) | 0 | (1 | ) |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 73 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
Counterparty | Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value | ||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay |
CPURNSA |
1.550 | % | 01/15/2017 | $ | 1,600 | $ | 0 | $ | (2 | ) | $ | 0 | $ | (2 | ) | ||||||||||||||||||
Pay |
CPURNSA |
2.000 | 04/15/2017 | 100 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
Receive |
CPURNSA |
1.000 | 07/26/2021 | 200 | 0 | 6 | 6 | 0 | ||||||||||||||||||||||||||
Receive |
CPURNSA |
1.603 | 09/12/2021 | 150 | 0 | 4 | 4 | 0 | ||||||||||||||||||||||||||
Pay |
CPURNSA |
1.000 | 07/26/2026 | 200 | 0 | (11 | ) | 0 | (11 | ) | ||||||||||||||||||||||||
Pay |
CPURNSA |
1.801 | 09/12/2026 | 150 | 0 | (7 | ) | 0 | (7 | ) | ||||||||||||||||||||||||
Pay |
CPURNSA |
1.780 | 09/15/2026 | 800 | (1 | ) | (39 | ) | 0 | (40 | ) | |||||||||||||||||||||||
RYL |
Pay |
UKRPI |
3.140 | 07/15/2031 | GBP | 120 | 0 | (14 | ) | 0 | (14 | ) | ||||||||||||||||||||||
UAG |
Pay |
CPURNSA |
2.063 | 05/12/2025 | $ | 1,300 | 0 | (9 | ) | 0 | (9 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1 | ) | $ | (103 | ) | $ | 21 | $ | (125 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | (245 | ) | $ | 51 | $ | 21 | $ | (215 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
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 December 31, 2016:
(i) | Securities with an aggregate market value of $411 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
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(6) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 6 | $ | 0 | $ | 0 | $ | 6 | $ | (6 | ) | $ | 0 | $ | 0 | $ | (6 | ) | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
BOA |
182 | 0 | 3 | 185 | (102 | ) | (2 | ) | (16 | ) | (120 | ) | 65 | 0 | 65 | |||||||||||||||||||||||||||||||||
BPS |
251 | 0 | 0 | 251 | (69 | ) | 0 | (21 | ) | (90 | ) | 161 | (260 | ) | (99 | ) | ||||||||||||||||||||||||||||||||
BRC |
0 | 0 | 0 | 0 | (1 | ) | 0 | (3 | ) | (4 | ) | (4 | ) | 0 | (4 | ) | ||||||||||||||||||||||||||||||||
CBK |
210 | 4 | 0 | 214 | 0 | 0 | (6 | ) | (6 | ) | 208 | 0 | 208 | |||||||||||||||||||||||||||||||||||
DUB |
137 | 110 | 0 | 247 | (331 | ) | (38 | ) | (17 | ) | (386 | ) | (139 | ) | 273 | 134 | ||||||||||||||||||||||||||||||||
FAR |
0 | 18 | 0 | 18 | 0 | (8 | ) | 0 | (8 | ) | 10 | 0 | 10 | |||||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | (48 | ) | 0 | (19 | ) | (67 | ) | (67 | ) | 0 | (67 | ) | ||||||||||||||||||||||||||||||||
GLM |
135 | 1 | 8 | 144 | (191 | ) | (23 | ) | (5 | ) | (219 | ) | (75 | ) | 0 | (75 | ) | |||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | (2 | ) | (39 | ) | (41 | ) | (41 | ) | 0 | (41 | ) | ||||||||||||||||||||||||||||||||
HUS |
110 | 0 | 0 | 110 | (26 | ) | 0 | 0 | (26 | ) | 84 | 0 | 84 | |||||||||||||||||||||||||||||||||||
IND |
54 | 0 | 0 | 54 | (55 | ) | 0 | 0 | (55 | ) | (1 | ) | 0 | (1 | ) | |||||||||||||||||||||||||||||||||
JPM |
61 | 0 | 10 | 71 | (353 | ) | 15 | (64 | ) | (402 | ) | (331 | ) | 137 | (194 | ) | ||||||||||||||||||||||||||||||||
MSB |
0 | 0 | 0 | 0 | (29 | ) | 0 | 0 | (29 | ) | (29 | ) | 0 | (29 | ) | |||||||||||||||||||||||||||||||||
NAB |
0 | 0 | 0 | 0 | (3 | ) | 0 | 0 | (3 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
NGF |
0 | 56 | 0 | 56 | 0 | (8 | ) | 0 | (8 | ) | 48 | 0 | 48 | |||||||||||||||||||||||||||||||||||
RBC |
0 | 121 | 0 | 121 | 0 | 0 | 0 | 0 | 121 | 0 | 121 | |||||||||||||||||||||||||||||||||||||
RYL |
0 | 0 | 0 | 0 | 0 | (20 | ) | (14 | ) | (34 | ) | (34 | ) | 0 | (34 | ) | ||||||||||||||||||||||||||||||||
SCX |
244 | 0 | 0 | 244 | (10 | ) | 0 | 0 | (10 | ) | 234 | (70 | ) | 164 | ||||||||||||||||||||||||||||||||||
SOG |
27 | 0 | 0 | 27 | (19 | ) | 0 | 0 | (19 | ) | 8 | 0 | 8 | |||||||||||||||||||||||||||||||||||
TOR |
6 | 0 | 0 | 6 | (6 | ) | 0 | 0 | (6 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
UAG |
64 | 0 | 0 | 64 | (117 | ) | 0 | (11 | ) | (128 | ) | (64 | ) | 0 | (64 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 1,487 | $ | 310 | $ | 21 | $ | 1,818 | $ | (1,366 | ) | $ | (86 | ) | $ | (215 | ) | $ | (1,667 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
74 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 19 | $ | 19 | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 18 | 18 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 37 | $ | 37 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,487 | $ | 0 | $ | 1,487 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 310 | 310 | ||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 21 | 21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,487 | $ | 331 | $ | 1,818 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 1,487 | $ | 368 | $ | 1,855 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||
Futures |
0 | 0 | 0 | 0 | 16 | 16 | ||||||||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 71 | 71 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 88 | $ | 88 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,366 | $ | 0 | $ | 1,366 | ||||||||||||
Written Options |
0 | 3 | 0 | 1 | 82 | 86 | ||||||||||||||||||
Swap Agreements |
0 | 90 | 0 | 0 | 125 | 215 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 93 | $ | 0 | $ | 1,367 | $ | 207 | $ | 1,667 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 93 | $ | 0 | $ | 1,367 | $ | 295 | $ | 1,755 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (1 | ) | $ | (1 | ) | ||||||||||
Futures |
0 | 0 | 0 | 0 | 237 | 237 | ||||||||||||||||||
Swap Agreements |
0 | (3 | ) | 0 | 0 | (473 | ) | (476 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | (237 | ) | $ | (240 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 857 | $ | 0 | $ | 857 | ||||||||||||
Purchased Options |
0 | 0 | 0 | (4 | ) | (90 | ) | (94 | ) | |||||||||||||||
Written Options |
0 | 6 | 0 | 33 | 6 | 45 | ||||||||||||||||||
Swap Agreements |
0 | 19 | 0 | 0 | 0 | 19 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 25 | $ | 0 | $ | 886 | $ | (84 | ) | $ | 827 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 22 | $ | 0 | $ | 886 | $ | (321 | ) | $ | 587 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 75 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
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 |
||||||||||||||||||||||||
Written Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||
Futures |
0 | 0 | 0 | 0 | 353 | 353 | ||||||||||||||||||
Swap Agreements |
0 | (1 | ) | 0 | 0 | 1,340 | 1,339 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 1,694 | $ | 1,693 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 1,392 | $ | 0 | $ | 1,392 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 4 | 73 | 77 | ||||||||||||||||||
Written Options |
0 | (2 | ) | 0 | 8 | 100 | 106 | |||||||||||||||||
Swap Agreements |
0 | 106 | 0 | 0 | (142 | ) | (36 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 104 | $ | 0 | $ | 1,404 | $ | 31 | $ | 1,539 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 103 | $ | 0 | $ | 1,404 | $ | 1,725 | $ | 3,232 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
76 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 77 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
78 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | When-issued security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Zero coupon security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(d) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 1,597 | U.S. Treasury Notes 1.000% due 05/15/2015(2) | $ | (1,631 | ) | $ | 1,597 | $ | 1,597 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (1,631 | ) | $ | 1,597 | $ | 1,597 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 79 |
Schedule of Investments PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of December 31, 2016:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
SSB |
$ | 1,597 | $ | 0 | $ | 0 | $ | 0 | $ | 1,597 | $ | (1,631 | ) | $ | (34 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,597 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
TO COME
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
80 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 81 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
(b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
82 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(1) |
Borrowing Date |
Maturity Date |
Amount Borrowed(1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||
JPS |
0.790 | % | 12/22/2016 | 01/05/2017 | $ | (20,125 | ) | $ | (20,130 | ) | ||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (20,130 | ) | ||||||||||||||||
|
|
(1) |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(11,964) at a weighted average interest rate of 0.423%. Average borrowings includes sale-buyback transactions, of which there were none open at period end. |
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 as of December 31, 2016:
(c) | Securities with an aggregate market value of $20,127 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
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 |
Net Exposure(2) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||
JPS |
$ | 0 | $ | (20,130 | ) | $ | 0 | $ | 0 | $ | (20,130 | ) | $ | 20,127 | $ | (3 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 0 | $ | (20,130 | ) | $ | 0 | $ | 0 | |||||||||||||||||||
|
|
|
|
|
|
|
|
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
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 | $ | (20,130 | ) | $ | 0 | $ | 0 | $ | (20,130 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (20,130 | ) | $ | 0 | $ | 0 | $ | (20,130 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
|
$ | (20,130 | ) | ||||||||||||||||
|
|
(d) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | ||||||||||||||||||||
Description | Asset | Liability | ||||||||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2019 | 34 | $ | 50 | $ | 0 | $ | (3 | ) | ||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2017 | 20 | (2 | ) | 0 | 0 | |||||||||||||||||
Australia Government 3-Year Note March Futures |
Long | 03/2017 | 38 | (5 | ) | 8 | 0 | |||||||||||||||||
Australia Government 10-Year Bond March Futures |
Long | 03/2017 | 8 | 4 | 5 | 0 | ||||||||||||||||||
U.S. Treasury 2-Year Note March Futures |
Short | 03/2017 | 9 | 0 | 0 | (1 | ) | |||||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Short | 03/2017 | 33 | 5 | 0 | (5 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | 52 | $ | 13 | $ | (9 | ) | |||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2016(2) |
Notional Amount(3) |
Market Value(4) |
Unrealized Appreciation |
Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Exelon Generation Co. LLC |
1.000% | 12/20/2021 | 1.852% | $ 400 | $ | (15 | ) | $ | 1 | $ | 0 | $ | 0 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 83 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(3) |
Market Value(4) |
Unrealized (Depreciation) |
Variation Margin | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
CDX.HY-27 5-Year Index |
(5.000 | )% | 12/20/2021 | $ | 5,300 | $ | (338 | ) | $ | (80 | ) | $ | 0 | $ | (6 | ) | ||||||||||||
CDX.IG-26 5-Year Index |
(1.000 | ) | 06/20/2021 | 9,500 | (162 | ) | (67 | ) | 0 | (2 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
$ | (500 | ) | $ | (147 | ) | $ | 0 | $ | (8 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
(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 issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized (Depreciation) |
Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.350 | % | 12/28/2018 | $ | 7,900 | $ | (15 | ) | $ | (12 | ) | $ | 2 | $ | 0 | ||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.000 | 06/21/2020 | 51,000 | 7 | 5 | 16 | 0 | ||||||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
5.798 | 09/06/2021 | MXN | 63,200 | (221 | ) | (105 | ) | 9 | 0 | |||||||||||||||||||||||
Pay |
28-Day MXN-TIIE |
7.199 | 12/03/2021 | 7,600 | (6 | ) | (6 | ) | 1 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (235 | ) | $ | (118 | ) | $ | 28 | $ | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total Swap Agreements |
$ | (750 | ) | $ | (264 | ) | $ | 28 | $ | (8 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
Cash of $946 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements.
