Your Global Investment Authority
PIMCO ETF Trust
Annual Report
June 30, 2014
Index Exchange-Traded Funds
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
PIMCO Australia Bond Index Exchange-Traded Fund
PIMCO Canada Bond Index Exchange-Traded Fund
PIMCO Germany Bond Index Exchange-Traded Fund
Actively Managed Exchange-Traded Funds
PIMCO Build America Bond Exchange-Traded Fund
PIMCO Diversified Income Exchange-Traded Fund
PIMCO Enhanced Short Maturity Exchange-Traded Fund
PIMCO Foreign Currency Strategy Exchange-Traded Fund
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
PIMCO Intermediate Municipal Bond Exchange-Traded Fund
PIMCO Low Duration Exchange-Traded Fund
PIMCO Short Term Municipal Bond Exchange-Traded Fund
PIMCO Total Return Exchange-Traded Fund
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FUND | Fund Summary |
Schedule of Investments |
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6 | 47 | |||||||
7 | 48 | |||||||
8 | 49 | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
9 | 50 | ||||||
10 | 51 | |||||||
11 | 52 | |||||||
12 | 53 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
13 | 54 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
14 | 60 | ||||||
15 | 64 | |||||||
16 | 66 | |||||||
17 | 68 | |||||||
18 | 69 | |||||||
19 | 71 | |||||||
20 | 76 | |||||||
21 | 82 | |||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
22 | 86 | ||||||
23 | 92 | |||||||
24 | 97 | |||||||
25 | 103 | |||||||
26 | 106 |
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
Dear Shareholder,
Please find enclosed the Annual Report for the PIMCO ETF Trust covering the twelve-month reporting period ended June 30, 2014. On the following pages, you’ll find specific details on investment performance and a discussion of the factors that most affected performance.
Over the past twelve months, investors faced periods of heightened market volatility brought on by uncertainty around monetary and fiscal policy, geopolitical tension in the Middle East and Ukraine, growing concern over China’s economic health, and fears of deflation in the Eurozone.
In contrast to the market reaction during the summer of 2013 in which the Federal Reserve’s (“Fed”) new “taper talk” caused significant market turmoil, investor risk appetite returned during the second half of the reporting period due to better clarity regarding central bank policy and an easing of global geopolitical risks towards the latter part of the period. Global bond markets generally rallied (with yields lower and prices therefore higher) as central banks remained accommodative.
The outlook for the U.S. economy improved on steady though historically slow employment growth and renewed business investment activity during the reporting period. However, while the Fed noted in its June 2014 meeting that the U.S. economy had “rebounded”, the central bank reiterated its view that the economy still had some distance to go to meet its employment and specific inflation targets. Investors became more comfortable with the idea that the Fed would keep its policy rate lower than historical norms, leading to a flattening of the U.S. Treasury yield curve during a recovery.
This sentiment was reinforced by a series of actions announced by the European Central Bank (“ECB”) on June 5, 2014. ECB President Mario Draghi lowered the ECB’s benchmark rate by 10 basis points, reduced its deposit rate into unprecedented negative territory to help mitigate potential deflationary forces (making the ECB the first major central bank to do so), opened a new liquidity channel to help encourage bank lending, and mentioned plans to begin a future quantitative easing asset purchase program. These measures reflected the ECB’s decision to attempt to tackle the threat of deflation in the Eurozone amid slower-than-historical and expected economic growth. Consequently, yields on Spanish and Italian bonds ended the period closer to their ten-year U.S. Treasury counterparts.
Within Asia, Japan raised its consumption tax, leading to a decline in household spending and retail sales. China, also facing a more challenging growth outlook, launched a mini-stimulus program and continued to fine-tune its monetary policies amid lingering concerns regarding shadow banking-related defaults.
Highlights of the financial markets during our twelve-month reporting period include:
n |
U.S. Treasuries, as represented by the Barclays U.S. Treasury Index, returned 2.04% over the reporting period. Investors continued pricing in low policy rates and lower long-term yields in reaction to the Fed signaling towards the latter part of the period that it was in no hurry to start raising interest rates. The benchmark ten-year U.S. Treasury note yielded 2.53% at the end of the reporting period, virtually unchanged as compared to 2.49% on June 30, 2013. |
n |
U.S. Treasury Inflation-Protected Securities (“TIPS”), as represented by the Barclays U.S. TIPS Index, returned 4.44% over the reporting period. The asset class generally gained on supportive inflationary data and returning investor demand. U.S. TIPS outperformed nominal U.S. Treasuries as the level and expectations of inflation increased over the period. Higher heating costs during the winter and the conflict in Iraq towards the latter part of the period contributed to higher energy prices, which impacted near-term headline inflation, while increasing rent prices continued to contribute to core inflation. Global inflation-linked bonds (“ILBs”) also posted strong returns with emerging market ILBs showing significant strength. |
n |
Tax-exempt municipal bonds, as represented by the Barclays Municipal Bond Index, returned 6.14%, and taxable municipal bonds, as measured by the Barclays Municipal Taxable Index, returned 9.47% over the reporting period. Positive municipal performance was driven by healthy supply and demand conditions, which outweighed negative credit headlines surrounding select issuers. Primary municipal bond market supply remained below average, and such technical support was exacerbated by accelerated net inflows into municipal bond mutual funds. Demand was concentrated within the long duration and high yield segments and therefore drove credit spreads tighter. |
2 | PIMCO ETF TRUST |
n |
U.S. investment grade credit, as measured by the Barclays U.S. Credit Index, returned 7.44% over the reporting period. The sector outperformed like-duration U.S. Treasuries as spreads narrowed. The high yield corporate bond sector also posted positive returns, benefiting from robust inflows and overall low market volatility. Spreads tightened in spite of falling U.S. Treasury yields, primarily due to improvements in global growth, solid corporate fundamentals and continued accommodative global central bank policy. |
PIMCO ETFs are designed to provide well-engineered solutions to meet a broad range of investor needs, offering access to PIMCO’s unique investment process and world-class portfolio management expertise in the ETF vehicle, which features portfolio transparency and intra-day pricing in a conveniently traded format. PIMCO ETFs include a range of actively-managed and Smart Passive strategies, providing investors access to a variety of sectors, geographical regions and investment objectives.
If you have any questions regarding your PIMCO ETF Trust investment, please contact your financial advisor, or call one of our shareholder associates at 888.400.4ETF (888.400.4383). We also invite you to visit our website at www.pimcoetfs.com to learn more about PIMCO ETFs.
Thank you again for the trust you have placed in PIMCO. We are privileged to serve you through our ETF offerings.
Sincerely,
Brent R. Harris President and Chairman of the Board, PIMCO ETF Trust
July 24, 2014 |
ANNUAL REPORT | JUNE 30, 2014 | 3 |
Important Information About the Funds
4 | PIMCO ETF TRUST |
ANNUAL REPORT | JUNE 30, 2014 | 5 |
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | TUZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations |
98.9% | |||
Short-Term Instruments |
1.1% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||||||
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) |
0.68% | 1.08% | 1.05% | ||||||||||
|
PIMCO 1-3 Year U.S.
Treasury Index Exchange-Traded Fund (At Market Price)(1) |
0.66% | 1.07% | 1.05% | ||||||||||
|
The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± | 0.76% | 1.18% | 1.15% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-3 Year US Treasury IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Changes in yields in the 1- to 3-year segment of the U.S. Treasury yield curve were mixed over the course of the reporting period, with an increase in 2-year and 3-year yields negatively impacting the price return of the Fund and the Underlying Index. Returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
6 | PIMCO ETF TRUST |
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | FIVZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 98.9% | |||
Short-Term Instruments | 1.1% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year | Fund Inception (10/30/2009) |
|||||||||
|
PIMCO 3-7 Year U.S.
Treasury Index Exchange-Traded Fund (Based on Net Asset Value) |
1.78% | 3.30% | |||||||
|
PIMCO 3-7 Year U.S.
Treasury Index Exchange-Traded Fund (At Market Price)(1) |
1.75% | 3.29% | |||||||
|
The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM± | 1.91% | 3.40% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 3-7 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 3 years and less than 7 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 3-7 Year 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 3- to 7-year segment of the U.S. Treasury yield curve moved higher over the course of the reporting period, negatively impacting performance. Returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2014 | 7 |
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | TENZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 99.7% | |||
Short-Term Instruments | 0.3% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO 7-15 Year
U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) |
3.07% | 5.11% | |||||||
|
PIMCO 7-15 Year
U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) |
3.09% | 5.11% | |||||||
|
The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM± | 3.22% | 5.26% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 7-15 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. dollar denominated sovereign debt securities publicly issued by the U.S. Treasury having a maturity of at least 7 years and less than 15 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 7-15 Year 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 7- to 15-year segment of the U.S. Treasury yield curve rose over the course of the reporting period. Although this resulted in flat price performance, returns due to income positively contributed to performance for both the Fund and the Underlying Index. |
8 | PIMCO ETF TRUST |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol | ZROZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 100.0% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO 25+ Year Zero Coupon U.S. Treasury
Index Exchange-Traded Fund |
9.70% | 9.76% | |||||||
|
PIMCO 25+ Year Zero Coupon U.S. Treasury
Index Exchange-Traded Fund |
9.91% | 9.84% | |||||||
|
The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM± |
10.44% | 9.84% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Long U.S. Treasury Principal STRIPS IndexSM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.15%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch Long 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Yields in the 25+ year segment of the U.S. Treasury STRIPS yield curve declined over the reporting period, positively contributing to performance for the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2014 | 9 |
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | STPZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 100.0% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO 1-5 Year U.S. TIPS Index
Exchange-Traded Fund |
2.28% | 2.80% | |||||||
|
PIMCO 1-5 Year U.S. TIPS Index
Exchange-Traded Fund |
2.32% | 2.80% | |||||||
|
The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM± |
2.55% | 3.03% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-5 Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 1 year and less than 5 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 1-5 Year 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Real yields, or the rates of return in excess of expected future inflation, declined across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
10 | PIMCO ETF TRUST |
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | LTPZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 100.0% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO 15+ Year U.S. TIPS Index
Exchange-Traded Fund |
8.83% | 8.13% | |||||||
|
PIMCO 15+ Year U.S. TIPS Index
Exchange-Traded Fund |
8.98% | 8.13% | |||||||
|
The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM± |
9.16% | 8.39% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 15+ Year U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 15 years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
» |
The PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 15+ Year 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
» |
Real yields, or the rates of return in excess of expected future inflation, declined above the 15-year point along the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
ANNUAL REPORT | JUNE 30, 2014 | 11 |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol | TIPZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
U.S. Treasury Obligations | 99.1% | |||
Short-Term Instruments | 0.9% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Broad U.S. TIPS Index
Exchange-Traded Fund |
4.50% | 5.34% | |||||||
|
PIMCO Broad U.S. TIPS Index
Exchange-Traded Fund |
4.65% | 5.35% | |||||||
|
The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM± |
4.74% | 5.56% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities). It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Broad U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 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 of the Underlying Index. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
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Real yields, or the rates of return in excess of expected future inflation, declined across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the Underlying Index. A net positive inflation accrual, or change in the Consumer Price Index (“CPI”), applied to the principal of underlying securities over the reporting period added to the positive price movement. |
12 | PIMCO ETF TRUST |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | HYS |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Corporate Bonds & Notes |
90.9% | |||
Short-Term Instruments |
5.6% | |||
U.S. Treasury Obligations |
2.7% | |||
U.S. Government Agencies |
0.8% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO 0-5 Year High Yield Corporate Bond
Index Exchange-Traded Fund |
8.98% | 7.50% | |||||||
|
PIMCO 0-5 Year High Yield Corporate Bond
Index Exchange-Traded Fund |
8.84% | 7.53% | |||||||
|
The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM± |
9.48% | 8.21% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained IndexSM tracks the performance of short-term U.S. dollar denominated below investment grade corporate debt issued in the U.S. domestic market with less than five years remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $100 million, issued publicly. Allocations to an individual issuer will not exceed 2%. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 0-5 Year 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. |
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Over the reporting period, yields in the short-term segment of the U.S. high yield market declined which positively contributed to performance. Coupon returns also contributed to performance for the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2014 | 13 |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Ticker Symbol | CORP |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Industrials |
47.1% | |||
Banking & Finance |
36.0% | |||
Utilities |
16.6% | |||
Short-Term Instruments |
0.2% | |||
U.S. Treasury Obligations |
0.1% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Investment Grade Corporate Bond
Index Exchange-Traded Fund |
8.24% | 5.44% | |||||||
|
PIMCO Investment Grade Corporate Bond
Index Exchange-Traded Fund |
8.62% | 5.43% | |||||||
|
The BofA Merrill Lynch U.S. Corporate IndexSM± |
7.98% | 5.70% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch U.S. Corporate IndexSM is an unmanaged index comprised of U.S. dollar denominated investment grade, fixed rate corporate debt securities publicly issued in the U.S. domestic market with at least one year remaining term to final maturity and at least $250 million outstanding. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.20%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of The BofA Merrill Lynch 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 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. |
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A decrease in investment grade corporate yields, tightening option-adjusted spreads, and coupon returns combined to result in positive returns for both the Fund and the Underlying Index over the reporting period. |
14 | PIMCO ETF TRUST |
PIMCO Australia Bond Index Exchange-Traded Fund
Ticker Symbol | AUD |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Australia |
67.2% | |||
Supranational | 13.3% | |||
Germany | 4.7% | |||
Short-Term Instruments | 4.3% | |||
United Kingdom | 3.0% | |||
Other | 7.5% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Australia Bond Index
Exchange-Traded Fund |
9.82% | 2.01% | |||||||
|
PIMCO Australia Bond Index
Exchange-Traded Fund |
10.96% | 1.58% | |||||||
|
The BofA Merrill Lynch Diversified Australia Bond IndexSM± |
10.15% | 2.39% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Australia Bond IndexSM tracks the performance of large, Australian dollar (“AUD”)-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi government, corporate, securitized and collateralized securities. All qualifying securities must have at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying Australian sovereign securities must have a minimum amount outstanding of AUD 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of AUD 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Australia 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 Diversified Australia Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Australian dollar-denominated investment grade debt instruments publicly issued in the Australian domestic market, including sovereign, quasi-government, corporate, securitized and collateralized securities. Qualifying constituents must have an investment-grade rating (based on an average of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
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Declining Australian government yields combined with a strengthening Australian dollar over the reporting period resulted in positive performance for both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2014 | 15 |
PIMCO Canada Bond Index Exchange-Traded Fund
Ticker Symbol | CAD |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Canada |
100.0% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Canada Bond Index Exchange-Traded
Fund |
4.14% | 1.22% | |||||||
|
PIMCO Canada Bond Index Exchange-Traded
Fund |
3.79% | 0.90% | |||||||
|
The BofA Merrill Lynch Diversified Canada Government Bond IndexSM± |
5.13% | 1.38% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Canada Government Bond IndexSM tracks the performance of large, Canadian dollar (“CAD”)-denominated investment grade debt instruments publicly issued in the Canadian domestic market including Canadian sovereign and quasi-government securities. All Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of CAD 1 billion for Canadian sovereign securities and a minimum amount outstanding of CAD 200 million for Canadian quasi-government-securities. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Canada 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 Diversified Canada Government Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, Canadian dollar-denominated investment grade debt instruments publicly issued in the Canadian domestic market, including Canadian sovereign and quasi-government securities. Qualifying constituents must have an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”)), an investment grade country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
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Canadian government yields declined across the yield curve over the reporting period, resulting in positive price performance. Although a weakening Canadian dollar slightly detracted from overall performance, the net total return for both the Fund and the Underlying Index was positive. |
16 | PIMCO ETF TRUST |
PIMCO Germany Bond Index Exchange-Traded Fund
Ticker Symbol | BUND |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Germany | 76.5% | |||
Netherlands | 16.5% | |||
France | 4.5% | |||
Ireland | 2.5% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Germany Bond Index Exchange-Traded
Fund |
9.35% | 4.00% | |||||||
|
PIMCO Germany Bond Index Exchange-Traded
Fund |
10.24% | 4.28% | |||||||
|
The BofA Merrill Lynch Diversified Germany Bond IndexSM± |
9.91% | 4.34% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch Diversified Germany Bond IndexSM tracks the performance of large, Euro (“EUR”)-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euro member domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. All Qualifying securities must be an obligation of a German entity with at least one year remaining term to final maturity and a fixed coupon schedule. Qualifying German sovereign securities must have a minimum amount outstanding of EUR 1 billion. Qualifying non-sovereign securities must have a minimum amount outstanding of EUR 500 million and must be rated investment grade. Index constituents are capitalization-weighted adjusted, as necessary, to meet issuer concentration limits. The Underlying Index is rebalanced on the last calendar day of the month. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Germany 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 Diversified Germany Bond IndexSM (the “Underlying Index”), by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities of the Underlying Index. The Underlying Index tracks the performance of large, euro-denominated investment grade debt instruments of German issuers publicly issued in the eurobond or Euro member domestic markets, including sovereign, quasi-government, corporate, securitized and collateralized securities. Qualifying constituents must be an obligation of a German entity with an investment-grade rating (based on an average of the ratings of Moody’s Investors Service, Inc. (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch, Inc. (“Fitch”), at least one year remaining term to final maturity and a fixed coupon schedule. The Fund invests in a representative sample of securities included in the Underlying Index that collectively has an investment profile similar to the Underlying Index. Due to the use of representative sampling, the Fund may not hold all of the securities that are included in the Underlying Index. |
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Declining German government yields combined with a strengthening euro over the reporting period resulted in positive performance for both the Fund and the Underlying Index. |
ANNUAL REPORT | JUNE 30, 2014 | 17 |
PIMCO Build America Bond Exchange-Traded Fund
Ticker Symbol | BABZ |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
California | 41.6% | |||
New York | 10.3% | |||
Ohio | 8.6% | |||
Short-Term Instruments | 4.3% | |||
Illinois | 4.0% | |||
Other | 31.2% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Build America Bond Exchange-Traded
Fund |
9.72% | 8.16% | |||||||
|
PIMCO Build America Bond Exchange-Traded
Fund |
10.67% | 8.19% | |||||||
|
Barclays Build America Bond Index± |
11.61% | 8.80% | * |
All Fund returns are net of fees and expenses.
* Average annual total return since 09/30/2010.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Build America Bond Index is a subset of the Barclays Taxable Municipal Bond Index. The sub-Index consists of all direct pay Build America Bonds that satisfy the rules of the Barclays Taxable Municipal Bond Index. The Barclays Taxable Municipal Bond Index represents securities that are SEC-registered, taxable, dollar denominated, and have at least one year to final maturity, at least $250 million par amount outstanding and are determined to be investment-grade by Barclays. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.45%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Build America Bond Exchange-Traded Fund seeks maximum income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in taxable municipal debt securities publicly issued under the Build America Bond program. |
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The Fund commenced operations on September 20, 2010. The Build America Bonds (“BABs”) program expired on December 31, 2010. |
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Security selection in the special tax sector was a material detractor from relative performance as these securities underperformed the Fund’s benchmark index during the reporting period. |
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Duration (or sensitivity to changes in market interest rates) positioning was managed below the Fund’s benchmark index throughout the majority of the reporting period, which contributed to performance as yields generally moved higher across intermediate and long maturities of the taxable municipal bond yield curve. |
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An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An overweight to the industrial revenue sector throughout the majority of the reporting period contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An overweight to the lease-backed sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An underweight to the healthcare sector throughout the majority of the reporting period detracted from performance as the segment outperformed the general municipal bond market. |
18 | PIMCO ETF TRUST |
PIMCO Diversified Income Exchange-Traded Fund
Ticker Symbol | DI |
Allocation Breakdown‡
Corporate Bonds & Notes | 76.3% | |||
Sovereign Issues | 12.6% | |||
Short-Term Instruments | 4.0% | |||
Asset-Backed Securities | 2.3% | |||
Common Stocks | 1.6% | |||
Other | 3.2% |
‡ |
% of Investments, at value as of 06/30/14 |
A line graph is not included since the Fund has less than six months of performance.
Cumulative Total Return for the period ended June 30, 2014 | ||||
Fund Inception (01/22/2014) |
||||
PIMCO Diversified
Income Exchange-Traded Fund (Based on Net Asset Value) |
5.30 | % | ||
PIMCO Diversified
Income Exchange-Traded Fund (At Market Price)(1) |
5.10 | % | ||
Barclays Global Credit Hedged USD Index± | 4.22 | % |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays Global Credit Hedged USD contains investment grade and high yield credit securities from the Multiverse represented in U.S. Dollars on a hedged basis, (Multiverse is the merger of two groups: the Global Aggregate and the Global High Yield). It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.87%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Diversified Income 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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
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The Fund commenced operations on January 22, 2014. |
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An underweight to emerging markets (“EM”) spread duration (or sensitivity to changes in credit spreads) detracted from relative performance as EM spreads tightened over the period since the Fund’s inception through the end of the reporting period. |
» |
An overweight to high yield spread duration benefited relative performance as high yield spreads tightened. |
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Exposure to the financials sector benefited performance as the sector was supported by declining yields. |
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Positive exposure to U.S. duration (or sensitivity to changes in market interest rates) benefited performance as U.S. interest rates fell. |
ANNUAL REPORT | JUNE 30, 2014 | 19 |
PIMCO Enhanced Short Maturity Exchange-Traded Fund
Ticker Symbol | MINT |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Corporate Bonds & Notes |
66.7% | |||
Short-Term Instruments |
10.4% | |||
Asset-Backed Securities |
8.8% | |||
U.S. Government Agencies |
5.0% | |||
Mortgage-Backed Securities |
4.6% | |||
Other |
4.5% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year | Fund Inception (11/16/2009) |
|||||||||
|
PIMCO Enhanced
Short Maturity Exchange-Traded Fund (Based on Net Asset Value) |
1.02% | 1.26% | |||||||
|
PIMCO Enhanced
Short Maturity Exchange-Traded Fund (At Market Price)(1) |
0.96% | 1.25% | |||||||
|
Citi 3-Month Treasury Bill Index± | 0.04% | 0.08% | * |
All Fund returns are net of fees and expenses.
* Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Citi 3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Enhanced Short Maturity Exchange-Traded Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, by investing under normal circumstances at least 65% of its total assets in a diversified portfolio of fixed income instruments of varying maturities, which may be represented by forwards. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The Fund primarily invests in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. |
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Exposure to investment grade credit benefited performance as credit spreads narrowed during the reporting period. |
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Exposure to securities with longer maturities versus the Fund’s benchmark index benefited performance due to a steepening yield curve, which allowed for higher reinvestment yields and greater total return. |
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An overweight to Korean duration (or sensitivity to changes in market interest rates) during the last half of the reporting period benefited performance as Korean yields decreased. |
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An overweight to non-Agency mortgages benefited performance as prices for these securities generally rose during the reporting period. |
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There were no notable detractors for the reporting period. |
20 | PIMCO ETF TRUST |
PIMCO Foreign Currency Strategy Exchange-Traded Fund
Ticker Symbol | FORX |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Short-Term Instruments |
69.0% | |||
Mexico |
13.4% | |||
United States |
8.1% | |||
Brazil |
6.6% | |||
New Zealand |
2.9% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year | Fund Inception (02/11/2013) |
|||||||||
|
PIMCO Foreign
Currency Strategy Exchange-Traded Fund (Based on Net Asset Value) |
3.27% | -1.92% | |||||||
|
PIMCO Foreign
Currency Strategy Exchange-Traded Fund (At Market Price)(1) |
3.40% | -2.34% | |||||||
|
The BofA Merrill Lynch 1-3 Year Trade-Weighted Global Government Index± | 6.37% | 2.09% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year Trade-Weighted Global Government Index tracks the performance of a fixed-weighted blend of select short-dated sovereign indices whose securities are publicly issued and denominated in the issuer’s own domestic market and currency. The weights of constituent markets are re-set on each calendar month-end rebalancing date with the following weights: Canada (9.1%); Euro member countries (57.6%); Japan (13.6%); Sweden (4.2%); Switzerland (3.6%) and the U.K. (11.9%). It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.65%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Foreign Currency Strategy Exchange-Traded Fund seeks maximum total return, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in currencies of, or Fixed Income Instruments denominated in the currencies of, foreign (non-U.S.) countries, including, but not limited to, a combination of short-term Fixed Income Instruments, money market securities and currency forwards backed by high-quality, low duration securities. “Foreign Currency Strategy” in the Fund’s name refers to the Fund’s proprietary investment strategy of seeking exposure to foreign (non-U.S.) currencies likely to outperform the U.S. dollar over the long-term. Assets not invested in currencies, currency forwards or Fixed Income Instruments denominated in currencies of non-U.S. countries may be invested in other types of Fixed Income Instruments. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
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Long exposure to the New Zealand dollar and British pound added to performance as these developed market currencies appreciated relative to the U.S. dollar during the reporting period. |
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Long exposure to the Brazilian real, Indian rupee, Malaysian ringgit, and Mexican peso added to performance as these emerging market currencies appreciated relative to the U.S. dollar during the reporting period. |
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Short exposure to the Japanese yen detracted from performance as this developed market currency appreciated relative to the U.S. dollar during the reporting period. |
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Long exposure to the Canadian dollar and Swedish krona detracted from performance as these developed market currencies depreciated relative to the U.S. dollar during the reporting period. |
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Long exposure to the Chinese renminbi, Chilean peso, and Russian ruble detracted from performance as these emerging market currencies depreciated relative to the U.S. dollar during the reporting period. |
ANNUAL REPORT | JUNE 30, 2014 | 21 |
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
Ticker Symbol | ILB |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
United States | 20.1% | |||
Brazil | 16.8% | |||
Italy | 12.1% | |||
Germany | 8.8% | |||
United Kingdom | 5.8% | |||
Australia | 5.6% | |||
Short-Term Instruments | 1.7% | |||
Other | 29.1% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Global Advantage®
Inflation-Linked Bond Exchange-Traded Fund |
7.55% | 2.45% | |||||||
|
PIMCO Global Advantage®
Inflation-Linked Bond Exchange-Traded Fund |
7.40% | 2.29% | |||||||
|
Barclays Universal Government Inflation-Linked Bond Index± |
9.84% | 3.10% | |||||||
|
PIMCO Global Advantage Inflation-Linked
Bond Index® |
8.70% | 2.52% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The Barclays Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets. The index includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea. The index is market capitalization weighted and rebalances monthly. It is not possible to invest directly in an unmanaged index.
