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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: 811-22250
PIMCO ETF Trust
(Exact name of registrant as specified in charter)
650 Newport Center Drive, Newport Beach, CA 92660
(Address of principal executive office)
Bradley Todd
Treasurer (Principal Financial & Accounting Officer)
PIMCO ETF Trust
650 Newport Center Drive
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
Brendan C. Fox
Dechert LLP
1900 K Street, N.W.
Washington, D.C. 20006
Registrant’s telephone number, including area code: (888) 877-4626
Date of fiscal year end: June 30
Date of reporting period: December 31, 2019
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
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Item 1. | Reports to Shareholders. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Act”) (17 CFR 270.30e-1).
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PIMCO ETF TRUST
Semiannual Report
December 31, 2019
Index Exchange-Traded Funds
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | ZROZ | NYSE Arca
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | STPZ | NYSE Arca
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | LTPZ | NYSE Arca
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | TIPZ | NYSE Arca
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | HYS | NYSE Arca
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | CORP | NYSE Arca
Actively-Managed Exchange-Traded Funds
PIMCO Active Bond Exchange-Traded Fund | BOND | NYSE Arca
PIMCO Enhanced Low Duration Active Exchange-Traded Fund | LDUR | NYSE Arca
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund | EMNT | NYSE Arca
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | MINT | NYSE Arca
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund | MUNI | NYSE Arca
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund | SMMU | NYSE Arca
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail from the financial intermediary, such as a broker-dealer or bank, which offers the Fund unless you specifically request paper copies of the reports from the financial intermediary. Instead, the shareholder reports will be made available on a website, and the financial intermediary will notify you by mail each time a report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your financial intermediary.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the financial intermediary electronically by following the instructions provided by the financial intermediary.
You may elect to receive all future reports in paper free of charge from the financial intermediary. You should contact the financial intermediary if you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account at the financial intermediary.
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Approval of Investment Advisory Contract and Other Agreements | 110 | |||||||
Fund | Fund Summary | Schedule of Investments | ||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | 7 | 32 | ||||||
8 | 33 | |||||||
9 | 34 | |||||||
10 | 35 | |||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 11 | 36 | ||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 12 | 43 | ||||||
13 | 51 | |||||||
14 | 59 | |||||||
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund | 15 | 68 | ||||||
16 | 70 | |||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund | 17 | 79 | ||||||
18 | 83 |
This material is authorized for use only when preceded or accompanied by the current PIMCO ETF Trust prospectus.
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Dear Shareholder,
Following this letter is the PIMCO ETF Trust Semiannual Report, which covers thesix-month reporting period ended December 31, 2019. On the subsequent pages, you will find specific details regarding investment results and discussion of the factors that most affected performance during the reporting period.
For thesix-month reporting period ended December 31, 2019
The U.S. economy continued to expand during the reporting period. U.S. gross domestic product (“GDP”) grew at an annual pace of 3.1% and 2.0% during the first and second quarters of 2019, respectively. For the third quarter of 2019, GDP growth rose to an annual pace of 2.1%. Finally, the Commerce Department’s initial reading for fourth quarter 2019 GDP, released after the reporting period ended, showed that the U.S. economy grew at a 2.1% annual pace.
After raising rates four times in 2018, the Federal Reserve (the “Fed”) reversed course and had a “dovish pivot.” Following the Fed’s meeting that concluded on July 31, 2019, the Fed lowered the federal funds rate by 0.25% to a range between 2.00% and 2.25%. This represented the Fed’s first rate cut since 2008. At the Fed’s meeting that ended on September 18, 2019, the Fed again reduced the federal funds rate by 0.25% to a range between 1.75% and 2.00%. Finally, at the Fed’s meeting that concluded on October 30, 2019, the Fed lowered the federal funds rate to a range between 1.50% and 1.75%.
Economic activity outside the U.S. continued to expand, but the pace of expansion generally moderated. According to the International Monetary Fund’s (“IMF”) January 2020World Economic Outlook Update, released after the reporting period ended, global growth is projected to have been 2.9% in 2019, versus 3.6% in 2018. From a regional perspective, the IMF expects the U.S. economy to expand 2.3% in 2019, compared to 2.9% in the prior calendar year. Elsewhere, the IMF anticipates that 2019 GDP growth in the eurozone, U.K. and Japan will be 1.2%, 1.3% and 1.0%, respectively. For comparison purposes, these economies expanded 1.9%, 1.3% and 0.3%, respectively, in 2018.
Against this backdrop, in September 2019, the European Central Bank (the “ECB”) cut its deposit rate from-0.4% to-0.5% — a record low — and restarted bond purchases of€20 billion a month in November 2019. Elsewhere, the Bank of Japan largely maintained its highly accommodative monetary policies. The Bank of England kept rates on hold, although there was speculation that it may reduce rates given the uncertainties related to Brexit. However, in December 2019, Prime Minister Boris Johnson won the general election, likely paving the way for a faster Brexit resolution.
The U.S. Treasury yield curve steepened astwo-year Treasury rates declined more than their10-year counterparts. In our view, falling rates were partially due to signs of moderating global growth, the Fed’s dovish pivot and periods of investor risk aversion. The yield on the benchmark10-year U.S. Treasury note was 1.92% at the end of the reporting period, versus 2.00% on June 30, 2019. The Bloomberg Barclays Global Treasury Index (USD Hedged), which tracks fixed-rate, local-currency government debt of investment grade countries, including both developed and emerging markets, returned 1.64%. Meanwhile, the Bloomberg Barclays Global Aggregate Credit Index (USD Hedged), a widely used index of global investment grade bonds, returned 3.35%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, also generated positive results. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below investment grade bonds, returned 4.07%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned 3.45%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned 4.37%.
Global equities produced positive results and, despite periods of volatility, U.S. equities rose sharply. We believe the increase in U.S. equities was driven by a number of factors, including corporate profits that often exceeded lowered expectations, a more accommodative Fed, and the “Phase 1” trade agreement between the U.S. and China. All told, U.S. equities, as represented by the S&P 500 Index, returned 10.92%. Emerging market equities, as measured by the
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MSCI Emerging Markets Index, returned 7.09%, whereas global equities, as represented by the MSCI World Index, returned 9.14%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned 12.26% and European equities, as represented by the MSCI Europe Index (in EUR), returned 8.43%.
Commodity prices fluctuated and were mixed during the reporting period. When the reporting period began, Brent crude oil was approximately $67 a barrel. While the price gyrated, it ended the period at roughly $66 a barrel. Elsewhere, copper and gold prices moved higher.
Finally, there were periods of volatility in the foreign exchange markets, due in part, in our view, to signs of moderating global growth, trade conflicts, and changing central bank monetary policies, along with a number of geopolitical events. The U.S. dollar strengthened against a number of other major currencies. For example, the U.S. dollar returned 1.41% and 0.70% versus the euro and the Japanese yen, respectively. However, the U.S. dollar fell 4.42% versus the British pound.
Thank you for the assets you have placed with us. We deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding the PIMCO ETF Trust, please contact your financial adviser, or call one of our shareholder associates at (888)400-4ETF. We also invite you to visit our website at www.pimco.com to learn more about PIMCO ETFs.
Sincerely,
Peter G. Strelow Chairman of the Board
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Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.
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Important Information About the Funds
PIMCO ETF Trust (the “Trust”) is an open-end management investment company that includes the PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund, PIMCO1-5 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, and PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund, which are exchange-traded funds (“ETFs”) that seek to provide total return that closely corresponds, before fees and expenses, to the total return of a specified index (collectively, the “Index Funds”). Each Index Fund employs a representative sampling strategy in seeking to achieve its investment objective. In using this strategy, PIMCO seeks to invest in a combination of instruments such that the portfolio effectively provides exposure to the underlying index. An Index Fund may not track its underlying index with the same degree of accuracy as a fund that replicates the composition and weighting of the underlying index. The PIMCO Active Bond Exchange-Traded Fund, PIMCO Enhanced Low Duration Active Exchange-Traded Fund, PIMCO Enhanced Short Maturity Active Exchange-Traded Fund, PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund, PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund and PIMCO Short Term Municipal Bond Active Exchange-Traded Fund, unlike the Index Funds, are actively managed ETFs that do not seek to track the performance of a specified index (collectively, the “Active Funds” and together with the Index Funds, a “Fund” or the “Funds”). Shares of the Funds will be listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for each Fund’s shares may be different from the Fund’s net asset value (“NAV”). Each Fund issues and redeems shares at its NAV only in blocks of a specified number of shares (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares from the Funds at NAV.
We believe that bond funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that in an environment where interest rates may trend upward, rising rates would negatively impact the performance of most bond funds, and fixed income securities and other instruments held by the Funds are likely to decrease in value. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). In addition, changes in interest rates can be sudden and unpredictable, and there is no guarantee that management will anticipate such movement accurately. The Funds may lose money as a result of movements in interest rates.
As of the date of this report, interest rates in the United States and many parts of the world, including certain European countries, are at or near historically low levels. Thus, the Funds currently face a heightened level of risk associated with rising interest rates and/or bond yields. This could be driven by a variety of factors, including but not limited to central bank monetary policies, changing inflation or real growth rates, general economic conditions, increasing bond issuances or reduced market demand for low yielding investments. Further, while bond markets have steadily grown over the past three decades, dealer inventories of corporate bonds are near historic lows in relation to market size. As a result, there has been a significant reduction in the ability of dealers to “make markets.”
Bond funds and individual bonds with a longer duration (a measure used to determine the sensitivity of a security’s price to changes in interest rates) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities or funds with shorter durations. All of the factors mentioned above, individually or collectively, could lead to increased volatility and/or lower liquidity in the fixed income markets or negatively impact a Fund’s performance or cause a Fund to incur losses. As a result, there could be increased sales of shares which could further reduce the market price for a Fund’s shares.
The Funds may be subject to various risks as described in each Fund’s prospectus and in the Principal Risks in the Notes to Financial Statements.
Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.
The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.
The United States presidential administration’s enforcement of tariffs on goods from other countries, with a focus on China, has contributed to international trade tensions and may impact portfolio securities.
The United Kingdom’s decision to leave the European Union may impact Fund returns. This decision may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of
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the British pound, result in a sustained period of market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.
A Fund may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to phase out the use of LIBOR by the end of 2021. The transition may result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities), and any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests are not known and could result in losses to a Fund.
Under the direction of the Federal Housing Finance Agency, the Federal National Mortgage Association (“FNMA”) and the Federal Home Loan Mortgage Corporation (“FHLMC”) have entered into a joint initiative to develop a common securitization platform for the issuance of a uniform mortgage-backed security (the “Single Security Initiative”) that aligns the characteristics of FNMA and FHLMC certificates. The Single Security Initiative was implemented on June 3, 2019, and the effects it may have on the market for mortgage-backed securities are uncertain.
Engaging in a responsible investment strategy, which may select or exclude securities of certain issuers for reasons other than performance, carries the risk that a Fund may underperform funds that do not utilize a responsible investment strategy. The application of this strategy may affect a Fund’s exposure to certain sectors or types of investments, which could negatively impact the Fund’s performance. Responsible
investing is qualitative and subjective by nature, and there is no guarantee that the criteria utilized or any judgment exercised in pursuing a responsible investment strategy will reflect the beliefs or values of any particular investor. In evaluating a company, the information and data obtained through voluntary or third-party reporting may be incomplete, inaccurate or unavailable, which could cause an incorrect assessment of a company’s business practices with respect to the environment, social responsibility and corporate governance (“ESG practices”). Socially responsible norms differ by region, and a company’s ESG practices or the assessment of a company’s ESG practices may change over time.
On each individual Fund Summary page in this Shareholder Report, the Average Annual Total Return table and Cumulative Returns chart measure performance assuming that any dividend and capital gain distributions were reinvested. Returns do not reflect the deduction of taxes that a shareholder would pay on: (i) Fund distributions; or (ii) the sale of Fund shares. Each Fund’s performance is measured against the performance of at least one broad-based securities market index (“benchmark index”). A Fund’s past performance, before and after taxes, is not necessarily an indication of how the Fund will perform in the future. There is no assurance that any Fund, including any Fund that has experienced high or unusual performance for one or more periods, will experience similar levels of performance in the future. High performance is defined as a significant increase in either 1) a Fund’s total return in excess of that of the Fund’s benchmark between reporting periods or 2) a Fund’s total return in excess of the Fund’s historical returns between reporting periods. Unusual performance is defined as a significant change in a Fund’s performance as compared to one or more previous reporting periods. Historical performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.
The following table discloses the inception dates of each Fund along with each Fund’s diversification status as of period end:
Fund Name | Fund Inception | Diversification Status | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | 10/30/09 | Diversified | ||||||||||
PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | 08/20/09 | Diversified | ||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | 09/03/09 | Diversified | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 09/03/09 | Diversified | ||||||||||
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 06/16/11 | Diversified | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 09/20/10 | Diversified | ||||||||||
PIMCO Active Bond Exchange-Traded Fund | 02/29/12 | Diversified | ||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund | 01/22/14 | Diversified | ||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 11/16/09 | Diversified | ||||||||||
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund | 12/10/19 | Diversified | ||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund | 11/30/09 | Diversified | ||||||||||
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund | 02/01/10 | Diversified |
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Important Information About the Funds(Cont.)
An investment in a Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.