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Total | Market Value | Variation
Margin Liability |
Total | |||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Written Options |
Futures | Swap Agreements |
|||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 13 | $ | 28 | $ | 41 | $ | 0 | $ | (9) | $ | (8) | $ | (17) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(e) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
01/2017 | $ | 1,117 | AUD | 1,552 | $ | 3 | $ | 0 | |||||||||||||||
02/2017 | AUD | 1,552 | $ | 1,116 | 0 | (3 | ) | |||||||||||||||||
BOA |
01/2017 | $ | 1,651 | EUR | 1,587 | 20 | 0 | |||||||||||||||||
02/2017 | EUR | 1,587 | $ | 1,653 | 0 | (20 | ) | |||||||||||||||||
BPS |
01/2017 | 1,575 | 1,671 | 12 | 0 | |||||||||||||||||||
CBK |
01/2017 | 356 | 374 | 0 | (1 | ) | ||||||||||||||||||
02/2017 | GBP | 129 | 163 | 4 | 0 | |||||||||||||||||||
GLM |
01/2017 | $ | 360 | EUR | 344 | 2 | 0 | |||||||||||||||||
02/2017 | MXN | 1,522 | $ | 71 | 0 | (2 | ) | |||||||||||||||||
HUS |
01/2017 | AUD | 1,552 | 1,155 | 35 | 0 |
84 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
JPM |
01/2017 | AUD | 953 | $ | 704 | $ | 17 | $ | 0 | |||||||||||||||
01/2017 | CAD | 973 | 733 | 8 | 0 | |||||||||||||||||||
01/2017 | $ | 701 | AUD | 953 | 0 | (13 | ) | |||||||||||||||||
02/2017 | 17 | MXN | 353 | 0 | 0 | |||||||||||||||||||
SCX |
02/2017 | 15 | 311 | 0 | 0 | |||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
|
$ | 101 | $ | (39 | ) | ||||||||||||||||||
|
|
|
|
PURCHASED OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||||
CBK |
Put - OTC 2-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.600 | % | 03/06/2017 | $ | 4,200 | $ | 4 | $ | 6 | ||||||||||||||||||
GLM |
Put - OTC 2-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.600 | 03/06/2017 | 14,100 | 14 | 19 | ||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | 18 | $ | 25 | |||||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
Total Purchased Options |
|
$ | 18 | $ | 25 | |||||||||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||
CBK |
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 3.010 | % | 03/06/2017 | $ | 500 | $ | (5) | $ | (3 | ) | |||||||||||||
GLM |
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 3.010 | 03/06/2017 | 1,100 | (12 | ) | (7 | ) | ||||||||||||||||
JPM |
Put - OTC 2-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 1.650 | 02/21/2017 | 9,200 | (8 | ) | (6 | ) | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$ | (25 | ) | $ | (16 | ) | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
Total Written Options |
|
$ | (25 | ) | $ | (16 | ) | |||||||||||||||||||
|
|
|
|
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2016:
Balance
at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance
at End of Period |
|||||||||||||||||||||||||||||||||||||||
Notional Amount in $ |
$ | 7,200 | $ | 44,200 | $ | (32,700 | ) | $ | 0 | $ | (7,900 | ) | $ | 10,800 | ||||||||||||||||||||||||||||||
Notional Amount in EUR |
EUR | 1,000 | EUR | 0 | EUR | 0 | EUR | (1,000 | ) | EUR | 0 | EUR | 0 | |||||||||||||||||||||||||||||||
Premiums |
$ | (18 | ) | $ | (84 | ) | $ | 68 | $ | 5 | $ | 4 | $ | (25 | ) |
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 December 31, 2016:
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 |
$ | 3 | $ | 0 | $ | 0 | $ | 3 | $ | (3 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||
BOA |
20 | 0 | 0 | 20 | (20 | ) | 0 | 0 | (20 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
BPS |
12 | 0 | 0 | 12 | 0 | 0 | 0 | 0 | 12 | 0 | 12 | |||||||||||||||||||||||||||||||||||||
CBK |
4 | 6 | 0 | 10 | (1 | ) | (3 | ) | 0 | (4 | ) | 6 | 0 | 6 | ||||||||||||||||||||||||||||||||||
GLM |
2 | 19 | 0 | 21 | (2 | ) | (7 | ) | 0 | (9 | ) | 12 | 0 | 12 | ||||||||||||||||||||||||||||||||||
HUS |
35 | 0 | 0 | 35 | 0 | 0 | 0 | 0 | 35 | 0 | 35 | |||||||||||||||||||||||||||||||||||||
JPM |
25 | 0 | 0 | 25 | (13 | ) | (6 | ) | 0 | (19 | ) | 6 | 0 | 6 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 101 | $ | 25 | $ | 0 | $ | 126 | $ | (39 | ) | $ | (16 | ) | $ | 0 | $ | (55 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 85 |
Schedule of Investments PIMCO Low Duration Active Exchange-Traded Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
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 | $ | 13 | $ | 13 | ||||||||||||
Swap Agreements |
0 | 0 | 0 | 0 | 28 | 28 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 41 | $ | 41 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 101 | $ | 0 | $ | 101 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 25 | 25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 101 | $ | 25 | $ | 126 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 101 | $ | 66 | $ | 167 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 9 | $ | 9 | ||||||||||||
Swap Agreements |
0 | 8 | 0 | 0 | 0 | 8 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 8 | $ | 0 | $ | 0 | $ | 9 | $ | 17 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 39 | $ | 0 | $ | 39 | ||||||||||||
Written Options |
0 | 0 | 0 | 0 | 16 | 16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 39 | $ | 16 | $ | 55 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 8 | $ | 0 | $ | 39 | $ | 25 | $ | 72 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
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 | $ | 1 | $ | 1 | ||||||||||||
Futures |
0 | 0 | 0 | 0 | 52 | 52 | ||||||||||||||||||
Swap Agreements |
0 | (76 | ) | 0 | 0 | (161 | ) | (237 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (76 | ) | $ | 0 | $ | 0 | $ | (108 | ) | $ | (184 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 424 | $ | 0 | $ | 424 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 137 | 137 | ||||||||||||||||||
Written Options |
0 | 11 | 0 | 5 | (207 | ) | (191 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 11 | $ | 0 | $ | 429 | $ | (70 | ) | $ | 370 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (65 | ) | $ | 0 | $ | 429 | $ | (178 | ) | $ | 186 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
|
|||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 156 | $ | 156 | ||||||||||||
Swap Agreements |
0 | (131 | ) | 0 | 0 | 66 | (65 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (131 | ) | $ | 0 | $ | 0 | $ | 222 | $ | 91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (29 | ) | $ | 0 | $ | (29 | ) | ||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 6 | 6 | ||||||||||||||||||
Written Options |
0 | (9 | ) | 0 | 0 | 8 | (1 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (9 | ) | $ | 0 | $ | (29 | ) | $ | 14 | $ | (24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | (140 | ) | $ | 0 | $ | (29 | ) | $ | 236 | $ | 67 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
86 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 87 |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
88 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Coupon represents a weighted average yield to maturity. |
(b) | Zero coupon security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 158 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | (164 | ) | $ | 158 | $ | 158 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (164 | ) | $ | 158 | $ | 158 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 89 |
Schedule of Investments PIMCO Short Term Municipal Bond Active Exchange-Traded Fund (Cont.)