±± PIMCO Global Advantage Inflation-Linked Bond Index® (USD Unhedged) (NY Close). The PIMCO GLADI ILB represents the global bond market for inflation-linked government debt encompassing both developed and emerging markets. The index adheres to the principles of the PIMCO Global Advantage Indices when applicable to the global inflation-linked bond market. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.63%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Global Advantage® Inflation-Linked Bond 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). Inflation-linked bonds are fixed income securities that are structured to provide protection against inflation. |
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Exposure to global inflation-linked bonds benefited absolute performance as global inflation-linked bonds, as measured by the Barclays Universal Government Inflation-Linked Bond Index, generally posted positive returns during the reporting period. |
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An underweight to French real duration (or sensitivity to changes in real interest rates) detracted from relative performance as French real yields decreased over the reporting period. |
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An underweight to Japanese real duration detracted from relative performance as Japanese real yields decreased over the reporting period. |
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An overweight to Italian real duration for most of the reporting period benefited relative performance as Italian real yields decreased over the reporting period. |
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An underweight to Canadian real duration detracted from relative performance as Canadian real yields decreased over the reporting period. |
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An overweight to Australian real duration benefited relative performance as Australian real yields decreased over the reporting period. |
22 | PIMCO ETF TRUST |
PIMCO Intermediate Municipal Bond Exchange-Traded Fund
Ticker Symbol | MUNI |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
New York | 13.6% | |||
California | 12.2% | |||
Texas | 12.2% | |||
Short-Term Instruments | 8.4% | |||
Ohio | 7.6% | |||
Illinois | 6.2% | |||
Florida | 5.5% | |||
Other | 34.3% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Intermediate Municipal Bond
Exchange-Traded Fund |
4.23% | 3.70% | |||||||
|
PIMCO Intermediate Municipal Bond
Exchange-Traded Fund |
4.59% | 3.69% | |||||||
|
Barclays 1-15 Year Municipal Bond Index± |
5.19% | 4.24% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. It is an unmanaged index representative of the tax exempt bond market. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Intermediate Municipal Bond Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“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. |
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Duration (or sensitivity to changes in market interest rates) positioning was managed below the Fund’s benchmark index throughout the reporting period, which detracted from performance as municipal bond yields moved lower across the yield curve. |
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An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An underweight to the special tax sector throughout the majority of the reporting period contributed to performance as the segment underperformed the general municipal bond market. |
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An underweight to the electric utility sector contributed to performance as the segment underperformed the general municipal bond market during the reporting period. |
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An overweight to the industrial revenue sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An underweight to the transportation sector detracted from performance as the segment outperformed the general municipal bond market during the reporting period. |
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An underweight to the resource recovery sector detracted from performance as the segment outperformed the general municipal bond market during the reporting period. |
ANNUAL REPORT | JUNE 30, 2014 | 23 |
PIMCO Low Duration Exchange-Traded Fund
Ticker Symbol | LDUR |
Allocation Breakdown‡
Corporate Bonds & Notes |
63.5% | |||
U.S. Treasury Obligations | 20.5% | |||
Sovereign Issues | 4.7% | |||
Asset-Backed Securities | 4.5% | |||
Short-Term Instruments | 3.3% | |||
Other | 3.5% |
‡ |
% of Investments, at value as of 06/30/14 |
A line graph is not included since the Fund has less than six months of performance.
Cumulative Total Return for the period ended June 30, 2014 | ||||
Fund Inception |
||||
PIMCO Low Duration Exchange-Traded
Fund |
1.52 | % | ||
PIMCO Low Duration Exchange-Traded
Fund |
2.97 | % | ||
The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM± |
0.42 | % |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± The BofA Merrill Lynch 1-3 Year U.S. Treasury IndexSM is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.57%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Low Duration 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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. The average portfolio duration of this Fund normally varies from one to three years based on PIMCO’s forecast for interest rates. Duration is a measure used to determine the sensitivity of a security’s price to changes in interest rates. The longer a security’s duration, the more sensitive it will be to changes in interest rates. |
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The Fund commenced operations on January 22, 2014. |
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Tactical positioning in U.S. duration (or sensitivity to changes in market interest rates) benefited performance as U.S. interest rates generally fluctuated during the period since the Fund’s inception through the end of the reporting period, providing additional income to the portfolio. |
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An overweight to non-Agency residential mortgage-backed securities (“RMBS”) benefited performance as prices on these securities generally rose. |
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An overweight to investment grade credit benefited performance as investment grade credit spreads narrowed. |
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An overweight to Korean duration benefited performance as Korean yields decreased. |
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Short exposure to the Japanese yen detracted from performance as the Japanese yen appreciated versus the U.S. dollar. |
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Short exposure to the euro detracted from performance as the euro appreciated versus the U.S. dollar. |
24 | PIMCO ETF TRUST |
PIMCO Short Term Municipal Bond Exchange-Traded Fund
Ticker Symbol | SMMU |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
New York | 16.2% | |||
Florida | 12.0% | |||
Texas | 10.0% | |||
Ohio | 6.1% | |||
Nevada | 5.7% | |||
Other | 50.0% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Short Term Municipal Bond
Exchange-Traded Fund |
1.10% | 1.13% | |||||||
|
PIMCO Short Term Municipal Bond
Exchange-Traded Fund |
1.24% | 1.12% | |||||||
|
Barclays 1 Year Municipal Bond Index± |
0.96% | 1.06% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays 1 Year Municipal Bond Index is an unmanaged index comprised of national municipal bond issues having a maturity of at least one year and less than two years. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.35%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Short Term Municipal Bond Exchange-Traded Fund seeks attractive tax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax. The Fund does not intend to invest in securities whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by Pacific Investment Management Company LLC (“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. |
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Duration (or sensitivity to changes in market interest rates) positioning detracted from performance as municipal yields moved slightly lower in short maturities when the Fund was underweight duration (from June 2013 through October 2013), and slightly higher when the Fund was overweight duration (from October 2013 through June 2014). |
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An overweight to the revenue-backed municipal sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An overweight to the transportation sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An overweight to the education sector contributed to performance as the segment outperformed the general municipal bond market during the reporting period. |
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An underweight to pre-refunded municipal securities detracted from performance as the sector generally outperformed the general municipal bond market during the reporting period. |
ANNUAL REPORT | JUNE 30, 2014 | 25 |
PIMCO Total Return Exchange-Traded Fund
Ticker Symbol | BOND |
Cumulative Returns Through June 30, 2014
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown‡
Corporate Bonds & Notes | 43.5% | |||
Sovereign Issues | 17.9% | |||
U.S. Government Agencies | 13.2% | |||
Mortgage-Backed Securities | 10.9% | |||
U.S. Treasury Obligations | 6.1% | |||
Asset-Backed Securities | 5.8% | |||
Other | 2.6% |
‡ |
% of Investments, at value as of 06/30/14 |
Average Annual Total Return for the period ended June 30, 2014 | ||||||||||
1 Year |
Fund Inception |
|||||||||
|
PIMCO Total Return Exchange-Traded
Fund |
5.10% | 6.24% | |||||||
|
PIMCO Total Return Exchange-Traded
Fund |
5.40% | 6.32% | |||||||
|
Barclays U.S. Aggregate Index± |
4.37% | 2.20% |
All Fund returns are net of fees and expenses.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.
± Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. The Fund’s total annual operating expense ratio as stated in the Fund’s current prospectus, as supplemented to date, is 0.55%. Details regarding any Fund’s operating expenses can be found in the Fund’s prospectus. Performance data current to the most recent month-end is available at www.pimcoetfs.com.
Portfolio Insights
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The PIMCO Total Return 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. Fixed income instruments include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities. |
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An underweight to the 30-year portion of the U.S. Treasury yield curve detracted from performance as longer-dated yields fell during the reporting period. |
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Positive exposure to Italian and Spanish duration contributed to returns as yields in these countries fell during the reporting period. |
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Exposure to non-Agency mortgage-backed securities added to returns as prices on these securities generally rose during the reporting period. |
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An underweight to investment grade credit detracted from performance as the investment grade sector outperformed the Fund’s benchmark index during the reporting period. |
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An allocation to high yield corporate bonds added to performance as the sector outperformed the Fund’s benchmark index during the reporting period. |
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A short position in the Japanese yen initiated in late 2013 detracted from performance as the Japanese yen appreciated in the second half of the reporting period. |
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An allocation to U.S. Treasury Inflation-Protected Securities contributed to performance as breakeven inflation rose during the reporting period. |
26 | PIMCO ETF TRUST |
Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from January 1, 2014 to June 30, 2014 unless noted otherwise in the table and footnotes below.
Actual Expenses
The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example For Comparison Purposes
The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.
Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||
Beginning Account Value (01/01/14) |
Ending Account Value (06/30/14) |
Expenses Paid During Period* |
Beginning Account Value (01/01/14) |
Ending Account Value (06/30/14) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 1,000.00 | $ | 1,003.50 | $ | 0.45 | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | 0.09 | % | ||||||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,019.40 | 0.75 | 1,000.00 | 1,024.05 | 0.75 | 0.15 | |||||||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,053.30 | 0.76 | 1,000.00 | 1,024.05 | 0.75 | 0.15 | |||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
1,000.00 | 1,230.90 | 0.83 | 1,000.00 | 1,024.05 | 0.75 | 0.15 | |||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 1,018.90 | 1.00 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 1,151.60 | 1.07 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
1,000.00 | 1,062.70 | 1.02 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 1,026.30 | 2.76 | 1,000.00 | 1,022.07 | 2.76 | 0.55 | |||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
1,000.00 | 1,059.50 | 1.02 | 1,000.00 | 1,023.80 | 1.00 | 0.20 | |||||||||||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
1,000.00 | 1,106.20 | 2.35 | 1,000.00 | 1,022.56 | 2.26 | 0.45 | |||||||||||||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
1,000.00 | 1,054.00 | 2.29 | 1,000.00 | 1,022.56 | 2.26 | 0.45 | |||||||||||||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
1,000.00 | 1,031.80 | 2.27 | 1,000.00 | 1,022.56 | 2.26 | 0.45 | |||||||||||||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
1,000.00 | 1,110.10 | 2.35 | 1,000.00 | 1,022.56 | 2.26 | 0.45 | |||||||||||||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund(a) |
1,000.00 | 1,053.00 | 3.80 | 1,000.00 | 1,020.58 | 4.26 | 0.85 | |||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
1,000.00 | 1,004.90 | 1.74 | 1,000.00 | 1,023.06 | 1.76 | 0.35 |
ANNUAL REPORT | JUNE 30, 2014 | 27 |
Actual | Hypothetical (5% return before expenses) |
|||||||||||||||||||||||||||||||||
Beginning Account Value (01/01/14) |
Ending Account Value (06/30/14) |
Expenses Paid During Period* |
Beginning Account Value (01/01/14) |
Ending Account Value (06/30/14) |
Expenses Paid During Period* |
Net Annualized Expense Ratio** |
||||||||||||||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
$ | 1,000.00 | $ | 1,024.20 | $ | 3.26 | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | ||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
1,000.00 | 1,084.90 | 3.21 | 1,000.00 | 1,021.72 | 3.11 | 0.62 | |||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
1,000.00 | 1,034.80 | 1.77 | 1,000.00 | 1,023.06 | 1.76 | 0.35 | |||||||||||||||||||||||||||
PIMCO Low Duration Exchange-Traded Fund(a) |
1,000.00 | 1,015.20 | 2.46 | 1,000.00 | 1,022.02 | 2.81 | 0.56 | |||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
1,000.00 | 1,007.10 | 1.74 | 1,000.00 | 1,023.06 | 1.76 | 0.35 | |||||||||||||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
1,000.00 | 1,042.80 | 2.89 | 1,000.00 | 1,021.97 | 2.86 | 0.57 |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
** The Net Annualized Expense Ratio is reflective of any applicable waivers related to contractual agreements for contractual fee waivers or voluntary fee waivers. Details regarding fee waivers can be found in Note 8 in the Notes to Financial Statements.
(a) The Beginning Account Value is reflective as of 1/22/14 for Actual Performance. Expenses paid in the Actual Performance section are equal to the Net Annualized Expense Ratio for the Funds’, multiplied by the average account value over the period, multiplied by 159/365 for the PIMCO Diversified Income Exchange-Traded Fund and PIMCO Low Duration Exchange-Traded Fund (to reflect the period since the inception date of 1/22/14). Hypothetical expenses reflect an amount as if the Funds’ had been operational for the entire fiscal half year.
28 | PIMCO ETF TRUST |
(THIS PAGE INTENTIONALLY LEFT BLANK)
ANNUAL REPORT | JUNE 30, 2014 | 29 |
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (a) |
Net Realized/ Unrealized Gain (Loss) |
Total Income (Loss) from Investment Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 50.78 | $ | 0.16 | $ | 0.19 | $ | 0.35 | $ | (0.16 | ) | $ | (0.03 | ) | ||||||||||
06/30/2013 |
50.98 | 0.17 | (0.07 | ) | 0.10 | (0.16 | ) | (0.14 | ) | |||||||||||||||
06/30/2012 |
51.00 | 0.29 | 0.08 | 0.37 | (0.29 | ) | (0.10 | ) | ||||||||||||||||
06/30/2011 |
50.76 | 0.40 | 0.24 | 0.64 | (0.40 | ) | 0.00 | |||||||||||||||||
06/30/2010 |
49.94 | 0.43 | 0.84 | 1.27 | (0.43 | ) | (0.02 | ) | ||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 79.28 | $ | 1.01 | $ | 0.38 | $ | 1.39 | $ | (0.92 | ) | $ | (0.24 | ) | ||||||||||
06/30/2013 |
81.94 | 1.16 | (2.11 | ) | (0.95 | ) | (1.09 | ) | (0.62 | ) | ||||||||||||||
06/30/2012 |
78.36 | 1.29 | 3.91 | 5.20 | (1.28 | ) | (0.34 | ) | ||||||||||||||||
06/30/2011 |
77.91 | 1.44 | 1.24 | 2.68 | (1.49 | ) | (0.74 | ) | ||||||||||||||||
10/30/2009 - 06/30/2010 |
75.34 | 1.08 | 2.53 | 3.61 | (1.04 | ) | 0.00 | |||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 82.66 | $ | 1.80 | $ | 0.69 | $ | 2.49 | $ | (1.73 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
87.76 | 1.27 | (4.35 | ) | (3.08 | ) | (1.47 | ) | (0.55 | ) | ||||||||||||||
06/30/2012 |
78.21 | 1.86 | 10.13 | 11.99 | (1.77 | ) | (0.67 | ) | ||||||||||||||||
06/30/2011 |
79.23 | 2.27 | 0.05 | 2.32 | (2.29 | ) | (1.05 | ) | ||||||||||||||||
09/10/2009 - 06/30/2010 |
75.67 | 1.94 | 3.65 | 5.59 | (1.98 | ) | (0.05 | ) | ||||||||||||||||
PIMCO 25+ Year Zero
Coupon U.S. Treasury Index |
||||||||||||||||||||||||
06/30/2014 |
$ | 94.57 | $ | 3.26 | $ | 5.46 | $ | 8.72 | $ | (3.42 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
116.38 | 3.20 | (21.44 | ) | (18.24 | ) | (3.57 | ) | 0.00 | |||||||||||||||
06/30/2012 |
70.18 | 3.27 | 46.15 | 49.42 | (3.22 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
83.02 | 3.25 | (12.86 | ) | (9.61 | ) | (3.23 | ) | 0.00 | |||||||||||||||
10/30/2009 - 06/30/2010 |
76.98 | 2.24 | 5.93 | 8.17 | (2.13 | ) | 0.00 | |||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 52.69 | $ | 0.34 | $ | 0.86 | $ | 1.20 | $ | (0.31 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
53.39 | 0.02 | (0.62 | ) | (0.60 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||||
06/30/2012 |
53.30 | 0.81 | 0.10 | 0.91 | (0.75 | ) | (0.07 | ) | ||||||||||||||||
06/30/2011 |
51.79 | 1.86 | 1.08 | 2.94 | (1.42 | ) | (0.01 | ) | ||||||||||||||||
08/20/2009 - 06/30/2010 |
50.00 | 0.86 | 1.71 | 2.57 | (0.78 | ) | 0.00 | |||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 61.05 | $ | 1.09 | $ | 4.23 | $ | 5.32 | $ | (1.35 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
69.22 | 0.39 | (8.19 | ) | (7.80 | ) | (0.37 | ) | 0.00 | |||||||||||||||
06/30/2012 |
56.04 | 1.65 | 13.11 | 14.76 | (1.58 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
54.17 | 2.63 | 1.41 | 4.04 | (2.17 | ) | 0.00 | |||||||||||||||||
09/03/2009 - 06/30/2010 |
50.01 | 1.22 | 4.20 | 5.42 | (1.26 | ) | 0.00 | |||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 56.40 | $ | 0.71 | $ | 1.81 | $ | 2.52 | $ | (0.78 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
59.93 | 0.44 | (3.66 | ) | (3.22 | ) | (0.31 | ) | (0.00 | )^ | ||||||||||||||
06/30/2012 |
54.58 | 1.40 | 5.23 | 6.63 | (1.28 | ) | 0.00 | |||||||||||||||||
06/30/2011 |
52.95 | 2.18 | 1.67 | 3.85 | (1.91 | ) | (0.31 | ) | ||||||||||||||||
09/03/2009 - 06/30/2010 |
50.01 | 0.96 | 2.97 | 3.93 | (0.92 | ) | (0.07 | ) | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 102.54 | $ | 4.23 | $ | 4.83 | $ | 9.06 | $ | (4.59 | ) | $ | (0.25 | ) | ||||||||||
06/30/2013 |
99.62 | 4.70 | 3.37 | 8.07 | (5.15 | ) | 0.00 | |||||||||||||||||
06/30/2012 |
100.29 | 6.06 | (1.13 | ) | 4.93 | (5.60 | ) | 0.00 | ||||||||||||||||
06/16/2011 - 06/30/2011 |
100.00 | 0.18 | 0.27 | 0.45 | (0.16 | ) | 0.00 | |||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 102.11 | $ | 3.42 | $ | 4.64 | $ | 8.06 | $ | (3.28 | ) | $ | (3.68 | ) | ||||||||||
06/30/2013 |
105.46 | 3.40 | (2.29 | ) | 1.11 | (3.71 | ) | (0.75 | ) | |||||||||||||||
06/30/2012 |
99.76 | 3.44 | 5.61 | 9.05 | (3.35 | ) | 0.00 | |||||||||||||||||
09/20/2010 - 06/30/2011 |
100.00 | 2.60 | (0.23 | ) | 2.37 | (2.56 | ) | (0.05 | ) |
30 | PIMCO ETF TRUST | See Accompanying Notes |
Tax Basis Return of Capital |
Total Distributions |
Net
Asset Value End of Year or Period |
Total Return |
Net
Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Waivers |
Ratio of Net Investment Income to Average Net Assets |
Portfolio Turnover Rate (b) |
||||||||||||||||||||||||||
$ | 0.00 | $ | (0.19 | ) | $ | 50.94 | 0.68 | % | $ | 127,442 | 0.10 | % | 0.16 | % | 0.32 | % | 61 | % | ||||||||||||||||
0.00 | (0.30 | ) | 50.78 | 0.20 | 129,595 | 0.09 | 0.15 | 0.33 | 15 | |||||||||||||||||||||||||
0.00 | (0.39 | ) | 50.98 | 0.74 | 132,657 | 0.09 | 0.15 | 0.57 | 8 | |||||||||||||||||||||||||
0.00 | (0.40 | ) | 51.00 | 1.26 | 107,206 | 0.09 | 0.15 | 0.78 | 18 | |||||||||||||||||||||||||
0.00 | (0.45 | ) | 50.76 | 2.56 | 86,400 | 0.09 | 0.19 | 0.83 | 256 | |||||||||||||||||||||||||
$ | 0.00 | $ | (1.16 | ) | $ | 79.51 | 1.78 | % | $ | 13,251 | 0.16 | % | 0.16 | % | 1.28 | % | 39 | % | ||||||||||||||||
0.00 | (1.71 | ) | 79.28 | (1.20 | ) | 21,140 | 0.15 | 0.15 | 1.42 | 4 | ||||||||||||||||||||||||
0.00 | (1.62 | ) | 81.94 | 6.67 | 21,852 | 0.15 | 0.15 | 1.59 | 37 | |||||||||||||||||||||||||
0.00 | (2.23 | ) | 78.36 | 3.49 | 20,895 | 0.15 | 0.15 | 1.83 | 48 | |||||||||||||||||||||||||
0.00 | (1.04 | ) | 77.91 | 4.85 | 51,942 | 0.15 | * | 0.41 | * | 2.14 | * | 178 | ||||||||||||||||||||||
$ | 0.00 | $ | (1.73 | ) | $ | 83.42 | 3.07 | % | $ | 73,969 | 0.15 | % | 0.15 | % | 2.19 | % | 52 | % | ||||||||||||||||
0.00 | (2.02 | ) | 82.66 | (3.61 | ) | 11,296 | 0.15 | 0.15 | 1.45 | 26 | ||||||||||||||||||||||||
0.00 | (2.44 | ) | 87.76 | 15.47 | 37,446 | 0.15 | 0.15 | 2.17 | 24 | |||||||||||||||||||||||||
0.00 | (3.34 | ) | 78.21 | 3.00 | 8,342 | 0.15 | 0.15 | 2.87 | 76 | |||||||||||||||||||||||||
0.00 | (2.03 | ) | 79.23 | 7.54 | 14,790 | 0.15 | * | 0.86 | * | 3.31 | * | 209 | ||||||||||||||||||||||
$ | 0.00 | $ | (3.42 | ) | $ | 99.87 | 9.70 | % | $ | 76,902 | 0.16 | % | 0.16 | % | 3.61 | % | 18 | % | ||||||||||||||||
0.00 | (3.57 | ) | 94.57 | (15.97 | ) | 82,276 | 0.15 | 0.15 | 2.89 | 8 | ||||||||||||||||||||||||
0.00 | (3.22 | ) | 116.38 | 70.82 | 169,915 | 0.15 | 0.15 | 3.15 | 11 | |||||||||||||||||||||||||
0.00 | (3.23 | ) | 70.18 | (11.69 | ) | 40,705 | 0.15 | 0.15 | 4.41 | 50 | ||||||||||||||||||||||||
0.00 | (2.13 | ) | 83.02 | 11.02 | 21,586 | 0.15 | * | 0.83 | * | 4.56 | * | 39 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.31 | ) | $ | 53.58 | 2.28 | % | $ | 1,337,875 | 0.20 | % | 0.20 | % | 0.63 | % | 33 | % | ||||||||||||||||
0.00 | (0.10 | ) | 52.69 | (1.13 | ) | 1,041,609 | 0.20 | 0.20 | 0.04 | 11 | ||||||||||||||||||||||||
0.00 | (0.82 | ) | 53.39 | 1.71 | 999,496 | 0.20 | 0.20 | 1.51 | 31 | |||||||||||||||||||||||||
0.00 | (1.43 | ) | 53.30 | 5.70 | 1,184,369 | 0.20 | 0.21 | 3.50 | 17 | |||||||||||||||||||||||||
0.00 | (0.78 | ) | 51.79 | 5.17 | 539,680 | 0.20 | * | 0.23 | * | 2.02 | * | 5 | ||||||||||||||||||||||
$ | 0.00 | $ | (1.35 | ) | $ | 65.02 | 8.83 | % | $ | 69,570 | 0.21 | % | 0.21 | % | 1.81 | % | 47 | % | ||||||||||||||||
0.00 | (0.37 | ) | 61.05 | (11.33 | ) | 105,004 | 0.20 | 0.20 | 0.56 | 16 | ||||||||||||||||||||||||
0.00 | (1.58 | ) | 69.22 | 26.53 | 375,182 | 0.20 | 0.20 | 2.53 | 11 | |||||||||||||||||||||||||
0.00 | (2.17 | ) | 56.04 | 7.58 | 258,901 | 0.20 | 0.20 | 4.76 | 38 | |||||||||||||||||||||||||
0.00 | (1.26 | ) | 54.17 | 10.95 | 22,753 | 0.20 | * | 0.70 | * | 3.02 | * | 35 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.78 | ) | $ | 58.14 | 4.50 | % | $ | 106,402 | 0.21 | % | 0.21 | % | 1.26 | % | 19 | % | ||||||||||||||||
0.00 | (0.31 | ) | 56.40 | (5.41 | ) | 72,186 | 0.20 | 0.20 | 0.72 | 11 | ||||||||||||||||||||||||
0.00 | (1.28 | ) | 59.93 | 12.21 | 109,678 | 0.20 | 0.20 | 2.38 | 6 | |||||||||||||||||||||||||
0.00 | (2.22 | ) | 54.58 | 7.39 | 56,219 | 0.20 | 0.21 | 4.04 | 20 | |||||||||||||||||||||||||
0.00 | (0.99 | ) | 52.95 | 7.91 | 28,063 | 0.20 | * | 0.61 | * | 2.35 | * | 122 | ||||||||||||||||||||||
$ | 0.00 | $ | (4.84 | ) | $ | 106.76 | 8.98 | % | $ | 5,119,202 | 0.55 | % | 0.55 | % | 3.98 | % | 28 | % | ||||||||||||||||
0.00 | (5.15 | ) | 102.54 | 8.21 | 2,307,178 | 0.55 | 0.55 | 4.52 | 33 | |||||||||||||||||||||||||
0.00 | (5.60 | ) | 99.62 | 5.16 | 323,771 | 0.55 | 0.55 | 6.14 | 33 | |||||||||||||||||||||||||
0.00 | (0.16 | ) | 100.29 | 0.45 | 25,073 | 0.55 | * | 7.30 | * | 4.65 | * | 0 | ||||||||||||||||||||||
$ | 0.00 | $ | (6.96 | ) | $ | 103.21 | 8.24 | % | $ | 199,196 | 0.20 | % | 0.20 | % | 3.36 | % | 17 | % | ||||||||||||||||
0.00 | (4.46 | ) | 102.11 | 0.92 | 140,916 | 0.20 | 0.20 | 3.15 | 34 | |||||||||||||||||||||||||
0.00 | (3.35 | ) | 105.46 | 9.20 | 256,267 | 0.20 | 0.20 | 3.32 | 5 | |||||||||||||||||||||||||
0.00 | (2.61 | ) | 99.76 | 2.40 | 72,821 | 0.20 | * | 0.34 | * | 3.36 | * | 69 |
ANNUAL REPORT | JUNE 30, 2014 | 31 |
Financial Highlights (Cont.)