The Trustees are responsible generally for overseeing the management of the Trust. The Trustees authorize the Trust to enter into service agreements with the Adviser, the Distributor, the Administrator and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Trust and the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s prospectus nor a Fund’s summary prospectus, the Trust’s Statement of Additional Information (“SAI”), any contracts filed as exhibits to the Trust’s registration statement, nor any other communications, disclosure documents or regulatory filings (including this report) from or on behalf of the Trust or a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Trust, a Fund, a service provider to the Trust or a Fund, and/or the Trustees or officers of the Trust, on the other hand. The Trustees (or the Trust and its officers, service providers or other delegates acting under authority of the Trustees) may amend the most recent prospectus or use a new prospectus, summary prospectus or SAI with respect to a Fund or the Trust, and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and may amend or enter into any contracts to which the Trust or a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement is specifically disclosed in the Trust’s then-current prospectus or SAI.
The Index Funds may make available a complete schedule of portfolio holdings and the percentages they represent of the Index Fund’s net assets. On each business day, before commencement of trading on NYSE Arca, each Active Fund will disclose on www.pimcoetfs.com the identities and quantities of the Active Fund’s portfolio holdings that will form the basis for the Active Fund’s calculation of NAV at the end of the business day. The frequency at which the daily market prices were at a discount or premium to each Fund’s NAV is disclosed on www.pimcoetfs.com. Please see “Disclosure of Portfolio Holdings” in the SAI for information about the availability of the complete schedule of each Fund’s holdings. Fund fact sheets provide additional information regarding a Fund and may be requested by calling (888) 400-4ETF and are available on the Fund’s website at www.pimcoetfs.com.
PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Trust as the policies and procedures that PIMCO will use when voting proxies on behalf of the Funds. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of each Fund, and information about how each Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Trust at(888) 400-4ETF, on the Funds’ website at www.pimcoetfs.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
The Funds file portfolio holdings information with the SEC onForm N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedules of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimcoetfs.com, and will be made available, upon request, by calling PIMCO at (888) 400-4ETF. Prior to its use of Form N-PORT, each Fund filed its complete schedule of its portfolio holdings with the SEC onForm N-Q, which is available online at www.sec.gov.
The SEC adopted a rule that, beginning in 2021, generally will allow the Funds to fulfill their obligation to deliver shareholder reports to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Pursuant to the rule, investors may still elect to receive a complete shareholder report in the mail. Instructions for electing to receive paper copies of a Fund’s shareholder reports going forward may be found on the front cover of this report.
The SEC adopted amendments to certain disclosure requirements relating to open-end investment companies’ liquidity risk management programs. Effective December 1, 2019, large fund complexes are required to include in their shareholder reports, following the period in which a fund’s Board of Trustees reviews the required written report from the liquidity risk management program’s administrator regarding such program’s operation and effectiveness, a discussion of such program’s operations over the past year.
The SEC has issued a proposed rule relating to a registered investment company’s use of derivatives and related instruments that, if adopted, could potentially require funds to reduce their use of leverage and/or observe more stringent asset coverage and related requirements than are currently imposed by the Investment Company Act of 1940, as amended, and the rules and regulations thereunder.
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PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
Ticker Symbol - ZROZ |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdownas of December 31, 2019†§
U.S. Treasury Obligations | 100.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (10/30/2009) | ||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (Based on Net Asset Value) | 5.69% | 21.22% | 5.00% | 10.29% | 8.95% | |||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund (At Market Price)(1) | 5.86% | 21.42% | 4.99% | 10.28% | 8.97% | |||||||||||||||||
The ICE BofAML Long U.S. Treasury Principal STRIPS IndexSM± | 6.15% | 22.36% | 5.33% | 10.49% | 9.13% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML Long US Treasury Principal STRIPS IndexSM is an unmanaged index comprised of long maturity Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) representing the final principal payment of U.S. Treasury bonds.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.15%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofAML Long US Treasury Principal STRIPS Index (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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Yields in the 25+ year segment of the U.S. Treasury Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) (zero-coupon) curve fell, positively impacting the return of both the Fund and the underlying index. |
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PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - STPZ |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
U.S. Treasury Obligations | 100.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (08/20/2009) | ||||||||||||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund (Based on Net Asset Value) | 1.32% | 4.84% | 1.62% | 1.52% | 1.78% | |||||||||||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund (At Market Price)(1) | 1.38% | 4.89% | 1.64% | 1.51% | 1.78% | |||||||||||||||||
The ICE BofAML1-5 Year U.S.Inflation-Linked Treasury IndexSM± | 1.42% | 5.08% | 1.84% | 1.74% | 2.00% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML1-5 Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 1 year and less than 5 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.20%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofAML1-5 Year US Inflation-Linked Treasury Index (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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | U.S. real yields moved lower across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the1-5 Year U.S. TIPS Index. |
» | A positive inflation accrual, or the change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Index. |
8 | PIMCO ETF TRUST |
Table of Contents
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - LTPZ |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
U.S. Treasury Obligations | 100.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (09/03/2009) | ||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund (Based on Net Asset Value) | 5.01% | 17.29% | 3.51% | 5.66% | 5.82% | |||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund (At Market Price)(1) | 4.96% | 17.43% | 3.44% | 5.66% | 5.82% | |||||||||||||||||
The ICE BofAML 15+ Year U.S.Inflation-Linked Treasury IndexSM± | 5.14% | 17.72% | 3.75% | 5.89% | 6.04% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML 15+ Year US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities) with a maturity of at least 15 years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.20%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofAML 15+ Year US Inflation-Linked Treasury Index (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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | U.S. real yields moved lower across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the 15+ Year U.S. TIPS Index. |
» | A positive inflation accrual, or the change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Index. |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 9 |
Table of Contents
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund
Ticker Symbol - TIPZ |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdownas of December 31, 2019†§
U.S. Treasury Obligations | 100.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (09/03/2009) | ||||||||||||||||||
PIMCO Broad U.S. TIPS IndexExchange-Traded Fund (Based on Net Asset Value) | 2.07% | 8.47% | 2.46% | 3.27% | 3.49% | |||||||||||||||||
PIMCO Broad U.S. TIPS IndexExchange-Traded Fund (At Market Price)(1) | 2.36% | 8.59% | 2.49% | 3.29% | 3.52% | |||||||||||||||||
The ICE BofAML U.S. Inflation-Linked Treasury IndexSM± | 2.20% | 8.77% | 2.67% | 3.48% | 3.69% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML US Inflation-Linked Treasury IndexSM is an unmanaged index comprised of TIPS (Treasury Inflation Protected Securities).
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.20%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofAML US Inflation-Linked Treasury Index (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. PIMCO uses an indexing approach in managing the Fund’s investments. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | U.S. real yields moved lower across the U.S. Treasury Inflation-Protected Securities (“TIPS”) yield curve, resulting in positive performance for both the Fund and the U.S. TIPS Index. |
» | A positive inflation accrual, or the change in the Consumer Price Index, applied to the principal of underlying securities had a positive impact on performance for both the Fund and the Index. |
10 | PIMCO ETF TRUST |
Table of Contents
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
Ticker Symbol - HYS |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Corporate Bonds & Notes | 78.3% | |||
Short-Term Instruments | 21.2% | |||
Other | 0.5% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||
6 Months* | 1 Year | 5 Years | Fund Inception (06/16/2011) | |||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | 2.00% | 9.89% | 4.77% | 5.18% | ||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 2.21% | 10.21% | 4.87% | 5.18% | ||||||||||||||
ICE BofAML0-5 Year US High Yield Constrained Index± | 2.38% | 9.90% | 5.31% | 5.69% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML0-5 Year US High Yield Constrained Index tracks the performance of short-term U.S. dollar denominated below investment grade corporate debt issued in the U.S. domestic market with less than five years remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $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. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.56%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO0-5 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 ICE BofAML0-5 Year US High Yield Constrained Index (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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Security selection in the energy sector contributed to performance, as the Fund’s energy sector positions outperformed the broader sector. |
» | Security selection in the consumer non-cyclical sector contributed to performance, as the Fund’s consumer non-cyclical positions outperformed the broader sector. |
» | Security selection in the media, entertainment & publish sector contributed to performance, as the Fund’s media, entertainment & publish positions outperformed the broader sector. |
» | Security selection in the gaming & lodging sector detracted from performance, as the Fund’s gaming & lodging positions underperformed the broader sector. |
» | Security selection in the retail sector detracted from performance, as the Fund’s retail positions underperformed the broader sector. |
» | Security selection in the finance & insurance sector detracted from performance, as the Fund’s finance & insurance positions underperformed the broader sector. |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 11 |
Table of Contents
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Ticker Symbol - CORP |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Industrials | 46.5% | |||
Banking & Finance | 39.6% | |||
Utilities | 12.7% | |||
Short-Term Instruments | 1.0% | |||
Other | 0.2% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||
6 Months* | 1 Year | 5 Years | Fund Inception (09/20/2010) | |||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (Based on Net Asset Value) | 4.23% | 14.45% | 4.59% | 4.84% | ||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund (At Market Price)(1) | 4.40% | 14.92% | 4.65% | 4.87% | ||||||||||||||
ICE BofAML US Corporate IndexSM± | 4.25% | 14.23% | 4.60% | 4.95% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± ICE BofAML US Corporate IndexSM is an unmanaged index comprised of U.S. dollar denominated investment grade, fixed rate corporate debt securities publicly issued in the U.S. domestic market with at least one year remaining term to final maturity and at least $250 million outstanding.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.20%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofAML US Corporate Index (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. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | The Fund had positive performance over the period as the index had positive performance over period. |
12 | PIMCO ETF TRUST |
Table of Contents
PIMCO Active Bond Exchange-Traded Fund
Ticker Symbol - BOND |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
U.S. Government Agencies | 43.3% | |||
Corporate Bonds & Notes | 28.3% | |||
Asset-Backed Securities | 10.8% | |||
U.S. Treasury Obligations | 7.2% | |||
Non-Agency Mortgage-Backed Securities | 5.1% | |||
Municipal Bonds & Notes | 1.9% | |||
Preferred Securities | 1.2% | |||
Short-Term Instruments | 0.8% | |||
Other | 1.4% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||
6 Months* | 1 Year | 5 Years | Fund Inception (02/29/2012) | |||||||||||||||
PIMCO Active Bond Exchange-Traded Fund (Based on Net Asset Value) | 2.22% | 8.69% | 3.45% | 4.37% | ||||||||||||||
PIMCO Active Bond Exchange-Traded Fund (At Market Price)(1) | 2.27% | 8.64% | 3.50% | 4.37% | ||||||||||||||
Bloomberg Barclays U.S. Aggregate Index± | 2.45% | 8.72% | 3.05% | 2.85% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± Bloomberg Barclays U.S. Aggregate Index represents securities that areSEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.73%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Active Bond Exchange-Traded Fund seeks current income and long-term capital appreciation, consistent with prudent investment management, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Overweight exposure to Agency mortgage-backed securities (“MBS”) — along with the associated carry — contributed to relative performance as spreads tightened over the reporting period. |
» | Overweight exposure to financial credits contributed to relative performance as spreads tightened. |
» | Positions in non-Agency MBS and other securitized instruments contributed to relative performance as total returns in these securities were positive over the reporting period. |
» | Select holdings of taxable municipal bonds contributed to relative performance over the reporting period as spreads tightened. |
» | Underweight exposure to U.S. duration detracted from relative performance as rates decreased. |
» | Modest exposure to the Argentinian peso detracted from relative performance as the currency depreciated against the U.S. dollar in August. |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 13 |
Table of Contents
PIMCO Enhanced Low Duration Active Exchange-Traded Fund
Ticker Symbol - LDUR |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Corporate Bonds & Notes | 57.0% | |||
U.S. Government Agencies | 15.3% | |||
U.S. Treasury Obligations | 10.7% | |||
Asset-Backed Securities | 8.5% | |||
Non-Agency Mortgage-Backed Securities | 7.1% | |||
Short-Term Instruments | 0.7% | |||
Other | 0.7% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||
6 Months* | 1 Year | 5 Years | Fund Inception (01/22/2014) | |||||||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund (Based on Net Asset Value) | 1.61% | 4.35% | 2.54% | 2.45% | ||||||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund (At Market Price)(1) | 1.59% | 4.18% | 2.54% | 2.45% | ||||||||||||||
ICE BofAML1-3 Year U.S. Treasury Index± | 1.09% | 3.55% | 1.39% | 1.28% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The ICE BofAML1-3 Year U.S. Treasury Index is an unmanaged index comprised of U.S. Treasury securities, other than inflation-protection securities and STRIPS, with at least $1 billion in outstanding face value and a remaining term to final maturity of at least one year and less than three years.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.86%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Enhanced Low Duration Active Exchange-Traded Fund seeks maximum total return, consistent with preservation of capital and prudent investment management, by investing under normal circumstances at least 80% of its net assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards or derivatives such as options, futures contracts, or swap agreements. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-U.S. public- or private-sector entities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Holdings of investment grade corporate credit contributed to performance as investment grade corporate credit spreads decreased over the second half of 2019. |
» | Holdings of Agency mortgage-backed securities contributed to performance as Agency spreads narrowed over the second half of 2019. |
» | Holdings of select securitized credit contributed to performance as securitized spreads decreased over the second half of 2019. |
» | Overweight exposure to intermediate-term U.S. duration detracted from performance as U.S. Treasury yields increased over the fourth quarter. |
» | A long Japanese yen bias versus the U.S. dollar detracted from performance as the U.S. dollar appreciated against the yen in the latter half of 2019. |
14 | PIMCO ETF TRUST |
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PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
Ticker Symbol - EMNT |
A line graph is not included since the Fund has less than six months of performance.