December 31, 2016 (Unaudited)
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 December 31, 2016:
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 |
$ | 158 | $ | 0 | $ | 0 | $ | 0 | $ | 158 | $ | (164 | ) | $ | (6 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 158 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(3) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
90 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund
December 31, 2016 (Unaudited)
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 91 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
92 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
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) | Interest only security. |
(b) | Principal only security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Zero coupon security. |
(e) | Principal amount of security is adjusted for inflation. |
(f) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 93 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral (Received) |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received(1) |
||||||||||||||||||||||
SSB | 0.010 | % | 12/30/2016 | 01/03/2017 | $ | 2,361 | U.S. Treasury Notes 3.125% due 05/15/2021(2) | $ | (2,408 | ) | $ | 2,361 | $ | 2,361 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Repurchase Agreements |
|
$ | (2,408 | ) | $ | 2,361 | $ | 2,361 | ||||||||||||||||||||||
|
|
|
|
|
|
(1) |
Includes accrued interest. |
(2) |
Collateral is held in custody by the counterparty. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(3) |
Borrowing Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Reverse Repurchase Agreements |
|||||||||||||||
BOM |
0.930 | % | 11/22/2016 | 01/23/2017 | $ | (74,070 | ) | $ | (74,150 | ) | ||||||||||
BOS |
1.070 | 12/29/2016 | 01/18/2017 | (25,775 | ) | (25,779 | ) | |||||||||||||
1.150 | 12/09/2016 | 01/03/2017 | (36,670 | ) | (36,699 | ) | ||||||||||||||
GRE |
0.000 | 12/30/2016 | 01/03/2017 | (1,588 | ) | (1,588 | ) | |||||||||||||
0.930 | 12/22/2016 | 03/08/2017 | (3,418 | ) | (3,420 | ) | ||||||||||||||
SCX |
0.780 | 11/16/2016 | 02/13/2017 | (54,609 | ) | (54,665 | ) | |||||||||||||
0.780 | 12/23/2016 | 02/13/2017 | (6,957 | ) | (6,958 | ) | ||||||||||||||
0.790 | 12/27/2016 | 02/13/2017 | (11,311 | ) | (11,313 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Reverse Repurchase Agreements |
|
$ | (214,572 | ) | ||||||||||||||||
|
|
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(3) |
Borrowing Date |
Maturity Date |
Amount Borrowed(3) |
Payable
for Sale-Buyback Transactions |
|||||||||||||||
BCY |
1.600 | % | 12/28/2016 | 01/04/2017 | $ | (7,947 | ) | $ | (7,949 | ) | ||||||||||
|
|
|||||||||||||||||||
Total Sale-Buyback Transactions |
|
$ | (7,949 | ) | ||||||||||||||||
|
|
(3) |
The average amount of borrowings outstanding during the period ended December 31, 2016 was $(145,826) at a weighted average interest rate of 0.680%. |
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 December 31, 2016:
(h) | Securities with an aggregate market value of $222,364 have been pledged as collateral under the terms of the following master agreements as of December 31, 2016. |
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 |
||||||||||||||||||||||||||||
BOM |
$ | 0 | $ | (74,150 | ) | $ | 0 | $ | (74,150 | ) | $ | 74,350 | $ | 200 | ||||||||||||||
BOS |
0 | (62,478 | ) | 0 | (62,478 | ) | 62,276 | (202 | ) | |||||||||||||||||||
GRE |
0 | (5,008 | ) | 0 | (5,008 | ) | 5,026 | 18 | ||||||||||||||||||||
SCX |
0 | (72,936 | ) | 0 | (72,936 | ) | 72,693 | (243 | ) | |||||||||||||||||||
SSB |
2,361 | 0 | 0 | 2,361 | (2,408 | ) | (47 | ) | ||||||||||||||||||||
Master Securities Forward Transaction Agreement |
| |||||||||||||||||||||||||||
BCY |
0 | 0 | (7,949 | ) | (7,949 | ) | 8,018 | 69 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 2,361 | $ | (214,572 | ) | $ | (7,949 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
94 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
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 | $ | (138,216 | ) | $ | (76,356 | ) | $ | 0 | $ | (214,572 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (138,216 | ) | $ | (76,356 | ) | $ | 0 | $ | (214,572 | ) | |||||||
Sale-Buyback Transactions |
||||||||||||||||||||
U.S. Treasury Obligations |
0 | (7,949 | ) | 0 | 0 | (7,949 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total |
$ | 0 | $ | (7,949 | ) | $ | 0 | $ | 0 | $ | (7,949 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Borrowings |
$ | 0 | $ | (146,165 | ) | $ | (76,356 | ) | $ | 0 | $ | (222,521 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and sale-buyback financing transactions |
|
$ | (222,521 | ) | ||||||||||||||||
|
|
(i) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price |
Expiration Date |
#
of Contracts |
Cost | Market Value |
|||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note April Futures |
$ | 92.000 | 03/24/2017 | 74 | $ | 1 | $ | 0 | ||||||||||||
Put - CBOT U.S. Treasury 5-Year Note April Futures |
93.000 | 03/24/2017 | 89 | 1 | 0 | |||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note April Futures |
94.000 | 03/24/2017 | 4,552 | 39 | 18 | |||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note April Futures |
96.000 | 03/24/2017 | 1,080 | 9 | 4 | |||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note April Futures |
103.000 | 03/24/2017 | 311 | 2 | 1 | |||||||||||||||
Put - CBOT U.S. Treasury 5-Year Note March Futures |
110.500 | 02/24/2017 | 419 | 3 | 11 | |||||||||||||||
Put - CBOT U.S. Treasury 10-Year Note April Futures |
92.000 | 03/24/2017 | 142 | 1 | 1 | |||||||||||||||
Put - CBOT U.S. Treasury 10-Year Note April Futures |
94.000 | 03/24/2017 | 800 | 7 | 6 | |||||||||||||||
Put - CBOT U.S. Treasury 10-Year Note April Futures |
102.000 | 03/24/2017 | 1,500 | 13 | 10 | |||||||||||||||
Put - CBOT U.S. Treasury 10-Year Note April Futures |
104.000 | 03/24/2017 | 797 | 7 | 6 | |||||||||||||||
|
|
|
|
|||||||||||||||||
$ | 83 | $ | 57 | |||||||||||||||||
|
|
|
|
|||||||||||||||||
Total Purchased Options |
|
$ | 83 | $ | 57 | |||||||||||||||
|
|
|
|
FUTURES CONTRACTS:
Description | Type | Expiration Month |
#
of Contracts |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
3-Month Euribor December Futures |
Short | 12/2017 | 723 | $ | (32 | ) | $ | 0 | $ | (19 | ) | |||||||||||||
3-Month Euribor March Futures |
Short | 03/2018 | 484 | (6 | ) | 0 | (6 | ) | ||||||||||||||||
90-Day Eurodollar December Futures |
Short | 12/2017 | 490 | 692 | 0 | (12 | ) | |||||||||||||||||
90-Day Eurodollar March Futures |
Short | 03/2017 | 2,613 | (100 | ) | 0 | (33 | ) | ||||||||||||||||
90-Day Eurodollar September Futures |
Short | 09/2017 | 576 | 634 | 0 | (15 | ) | |||||||||||||||||
Australia Government 10-Year Bond March Futures |
Long | 03/2017 | 1 | 0 | 1 | 0 | ||||||||||||||||||
Canada Government 10-Year Bond March Futures |
Short | 03/2017 | 247 | 283 | 0 | (22 | ) | |||||||||||||||||
Euro-BTP Italy Government Bond March Futures |
Short | 03/2017 | 42 | (115 | ) | 13 | (20 | ) | ||||||||||||||||
Euro-Bund 10-Year Bond March Futures |
Long | 03/2017 | 1,005 | 2,434 | 582 | (476 | ) | |||||||||||||||||
Euro-OAT France Government 10-Year Bond March Futures |
Short | 03/2017 | 1,130 | (2,024 | ) | 535 | (559 | ) | ||||||||||||||||
Put Options Strike @ EUR 144.000 on Euro-Bund 10-Year Bond March Futures |
Long | 02/2017 | 740 | (1 | ) | 0 | 0 | |||||||||||||||||
Put Options Strike @ EUR 144.500 on Euro-Bund 10-Year Bond March Futures |
Long | 02/2017 | 60 | 0 | 0 | 0 | ||||||||||||||||||
U.S. Treasury 5-Year Note March Futures |
Long | 03/2017 | 6,525 | (2,779 | ) | 1,070 | 0 | |||||||||||||||||
U.S. Treasury 10-Year Note March Futures |
Long | 03/2017 | 3,238 | (1,097 | ) | 1,113 | 0 | |||||||||||||||||
U.S. Treasury 30-Year Bond March Futures |
Short | 03/2017 | 243 | (444 | ) | 0 | (182 | ) | ||||||||||||||||
United Kingdom Long Gilt March Futures |
Short | 03/2017 | 243 | (622 | ) | 12 | (249 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (3,177 | ) | $ | 3,326 | $ | (1,593 | ) | ||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 95 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity |