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (a) |
Net Realized/ Unrealized Gain (Loss) |
Total Income (Loss) from Investment Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 90.93 | $ | 3.40 | $ | 5.53 | $ | 8.93 | $ | 0.00 | $ | 0.00 | ||||||||||||
06/30/2013 |
101.86 | 3.62 | (11.22 | ) | (7.60 | ) | (3.21 | ) | (0.08 | ) | ||||||||||||||
10/31/2011 - 06/30/2012 |
100.00 | 2.53 | 1.56 | 4.09 | (2.23 | ) | 0.00 | |||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 95.85 | $ | 2.27 | $ | 1.65 | $ | 3.92 | $ | (0.96 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
103.13 | 2.22 | (7.03 | ) | (4.81 | ) | (2.17 | ) | (0.30 | ) | ||||||||||||||
11/09/2011 - 06/30/2012 |
100.00 | 1.32 | 2.86 | 4.18 | (1.05 | ) | 0.00 | |||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 99.78 | $ | 1.35 | $ | 7.94 | $ | 9.29 | $ | (1.31 | ) | $ | (0.12 | ) | ||||||||||
06/30/2013 |
95.91 | 1.40 | 3.30 | 4.70 | (0.83 | ) | 0.00 | |||||||||||||||||
11/09/2011 - 06/30/2012 |
100.00 | 0.88 | (4.17 | ) | (3.29 | ) | (0.21 | ) | 0.00 | |||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 50.90 | $ | 2.07 | $ | 2.52 | $ | 4.59 | $ | (1.99 | ) | $ | (2.12 | ) | ||||||||||
06/30/2013 |
56.21 | 2.28 | (3.53 | ) | (1.25 | ) | (2.36 | ) | (1.70 | ) | ||||||||||||||
06/30/2012 |
49.36 | 2.53 | 8.17 | 10.70 | (2.55 | ) | (1.30 | ) | ||||||||||||||||
09/20/2010 - 06/30/2011 |
50.00 | 2.09 | (0.72 | ) | 1.37 | (2.01 | ) | 0.00 | ||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
||||||||||||||||||||||||
01/22/2014 - 06/30/2014 |
$ | 50.00 | $ | 0.77 | $ | 1.87 | $ | 2.64 | $ | (0.66 | ) | $ | 0.00 | |||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 101.26 | $ | 0.67 | $ | 0.36 | $ | 1.03 | $ | (0.69 | ) | $ | (0.15 | ) | ||||||||||
06/30/2013 |
101.08 | 0.88 | 0.22 | 1.10 | (0.92 | ) | 0.00 | |||||||||||||||||
06/30/2012 |
101.04 | 1.06 | 0.07 | 1.13 | (1.03 | ) | (0.06 | ) | ||||||||||||||||
06/30/2011 |
100.34 | 0.86 | 1.03 | 1.89 | (0.90 | ) | (0.29 | ) | ||||||||||||||||
11/16/2009 - 06/30/2010 |
100.00 | 0.32 | 0.37 | 0.69 | (0.35 | ) | 0.00 | |||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 47.14 | $ | 0.35 | $ | 1.19 | $ | 1.54 | $ | 0.00 | $ | 0.00 | ||||||||||||
02/11/2013 - 06/30/2013 |
50.00 | 0.13 | (2.99 | ) | (2.86 | ) | 0.00 | 0.00 | ||||||||||||||||
PIMCO Global
Advantage®
Inflation-Linked Bond |
||||||||||||||||||||||||
06/30/2014 |
$ | 48.55 | $ | 1.94 | $ | 1.71 | $ | 3.65 | $ | (0.35 | ) | $ | (0.19 | ) | ||||||||||
06/30/2013 |
50.28 | 1.34 | (2.57 | ) | (1.23 | ) | (0.34 | ) | (0.16 | ) | ||||||||||||||
04/30/2012 - 06/30/2012 |
50.00 | 0.30 | (0.02 | ) | 0.28 | 0.00 | 0.00 | |||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 52.06 | $ | 1.05 | $ | 1.13 | $ | 2.18 | $ | (1.07 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
53.70 | 1.23 | (1.60 | ) | (0.37 | ) | (1.20 | ) | (0.07 | ) | ||||||||||||||
06/30/2012 |
51.44 | 1.22 | 2.29 | 3.51 | (1.19 | ) | (0.06 | ) | ||||||||||||||||
06/30/2011 |
50.63 | 1.21 | 0.90 | 2.11 | (1.21 | ) | (0.09 | ) | ||||||||||||||||
11/30/2009 - 06/30/2010 |
50.00 | 0.63 | 0.61 | 1.24 | (0.61 | ) | 0.00 | |||||||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
||||||||||||||||||||||||
01/22/2014 - 06/30/2014 |
$ | 100.00 | $ | 0.30 | $ | 1.22 | $ | 1.52 | $ | (0.25 | ) | $ | 0.00 | |||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 50.14 | $ | 0.26 | $ | 0.29 | $ | 0.55 | $ | (0.22 | ) | $ | 0.00 | |||||||||||
06/30/2013 |
50.54 | 0.40 | (0.33 | ) | 0.07 | (0.47 | ) | (0.00 | )^ | |||||||||||||||
06/30/2012 |
50.36 | 0.48 | 0.20 | 0.68 | (0.47 | ) | (0.03 | ) | ||||||||||||||||
06/30/2011 |
50.13 | 0.61 | 0.22 | 0.83 | (0.60 | ) | 0.00 | |||||||||||||||||
02/01/2010 - 06/30/2010 |
50.00 | 0.21 | 0.14 | 0.35 | (0.22 | ) | 0.00 |
32 | PIMCO ETF TRUST | See Accompanying Notes |
Tax Basis Return of Capital |
Total Distributions |
Net
Asset Value End of Year or Period |
Total Return |
Net
Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Waivers |
Ratio of Net Investment Income to Average Net Assets |
Portfolio Turnover Rate (b) |
||||||||||||||||||||||||||
$ | 0.00 | $ | 0.00 | $ | 99.86 | 9.82 | % | $ | 22,968 | 0.46 | % | 0.46 | % | 3.65 | % | 39 | % | |||||||||||||||||
(0.04 | ) | (3.33 | ) | 90.93 | (7.81 | ) | 39,099 | 0.45 | 0.45 | 3.53 | 49 | |||||||||||||||||||||||
0.00 | (2.23 | ) | 101.86 | 4.16 | 28,521 | 0.45 | * | 0.70 | * | 3.89 | * | 37 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.96 | ) | $ | 98.81 | 4.14 | % | $ | 17,786 | 0.46 | % | 0.46 | % | 2.39 | % | 17 | % | ||||||||||||||||
0.00 | (2.47 | ) | 95.85 | (4.83 | ) | 31,630 | 0.45 | 0.45 | 2.14 | 7 | ||||||||||||||||||||||||
0.00 | (1.05 | ) | 103.13 | 4.18 | 18,564 | 0.45 | * | 0.88 | * | 2.05 | * | 91 | ||||||||||||||||||||||
$ | 0.00 | $ | (1.43 | ) | $ | 107.64 | 9.35 | % | $ | 3,229 | 0.46 | % | 0.46 | % | 1.29 | % | 46 | % | ||||||||||||||||
0.00 | (0.83 | ) | 99.78 | 4.89 | 2,994 | 0.45 | 0.45 | 1.40 | 33 | |||||||||||||||||||||||||
(0.59 | ) | (0.80 | ) | 95.91 | (3.29 | ) | 2,877 | 0.45 | * | 0.95 | * | 1.43 | * | 130 | ||||||||||||||||||||
$ | 0.00 | $ | (4.11 | ) | $ | 51.38 | 9.72 | % | $ | 23,634 | 0.45 | % | 0.45 | % | 4.17 | % | 67 | % | ||||||||||||||||
0.00 | (4.06 | ) | 50.90 | (2.63 | ) | 31,051 | 0.45 | 0.45 | 4.07 | 105 | ||||||||||||||||||||||||
0.00 | (3.85 | ) | 56.21 | 22.27 | 37,101 | 0.45 | 0.45 | 4.65 | 71 | |||||||||||||||||||||||||
0.00 | (2.01 | ) | 49.36 | 2.93 | 27,644 | 0.45 | * | 0.89 | * | 5.60 | * | 115 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.66 | ) | $ | 51.98 | 5.30 | % | $ | 44,706 | 0.85 | %* | 1.04 | %* | 3.45 | %* | 61 | % | ||||||||||||||||
$ | 0.00 | $ | (0.84 | ) | $ | 101.45 | 1.02 | % | $ | 3,773,896 | 0.35 | %† | 0.35 | %† | 0.66 | % | 188 | % | ||||||||||||||||
0.00 | (0.92 | ) | 101.26 | 1.09 | 3,752,615 | 0.35 | 0.35 | 0.87 | 100 | |||||||||||||||||||||||||
0.00 | (1.09 | ) | 101.08 | 1.13 | 1,715,342 | 0.35 | 0.35 | 1.05 | 229 | |||||||||||||||||||||||||
0.00 | (1.19 | ) | 101.04 | 1.89 | 1,233,727 | 0.35 | 0.36 | 0.85 | 280 | |||||||||||||||||||||||||
0.00 | (0.35 | ) | 100.34 | 0.69 | 656,227 | 0.35 | * | 0.41 | * | 0.57 | * | 276 | ||||||||||||||||||||||
$ | 0.00 | $ | 0.00 | $ | 48.68 | 3.27 | % | $ | 21,417 | 0.66 | % | 0.66 | % | 0.73 | % | 39 | % | |||||||||||||||||
0.00 | 0.00 | 47.14 | (5.72 | ) | 25,456 | 0.65 | * | 1.22 | * | 0.70 | * | 37 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.54 | ) | $ | 51.66 | 7.55 | % | $ | 137,415 | 0.62 | %(c) | 0.62 | %(c) | 3.93 | % | 80 | % | ||||||||||||||||
0.00 | (0.50 | ) | 48.55 | (2.55 | ) | 119,436 | 0.63 | (d) | 0.64 | (c) | 2.54 | 216 | ||||||||||||||||||||||
0.00 | 0.00 | 50.28 | 0.56 | 28,156 | 0.61 | *(d) | 2.14 | *(e) | 3.63 | * | 381 | |||||||||||||||||||||||
$ | 0.00 | $ | (1.07 | ) | $ | 53.17 | 4.23 | % | $ | 210,548 | 0.35 | % | 0.35 | % | 2.01 | % | 15 | % | ||||||||||||||||
0.00 | (1.27 | ) | 52.06 | (0.76 | ) | 187,931 | 0.35 | 0.35 | 2.26 | 35 | ||||||||||||||||||||||||
0.00 | (1.25 | ) | 53.70 | 6.88 | 153,576 | 0.35 | 0.35 | 2.30 | 11 | |||||||||||||||||||||||||
0.00 | (1.30 | ) | 51.44 | 4.20 | 90,529 | 0.35 | 0.36 | 2.37 | 44 | |||||||||||||||||||||||||
0.00 | (0.61 | ) | 50.63 | 2.50 | 43,543 | 0.35 | * | 0.91 | * | 2.14 | * | 72 | ||||||||||||||||||||||
$ | 0.00 | $ | (0.25 | ) | $ | 101.27 | 1.52 | % | $ | 139,750 | 0.56 | %* | 0.69 | %* | 0.69 | %* | 4,098 | % | ||||||||||||||||
$ | 0.00 | $ | (0.22 | ) | $ | 50.47 | 1.10 | % | $ | 76,211 | 0.35 | % | 0.35 | % | 0.51 | % | 44 | % | ||||||||||||||||
0.00 | (0.47 | ) | 50.14 | 0.14 | 60,671 | 0.35 | 0.35 | 0.79 | 42 | |||||||||||||||||||||||||
0.00 | (0.50 | ) | 50.54 | 1.36 | 43,463 | 0.35 | 0.35 | 0.96 | 17 | |||||||||||||||||||||||||
0.00 | (0.60 | ) | 50.36 | 1.67 | 23,168 | 0.35 | 0.35 | 1.20 | 35 | |||||||||||||||||||||||||
0.00 | (0.22 | ) | 50.13 | 0.70 | 18,046 | 0.35 | * | 2.17 | * | 1.09 | * | 4 |
ANNUAL REPORT | JUNE 30, 2014 | 33 |
Financial Highlights (Cont.)
Selected Per Share Data for the Year or Period Ended: | Net Asset Value Beginning of Year or Period |
Net Investment Income (a) |
Net Realized/ Unrealized Gain (Loss) |
Total Income (Loss) from Investment Operations |
Dividends from Net Investment Income |
Distributions from Net Realized Capital Gains |
||||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
||||||||||||||||||||||||
06/30/2014 |
$ | 105.66 | $ | 2.38 | $ | 2.94 | $ | 5.32 | $ | (1.69 | ) | $ | (0.44 | ) | ||||||||||
06/30/2013 |
105.55 | 2.46 | 0.87 | 3.33 | (2.34 | ) | (0.88 | ) | ||||||||||||||||
02/29/2012 - 06/30/2012 |
100.00 | 1.00 | 5.26 | 6.26 | (0.71 | ) | 0.00 |
* | Annualized |
^ | Reflects an amount rounding to less than one cent. |
† | Reflects an interest expense rounding to less than 0.01%. |
(a) | Per share amounts based on average number of shares outstanding during the year or period. |
(b) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creation or redemptions. |
(c) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.61%. |
(d) | Ratio of expenses to average net assets excluding interest expense was 0.60%. |
(e) | Ratio of expenses to average net assets excluding waivers and interest expense was 2.13%. |
(f) | Ratio of expenses to average net assets excluding interest expense was 0.55%. |
(g) | Ratio of expenses to average net assets excluding waivers and interest expense was 0.56%. |
34 | PIMCO ETF TRUST | See Accompanying Notes |
Tax Basis Return of Capital |
Total Distributions |
Net Asset Value End of Year or Period |
Total Return |
Net
Assets End of Year or Period (000s) |
Ratio of Expenses to Average Net Assets |
Ratio of Expenses to Average Net Assets Excluding Waivers |
Ratio of Net Investment Income to Average Net Assets |
Portfolio Turnover Rate (b) |
||||||||||||||||||||||||||
$ | 0.00 | $ | (2.13 | ) | $ | 108.85 | 5.10 | % | $ | 3,431,844 | 0.56 | %(f) | 0.57 | %(g) | 2.24 | % | 577 | % | ||||||||||||||||
0.00 | (3.22 | ) | 105.66 | 3.11 | 4,398,592 | 0.55 | 0.55 | 2.26 | 449 | |||||||||||||||||||||||||
0.00 | (0.71 | ) | 105.55 | 6.27 | 1,765,865 | 0.55 | * | 0.62 | * | 2.86 | * | 322 |
ANNUAL REPORT | JUNE 30, 2014 | 35 |
Statements of Assets and Liabilities
(Amounts in thousands, except per share amounts) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Investments, at value |
||||||||||||||||||||||||
Investments in securities* |
$ | 127,326 | $ | 13,254 | $ | 73,513 | $ | 77,496 | $ | 1,330,684 | $ | 69,175 | ||||||||||||
Investments in Affiliates |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Cash |
0 | 0 | 0 | 4 | 0 | 51 | ||||||||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Foreign currency, at value |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Receivable for investments sold |
5,031 | 322 | 1,485 | 0 | 4,899 | 4,154 | ||||||||||||||||||
Receivable for Fund shares sold |
0 | 0 | 0 | 0 | 2,679 | 0 | ||||||||||||||||||
Interest receivable |
333 | 50 | 620 | 0 | 6,045 | 326 | ||||||||||||||||||
132,690 | 13,626 | 75,618 | 77,500 | 1,344,307 | 73,706 | |||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||
Exchange-traded or centrally cleared |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
Over the counter |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Payable for investments purchased |
5,196 | 360 | 1,505 | 0 | 2,684 | 3,778 | ||||||||||||||||||
Payable upon return of securities loaned |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Dividends payable |
37 | 12 | 133 | 585 | 3,489 | 343 | ||||||||||||||||||
Accrued management fees |
9 | 2 | 9 | 9 | 218 | 11 | ||||||||||||||||||
Reimbursement to PIMCO |
4 | 1 | 1 | 3 | 19 | 3 | ||||||||||||||||||
Other liabilities |
2 | 0 | 1 | 1 | 22 | 1 | ||||||||||||||||||
5,248 | 375 | 1,649 | 598 | 6,432 | 4,136 | |||||||||||||||||||
Net Assets |
$ | 127,442 | $ | 13,251 | $ | 73,969 | $ | 76,902 | $ | 1,337,875 | $ | 69,570 | ||||||||||||
Net Assets Consist of: |
||||||||||||||||||||||||
Paid in capital |
$ | 127,226 | $ | 13,282 | $ | 73,934 | $ | 97,740 | $ | 1,333,992 | $ | 81,401 | ||||||||||||
Undistributed (overdistributed) net investment income |
(39 | ) | (37 | ) | (5 | ) | 0 | 576 | 140 | |||||||||||||||
Accumulated undistributed net realized gain (loss) |
89 | 68 | (493 | ) | (17,787 | ) | (2,502 | ) | (8,071 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) |
166 | (62 | ) | 533 | (3,051 | ) | 5,809 | (3,900 | ) | |||||||||||||||
$ | 127,442 | $ | 13,251 | $ | 73,969 | $ | 76,902 | $ | 1,337,875 | $ | 69,570 | |||||||||||||
Shares Issued and Outstanding: |
2,502 | 167 | 887 | 770 | 24,970 | 1,070 | ||||||||||||||||||
Net Asset Value Per Share: |
$ | 50.94 | $ | 79.51 | $ | 83.42 | $ | 99.87 | $ | 53.58 | $ | 65.02 | ||||||||||||
Cost of Investments in Securities |
$ | 127,160 | $ | 13,316 | $ | 72,980 | $ | 80,547 | $ | 1,324,875 | $ | 73,075 | ||||||||||||
Cost of Investments in Affiliates |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
Cost of Foreign Currency Held |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||
* Includes repurchase agreements of: |
$ | 1,416 | $ | 143 | $ | 222 | $ | 0 | $ | 605 | $ | 0 |
36 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO Diversified Income Exchange- Traded Fund |
|||||||||||||||||||||||
$ | 106,465 | $ | 5,061,301 | $ | 197,315 | $ | 22,853 | $ | 17,223 | $ | 3,182 | $ | 23,399 | $ | 43,366 | |||||||||||||||
0 | 70,609 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 24 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 79 | 123 | |||||||||||||||||||||||
0 | 995 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 27 | 472 | 29 | 0 | 2 | |||||||||||||||||||||||
0 | 21,876 | 0 | 1 | 0 | 0 | 0 | 1,471 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
661 | 76,507 | 2,487 | 318 | 98 | 52 | 364 | 657 | |||||||||||||||||||||||
107,126 | 5,231,288 | 199,802 | 23,199 | 17,793 | 3,263 | 23,842 | 45,643 | |||||||||||||||||||||||
$ | 0 | $ | 463 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 74 | |||||||||||||||||||||||
375 | 21,355 | 0 | 220 | 0 | 29 | 124 | 676 | |||||||||||||||||||||||
0 | 70,609 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
330 | 17,262 | 569 | 0 | 0 | 4 | 76 | 155 | |||||||||||||||||||||||
16 | 2,310 | 33 | 10 | 6 | 1 | 8 | 31 | |||||||||||||||||||||||
1 | 4 | 0 | 1 | 1 | 0 | 0 | 0 | |||||||||||||||||||||||
2 | 83 | 4 | 0 | 0 | 0 | 0 | 1 | |||||||||||||||||||||||
724 | 112,086 | 606 | 231 | 7 | 34 | 208 | 937 | |||||||||||||||||||||||
$ | 106,402 | $ | 5,119,202 | $ | 199,196 | $ | 22,968 | $ | 17,786 | $ | 3,229 | $ | 23,634 | $ | 44,706 | |||||||||||||||
$ | 107,604 | $ | 5,027,386 | $ | 191,394 | $ | 24,750 | $ | 19,403 | $ | 3,008 | $ | 23,581 | $ | 43,050 | |||||||||||||||
9 | (2,696 | ) | 55 | (1,248 | ) | (621 | ) | 6 | (71 | ) | 49 | |||||||||||||||||||
(535 | ) | 25,318 | 45 | (180 | ) | 0 | 18 | (1,367 | ) | 322 | ||||||||||||||||||||
(676 | ) | 69,194 | 7,702 | (354 | ) | (996 | ) | 197 | 1,491 | 1,285 | ||||||||||||||||||||
$ | 106,402 | $ | 5,119,202 | $ | 199,196 | $ | 22,968 | $ | 17,786 | $ | 3,229 | $ | 23,634 | $ | 44,706 | |||||||||||||||
1,830 | 47,950 | 1,930 | 230 | 180 | 30 | 460 | 860 | |||||||||||||||||||||||
$ | 58.14 | $ | 106.76 | $ | 103.21 | $ | 99.86 | $ | 98.81 | $ | 107.64 | $ | 51.38 | $ | 51.98 | |||||||||||||||
$ | 107,141 | $ | 5,000,128 | $ | 189,613 | $ | 23,213 | $ | 18,229 | $ | 2,985 | $ | 21,908 | $ | 42,032 | |||||||||||||||
$ | 0 | $ | 70,609 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 27 | $ | 465 | $ | 29 | $ | 0 | $ | 2 | |||||||||||||||
$ | 959 | $ | 38,833 | $ | 521 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,051 |
ANNUAL REPORT | JUNE 30, 2014 | 37 |
Statements of Assets and Liabilities (Cont.)
June 30, 2014
(Amounts in thousands, except per share amounts) |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
PIMCO |
|||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||
Investments, at value |
||||||||||||||||||||||||||||
Investments in securities* |
$ | 3,860,476 | $ | 21,283 | $ | 152,118 | $ | 211,315 | $ | 159,699 | $ | 76,725 | $ | 4,295,676 | ||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||
Over the counter |
0 | 313 | 753 | 0 | 18 | 0 | 7,403 | |||||||||||||||||||||
Cash |
9 | 0 | 8 | 0 | 733 | 0 | 4,835 | |||||||||||||||||||||
Deposits with counterparty |
0 | 0 | 0 | 0 | 2 | 0 | 0 | |||||||||||||||||||||
Foreign currency, at value |
0 | 28 | 495 | 0 | 10 | 0 | 0 | |||||||||||||||||||||
Receivable for investments sold |
2,823 | 0 | 0 | 0 | 106,091 | 0 | 94,593 | |||||||||||||||||||||
Receivable for Fund shares sold |
0 | 0 | 0 | 0 | 0 | 0 | 10,885 | |||||||||||||||||||||
Interest receivable |
13,443 | 9 | 1,223 | 1,908 | 945 | 703 | 29,728 | |||||||||||||||||||||
Reimbursement receivable from PIMCO |
0 | 0 | 0 | 0 | 1 | 0 | 0 | |||||||||||||||||||||
Other assets |
0 | 0 | 0 | 0 | 0 | 0 | 15 | |||||||||||||||||||||
3,876,751 | 21,633 | 154,597 | 213,223 | 267,499 | 77,428 | 4,443,135 | ||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||
Borrowings & Other Financing Transactions |
||||||||||||||||||||||||||||
Payable for reverse repurchase agreements |
$ | 41,448 | $ | 0 | $ | 318 | $ | 0 | $ | 20,174 | $ | 0 | $ | 679,735 | ||||||||||||||
Payable for sale-buyback transactions |
0 | 0 | 14,822 | 0 | 0 | 0 | 96,551 | |||||||||||||||||||||
Financial Derivative Instruments |
||||||||||||||||||||||||||||
Over the counter |
0 | 198 | 731 | 0 | 61 | 0 | 20,588 | |||||||||||||||||||||
Payable for investments purchased |
29,623 | 6 | 0 | 2,301 | 107,380 | 1,151 | 207,341 | |||||||||||||||||||||
Deposits from counterparty |
0 | 0 | 280 | 0 | 0 | 0 | 2,831 | |||||||||||||||||||||
Payable for Fund shares redeemed |
28,406 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Dividends payable |
2,211 | 0 | 931 | 305 | 69 | 41 | 1,571 | |||||||||||||||||||||
Overdraft due to custodian |
0 | 0 | 0 | 0 | 0 | 0 | 1,384 | |||||||||||||||||||||
Accrued management fees |
1,094 | 11 | 67 | 60 | 63 | 22 | 1,134 | |||||||||||||||||||||
Accrued taxes payable |
0 | 0 | 20 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
Reimbursement to PIMCO |
0 | 1 | 3 | 6 | 0 | 2 | 100 | |||||||||||||||||||||
Other liabilities |
73 | 0 | 10 | 3 | 2 | 1 | 56 | |||||||||||||||||||||
102,855 | 216 | 17,182 | 2,675 | 127,749 | 1,217 | 1,011,291 | ||||||||||||||||||||||
Net Assets |
$ | 3,773,896 | $ | 21,417 | $ | 137,415 | $ | 210,548 | $ | 139,750 | $ | 76,211 | $ | 3,431,844 | ||||||||||||||
Net Assets Consist of: |
||||||||||||||||||||||||||||
Paid in capital |
$ | 3,762,275 | $ | 21,952 | $ | 140,586 | $ | 207,094 | $ | 139,490 | $ | 75,987 | $ | 3,398,412 | ||||||||||||||
Undistributed (overdistributed) net investment income |
1,534 | (417 | ) | 1,580 | (69 | ) | 0 | (19 | ) | 559 | ||||||||||||||||||
Accumulated undistributed net realized gain (loss) |
2,018 | (385 | ) | (3,359 | ) | (1,848 | ) | 94 | (182 | ) | (90,924 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) |
8,069 | 267 | (1,392 | ) | 5,371 | 166 | 425 | 123,797 | ||||||||||||||||||||
$ | 3,773,896 | $ | 21,417 | $ | 137,415 | $ | 210,548 | $ | 139,750 | $ | 76,211 | $ | 3,431,844 | |||||||||||||||
Shares Issued and Outstanding: |
37,200 | 440 | 2,660 | 3,960 | 1,380 | 1,510 | 31,530 | |||||||||||||||||||||
Net Asset Value Per Share: |
$ | 101.45 | $ | 48.68 | $ | 51.66 | $ | 53.17 | $ | 101.27 | $ | 50.47 | $ | 108.85 | ||||||||||||||
Cost of Investments in Securities |
$ | 3,852,407 | $ | 21,126 | $ | 153,532 | $ | 205,944 | $ | 159,493 | $ | 76,300 | $ | 4,158,861 | ||||||||||||||
Cost of Foreign Currency Held |
$ | 0 | $ | 27 | $ | 489 | $ | 0 | $ | 10 | $ | 0 | $ | 0 | ||||||||||||||
* Includes repurchase agreements of: |
$ | 219 | $ | 3,078 | $ | 1,870 | $ | 513 | $ | 0 | $ | 425 | $ | 0 |
38 | PIMCO ETF TRUST | See Accompanying Notes |
Year Ended June 30, 2014 | ||||||||||||||||||||||||
(Amounts in thousands) | PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund |
PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund |
PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund |
||||||||||||||||||
Investment Income: |
||||||||||||||||||||||||
Interest |
$ | 555 | $ | 221 | $ | 1,000 | $ | 2,962 | $ | 10,676 | $ | 1,567 | ||||||||||||
Securities lending income |
0 | 0 | 2 | 0 | 0 | 0 | ||||||||||||||||||
Total Income |
555 | 221 | 1,002 | 2,962 | 10,676 | 1,567 | ||||||||||||||||||
Expenses: |
||||||||||||||||||||||||
Management fees |
199 | 23 | 64 | 118 | 2,551 | 155 | ||||||||||||||||||
Trustee fees |
2 | 0 | 1 | 1 | 21 | 1 | ||||||||||||||||||
Miscellaneous expense |
7 | 1 | 2 | 4 | 42 | 4 | ||||||||||||||||||
Total Expenses |
208 | 24 | 67 | 123 | 2,614 | 160 | ||||||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(82 | ) | 0 | (1 | ) | (1 | ) | (22 | ) | (1 | ) | |||||||||||||
Net Expenses |
126 | 24 | 66 | 122 | 2,592 | 159 | ||||||||||||||||||
Net Investment Income |
429 | 197 | 936 | 2,840 | 8,084 | 1,408 | ||||||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||||||
Investments in securities |
115 | 85 | (404 | ) | (3,203 | ) | (1,676 | ) | (5,030 | ) | ||||||||||||||
In-kind redemptions |
131 | 155 | (303 | ) | (5,416 | ) | 1,729 | (6,693 | ) | |||||||||||||||
Net Realized Gain (Loss) |
246 | 240 | (707 | ) | (8,619 | ) | 53 | (11,723 | ) | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||||||
Investments in securities |
271 | (138 | ) | 1,108 | 7,861 | 19,880 | 15,728 | |||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) |
271 | (138 | ) | 1,108 | 7,861 | 19,880 | 15,728 | |||||||||||||||||
Net Gain (Loss) |
517 | 102 | 401 | (758 | ) | 19,933 | 4,005 | |||||||||||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 946 | $ | 299 | $ | 1,337 | $ | 2,082 | $ | 28,017 | $ | 5,413 |
ANNUAL REPORT | JUNE 30, 2014 | 39 |
Statements of Operations (Cont.)