Allocation Breakdown as of December 31, 2019†§
Corporate Bonds & Notes | 56.7% | |||
Short-Term Instruments | 18.5% | |||
U.S. Government Agencies | 15.3% | |||
Asset-Backed Securities | 9.5% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
A line graph is not included since the Fund has less than six months of performance.
Cumulative Total Return for the period ended December 31, 2019 | ||||
Fund Inception (12/10/2019)* | ||||
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund (Based on Net Asset Value) | 0.23% | |||
PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund (At Market Price)(1)(2) | 0.09% | |||
FTSE3-Month Treasury Bill Index± | 0.10% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
(2) | The Fund was seeded on December 10, 2019, but was not listed for trading until December 12, 2019. Accordingly, there is no Market Price information for December 10, 2019 through December 11, 2019. |
± FTSE3-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.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.50%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
The PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, while incorporating PIMCO’s ESG investment strategy. The Fund seeks to achieve its investment objective by investing under normal circumstances at least 80% of its net assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. and non-U.S. public- or private-sector entities.
The Fund will not invest in the securities of any issuer determined by PIMCO to be engaged principally in the manufacture of alcoholic beverages, tobacco products or military equipment, the operation of gambling casinos, the production of coal, or in the production or trade of pornographic materials. To the extent possible on the basis of information available to PIMCO, an issuer will be deemed to be principally engaged in an activity if it derives more than 10% of its gross revenues from such activities. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Holdings of investment grade corporate credit contributed to performance as investment grade corporate credit spreads decreased over the second half of 2019. |
» | Holdings of Agency mortgage-backed securities contributed to performance as Agency spreads decreased over the second half of 2019. |
» | There were no notable detractors. |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 15 |
Table of Contents
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund
Ticker Symbol - MINT |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Corporate Bonds & Notes | 58.8% | |||
Asset-Backed Securities | 13.0% | |||
U.S. Treasury Obligations | 8.5% | |||
U.S. Government Agencies | 8.4% | |||
Short-Term Instruments | 6.4% | |||
Non-Agency Mortgage-Backed Securities | 3.1% | |||
Sovereign Issues | 1.5% | |||
Municipal Bonds & Notes | 0.3% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (11/16/2009) | ||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (Based on Net Asset Value) | 1.32% | 3.31% | 1.88% | 1.53% | 1.51% | |||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund (At Market Price)(1) | 1.36% | 3.32% | 1.88% | 1.52% | 1.51% | |||||||||||||||||
FTSE3-Month Treasury Bill Index± | 1.03% | 2.25% | 1.05% | 0.56% | 0.55%¨ |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
¨ Average annual total return since 11/30/2009.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± FTSE3-Month Treasury Bill Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com orvia (888) 400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.36%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund seeks maximum current income, consistent with preservation of capital and daily liquidity, by investing under normal circumstances at least 80% of its net assets in a diversified portfolio of Fixed Income Instruments of varying maturities, which may be represented by forwards. “Fixed Income Instruments” include bonds, debt securities and other similar instruments issued by various U.S. andnon-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. The Fund may invest, without limitation, in U.S. dollar-denominated securities and instruments of foreign issuers. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Holdings of investment grade corporate credit contributed to performance as investment grade corporate credit spreads decreased over the second half of 2019. |
» | Overweight exposure to U.S. duration contributed to performance as U.S. Treasury yields decreased over the second half of 2019. |
» | Holdings of select securitized credit contributed to performance as securitized credit spreads decreased over the second half of 2019. |
» | There were no notable detractors. |
16 | PIMCO ETF TRUST |
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PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - MUNI |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Municipal Bonds & Notes | ||||
Health, Hospital & Nursing Home Revenue | 13.1% | |||
Ad Valorem Property Tax | 12.2% | |||
Electric Power & Light Revenue | 9.1% | |||
Highway Revenue Tolls | 7.3% | |||
Tobacco Settlement Funded | 6.7% | |||
Natural Gas Revenue | 6.4% | |||
Port, Airport & Marina Revenue | 4.9% | |||
Water Revenue | 4.5% | |||
Income Tax Revenue | 3.1% | |||
Appropriations | 2.9% | |||
College & University Revenue | 2.8% | |||
Lease (Appropriation) | 2.7% | |||
Sales Tax Revenue | 2.1% | |||
Industrial Revenue | 2.0% | |||
Nuclear Revenue | 1.9% | |||
Transit Revenue | 1.8% | |||
Fuel Sales Tax Revenue | 1.4% | |||
Hotel Occupancy Tax | 1.4% | |||
Sewer Revenue | 1.3% | |||
Miscellaneous Revenue | 1.3% | |||
Miscellaneous Taxes | 1.2% | |||
Government Fund/Grant Revenue | 1.1% | |||
Other | 2.7% | |||
Short-Term Instruments | 6.1% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||||||
6 Months* | 1 Year | 5 Years | 10 Years | Fund Inception (11/30/2009) | ||||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (Based on Net Asset Value) | 1.96% | 7.03% | 2.98% | 3.40% | 3.33% | |||||||||||||||||
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund (At Market Price)(1) | 1.95% | 7.11% | 3.00% | 3.41% | 3.35% | |||||||||||||||||
Bloomberg Barclays1-15 Year Municipal Bond Index± | 1.95% | 6.44% | 3.01% | 3.66% | 3.62% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± Bloomberg Barclays1-15 Year Municipal Bond Index consists of a broad selection of investment grade general obligation and revenue bonds of maturities ranging from one year to 17 years. It is an unmanaged index representative of the tax exempt bond market.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com or via (888)400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.35%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Intermediate Municipal Bond Active Exchange-Traded Fund seeks attractivetax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Overweight exposure to the industrial revenue sector contributed to performance, as the industrial revenue sector outperformed the general municipal market. |
» | Select exposure to the electric utility sector contributed to performance, as the portfolio’s exposure to the sector outperformed the general municipal market. |
» | Overweight exposure to the tobacco sector contributed to performance, as the tobacco sector outperformed the general municipal market. |
» | The Fund’s duration exposure contributed to performance, as municipal yields decreased across the yield curve. |
» | Underweight exposure to the lease-backed sector detracted from performance, as the lease-backed sector outperformed the general municipal market. |
» | Underweight exposure to the education sector detracted from performance, as the education sector outperformed the general municipal market. |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 17 |
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PIMCO Short Term Municipal Bond Active Exchange-Traded Fund
Ticker Symbol - SMMU |
Cumulative Returns Through December 31, 2019
$10,000 invested at the end of the month when the Fund commenced operations.
Allocation Breakdown as of December 31, 2019†§
Municipal Bonds & Notes | ||||
Health, Hospital & Nursing Home Revenue | 21.6% | |||
Electric Power & Light Revenue | 13.8% | |||
Ad Valorem Property Tax | 10.2% | |||
Highway Revenue Tolls | 5.8% | |||
Natural Gas Revenue | 5.5% | |||
Industrial Revenue | 5.4% | |||
College & University Revenue | 3.5% | |||
Miscellaneous Revenue | 3.5% | |||
Tobacco Settlement Funded | 2.9% | |||
Port, Airport & Marina Revenue | 2.8% | |||
Transit Revenue | 2.6% | |||
Miscellaneous Taxes | 2.3% | |||
Income Tax Revenue | 2.2% | |||
Local or Guaranteed Housing | 1.9% | |||
Water Revenue | 1.8% | |||
Resource Recovery Revenue | 1.7% | |||
Sales Tax Revenue | 1.6% | |||
Sewer Revenue | 1.5% | |||
Fuel Sales Tax Revenue | 1.0% | |||
Other | 1.4% | |||
Short-Term Instruments | 7.0% |
† | % of Investments, at value. |
§ | Allocation Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any. |
Average Annual Total Return for the period ended December 31, 2019 | ||||||||||||||||||
6 Months* | 1 Year | 5 Years | Fund Inception (02/01/2010) | |||||||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund (Based on Net Asset Value) | 1.10% | 3.43% | 1.48% | 1.26% | ||||||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund (At Market Price)(1) | 1.14% | 3.52% | 1.54% | 1.27% | ||||||||||||||
Bloomberg Barclays1-Year Municipal Bond Index± | 0.87% | 2.46% | 1.20% | 1.09% |
All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.
* Cumulative return.
Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.
(1) | The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. |
± The Bloomberg Barclays1-Year Municipal Bond Index is the 1 Year(1-2) component of the Municipal Bond Index. The Index is a rules-based, market-value-weighted index engineered for the long termtax-exempt bond market. To be included in the Index, bonds must be rated investment-grade(Baa3/BBB- or higher) by at least two of the following ratings agencies: Moody’s, S&P and Fitch. If only two of the three agencies rate the security, the lower rating is used to determine index eligibility. If only one of the three agencies rates a security, the rating must be investment-grade. They must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. Remarketed issues, taxable municipal bonds, bonds with floating rates, and derivatives, are excluded from the benchmark.
It is not possible to invest directly in an unmanaged index.
Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index. Performance data current to the most recentmonth-end is available at www.pimcoetfs.com or via (888)400-4ETF.
The Fund’s total annual operating expense ratio in effect as of period end was 0.35%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.
Investment Objective and Strategy Overview
PIMCO Short Term Municipal Bond Active Exchange-Traded Fund seeks attractivetax-exempt income, consistent with preservation of capital, by investing under normal circumstances at least 80% of its assets in a diversified portfolio of debt securities whose interest is, in the opinion of bond counsel for the issuer at the time of issuance, exempt from federal income tax (“Municipal Bonds”). The Fund does not intend to invest in Municipal Bonds whose interest is subject to the federal alternative minimum tax. The Fund may only invest in U.S. dollar-denominated investment grade debt securities, rated Baa or higher by Moody’s Investors Service, Inc. (“Moody’s”), or equivalently rated by Standard & Poor’s Ratings Services (“S&P”) or Fitch, Inc. (“Fitch”), or, if unrated, determined by PIMCO to be of comparable quality. The Fund may invest 25% or more of its total assets in Municipal Bonds that finance similar projects, such as those relating to education, health care, housing, transportation, and utilities, and 25% or more of its total assets in industrial development bonds. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.
Fund Insights at NAV
The following affected performance (on a gross basis) during the reporting period:
» | Overweight exposure to the revenue bond segment contributed to performance, as the segment outperformed the general municipal market. |
» | Overweight exposure to the industrial revenue sector contributed to performance, as the industrial revenue sector outperformed the general municipal market. |
» | Overweight exposure to the healthcare sector contributed to performance, as the healthcare sector outperformed the general municipal market. |
» | The Fund’s duration positioning detracted from performance, as front end municipal yields decreased over the period. |
» | Select exposure to pre-refunded debt detracted from performance. |
» | Underweight exposure to the lease-backed sector detracted from performance, as the lease-backed sector outperformed the general municipal market. |
18 | PIMCO ETF TRUST |
Table of Contents
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, management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds is from July 1, 2019 to December 31, 2019 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 this information, 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 fees (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).
Actual | Hypothetical (5 return before expenses) | |||||||||||||||||||||||||||||||||||||||
Beginning Account Value (07/01/19) | Ending Account Value (12/31/19) | Expenses Paid During Period* | Beginning Account Value (07/01/19) | Ending Account Value (12/31/19) | Expenses Paid During Period* | Net Annualized Expense Ratio** | ||||||||||||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury IndexExchange-Traded Fund | $ | 1,000.00 | $ | 1,056.90 | $ | 0.78 | $ | 1,000.00 | $ | 1,024.52 | $ | 0.77 | 0.15 | % | ||||||||||||||||||||||||||
PIMCO1-5 Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,013.20 | 1.02 | 1,000.00 | 1,024.26 | 1.02 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,050.10 | 1.04 | 1,000.00 | 1,024.26 | 1.02 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 1,000.00 | 1,020.70 | 1.02 | 1,000.00 | 1,024.26 | 1.02 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond IndexExchange-Traded Fund | 1,000.00 | 1,019.90 | 2.91 | 1,000.00 | 1,022.39 | 2.91 | 0.57 | |||||||||||||||||||||||||||||||||
PIMCO Investment Grade Corporate Bond IndexExchange-Traded Fund | 1,000.00 | 1,042.30 | 1.03 | 1,000.00 | 1,024.26 | 1.02 | 0.20 | |||||||||||||||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund | 1,000.00 | 1,022.20 | 2.86 | 1,000.00 | 1,022.44 | 2.86 | 0.56 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active Exchange-Traded Fund | 1,000.00 | 1,016.10 | 2.50 | 1,000.00 | 1,022.80 | 2.51 | 0.49 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund(a) | 1,000.00 | 1,002.30 | 0.15 | 1,000.00 | 1,000.00 | 0.00 | 0.25 | |||||||||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | 1,000.00 | 1,013.20 | 1.88 | 1,000.00 | 1,023.40 | 1.89 | 0.37 | |||||||||||||||||||||||||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 1,000.00 | 1,019.60 | 1.79 | 1,000.00 | 1,023.50 | 1.79 | 0.35 | |||||||||||||||||||||||||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | 1,000.00 | 1,011.00 | 1.78 | 1,000.00 | 1,023.50 | 1.79 | 0.35 |
* Expenses Paid During Period are equal to the net annualized expense ratio for the Fund, multiplied by the average account value over the period, multiplied by 185/366 (to reflect theone-half year period).