Fixed |
Maturity Date |
Implied Credit Spread at December 31, 2016(2) |
Notional Amount(3) |
Market Value |
Unrealized Appreciation |
Variation Margin | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
MetLife, Inc. |
1.000 | % | 06/20/2021 | 0.822 | % | $ | 3,100 | $ | 25 | $ | 14 | $ | 0 | $ | (2 | ) | ||||||||||||||||||||
MetLife, Inc. |
1.000 | 12/20/2021 | 0.930 | 8,100 | 30 | 102 | 0 | 0 | ||||||||||||||||||||||||||||
Tesco PLC |
1.000 | 12/20/2020 | 1.568 | EUR | 5,400 | (124 | ) | 46 | 1 | 0 | ||||||||||||||||||||||||||
Volkswagen International Finance NV |
1.000 | 06/20/2017 | 0.247 | 7,500 | 31 | 18 | 1 | 0 | ||||||||||||||||||||||||||||
Volkswagen International Finance NV |
1.000 | 12/20/2017 | 0.289 | 7,000 | 55 | 2 | 1 | 0 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 17 | $ | 182 | $ | 3 | $ | (2 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(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 an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
INTEREST RATE SWAPS
Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Market Value |
Unrealized Appreciation/ (Depreciation) |
Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
Pay |
3-Month CAD-Bank Bill |
1.750 | % | 12/16/2046 | CAD 1,900 | $ | 185 | $ | 210 | $ | 0 | $ | (15 | ) | ||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 12/16/2019 | $ 59,100 | (589 | ) | 728 | 0 | (33 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.000 | 06/15/2021 | 111,000 | (518 | ) | 3,288 | 0 | (92 | ) | ||||||||||||||||||||
Pay* |
3-Month USD-LIBOR |
1.450 | 06/28/2021 | 85,800 | 1,487 | 1,641 | 0 | (65 | ) | |||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.500 | 12/21/2021 | 42,300 | 926 | 730 | 0 | (62 | ) | |||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 12/16/2022 | 137,600 | (1,489 | ) | 6,911 | 0 | (199 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.350 | 08/05/2025 | 2,800 | (36 | ) | 43 | 0 | (8 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 12/16/2025 | 29,200 | (541 | ) | 2,298 | 0 | (79 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.250 | 06/15/2026 | 49,400 | 181 | 165 | 0 | (189 | ) | |||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
1.750 | 12/21/2026 | 25,300 | 1,338 | 1,963 | 0 | (84 | ) | |||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.750 | 12/16/2045 | 174,200 | (4,686 | ) | 2,302 | 0 | (1,483 | ) | ||||||||||||||||||||
Pay |
3-Month USD-LIBOR |
2.500 | 06/15/2046 | 50,100 | 940 | 4,058 | 0 | (442 | ) | |||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
0.500 | 03/15/2022 | GBP 28,300 | 684 | 186 | 0 | (112 | ) | |||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
0.750 | 03/15/2027 | 14,200 | 848 | 362 | 0 | (104 | ) | |||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
1.000 | 03/15/2027 | 9,300 | 279 | 280 | 0 | (69 | ) | |||||||||||||||||||||
Pay* |
6-Month GBP-LIBOR |
1.500 | 03/15/2047 | 8,600 | (188 | ) | (584 | ) | 0 | (145 | ) | |||||||||||||||||||
Pay |
6-Month JPY-LIBOR |
0.300 | 03/18/2026 | JPY 5,470,000 | (523 | ) | (125 | ) | 0 | (115 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (1,702 | ) | $ | 24,456 | $ | 0 | $ | (3,296 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | (1,685 | ) | $ | 24,638 | $ | 3 | $ | (3,298 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
* | This instrument has a forward starting effective date. See Note 2(a) in the Notes to Financial Statements for further information. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2016:
(j) | Securities with an aggregate market value of $52,477 and cash of $4,553 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2016. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation
Margin Asset |
Market Value | Variation
Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 57 | $ | 3,326 | $ | 3 | $ | 3,386 | $ | 0 | $ | (1,593) | $ | (3,298) | $ | (4,891) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
(k) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
AZD |
01/2017 | KRW | 10,830,952 | $ | 9,243 | $ | 271 | $ | 0 | |||||||||||||||
01/2017 | $ | 4,610 | AUD | 6,400 | 8 | 0 | ||||||||||||||||||
01/2017 | 1 | KRW | 1,174 | 0 | 0 | |||||||||||||||||||
01/2017 | 2,152 | MYR | 9,619 | 0 | (8 | ) | ||||||||||||||||||
BOA |
01/2017 | BRL | 8,319 | $ | 2,553 | 0 | (3 | ) | ||||||||||||||||
01/2017 | JPY | 310,000 | 3,073 | 419 | 0 | |||||||||||||||||||
01/2017 | SGD | 9,519 | 6,595 | 22 | 0 | |||||||||||||||||||
01/2017 | TWD | 265,706 | 8,270 | 46 | (15 | ) | ||||||||||||||||||
01/2017 | $ | 2,466 | BRL | 8,319 | 90 | 0 | ||||||||||||||||||
01/2017 | 119,419 | EUR | 114,826 | 1,471 | 0 | |||||||||||||||||||
01/2017 | 5,474 | KRW | 6,435,782 | 0 | (143 | ) | ||||||||||||||||||
01/2017 | 38,365 | SGD | 55,153 | 0 | (284 | ) | ||||||||||||||||||
01/2017 | 4,151 | TWD | 132,014 | 0 | (55 | ) | ||||||||||||||||||
02/2017 | EUR | 114,826 | $ | 119,586 | 0 | (1,465 | ) | |||||||||||||||||
02/2017 | TWD | 17,130 | 530 | 2 | 0 | |||||||||||||||||||
02/2017 | $ | 2,639 | RUB | 172,379 | 138 | 0 | ||||||||||||||||||
03/2017 | JPY | 1,330,000 | $ | 11,852 | 439 | 0 | ||||||||||||||||||
03/2017 | SGD | 43,887 | 30,358 | 64 | 0 | |||||||||||||||||||
03/2017 | TWD | 984,601 | 31,287 | 894 | 0 | |||||||||||||||||||
04/2017 | DKK | 174,828 | 26,376 | 1,496 | 0 | |||||||||||||||||||
BPS |
01/2017 | BRL | 121,206 | 37,190 | 0 | (50 | ) | |||||||||||||||||
01/2017 | EUR | 85,165 | 90,329 | 667 | 0 | |||||||||||||||||||
01/2017 | $ | 35,630 | BRL | 121,206 | 1,610 | 0 | ||||||||||||||||||
01/2017 | 3,369 | EUR | 3,167 | 0 | (35 | ) | ||||||||||||||||||
01/2017 | 8,035 | GBP | 6,451 | 0 | (85 | ) | ||||||||||||||||||
02/2017 | GBP | 9,040 | $ | 11,280 | 127 | 0 | ||||||||||||||||||
02/2017 | JPY | 280,000 | 2,582 | 180 | 0 | |||||||||||||||||||
02/2017 | $ | 2,783 | CHF | 2,799 | 0 | (27 | ) | |||||||||||||||||
02/2017 | 11,311 | JPY | 1,198,200 | 0 | (1,037 | ) | ||||||||||||||||||
02/2017 | 997 | MXN | 18,848 | 0 | (92 | ) | ||||||||||||||||||
02/2017 | 1,841 | NZD | 2,603 | 0 | (35 | ) | ||||||||||||||||||
03/2017 | TWD | 77,367 | $ | 2,431 | 44 | 0 | ||||||||||||||||||
10/2017 | BRL | 132,300 | 36,339 | 0 | (1,622 | ) | ||||||||||||||||||
BRC |
01/2017 | $ | 4,188 | KRW | 4,924,386 | 0 | (109 | ) | ||||||||||||||||
02/2017 | JPY | 60,000 | $ | 553 | 39 | 0 | ||||||||||||||||||
02/2017 | MXN | 102,227 | 4,981 | 77 | 0 | |||||||||||||||||||
02/2017 | $ | 2,072 | JPY | 237,000 | 0 | (40 | ) | |||||||||||||||||
03/2017 | JPY | 180,000 | $ | 1,536 | 0 | (11 | ) | |||||||||||||||||
CBK |
01/2017 | BRL | 34,181 | 10,287 | 0 | (215 | ) | |||||||||||||||||
01/2017 | GBP | 1,852 | 2,337 | 54 | 0 | |||||||||||||||||||
01/2017 | JPY | 220,000 | 2,180 | 297 | 0 | |||||||||||||||||||
01/2017 | KRW | 6,196,074 | 5,414 | 282 | 0 | |||||||||||||||||||
01/2017 | $ | 10,488 | BRL | 34,181 | 14 | 0 | ||||||||||||||||||
01/2017 | 1,267 | EUR | 1,208 | 5 | 0 | |||||||||||||||||||
01/2017 | 10,569 | KRW | 12,133,972 | 0 | (518 | ) | ||||||||||||||||||
02/2017 | AUD | 44,511 | $ | 34,304 | 2,215 | 0 | ||||||||||||||||||
02/2017 | JPY | 1,860,000 | 17,035 | 1,082 | 0 | |||||||||||||||||||
02/2017 | MXN | 120,812 | 5,841 | 45 | 0 | |||||||||||||||||||
02/2017 | $ | 13,109 | AUD | 17,760 | 0 | (305 | ) | |||||||||||||||||
02/2017 | 3,973 | MXN | 82,875 | 3 | 0 | |||||||||||||||||||
03/2017 | JPY | 8,250,000 | $ | 73,196 | 2,398 | (14 | ) | |||||||||||||||||
03/2017 | TWD | 246,814 | 7,776 | 158 | 0 | |||||||||||||||||||
03/2017 | $ | 5,654 | TWD | 180,391 | 0 | (86 | ) | |||||||||||||||||
DUB |
01/2017 | BRL | 74,884 | $ | 22,220 | 0 | (788 | ) | ||||||||||||||||
01/2017 | KRW | 5,150,244 | 4,432 | 166 | 0 | |||||||||||||||||||
01/2017 | SGD | 7,382 | 5,112 | 15 | 0 | |||||||||||||||||||
01/2017 | $ | 22,574 | BRL | 74,884 | 434 | 0 | ||||||||||||||||||
01/2017 | 710 | KRW | 837,835 | 0 | (16 | ) | ||||||||||||||||||
01/2017 | 3,627 | SGD | 5,137 | 0 | (80 | ) | ||||||||||||||||||
02/2017 | 2,074 | MXN | 39,783 | 0 | (165 | ) | ||||||||||||||||||