Year Ended June 30, 2014 | ||||||||||||||||||||||||
(Amounts in thousands) | PIMCO Broad U.S. TIPS Index Exchange- Traded Fund |
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
PIMCO Australia Bond Index Exchange- Traded Fund |
PIMCO Canada Bond Index Exchange- Traded Fund |
PIMCO Germany Bond Index Exchange- Traded Fund |
||||||||||||||||||
Investment Income: |
||||||||||||||||||||||||
Interest, net of foreign taxes* |
$ | 863 | $ | 173,124 | $ | 6,008 | $ | 1,225 | $ | 627 | $ | 55 | ||||||||||||
Dividends |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Dividends from Investments in Affiliates |
0 | 6 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Securities lending income |
0 | 1,146 | 1 | 0 | 0 | 0 | ||||||||||||||||||
Miscellaneous income |
0 | 0 | 0 | 3 | 0 | 0 | ||||||||||||||||||
Total Income |
863 | 174,276 | 6,009 | 1,228 | 627 | 55 | ||||||||||||||||||
Expenses: |
||||||||||||||||||||||||
Management fees |
118 | 21,080 | 337 | 135 | 100 | 14 | ||||||||||||||||||
Trustee fees |
2 | 82 | 3 | 0 | 0 | 0 | ||||||||||||||||||
Organization expense |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Interest expense |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Miscellaneous expense |
3 | 88 | 3 | 2 | 1 | 0 | ||||||||||||||||||
Total Expenses |
123 | 21,250 | 343 | 137 | 101 | 14 | ||||||||||||||||||
Waiver and/or Reimbursement by PIMCO |
(2 | ) | (83 | ) | (3 | ) | 0 | 0 | 0 | |||||||||||||||
Net Expenses |
121 | 21,167 | 340 | 137 | 101 | 14 | ||||||||||||||||||
Net Investment Income |
742 | 153,109 | 5,669 | 1,091 | 526 | 41 | ||||||||||||||||||
Net Realized Gain (Loss): |
||||||||||||||||||||||||
Investments in securities |
(293 | ) | 17,645 | 77 | (2,695 | ) | (892 | ) | 41 | |||||||||||||||
In-kind redemptions |
(626 | ) | 10,145 | 556 | 0 | (402 | ) | 0 | ||||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 24,713 | 595 | 0 | 1 | 0 | ||||||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 116 | (19 | ) | 0 | |||||||||||||||||
Foreign currency |
0 | 0 | 0 | (135 | ) | (3 | ) | 3 | ||||||||||||||||
Net Realized Gain (Loss) |
(919 | ) | 52,503 | 1,228 | (2,714 | ) | (1,315 | ) | 44 | |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation): |
||||||||||||||||||||||||
Investments in securities |
2,492 | 81,019 | 7,101 | 4,101 | 1,453 | 193 | ||||||||||||||||||
Exchange-traded or centrally cleared financial derivative instruments |
0 | 10,850 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Over the counter financial derivative instruments |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Foreign currency assets and liabilities |
0 | 0 | 0 | 69 | 21 | 0 | ||||||||||||||||||
Net Change in Unrealized Appreciation |
2,492 | 91,869 | 7,101 | 4,170 | 1,474 | 193 | ||||||||||||||||||
Net Gain |
1,573 | 144,372 | 8,329 | 1,456 | 159 | 237 | ||||||||||||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 2,315 | $ | 297,481 | $ | 13,998 | $ | 2,547 | $ | 685 | $ | 278 | ||||||||||||
* Foreign tax withholdings |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
(1) | Period from January 22, 2014 to June 30, 2014. |
40 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO Build America Bond Exchange- Traded Fund |
PIMCO Diversified Income Exchange- Traded Fund (1) |
PIMCO Enhanced Short Maturity Exchange- Traded Fund |
PIMCO Foreign Currency Strategy Exchange- Traded Fund |
PIMCO Global Advantage® Inflation- Linked Bond Exchange- Traded Fund |
PIMCO Intermediate Municipal Bond Exchange- Traded Fund |
PIMCO Low Duration Exchange- Traded Fund (1) |
PIMCO Short Term Municipal Bond Exchange- Traded Fund |
PIMCO Total Return Exchange- Traded Fund |
||||||||||||||||||||||||||
$ | 1,059 | $ | 774 | $ | 40,247 | $ | 319 | $ | 5,458 | $ | 4,656 | $ | 270 | $ | 658 | $ | 103,129 | |||||||||||||||||
0 | 2 | 0 | 0 | 0 | 0 | 0 | 0 | 322 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 6 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
1,059 | 776 | 40,253 | 319 | 5,458 | 4,656 | 270 | 658 | 103,451 | ||||||||||||||||||||||||||
103 | 153 | 13,838 | 150 | 720 | 689 | 119 | 266 | 20,316 | ||||||||||||||||||||||||||
0 | 1 | 60 | 1 | 2 | 3 | 2 | 1 | 53 | ||||||||||||||||||||||||||
0 | 35 | 0 | 0 | 0 | 0 | 28 | 0 | 0 | ||||||||||||||||||||||||||
0 | 0 | 115 | 0 | 13 | 0 | 0 | 0 | 505 | ||||||||||||||||||||||||||
1 | 0 | 62 | 1 | 6 | 10 | 0 | 4 | 567 | ||||||||||||||||||||||||||
104 | 189 | 14,075 | 152 | 741 | 702 | 149 | 271 | 21,441 | ||||||||||||||||||||||||||
0 | (35 | ) | (62 | ) | 0 | (2 | ) | (3 | ) | (29 | ) | (1 | ) | (464 | ) | |||||||||||||||||||
104 | 154 | 14,013 | 152 | 739 | 699 | 120 | 270 | 20,977 | ||||||||||||||||||||||||||
955 | 622 | 26,240 | 167 | 4,719 | 3,957 | 150 | 388 | 82,474 | ||||||||||||||||||||||||||
(1,367 | ) | 383 | 7,018 | (473 | ) | (4,125 | ) | (1,260 | ) | 92 | (180 | ) | (79,738 | ) | ||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
|
0 |
|
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
0 | (16 | ) | 0 | (393 | ) | (674 | ) | 0 | 7 | 0 | (52,957 | ) | ||||||||||||||||||||||
0 | (49 | ) | 0 | 17 | 48 | 0 | (13 | ) | 0 | (1,081 | ) | |||||||||||||||||||||||
(1,367 | ) | 318 | 7,018 | (849 | ) | (4,751 | ) | (1,260 | ) | 86 | (180 | ) | (133,776 | ) | ||||||||||||||||||||
2,282 | 1,334 | 7,016 | 698 | 10,225 | 5,494 | 206 | 616 | 235,170 | ||||||||||||||||||||||||||
|
0 |
|
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
0 | (50 | ) | 0 | 671 | (121 | ) | 0 | (43 | ) | 0 | (10,318 | ) | ||||||||||||||||||||||
0 | 1 | 0 | 0 | 103 | 0 | 3 | 0 | 209 | ||||||||||||||||||||||||||
2,282 | 1,285 | 7,016 | 1,369 | 10,207 | 5,494 | 166 | 616 | 225,061 | ||||||||||||||||||||||||||
915 | 1,603 | 14,034 | 520 | 5,456 | 4,234 | 252 | 436 | 91,285 | ||||||||||||||||||||||||||
$ | 1,870 | $ | 2,225 | $ | 40,274 | $ | 687 | $ | 10,175 | $ | 8,191 | $ | 402 | $ | 824 | $ | 173,759 | |||||||||||||||||
$ | 0 | $ | 0 | $ | 11 | $ | 0 | $ | 15 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
ANNUAL REPORT | JUNE 30, 2014 | 41 |
Statements of Changes in Net Assets
PIMCO 1-3 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 3-7 Year U.S. Treasury Index Exchange- Traded Fund |
PIMCO 7-15 Year U.S. Treasury Index Exchange- Traded Fund |
||||||||||||||||||||||
(Amounts in thousands) | Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||
Operations:(a) |
||||||||||||||||||||||||
Net investment income |
$ | 429 | $ | 431 | $ | 197 | $ | 308 | $ | 936 | $ | 295 | ||||||||||||
Net realized gain (loss) |
246 | 337 | 240 | 332 | (707 | ) | 1,323 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) |
271 | (500 | ) | (138 | ) | (896 | ) | 1,108 | (1,977 | ) | ||||||||||||||
Net increase (decrease) resulting from operations |
946 | 268 | 299 | (256 | ) | 1,337 | (359 | ) | ||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||
From net investment income |
(406 | ) | (400 | ) | (183 | ) | (291 | ) | (891 | ) | (332 | ) | ||||||||||||
From net realized capital gains |
(70 | ) | (346 | ) | (41 | ) | (165 | ) | 0 | (146 | ) | |||||||||||||
Total Distributions |
(476 | ) | (746 | ) | (224 | ) | (456 | ) | (891 | ) | (478 | ) | ||||||||||||
Fund Share Transactions:(a) |
||||||||||||||||||||||||
Receipts for shares sold |
45,761 | 53,479 | 7,926 | 18,660 | 111,298 | 25,291 | ||||||||||||||||||
Cost of shares redeemed |
(48,384 | ) | (56,063 | ) | (15,890 | ) | (18,660 | ) | (49,071 | ) | (50,604 | ) | ||||||||||||
Net increase (decrease) resulting from Fund share transactions** |
(2,623 | ) | (2,584 | ) | (7,964 | ) | 0 | 62,227 | (25,313 | ) | ||||||||||||||
Total Increase (Decrease) in Net Assets |
(2,153 | ) | (3,062 | ) | (7,889 | ) | (712 | ) | 62,673 | (26,150 | ) | |||||||||||||
Net Assets: |
||||||||||||||||||||||||
Beginning of year |
129,595 | 132,657 | 21,140 | 21,852 | 11,296 | 37,446 | ||||||||||||||||||
End of year* |
$ | 127,442 | $ | 129,595 | $ | 13,251 | $ | 21,140 | $ | 73,969 | $ | 11,296 | ||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (39 | ) | $ | (62 | ) | $ | (37 | ) | $ | (51 | ) | $ | (5 | ) | $ | (50 | ) | ||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||
Shares Sold |
900 | 1,050 | 100 | 230 | 1,350 | 290 | ||||||||||||||||||
Shares Redeemed |
(950 | ) | (1,100 | ) | (200 | ) | (230 | ) | (600 | ) | (580 | ) | ||||||||||||
Net increase (decrease) in shares outstanding |
(50 | ) | (50 | ) | (100 | ) | 0 | 750 | (290 | ) |
** | See Note 12 in the Notes to Financial Statements. |
(a) | See Note 2(d) in the Notes to Financial Statements. |
42 | PIMCO ETF TRUST | See Accompanying Notes |
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 |
||||||||||||||||||||||||||||||||||
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
|||||||||||||||||||||||||||||
$ | 2,840 | $ | 2,975 | $ | 8,084 | $ | 464 | $ | 1,408 | $ | 1,266 | $ | 742 | $ | 843 | $ | 153,109 | $ | 46,891 | |||||||||||||||||||
(8,619 | ) | 14,006 | 53 | 6,558 | (11,723 | ) | 46,807 | (919 | ) | 6,102 | 52,503 | 12,776 | ||||||||||||||||||||||||||
7,861 | (33,785 | ) | 19,880 | (21,286 | ) | 15,728 | (60,733 | ) | 2,492 | (11,975 | ) | 91,869 | (25,248 | ) | ||||||||||||||||||||||||
2,082 | (16,804 | ) | 28,017 | (14,264 | ) | 5,413 | (12,660 | ) | 2,315 | (5,030 | ) | 297,481 | 34,419 | |||||||||||||||||||||||||
(2,765 | ) | (3,075 | ) | (7,653 | ) | (1,333 | ) | (1,698 | ) | (819 | ) | (933 | ) | (680 | ) | (170,299 | ) | (50,883 | ) | |||||||||||||||||||
0 | 0 | 0 | (599 | ) | 0 | 0 | 0 | (10 | ) | (8,529 | ) | 0 | ||||||||||||||||||||||||||
(2,765 | ) | (3,075 | ) | (7,653 | ) | (1,932 | ) | (1,698 | ) | (819 | ) | (933 | ) | (690 | ) | (178,828 | ) | (50,883 | ) | |||||||||||||||||||
112,640 | 94,185 | 429,595 | 334,900 | 3,018 | 349,802 | 60,731 | 36,828 | 2,968,939 | 2,098,777 | |||||||||||||||||||||||||||||
(117,331 | ) | (161,945 | ) | (153,693 | ) | (276,591 | ) | (42,167 | ) | (606,501 | ) | (27,897 | ) | (68,600 | ) | (275,568 | ) | (98,906 | ) | |||||||||||||||||||
(4,691 | ) | (67,760 | ) | 275,902 | 58,309 | (39,149 | ) | (256,699 | ) | 32,834 | (31,772 | ) | 2,693,371 | 1,999,871 | ||||||||||||||||||||||||
(5,374 | ) | (87,639 | ) | 296,266 | 42,113 | (35,434 | ) | (270,178 | ) | 34,216 | (37,492 | ) | 2,812,024 | 1,983,407 | ||||||||||||||||||||||||
82,276 | 169,915 | 1,041,609 | 999,496 | 105,004 | 375,182 | 72,186 | 109,678 | 2,307,178 | 323,771 | |||||||||||||||||||||||||||||
$ | 76,902 | $ | 82,276 | $ | 1,337,875 | $ | 1,041,609 | $ | 69,570 | $ | 105,004 | $ | 106,402 | $ | 72,186 | $ | 5,119,202 | $ | 2,307,178 | |||||||||||||||||||
$ | 0 | $ | (74 | ) | $ | 576 | $ | (394 | ) | $ | 140 | $ | 429 | $ | 9 | $ | 185 | $ | (2,696 | ) | $ | 41 | ||||||||||||||||
1,250 | 860 | 8,100 | 6,200 | 50 | 4,850 | 1,050 | 600 | 28,050 | 20,200 | |||||||||||||||||||||||||||||
(1,350 | ) | (1,450 | ) | (2,900 | ) | (5,150 | ) | (700 | ) | (8,550 | ) | (500 | ) | (1,150 | ) | (2,600 | ) | (950 | ) | |||||||||||||||||||
(100 | ) | (590 | ) | 5,200 | 1,050 | (650 | ) | (3,700 | ) | 550 | (550 | ) | 25,450 | 19,250 |
ANNUAL REPORT | JUNE 30, 2014 | 43 |
Statements of Changes in Net Assets (Cont.)
PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund |
PIMCO Australia Bond Index Exchange- Traded Fund |
PIMCO Canada Bond Index Exchange- Traded Fund |
PIMCO Germany Bond Index Exchange- Traded Fund |
|||||||||||||||||||||||||||||
(Amounts in thousands) | Year
Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year
Ended June 30, 2014 |
Year
Ended June 30, 2013 |
Year
Ended June 30, 2014 |
Year
Ended June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
||||||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||||||||
Operations:(a) |
||||||||||||||||||||||||||||||||
Net investment income |
$ | 5,669 | $ | 6,824 | $ | 1,091 | $ | 1,450 | $ | 526 | $ | 610 | $ | 41 | $ | 42 | ||||||||||||||||
Net realized gain (loss) |
1,228 | 7,706 | (2,714 | ) | (203 | ) | (1,315 | ) | (30 | ) | 44 | (12 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
7,101 | (8,595 | ) | 4,170 | (5,283 | ) | 1,474 | (2,791 | ) | 193 | 112 | |||||||||||||||||||||
Net increase (decrease) resulting from operations |
13,998 | 5,935 | 2,547 | (4,036 | ) | 685 | (2,211 | ) | 278 | 142 | ||||||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||||||||||
From net investment income |
(5,512 | ) | (7,178 | ) | 0 | (1,273 | ) | (233 | ) | (584 | ) | (39 | ) | (25 | ) | |||||||||||||||||
From net realized capital gains |
(6,182 | ) | (1,529 | ) | 0 | (30 | ) | 0 | (85 | ) | (4 | ) | 0 | |||||||||||||||||||
Tax basis return of capital |
0 | 0 | 0 | (16 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Total Distributions |
(11,694 | ) | (8,707 | ) | 0 | (1,319 | ) | (233 | ) | (669 | ) | (43 | ) | (25 | ) | |||||||||||||||||
Fund Share Transactions:(a) |
||||||||||||||||||||||||||||||||
Receipts for shares sold |
86,738 | 70,504 | 4,860 | 31,218 | 0 | 15,946 | 0 | 0 | ||||||||||||||||||||||||
Cost of shares redeemed |
(30,762 | ) | (183,083 | ) | (23,538 | ) | (15,285 | ) | (14,296 | ) | 0 | 0 | 0 | |||||||||||||||||||
Net increase (decrease) resulting from Fund share transactions** |
55,976 | (112,579 | ) | (18,678 | ) | 15,933 | (14,296 | ) | 15,946 | 0 | 0 | |||||||||||||||||||||
Total Increase (Decrease) in Net Assets |
58,280 | (115,351 | ) | (16,131 | ) | 10,578 | (13,844 | ) | 13,066 | 235 | 117 | |||||||||||||||||||||
Net Assets: |
||||||||||||||||||||||||||||||||
Beginning of year or period |
140,916 | 256,267 | 39,099 | 28,521 | 31,630 | 18,564 | 2,994 | 2,877 | ||||||||||||||||||||||||
End of year or period* |
$ | 199,196 | $ | 140,916 | $ | 22,968 | $ | 39,099 | $ | 17,786 | $ | 31,630 | $ | 3,229 | $ | 2,994 | ||||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | 55 | $ | (158 | ) | $ | (1,248 | ) | $ | (32 | ) | $ | (621 | ) | $ | (2 | ) | $ | 6 | $ | (21 | ) | ||||||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||||||||||
Shares Sold |
850 | 650 | 50 | 300 | 0 | 150 | 0 | 0 | ||||||||||||||||||||||||
Shares Redeemed |
(300 | ) | (1,700 | ) | (250 | ) | (150 | ) | (150 | ) | 0 | 0 | 0 | |||||||||||||||||||
Net increase (decrease) in shares outstanding |
550 | (1,050 | ) | (200 | ) | 150 | (150 | ) | 150 | 0 | 0 |
** | See Note 12 in the Notes to Financial Statements. |
(a) | See Note 2(d) in the Notes to Financial Statements. |
44 | PIMCO ETF TRUST | See Accompanying Notes |
PIMCO Build America Bond Exchange- Traded Fund |
PIMCO Diversified Income Exchange- Traded Fund |
PIMCO Enhanced Short Maturity Exchange- Traded Fund |
PIMCO Foreign Currency Strategy Exchange- Traded Fund |
PIMCO Global Advantage® Inflation-Linked Bond Exchange- Traded Fund |
||||||||||||||||||||||||||||||
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Period from January 22, 2014 to June 30, 2014 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
Year Ended June 30, 2014 |
Period from February 11, 2013 to June 30, 2013 |
Year Ended June 30, 2014 |
Year Ended June 30, 2013 |
||||||||||||||||||||||||||
$ | 955 | $ | 1,653 | $ | 622 | $ | 26,240 | $ | 20,751 | $ | 167 | $ | 66 | $ | 4,719 | $ | 2,421 | |||||||||||||||||
(1,367 | ) | 938 | 318 | 7,018 | 4,981 | (849 | ) | (563 | ) | (4,751 | ) | (2,011 | ) | |||||||||||||||||||||
|
2,282 |
|
(3,374 | ) | 1,285 | 7,016 | (4,929 | ) | 1,369 | (1,102 | ) | 10,207 | (11,316 | ) | ||||||||||||||||||||
|
1,870 |
|
(783 | ) | 2,225 | 40,274 | 20,803 | 687 | (1,599 | ) | 10,175 | (10,906 | ) | |||||||||||||||||||||
(903 | ) | (1,711 | ) | (568 | ) | (26,777 | ) | (21,767 | ) | 0 | 0 | (931 | ) | (690 | ) | |||||||||||||||||||
(868 | ) | (1,124 | ) | 0 | (5,604 | ) | 0 | 0 | 0 | (431 | ) | (312 | ) | |||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||
(1,771 | ) | (2,835 | ) | (568 | ) | (32,381 | ) | (21,767 | ) | 0 | 0 | (1,362 | ) | (1,002 | ) | |||||||||||||||||||
4,973 | 19,928 | 63,166 | 1,469,252 | 2,450,336 | 0 | 36,923 | 33,649 | 108,001 | ||||||||||||||||||||||||||
(12,489 | ) | (22,360 | ) | (20,117 | ) | (1,455,864 | ) | (412,099 | ) | (4,726 | ) | (9,868 | ) | (24,483 | ) | (4,813 | ) | |||||||||||||||||
|
(7,516 |
) |
(2,432 | ) | 43,049 | 13,388 | 2,038,237 | (4,726 | ) | 27,055 | 9,166 | 103,188 | ||||||||||||||||||||||
(7,417 | ) | (6,050 | ) | 44,706 | 21,281 | 2,037,273 | (4,039 | ) | 25,456 | 17,979 | 91,280 | |||||||||||||||||||||||
31,051 | 37,101 | 0 | 3,752,615 | 1,715,342 | 25,456 | 0 | 119,436 | 28,156 | ||||||||||||||||||||||||||
$ | 23,634 | $ | 31,051 | $ | 44,706 | $ | 3,773,896 | $ | 3,752,615 | $ | 21,417 | $ | 25,456 | $ | 137,415 | $ | 119,436 | |||||||||||||||||
$ |
(71 |
) |
$ | (122 | ) | $ | 49 | $ | 1,534 | $ | 124 | $ | (417 | ) | $ | (48 | ) | $ | 1,580 | $ | (436 | ) | ||||||||||||
100 | 350 | 1,260 | 14,490 | 24,150 | 0 | 740 | 700 | 2,000 | ||||||||||||||||||||||||||
(250 | ) | (400 | ) | (400 | ) | (14,350 | ) | (4,060 | ) | (100 | ) | (200 | ) | (500 | ) | (100 | ) | |||||||||||||||||
(150 | ) | (50 | ) | 860 | 140 | 20,090 | (100 | ) | 540 | 200 | 1,900 |
ANNUAL REPORT | JUNE 30, 2014 | 45 |
Statements of Changes in Net Assets (Cont.)