** Net Annualized Expense Ratio is reflective of any applicable contractual fee waivers and/or expense reimbursements or voluntary fee waivers. Details regarding fee waivers, if any, can be found in Note 9, Fees and Expenses, in the Notes to Financial Statements.
(a) The Beginning Account Value is reflective as of 12/10/19 for Actual expense. Expenses paid in the Actual expense section are equal to the Net Annualized Expense Ratio for the Portfolio, multiplied by the average account value over the period, multiplied by 22/366 (to reflect the period since inception date of 12/10/19). Hypothetical expenses reflect an amount as if the Portfolio had been operational for the entire fiscal half year.
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 19 |
Table of Contents
Investment Operations | Less Distributions(c) | |||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period(a) | Net Investment Income (Loss)(b) | Net Unrealized Gain (Loss) | Total | From Net Investment Income | From Net Realized Capital Gains | Tax Basis Return of Capital | Total | ||||||||||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 128.17 | $ | 1.56 | $ | 5.76 | $ | 7.32 | $ | (2.23 | ) | $ | 0.00 | $ | 0.00 | $ | (2.23 | ) | ||||||||||||||
06/30/2019 | 115.51 | 3.15 | 12.73 | 15.88 | (3.22 | ) | 0.00 | 0.00 | (3.22 | ) | ||||||||||||||||||||||
06/30/2018 | 117.38 | 3.11 | (1.85 | ) | 1.26 | (3.13 | ) | 0.00 | 0.00 | (3.13 | ) | |||||||||||||||||||||
06/30/2017 | 135.43 | 3.10 | (17.80 | ) | (14.70 | ) | (3.35 | ) | 0.00 | 0.00 | (3.35 | ) | ||||||||||||||||||||
06/30/2016 | 105.39 | 3.16 | 29.17 | 32.33 | (2.29 | ) | 0.00 | 0.00 | (2.29 | ) | ||||||||||||||||||||||
06/30/2015 | 99.87 | 3.18 | 5.62 | 8.80 | (3.28 | ) | 0.00 | 0.00 | (3.28 | ) | ||||||||||||||||||||||
PIMCO1-5 Year U.S. TIPS Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 52.62 | $ | 0.39 | $ | 0.30 | $ | 0.69 | $ | (0.92 | ) | $ | 0.00 | $ | 0.00 | $ | (0.92 | ) | ||||||||||||||
06/30/2019 | 51.76 | 0.97 | 0.64 | 1.61 | (0.75 | ) | 0.00 | 0.00 | (0.75 | ) | ||||||||||||||||||||||
06/30/2018 | 52.18 | 1.04 | (0.51 | ) | 0.53 | (0.95 | ) | 0.00 | 0.00 | (0.95 | ) | |||||||||||||||||||||
06/30/2017 | 52.83 | 0.87 | (0.87 | ) | 0.00 | (0.65 | ) | 0.00 | 0.00 | (0.65 | ) | |||||||||||||||||||||
06/30/2016 | 52.18 | 0.19 | 0.71 | 0.90 | 0.00 | 0.00 | (0.25 | ) | (0.25 | ) | ||||||||||||||||||||||
06/30/2015 | 53.58 | (0.67 | ) | (0.54 | ) | (1.21 | ) | (0.02 | ) | 0.00 | (0.17 | ) | (0.19 | ) | ||||||||||||||||||
PIMCO 15+ Year U.S. TIPS Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 69.61 | $ | 0.65 | $ | 2.84 | $ | 3.49 | $ | (1.25 | ) | $ | 0.00 | $ | 0.00 | $ | (1.25 | ) | ||||||||||||||
06/30/2019 | 67.57 | 1.58 | 1.72 | 3.30 | (1.26 | ) | 0.00 | 0.00 | (1.26 | ) | ||||||||||||||||||||||
06/30/2018 | 65.64 | 2.03 | 1.79 | 3.82 | (1.89 | ) | 0.00 | 0.00 | (1.89 | ) | ||||||||||||||||||||||
06/30/2017 | 69.55 | 1.80 | (3.74 | ) | (1.94 | ) | (1.97 | ) | 0.00 | 0.00 | (1.97 | ) | ||||||||||||||||||||
06/30/2016 | 62.95 | 1.01 | 6.02 | 7.03 | (0.43 | ) | 0.00 | 0.00 | (0.43 | ) | ||||||||||||||||||||||
06/30/2015 | 65.02 | 0.21 | (1.83 | ) | (1.62 | ) | (0.45 | ) | 0.00 | 0.00 | (0.45 | ) | ||||||||||||||||||||
PIMCO Broad U.S. TIPS Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 59.46 | $ | 0.42 | $ | 0.81 | $ | 1.23 | $ | (0.99 | ) | $ | 0.00 | $ | 0.00 | $ | (0.99 | ) | ||||||||||||||
06/30/2019 | 57.61 | 1.08 | 1.57 | 2.65 | (0.80 | ) | 0.00 | 0.00 | (0.80 | ) | ||||||||||||||||||||||
06/30/2018 | 57.61 | 1.25 | (0.07 | ) | 1.18 | (1.18 | ) | 0.00 | 0.00 | (1.18 | ) | |||||||||||||||||||||
06/30/2017 | 59.09 | 1.10 | (1.61 | ) | (0.51 | ) | (0.97 | ) | 0.00 | 0.00 | (0.97 | ) | ||||||||||||||||||||
06/30/2016 | 56.73 | 0.54 | 2.13 | 2.67 | (0.31 | ) | 0.00 | 0.00 | (0.31 | ) | ||||||||||||||||||||||
06/30/2015 | 58.14 | 0.00 | (1.17 | ) | (1.17 | ) | (0.09 | ) | 0.00 | (0.15 | ) | (0.24 | ) | |||||||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 100.71 | $ | 2.19 | $ | (0.23 | ) | $ | 1.96 | $ | (2.90 | ) | $ | 0.00 | $ | 0.00 | $ | (2.90 | ) | |||||||||||||
06/30/2019 | 100.07 | 4.63 | 0.90 | 5.53 | (4.89 | ) | 0.00 | 0.00 | (4.89 | ) | ||||||||||||||||||||||
06/30/2018 | 101.62 | 4.44 | (1.28 | ) | 3.16 | (4.71 | ) | 0.00 | 0.00 | (4.71 | ) | |||||||||||||||||||||
06/30/2017 | 96.65 | 4.60 | 5.66 | 10.26 | (5.29 | ) | 0.00 | 0.00 | (5.29 | ) | ||||||||||||||||||||||
06/30/2016 | 100.37 | 4.52 | (3.69 | ) | 0.83 | (4.55 | ) | 0.00 | 0.00 | (4.55 | ) | |||||||||||||||||||||
06/30/2015 | 106.76 | 4.06 | (4.96 | ) | (0.90 | ) | (4.53 | ) | (0.96 | ) | 0.00 | (5.49 | ) | |||||||||||||||||||
PIMCO Investment Grade Corporate Bond Index | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 107.27 | $ | 1.74 | $ | 2.77 | $ | 4.51 | $ | (2.08 | ) | $ | 0.00 | $ | 0.00 | $ | (2.08 | ) | ||||||||||||||
06/30/2019 | 100.41 | 3.44 | 6.96 | 10.40 | (3.54 | ) | 0.00 | 0.00 | (3.54 | ) | ||||||||||||||||||||||
06/30/2018 | 104.90 | 3.31 | (4.43 | ) | (1.12 | ) | (3.31 | ) | (0.06 | ) | 0.00 | (3.37 | ) | |||||||||||||||||||
06/30/2017 | 105.72 | 3.11 | (0.86 | ) | 2.25 | (3.07 | ) | 0.00 | 0.00 | (3.07 | ) | |||||||||||||||||||||
06/30/2016 | 100.50 | 3.10 | 4.91 | 8.01 | (2.75 | ) | (0.04 | ) | 0.00 | (2.79 | ) | |||||||||||||||||||||
06/30/2015 | 103.21 | 3.14 | (2.35 | ) | 0.79 | (3.17 | ) | (0.33 | ) | 0.00 | (3.50 | ) | ||||||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 107.54 | $ | 1.53 | $ | 0.85 | $ | 2.38 | $ | (2.09 | ) | $ | 0.00 | $ | 0.00 | $ | (2.09 | ) | ||||||||||||||
06/30/2019 | 103.19 | 3.54 | 4.49 | 8.03 | (3.68 | ) | 0.00 | 0.00 | (3.68 | ) | ||||||||||||||||||||||
06/30/2018 | 106.07 | 3.17 | (2.73 | ) | 0.44 | (3.06 | ) | 0.00 | (0.26 | ) | (3.32 | ) | ||||||||||||||||||||
06/30/2017 | 107.31 | 2.88 | (0.80 | ) | 2.08 | (2.48 | ) | 0.00 | (0.84 | ) | (3.32 | ) | ||||||||||||||||||||
06/30/2016 | 106.69 | 3.09 | 1.31 | 4.40 | (3.78 | ) | 0.00 | 0.00 | (3.78 | ) | ||||||||||||||||||||||
06/30/2015 | 108.85 | 2.83 | 0.42 | 3.25 | (5.41 | ) | 0.00 | 0.00 | (5.41 | ) |
20 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
Net Asset Value End of Year or Period(a) | Total Return(a) | Net Assets End of Year or Period (000s) | Expenses | Expenses Excluding Waivers | Expenses Excluding Interest Expense | Expenses Excluding Interest Expense and Waivers | Net Investment Income (Loss) | Portfolio Turnover Rate(d) | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 133.26 | 5.69 | % | $ | 262,526 | 0.15 | %* | 0.15 | %* | 0.15 | %* | 0.15 | %* | 2.23 | %* | 10 | % | |||||||||||||||||
128.17 | 14.17 | 265,315 | 0.15 | 0.15 | 0.15 | 0.15 | 2.79 | 21 | ||||||||||||||||||||||||||
115.51 | 1.08 | 164,028 | 0.15 | 0.15 | 0.15 | 0.15 | 2.71 | 19 | ||||||||||||||||||||||||||
117.38 | (10.88 | ) | 166,683 | 0.15 | 0.15 | 0.15 | 0.15 | 2.53 | 14 | |||||||||||||||||||||||||
135.43 | 31.09 | 442,851 | 0.15 | 0.15 | 0.15 | 0.15 | 2.67 | 23 | ||||||||||||||||||||||||||
105.39 | 8.64 | 96,960 | 0.16 | 0.16 | 0.16 | 0.16 | 2.75 | 18 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 52.39 | 1.32 | % | $ | 705,702 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 1.46 | %* | 10 | % | |||||||||||||||||
52.62 | 3.17 | 748,304 | 0.20 | 0.20 | 0.20 | 0.20 | 1.89 | 36 | ||||||||||||||||||||||||||
51.76 | 1.02 | 826,530 | 0.20 | 0.20 | 0.20 | 0.20 | 2.01 | 32 | ||||||||||||||||||||||||||
52.18 | 0.00 | 1,136,011 | 0.20 | 0.20 | 0.20 | 0.20 | 1.64 | 38 | ||||||||||||||||||||||||||
52.83 | 1.74 | 1,065,611 | 0.20 | 0.20 | 0.20 | 0.20 | 0.36 | 41 | ||||||||||||||||||||||||||
52.18 | (2.27 | ) | 1,182,866 | 0.20 | 0.20 | 0.20 | 0.20 | (1.28 | ) | 31 | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 71.85 | 5.01 | % | $ | 256,489 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 1.76 | %* | 6 | % | |||||||||||||||||
69.61 | 5.06 | 178,903 | 0.20 | 0.20 | 0.20 | 0.20 | 2.45 | 6 | ||||||||||||||||||||||||||
67.57 | 5.88 | 254,745 | 0.20 | 0.20 | 0.20 | 0.20 | 3.05 | 10 | ||||||||||||||||||||||||||
65.64 | (2.82 | ) | 148,992 | 0.20 | 0.20 | 0.20 | 0.20 | 2.66 | 16 | |||||||||||||||||||||||||
69.55 | 11.25 | 109,197 | 0.20 | 0.20 | 0.20 | 0.20 | 1.59 | 12 | ||||||||||||||||||||||||||
62.95 | (2.52 | ) | 92,539 | 0.21 | 0.21 | 0.21 | 0.21 | 0.31 | 14 | |||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 59.70 | 2.07 | % | $ | 52,532 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 1.38 | %* | 3 | % | |||||||||||||||||
59.46 | 4.69 | 52,327 | 0.20 | 0.20 | 0.20 | 0.20 | 1.89 | 9 | ||||||||||||||||||||||||||
57.61 | 2.07 | 50,695 | 0.21 | 0.21 | 0.21 | 0.21 | 2.18 | 8 | ||||||||||||||||||||||||||
57.61 | (0.87 | ) | 70,864 | 0.20 | 0.20 | 0.20 | 0.20 | 1.88 | 8 | |||||||||||||||||||||||||
59.09 | 4.73 | 90,404 | 0.20 | 0.20 | 0.20 | 0.20 | 0.96 | 10 | ||||||||||||||||||||||||||
56.73 | (2.02 | ) | 92,473 | 0.21 | 0.21 | 0.21 | 0.21 | (0.01 | ) | 23 | ||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 99.77 | 1.99 | % | $ | 1,636,214 | 0.57 | %* | 0.57 | %* | 0.55 | %* | 0.55 | %* | 4.35 | %* | 17 | % | |||||||||||||||||
100.71 | 5.71 | 1,460,224 | 0.56 | 0.56 | 0.55 | 0.55 | 4.66 | 27 | ||||||||||||||||||||||||||
100.07 | 3.18 | 1,666,164 | 0.56 | 0.56 | 0.55 | 0.55 | 4.41 | 42 | ||||||||||||||||||||||||||
101.62 | 10.88 | 1,824,151 | 0.55 | 0.55 | 0.55 | 0.55 | 4.58 | 43 | ||||||||||||||||||||||||||
96.65 | 1.04 | 2,044,168 | 0.55 | 0.55 | 0.55 | 0.55 | 4.75 | 34 | ||||||||||||||||||||||||||
100.37 | (0.82 | ) | 2,805,241 | 0.55 | 0.55 | 0.55 | 0.55 | 3.92 | 28 | |||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 109.70 | 4.23 | % | $ | 634,041 | 0.20 | %* | 0.20 | %* | 0.20 | %* | 0.20 | %* | 3.15 | %* | 8 | % | |||||||||||||||||
107.27 | 10.65 | 797,018 | 0.20 | 0.20 | 0.20 | 0.20 | 3.41 | 27 | ||||||||||||||||||||||||||
100.41 | (1.12 | ) | 756,084 | 0.20 | 0.20 | 0.20 | 0.20 | 3.20 | 10 | |||||||||||||||||||||||||
104.90 | 2.19 | 737,459 | 0.20 | 0.20 | 0.20 | 0.20 | 2.97 | 7 | ||||||||||||||||||||||||||
105.72 | 8.14 | 447,211 | 0.20 | 0.20 | 0.20 | 0.20 | 3.05 | 13 | ||||||||||||||||||||||||||
100.50 | 0.74 | 244,203 | 0.20 | 0.20 | 0.20 | 0.20 | 3.04 | 12 | ||||||||||||||||||||||||||
$ | 107.83 | 2.22 | % | $ | 2,925,308 | 0.56 | %* | 0.56 | %* | 0.55 | %* | 0.55 | %* | 2.79 | %* | 30 | % | |||||||||||||||||
107.54 | 7.99 | 2,422,925 | 0.73 | 0.73 | 0.55 | 0.55 | 3.42 | 155 | ||||||||||||||||||||||||||
103.19 | 0.41 | 2,072,132 | 0.76 | 0.76 | 0.55 | 0.55 | 3.03 | 142 | ||||||||||||||||||||||||||
106.07 | 2.00 | 2,039,657 | 0.61 | 0.61 | 0.55 | 0.55 | 2.70 | 569 | ||||||||||||||||||||||||||
107.31 | 4.25 | 2,594,821 | 0.56 | 0.58 | 0.55 | 0.57 | 2.92 | 475 | ||||||||||||||||||||||||||
106.69 | 3.01 | 2,489,072 | 0.57 | 0.63 | 0.55 | 0.61 | 2.60 | 180 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 21 |
Table of Contents
Financial Highlights(Cont.)