04/2017 | BRL | 74,900 | $ | 22,053 | 0 | (398 | ) | |||||||||||||||||
01/2018 | 200 | 53 | 0 | (4 | ) | |||||||||||||||||||
FBF |
01/2017 | KRW | 5,916,046 | 5,072 | 172 | 0 | ||||||||||||||||||
02/2017 | MXN | 54,524 | 2,653 | 37 | 0 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 97 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
02/2017 | RUB | 726,419 | $ | 11,208 | $ | 0 | $ | (496 | ) | |||||||||||||||
03/2017 | TWD | 16,011 | 507 | 13 | 0 | |||||||||||||||||||
GLM |
01/2017 | BRL | 7,486 | 2,250 | 0 | (50 | ) | |||||||||||||||||
01/2017 | EUR | 34,548 | 36,855 | 483 | 0 | |||||||||||||||||||
01/2017 | GBP | 113,307 | 141,341 | 1,691 | 0 | |||||||||||||||||||
01/2017 | KRW | 1,173 | 1 | 0 | 0 | |||||||||||||||||||
01/2017 | SGD | 10,399 | 7,192 | 12 | 0 | |||||||||||||||||||
01/2017 | $ | 2,155 | BRL | 7,486 | 145 | 0 | ||||||||||||||||||
01/2017 | 9,686 | GBP | 7,773 | 0 | (106 | ) | ||||||||||||||||||
01/2017 | 5,093 | KRW | 5,785,775 | 0 | (301 | ) | ||||||||||||||||||
02/2017 | AUD | 6,302 | $ | 4,749 | 206 | 0 | ||||||||||||||||||
02/2017 | JPY | 1,212,000 | 11,801 | 1,409 | 0 | |||||||||||||||||||
02/2017 | MXN | 207,127 | 9,905 | 0 | (32 | ) | ||||||||||||||||||
02/2017 | NZD | 12,090 | 8,780 | 392 | 0 | |||||||||||||||||||
02/2017 | RUB | 299,807 | 4,628 | 0 | (202 | ) | ||||||||||||||||||
02/2017 | $ | 13,281 | AUD | 17,990 | 0 | (312 | ) | |||||||||||||||||
02/2017 | 31,215 | MXN | 647,283 | 0 | (161 | ) | ||||||||||||||||||
02/2017 | 6,178 | NZD | 8,818 | 0 | (60 | ) | ||||||||||||||||||
02/2017 | 2,344 | RUB | 154,437 | 144 | 0 | |||||||||||||||||||
04/2017 | BRL | 41,500 | $ | 12,127 | 0 | (312 | ) | |||||||||||||||||
HUS |
01/2017 | KRW | 6,865,835 | 5,863 | 176 | 0 | ||||||||||||||||||
01/2017 | SGD | 2,275 | 1,632 | 61 | 0 | |||||||||||||||||||
01/2017 | TWD | 132,037 | 4,151 | 54 | 0 | |||||||||||||||||||
01/2017 | $ | 105 | INR | 7,113 | 0 | (1 | ) | |||||||||||||||||
01/2017 | 3,232 | KRW | 3,777,529 | 0 | (103 | ) | ||||||||||||||||||
01/2017 | 4,082 | TWD | 132,037 | 15 | 0 | |||||||||||||||||||
02/2017 | CNH | 612 | $ | 90 | 3 | 0 | ||||||||||||||||||
02/2017 | MXN | 513,638 | 26,810 | 2,168 | 0 | |||||||||||||||||||
10/2017 | DKK | 97,970 | 15,003 | 916 | 0 | |||||||||||||||||||
JPM |
01/2017 | BRL | 19,254 | 5,744 | 0 | (172 | ) | |||||||||||||||||
01/2017 | CAD | 423 | 315 | 0 | 0 | |||||||||||||||||||
01/2017 | DKK | 65,065 | 9,645 | 432 | 0 | |||||||||||||||||||
01/2017 | JPY | 290,000 | 2,873 | 391 | 0 | |||||||||||||||||||
01/2017 | KRW | 22,571,353 | 19,317 | 620 | 0 | |||||||||||||||||||
01/2017 | SGD | 8,957 | 6,270 | 85 | 0 | |||||||||||||||||||
01/2017 | $ | 5,867 | BRL | 19,254 | 49 | 0 | ||||||||||||||||||
01/2017 | 1,831 | EUR | 1,720 | 0 | (20 | ) | ||||||||||||||||||
01/2017 | 16,619 | GBP | 13,299 | 0 | (228 | ) | ||||||||||||||||||
01/2017 | 33,441 | KRW | 39,128,181 | 0 | (1,031 | ) | ||||||||||||||||||
01/2017 | 1,653 | MYR | 7,201 | 0 | (48 | ) | ||||||||||||||||||
01/2017 | 2,309 | SGD | 3,291 | 0 | (37 | ) | ||||||||||||||||||
01/2017 | 333 | THB | 12,002 | 2 | 0 | |||||||||||||||||||
02/2017 | CHF | 2,425 | $ | 2,411 | 23 | 0 | ||||||||||||||||||
02/2017 | GBP | 1,624 | 2,012 | 9 | 0 | |||||||||||||||||||
02/2017 | KRW | 2,408,553 | 1,994 | 0 | (1 | ) | ||||||||||||||||||
02/2017 | MXN | 18,468 | 885 | 0 | (1 | ) | ||||||||||||||||||
02/2017 | $ | 9,741 | AUD | 13,103 | 0 | (295 | ) | |||||||||||||||||
02/2017 | 17,259 | JPY | 1,949,900 | 0 | (540 | ) | ||||||||||||||||||
02/2017 | 22,490 | MXN | 471,774 | 206 | (63 | ) | ||||||||||||||||||
02/2017 | 9,907 | RUB | 656,487 | 671 | 0 | |||||||||||||||||||
03/2017 | JPY | 1,730,000 | $ | 15,445 | 600 | 0 | ||||||||||||||||||
03/2017 | KRW | 1,822,852 | 1,530 | 20 | 0 | |||||||||||||||||||
03/2017 | SGD | 9,947 | 6,882 | 16 | 0 | |||||||||||||||||||
03/2017 | THB | 12,002 | 333 | 0 | (2 | ) | ||||||||||||||||||
03/2017 | TWD | 562,526 | 17,609 | 245 | 0 | |||||||||||||||||||
04/2017 | BRL | 126,200 | 37,052 | 0 | (777 | ) | ||||||||||||||||||
10/2017 | 20,000 | 5,656 | 0 | (82 | ) | |||||||||||||||||||
01/2018 | 13,100 | 3,593 | 0 | (104 | ) | |||||||||||||||||||
MSB |
01/2017 | 200 | 60 | 0 | (1 | ) | ||||||||||||||||||
01/2017 | $ | 61 | BRL | 200 | 0 | 0 | ||||||||||||||||||
03/2017 | TWD | 203,776 | $ | 6,366 | 78 | 0 | ||||||||||||||||||
NGF |
03/2017 | 55,806 | 1,780 | 57 | 0 | |||||||||||||||||||
04/2017 | BRL | 300 | 88 | 0 | (2 | ) | ||||||||||||||||||
RBC |
02/2017 | AUD | 4,513 | 3,316 | 63 | 0 | ||||||||||||||||||
SCX |
01/2017 | BRL | 7,331 | 2,239 | 0 | (13 | ) | |||||||||||||||||
01/2017 | KRW | 8,695,491 | 7,493 | 290 | 0 | |||||||||||||||||||
01/2017 | MYR | 20,512 | 4,888 | 317 | 0 | |||||||||||||||||||
01/2017 | SGD | 6,541 | 4,515 | 0 | (2 | ) |
98 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
01/2017 | $ | 2,249 | BRL | 7,331 | $ | 3 | $ | 0 | ||||||||||||||||
01/2017 | 5,688 | KRW | 6,581,824 | 0 | (236 | ) | ||||||||||||||||||
01/2017 | 843 | MYR | 3,690 | 0 | (21 | ) | ||||||||||||||||||
01/2017 | 1,996 | SGD | 2,841 | 0 | (34 | ) | ||||||||||||||||||
01/2017 | 4,189 | TWD | 133,629 | 0 | (48 | ) | ||||||||||||||||||
02/2017 | 2,220 | BRL | 7,331 | 14 | 0 | |||||||||||||||||||
02/2017 | 4,195 | MXN | 80,341 | 0 | (341 | ) | ||||||||||||||||||
03/2017 | TWD | 344,224 | $ | 10,797 | 174 | 0 | ||||||||||||||||||
04/2017 | BRL | 44,800 | 12,788 | 0 | (641 | ) | ||||||||||||||||||
05/2017 | $ | 1,938 | IDR | 27,093,240 | 23 | 0 | ||||||||||||||||||
SOG |
01/2017 | SGD | 21,349 | $ | 15,273 | 532 | 0 | |||||||||||||||||
01/2017 | $ | 105,622 | GBP | 85,672 | 0 | (32 | ) | |||||||||||||||||
01/2017 | 44,397 | KRW | 53,149,224 | 0 | (373 | ) | ||||||||||||||||||
02/2017 | GBP | 85,672 | $ | 105,694 | 29 | 0 | ||||||||||||||||||
02/2017 | MXN | 60,214 | 2,923 | 34 | 0 | |||||||||||||||||||
02/2017 | $ | 20,230 | MXN | 379,822 | 0 | (2,008 | ) | |||||||||||||||||
03/2017 | KRW | 52,254,668 | $ | 43,649 | 375 | 0 | ||||||||||||||||||
TOR |
01/2017 | BRL | 83,000 | 24,178 | 0 | (1,324 | ) | |||||||||||||||||
01/2017 | $ | 24,670 | BRL | 83,000 | 832 | 0 | ||||||||||||||||||
04/2017 | BRL | 88,900 | $ | 26,115 | 0 | (533 | ) | |||||||||||||||||
UAG |
01/2017 | KRW | 69,614,039 | 61,412 | 3,750 | 0 | ||||||||||||||||||
01/2017 | THB | 12,002 | 340 | 5 | 0 | |||||||||||||||||||
01/2017 | $ | 2,426 | GBP | 1,964 | 0 | (5 | ) | |||||||||||||||||
01/2017 | 2,608 | KRW | 3,085,525 | 0 | (52 | ) | ||||||||||||||||||
02/2017 | JPY | 840,000 | $ | 7,751 | 545 | 0 | ||||||||||||||||||
02/2017 | KRW | 2,053,391 | 1,698 | 0 | (3 | ) | ||||||||||||||||||
02/2017 | TWD | 14,680 | 454 | 1 | 0 | |||||||||||||||||||
03/2017 | 75,875 | 2,386 | 45 | 0 | ||||||||||||||||||||
05/2017 | $ | 259 | IDR | 3,622,115 | 4 | 0 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 33,909 | $ | (18,911 | ) | |||||||||||||||||||
|
|
|
|
PURCHASED OPTIONS:
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||||
GLM |
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.930 | % | 08/20/2018 | $ | 4,400 | $ | 467 | $ | 307 | ||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.940 | 08/20/2018 | 3,900 | 382 | 268 | |||||||||||||||||||||||
MYC |
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 3.020 | 08/21/2017 | 8,300 | 564 | 248 | ||||||||||||||||||||||
Put - OTC 30-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 2.905 | 08/20/2018 | 3,800 | 380 | 273 | |||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | 1,793 | $ | 1,096 | |||||||||||||||||||||||||||
|
|
|
|
OPTIONS ON SECURITIES
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Cost | Market Value |
||||||||||||||||||||
JPM |
Put - OTC Fannie Mae, TBA 3.500% due 02/01/2047 |
$ | 68.000 | 02/06/2017 | $ | 100,000 | $ | 4 | $ | 0 | ||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
Total Purchased Options |
|
$ | 1,797 | $ | 1,096 | |||||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
FOREIGN CURRENCY OPTIONS
Counterparty | Description | Strike Price |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||||
BPS |
Call - OTC USD versus BRL |