PIMCO Intermediate Municipal Bond Exchange- Traded Fund |
PIMCO Low Duration Exchange- Traded Fund |
PIMCO Short Term Municipal Bond Exchange- Traded Fund |
PIMCO Total Return Exchange- Traded Fund |
|||||||||||||||||||||||||
(Amounts in thousands) | Year
Ended June 30, 2014 |
Year
Ended June 30, 2013 |
Period
from January 22, 2014 to June 30, 2014 |
Year
Ended June 30, 2014 |
Year
Ended June 30, 2013 |
Year
Ended June 30, 2014 |
Year
Ended June 30, 2013 |
|||||||||||||||||||||
Increase (Decrease) in Net Assets from: |
||||||||||||||||||||||||||||
Operations:(a) |
||||||||||||||||||||||||||||
Net investment income |
$ | 3,957 | $ | 4,450 | $ | 150 | $ | 388 | $ | 420 | $ | 82,474 | $ | 84,979 | ||||||||||||||
Net realized gain (loss) |
(1,260 | ) | (543 | ) | 86 | (180 | ) | (2 | ) | (133,776 | ) | 59,381 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) |
5,494 | (6,052 | ) | 166 | 616 | (440 | ) | 225,061 | (123,471 | ) | ||||||||||||||||||
Net increase (decrease) resulting from operations |
8,191 | (2,145 | ) | 402 | 824 | (22 | ) | 173,759 | 20,889 | |||||||||||||||||||
Distributions to Shareholders: |
||||||||||||||||||||||||||||
From net investment income |
(4,026 | ) | (4,408 | ) | (138 | ) | (332 | ) | (498 | ) | (60,989 | ) | (83,503 | ) | ||||||||||||||
From net realized capital gains |
0 | (264 | ) | 0 | 0 | (5 | ) | (14,866 | ) | (31,360 | ) | |||||||||||||||||
Total Distributions |
(4,026 | ) | (4,672 | ) | (138 | ) | (332 | ) | (503 | ) | (75,855 | ) | (114,863 | ) | ||||||||||||||
Fund Share Transactions:(a) |
||||||||||||||||||||||||||||
Receipts for shares sold |
36,706 | 78,630 | 154,645 | 20,087 | 27,784 | 97,253 | 3,467,911 | |||||||||||||||||||||
Cost of shares redeemed |
(18,254 | ) | (37,458 | ) | (15,159 | ) | (5,039 | ) | (10,051 | ) | (1,161,905 | ) | (741,210 | ) | ||||||||||||||
Net increase (decrease) resulting from Fund share transactions** |
18,452 | 41,172 | 139,486 | 15,048 | 17,733 | (1,064,652 | ) | 2,726,701 | ||||||||||||||||||||
Total Increase (Decrease) in Net Assets |
22,617 | 34,355 | 139,750 | 15,540 | 17,208 | (966,748 | ) | 2,632,727 | ||||||||||||||||||||
Net Assets: |
||||||||||||||||||||||||||||
Beginning of year or period |
187,931 | 153,576 | 0 | 60,671 | 43,463 | 4,398,592 | 1,765,865 | |||||||||||||||||||||
End of year or period* |
$ | 210,548 | $ | 187,931 | $ | 139,750 | $ | 76,211 | $ | 60,671 | $ | 3,431,844 | $ | 4,398,592 | ||||||||||||||
* Including undistributed (overdistributed) net investment income of: |
$ | (69 | ) | $ | 0 | $ | 0 | $ | (19 | ) | $ | (75 | ) | $ | 559 | $ | 29,317 | |||||||||||
Shares of Beneficial Interest: |
||||||||||||||||||||||||||||
Shares Sold |
700 | 1,450 | 1,530 | 400 | 550 | 900 | 31,800 | |||||||||||||||||||||
Shares Redeemed |
(350 | ) | (700 | ) | (150 | ) | (100 | ) | (200 | ) | (11,000 | ) | (6,900 | ) | ||||||||||||||
Net increase (decrease) in shares outstanding |
350 | 750 | 1,380 | 300 | 350 | (10,100 | ) | 24,900 |
** | See Note 12 in the Notes to Financial Statements. |
(a) | See Note 2(d) in the Notes to Financial Statements. |
46 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 1,416 | Freddie Mac 2.000% due 01/30/2023 | $ | (1,447 | ) | $ | 1,416 | $ | 1,416 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (1,447 | ) | $ | 1,416 | $ | 1,416 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 1,416 | $ | 0 | $ | 0 | $ | 0 | $ | 1,416 | $ | (1,447 | ) | $ | (31 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,416 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 125,910 | $ | 0 | $ | 125,910 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 1,416 | 0 | 1,416 | ||||||||||||||
Total Investments |
$ | 0 | $ | 127,326 | $ | 0 | $ | 127,326 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 47 |
Schedule of Investments PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 143 | Freddie Mac 2.000% due 01/30/2023 | $ | (150 | ) | $ | 143 | $ | 143 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (150 | ) | $ | 143 | $ | 143 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 143 | $ | 0 | $ | 0 | $ | 0 | $ | 143 | $ | (150 | ) | $ | (7 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 143 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 13,111 | $ | 0 | $ | 13,111 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 143 | 0 | 143 | ||||||||||||||
Total Investments |
$ | 0 | $ | 13,254 | $ | 0 | $ | 13,254 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
48 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 222 | Freddie Mac 2.000% due 01/30/2023 | $ | (229 | ) | $ | 222 | $ | 222 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (229 | ) | $ | 222 | $ | 222 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 222 | $ | 0 | $ | 0 | $ | 0 | $ | 222 | $ | (229 | ) | $ | (7 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 222 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 73,291 | $ | 0 | $ | 73,291 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 222 | 0 | 222 | ||||||||||||||
Total Investments |
$ | 0 | $ | 73,513 | $ | 0 | $ | 73,513 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 49 |
Schedule of Investments PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 77,496 | $ | 0 | $ | 77,496 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
50 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE | AGREEMENTS: |
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 605 | Freddie Mac 2.000% due 01/30/2023 | $ | (618 | ) | $ | 605 | $ | 605 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (618 | ) | $ | 605 | $ | 605 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 605 | $ | 0 | $ | 0 | $ | 0 | $ | 605 | $ | (618 | ) | $ | (13 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 605 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 1,330,079 | $ | 0 | $ | 1,330,079 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 605 | 0 | 605 | ||||||||||||||
Total Investments |
$ | 0 | $ | 1,330,684 | $ | 0 | $ | 1,330,684 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 51 |
Schedule of Investments PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 69,175 | $ | 0 | $ | 69,175 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
52 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE | AGREEMENTS: |
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 959 | Freddie Mac 2.000% due 01/30/2023 | $ | (978 | ) | $ | 959 | $ | 959 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (978 | ) | $ | 959 | $ | 959 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 959 | $ | 0 | $ | 0 | $ | 0 | $ | 959 | $ | (978 | ) | $ | (19 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 959 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
U.S. Treasury Obligations |
$ | 0 | $ | 105,506 | $ | 0 | $ | 105,506 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 959 | 0 | 959 | ||||||||||||||
Total Investments |
$ | 0 | $ | 106,465 | $ | 0 | $ | 106,465 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 53 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
54 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 55 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
56 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | Payment in-kind bond security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(d) | Institutional Class Shares of each Fund. |
(e) | Securities with an aggregate market value of $69,744 were out on loan in exchange for $70,609 of cash collateral as of June 30, 2014. The collateral was invested in a cash collateral reinvestment vehicle as described in Note 5(d) in the Notes to Financial Statements. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(f) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
JPS |
0.200 | % | 06/30/2014 | 07/01/2014 | $ | 26,100 | Fannie Mae 1.670% due 12/17/2018 | $ | (26,663 | ) | $ | 26,100 | $ | 26,100 | ||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | 12,733 | Freddie Mac 2.000% due 01/30/2023 | (12,991 | ) | 12,733 | 12,733 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (39,654 | ) | $ | 38,833 | $ | 38,833 |
(1) |
Includes accrued interest. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 57 |
Schedule of Investments PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
JPS |
$ | 26,100 | $ | 0 | $ | 0 | $ | 0 | $ | 26,100 | $ | (26,663 | ) | $ | (563 | ) | ||||||||||||||
SSB |
12,733 | 0 | 0 | 0 | 12,733 | (12,991 | ) | (258 | ) | |||||||||||||||||||||
Master Securities Lending Agreement |
||||||||||||||||||||||||||||||
BCY |
0 | 0 | 0 | (42,833 | ) | (42,833 | ) | 43,155 | 322 | |||||||||||||||||||||
DEU |
0 | 0 | 0 | (8,669 | ) | (8,669 | ) | 8,850 | 181 | |||||||||||||||||||||
SAL |
0 | 0 | 0 | (18,242 | ) | (18,242 | ) | 18,604 | 362 | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 38,833 | $ | 0 | $ | 0 | $ | (69,744 | ) |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION (1)
Fixed Deal |
Maturity |
Notional |
Market |
Unrealized |
Variation Margin | |||||||||||||||||||||||||
Index/Tranches | Asset | Liability | ||||||||||||||||||||||||||||
CDX.HY-20 5-Year Index |
5.000 | % | 06/20/2018 | $ | 110,583 | $ | 10,685 | $ | 5,244 | $ | 0 | $ | (150 | ) | ||||||||||||||||
CDX.HY-21 5-Year Index |
5.000 | % | 12/20/2018 | 33,363 | 3,093 | 735 | 0 | (43 | ) | |||||||||||||||||||||
CDX.HY-22 5-Year Index |
5.000 | % | 06/20/2019 | 195,030 | 17,187 | 2,042 | 0 | (270 | ) | |||||||||||||||||||||
$ | 30,965 | $ | 8,021 | $ | 0 | $ | (463 | ) | ||||||||||||||||||||||
Total Swap Agreements |
$ | 30,965 | $ | 8,021 | $ | 0 | $ | (463 | ) |
(1) |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) |
The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced indices’ credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of June 30, 2014:
(h) | Securities with an aggregate market value of $14,393 and cash of $995 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of June 30, 2014. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset |
Market Value | Variation Margin Liability |
|||||||||||||||||||||||||||||||||
Purchased Options |
Futures | Swap Agreements |
Total | Written Options |
Futures | Swap Agreements |
Total | |||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (463 | ) | $ | (463 | ) |
58 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | 463 | $ | 0 | $ | 0 | $ | 0 | $ | 463 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | 24,713 | $ | 0 | $ | 0 | $ | 0 | $ | 24,713 | ||||||||||||||
Net Change in Unrealized Appreciation on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared Swap Agreements |
$ | 0 | $ | 10,850 | $ | 0 | $ | 0 | $ | 0 | $ | 10,850 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 1,065,642 | $ | 0 | $ | 1,065,642 | ||||||||||
Industrials |
0 | 3,101,239 | 0 | 3,101,239 | ||||||||||||||
Utilities |
0 | 497,655 | 0 | 497,655 | ||||||||||||||
U.S. Government Agencies |
0 | 41,584 | 0 | 41,584 | ||||||||||||||
U.S. Treasury Obligations |
0 | 139,858 | 0 | 139,858 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 38,833 | 0 | 38,833 | ||||||||||||||
Short-Term Notes |
0 | 47,691 | 0 | 47,691 | ||||||||||||||
U.S. Treasury Bills |
0 | 128,799 | 0 | 128,799 | ||||||||||||||
$ | 0 | $ | 5,061,301 | $ | 0 | $ | 5,061,301 | |||||||||||
Investments in Affiliates, at Value |
||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Mutual Funds |
70,609 | 0 | 0 | 70,609 | ||||||||||||||
Total Investments |
$ | 70,609 | $ | 5,061,301 | $ | 0 | $ | 5,131,910 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Exchange-traded or centrally cleared |
$ | 0 | $ | (463 | ) | $ | 0 | $ | (463 | ) | ||||||||
Totals |
$ | 70,609 | $ | 5,060,838 | $ | 0 | $ | 5,131,447 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 59 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
60 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 61 |
Schedule of Investments PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
62 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 521 | Freddie Mac 2.000% due 01/30/2023 | $ | (534 | ) | $ | 521 | $ | 521 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (534 | ) | $ | 521 | $ | 521 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 521 | $ | 0 | $ | 0 | $ | 0 | $ | 521 | $ | (534 | ) | $ | (13 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 521 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 385 | $ | 385 | ||||||||||||||
Swap Agreements |
0 | 210 | 0 | 0 | 0 | 210 | ||||||||||||||||||||
$ | 0 | $ | 210 | $ | 0 | $ | 0 | $ | 385 | $ | 595 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 71,022 | $ | 0 | $ | 71,022 | ||||||||||
Industrials |
0 | 92,888 | 0 | 92,888 | ||||||||||||||
Utilities |
0 | 32,784 | 0 | 32,784 | ||||||||||||||
U.S. Treasury Obligations |
0 | 100 | 0 | 100 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 521 | 0 | 521 | ||||||||||||||
Total Investments |
$ | 0 | $ | 197,315 | $ | 0 | $ | 197,315 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 63 |
Schedule of Investments PIMCO Australia Bond Index Exchange-Traded Fund
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
WRITTEN OPTIONS:
AS OF JUNE 30, 2014 THERE WERE NO OPEN WRITTEN OPTIONS. TRANSACTIONS IN WRITTEN CALL AND PUT OPTIONS FOR THE PERIOD ENDED JUNE 30, 2014:
Notional Amount in EUR |
Premiums | |||||||||
Balance at Beginning of Period |
EUR | 0 | $ | 0 | ||||||
Sales |
300 | (1 | ) | |||||||
Closing Buys |
(300 | ) | 1 | |||||||
Expirations |
0 | 0 | ||||||||
Exercised |
0 | 0 | ||||||||
Balance at End of Period |
EUR | 0 | $ | 0 |
64 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 116 | $ | 0 | $ | 116 |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Australia |
||||||||||||||||||
Corporate Bonds & Notes |
$ | 0 | $ | 3,295 | $ | 0 | $ | 3,295 | ||||||||||
Sovereign Issues |
0 | 12,057 | 0 | 12,057 | ||||||||||||||
Canada |
||||||||||||||||||
Sovereign Issues |
0 | 444 | 0 | 444 | ||||||||||||||
Germany |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 1,078 | 0 | 1,078 | ||||||||||||||
Netherlands |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 485 | 0 | 485 | ||||||||||||||
Norway |
||||||||||||||||||
Sovereign Issues |
0 | 303 | 0 | 303 | ||||||||||||||
Supranational |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 3,043 | 0 | 3,043 | ||||||||||||||
Sweden |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 481 | 0 | 481 | ||||||||||||||
United Kingdom |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 676 | 0 | 676 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 991 | 0 | 991 | ||||||||||||||
Total Investments |
$ | 0 | $ | 22,853 | $ | 0 | $ | 22,853 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 65 |
Schedule of Investments PIMCO Canada Bond Index Exchange-Traded Fund
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. |
(b) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BRC |
09/2014 | $ | 5 | CAD | 5 | $ | 0 | $ | 0 |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2014:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agree ments |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agree ments |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Colla teral (Rece ived)/ Pledged |
Net Exposure (1) |
|||||||||||||||||||||||||||||||||||||
BRC |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||
Total Over |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
66 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Exchange-traded or centrally cleared |
||||||||||||||||||||||||||
Futures |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (19 | ) | $ | 0 | $ | (19 | ) | ||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | (19 | ) | $ | 1 | $ | (18 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Canada |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 17,223 | $ | 0 | $ | 17,223 | ||||||||||
Total Investments |
$ | 0 | $ | 17,223 | $ | 0 | $ | 17,223 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Totals |
$ | 0 | $ | 17,223 | $ | 0 | $ | 17,223 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 67 |
Schedule of Investments PIMCO Germany Bond Index Exchange-Traded Fund
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
France |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 142 | $ | 0 | $ | 142 | ||||||||||
Germany |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 1,232 | 0 | 1,232 | ||||||||||||||
Sovereign Issues |
0 | 1,202 | 0 | 1,202 | ||||||||||||||
Ireland |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 80 | 0 | 80 | ||||||||||||||
Netherlands |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 526 | 0 | 526 | ||||||||||||||
Total Investments |
$ | 0 | $ | 3,182 | $ | 0 | $ | 3,182 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
68 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Build America Bond Exchange-Traded Fund
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 69 |
Schedule of Investments PIMCO Build America Bond Exchange-Traded Fund (Cont.)
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arizona |
$ | 0 | $ | 545 | $ | 0 | $ | 545 | ||||||||||
California |
0 | 9,736 | 0 | 9,736 | ||||||||||||||
Georgia |
0 | 674 | 0 | 674 | ||||||||||||||
Illinois |
0 | 935 | 0 | 935 | ||||||||||||||
Kentucky |
0 | 644 | 0 | 644 | ||||||||||||||
Maryland |
0 | 604 | 0 | 604 | ||||||||||||||
Minnesota |
0 | 495 | 0 | 495 | ||||||||||||||
Nebraska |
0 | 567 | 0 | 567 | ||||||||||||||
Nevada |
0 | 866 | 0 | 866 | ||||||||||||||
New York |
0 | 2,417 | 0 | 2,417 | ||||||||||||||
North Carolina |
0 | 110 | 0 | 110 | ||||||||||||||
Ohio |
0 | 2,006 | 0 | 2,006 | ||||||||||||||
Pennsylvania |
0 | 292 | 0 | 292 | ||||||||||||||
South Carolina |
0 | 780 | 0 | 780 | ||||||||||||||
Tennessee |
0 | 128 | 0 | 128 | ||||||||||||||
Texas |
0 | 366 | 0 | 366 | ||||||||||||||
Washington |
0 | 633 | 0 | 633 | ||||||||||||||
U.S. Treasury Obligations |
0 | 601 | 0 | 601 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
U.S. Treasury Bills |
0 | 1,000 | 0 | 1,000 | ||||||||||||||
Total Investments |
$ | 0 | $ | 23,399 | $ | 0 | $ | 23,399 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
70 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Diversified Income Exchange-Traded Fund
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 71 |
Schedule of Investments PIMCO Diversified Income Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Security did not produce income within the last twelve months. |
(b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
JPS |
0.200 | % | 06/30/2014 | 07/01/2014 | $ | 800 | Fannie Mae 1.670% due 12/17/2018 | $ | (822 | ) | $ | 800 | $ | 800 | ||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | 251 | Fannie Mae 2.110% due 11/07/2022 | (259 | ) | 251 | 251 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (1,081 | ) | $ | 1,051 | $ | 1,051 |
(1) |
Includes accrued interest. |
72 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
JPS |
$ | 800 | $ | 0 | $ | 0 | $ | 0 | $ | 800 | $ | (822 | ) | $ | (22 | ) | ||||||||||||||
SSB |
251 | 0 | 0 | 0 | 251 | (259 | ) | (8 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,051 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(d) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement Month |
Currency to be Delivered |
Currency to be Received |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
08/2014 | EUR | 104 | $ | 141 | $ | 0 | $ | (2 | ) | ||||||||||||||||||||
BPS |
09/2014 | GBP | 303 | 508 | 0 | (10 | ) | |||||||||||||||||||||||
BRC |
07/2014 | $ | 38 | JPY | 3,800 | 0 | 0 | |||||||||||||||||||||||
08/2014 | EUR | 2,874 | $ | 3,924 | 0 | (12 | ) | |||||||||||||||||||||||
08/2014 | JPY | 3,800 | 37 | 0 | 0 | |||||||||||||||||||||||||
09/2014 | GBP | 1,509 | 2,533 | 0 | (48 | ) | ||||||||||||||||||||||||
09/2014 | $ | 1,389 | GBP | 819 | 11 | 0 | ||||||||||||||||||||||||
CBK |
07/2014 | JPY | 3,800 | $ | 37 | 0 | 0 | |||||||||||||||||||||||
09/2014 | GBP | 132 | 224 | 0 | (2 | ) | ||||||||||||||||||||||||
RBC |
08/2014 | $ | 1,043 | EUR | 771 | 13 | 0 | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 24 | $ | (74 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2014:
Counterparty |
Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (2 | ) | $ | 0 | $ | 0 | $ | (2 | ) | $ | (2 | ) | $ | 0 | $ | (2 | ) | ||||||||||||||||||||||
BPS |
0 | 0 | 0 | 0 | (10 | ) | 0 | 0 | (10 | ) | (10 | ) | 0 | (10 | ) | |||||||||||||||||||||||||||||||||
BRC |
11 | 0 | 0 | 11 | (60 | ) | 0 | 0 | (60 | ) | (49 | ) | 0 | (49 | ) | |||||||||||||||||||||||||||||||||
CBK |
0 | 0 | 0 | 0 | (2 | ) | 0 | 0 | (2 | ) | (2 | ) | 0 | (2 | ) | |||||||||||||||||||||||||||||||||
RBC |
13 | 0 | 0 | 13 | 0 | 0 | 0 | 0 | 13 | 0 | 13 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 24 | $ | 0 | $ | 0 | $ | 24 | $ | (74 | ) | $ | 0 | $ | 0 | $ | (74 | ) |
(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 | ANNUAL REPORT | JUNE 30, 2014 | 73 |
Schedule of Investments PIMCO Diversified Income 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 June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 24 | $ | 0 | $ | 24 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 74 | $ | 0 | $ | 74 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (16 | ) | $ | 0 | $ | (16 | ) | ||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (50 | ) | $ | 0 | $ | (50 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 302 | $ | 0 | $ | 302 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 12,733 | 0 | 12,733 | ||||||||||||||
Industrials |
0 | 10,987 | 496 | 11,483 | ||||||||||||||
Utilities |
0 | 8,892 | 0 | 8,892 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Iowa |
0 | 199 | 0 | 199 | ||||||||||||||
U.S. Treasury Obligations |
0 | 200 | 0 | 200 | ||||||||||||||
Mortgage-Backed Securities |
0 | 308 | 0 | 308 | ||||||||||||||
Asset-Backed Securities |
0 | 984 | 0 | 984 | ||||||||||||||
Sovereign Issues |
0 | 5,477 | 0 | 5,477 | ||||||||||||||
Common Stocks |
||||||||||||||||||
Consumer Discretionary |
290 | 0 | 0 | 290 | ||||||||||||||
Energy |
94 | 0 | 0 | 94 | ||||||||||||||
Financials |
205 | 0 | 0 | 205 | ||||||||||||||
Industrials |
112 | 0 | 0 | 112 | ||||||||||||||
Preferred Securities |
||||||||||||||||||
Utilities |
0 | 3 | 0 | 3 |
74 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Real Estate Investment Trusts |
||||||||||||||||||
Financials |
$ | 334 | $ | 0 | $ | 0 | $ | 334 | ||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 1,051 | 0 | 1,051 | ||||||||||||||
Short-Term Notes |
0 | 699 | 0 | 699 | ||||||||||||||
Total Investments |
$ | 1,035 | $ | 41,835 | $ | 496 | $ | 43,366 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 24 | $ | 0 | $ | 24 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (74 | ) | $ | 0 | $ | (74 | ) | ||||||||
Totals |
$ | 1,035 | $ | 41,785 | $ | 496 | $ | 43,316 |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
Category and Subcategory | Beginning Balance at 01/22/2014 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net
Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2014 (1) |
||||||||||||||||||||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||||
Industrials |
$ | 0 | $ | 506 | $ | (14 | ) | $ | 0 | $ | 0 | $ | 4 | $ | 0 | $ | 0 | $ | 496 | $ | 4 |
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 06/30/2014 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Industrials |
$ | 496 | Third Party Vendor | Broker Quote | 102.00 | |||||||||||||
|
|
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 75 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund
76 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 77 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund (Cont.)