Investment Operations | Less Distributions(c) | |||||||||||||||||||||||||||||||
Selected Per Share Data for the Year or Period Ended^: | Net Asset Value Beginning of Year or Period(a) | Net Investment Income (Loss)(b) | Net Unrealized Gain (Loss) | Total | From Net Investment Income | From Net Realized Capital Gains | Tax Basis Return of Capital | Total | ||||||||||||||||||||||||
PIMCO Enhanced Low Duration Active | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 100.15 | $ | 1.43 | $ | 0.17 | $ | 1.60 | $ | (1.99 | ) | $ | 0.00 | $ | 0.00 | $ | (1.99 | ) | ||||||||||||||
06/30/2019 | 99.61 | 2.96 | 0.62 | 3.58 | (3.04 | ) | 0.00 | 0.00 | (3.04 | ) | ||||||||||||||||||||||
06/30/2018 | 101.02 | 2.51 | (1.42 | ) | 1.09 | (2.50 | ) | 0.00 | 0.00 | (2.50 | ) | |||||||||||||||||||||
06/30/2017 | 100.23 | 2.17 | 0.35 | 2.52 | (1.73 | ) | 0.00 | 0.00 | (1.73 | ) | ||||||||||||||||||||||
06/30/2016 | 101.62 | 1.97 | (0.24 | ) | 1.73 | (2.30 | ) | (0.82 | ) | 0.00 | (3.12 | ) | ||||||||||||||||||||
06/30/2015 | 101.27 | 1.32 | 1.05 | 2.37 | (1.77 | ) | (0.25 | ) | 0.00 | (2.02 | ) | |||||||||||||||||||||
PIMCO Enhanced Short Maturity Active ESG | ||||||||||||||||||||||||||||||||
12/10/2019 - 12/31/2019+ | $ | 100.00 | $ | 0.12 | $ | 0.11 | $ | 0.23 | $ | (0.13 | ) | $ | 0.00 | $ | 0.00 | $ | (0.13 | ) | ||||||||||||||
PIMCO Enhanced Short Maturity Active | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 101.75 | $ | 1.26 | $ | 0.07 | $ | 1.33 | $ | (1.51 | ) | $ | 0.00 | $ | 0.00 | $ | (1.51 | ) | ||||||||||||||
06/30/2019 | 101.58 | 2.73 | 0.11 | 2.84 | (2.67 | ) | 0.00 | 0.00 | (2.67 | ) | ||||||||||||||||||||||
06/30/2018 | 101.74 | 1.95 | (0.23 | ) | 1.72 | (1.85 | ) | (0.03 | ) | 0.00 | (1.88 | ) | ||||||||||||||||||||
06/30/2017 | 101.14 | 1.45 | 0.61 | 2.06 | (1.46 | ) | 0.00 | 0.00 | (1.46 | ) | ||||||||||||||||||||||
06/30/2016 | 101.15 | 1.05 | (0.02 | ) | 1.03 | (1.02 | ) | (0.02 | ) | 0.00 | (1.04 | ) | ||||||||||||||||||||
06/30/2015 | 101.45 | 0.62 | (0.09 | ) | 0.53 | (0.74 | ) | (0.09 | ) | 0.00 | (0.83 | ) | ||||||||||||||||||||
PIMCO Intermediate Municipal Bond Active | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 54.77 | $ | 0.65 | $ | 0.42 | $ | 1.07 | $ | (0.75 | ) | $ | 0.00 | $ | 0.00 | $ | (0.75 | ) | ||||||||||||||
06/30/2019 | 52.84 | 1.40 | 1.93 | 3.33 | (1.40 | ) | 0.00 | 0.00 | (1.40 | ) | ||||||||||||||||||||||
06/30/2018 | 53.48 | 1.30 | (0.64 | ) | 0.66 | (1.30 | ) | 0.00 | 0.00 | (1.30 | ) | |||||||||||||||||||||
06/30/2017 | 55.11 | 1.25 | (1.64 | ) | (0.39 | ) | (1.24 | ) | 0.00 | 0.00 | (1.24 | ) | ||||||||||||||||||||
06/30/2016 | 52.84 | 1.25 | 2.15 | 3.40 | (1.13 | ) | 0.00 | 0.00 | (1.13 | ) | ||||||||||||||||||||||
06/30/2015 | 53.17 | 1.12 | (0.34 | ) | 0.78 | (1.11 | ) | 0.00 | 0.00 | (1.11 | ) | |||||||||||||||||||||
PIMCO Short Term Municipal Bond Active | ||||||||||||||||||||||||||||||||
07/01/2019 - 12/31/2019+ | $ | 50.53 | $ | 0.44 | $ | 0.12 | $ | 0.56 | $ | (0.51 | ) | $ | 0.00 | $ | 0.00 | $ | (0.51 | ) | ||||||||||||||
06/30/2019 | 49.91 | 0.95 | 0.61 | 1.56 | (0.94 | ) | 0.00 | 0.00 | (0.94 | ) | ||||||||||||||||||||||
06/30/2018 | 50.25 | 0.77 | (0.35 | ) | 0.42 | (0.76 | ) | 0.00 | 0.00 | (0.76 | ) | |||||||||||||||||||||
06/30/2017 | 50.65 | 0.60 | (0.41 | ) | 0.19 | (0.59 | ) | 0.00 | 0.00 | (0.59 | ) | |||||||||||||||||||||
06/30/2016 | 50.24 | 0.48 | 0.36 | 0.84 | (0.43 | ) | 0.00 | 0.00 | (0.43 | ) | ||||||||||||||||||||||
06/30/2015 | 50.47 | 0.38 | (0.19 | ) | 0.19 | (0.42 | ) | 0.00 | 0.00 | (0.42 | ) |
^ | A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%. |
+ | Unaudited |
* | Annualized |
(a) | Includes adjustments required by U.S. GAAP and may differ from net asset values and performance report elsewhere by the Funds. |
(b) | Per share amounts based on average number of shares outstanding during the year or period. |
(c) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
(d) | Portfolio turnover rate excludes securities received or delivered fromin-kind processing of creation or redemptions. |
(e) | Effective May 8, 2017, the Fund’s Management fees was decreased by 0.09% to an annual rate of 0.46%. |
22 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Ratios/Supplemental Data | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||||||||||||
Net Asset Value End of Year or Period(a) | Total Return(a) | Net Assets End of Year or Period (000s) | Expenses | Expenses Excluding Waivers | Expenses Excluding Interest Expense | Expenses Excluding Interest Expense and Waivers | Net Investment Income (Loss) | Portfolio Turnover Rate(d) | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 99.76 | 1.61 | % | $ | 442,936 | 0.49 | %* | 0.56 | %* | 0.39 | %* | 0.46 | %* | 2.82 | %* | 262 | % | |||||||||||||||||
100.15 | 3.66 | 352,514 | 0.79 | 0.86 | 0.39 | 0.46 | 2.98 | 1,613 | ||||||||||||||||||||||||||
99.61 | 1.09 | 157,382 | 1.02 | 1.09 | 0.39 | 0.46 | 2.51 | 326 | ||||||||||||||||||||||||||
101.02 | 2.54 | 93,947 | 0.67 | (e) | 0.74 | (e) | 0.47 | (e) | 0.54 | (e) | 2.15 | 651 | ||||||||||||||||||||||
100.23 | 1.75 | 58,134 | 0.57 | 0.64 | 0.55 | 0.56 | 1.96 | 2,288 | ||||||||||||||||||||||||||
101.62 | 2.37 | 175,808 | 0.52 | 0.57 | 0.50 | 0.55 | 1.30 | 1,591 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 100.10 | 0.23 | % | $ | 17,017 | 0.25 | %* | 0.37 | %* | 0.24 | %* | 0.36 | %* | 2.06 | %* | 29 | % | |||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 101.57 | 1.32 | % | $ | 13,718,106 | 0.37 | %* | 0.37 | %* | 0.35 | %* | 0.35 | %* | 2.44 | %* | 27 | % | |||||||||||||||||
101.75 | 2.84 | 11,939,913 | 0.36 | 0.36 | 0.35 | 0.35 | 2.70 | 72 | ||||||||||||||||||||||||||
101.58 | 1.70 | 9,410,140 | 0.42 | 0.42 | 0.35 | 0.35 | 1.92 | 86 | ||||||||||||||||||||||||||
101.74 | 2.05 | 7,195,945 | 0.35 | 0.35 | 0.35 | 0.35 | 1.43 | 82 | ||||||||||||||||||||||||||
101.14 | 1.03 | 4,647,542 | 0.36 | 0.36 | 0.35 | 0.35 | 1.04 | 208 | ||||||||||||||||||||||||||
101.15 | 0.53 | 3,536,050 | 0.36 | 0.36 | 0.35 | 0.35 | 0.61 | 193 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 55.09 | 1.96 | % | $ | 353,138 | 0.35 | %* | 0.35 | %* | 0.35 | %* | 0.35 | %* | 2.34 | %* | 6 | % | |||||||||||||||||
54.77 | 6.41 | 304,515 | 0.35 | 0.35 | 0.35 | 0.35 | 2.63 | 39 | ||||||||||||||||||||||||||
52.84 | 1.25 | 275,309 | 0.35 | 0.35 | 0.35 | 0.35 | 2.44 | 27 | ||||||||||||||||||||||||||
53.48 | (0.69 | ) | 259,917 | 0.35 | 0.35 | 0.35 | 0.35 | 2.33 | 30 | |||||||||||||||||||||||||
55.11 | 6.52 | 254,045 | 0.35 | 0.35 | 0.35 | 0.35 | 2.32 | 23 | ||||||||||||||||||||||||||
52.84 | 1.45 | 227,728 | 0.35 | 0.35 | 0.35 | 0.35 | 2.09 | 13 | ||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
$ | 50.58 | 1.10 | % | $ | 119,361 | 0.35 | %* | 0.35 | %* | 0.35 | %* | 0.35 | %* | 1.71 | %* | 11 | % | |||||||||||||||||
50.53 | 3.17 | 96,505 | 0.35 | 0.35 | 0.35 | 0.35 | 1.91 | 49 | ||||||||||||||||||||||||||
49.91 | 0.83 | 67,874 | 0.35 | 0.35 | 0.35 | 0.35 | 1.55 | 87 | ||||||||||||||||||||||||||
50.25 | 0.37 | 65,826 | 0.35 | 0.35 | 0.35 | 0.35 | 1.20 | 80 | ||||||||||||||||||||||||||
50.65 | 1.67 | 68,881 | 0.35 | 0.35 | 0.35 | 0.35 | 0.95 | 36 | ||||||||||||||||||||||||||
50.24 | 0.37 | 55,765 | 0.35 | 0.35 | 0.35 | 0.35 | 0.76 | 20 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 23 |
Table of Contents
Statements of Assets and Liabilities
(Amounts in thousands†, except per share amounts) | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund | PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund | PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund | PIMCO Broad U.S. TIPS Index Exchange- Traded Fund | ||||||||||||
Assets: | ||||||||||||||||
Investments, at value | ||||||||||||||||
Investments in securities*^ | $ | 262,563 | $ | 707,613 | $ | 256,575 | $ | 52,444 | ||||||||
Investments in Affiliates | 0 | 0 | 0 | 0 | ||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 0 | 0 | 0 | ||||||||||||
Over the counter | 0 | 0 | 0 | 0 | ||||||||||||
Cash | 12 | 44 | 65 | 59 | ||||||||||||
Deposits with counterparty | 0 | 0 | 0 | 0 | ||||||||||||
Foreign currency, at value | 0 | 0 | 0 | 0 | ||||||||||||
Receivable for investments sold | 13,632 | 0 | 0 | 0 | ||||||||||||
Receivable for TBA investments sold | 0 | 0 | 0 | 0 | ||||||||||||
Receivable for Fund shares sold | 6,663 | 0 | 0 | 0 | ||||||||||||
Interest and/or dividends receivable | 0 | 994 | 999 | 223 | ||||||||||||
Reimbursement receivable from PIMCO | 0 | 0 | 0 | 0 | ||||||||||||
Total Assets | 282,870 | 708,651 | 257,639 | 52,726 | ||||||||||||
Liabilities: | ||||||||||||||||
Borrowings & Other Financing Transactions | ||||||||||||||||
Payable for reverse repurchase agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Payable for sale-buyback transactions | 0 | 0 | 0 | 0 | ||||||||||||
Payable for short sales | 0 | 0 | 0 | 0 | ||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Exchange-traded or centrally cleared | 0 | 0 | 0 | 0 | ||||||||||||
Over the counter | 0 | 0 | 0 | 0 | ||||||||||||
Payable for investments purchased | 18,658 | 0 | 0 | 0 | ||||||||||||
Payable for TBA investments purchased | 0 | 0 | 0 | 0 | ||||||||||||
Payable for unfunded loan commitments | 0 | 0 | 0 | 0 | ||||||||||||
Payable upon return of securities loaned | 0 | 0 | 0 | 0 | ||||||||||||
Deposits from counterparty | 0 | 0 | 0 | 0 | ||||||||||||
Payable for Fund shares redeemed | 0 | 0 | 0 | 0 | ||||||||||||
Distributions payable | 1,651 | 2,829 | 1,107 | 185 | ||||||||||||
Other liabilites | 0 | 0 | 0 | 0 | ||||||||||||
Accrued management fees | 35 | 120 | 43 | 9 | ||||||||||||
Total Liabilities | 20,344 | 2,949 | 1,150 | 194 | ||||||||||||
Net Assets | $ | 262,526 | $ | 705,702 | $ | 256,489 | $ | 52,532 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid in capital | $ | 269,356 | $ | 722,201 | $ | 261,530 | $ | 53,073 | ||||||||
Distributable earnings (accumulated loss) | (6,830 | ) | (16,499 | ) | (5,041 | ) | (541 | ) | ||||||||
Net Assets | $ | 262,526 | $ | 705,702 | $ | 256,489 | $ | 52,532 | ||||||||