BRL | 3.400 | 01/05/2017 | $ | 5,900 | $ | (67 | ) | $ | (1 | ) | ||||||||||||||||||
DUB |
Call - OTC USD versus BRL |
3.600 | 02/16/2017 | 4,100 | (53 | ) | (14 | ) | ||||||||||||||||||||||
FBF |
Call - OTC USD versus BRL |
3.350 | 01/20/2017 | 9,600 | (179 | ) | (69 | ) | ||||||||||||||||||||||
Call - OTC USD versus BRL |
6.300 | 01/11/2018 | 7,400 | (394 | ) | (22 | ) | |||||||||||||||||||||||
GLM |
Call - OTC USD versus BRL |
3.450 | 01/19/2017 | 4,900 | (61 | ) | (11 | ) | ||||||||||||||||||||||
JPM |
Call - OTC USD versus BRL |
3.700 | 01/18/2017 | 4,400 | (47 | ) | 0 | |||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | (801 | ) | $ | (117 | ) | |||||||||||||||||||||||||
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 99 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
INTEREST RATE SWAPTIONS
Counterparty | Description | Floating Rate Index | Pay/Receive Floating Rate |
Exercise Rate |
Expiration Date |
Notional Amount |
Premiums (Received) |
Market Value |
||||||||||||||||||||||
CBK |
Call - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Receive | 1.975 | % | 02/08/2017 | $ | 71,400 | $ | (443 | ) | $ | (29 | ) | ||||||||||||||||
Put - OTC 10-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.375 | 02/08/2017 | 71,400 | (514 | ) | (723 | ) | |||||||||||||||||||||
GLM |
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.800 | 08/20/2018 | 36,500 | (850 | ) | (516 | ) | ||||||||||||||||||||
MYC |
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.700 | 08/21/2017 | 36,700 | (569 | ) | (188 | ) | ||||||||||||||||||||
Put - OTC 5-Year Interest Rate Swap |
3-Month USD-LIBOR |
Pay | 2.800 | 08/20/2018 | 16,600 | (370 | ) | (235 | ) | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
$ | (2,746 | ) | $ | (1,691 | ) | |||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||||
Total Written Options |
|
$ | (3,547 | ) | $ | (1,808 | ) | |||||||||||||||||||||||
|
|
|
|
TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED DECEMBER 31, 2016:
Balance
at Beginning of Period |
Sales | Closing Buys | Expirations | Exercised | Balance at End of Period |
|||||||||||||||||||||||||||||||
# of Contracts |
420 | 4,600 | (1,067 | ) | (2,627 | ) | (1,326 | ) | 0 | |||||||||||||||||||||||||||
Notional Amount in $ |
$ | 334,400 | $ | 712,300 | $ | (46,000 | ) | $ | (555,500 | ) | $ | (176,300 | ) | $ | 268,900 | |||||||||||||||||||||
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 | ) | $ | (6,730 | ) | $ | 894 | $ | 5,021 | $ | 1,993 | $ | (3,547 | ) |
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION(1)
Counterparty | Reference Entity | Fixed Receive Rate |
Maturity Date |
Implied Credit Spread at December 31, 2016(2) |
Notional Amount(3) |
Premiums Paid/(Received) |
Unrealized Appreciation/ (Depreciation) |
Swap Agreements, at Value |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||
BOA |
Citigroup, Inc. |
1.000 | % | 12/20/2020 | 0.612 | % | $ 5,300 | $ | (11 | ) | $ | 92 | $ | 81 | $ | 0 | ||||||||||||||||||
CBK |
Goldman Sachs Group, Inc. |
1.000 | 09/20/2020 | 0.699 | 8,200 | (12 | ) | 104 | 92 | 0 | ||||||||||||||||||||||||
GST |
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 4.072 | 6,300 | (1,348 | ) | 692 | 0 | (656 | ) | |||||||||||||||||||||||
HUS |
Mexico Government International Bond |
1.000 | 12/20/2019 | 0.972 | 7,800 | 46 | (37 | ) | 9 | 0 | ||||||||||||||||||||||||
JPM |
Mexico Government International Bond |
1.000 | 12/20/2019 | 0.972 | 21,400 | 127 | (101 | ) | 26 | 0 | ||||||||||||||||||||||||
Petrobras Global Finance BV |
1.000 | 09/20/2020 | 4.072 | 3,200 | (683 | ) | 350 | 0 | (333 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (1,881 | ) | $ | 1,100 | $ | 208 | $ | (989 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Counterparty | Index/Tranches | Fixed Receive Rate |
Maturity Date |
Notional Amount(3) |
Premiums (Received) |
Unrealized Appreciation |
Swap Agreements, at Value(4) |
|||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
DUB |
CMBX.NA.AAA.8 Index |
0.500 | % | 10/17/2057 | $ | 32,400 | $ | (2,117 | ) | $ | 1,748 | $ | 0 | $ | (369 | ) | ||||||||||||||
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 6,600 | (366 | ) | 222 | 0 | (144 | ) | |||||||||||||||||||||
GST |
CMBX.NA.AAA.6 Index |
0.500 | 05/11/2063 | 27,987 | (1,189 | ) | 1,181 | 0 | (8 | ) | ||||||||||||||||||||
CMBX.NA.AAA.8 Index |
0.500 | 10/17/2057 | 1,700 | (103 | ) | 84 | 0 | (19 | ) | |||||||||||||||||||||
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 5,700 | (338 | ) | 213 | 0 | (125 | ) | |||||||||||||||||||||
JPS |
CMBX.NA.AAA.8 Index |
0.500 | 10/17/2057 | 18,200 | (932 | ) | 725 | 0 | (207 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | 01/17/2047 | 3,000 | (295 | ) | 127 | 0 | (168 | ) | |||||||||||||||||||||
MEI |
CMBX.NA.AAA.8 Index |
0.500 | 10/17/2057 | 900 | (63 | ) | 53 | 0 | (10 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 1,100 | (101 | ) | 39 | 0 | (62 | ) | |||||||||||||||||||||
MYC |
CMBX.NA.AAA.3 Index |
0.080 | 12/13/2049 | 531 | (4 | ) | 3 | 0 | (1 | ) | ||||||||||||||||||||
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 4,900 | (274 | ) | 167 | 0 | (107 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.6 Index |
3.000 | 05/11/2063 | 7,100 | (611 | ) | 212 | 0 | (399 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.7 Index |
3.000 | 01/17/2047 | 7,500 | (888 | ) | 467 | 0 | (421 | ) | |||||||||||||||||||||
SAL |
CMBX.NA.AAA.9 Index |
0.500 | 09/17/2058 | 7,800 | (392 | ) | 222 | 0 | (170 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | (7,673 | ) | $ | 5,463 | $ | 0 | $ | (2,210 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
(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 an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a |
100 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
INTEREST RATE SWAPS
Counterparty | Pay/Receive Floating Rate |
Floating Rate Index | Fixed Rate | Maturity Date |
Notional Amount |
Premiums Paid/(Received) |
Unrealized Appreciation |
Swap Agreements, at Value | ||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
Receive |
CPURNSA |
1.730% | 08/26/2025 | $ 6,400 | $ | 0 | $ | 239 | $ | 239 | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Swap Agreements |
$ | (9,554 | ) | $ | 6,802 | $ | 447 | $ | (3,199 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
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 December 31, 2016:
(l) | Securities with an aggregate market value of $7,597 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2016. |
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(5) |
|||||||||||||||||||||||||||||||||||||
AZD |
$ | 279 | $ | 0 | $ | 0 | $ | 279 | $ | (8 | ) | $ | 0 | $ | 0 | $ | (8 | ) | $ | 271 | $ | (270 | ) | $ | 1 | |||||||||||||||||||||||
BOA |
5,081 | 0 | 320 | 5,401 | (1,965 | ) | 0 | 0 | (1,965 | ) | 3,436 | (3,580 | ) | (144 | ) | |||||||||||||||||||||||||||||||||
BPS |
2,628 | 0 | 0 | 2,628 | (2,983 | ) | (1 | ) | 0 | (2,984 | ) | (356 | ) | (110 | ) | (466 | ) | |||||||||||||||||||||||||||||||
BRC |
116 | 0 | 0 | 116 | (160 | ) | 0 | 0 | (160 | ) | (44 | ) | 0 | (44 | ) | |||||||||||||||||||||||||||||||||
CBK |
6,553 | 0 | 92 | 6,645 | (1,138 | ) | (752 | ) | 0 | (1,890 | ) | 4,755 | (4,260 | ) | 495 | |||||||||||||||||||||||||||||||||
DUB |
615 | 0 | 0 | 615 | (1,451 | ) | (14 | ) | (513 | ) | (1,978 | ) | (1,363 | ) | 1,468 | 105 | ||||||||||||||||||||||||||||||||
FBF |
222 | 0 | 0 | 222 | (496 | ) | (91 | ) | 0 | (587 | ) | (365 | ) | 528 | 163 | |||||||||||||||||||||||||||||||||
GLM |
4,482 | 575 | 0 | 5,057 | (1,536 | ) | (527 | ) | 0 | (2,063 | ) | 2,994 | (3,860 | ) | (866 | ) | ||||||||||||||||||||||||||||||||
GST |
0 | 0 | 0 | 0 | 0 | 0 | (808 | ) | (808 | ) | (808 | ) | 937 | 129 | ||||||||||||||||||||||||||||||||||
HUS |
3,393 | 0 | 9 | 3,402 | (104 | ) | 0 | 0 | (104 | ) | 3,298 | (3,371 | ) | (73 | ) | |||||||||||||||||||||||||||||||||
JPM |
3,369 | 0 | 26 | 3,395 | (3,401 | ) | 0 | (333 | ) | (3,734 | ) | (339 | ) | 314 | (25 | ) | ||||||||||||||||||||||||||||||||
JPS |