78 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 79 |
Schedule of Investments PIMCO Enhanced Short Maturity Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | When-issued security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 219 | Freddie Mac 2.000% due 01/30/2023 | $ | (225 | ) | $ | 219 | $ | 219 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (225 | ) | $ | 219 | $ | 219 |
(1) |
Includes accrued interest. |
80 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BSN |
0.090 | % | 05/21/2014 | 07/21/2014 | $ | (11,328 | ) | $ | (11,329 | ) | ||||||||||||
JPS |
0.110 | % | 05/28/2014 | 07/24/2014 | (30,116 | ) | (30,119 | ) | ||||||||||||||
Total Reverse Repurchase Agreements |
$ | (41,448 | ) |
(2) |
As of June 30, 2014, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended June 30, 2014 was $143,118 at a weighted average interest rate of 0.003%. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2014:
(c) | Securities with an aggregate market value of $41,415 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (3) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BSN |
$ | 0 | $ | (11,329 | ) | $ | 0 | $ | 0 | $ | (11,329 | ) | $ | 11,327 | $ | (2 | ) | |||||||||||||
JPS |
0 | (30,119 | ) | 0 | 0 | (30,119 | ) | 30,088 | (31 | ) | ||||||||||||||||||||
SSB |
219 | 0 | 0 | 0 | 219 | (225 | ) | (6 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 219 | $ | (41,448 | ) | $ | 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 June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 1,446,747 | $ | 0 | $ | 1,446,747 | ||||||||||
Industrials |
10,000 | 747,874 | 0 | 757,874 | ||||||||||||||
Utilities |
0 | 368,991 | 0 | 368,991 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arkansas |
0 | 1,197 | 0 | 1,197 | ||||||||||||||
California |
0 | 30,511 | 0 | 30,511 | ||||||||||||||
Florida |
0 | 1,205 | 0 | 1,205 | ||||||||||||||
Massachusetts |
0 | 5,010 | 0 | 5,010 | ||||||||||||||
New Jersey |
0 | 10,531 | 0 | 10,531 | ||||||||||||||
New York |
0 | 22,339 | 0 | 22,339 | ||||||||||||||
Oregon |
0 | 3,574 | 0 | 3,574 | ||||||||||||||
Pennsylvania |
0 | 1,199 | 0 | 1,199 | ||||||||||||||
Texas |
0 | 4,011 | 0 | 4,011 | ||||||||||||||
Virginia |
0 | 200 | 0 | 200 | ||||||||||||||
U.S. Government Agencies |
0 | 190,744 | 1,734 | 192,478 | ||||||||||||||
Mortgage-Backed Securities |
0 | 168,288 | 9,404 | 177,692 | ||||||||||||||
Asset-Backed Securities |
0 | 335,697 | 3,570 | 339,267 | ||||||||||||||
Sovereign Issues |
0 | 94,481 | 0 | 94,481 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 117,438 | 0 | 117,438 | ||||||||||||||
Commercial Paper |
0 | 250,503 | 0 | 250,503 | ||||||||||||||
Repurchase Agreements |
0 | 219 | 0 | 219 | ||||||||||||||
Short-Term Notes |
0 | 35,009 | 0 | 35,009 | ||||||||||||||
Total Investments |
$ | 10,000 | $ | 3,835,768 | $ | 14,708 | $ | 3,860,476 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 81 |
Schedule of Investments PIMCO Foreign Currency Strategy Exchange-Traded Fund
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(a) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 278 | Freddie Mac 2.000% due 01/30/2023 |
$ | (286 | ) | $ | 278 | $ | 278 | ||||||||||||||||||
TDM |
0.140 | % | 06/30/2014 | 07/01/2014 | 2,800 | U.S. Treasury Bonds 4.625% due 02/15/2040 |
(2,902 | ) | 2,800 | 2,800 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (3,188 | ) | $ | 3,078 | $ | 3,078 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 278 | $ | 0 | $ | 0 | $ | 0 | $ | 278 | $ | (286 | ) | $ | (8 | ) | ||||||||||||||
TDM |
2,800 | 0 | 0 | 0 | 2,800 | (2,902 | ) | (102 | ) | |||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 3,078 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
82 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
(b) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency to |
Currency to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
07/2014 | GBP | 1,906 | $ | 3,235 | $ | 0 | $ | (27 | ) | ||||||||||||||||||||
07/2014 | NOK | 3,941 | 659 | 17 | 0 | |||||||||||||||||||||||||
07/2014 | NZD | 2,380 | 2,072 | 0 | (12 | ) | ||||||||||||||||||||||||
07/2014 | SEK | 6,003 | 897 | 0 | (1 | ) | ||||||||||||||||||||||||
08/2014 | $ | 3,234 | GBP | 1,906 | 27 | 0 | ||||||||||||||||||||||||
08/2014 | 2,066 | NZD | 2,380 | 12 | 0 | |||||||||||||||||||||||||
BPS |
07/2014 | MXN | 12,478 | $ | 944 | 0 | (16 | ) | ||||||||||||||||||||||
07/2014 | $ | 67 | CHF | 60 | 1 | 0 | ||||||||||||||||||||||||
07/2014 | 2,435 | GBP | 1,446 | 40 | 0 | |||||||||||||||||||||||||
07/2014 | 3,223 | NOK | 19,216 | 0 | (90 | ) | ||||||||||||||||||||||||
08/2014 | CHF | 60 | $ | 67 | 0 | (1 | ) | |||||||||||||||||||||||
08/2014 | MXN | 599 | 45 | 0 | (1 | ) | ||||||||||||||||||||||||
BRC |
07/2014 | $ | 1,239 | NZD | 1,453 | 33 | 0 | |||||||||||||||||||||||
08/2014 | 1,244 | NOK | 7,640 | 0 | 0 | |||||||||||||||||||||||||
CBK |
07/2014 | CHF | 60 | $ | 67 | 0 | (1 | ) | ||||||||||||||||||||||
07/2014 | $ | 653 | CNY | 4,042 | 1 | 0 | ||||||||||||||||||||||||
08/2014 | 837 | SEK | 5,628 | 5 | 0 | |||||||||||||||||||||||||
DUB |
07/2014 | HKD | 8,410 | $ | 1,085 | 0 | 0 | |||||||||||||||||||||||
07/2014 | $ | 1,133 | CAD | 1,234 | 24 | 0 | ||||||||||||||||||||||||
07/2014 | 1,085 | INR | 64,351 | 0 | (18 | ) | ||||||||||||||||||||||||
08/2014 | 656 | RUB | 23,010 | 15 | 0 | |||||||||||||||||||||||||
GLM |
07/2014 | 772 | GBP | 460 | 15 | 0 | ||||||||||||||||||||||||
07/2014 | 785 | NZD | 927 | 27 | 0 | |||||||||||||||||||||||||
08/2014 | MXN | 5,520 | $ | 419 | 0 | (5 | ) | |||||||||||||||||||||||
JPM |
07/2014 | BRL | 344 | 153 | 0 | (2 | ) | |||||||||||||||||||||||
07/2014 | JPY | 164,453 | 1,615 | 0 | (9 | ) | ||||||||||||||||||||||||
07/2014 | $ | 156 | BRL | 344 | 0 | 0 | ||||||||||||||||||||||||
07/2014 | 1,619 | JPY | 164,453 | 4 | 0 | |||||||||||||||||||||||||
07/2014 | 461 | PLN | 1,402 | 0 | 0 | |||||||||||||||||||||||||
08/2014 | JPY | 164,453 | $ | 1,620 | 0 | (4 | ) | |||||||||||||||||||||||
08/2014 | $ | 152 | BRL | 344 | 2 | 0 | ||||||||||||||||||||||||
08/2014 | 424 | RUB | 14,748 | 6 | 0 | |||||||||||||||||||||||||
10/2014 | 572 | ZAR | 6,282 | 8 | 0 | |||||||||||||||||||||||||
MSC |
07/2014 | CAD | 1,234 | $ | 1,154 | 0 | (2 | ) | ||||||||||||||||||||||
07/2014 | $ | 2,969 | HKD | 23,014 | 0 | 0 | ||||||||||||||||||||||||
07/2014 | 1,750 | SEK | 11,631 | 0 | (9 | ) | ||||||||||||||||||||||||
08/2014 | 1,153 | CAD | 1,234 | 3 | 0 | |||||||||||||||||||||||||
SCX |
07/2014 | 820 | MYR | 2,728 | 29 | 0 | ||||||||||||||||||||||||
UAG |
07/2014 | BRL | 344 | $ | 156 | 0 | 0 | |||||||||||||||||||||||
07/2014 | IDR | 79,783 | 7 | 0 | 0 | |||||||||||||||||||||||||
07/2014 | $ | 152 | BRL | 344 | 3 | 0 | ||||||||||||||||||||||||
07/2014 | 7 | IDR | 79,783 | 0 | 0 | |||||||||||||||||||||||||
07/2014 | 1,019 | INR | 63,884 | 40 | 0 | |||||||||||||||||||||||||
07/2014 | 83 | MXN | 1,093 | 1 | 0 | |||||||||||||||||||||||||
08/2014 | 1,244 | NOK | 7,640 | 0 | 0 | |||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 313 | $ | (198 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 83 |
Schedule of Investments PIMCO Foreign Currency Strategy Exchange-Traded Fund (Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2014:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
|||||||||||||||||||||||||||||||||||||
BOA |
$ | 56 | $ | 0 | $ | 0 | $ | 56 | $ | (40 | ) | $ | 0 | $ | 0 | $ | (40 | ) | $ | 16 | $ | 0 | $ | 16 | ||||||||||||||||||||||||
BPS |
41 | 0 | 0 | 41 | (108 | ) | 0 | 0 | (108 | ) | (67 | ) | 0 | (67 | ) | |||||||||||||||||||||||||||||||||
BRC |
33 | 0 | 0 | 33 | 0 | 0 | 0 | 0 | 33 | 0 | 33 | |||||||||||||||||||||||||||||||||||||
CBK |
6 | 0 | 0 | 6 | (1 | ) | 0 | 0 | (1 | ) | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||
DUB |
39 | 0 | 0 | 39 | (18 | ) | 0 | 0 | (18 | ) | 21 | 0 | 21 | |||||||||||||||||||||||||||||||||||
GLM |
42 | 0 | 0 | 42 | (5 | ) | 0 | 0 | (5 | ) | 37 | 0 | 37 | |||||||||||||||||||||||||||||||||||
JPM |
20 | 0 | 0 | 20 | (15 | ) | 0 | 0 | (15 | ) | 5 | 0 | 5 | |||||||||||||||||||||||||||||||||||
MSC |
3 | 0 | 0 | 3 | (11 | ) | 0 | 0 | (11 | ) | (8 | ) | 0 | (8 | ) | |||||||||||||||||||||||||||||||||
SCX |
29 | 0 | 0 | 29 | 0 | 0 | 0 | 0 | 29 | 0 | 29 | |||||||||||||||||||||||||||||||||||||
UAG |
44 | 0 | 0 | 44 | 0 | 0 | 0 | 0 | 44 | 0 | 44 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 313 | $ | 0 | $ | 0 | $ | 313 | $ | (198 | ) | $ | 0 | $ | 0 | $ | (198 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 313 | $ | 0 | $ | 313 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 198 | $ | 0 | $ | 198 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (393 | ) | $ | 0 | $ | (393 | ) | ||||||||||||
Net Change in
Unrealized Appreciation on Financial |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 671 | $ | 0 | $ | 671 |
84 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Brazil |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 1,409 | $ | 0 | $ | 1,409 | ||||||||||
Mexico |
||||||||||||||||||
Sovereign Issues |
0 | 2,860 | 0 | 2,860 | ||||||||||||||
New Zealand |
||||||||||||||||||
Sovereign Issues |
0 | 606 | 0 | 606 | ||||||||||||||
United States |
||||||||||||||||||
U.S. Treasury Obligations |
0 | 1,730 | 0 | 1,730 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 3,078 | 0 | 3,078 | ||||||||||||||
Short-Term Notes |
0 | 11,600 | 0 | 11,600 | ||||||||||||||
Total Investments |
$ | 0 | $ | 21,283 | $ | 0 | $ | 21,283 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 313 | $ | 0 | $ | 313 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (198 | ) | $ | 0 | $ | (198 | ) | ||||||||
Totals |
$ | 0 | $ | 21,398 | $ | 0 | $ | 21,398 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 85 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund
86 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(b) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
BPG |
0.140 | % | 06/30/2014 | 07/01/2014 | $ | 1,300 | U.S. Treasury Bonds 3.125% due 02/15/2043 | $ | (1,329 | ) | $ | 1,300 | $ | 1,300 | ||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | 570 | Freddie Mac 2.000% due 01/30/2023 | (585 | ) | 570 | 570 | ||||||||||||||||||||||
Total Repurchase Agreements |
$ | (1,914 | ) | $ | 1,870 | $ | 1,870 |
(1) |
Includes accrued interest. |
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BOS |
0.220 | % | 06/27/2014 | 07/03/2014 | $ | (318 | ) | $ | (318 | ) | ||||||||||||
Total Reverse Repurchase Agreements |
$ | (318 | ) |
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (2) |
Payable for Sale-Buyback Transactions (3) |
|||||||||||||||||
BPG |
0.160 | % | 06/09/2014 | 07/10/2014 | $ | (1,474 | ) | $ | (1,475 | ) | ||||||||||||
MSC |
0.280 | % | 06/30/2014 | 07/02/2014 | (1,909 | ) | (1,909 | ) | ||||||||||||||
TDM |
0.110 | % | 04/25/2014 | 07/10/2014 | (5,975 | ) | (5,987 | ) | ||||||||||||||
0.110 | % | 05/21/2014 | 07/17/2014 | (527 | ) | (528 | ) | |||||||||||||||
0.160 | % | 06/12/2014 | 07/11/2014 | (4,915 | ) | (4,923 | ) | |||||||||||||||
Total Sale-Buyback Transactions |
$ | (14,822 | ) |
(2) |
The average amount of borrowings outstanding during the period ended June 30, 2014 was $11,327 at a weighted average interest rate of 0.105%. |
(3) |
Payable for sale-buyback transactions includes $19 of deferred price drop on sale-buyback transactions. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 87 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund (Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2014:
(c) | Securities with an aggregate market value of $15,135 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (4) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BOS |
$ | 0 | $ | (318 | ) | $ | 0 | $ | 0 | $ | (318 | ) | $ | 318 | $ | 0 | ||||||||||||||
BPG |
1,300 | 0 | 0 | 0 | 1,300 | (1,329 | ) | (29 | ) | |||||||||||||||||||||
SSB |
570 | 0 | 0 | 0 | 570 | (585 | ) | (15 | ) | |||||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
BPG |
0 | 0 | (1,475 | ) | 0 | (1,475 | ) | 1,484 | 9 | |||||||||||||||||||||
MSC |
0 | 0 | (1,909 | ) | 0 | (1,909 | ) | 1,909 | 0 | |||||||||||||||||||||
TDM |
0 | 0 | (11,438 | ) | 0 | (11,438 | ) | 11,424 | (14 | ) | ||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 1,870 | $ | (318 | ) | $ | (14,822 | ) | $ | 0 |
(4) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
(d) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
AZD |
07/2014 | NZD | 3,416 | $ | 2,909 | $ | 0 | $ | (81 | ) | ||||||||||||||||||||
BOA |
07/2014 | AUD | 308 | 285 | 0 | (6 | ) | |||||||||||||||||||||||
08/2014 | CLP | 703,071 | 1,253 | 0 | (12 | ) | ||||||||||||||||||||||||
10/2014 | COP | 1,302,778 | 664 | 0 | (24 | ) | ||||||||||||||||||||||||
BPS |
07/2014 | EUR | 73 | PLN | 308 | 1 | 0 | |||||||||||||||||||||||
08/2014 | $ | 1,541 | AUD | 1,639 | 1 | 0 | ||||||||||||||||||||||||
08/2014 | 365 | EUR | 269 | 4 | 0 | |||||||||||||||||||||||||
BRC |
07/2014 | 2,544 | PLN | 7,750 | 4 | 0 | ||||||||||||||||||||||||
08/2014 | DKK | 29,737 | $ | 5,531 | 75 | (6 | ) | |||||||||||||||||||||||
08/2014 | EUR | 9,461 | 12,921 | 0 | (37 | ) | ||||||||||||||||||||||||
08/2014 | SEK | 3,875 | 596 | 16 | 0 | |||||||||||||||||||||||||
09/2014 | GBP | 1,421 | 2,385 | 0 | (45 | ) | ||||||||||||||||||||||||
10/2014 | ZAR | 3,597 | 328 | 0 | (5 | ) | ||||||||||||||||||||||||
CBK |
07/2014 | $ | 185 | AUD | 198 | 2 | 0 | |||||||||||||||||||||||
08/2014 | EUR | 972 | $ | 1,324 | 0 | (7 | ) | |||||||||||||||||||||||
10/2014 | BRL | 13,085 | 5,587 | 0 | (183 | ) | ||||||||||||||||||||||||
DUB |
07/2014 | $ | 326 | INR | 19,898 | 4 | 0 | |||||||||||||||||||||||
07/2014 | 2,973 | NZD | 3,416 | 17 | 0 | |||||||||||||||||||||||||
08/2014 | NZD | 3,416 | $ | 2,964 | 0 | (17 | ) | |||||||||||||||||||||||
08/2014 | $ | 1,260 | EUR | 923 | 4 | 0 | ||||||||||||||||||||||||
08/2014 | 1,055 | SEK | 7,120 | 10 | 0 | |||||||||||||||||||||||||
09/2014 | 2,075 | ILS | 7,217 | 27 | 0 | |||||||||||||||||||||||||
10/2014 | COP | 3,362,597 | $ | 1,717 | 0 | (59 | ) | |||||||||||||||||||||||
FBF |
07/2014 | KRW | 198,772 | 194 | 0 | (2 | ) | |||||||||||||||||||||||
07/2014 | $ | 7 | INR | 428 | 0 | 0 | ||||||||||||||||||||||||
10/2014 | COP | 190,650 | $ | 99 | 0 | (1 | ) | |||||||||||||||||||||||
GLM |
07/2014 | JPY | 130,200 | 1,282 | 0 | (3 | ) |
88 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
Counterparty |
Settlement |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
07/2014 | $ | 295 | INR | 18,095 | $ | 5 | $ | 0 | ||||||||||||||||||||||
08/2014 | 2,366 | MXN | 31,168 | 27 | 0 | |||||||||||||||||||||||||
09/2014 | 1,301 | 16,965 | 0 | (1 | ) | |||||||||||||||||||||||||
HUS |
07/2014 | EUR | 128 | PLN | 541 | 2 | 0 | |||||||||||||||||||||||
07/2014 | $ | 305 | INR | 18,690 | 5 | 0 | ||||||||||||||||||||||||
10/2014 | BRL | 442 | $ | 185 | 0 | (10 | ) | |||||||||||||||||||||||
JPM |
07/2014 | 1,917 | 856 | 0 | (11 | ) | ||||||||||||||||||||||||
07/2014 | JPY | 877,206 | 8,637 | 0 | (22 | ) | ||||||||||||||||||||||||
07/2014 | PLN | 503 | 166 | 0 | 0 | |||||||||||||||||||||||||
07/2014 | $ | 870 | BRL | 1,917 | 0 | (3 | ) | |||||||||||||||||||||||
07/2014 | 365 | INR | 22,195 | 5 | (2 | ) | ||||||||||||||||||||||||
07/2014 | 9,891 | JPY | 1,007,406 | 53 | 0 | |||||||||||||||||||||||||
07/2014 | 4,400 | TRY | 9,378 | 13 | 0 | |||||||||||||||||||||||||
08/2014 | 849 | BRL | 1,917 | 11 | 0 | |||||||||||||||||||||||||
08/2014 | 8,639 | JPY | 877,206 | 22 | 0 | |||||||||||||||||||||||||
10/2014 | BRL | 390 | $ | 163 | 0 | (9 | ) | |||||||||||||||||||||||
10/2014 | ZAR | 39,702 | 3,622 | 3 | (49 | ) | ||||||||||||||||||||||||
RBC |
09/2014 | $ | 2,743 | CAD | 2,982 | 46 | 0 | |||||||||||||||||||||||
SOG |
07/2014 | AUD | 6,856 | $ | 6,331 | 0 | (134 | ) | ||||||||||||||||||||||
07/2014 | $ | 6,567 | AUD | 6,966 | 1 | 0 | ||||||||||||||||||||||||
07/2014 | 111 | INR | 6,663 | 0 | (1 | ) | ||||||||||||||||||||||||
08/2014 | AUD | 6,966 | $ | 6,552 | 0 | (1 | ) | |||||||||||||||||||||||
UAG |
07/2014 | BRL | 1,917 | 871 | 3 | 0 | ||||||||||||||||||||||||
07/2014 | $ | 852 | BRL | 1,917 | 16 | 0 | ||||||||||||||||||||||||
07/2014 | 270 | INR | 16,559 | 5 | 0 | |||||||||||||||||||||||||
07/2014 | 5,113 | KRW | 5,552,902 | 371 | 0 | |||||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 753 | $ | (731 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2014:
Counterparty |
Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
||||||||||||||||||||||||||||||||||||||
AZD |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (81 | ) | $ | 0 | $ | 0 | $ | (81 | ) | $ | (81 | ) | $ | 0 | $ | (81 | ) | ||||||||||||||||||||||
BOA |
0 | 0 | 0 | 0 | (42 | ) | 0 | 0 | (42 | ) | (42 | ) | 0 | (42 | ) | |||||||||||||||||||||||||||||||||
BPS |
6 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 6 | 0 | 6 | |||||||||||||||||||||||||||||||||||||
BRC |
95 | 0 | 0 | 95 | (93 | ) | 0 | 0 | (93 | ) | 2 | 0 | 2 | |||||||||||||||||||||||||||||||||||
CBK |
2 | 0 | 0 | 2 | (190 | ) | 0 | 0 | (190 | ) | (188 | ) | 0 | (188 | ) | |||||||||||||||||||||||||||||||||
DUB |
62 | 0 | 0 | 62 | (76 | ) | 0 | 0 | (76 | ) | (14 | ) | 0 | (14 | ) | |||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | (3 | ) | 0 | 0 | (3 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
GLM |
32 | 0 | 0 | 32 | (4 | ) | 0 | 0 | (4 | ) | 28 | 0 | 28 | |||||||||||||||||||||||||||||||||||
HUS |
7 | 0 | 0 | 7 | (10 | ) | 0 | 0 | (10 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
JPM |
107 | 0 | 0 | 107 | (96 | ) | 0 | 0 | (96 | ) | 11 | 0 | 11 | |||||||||||||||||||||||||||||||||||
RBC |
46 | 0 | 0 | 46 | 0 | 0 | 0 | 0 | 46 | 0 | 46 | |||||||||||||||||||||||||||||||||||||
SOG |
1 | 0 | 0 | 1 | (136 | ) | 0 | 0 | (136 | ) | (135 | ) | 0 | (135 | ) | |||||||||||||||||||||||||||||||||
UAG |
395 | 0 | 0 | 395 | 0 | 0 | 0 | 0 | 395 | (280 | ) | 115 | ||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 753 | $ | 0 | $ | 0 | $ | 753 | $ | (731 | ) | $ | 0 | $ | 0 | $ | (731 | ) |
(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 | ANNUAL REPORT | JUNE 30, 2014 | 89 |
Schedule of Investments PIMCO Global Advantage® Inflation-Linked Bond 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 June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 753 | $ | 0 | $ | 753 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 731 | $ | 0 | $ | 731 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (674 | ) | $ | 0 | $ | (674 | ) | ||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (121 | ) | $ | 0 | $ | (121 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Australia |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 8,488 | $ | 0 | $ | 8,488 | ||||||||||
Brazil |
||||||||||||||||||
Sovereign Issues |
0 | 25,585 | 0 | 25,585 | ||||||||||||||
Canada |
||||||||||||||||||
Sovereign Issues |
0 | 1,438 | 0 | 1,438 | ||||||||||||||
Chile |
||||||||||||||||||
Sovereign Issues |
0 | 3,060 | 0 | 3,060 | ||||||||||||||
Colombia |
||||||||||||||||||
Sovereign Issues |
0 | 5,130 | 0 | 5,130 | ||||||||||||||
Denmark |
||||||||||||||||||
Sovereign Issues |
0 | 5,751 | 0 | 5,751 | ||||||||||||||
France |
||||||||||||||||||
Sovereign Issues |
0 | 5,018 | 0 | 5,018 | ||||||||||||||
Germany |
||||||||||||||||||
Sovereign Issues |
0 | 13,416 | 0 | 13,416 | ||||||||||||||
India |
||||||||||||||||||
Corporate Bonds & Notes |
0 | 1,312 | 0 | 1,312 | ||||||||||||||
Italy |
||||||||||||||||||
Sovereign Issues |
0 | 18,445 | 0 | 18,445 |
90 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Mexico |
||||||||||||||||||
Sovereign Issues |
$ | 0 | $ | 7,324 | $ | 0 | $ | 7,324 | ||||||||||
New Zealand |
||||||||||||||||||
Sovereign Issues |
0 | 2,969 | 0 | 2,969 | ||||||||||||||
Poland |
||||||||||||||||||
Sovereign Issues |
0 | 1,771 | 0 | 1,771 | ||||||||||||||
Slovenia |
||||||||||||||||||
Sovereign Issues |
0 | 297 | 0 | 297 | ||||||||||||||
South Africa |
||||||||||||||||||
Sovereign Issues |
0 | 6,681 | 0 | 6,681 | ||||||||||||||
Spain |
||||||||||||||||||
Sovereign Issues |
0 | 1,010 | 0 | 1,010 | ||||||||||||||
Sweden |
||||||||||||||||||
Sovereign Issues |
0 | 932 | 0 | 932 | ||||||||||||||
Turkey |
||||||||||||||||||
Sovereign Issues |
0 | 1,527 | 0 | 1,527 | ||||||||||||||
United Kingdom |
||||||||||||||||||
Sovereign Issues |
0 | 8,802 | 0 | 8,802 | ||||||||||||||
United States |
||||||||||||||||||
U.S. Treasury Obligations |
0 | 30,592 | 0 | 30,592 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 1,870 | 0 | 1,870 | ||||||||||||||
Short-Term Notes |
0 | 700 | 0 | 700 | ||||||||||||||
Total Investments |
$ | 0 | $ | 152,118 | $ | 0 | $ | 152,118 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 753 | $ | 0 | $ | 753 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (731 | ) | $ | 0 | $ | (731 | ) | ||||||||
Totals |
$ | 0 | $ | 152,140 | $ | 0 | $ | 152,140 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 91 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund
92 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 93 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(a) | When-issued security. |
(b) | Coupon represents a weighted average yield to maturity. |
94 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate |
Settlement Date |
Maturity Date |
Principal Amount |
Collateralized By | Collateral Received, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 513 | Freddie Mac 2.000% due 01/30/2023 | $ | (524 | ) | $ | 513 | $ | 513 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (524 | ) | $ | 513 | $ | 513 |
(1) |
Includes accrued interest. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 513 | $ | 0 | $ | 0 | $ | 0 | $ | 513 | $ | (524 | ) | $ | (11 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 513 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Alabama |
$ | 0 | $ | 1,881 | $ | 0 | $ | 1,881 | ||||||||||
Arizona |
0 | 2,916 | 0 | 2,916 | ||||||||||||||
Arkansas |
0 | 367 | 0 | 367 | ||||||||||||||
California |
0 | 25,800 | 0 | 25,800 | ||||||||||||||
Colorado |
0 | 287 | 0 | 287 | ||||||||||||||
District of Columbia |
0 | 1,162 | 0 | 1,162 | ||||||||||||||
Florida |
0 | 11,519 | 0 | 11,519 | ||||||||||||||
Georgia |
0 | 1,554 | 0 | 1,554 | ||||||||||||||
Illinois |
0 | 12,993 | 0 | 12,993 | ||||||||||||||
Indiana |
0 | 6,259 | 0 | 6,259 | ||||||||||||||
Iowa |
0 | 544 | 0 | 544 | ||||||||||||||
Kansas |
0 | 568 | 0 | 568 | ||||||||||||||
Kentucky |
0 | 2,047 | 0 | 2,047 | ||||||||||||||
Maryland |
0 | 72 | 0 | 72 | ||||||||||||||
Massachusetts |
0 | 8,494 | 0 | 8,494 | ||||||||||||||
Michigan |
0 | 3,172 | 0 | 3,172 | ||||||||||||||
Minnesota |
0 | 1,117 | 0 | 1,117 | ||||||||||||||
Missouri |
0 | 3,626 | 0 | 3,626 | ||||||||||||||
Nevada |
0 | 2,287 | 0 | 2,287 | ||||||||||||||
New Hampshire |
0 | 1,602 | 0 | 1,602 | ||||||||||||||
New Jersey |
0 | 7,940 | 0 | 7,940 | ||||||||||||||
New Mexico |
0 | 565 | 0 | 565 | ||||||||||||||
New York |
0 | 28,730 | 0 | 28,730 |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 95 |
Schedule of Investments PIMCO Intermediate Municipal Bond Exchange-Traded Fund (Cont.)
June 30, 2014
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
North Carolina |
$ | 0 | $ | 6,242 | $ | 0 | $ | 6,242 | ||||||||||
Ohio |
0 | 15,937 | 0 | 15,937 | ||||||||||||||
Oregon |
0 | 556 | 0 | 556 | ||||||||||||||
Pennsylvania |
0 | 10,443 | 0 | 10,443 | ||||||||||||||
South Carolina |
0 | 256 | 0 | 256 | ||||||||||||||
Tennessee |
0 | 2,139 | 0 | 2,139 | ||||||||||||||
Texas |
0 | 25,782 | 0 | 25,782 | ||||||||||||||
Washington |
0 | 4,229 | 0 | 4,229 | ||||||||||||||
Wisconsin |
0 | 1,217 | 0 | 1,217 | ||||||||||||||
U.S. Treasury Obligations |
0 | 1,201 | 0 | 1,201 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 513 | 0 | 513 | ||||||||||||||
U.S. Treasury Bills |
0 | 17,298 | 0 | 17,298 | ||||||||||||||
Total Investments |
$ | 0 | $ | 211,315 | $ | 0 | $ | 211,315 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
96 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 97 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
98 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
(a) | When-issued security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
JPS |
(1.300 | %) | 06/30/2014 | 07/01/2014 | $ | (20,175 | ) | $ | (20,174 | ) | ||||||||||||
Total Reverse Repurchase Agreements |
$ | (20,174 | ) |
(1) |
As of June 30, 2014, there were no open sale-buyback transactions. The average amount of borrowings outstanding during the period ended June 30, 2014 was $3,661 at a weighted average interest rate of (0.336%). |
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 June 30, 2014:
(b) | Securities with an aggregate market value of $20,182 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
JPS |
$ | 0 | $ | (20,174 | ) | $ | 0 | $ | 0 | $ | (20,174 | ) | $ | 20,182 | $ | 8 | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 0 | $ | (20,174 | ) | $ | 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. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 99 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
(c) 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 |
07/2014 | AUD | 1,013 | $ | 946 | $ | 0 | $ | (9 | ) | ||||||||||||||||||||
07/2014 | JPY | 49,400 | 485 | 0 | (3 | ) | ||||||||||||||||||||||||
BPS |
07/2014 | MXN | 7,900 | 595 | 0 | (14 | ) | |||||||||||||||||||||||
07/2014 | $ | 592 | MXN | 7,832 | 11 | 0 | ||||||||||||||||||||||||
BRC |
07/2014 | JPY | 234,100 | $ | 2,305 | 0 | (6 | ) | ||||||||||||||||||||||
07/2014 | $ | 2,792 | JPY | 283,500 | 7 | 0 | ||||||||||||||||||||||||
08/2014 | EUR | 1,344 | $ | 1,832 | 0 | (9 | ) | |||||||||||||||||||||||
08/2014 | JPY | 283,500 | 2,792 | 0 | (7 | ) | ||||||||||||||||||||||||
03/2015 | EUR | 100 | 137 | 0 | 0 | |||||||||||||||||||||||||
CBK |
08/2014 | AUD | 1,004 | 941 | 0 | (3 | ) | |||||||||||||||||||||||
FBF |
08/2014 | EUR | 343 | 465 | 0 | (5 | ) | |||||||||||||||||||||||
RBC |
08/2014 | $ | 4 | MXN | 50 | 0 | 0 | |||||||||||||||||||||||
UAG |
08/2014 | EUR | 1,004 | $ | 1,370 | 0 | (5 | ) | ||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 18 | $ | (61 | ) |
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of June 30, 2014:
Counterparty |
Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (12 | ) | $ | 0 | $ | 0 | $ | (12 | ) | $ | (12 | ) | $ | 0 | $ | (12 | ) | ||||||||||||||||||||||
BPS |
11 | 0 | 0 | 11 | (14 | ) | 0 | 0 | (14 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
BRC |
7 | 0 | 0 | 7 | (22 | ) | 0 | 0 | (22 | ) | (15 | ) | 0 | (15 | ) | |||||||||||||||||||||||||||||||||
CBK |
0 | 0 | 0 | 0 | (3 | ) | 0 | 0 | (3 | ) | (3 | ) | 0 | (3 | ) | |||||||||||||||||||||||||||||||||
FBF |
0 | 0 | 0 | 0 | (5 | ) | 0 | 0 | (5 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
UAG |
0 | 0 | 0 | 0 | (5 | ) | 0 | 0 | (5 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
Total |
$ | 18 | $ | 0 | $ | 0 | $ | 18 | $ | (61 | ) | $ | 0 | $ | 0 | $ | (61 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 18 | $ | 0 | $ | 18 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 61 | $ | 0 | $ | 61 |
100 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 7 | $ | 0 | $ | 7 | ||||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (43 | ) | $ | 0 | $ | (43 | ) |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 53,253 | $ | 250 | $ | 53,503 | ||||||||||
Industrials |
0 | 32,835 | 0 | 32,835 | ||||||||||||||
Utilities |
0 | 15,130 | 0 | 15,130 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
New York |
0 | 202 | 0 | 202 | ||||||||||||||
U.S. Treasury Obligations |
0 | 32,771 | 0 | 32,771 | ||||||||||||||
Mortgage-Backed Securities |
0 | 4,000 | 1,300 | 5,300 | ||||||||||||||
Asset-Backed Securities |
0 | 6,903 | 300 | 7,203 | ||||||||||||||
Sovereign Issues |
0 | 7,456 | 0 | 7,456 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 3,201 | 1,000 | 4,201 | ||||||||||||||
Commercial Paper |
0 | 1,098 | 0 | 1,098 | ||||||||||||||
Total Investments |
$ | 0 | $ | 156,849 | $ | 2,850 | $ | 159,699 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 18 | $ | 0 | $ | 18 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (61 | ) | $ | 0 | $ | (61 | ) | ||||||||
Totals |
$ | 0 | $ | 156,806 | $ | 2,850 | $ | 159,656 |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
Category and Subcategory | Beginning Balance at 01/22/2014 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2014 (1) |
||||||||||||||||||||||||||||||||
Investments in |
||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
$ | 0 | $ | 250 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 250 | $ | 0 | ||||||||||||||||||||||
Mortgage-Backed Securities |
0 | 1,300 | 0 | 0 | 0 | 0 | 0 | 0 | 1,300 | 0 | ||||||||||||||||||||||||||||||||
Asset-Backed Securities |
0 | 300 | 0 | 0 | 0 | 0 | 0 | 0 | 300 | 0 | ||||||||||||||||||||||||||||||||
Short-Term Instruments |
||||||||||||||||||||||||||||||||||||||||||
Certificates of Deposit |
0 | 1,000 | 0 | 0 | 0 | 0 | 0 | 0 | 1,000 | 0 | ||||||||||||||||||||||||||||||||
Totals |
$ | 0 | $ | 2,850 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,850 | $ | 0 |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 101 |
Schedule of Investments PIMCO Low Duration Exchange-Traded Fund (Cont.)