Shares Issued and Outstanding | 1,970 | 13,470 | 3,570 | 880 | ||||||||||||
Net Asset Value Per Share Outstanding(a): | $ | 133.26 | $ | 52.39 | $ | 71.85 | $ | 59.70 | ||||||||
Cost of investments in securities | $ | 254,014 | $ | 702,868 | $ | 248,814 | $ | 51,792 | ||||||||
Cost of investments in Affiliates | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Cost of foreign currency held | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Proceeds received on short sales | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Cost or premiums of financial derivative instruments, net | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
* Includes repurchase agreements of: | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
^ Includes securities on loan of: | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Includes adjustments required by U.S. GAAP and may differ form net asset values and peformance reported elsewhere by the Funds. |
24 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund | PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund | PIMCO Active Bond Exchange- Traded Fund | PIMCO Enhanced Low Duration Active Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active ESG Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active Exchange- Traded Fund | PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund | PIMCO Short Term Municipal Bond Active Exchange- Traded Fund | |||||||||||||||||||||||
$ | 1,776,479 | $ | 627,535 | $ | 2,961,431 | $ | 518,568 | $ | 18,470 | $ | 13,920,096 | $ | 350,897 | $ | 118,644 | |||||||||||||||
42,535 | 463 | 0 | 0 | 0 | 1,153 | 0 | 0 | |||||||||||||||||||||||
6 | 7 | 0 | 176 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
243 | 0 | 55 | 54 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
4,312 | 0 | 40 | 0 | 94 | 10 | 0 | 0 | |||||||||||||||||||||||
9,226 | 1,867 | 12,216 | 1,840 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 280 | 204 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
95 | 0 | 830 | 0 | 1,018 | 3,081 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 90,459 | 49,856 | 0 | 295,758 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 16,174 | 3,990 | 0 | 42,658 | 0 | 0 | |||||||||||||||||||||||
23,151 | 6,393 | 17,150 | 3,279 | 82 | 53,481 | 3,634 | 905 | |||||||||||||||||||||||
0 | 0 | 0 | 25 | 1 | 0 | 0 | 0 | |||||||||||||||||||||||
1,856,047 | 636,265 | 3,098,635 | 577,992 | 19,665 | 14,316,237 | 354,531 | 119,549 | |||||||||||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 2,886 | $ | 0 | $ | 157,447 | $ | 0 | $ | 0 | |||||||||||||||
0 | 0 | 0 | 0 | 0 | 92,045 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 296,481 | 0 | 0 | |||||||||||||||||||||||
73 | 95 | 15 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 111 | 470 | 13 | 0 | 0 | 0 | |||||||||||||||||||||||
165,861 | 0 | 0 | 33,393 | 2,610 | 0 | 616 | 0 | |||||||||||||||||||||||
0 | 0 | 162,372 | 96,706 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 1,250 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
46,480 | 463 | 0 | 0 | 0 | 734 | 0 | 0 | |||||||||||||||||||||||
100 | 0 | 411 | 20 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 21,330 | 0 | 0 | |||||||||||||||||||||||
6,560 | 1,560 | 7,824 | 1,408 | 22 | 25,622 | 673 | 153 | |||||||||||||||||||||||
759 | 106 | 1,344 | 173 | 3 | 4,052 | 104 | 35 | |||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 420 | 0 | 0 | |||||||||||||||||||||||
219,833 | 2,224 | 173,327 | 135,056 | 2,648 | 598,131 | 1,393 | 188 | |||||||||||||||||||||||
$ | 1,636,214 | $ | 634,041 | $ | 2,925,308 | $ | 442,936 | $ | 17,017 | $ | 13,718,106 | $ | 353,138 | $ | 119,361 | |||||||||||||||
$ | 1,801,500 | $ | 596,528 | $ | 2,907,042 | $ | 445,870 | $ | 17,000 | $ | 13,695,632 | $ | 340,267 | $ | 118,822 | |||||||||||||||
(165,286 | ) | 37,513 | 18,266 | (2,934 | ) | 17 | 22,474 | 12,871 | 539 | |||||||||||||||||||||
$ | 1,636,214 | $ | 634,041 | $ | 2,925,308 | $ | 442,936 | $ | 17,017 | $ | 13,718,106 | $ | 353,138 | $ | 119,361 | |||||||||||||||
16,400 | 5,780 | 27,130 | 4,440 | 170 | 135,060 | 6,410 | 2,360 | |||||||||||||||||||||||
$ | 99.77 | $ | 109.70 | $ | 107.83 | $ | 99.76 | $ | 100.10 | $ | 101.57 | $ | 55.09 | $ | 50.58 | |||||||||||||||
$ | 1,791,702 | $ | 599,999 | $ | 2,895,823 | $ | 514,717 | $ | 18,442 | $ | 13,892,877 | $ | 333,679 | $ | 117,141 | |||||||||||||||
$ | 42,535 | $ | 463 | $ | 0 | $ | 0 | $ | 0 | $ | 1,153 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 297 | $ | 206 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 295,758 | $ | 0 | $ | 0 | |||||||||||||||
$ | 11,374 | $ | 26 | $ | 488 | $ | (1,935 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||
$ | 342,759 | $ | 5,857 | $ | 23,897 | $ | 1,274 | $ | 0 | $ | 572 | $ | 597 | $ | 716 | |||||||||||||||
$ | 45,563 | $ | 454 | $ | 0 | $ | 0 | $ | 0 | $ | 720 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 25 |
Table of Contents
Six Months Ended December 31, 2019 (Unaudited) | ||||||||||||||||
(Amounts in thousands†) | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund | PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund | PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund | PIMCO Broad U.S. TIPS Index Exchange- Traded Fund | ||||||||||||
Investment Income: | ||||||||||||||||
Interest, net of foreign taxes* | $ | 3,661 | $ | 6,080 | $ | 2,265 | $ | 421 | ||||||||
Securities lending income | 0 | 0 | 0 | 0 | ||||||||||||
Total Income | 3,661 | 6,080 | 2,265 | 421 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 231 | 733 | 231 | 53 | ||||||||||||
Trustee fees | 2 | 5 | 1 | 1 | ||||||||||||
Interest expense | 0 | 0 | 0 | 0 | ||||||||||||
Miscellaneous expense | 0 | 0 | 0 | 0 | ||||||||||||
Total Expenses | 233 | 738 | 232 | 54 | ||||||||||||
Waiver and/or Reimbursement by PIMCO | 0 | 0 | 0 | 0 | ||||||||||||
Net Expenses | 233 | 738 | 232 | 54 | ||||||||||||
Net Investment Income (Loss) | 3,428 | 5,342 | 2,033 | 367 | ||||||||||||
Net Realized Gain (Loss): | ||||||||||||||||
Investments in securities | 2,084 | (541 | ) | (17 | ) | 0 | ||||||||||
In-kind redemptions | 11,350 | 258 | 2,061 | 0 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 0 | 0 | 0 | 0 | ||||||||||||
Over the counter financial derivative instruments | 0 | 0 | 0 | 0 | ||||||||||||
Short sales | 0 | 0 | 0 | 0 | ||||||||||||
Foreign currency | 0 | 0 | 0 | 0 | ||||||||||||
Net Realized Gain (Loss) | 13,434 | (283 | ) | 2,044 | 0 | |||||||||||
Net Change in Unrealized Appreciation (Depreciation): | ||||||||||||||||
Investments in securities | (4,659 | ) | 4,369 | 3,432 | 709 | |||||||||||
Investments in Affiliates | 0 | 0 | 0 | 0 | ||||||||||||
Exchange-traded or centrally cleared financial derivative instruments | 0 | 0 | 0 | 0 | ||||||||||||
Over the counter financial derivative instruments | 0 | 0 | 0 | 0 | ||||||||||||
Foreign currency assets and liabilities | 0 | 0 | 0 | 0 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | (4,659 | ) | 4,369 | 3,432 | 709 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 12,203 | $ | 9,428 | $ | 7,509 | $ | 1,076 | ||||||||
* Foreign tax withholdings | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Inception date of the Fund was December 10, 2019. |
26 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund | PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund | PIMCO Active Bond Exchange- Traded Fund | PIMCO Enhanced Low Duration Active Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active ESG Exchange- Traded Fund(a) | PIMCO Enhanced Short Maturity Active Exchange- Traded Fund | PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund | PIMCO Short Term Municipal Bond Active Exchange- Traded Fund | |||||||||||||||||||||||
$ | 37,970 | $ | 11,402 | $ | 45,651 | $ | 6,790 | $ | 24 | $ | 181,468 | $ | 4,578 | $ | 1,156 | |||||||||||||||
240 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
38,210 | 11,403 | 45,651 | 6,790 | 24 | 181,468 | 4,578 | 1,156 | |||||||||||||||||||||||
4,273 | 680 | 7,485 | 941 | 4 | 22,558 | 594 | 196 | |||||||||||||||||||||||
10 | 5 | 18 | 3 | 0 | 85 | 2 | 1 | |||||||||||||||||||||||
123 | 3 | 81 | 202 | 0 | 1,011 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 1 | 10 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
4,406 | 688 | 7,585 | 1,156 | 4 | 23,654 | 596 | 197 | |||||||||||||||||||||||
0 | 0 | 0 | (146 | ) | (1 | ) | 0 | 0 | 0 | |||||||||||||||||||||
4,406 | 688 | 7,585 | 1,010 | 3 | 23,654 | 596 | 197 | |||||||||||||||||||||||
33,804 | 10,715 | 38,066 | 5,780 | 21 | 157,814 | 3,982 | 959 | |||||||||||||||||||||||
(9,751 | ) | 2,324 | 473 | 424 | 3 | 5,457 | (117 | ) | (8 | ) | ||||||||||||||||||||
1,992 | 13,152 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
2,009 | 1,716 | 8,062 | (4,249 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
2,281 | 0 | (504 | ) | 1,466 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
0 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
0 | 0 | 4 | (151 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
(3,469 | ) | 17,192 | 8,035 | (2,508 | ) | 3 | 5,457 | (117 | ) | (8 | ) | |||||||||||||||||||
(2,059 | ) | 2,992 | 12,507 | 1,238 | 28 | 4,041 | 2,341 | 206 | ||||||||||||||||||||||
0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
3,077 | (744 | ) | (2,230 | ) | 2,560 | 0 | 0 | 0 | 0 | |||||||||||||||||||||
(906 | ) | 0 | (4 | ) | (662 | ) | (13 | ) | 0 | 0 | 0 | |||||||||||||||||||
0 | 0 | (13 | ) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
112 | 2,248 | 10,260 | 3,136 | 15 | 4,041 | 2,341 | 206 | |||||||||||||||||||||||
$ | 30,447 | $ | 30,155 | $ | 56,361 | $ | 6,408 | $ | 39 | $ | 167,312 | $ | 6,206 | $ | 1,157 | |||||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 0 | $ | 0 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 27 |
Table of Contents
Statements of Changes in Net Assets
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | PIMCO 1-5 Year U.S. TIPS Index Exchange-Traded Fund | |||||||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | ||||||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,428 | $ | 4,820 | $ | 5,342 | $ | 15,125 | ||||||||