0 | 0 | 0 | 0 | 0 | 0 | (375 | ) | (375 | ) | (375 | ) | 551 | 176 | ||||||||||||||||||||||||||||||||||
MEI |
0 | 0 | 0 | 0 | 0 | 0 | (72 | ) | (72 | ) | (72 | ) | 0 | (72 | ) | |||||||||||||||||||||||||||||||||
MSB |
78 | 0 | 0 | 78 | (1 | ) | 0 | 0 | (1 | ) | 77 | 0 | 77 | |||||||||||||||||||||||||||||||||||
MYC |
0 | 521 | 0 | 521 | 0 | (423 | ) | (928 | ) | (1,351 | ) | (830 | ) | 688 | (142 | ) | ||||||||||||||||||||||||||||||||
NGF |
57 | 0 | 0 | 57 | (2 | ) | 0 | 0 | (2 | ) | 55 | 0 | 55 | |||||||||||||||||||||||||||||||||||
RBC |
63 | 0 | 0 | 63 | 0 | 0 | 0 | 0 | 63 | 0 | 63 | |||||||||||||||||||||||||||||||||||||
SAL |
0 | 0 | 0 | 0 | 0 | 0 | (170 | ) | (170 | ) | (170 | ) | 324 | 154 | ||||||||||||||||||||||||||||||||||
SCX |
821 | 0 | 0 | 821 | (1,336 | ) | 0 | 0 | (1,336 | ) | (515 | ) | 305 | (210 | ) | |||||||||||||||||||||||||||||||||
SOG |
970 | 0 | 0 | 970 | (2,413 | ) | 0 | 0 | (2,413 | ) | (1,443 | ) | 1,251 | (192 | ) | |||||||||||||||||||||||||||||||||
TOR |
832 | 0 | 0 | 832 | (1,857 | ) | 0 | 0 | (1,857 | ) | (1,025 | ) | 1,010 | (15 | ) | |||||||||||||||||||||||||||||||||
UAG |
4,350 | 0 | 0 | 4,350 | (60 | ) | 0 | 0 | (60 | ) | 4,290 | (4,240 | ) | 50 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 33,909 | $ | 1,096 | $ | 447 | $ | 35,452 | $ | (18,911 | ) | $ | (1,808 | ) | $ | (3,199 | ) | $ | (23,918 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(5) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 101 |
Schedule of Investments PIMCO Total Return Active Exchange-Traded Fund (Cont.)
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2016:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 57 | $ | 57 | ||||||||||||
Futures |
0 | 0 | 0 | 0 | 3,326 | 3,326 | ||||||||||||||||||
Swap Agreements |
0 | 3 | 0 | 0 | 0 | 3 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3 | $ | 0 | $ | 0 | $ | 3,383 | $ | 3,386 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 33,909 | $ | 0 | $ | 33,909 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 1,096 | 1,096 | ||||||||||||||||||
Swap Agreements |
0 | 208 | 0 | 0 | 239 | 447 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 208 | $ | 0 | $ | 33,909 | $ | 1,335 | $ | 35,452 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 211 | $ | 0 | $ | 33,909 | $ | 4,718 | $ | 38,838 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,593 | $ | 1,593 | ||||||||||||
Swap Agreements |
0 | 2 | 0 | 0 | 3,296 | 3,298 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 2 | $ | 0 | $ | 0 | $ | 4,889 | $ | 4,891 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 18,911 | $ | 0 | $ | 18,911 | ||||||||||||
Written Options |
0 | 0 | 0 | 117 | 1,691 | 1,808 | ||||||||||||||||||
Swap Agreements |
0 | 3,199 | 0 | 0 | 0 | 3,199 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,199 | $ | 0 | $ | 19,028 | $ | 1,691 | $ | 23,918 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,201 | $ | 0 | $ | 19,028 | $ | 6,580 | $ | 28,809 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2016:
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 | $ | (82 | ) | $ | (82 | ) | ||||||||||
Written Options |
0 | 0 | 0 | 0 | 800 | 800 | ||||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (22,862 | ) | (22,862 | ) | ||||||||||||||||
Swap Agreements |
0 | 192 | 0 | 0 | (17,826 | ) | (17,634 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 192 | $ | 0 | $ | 0 | $ | (39,970 | ) | $ | (39,778 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 8,357 | $ | 0 | $ | 8,357 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | (1,288 | ) | (1,288 | ) | ||||||||||||||||
Written Options |
0 | 36 | 0 | 4,002 | 900 | 4,938 | ||||||||||||||||||
Swap Agreements |
0 | 3,474 | 0 | 90 | (834 | ) | 2,730 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,510 | $ | 0 | $ | 12,449 | $ | (1,222 | ) | $ | 14,737 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,702 | $ | 0 | $ | 12,449 | $ | (41,192 | ) | $ | (25,041 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
102 | PIMCO ETF TRUST | See Accompanying Notes |
December 31, 2016 (Unaudited)
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||
Purchased Options |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (12 | ) | $ | (12 | ) | ||||||||||
Written Options |
0 | 0 | 0 | 0 | (21 | ) | (21 | ) | ||||||||||||||||
Futures |
0 | 0 | 0 | 0 | (6,401 | ) | (6,401 | ) | ||||||||||||||||
Swap Agreements |
0 | 182 | 0 | 0 | 82,326 | 82,508 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 182 | $ | 0 | $ | 0 | $ | 75,892 | $ | 76,074 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Over the counter |
||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 38,817 | $ | 0 | $ | 38,817 | ||||||||||||
Purchased Options |
0 | 0 | 0 | 0 | 1,142 | 1,142 | ||||||||||||||||||
Written Options |
0 | (28 | ) | 0 | (28 | ) | (537 | ) | (593 | ) | ||||||||||||||
Swap Agreements |
0 | 3,082 | 0 | (82 | ) | 348 | 3,348 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,054 | $ | 0 | $ | 38,707 | $ | 953 | $ | 42,714 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
$ | 0 | $ | 3,236 | $ | 0 | $ | 38,707 | $ | 76,845 | $ | 118,788 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2016 in valuing the Fund’s assets and liabilities:
There were no significant transfers between Levels 1, 2, or 3 during the period ended December 31, 2016.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2016 | 103 |
104 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 105 |
Notes to Financial Statements (Cont.)
106 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 107 |
Notes to Financial Statements (Cont.)
108 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
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 December 31, 2016, (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 12/31/2016 |
Dividend Income(1) |
|||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
$ | 0 | $ | 177,808 | $ | (124,819 | ) | $ | 0 | $ | 0 | $ | 52,989 | $ | 55 | |||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 14,426 | (14,426 | ) | 0 | 0 | 0 | 4 |
† |
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. See Note 2(c) 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 12/31/2016 |
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 Index 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. See Note 2(c) in the Notes to Financial Statements for more information. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 109 |
Notes to Financial Statements (Cont.)
110 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 111 |
Notes to Financial Statements (Cont.)
112 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
Fund Name | Cash Collateral Reinvestment Vehicle | |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO Diversified Income Active Exchange-Traded Fund | PIMCO Government Money Market Fund | |
PIMCO Low Duration Active Exchange-Traded Fund | PIMCO Government Money Market Fund |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 113 |
Notes to Financial Statements (Cont.)
114 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 115 |
Notes to Financial Statements (Cont.)
116 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 117 |
Notes to Financial Statements (Cont.)
118 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 119 |
Notes to Financial Statements (Cont.)
120 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
Amounts waived (under the Expense Limitation Agreement and Fee Waiver Agreements) may be reimbursed to PIMCO, provided that (1) the Fund’s annualized organizational expenses and pro rata share of Trustee Fees plus the amount reimbursed does not exceed the Expense Limit; (2) such amount paid to PIMCO will not exceed the total Reimbursement Amount, which is the portion of the Supervisory and Administrative Fee or Advisory Fee that was waived, reduced or reimbursed by PIMCO; and (3) such amount will not include any amounts previously reimbursed to PIMCO. The recoverable amounts to PIMCO at December 31, 2016, 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 |
$ | 0 | $ | 1 | $ | 5 | $ | 6 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S.