June 30, 2014
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 06/30/2014 |
Valuation Technique |
Unobservable Inputs |
Input Value(s) (% Unless Noted Otherwise) |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 250 | Benchmark Pricing | Base Price | 100.00 | |||||||||||||
Mortgage-Backed Securities |
1,300 | Benchmark Pricing | Base Price | 100.00 | ||||||||||||||
Asset-Backed Securities |
300 | Benchmark Pricing | Base Price | 100.00 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
1,000 | Benchmark Pricing | Base Price | 100.00 | ||||||||||||||
Total |
$ | 2,850 |
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
102 | PIMCO ETF TRUST | See Accompanying Notes |
Schedule of Investments PIMCO Short Term Municipal Bond Exchange-Traded Fund
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 103 |
Schedule of Investments PIMCO Short Term Municipal Bond Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS):
(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, at Value |
Repurchase Agreements, at Value |
Repurchase Agreement Proceeds to be Received (1) |
||||||||||||||||||||||||
SSB |
0.000 | % | 06/30/2014 | 07/01/2014 | $ | 425 | Freddie Mac 2.000% due 01/30/2023 | $ | (435 | ) | $ | 425 | $ | 425 | ||||||||||||||||||
Total Repurchase Agreements |
$ | (435 | ) | $ | 425 | $ | 425 |
(1) |
Includes accrued interest. |
104 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received) as of June 30, 2014:
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received) |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
SSB |
$ | 425 | $ | 0 | $ | 0 | $ | 0 | $ | 425 | $ | (435 | ) | $ | (10 | ) | ||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 425 | $ | 0 | $ | 0 | $ | 0 |
(2) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
Arizona |
$ | 0 | $ | 2,700 | $ | 0 | $ | 2,700 | ||||||||||
California |
0 | 3,331 | 0 | 3,331 | ||||||||||||||
Connecticut |
0 | 1,688 | 0 | 1,688 | ||||||||||||||
Florida |
0 | 9,172 | 0 | 9,172 | ||||||||||||||
Georgia |
0 | 1,583 | 0 | 1,583 | ||||||||||||||
Illinois |
0 | 1,117 | 0 | 1,117 | ||||||||||||||
Indiana |
0 | 1,016 | 0 | 1,016 | ||||||||||||||
Louisiana |
0 | 502 | 0 | 502 | ||||||||||||||
Massachusetts |
0 | 1,003 | 0 | 1,003 | ||||||||||||||
Michigan |
0 | 1,021 | 0 | 1,021 | ||||||||||||||
Minnesota |
0 | 3,112 | 0 | 3,112 | ||||||||||||||
Nebraska |
0 | 1,547 | 0 | 1,547 | ||||||||||||||
Nevada |
0 | 4,376 | 0 | 4,376 | ||||||||||||||
New York |
0 | 12,389 | 0 | 12,389 | ||||||||||||||
North Carolina |
0 | 2,588 | 0 | 2,588 | ||||||||||||||
Ohio |
0 | 4,690 | 0 | 4,690 | ||||||||||||||
Oklahoma |
0 | 472 | 0 | 472 | ||||||||||||||
Oregon |
0 | 1,317 | 0 | 1,317 | ||||||||||||||
Pennsylvania |
0 | 3,530 | 0 | 3,530 | ||||||||||||||
South Carolina |
0 | 267 | 0 | 267 | ||||||||||||||
Tennessee |
0 | 1,345 | 0 | 1,345 | ||||||||||||||
Texas |
0 | 7,704 | 0 | 7,704 | ||||||||||||||
Utah |
0 | 1,456 | 0 | 1,456 | ||||||||||||||
Virginia |
0 | 1,522 | 0 | 1,522 | ||||||||||||||
Washington |
0 | 3,410 | 0 | 3,410 | ||||||||||||||
Wisconsin |
0 | 1,239 | 0 | 1,239 | ||||||||||||||
U.S. Treasury Obligations |
0 | 2,203 | 0 | 2,203 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Repurchase Agreements |
0 | 425 | 0 | 425 | ||||||||||||||
Total Investments |
$ | 0 | $ | 76,725 | $ | 0 | $ | 76,725 |
There were no significant transfers between Level 1, 2, and 3 during the period ended June 30, 2014.
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 105 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund
106 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 107 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
108 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 109 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*):
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | Coupon represents a weighted average yield to maturity. |
(d) | Principal amount of security is adjusted for inflation. |
(e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
BCY |
0.260 | % | 06/23/2014 | 07/24/2014 | $ | (87,343 | ) | $ | (87,348 | ) | ||||||||||||
BPG |
0.330 | % | 06/11/2014 | 07/11/2014 | (28,038 | ) | (28,043 | ) | ||||||||||||||
0.330 | % | 06/16/2014 | 07/16/2014 | (56,891 | ) | (56,899 | ) | |||||||||||||||
0.330 | % | 06/19/2014 | 07/08/2014 | (66,737 | ) | (66,744 | ) | |||||||||||||||
0.330 | % | 06/24/2014 | 07/10/2014 | (38,811 | ) | (38,814 | ) | |||||||||||||||
0.330 | % | 06/26/2014 | 07/11/2014 | (11,874 | ) | (11,875 | ) | |||||||||||||||
DEU |
0.260 | % | 06/10/2014 | 07/10/2014 | (15,906 | ) | (15,908 | ) | ||||||||||||||
0.290 | % | 06/20/2014 | 07/11/2014 | (49,688 | ) | (49,692 | ) | |||||||||||||||
0.310 | % | 06/10/2014 | 07/10/2014 | (16,094 | ) | (16,097 | ) | |||||||||||||||
MSC |
0.220 | % | 06/12/2014 | 07/11/2014 | (109,778 | ) | (109,791 | ) |
110 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Reverse Repurchase Agreements |
|||||||||||||||||
SOG |
0.220 | % | 07/02/2014 | 07/11/2014 | $ | (69,155 | ) | $ | (69,155 | ) | ||||||||||||
0.250 | % | 06/25/2014 | 07/02/2014 | (68,582 | ) | (68,585 | ) | |||||||||||||||
UBS |
0.320 | % | 06/18/2014 | 07/18/2014 | (31,991 | ) | (31,995 | ) | ||||||||||||||
0.350 | % | 06/18/2014 | 07/18/2014 | (28,785 | ) | (28,789 | ) | |||||||||||||||
Total Reverse Repurchase Agreements |
$ | (679,735 | ) |
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate |
Borrowing Date |
Maturity Date |
Amount Borrowed (1) |
Payable for Sale-Buyback Transactions |
|||||||||||||||||
MSC |
0.100 | % | 06/30/2014 | 07/01/2014 | $ | (96,551 | ) | $ | (96,551 | ) | ||||||||||||
Total Sale-Buyback Transactions |
$ | (96,551 | ) |
(1) |
The average amount of borrowings outstanding during the period ended June 30, 2014 was $632,356 at a weighted average interest rate of 0.064%. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral (received)/pledged as of June 30, 2014:
(f) | Securities with an aggregate market value of $798,938 have been pledged as collateral under the terms of the following master agreements as of June 30, 2014. |
Counterparty | Repurchase Agreement Proceeds to be Received |
Payable for Reverse Repurchase Agreements |
Payable for Sale-Buyback Transactions |
Securities Out on Loan |
Total Borrowings and Other Financing Transactions |
Collateral (Received)/ Pledged |
Net Exposure (2) |
|||||||||||||||||||||||
Global/Master Repurchase Agreement |
||||||||||||||||||||||||||||||
BCY |
$ | 0 | $ | (87,348 | ) | $ | 0 | $ | 0 | $ | (87,348 | ) | $ | 90,071 | $ | 2,723 | ||||||||||||||
BPG |
0 | (202,375 | ) | 0 | 0 | (202,375 | ) | 211,115 | 8,740 | |||||||||||||||||||||
DEU |
0 | (81,697 | ) | 0 | 0 | (81,697 | ) | 84,952 | 3,255 | |||||||||||||||||||||
MSC |
0 | (109,791 | ) | 0 | 0 | (109,791 | ) | 113,120 | 3,329 | |||||||||||||||||||||
SOG |
0 | (137,740 | ) | 0 | 0 | (137,740 | ) | 136,726 | (1,014 | ) | ||||||||||||||||||||
UBS |
0 | (60,784 | ) | 0 | 0 | (60,784 | ) | 0 | (60,784 | ) | ||||||||||||||||||||
ULW |
0 | 0 | 0 | 0 | 0 | 63,812 | 63,812 | |||||||||||||||||||||||
Master Securities Forward Transaction Agreement |
||||||||||||||||||||||||||||||
BPG |
0 | 0 | 0 | 0 | 0 | (251 | ) | (251 | ) | |||||||||||||||||||||
MSC |
0 | 0 | (96,551 | ) | 0 | (96,551 | ) | 96,212 | (339 | ) | ||||||||||||||||||||
Total Borrowings and Other Financing Transactions |
$ | 0 | $ | (679,735 | ) | $ | (96,551 | ) | $ | 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. |
(g) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty |
Settlement |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
BOA |
07/2014 | GBP | 157,280 | $ | 264,545 | $ | 0 | $ | (4,624 | ) | ||||||||||||||||||||
07/2014 | $ | 69,538 | EUR | 51,179 | 541 | 0 | ||||||||||||||||||||||||
06/2015 | EUR | 20,880 | $ | 28,389 | 0 | (253 | ) | |||||||||||||||||||||||
06/2016 | 58,878 | 80,612 | 0 | (733 | ) | |||||||||||||||||||||||||
BPS |
07/2014 | 1,557 | 2,111 | 0 | (21 | ) | ||||||||||||||||||||||||
07/2014 | $ | 2,456 | EUR | 1,806 | 17 | 0 |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 111 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
Counterparty |
Settlement |
Currency
to |
Currency
to |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||
04/2015 | BRL | 229 | $ | 93 | $ | 0 | $ | (3 | ) | |||||||||||||||||||||
06/2015 | EUR | 9,381 | 12,722 | 0 | (146 | ) | ||||||||||||||||||||||||
BRC |
07/2014 | 8,054 | 10,948 | 0 | (80 | ) | ||||||||||||||||||||||||
07/2014 | GBP | 6,023 | 10,221 | 0 | (87 | ) | ||||||||||||||||||||||||
07/2014 | JPY | 195,300 | 1,915 | 0 | (13 | ) | ||||||||||||||||||||||||
07/2014 | $ | 55,634 | EUR | 41,001 | 509 | 0 | ||||||||||||||||||||||||
08/2014 | CHF | 1,902 | $ | 2,164 | 18 | 0 | ||||||||||||||||||||||||
08/2014 | EUR | 5,486 | 7,493 | 0 | (20 | ) | ||||||||||||||||||||||||
06/2015 | 12,039 | 16,356 | 0 | (158 | ) | |||||||||||||||||||||||||
06/2016 | 11,049 | 15,193 | 0 | (76 | ) | |||||||||||||||||||||||||
CBK |
07/2014 | 2,836 | 3,856 | 0 | (27 | ) | ||||||||||||||||||||||||
07/2014 | JPY | 20,249,999 | 198,995 | 0 | (897 | ) | ||||||||||||||||||||||||
07/2014 | MXN | 86,762 | 6,637 | 0 | (40 | ) | ||||||||||||||||||||||||
07/2014 | $ | 12,709 | EUR | 9,381 | 136 | 0 | ||||||||||||||||||||||||
09/2014 | CAD | 73,357 | $ | 67,375 | 0 | (1,241 | ) | |||||||||||||||||||||||
DUB |
07/2014 | EUR | 491,138 | 668,913 | 0 | (3,602 | ) | |||||||||||||||||||||||
07/2014 | $ | 8,409 | EUR | 6,201 | 83 | 0 | ||||||||||||||||||||||||
07/2014 | 273,406 | GBP | 160,873 | 1,912 | 0 | |||||||||||||||||||||||||
07/2014 | 201,552 | JPY | 20,445,299 | 267 | 0 | |||||||||||||||||||||||||
08/2014 | GBP | 159,380 | $ | 270,797 | 0 | (1,893 | ) | |||||||||||||||||||||||
08/2014 | JPY | 20,445,299 | 201,597 | 0 | (274 | ) | ||||||||||||||||||||||||
06/2016 | EUR | 6,201 | 8,490 | 0 | (76 | ) | ||||||||||||||||||||||||
FBF |
07/2014 | $ | 467,784 | EUR | 343,044 | 1,946 | 0 | |||||||||||||||||||||||
08/2014 | EUR | 325,907 | $ | 444,628 | 0 | (1,693 | ) | |||||||||||||||||||||||
04/2015 | BRL | 10,872 | 4,413 | 0 | (161 | ) | ||||||||||||||||||||||||
06/2015 | EUR | 17,137 | 23,260 | 0 | (248 | ) | ||||||||||||||||||||||||
GLM |
07/2014 | 9,200 | 12,554 | 0 | (43 | ) | ||||||||||||||||||||||||
08/2014 | MXN | 182,483 | 13,853 | 0 | (161 | ) | ||||||||||||||||||||||||
09/2014 | 139,287 | 10,680 | 4 | 0 | ||||||||||||||||||||||||||
HUS |
07/2014 | $ | 16,506 | EUR | 12,178 | 170 | 0 | |||||||||||||||||||||||
04/2015 | BRL | 10,899 | $ | 4,425 | 0 | (160 | ) | |||||||||||||||||||||||
JPM |
07/2014 | EUR | 25,083 | 34,032 | 0 | (314 | ) | |||||||||||||||||||||||
07/2014 | $ | 4,121 | GBP | 2,430 | 37 | 0 | ||||||||||||||||||||||||
08/2014 | 13,576 | EUR | 9,985 | 98 | 0 | |||||||||||||||||||||||||
MSC |
07/2014 | 21,248 | 15,595 | 106 | 0 | |||||||||||||||||||||||||
06/2016 | EUR | 15,595 | $ | 21,449 | 0 | (96 | ) | |||||||||||||||||||||||
NAB |
07/2014 | $ | 62,462 | EUR | 45,964 | 477 | 0 | |||||||||||||||||||||||
06/2015 | EUR | 23,639 | $ | 32,095 | 0 | (332 | ) | |||||||||||||||||||||||
06/2016 | 33,844 | 46,470 | 0 | (293 | ) | |||||||||||||||||||||||||
RBC |
08/2014 | $ | 49,449 | MXN | 655,600 | 898 | 0 | |||||||||||||||||||||||
09/2014 | CAD | 182,277 | $ | 167,674 | 0 | (2,823 | ) | |||||||||||||||||||||||
UAG |
07/2014 | $ | 15,589 | EUR | 11,519 | 184 | 0 | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts |
$ | 7,403 | $ | (20,588 | ) |
112 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
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 June 30, 2014:
(h) | Securities with an aggregate market value of $8,418 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of June 30, 2014. |
Counterparty | Financial Derivative Assets | Financial Derivative Liabilities | ||||||||||||||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Purchased Options |
Swap Agreements |
Total Over the Counter |
Forward Foreign Currency Contracts |
Written Options |
Swap Agreements |
Total Over the Counter |
Net Market Value of OTC Derivatives |
Collateral (Received)/ Pledged |
Net Exposure (1) |
||||||||||||||||||||||||||||||||||||||
BOA |
$ | 541 | $ | 0 | $ | 0 | $ | 541 | $ | (5,610 | ) | $ | 0 | $ | 0 | $ | (5,610 | ) | $ | (5,069 | ) | $ | 3,408 | $ | (1,661 | ) | ||||||||||||||||||||||
BPS |
17 | 0 | 0 | 17 | (170 | ) | 0 | 0 | (170 | ) | (153 | ) | 0 | (153 | ) | |||||||||||||||||||||||||||||||||
BRC |
527 | 0 | 0 | 527 | (434 | ) | 0 | 0 | (434 | ) | 93 | 0 | 93 | |||||||||||||||||||||||||||||||||||
CBK |
136 | 0 | 0 | 136 | (2,205 | ) | 0 | 0 | (2,205 | ) | (2,069 | ) | 1,935 | (134 | ) | |||||||||||||||||||||||||||||||||
DUB |
2,262 | 0 | 0 | 2,262 | (5,845 | ) | 0 | 0 | (5,845 | ) | (3,583 | ) | 1,069 | (2,514 | ) | |||||||||||||||||||||||||||||||||
FBF |
1,946 | 0 | 0 | 1,946 | (2,102 | ) | 0 | 0 | (2,102 | ) | (156 | ) | 0 | (156 | ) | |||||||||||||||||||||||||||||||||
GLM |
4 | 0 | 0 | 4 | (204 | ) | 0 | 0 | (204 | ) | (200 | ) | 117 | (83 | ) | |||||||||||||||||||||||||||||||||
HUS |
170 | 0 | 0 | 170 | (160 | ) | 0 | 0 | (160 | ) | 10 | 0 | 10 | |||||||||||||||||||||||||||||||||||
JPM |
135 | 0 | 0 | 135 | (314 | ) | 0 | 0 | (314 | ) | (179 | ) | 0 | (179 | ) | |||||||||||||||||||||||||||||||||
MSC |
106 | 0 | 0 | 106 | (96 | ) | 0 | 0 | (96 | ) | 10 | 0 | 10 | |||||||||||||||||||||||||||||||||||
NAB |
477 | 0 | 0 | 477 | (625 | ) | 0 | 0 | (625 | ) | (148 | ) | 0 | (148 | ) | |||||||||||||||||||||||||||||||||
RBC |
898 | 0 | 0 | 898 | (2,823 | ) | 0 | 0 | (2,823 | ) | (1,925 | ) | 1,890 | (35 | ) | |||||||||||||||||||||||||||||||||
UAG |
184 | 0 | 0 | 184 | 0 | 0 | 0 | 0 | 184 | 0 | 184 | |||||||||||||||||||||||||||||||||||||
Total Over the Counter |
$ | 7,403 | $ | 0 | $ | 0 | $ | 7,403 | $ | (20,588 | ) | $ | 0 | $ | 0 | $ | (20,588 | ) |
(1) |
Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 7, Principal Risks, in the Notes to Financial Statements for more information regarding master netting arrangements. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 7,403 | $ | 0 | $ | 7,403 | ||||||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | 20,588 | $ | 0 | $ | 20,588 |
The Effect of Financial Derivative Instruments on the Statements of Operations for the Period Ended June 30, 2014:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Exchange Contracts |
Interest Rate Contracts |
Total | |||||||||||||||||||||
Net Realized (Loss) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (52,957 | ) | $ | 0 | $ | (52,957 | ) | ||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
||||||||||||||||||||||||||
Over the counter |
||||||||||||||||||||||||||
Forward Foreign Currency Contracts |
$ | 0 | $ | 0 | $ | 0 | $ | (10,318 | ) | $ | 0 | $ | (10,318 | ) |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 113 |
Schedule of Investments PIMCO Total Return Exchange-Traded Fund (Cont.)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of June 30, 2014 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 06/30/2014 |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Bank Loan Obligations |
$ | 0 | $ | 36,699 | $ | 0 | $ | 36,699 | ||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
0 | 1,326,788 | 6,874 | 1,333,662 | ||||||||||||||
Industrials |
0 | 315,078 | 32,655 | 347,733 | ||||||||||||||
Utilities |
0 | 187,883 | 0 | 187,883 | ||||||||||||||
Municipal Bonds & Notes |
||||||||||||||||||
California |
0 | 26,671 | 0 | 26,671 | ||||||||||||||
Florida |
0 | 10,002 | 0 | 10,002 | ||||||||||||||
South Dakota |
0 | 8,010 | 0 | 8,010 | ||||||||||||||
U.S. Government Agencies |
0 | 567,763 | 0 | 567,763 | ||||||||||||||
U.S. Treasury Obligations |
0 | 260,130 | 0 | 260,130 | ||||||||||||||
Mortgage-Backed Securities |
0 | 433,077 | 37,018 | 470,095 | ||||||||||||||
Asset-Backed Securities |
0 | 250,830 | 0 | 250,830 | ||||||||||||||
Sovereign Issues |
0 | 767,604 | 0 | 767,604 | ||||||||||||||
Preferred Securities |
||||||||||||||||||
Banking & Finance |
0 | 4,635 | 0 | 4,635 | ||||||||||||||
Short-Term Instruments |
||||||||||||||||||
Certificates of Deposit |
0 | 9,963 | 0 | 9,963 | ||||||||||||||
Commercial Paper |
0 | 4,596 | 0 | 4,596 | ||||||||||||||
Slovenia Treasury Bills |
0 | 4,519 | 0 | 4,519 | ||||||||||||||
U.S. Treasury Bills |
0 | 4,881 | 0 | 4,881 | ||||||||||||||
Total Investments |
$ | 0 | $ | 4,219,129 | $ | 76,547 | $ | 4,295,676 | ||||||||||
Financial Derivative Instruments - Assets |
||||||||||||||||||
Over the counter |
$ | 0 | $ | 7,403 | $ | 0 | $ | 7,403 | ||||||||||
Financial Derivative Instruments - Liabilities |
||||||||||||||||||
Over the counter |
$ | 0 | $ | (20,588 | ) | $ | 0 | $ | (20,588 | ) | ||||||||
Totals |
$ | 0 | $ | 4,205,944 | $ | 76,547 | $ | 4,282,491 |
There were no significant transfers between Level 1 and 2 during the period ended June 30, 2014.
The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended June 30, 2014:
Category and Subcategory | Beginning Balance at 06/30/2013 |
Net Purchases |
Net Sales |
Accrued Discounts/ (Premiums) |
Realized Gain/ (Loss) |
Net Change in Unrealized Appreciation/ (Depreciation) (1) |
Transfers into Level 3 |
Transfers out of Level 3 |
Ending Balance at 06/30/2014 |
Net Change in Unrealized Appreciation/ (Depreciation) on Investments Held at 06/30/2014 (1) |
||||||||||||||||||||||||||||||||
Investments
in |
||||||||||||||||||||||||||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||||||||||||||||||||||||||
Banking & Finance |
$ | 27,208 | $ | 6,924 | $ | (28,439 | ) | $ | (17 | ) | $ | 940 | $ | 258 | $ | 0 | $ | 0 | $ | 6,874 | $ | (40 | ) | |||||||||||||||||||
Industrials |
49,455 | 0 | (17,949 | ) | 13 | (1,901 | ) | 3,037 | 0 | 0 | 32,655 | 1,322 | ||||||||||||||||||||||||||||||
Mortgage-Backed Securities |
0 | 37,655 | (739 | ) | 1 | 8 | 93 | 0 | 0 | 37,018 | 93 | |||||||||||||||||||||||||||||||
Totals |
$ | 76,663 | $ | 44,579 | $ | (47,127 | ) | $ | (3 | ) | $ | (953 | ) | $ | 3,388 | $ | 0 | $ | 0 | $ | 76,547 | $ | 1,375 |
114 | PIMCO ETF TRUST | See Accompanying Notes |
June 30, 2014
The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:
Category and Subcategory | Ending Balance at 06/30/2014 |
Valuation Technique |
Unobservable Inputs |
Input
Value(s) (% Unless Noted Otherwise) |
||||||||||||||
Investments in Securities, at Value |
||||||||||||||||||
Corporate Bonds & Notes |
||||||||||||||||||
Banking & Finance |
$ | 6,874 | Benchmark Pricing | Base Price | 138.61 | |||||||||||||
Industrials |
32,655 | Benchmark Pricing | Base Price | 89.02 | ||||||||||||||
Mortgage-Backed Securities |
37,018 | Benchmark Pricing | Base Price | 100.00 - 105.85 | ||||||||||||||
Total |
$ | 76,547 |
(1) |
Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at June 30, 2014 may be due to an investment no longer held or categorized as level 3 at period end. |
See Accompanying Notes | ANNUAL REPORT | JUNE 30, 2014 | 115 |
116 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 117 |
Notes to Financial Statements (Cont.)
118 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 119 |
Notes to Financial Statements (Cont.)