Net realized gain (loss) | 13,434 | (4,304 | ) | (283 | ) | (4,877 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (4,659 | ) | 26,764 | 4,369 | 13,921 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,203 | 27,280 | 9,428 | 24,169 | ||||||||||||
Distributions to Shareholders: | ||||||||||||||||
From net investment income and/or net realized capital gains | (4,732 | ) | (4,651 | ) | (12,734 | ) | (11,921 | ) | ||||||||
Total Distributions(a) | (4,732 | ) | (4,651 | ) | (12,734 | ) | (11,921 | ) | ||||||||
Fund Share Transactions: | ||||||||||||||||
Receipts for shares sold | 71,467 | 100,956 | 7,861 | 79,717 | ||||||||||||
Cost of shares redeemed | (81,727 | ) | (22,298 | ) | (47,157 | ) | (170,191 | ) | ||||||||
Net increase (decrease) resulting from Fund share transactions | (10,260 | ) | 78,658 | (39,296 | ) | (90,474 | ) | |||||||||
Total Increase (Decrease) in Net Assets | (2,789 | ) | 101,287 | (42,602 | ) | (78,226 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 265,315 | 164,028 | 748,304 | 826,530 | ||||||||||||
End of period | $ | 262,526 | $ | 265,315 | $ | 705,702 | $ | 748,304 | ||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Shares sold | 500 | 850 | 150 | 1,550 | ||||||||||||
Shares redeemed | (600 | ) | (200 | ) | (900 | ) | (3,300 | ) | ||||||||
Net increase (decrease) in shares outstanding | (100 | ) | 650 | (750 | ) | (1,750 | ) |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
28 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
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 Corporate Bond Index Exchange-Traded Fund | PIMCO Active Bond Exchange-Traded Fund | ||||||||||||||||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||||||||||||||||||
$ | 2,033 | $ | 4,955 | $ | 367 | $ | 1,005 | $ | 33,804 | $ | 72,641 | $ | 10,715 | $ | 24,075 | $ | 38,066 | $ | 70,561 | |||||||||||||||||||
2,044 | (2,029 | ) | 0 | (79 | ) | (3,469 | ) | (14,545 | ) | 17,192 | (9,494 | ) | 8,035 | 16,592 | ||||||||||||||||||||||||
3,432 | 1,698 | 709 | 1,562 | 112 | 24,403 | 2,248 | 51,681 | 10,260 | 77,667 | |||||||||||||||||||||||||||||
7,509 | 4,624 | 1,076 | 2,488 | 30,447 | 82,499 | 30,155 | 66,262 | 56,361 | 164,820 | |||||||||||||||||||||||||||||
(3,986 | ) | (4,419 | ) | (871 | ) | (738 | ) | (44,687 | ) | (76,687 | ) | (12,965 | ) | (24,777 | ) | (51,901 | ) | (73,021 | ) | |||||||||||||||||||
(3,986 | ) | (4,419 | ) | (871 | ) | (738 | ) | (44,687 | ) | (76,687 | ) | (12,965 | ) | (24,777 | ) | (51,901 | ) | (73,021 | ) | |||||||||||||||||||
99,411 | 43,461 | 0 | 5,629 | 517,604 | 2,250,839 | 43,756 | 228,373 | 530,532 | 511,170 | |||||||||||||||||||||||||||||
(25,348 | ) | (119,508 | ) | 0 | (5,747 | ) | (327,374 | ) | (2,462,591 | ) | (223,923 | ) | (228,924 | ) | (32,609 | ) | (252,176 | ) | ||||||||||||||||||||
74,063 | (76,047 | ) | 0 | (118 | ) | 190,230 | (211,752 | ) | (180,167 | ) | (551 | ) | 497,923 | 258,994 | ||||||||||||||||||||||||
77,586 | (75,842 | ) | 205 | 1,632 | 175,990 | (205,940 | ) | (162,977 | ) | 40,934 | 502,383 | 350,793 | ||||||||||||||||||||||||||
178,903 | 254,745 | 52,327 | 50,695 | 1,460,224 | 1,666,164 | 797,018 | 756,084 | 2,422,925 | 2,072,132 | |||||||||||||||||||||||||||||
$ | 256,489 | $ | 178,903 | $ | 52,532 | $ | 52,327 | $ | 1,636,214 | $ | 1,460,224 | $ | 634,041 | $ | 797,018 | $ | 2,925,308 | $ | 2,422,925 | |||||||||||||||||||
1,350 | 650 | 0 | 100 | 5,200 | 22,850 | 400 | 2,200 | 4,900 | 4,900 | |||||||||||||||||||||||||||||
(350 | ) | (1,850 | ) | 0 | (100 | ) | (3,300 | ) | (25,000 | ) | (2,050 | ) | (2,300 | ) | (300 | ) | (2,450 | ) | ||||||||||||||||||||
1,000 | (1,200 | ) | 0 | 0 | 1,900 | (2,150 | ) | (1,650 | ) | (100 | ) | 4,600 | 2,450 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 29 |
Table of Contents
Statements of Changes in Net Assets(Cont.)
PIMCO Duration Active Exchange-Traded Fund | PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund | |||||||||||
(Amounts in thousands†) | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Inception date through December 31, 2019 (Unaudited) | |||||||||
Increase (Decrease) in Net Assets from: | ||||||||||||
Operations: | ||||||||||||
Net investment income (loss) | $ | 5,780 | $ | 7,207 | $ | 21 | ||||||
Net realized gain (loss) | (2,508 | ) | 1,065 | 3 | ||||||||
Net change in unrealized appreciation (depreciation) | 3,136 | 1,084 | 15 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,408 | 9,356 | 39 | |||||||||
Distributions to Shareholders: | ||||||||||||
From net investment income and/or net realized capital gains | (8,076 | ) | (7,088 | ) | (22 | ) | ||||||
Total Distributions(a) | (8,076 | ) | (7,088 | ) | (22 | ) | ||||||
Fund Share Transactions: | ||||||||||||
Receipts for shares sold | 98,084 | 192,864 | 17,000 | |||||||||
Cost of shares redeemed | (5,994 | ) | 0 | 0 | ||||||||
Net increase (decrease) resulting from Fund share transactions | 92,090 | 192,864 | 17,000 | |||||||||
Total Increase (Decrease) in Net Assets | 90,422 | 195,132 | 17,017 | |||||||||
Net Assets: | ||||||||||||
Beginning of period | 352,514 | 157,382 | 0 | |||||||||
End of period | $ | 442,936 | $ | 352,514 | $ | 17,017 | ||||||
Shares of Beneficial Interest: | ||||||||||||
Shares sold | 980 | 1,940 | 170 | |||||||||
Shares redeemed | (60 | ) | 0 | 0 | ||||||||
Net increase (decrease) in shares outstanding | 920 | 1,940 | 170 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | The tax characterization of distributions is determined in accordance with Federal income tax regulations. The actual tax characterization of distributions paid is determined at the end of the fiscal year. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
30 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund | PIMCO Intermediate Municipal Bond Active | PIMCO Short Term Municipal Bond Active | ||||||||||||||||||||
Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | Six Months Ended December 31, 2019 (Unaudited) | Year Ended June 30, 2019 | |||||||||||||||||
$ | 157,814 | $ | 305,066 | $ | 3,982 | $ | 7,465 | $ | 959 | $ | 1,533 | |||||||||||
5,457 | 3,414 | (117 | ) | 318 | (8 | ) | (80 | ) | ||||||||||||||
4,041 | 9,848 | 2,341 | 9,995 | 206 | 1,174 | |||||||||||||||||
167,312 | 318,328 | 6,206 | 17,778 | 1,157 | 2,627 | |||||||||||||||||
(188,755 | ) | (297,054 | ) | (4,525 | ) | (7,507 | ) | (1,105 | ) | (1,504 | ) | |||||||||||
(188,755 | ) | (297,054 | ) | (4,525 | ) | (7,507 | ) | (1,105 | ) | (1,504 | ) | |||||||||||
3,002,375 | 6,881,703 | 46,942 | 74,488 | 22,804 | 27,508 | |||||||||||||||||
(1,202,739 | ) | (4,373,204 | ) | 0 | (55,553 | ) | 0 | 0 | ||||||||||||||
1,799,636 | 2,508,499 | 46,942 | 18,935 | 22,804 | 27,508 | |||||||||||||||||
1,778,193 | 2,529,773 | 48,623 | 29,206 | 22,856 | 28,631 | |||||||||||||||||
11,939,913 | 9,410,140 | 304,515 | 275,309 | 96,505 | 67,874 | |||||||||||||||||
$ | 13,718,106 | $ | 11,939,913 | $ | 353,138 | $ | 304,515 | $ | 119,361 | $ | 96,505 | |||||||||||
29,540 | 67,830 | 850 | 1,400 | 450 | 550 | |||||||||||||||||
(11,830 | ) | (43,120 | ) | 0 | (1,050 | ) | 0 | 0 | ||||||||||||||
17,710 | 24,710 | 850 | 350 | 450 | 550 |
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 31 |
Table of Contents
Schedule of InvestmentsPIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 100.0% |
| |||||||||||
U.S. TREASURY OBLIGATIONS 100.0% |
| |||||||||||
U.S. Treasury STRIPS (a) |
| |||||||||||
0.000% due 11/15/2044 | $ | 648 | $ | 360 | ||||||||
0.000% due 02/15/2045 | 25,533 | 13,885 | ||||||||||
0.000% due 05/15/2045 | 25,319 | 13,685 | ||||||||||
0.000% due 08/15/2045 | 25,534 | 13,723 | ||||||||||
0.000% due 11/15/2045 | 25,729 | 13,759 | ||||||||||
0.000% due 02/15/2046 | 25,550 | 13,572 | ||||||||||
0.000% due 05/15/2046 | 25,339 | 13,378 | ||||||||||
0.000% due 08/15/2046 | 25,691 | 13,489 | ||||||||||
0.000% due 11/15/2046 | 25,396 | 13,266 | ||||||||||
0.000% due 02/15/2047 | 25,590 | 13,322 | ||||||||||
0.000% due 05/15/2047 | 25,650 | 13,243 | ||||||||||
0.000% due 08/15/2047 | 25,413 | 13,026 | ||||||||||
0.000% due 11/15/2047 | 25,532 | 13,000 | ||||||||||
0.000% due 02/15/2048 | 25,661 | 12,990 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
0.000% due 05/15/2048 | $ | 25,505 | $ | 12,845 | ||||||||
0.000% due 08/15/2048 | 25,572 | 12,799 | ||||||||||
0.000% due 11/15/2048 | 25,392 | 12,670 | ||||||||||
0.000% due 02/15/2049 | 25,689 | 12,713 | ||||||||||
0.000% due 05/15/2049 | 25,316 | 12,449 | ||||||||||
0.000% due 08/15/2049 | �� | 25,404 | 12,452 | |||||||||
0.000% due 11/15/2049 | 24,500 | 11,937 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $254,014) | 262,563 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $254,014) | 262,563 | |||||||||||
Total Investments 100.0% (Cost $254,014) | $ | 262,563 | ||||||||||
Other Assets and Liabilities, net 0.0% | (37 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 262,526 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Zero coupon security. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | 262,563 | $ | 0 | $ | 262,563 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
32 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO1-5 Year U.S. TIPS Index Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 100.3% |
| |||||||||||
U.S. TREASURY OBLIGATIONS 100.3% |
| |||||||||||
U.S. Treasury Inflation Protected Securities (a) |
| |||||||||||
0.125% due 04/15/2021 | $ | 56,620 | $ | 56,506 | ||||||||
0.125% due 01/15/2022 | 56,663 | 56,637 | ||||||||||
0.125% due 04/15/2022 | 66,121 | 66,029 | ||||||||||
0.125% due 07/15/2022 | 56,032 | 56,272 | ||||||||||
0.125% due 01/15/2023 | 64,676 | 64,677 | ||||||||||
0.125% due 07/15/2024 | 56,862 | 57,210 | ||||||||||
0.125% due 10/15/2024 | 11,721 | 11,790 | ||||||||||
0.375% due 07/15/2023 | 64,437 | 65,335 | ||||||||||
0.500% due 04/15/2024 | 44,988 | 45,723 | ||||||||||
0.625% due 07/15/2021 | 62,634 | 63,340 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