Treasury Index |
0 | 0 | 2 | 2 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS
Index |
0 | 2 | 5 | 7 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 3 | 3 | ||||||||||||||||
PIMCO Diversified Income
Active |
30 | 2 | 2 | 34 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
1 | 3 | 4 | 8 | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
43 | 101 | 45 | 189 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 121 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2016, were as follows (amounts in thousands†):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 36,922 | $ | 36,001 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange Traded Fund |
15,521 | 18,447 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
170,036 | 169,483 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,170 | 4,911 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
1,341 | 1,862 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 2,101 | 323,629 | 370,721 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,374 | 0 | 71,337 | 13,419 | ||||||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
27,474 | 23,708 | 10,710 | 13,031 | ||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
624,116 | 525,039 | 1,549,401 | 1,183,512 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
48,459 | 51,144 | 26,232 | 41,286 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 65,810 | 38,032 | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
349,413 | 329,278 | 24,902 | 10,630 | ||||||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 28,496 | 26,843 | ||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
8,521,064 | 8,501,061 | 159,683 | 413,902 | ||||||||||||||||
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
12. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed on detail in the Statements of Changes in Net Assets.
122 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the sub-administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.
Standard Creation/ Redemption Transaction Fee* |
Maximum Additional Variable Charge for Cash Creations** |
Maximum
Additional Variable Charge for Cash Redemptions** |
||||||||
$ | 500 | 3.00 | % | 2.00 | % |
* | Applicable to in-kind contributions or redemptions only. |
** | As a percentage of the cash amount invested or received. |
13. INVESTMENT TRANSACTIONS
For the period ended December 31, 2016, 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 |
$ | 42,719 | $ | 58,328 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
22,415 | 286,397 | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
65,444 | 44,635 | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
20,280 | 21,122 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
14,620 | 41,146 | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
582,755 | 418,848 | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
72,497 | 41,838 |
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 123 |
Notes to Financial Statements (Cont.)
ending in 2013-2015, no examinations are in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
As of their last fiscal year ended June 30, 2016, 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 | ||||||||||||||||
06/30/2017 | 06/30/2018 | 06/30/2019 | ||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | $ | 0 | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 363 | |||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
0 | 0 | 0 | |||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
0 | 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, 2016, 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 |
13,651 | 4,402 | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
4,199 | 8,579 | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,850 | 6,941 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
167 | 710 | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
43,065 | 74,959 | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||||
PIMCO Diversified Income Active Exchange-Traded Fund |
620 | 806 | ||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund |
1,722 | 3,005 | ||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
3,530 | 5,495 |
124 | PIMCO ETF TRUST |
December 31, 2016 (Unaudited)
Short-Term | Long-Term | |||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund |
$ | 1,682 | $ | 215 | ||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
1,604 | 741 | ||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund |
190 | 26 | ||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
1,959 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
As of December 31, 2016, the aggregate cost and the net unrealized appreciation (depreciation) of investments for Federal income tax purposes are as follows (amounts in thousands†):
Fund Name | Federal Tax Cost |
Aggregate Gross Unrealized Appreciation |
Aggregate Gross Unrealized (Depreciation) |
Net Unrealized Appreciation (Depreciation)(1) |
||||||||||||||||
PIMCO 1-3 Year U.S. Treasury
Index |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS
Index |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS
Index |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Diversified Income
Active |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Enhanced Short Maturity Strategy Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Strategy Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Low Duration Active Exchange-Traded Fund |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Short Term Municipal Bond
Active |
0 | 0 | 0 | 0 | ||||||||||||||||
PIMCO Total Return Active Exchange-Traded Fund |
0 | 0 | 0 | 0 |
† |
A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) |
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, real estate investment trusts (REITs), defaulted bond marked-to-market adjustment and accrual on convertible preferred stock for federal income tax purposes. |
16. SUBSEQUENT EVENTS
On February 15, 2017, the Board approved the liquidation of the PIMCO Diversified Income Active Exchange-Traded Fund and PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund. The liquidation of the PIMCO Diversified Income Active Exchange-Traded Fund and PIMCO Global Advantage® Inflation-Linked Bond Active Exchange-Traded Fund is expected to occur on April 7, 2017.
There were no other subsequent events identified that require recognition or disclosure.
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 125 |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: |
||||||||||
AZD |
Australia and New Zealand Banking Group |
FBF |
Credit Suisse International |
NAB |
National Australia Bank Ltd. | |||||
BCY |
Barclays Capital, Inc. |
FOB |
Credit Suisse Securities (USA) LLC |
NGF |
Nomura Global Financial Products, Inc. | |||||
BOA |
Bank of America N.A. |
GLM |
Goldman Sachs Bank USA |
RBC |
Royal Bank of Canada | |||||
BOM |
Bank of Montreal |
GRE |
RBS Securities, Inc. |
RDR |
RBC Capital Markets | |||||
BOS |
Banc of America Securities LLC |
GST |
Goldman Sachs International |
RYL |
Royal Bank of Scotland Group PLC | |||||
BPG |
BNP Paribas Securities Corp. |
HUS |
HSBC Bank USA N.A. |
SAL |
Citigroup Global Markets, Inc. | |||||
BPS |
BNP Paribas S.A. |
JPM |
JPMorgan Chase Bank N.A. |
SCX |
Standard Chartered Bank | |||||
BRC |
Barclays Bank PLC |
JPS |
JPMorgan Securities, Inc. |
SOG |
Societe Generale | |||||
BSN |
Bank of Nova Scotia |
KCG |
Knight Capital Group |
SSB |
State Street Bank and Trust Co. | |||||
CBK |
Citibank N.A. |
MEI |
Merrill Lynch International |
TDM |
TD Securities (USA) LLC | |||||
DEU |
Deutsche Bank Securities, Inc. |
MSB |
Morgan Stanley Bank, N.A |
TOR |
Toronto Dominion Bank | |||||
DUB |
Deutsche Bank AG |
MSC |
Morgan Stanley & Co., Inc. |
UAG |
UBS AG Stamford | |||||
FAR |
Wells Fargo Bank National Association |
MYC |
Morgan Stanley Capital Services, Inc. |
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Currency Abbreviations: |
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AUD |
Australian Dollar |
GBP |
British Pound |
NZD |
New Zealand Dollar | |||||
BRL |
Brazilian Real |
IDR |
Indonesian Rupiah |
RUB |
Russian Ruble | |||||
CAD |
Canadian Dollar |
ILS |
Israeli Shekel |
SEK |
Swedish Krona | |||||
CHF |
Swiss Franc |
INR |
Indian Rupee |
SGD |
Singapore Dollar | |||||
CLP |
Chilean Peso |
JPY |
Japanese Yen |
THB |
Thai Baht | |||||
CNH |
Chinese Renminbi (Offshore) |
KRW |
South Korean Won |
TWD |
Taiwanese Dollar | |||||
COP |
Colombian Peso |
MXN |
Mexican Peso |
USD (or $) |
United States Dollar | |||||
DKK |
Danish Krone |
MYR |
Malaysian Ringgit |
ZAR |
South African Rand | |||||
EUR |
Euro |
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Exchange Abbreviations: |
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CBOT |
Chicago Board of Trade |
CME |
Chicago Mercantile Exchange |
OTC |
Over the Counter | |||||
Index/Spread Abbreviations: |
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CDX.HY |
Credit Derivatives Index - High Yield |
CPI |
Consumer Price Index |
FRCPXTOB |
France Consumer Price ex-Tobacco Index | |||||
CDX.IG |
Credit Derivatives Index - Investment Grade |
CPTFEMU |
Eurozone HICP ex-Tobacco Index |
MCDX |
Municipal Bond Credit Derivative Index | |||||
CMBX |
Commercial Mortgage-Backed Index |
CPURNSA |
Consumer Price All Urban Non-Seasonally Adjusted Index |
UKRPI |
United Kingdom Retail Price Index | |||||
CPALEMU |
Euro Area All Items Non-Seasonally Adjusted Index |
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Municipal Bond or Agency Abbreviations: |
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AGM |
Assured Guaranty Municipal |
NPFGC |
National Public Finance Guarantee Corp. |
PSF |
Public School Fund | |||||
BHAC |
Berkshire Hathaway Assurance Corporation |
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Other Abbreviations: |
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ABS |
Asset-Backed Security |
EURIBOR |
Euro Interbank Offered Rate |
REMIC |
Real Estate Mortgage Investment Conduit | |||||
BABs |
Build America Bonds |
STRIPS |
Separate Trading of Registered Interest and Principal of Securities | |||||||
BBR |
Bank Bill Rate |
FDIC |
Federal Deposit Insurance Corp. |
TBD |
To Be Determined | |||||
BBSW |
Bank Bill Swap Reference Rate |
JSC |
Joint Stock Company |
TIIE |
Tasa de Interés Interbancaria de Equilibrio “Equilibrium Interbank Interest Rate” | |||||
BTP |
Buoni del Tesoro Poliennali |
LIBOR |
London Interbank Offered Rate |
YOY |
Year-Over-Year | |||||
CDO |
Collateralized Debt Obligation |
NCUA |
National Credit Union Administration |
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CLO |
Collateralized Loan Obligation |
PIK |
Payment-in-Kind |
126 | PIMCO ETF TRUST |
Approval of Investment Management Agreement
(Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 127 |
Approval of Investment Management Agreement (Cont.)
128 | PIMCO ETF TRUST |
(Unaudited)
SEMIANNUAL REPORT | DECEMBER 31, 2016 | 129 |
Approval of Investment Management Agreement (Cont.)
(Unaudited)
130 | 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.
ETF4001SAR_123116