120 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 121 |
Notes to Financial Statements (Cont.)
(b) 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 Fund’s transactions in and earnings from investments in these affiliated Funds for the period ended June 30, 2014, (amounts in thousands):
Investments in PIMCO Money Market Fund
Fund Name | Market Value 06/30/2013 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain/(Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Market Value 06/30/2014 |
Dividend Income |
|||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 3,038 | $ | (3,038 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 3,867 | (3,867 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
51,215 | 337,420 | (318,026 | ) | 0 | 0 | 70,609 | 6 | ||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Fund |
0 | 3,133 | (3,133 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
PIMCO Enhanced Short Maturity Strategy Exchange-Traded Fund |
0 | 28,335 | (28,335 | ) | 0 | 0 | 0 | 0 |
122 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 123 |
Notes to Financial Statements (Cont.)
124 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 125 |
Notes to Financial Statements (Cont.)
126 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 127 |
Notes to Financial Statements (Cont.)
128 | PIMCO ETF TRUST |
June 30, 2014
ANNUAL REPORT | JUNE 30, 2014 | 129 |
Notes to Financial Statements (Cont.)
Purchases and sales of securities (excluding short-term investments) for the period ended June 30, 2014, were as follows (amounts in thousands):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 80,475 | $ | 78,997 | $ | 0 | $ | 0 | ||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
6,111 | 6,144 | 0 | 0 | ||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
22,066 | 21,230 | 0 | 0 | ||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
14,275 | 17,095 | 0 | 0 | ||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
430,494 | 416,794 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
37,075 | 37,514 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
11,747 | 11,155 | 0 | 0 | ||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
136,453 | 121,404 | 1,076,742 | 868,897 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
5,205 | 5,307 | 58,652 | 23,216 | ||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
0 | 0 | 11,287 | 27,051 | ||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | 3,640 | 17,605 | ||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 0 | 1,516 | 1,407 | ||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
2,702 | 2,102 | 11,648 | 20,207 | ||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
1,400 | 1,200 | 60,231 | 20,572 | ||||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
3,065,333 | 3,580,356 | 3,880,244 | 2,784,911 | ||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
800 | 1,903 | 1,815 | 91 | ||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
19,155 | 27,735 | 103,035 | 72,245 | ||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
3,700 | 3,701 | 42,219 | 22,302 | ||||||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
2,242,400 | 2,209,298 | 135,302 | 27,042 | ||||||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
5,002 | 4,402 | 51,043 | 25,593 | ||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
24,767,047 | 26,925,937 | 2,692,103 | 995,340 |
12. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units or multiples thereof. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, Authorized Participants are subject to standard creation and redemption transaction fees payable directly to State Street Bank and Trust Company, the 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** |
||||||||||||
All Funds (except PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund and PIMCO Germany Bond Index Exchange-Traded Fund) |
$ | 500 | 3.00 | % | 2.00 | % | ||||||||
PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund and PIMCO Germany Bond Index Exchange-Traded Fund |
$ | 1,000 | 3.00 | % | 2.00 | % |
* | Applicable to in-kind contributions or redemptions only. |
** | As a percentage of the cash amount invested or received. |
130 | PIMCO ETF TRUST |
June 30, 2014
The Funds file U.S. tax returns. While the statute of limitations remains open to examine the Funds’ U.S. tax returns filed for the fiscal years ending in 2011-2013, 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 June 30, 2014, the components of distributable taxable earnings are as follows (amounts in thousands):
Undistributed Tax Exempt Income |
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Net
Tax Basis Unrealized Appreciation/ (Depreciation) (1) |
Other Book-to-Tax Accounting Differences (2) |
Accumulated Capital Losses (3) |
Post-October Deferral (4) |
Qualified Late-Year Loss Deferral (5) |
|||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 57 | $ | 69 | $ | 166 | $ | (76 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 9 | 68 | (62 | ) | (46 | ) | 0 | 0 | 0 | ||||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 164 | 0 | 532 | (478 | ) | (184 | ) | (309 | ) | 0 | |||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 628 | 0 | (3,051 | ) | (13,048 | ) | (5,366 | ) | (12,420 | ) | 0 | ||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 4,457 | 0 | 4,936 | (3,792 | ) | (1,718 | ) | (268 | ) | 0 | |||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 518 | 0 | (4,042 | ) | (378 | ) | (7,929 | ) | 0 | 0 | |||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 375 | 0 | (677 | ) | (522 | ) | (379 | ) | (156 | ) | 0 | ||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 31,945 | 6,072 | 68,676 | (14,877 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 759 | 8 | 7,659 | (624 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
0 | 0 | 0 | (668 | ) | (64 | ) | (29 | ) | (151 | ) | (870 | ) | |||||||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | 0 | (996 | ) | (77 | ) | 0 | 0 | (544 | ) | |||||||||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 30 | 17 | 197 | (23 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
0 | 75 | 0 | 1,491 | (564 | ) | (948 | ) | (419 | ) | 0 | |||||||||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
0 | 525 | 0 | 1,333 | (201 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
0 | 5,369 | 505 | 8,011 | (2,264 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
0 | 0 | 0 | 181 | (226 | ) | (299 | ) | 0 | (192 | ) | |||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
0 | 6,144 | 0 | (2,718 | ) | (4,502 | ) | (1,700 | ) | (395 | ) | 0 |
ANNUAL REPORT | JUNE 30, 2014 | 131 |
Notes to Financial Statements (Cont.)
Undistributed Tax Exempt Income |
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Net
Tax Basis Unrealized Appreciation/ (Depreciation) (1) |
Other Book-to-Tax Accounting Differences (2) |
Accumulated Capital Losses (3) |
Post-October Deferral (4) |
Qualified Late-Year Loss Deferral (5) |
|||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
$ | 288 | $ | 0 | $ | 0 | $ | 5,371 | $ | (358 | ) | $ | (1,819 | ) | $ | (29 | ) | $ | 0 | |||||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
0 | 145 | 0 | 207 | (91 | ) | 0 | 0 | 0 | |||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
76 | 0 | 0 | 424 | (94 | ) | (182 | ) | 0 | 0 | ||||||||||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
0 | 10,919 | 0 | 135,638 | (23,545 | ) | (56,372 | ) | (33,208 | ) | 0 |
(1) |
Adjusted for open wash sale loss deferrals for federal income tax purposes. |
(2) |
Represents differences in income tax regulations and financial accounting principles generally accepted in the United States of America, mainly for distributions payable at fiscal year-end. |
(3) |
Capital losses available to offset future net capital gains expire in varying amounts in the years shown below. |
(4) |
Capital losses realized during the period November 1, 2013 through June 30, 2014 which the Fund elected to defer to the following taxable year pursuant to federal income tax regulations. |
(5) |
Specified losses realized during the period November 1, 2013 through June 30, 2014 and Ordinary losses realized during the period January 1, 2014 through June 30, 2014, which the Fund elected to defer to the following taxable year pursuant to income tax regulations. |
As of June 30, 2014, the Funds had accumulated capital losses expiring in the following years (amounts in thousands). The Funds will resume capital gain distributions in the future to the extent gains are realized in excess of accumulated capital losses.
Expiration Year of Accumulated Capital Losses (amounts in thousands) | ||||||||||||||||||||||||||||||
2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | ||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 363 | 0 | 0 | |||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 |
132 | PIMCO ETF TRUST |
June 30, 2014
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new losses for an unlimited period. Additionally, such capital losses that are carried over retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law. As of June 30, 2014, the Funds had the following post-effective capital losses with no expiration:
Short-Term | Long-Term | |||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 0 | ||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
41 | 143 | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
4,932 | 71 | ||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,718 | 0 | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
3,847 | 4,082 | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
301 | 78 | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
29 | 0 | ||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Build America Bond Exchange-Traded Fund |
889 | 59 | ||||||||
PIMCO Diversified Income Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
119 | 180 | ||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
1,700 | 0 | ||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
1,147 | 672 | ||||||||
PIMCO Low Duration Exchange-Traded Fund |
0 | 0 | ||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
182 | 0 | ||||||||
PIMCO Total Return Exchange-Traded Fund |
43,673 | 12,699 |
As of June 30, 2014, the aggregate cost and the net unrealized appreciation/(depreciation) of investments for federal income tax purposes are as follows (amounts in thousands):
Federal Tax Cost |
Unrealized Appreciation |
Unrealized (Depreciation) |
Net
Unrealized Appreciation/ (Depreciation) (6) |
|||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 127,160 | $ | 189 | $ | (23 | ) | $ | 166 | |||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
13,316 | 42 | (104 | ) | (62 | ) | ||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
72,980 | 560 | (27 | ) | 533 | |||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
80,547 | 1,241 | (4,292 | ) | (3,051 | ) | ||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
1,325,747 | 6,120 | (1,183 | ) | 4,937 | |||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
73,217 | 356 | (4,398 | ) | (4,042 | ) | ||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
107,142 | 223 | (900 | ) | (677 | ) | ||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
5,070,737 | 86,337 | (25,164 | ) | 61,173 | |||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
189,656 | 8,072 | (413 | ) | 7,659 | |||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
23,527 | 349 | (1,023 | ) | (674 | ) | ||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
18,229 | 62 | (1,068 | ) | (1,006 | ) | ||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
2,985 | 198 | (1 | ) | 197 | |||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
21,908 | 1,531 | (40 | ) | 1,491 | |||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
42,034 | 1,366 | (34 | ) | 1,332 | |||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
3,852,465 | 12,209 | (4,198 | ) | 8,011 | |||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
21,126 | 174 | (17 | ) | 157 | |||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
154,876 | 3,817 | (6,575 | ) | (2,758 | ) | ||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
205,944 | 5,854 | (483 | ) | 5,371 | |||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
159,494 | 277 | (72 | ) | 205 | |||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
76,300 | 512 | (87 | ) | 425 | |||||||||||||
PIMCO Total Return Exchange-Traded Fund |
4,160,204 | 148,821 | (13,349 | ) | 135,472 |
(6) |
Primary differences between book and tax net unrealized appreciation/(depreciation) are attributable to wash sale loss deferrals and straddle loss deferral on foreign currency contracts for federal income tax purposes. |
ANNUAL REPORT | JUNE 30, 2014 | 133 |
Notes to Financial Statements (Cont.)
June 30, 2014
For the fiscal years ended June 30, 2014 and June 30, 2013, respectively, the Funds made the following tax basis distributions (amounts in thousands):
June 30, 2014 | June 30, 2013 | |||||||||||||||||||||||||||||||||||
Tax-Exempt Income Distributions |
Ordinary Income Distributions (7) |
Long-Term Capital Gain Distributions |
Return of Capital (8) |
Tax-Exempt Income Distributions |
Ordinary Income Distributions (7) |
Long-Term Capital Gain Distributions |
Return of Capital (8) |
|||||||||||||||||||||||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 0 | $ | 408 | $ | 68 | $ | 0 | $ | 0 | $ | 400 | $ | 345 | $ | 0 | ||||||||||||||||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 183 | 41 | 0 | 0 | 308 | 148 | 0 | ||||||||||||||||||||||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
0 | 891 | 0 | 0 | 0 | 346 | 132 | 0 | ||||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
0 | 2,765 | 0 | 0 | 0 | 3,075 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
0 | 7,653 | 0 | 0 | 0 | 1,381 | 552 | 0 | ||||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
0 | 1,698 | 0 | 0 | 0 | 819 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
0 | 933 | 0 | 0 | 0 | 681 | 10 | 0 | ||||||||||||||||||||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
0 | 176,989 | 1,839 | 0 | 0 | 50,883 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
0 | 8,243 | 3,451 | 0 | 0 | 8,400 | 307 | 0 | ||||||||||||||||||||||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 1,268 | 34 | 16 | ||||||||||||||||||||||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
0 | 214 | 19 | 0 | 0 | 669 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
0 | 39 | 4 | 0 | 0 | 22 | 3 | 0 | ||||||||||||||||||||||||||||
PIMCO Build America Bond Exchange-Traded Fund |
0 | 903 | 868 | 0 | 0 | 2,272 | 563 | 0 | ||||||||||||||||||||||||||||
PIMCO Diversified Income Exchange-Traded Fund |
0 | 568 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
0 | 31,339 | 1,042 | 0 | 0 | 21,767 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Foreign Currency Strategy Exchange-Traded Fund |
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
0 | 1,337 | 25 | 0 | 0 | 1,002 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
4,020 | 6 | 0 | 0 | 4,404 | 175 | 93 | 0 | ||||||||||||||||||||||||||||
PIMCO Low Duration Exchange-Traded Fund |
0 | 138 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
332 | 0 | 0 | 0 | 498 | 0 | 5 | 0 | ||||||||||||||||||||||||||||
PIMCO Total Return Exchange-Traded Fund |
0 | 75,855 | 0 | 0 | 0 | 114,863 | 0 | 0 |
(7) |
Includes short-term capital gains, if any, distributed. |
(8) |
Portion of distributions made that represents a tax return of capital. Return of capital distribution have been reclassified from undistributed net investment income to paid-in capital to more appropriately conform financial accounting to tax accounting. |
16. SUBSEQUENT EVENTS
On August 13, 2014, the Board approved the liquidation of PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund and PIMCO Build America Bond Index Exchange-Traded Fund. The liquidation of the Funds is expected to occur later this calendar year.
134 | PIMCO ETF TRUST |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of the PIMCO ETF Trust:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund, PIMCO 25+Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund, PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund, PIMCO Broad U.S. TIPS Index Exchange-Traded Fund, PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund, PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund, PIMCO Australia Bond Index Exchange-Traded Fund, PIMCO Canada Bond Index Exchange-Traded Fund, PIMCO Germany Bond Index Exchange-Traded Fund, PIMCO Build America Bond Exchange-Traded Fund, PIMCO Diversified Income Exchange-Traded Fund, PIMCO Enhanced Short Maturity Exchange-Traded Fund, PIMCO Foreign Currency Strategy Exchange-Traded Fund, PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Exchange-Traded Fund, PIMCO Low Duration Exchange-Traded Fund, PIMCO Short Term Municipal Bond Exchange-Traded Fund, and PIMCO Total Return Exchange-Traded Fund (constituting PIMCO ETF Trust, hereafter referred to as the “Funds”) at June 30, 2014, the results of each of their operations, the changes in each of their net assets, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Kansas City, Missouri
August 15, 2014
ANNUAL REPORT | JUNE 30, 2014 | 135 |
Glossary: (abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: | ||||||||||
AZD |
Australia and New Zealand Banking Group |
DEU |
Deutsche Bank Securities, Inc. |
RBC |
Royal Bank of Canada | |||||
BCY |
Barclays Capital, Inc. |
DUB |
Deutsche Bank AG |
SCX |
Standard Chartered Bank | |||||
BOA |
Bank of America N.A. |
FBF |
Credit Suisse International |
SOG |
Societe Generale | |||||
BOS |
Banc of America Securities LLC |
GLM |
Goldman Sachs Bank USA |
SSB |
State Street Bank and Trust Co. | |||||
BPG |
BNP Paribas Securities Corp. |
HUS |
HSBC Bank USA N.A. |
TDM |
TD Securities (USA) LLC | |||||
BPS |
BNP Paribas S.A. |
JPM |
JPMorgan Chase Bank N.A. |
UAG |
UBS AG Stamford | |||||
BRC |
Barclays Bank PLC |
JPS |
JPMorgan Securities, Inc. |
UBS |
UBS Securities LLC | |||||
BSN |
Bank of Nova Scotia |
MSC |
Morgan Stanley & Co., Inc. |
ULW |
UBS Ltd. | |||||
CBK |
Citibank N.A. |
NAB |
National Australia Bank Ltd. |
|||||||
Currency Abbreviations: | ||||||||||
AUD |
Australian Dollar |
GBP |
British Pound |
NOK |
Norwegian Krone | |||||
BRL |
Brazilian Real |
HKD |
Hong Kong Dollar |
NZD |
New Zealand Dollar | |||||
CAD |
Canadian Dollar |
IDR |
Indonesian Rupiah |
PLN |
Polish Zloty | |||||
CHF |
Swiss Franc |
ILS |
Israeli Shekel |
RUB |
Russian Ruble | |||||
CLP |
Chilean Peso |
INR |
Indian Rupee |
SEK |
Swedish Krona | |||||
CNY |
Chinese Renminbi |
JPY |
Japanese Yen |
TRY |
Turkish New Lira | |||||
COP |
Colombian Peso |
KRW |
South Korean Won |
USD (or $) |
United States Dollar | |||||
DKK |
Danish Krone |
MXN |
Mexican Peso |
ZAR |
South African Rand | |||||
EUR |
Euro |
MYR |
Malaysian Ringgit |
|||||||
Index Abbreviations: | ||||||||||
CDX.HY |
Credit Derivatives Index - High Yield |
|||||||||
Municipal Bond or Agency Abbreviations: | ||||||||||
AGM |
Assured Guaranty Municipal |
FHA |
Federal Housing Administration |
NPFGC |
National Public Finance Guarantee Corp. | |||||
AMBAC |
American Municipal Bond Assurance Corp. |
GTD |
Guaranteed |
PSF |
Public School Fund | |||||
FGIC |
Financial Guaranty Insurance Co. |
|||||||||
Other Abbreviations: | ||||||||||
ABS |
Asset-Backed Security |
BABs |
Build America Bonds |
JSC |
Joint Stock Company | |||||
ADR |
American Depositary Receipt |
FDIC |
Federal Deposit Insurance Corp. |
PIK |
Payment-in-Kind | |||||
ALT |
Alternate Loan Trust |
136 | PIMCO ETF TRUST |
Federal Income Tax Information
(Unaudited)
Exempt Interest Dividends. Pursuant to Section 852(b)(5) of the Internal Revenue Code, the Funds below designated the following percentages of income dividends paid as exempt interest dividends for the fiscal year ended June 30, 2014:
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
100 | % | ||||
PIMCO Short-Term Municipal Bond Exchange-Traded Fund |
100 | % |
Long Term Capital Gains Designations. Pursuant to Section 852(b)(3) of the Internal Revenue Code, the Funds designated the following amounts as capital gains dividends for the fiscal year ended June 30, 2013:
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 68,044 | ||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
40,503 | |||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
1,839,292 | |||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
3,451,054 | |||||
PIMCO Canada Bond Index Exchange-Traded Fund |
19,180 | |||||
PIMCO Build America Bond Exchange-Traded Fund |
867,611 | |||||
PIMCO Germany Bond Index Exchange-Traded Fund |
3,621 | |||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
1,042,308 | |||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
25,241 |
Qualified Interest Income and Qualified Short-Term Capital Gain (for non-U.S. resident shareholders only). Under the American Jobs Creation Act of 2004, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2014 are considered to be derived from “qualified interest income,” as defined in Section 871(k)(1)(E) of the Code, and therefore are designated as interest -related dividends, as defined in Section 871(k)(1)(C) of the Code. Further, the following amounts of ordinary dividends paid during the fiscal year ended June 30, 2014 are considered to be derived from “qualified short-term capital gain,” as defined in Section 871(k)(2)(D) of the Code, and therefore are designated as qualified short-term gain dividends, as defined by Section 871(k)(2)(C) of the Code.
Qualified Interest Income |
Qualified Short-Term Capital Gain |
|||||||||
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund |
$ | 406,410 | $ | 1,484 | ||||||
PIMCO 3-7 Year U.S. Treasury Index Exchange-Traded Fund |
183,233 | — | ||||||||
PIMCO 7-15 Year U.S. Treasury Index Exchange-Traded Fund |
891,270 | — | ||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
— | — | ||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund |
7,652,700 | — | ||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund |
1,345,524 | — | ||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
772,147 | — | ||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
170,299,000 | 6,689,823 | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
5,511,750 | 2,731,015 | ||||||||
PIMCO Australia Bond Index Exchange-Traded Fund |
— | — | ||||||||
PIMCO Canada Bond Index Exchange-Traded Fund |
— | 2,718 | ||||||||
PIMCO Germany Bond Index Exchange-Traded Fund |
— | — | ||||||||
PIMCO Build America Bond Exchange-Traded Fund |
902,920 | — | ||||||||
PIMCO Diversified Income Exchange-Traded Fund |
567,600 | — | ||||||||
PIMCO Enhanced Short Maturity Exchange-Traded Fund |
26,776,670 | 4,561,548 | ||||||||
PIMCO Global Advantage® Inflation-Linked Bond Exchange-Traded Fund |
298,663 | 405,508 | ||||||||
PIMCO Intermediate Municipal Bond Exchange-Traded Fund |
42,354 | — | ||||||||
PIMCO Low Duration Exchange-Traded Fund |
137,930 | — | ||||||||
PIMCO Short Term Municipal Bond Exchange-Traded Fund |
13,031 | — | ||||||||
PIMCO Total Return Exchange-Traded Fund |
60,989,050 | 14,865,876 |
ANNUAL REPORT | JUNE 30, 2014 | 137 |
The chart below identifies the Trustees and Officers of the Trust. Each “interested” Trustee as defined by the 1940 Act, is indicated by an asterisk (*). Unless otherwise indicated, the address of all persons below is 650 Newport Center Drive, Newport Beach, CA 92660.
The Funds’ Statement of Additional Information includes more information about the Trustees and Officers. To request a free copy, call PIMCO at (888) 400-4ETF or visit the Funds’ website at www.pimcoetfs.com.
Name, Year of Birth
and Position Held with Trust |
Term of Office** and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | Number
of Portfolios in Fund Complex Overseen by Trustee |
Other Directorships Held by Trustee | ||||
Interested Trustees |
||||||||
Brent R. Harris* (1959) Chairman of the Board and Trustee | 08/1997 to Present | Managing Director and member of Executive Committee, PIMCO. | 175 | Chairman and Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT; Director, StocksPLUS® Management, Inc.; Director, Applied Natural Gas Fuels, Inc. and member of Board of Governors, Investment Company Institute. Board Member and Owner, Harris Holdings, LLC (1992-present); Director, Applied Natural Gas Fuels, Inc. (2012-present) | ||||
Douglas M. Hodge* (1957) Trustee |
02/2010 to Present | Managing Director, Chief Executive Officer, PIMCO (since 2/14) and Chief Operating Officer, PIMCO (7/09-2/14); Member of Executive Committee and Head of PIMCO’s Asia Pacific region. Member Global Executive Committee, Allianz Asset Management. | 167 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
Independent Trustees |
||||||||
E. Philip Cannon (1940) Trustee | 05/2000 to Present | Private Investor. Formerly, President, Houston Zoo. | 175 | Trustee, PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO Equity Series and PIMCO Equity Series VIT. Formerly, Trustee Allianz Funds (formerly, PIMCO Funds: Multi-Manager Series). | ||||
Vern O. Curtis (1934) Trustee | 08/1997 to Present | Private Investor. | 167 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
J. Michael Hagan (1939) Trustee |
05/2000 to Present | Private Investor and Business Advisor (primarily to manufacturing companies). | 167 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. | ||||
Ronald C. Parker (1951) Trustee |
07/2009 to Present | Director of Roseburg Forest Products Company. Formerly Chairman of the Board, The Ford Family Foundation. Formerly President, Chief Executive Officer, Hampton Affiliates (forestry products) | 167 | Trustee, PIMCO Funds and PIMCO Variable Insurance Trust. |
* | Mr. Harris and Mr. Hodge are “interested persons” of the Trust (as that term is defined in the 1940 Act) because of their affiliation with PIMCO. |
** | Trustees serve until their successors are duly elected and qualified |
138 | PIMCO ETF TRUST |
(Unaudited)
Executive Officers
Name, Year of Birth
and Position Held with Trust |
Term of Office
and Length of Time Served |
Principal Occupation(s) During Past 5 Years | ||
Brent R. Harris (1959) President |
03/2009 to Present | Managing Director and member of Executive Committee, PIMCO. | ||
David C. Flattum (1964) Chief Legal Officer |
11/2006 to Present | Managing Director and General Counsel, PIMCO. Formerly, Managing Director, Chief Operating Officer and General Counsel, Allianz Asset Management of America L.P. and Partner at Latham & Watkins LLP. | ||
Jennifer E. Durham (1970) Chief Compliance Officer |
07/2004 to Present |
Managing Director, PIMCO. | ||
William H. Gross (1944) Senior Vice President |
08/1997 to Present | Managing Director and Chief Investment Officer, PIMCO. | ||
Douglas M. Hodge (1957) Senior Vice President |
05/2010 to Present | Managing Director; Chief Executive Officer, PIMCO (since 2/14) and Chief Operating Officer, PIMCO (7/09-2/14); Member of Executive Committee and Head of PIMCO’s Asia Pacific region. Member Global Executive Committee, Allianz Asset Management. | ||
Peter G. Strelow (1970) Senior Vice President |
11/2013 to Present Vice President 05/2008 to 11/2013 |
Managing Director, PIMCO. | ||
William G. Galipeau (1974) Vice President |
11/2013 to Present |
Senior Vice President, PIMCO. | ||
Eric D. Johnson (1970) Vice President |
05/2011 to Present | Executive Vice President, PIMCO. | ||
Henrik P. Larsen (1970) Vice President |
02/1999 to Present | Senior Vice President, PIMCO. | ||
Greggory S. Wolf (1970) Vice President |
05/2011 to Present | Senior Vice President, PIMCO. | ||
Donald W. Suskind (1973) Vice President |
05/2009 to Present | Senior Vice President, PIMCO. | ||
Kevin M. Broadwater (1964) Vice President - Senior Counsel |
05/2012 to Present | Executive Vice President and Attorney, PIMCO. | ||
Joshua D. Ratner (1976) Vice President - Senior Counsel Secretary |
11/2013 to Present Assistant Secretary 10/2007 to 01/2011 |
Senior Vice President and Attorney, PIMCO. | ||
Ryan G. Leshaw (1980) Assistant Secretary |
05/2012 to Present | Vice President and Attorney, PIMCO. Formerly, Associate, Willkie Farr & Gallagher LLP. | ||
Trent W. Walker (1974) Treasurer |
11/2013 to Present Assistant Treasurer 05/2007 to 11/2013 |
Senior Vice President, PIMCO. | ||
Stacie D. Anctil (1969) Assistant Treasurer |
11/2003 to Present | Senior Vice President, PIMCO. | ||
Erik C. Brown (1967) Assistant Treasurer |
02/2001 to Present | Senior Vice President, PIMCO. |
ANNUAL REPORT | JUNE 30, 2014 | 139 |
(Unaudited)
140 | PIMCO ETF TRUST |
Approval of Investment Management Agreement
(Unaudited)
ANNUAL REPORT | JUNE 30, 2014 | 141 |
Approval of Investment Management Agreement (Cont.)
142 | PIMCO ETF TRUST |
(Unaudited)
ANNUAL REPORT | JUNE 30, 2014 | 143 |
General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Legal Counsel
Dechert LLP
1900 K Street N.W.
Washington, D.C. 20006
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the PIMCO ETF Trust.
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