0.625% due 04/15/2023 | $ | 60,713 | $ | 61,659 | ||||||||
0.625% due 01/15/2024 | 55,857 | 57,048 | ||||||||||
1.125% due 01/15/2021 | 44,969 | 45,387 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $702,868) | 707,613 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $702,868) | 707,613 | |||||||||||
Total Investments 100.3% (Cost $702,868) |
| $ | 707,613 | |||||||||
Other Assets and Liabilities, net (0.3)% | (1,911 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 705,702 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | 707,613 | $ | 0 | $ | 707,613 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 33 |
Table of Contents
Schedule of InvestmentsPIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 100.0% |
| |||||||||||
U.S. TREASURY OBLIGATIONS 100.0% |
| |||||||||||
U.S. Treasury Inflation Protected Securities (a) |
| |||||||||||
0.625% due 02/15/2043 | $ | 26,563 | $ | 26,885 | ||||||||
0.750% due 02/15/2042 | 25,952 | 26,975 | ||||||||||
0.750% due 02/15/2045 | 25,869 | 26,850 | ||||||||||
0.875% due 02/15/2047 | 20,519 | 22,008 | ||||||||||
1.000% due 02/15/2046 | 21,858 | 24,058 | ||||||||||
1.000% due 02/15/2048 | 19,533 | 21,634 | ||||||||||
1.000% due 02/15/2049 | 17,072 | 18,988 | ||||||||||
1.375% due 02/15/2044 | 25,322 | 29,885 | ||||||||||
2.125% due 02/15/2040 | 16,074 | 21,022 | ||||||||||
2.125% due 02/15/2041 | 29,037 | 38,270 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations (Cost $248,814) | 256,575 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $248,814) | 256,575 | |||||||||||
Total Investments 100.0% (Cost $248,814) |
| $ | 256,575 | |||||||||
Other Assets and Liabilities, net 0.0% | (86 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 256,489 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | 256,575 | $ | 0 | $ | 256,575 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
34 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Broad U.S. TIPS Index Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 99.8% |
| |||||||||||
U.S. TREASURY OBLIGATIONS 99.8% |
| |||||||||||
U.S. Treasury Inflation Protected Securities (a) |
| |||||||||||
0.125% due 01/15/2022 | $ | 3,752 | $ | 3,750 | ||||||||
0.125% due 07/15/2022 | 2,934 | 2,947 | ||||||||||
0.125% due 01/15/2023 | 2,739 | 2,739 | ||||||||||
0.125% due 07/15/2026 | 1,256 | 1,260 | ||||||||||
0.250% due 07/15/2029 | 1,006 | 1,016 | ||||||||||
0.375% due 07/15/2025 | 3,160 | 3,225 | ||||||||||
0.375% due 01/15/2027 | 2,540 | 2,579 | ||||||||||
0.500% due 01/15/2028 | 417 | 428 | ||||||||||
0.625% due 01/15/2024 | 4,555 | 4,652 | ||||||||||
0.750% due 07/15/2028 | 909 | 957 | ||||||||||
0.750% due 02/15/2042 | 2,593 | 2,696 | ||||||||||
0.750% due 02/15/2045 | 355 | 369 | ||||||||||
0.875% due 02/15/2047 | 709 | 760 | ||||||||||
1.000% due 02/15/2046 | 1,100 | 1,211 | ||||||||||
1.000% due 02/15/2048 | 712 | 788 | ||||||||||
1.000% due 02/15/2049 | 629 | 700 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
1.125% due 01/15/2021 | $ | 3,422 | $ | 3,454 | ||||||||
1.375% due 02/15/2044 | 1,300 | 1,534 | ||||||||||
1.750% due 01/15/2028 | 3,518 | 3,953 | ||||||||||
2.000% due 01/15/2026 | 3,061 | 3,404 | ||||||||||
2.125% due 02/15/2040 | 656 | 858 | ||||||||||
2.375% due 01/15/2025 | 3,376 | 3,764 | ||||||||||
2.500% due 01/15/2029 | 2,959 | 3,568 | ||||||||||
3.375% due 04/15/2032 | 1,334 | 1,832 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 52,444 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $51,792) |
| 52,444 | ||||||||||
Total Investments 99.8% (Cost $51,792) |
| $ | 52,444 | |||||||||
Other Assets and Liabilities, net 0.2% | 88 | |||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 52,532 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
(a) | Principal amount of security is adjusted for inflation. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | 52,444 | $ | 0 | $ | 52,444 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 35 |
Table of Contents
Schedule of InvestmentsPIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 108.6% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 0.3% |
| |||||||||||
iHeartCommunications, Inc. |
| |||||||||||
5.691% (LIBOR03M + 4.000%) due 05/01/2026 ~ | $ | 4,500 | $ | 4,548 | ||||||||
|
| |||||||||||
Total Loan Participations and Assignments (Cost $4,893) | 4,548 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 87.1% |
| |||||||||||
BANKING & FINANCE 13.1% |
| |||||||||||
Ally Financial, Inc. |
| |||||||||||
3.875% due 05/21/2024 | 4,430 | 4,650 | ||||||||||
4.125% due 03/30/2020 | 3,093 | 3,108 | ||||||||||
4.125% due 02/13/2022 | 5,603 | 5,795 | ||||||||||
4.250% due 04/15/2021 | 6,127 | 6,276 | ||||||||||
8.000% due 03/15/2020 | 4,419 | 4,460 | ||||||||||
Ardonagh Midco PLC |
| |||||||||||
8.625% due 07/15/2023 (e) | 3,913 | 3,892 | ||||||||||
CBL & Associates LP |
| |||||||||||
5.250% due 12/01/2023 (e) | 2,304 | 1,620 | ||||||||||
CIT Group, Inc. |
| |||||||||||
4.750% due 02/16/2024 | 4,541 | 4,853 | ||||||||||
5.000% due 08/15/2022 | 9,970 | 10,593 | ||||||||||
5.000% due 08/01/2023 | 5,062 | 5,465 | ||||||||||
CoreCivic, Inc. |
| |||||||||||
5.000% due 10/15/2022 | 4,497 | 4,532 | ||||||||||
Equinix, Inc. |
| |||||||||||
5.375% due 01/01/2022 | 5,449 | 5,522 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC |
| |||||||||||
6.750% due 03/15/2022 | 8,966 | 9,363 | ||||||||||
Freedom Mortgage Corp. |
| |||||||||||
8.250% due 04/15/2025 | 7,362 | 7,235 | ||||||||||
10.750% due 04/01/2024 | 1,808 | 1,873 | ||||||||||
Genworth Holdings, Inc. |
| |||||||||||
4.900% due 08/15/2023 | 2,515 | 2,497 | ||||||||||
7.625% due 09/24/2021 (e) | 856 | 904 | ||||||||||
Geo Group, Inc. |
| |||||||||||
5.125% due 04/01/2023 | 2,540 | 2,388 | ||||||||||
GLP Capital LP |
| |||||||||||
4.375% due 04/15/2021 | 300 | 307 | ||||||||||
HAT Holdings LLC |
| |||||||||||
5.250% due 07/15/2024 | 4,873 | 5,133 | ||||||||||
Icahn Enterprises LP |
| |||||||||||
4.750% due 09/15/2024 | 2,157 | 2,219 | ||||||||||
Intesa Sanpaolo SpA |
| |||||||||||
5.017% due 06/26/2024 | 3,016 | 3,169 | ||||||||||
Iron Mountain, Inc. |
| |||||||||||
4.375% due 06/01/2021 | 2,979 | 3,016 | ||||||||||
iStar, Inc. |
| |||||||||||
5.250% due 09/15/2022 | 4,923 | 5,066 | ||||||||||
6.000% due 04/01/2022 | 4,695 | 4,837 | ||||||||||
KCA Deutag UK Finance PLC |
| |||||||||||
7.250% due 05/15/2021 (e) | 1,686 | 1,151 | ||||||||||
9.875% due 04/01/2022 | 926 | 632 | ||||||||||
Kennedy-Wilson, Inc. |
| |||||||||||
5.875% due 04/01/2024 | 10,277 | 10,559 | ||||||||||
LoanCore Capital Markets LLC |
| |||||||||||
6.875% due 06/01/2020 | 1,928 | 1,929 | ||||||||||
MGIC Investment Corp. |
| |||||||||||
5.750% due 08/15/2023 | 2,415 | 2,676 | ||||||||||
MGM Growth Properties Operating Partnership LP |
| |||||||||||
5.625% due 05/01/2024 | 6,929 | 7,567 | ||||||||||
Nationstar Mortgage Holdings, Inc. |
| |||||||||||
8.125% due 07/15/2023 | 8,519 | 9,035 | ||||||||||
Navient Corp. |
| |||||||||||
5.000% due 10/26/2020 | 2,174 | 2,208 | ||||||||||
5.500% due 01/25/2023 | 3,703 | 3,962 | ||||||||||
6.500% due 06/15/2022 | 2,389 | 2,595 | ||||||||||
6.625% due 07/26/2021 | 2,714 | 2,876 | ||||||||||
7.250% due 01/25/2022 | 435 | 473 | ||||||||||
8.000% due 03/25/2020 | 654 | 662 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
5.250% due 08/15/2022 | $ | 16,754 | $ | 17,897 | ||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
7.648% due 09/30/2031 •(c) | 395 | 568 | ||||||||||
SBA Communications Corp. |
| |||||||||||
4.000% due 10/01/2022 | 9,657 | 9,862 | ||||||||||
Springleaf Finance Corp. |
| |||||||||||
5.625% due 03/15/2023 | 2,063 | 2,228 | ||||||||||
6.125% due 05/15/2022 | 6,419 | 6,908 | ||||||||||
6.125% due 03/15/2024 | 3,079 | 3,379 | ||||||||||
7.750% due 10/01/2021 | 5,208 | 5,667 | ||||||||||
8.250% due 12/15/2020 | 3,451 | 3,629 | ||||||||||
Starwood Property Trust, Inc. |
| |||||||||||
5.000% due 12/15/2021 | 5,099 | 5,302 | ||||||||||
Stearns Holdings LLC |
| |||||||||||
5.000% due 11/05/2024 | 77 | 51 | ||||||||||
Voya Financial, Inc. |
| |||||||||||
5.650% due 05/15/2053 • | 300 | 319 | ||||||||||
Voyager Aviation Holdings LLC |
| |||||||||||
8.500% due 08/15/2021 | 1,674 | 1,720 | ||||||||||
Washington Prime Group LP |
| |||||||||||
6.450% due 08/15/2024 | 2,339 | 2,163 | ||||||||||
|
| |||||||||||
214,791 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 66.2% |
| |||||||||||
24 Hour Fitness Worldwide, Inc. |
| |||||||||||
8.000% due 06/01/2022 (e) | 6,033 | 2,792 | ||||||||||
Acadia Healthcare Co., Inc. |
| |||||||||||
5.625% due 02/15/2023 | 7,888 | 8,033 | ||||||||||
Actuant Corp. |
| |||||||||||
5.625% due 06/15/2022 | 874 | 885 | ||||||||||
ADT Security Corp. |
| |||||||||||
3.500% due 07/15/2022 | 5,054 | 5,158 | ||||||||||
6.250% due 10/15/2021 | 8,411 | 8,889 | ||||||||||
Aker BP ASA |
| |||||||||||
4.750% due 06/15/2024 | 5,624 | 5,849 | ||||||||||
Alberta ULC |
| |||||||||||
14.000% due 02/13/2020 ^«(b) | 672 | 7 | ||||||||||
Aleris International, Inc. |
| |||||||||||
10.750% due 07/15/2023 | 3,008 | 3,138 | ||||||||||
Algeco Global Finance PLC |
| |||||||||||
8.000% due 02/15/2023 | 5,971 | 5,829 | ||||||||||
Allegheny Technologies, Inc. |
| |||||||||||
7.875% due 08/15/2023 | 2,097 | 2,355 | ||||||||||
Altice Financing S.A. |
| |||||||||||
6.625% due 02/15/2023 | 10,517 | 10,723 | ||||||||||
American Airlines Group, Inc. |
| |||||||||||
5.000% due 06/01/2022 | 3,711 | 3,887 | ||||||||||
Anixter, Inc. |
| |||||||||||
5.125% due 10/01/2021 | 7,082 | 7,371 | ||||||||||
Antero Resources Corp. |
| |||||||||||
5.125% due 12/01/2022 | 1,030 | 921 | ||||||||||
5.375% due 11/01/2021 | 6,076 | 5,797 | ||||||||||
5.625% due 06/01/2023 | 3,494 | 2,813 | ||||||||||
APX Group, Inc. |
| |||||||||||
8.750% due 12/01/2020 | 2,271 | 2,274 | ||||||||||
Arconic, Inc. |
| |||||||||||
5.400% due 04/15/2021 | 7,106 | 7,328 | ||||||||||
6.150% due 08/15/2020 | 6,020 | 6,157 | ||||||||||
Ardagh Packaging Finance PLC |
| |||||||||||
4.250% due 09/15/2022 | 4,881 | 4,952 | ||||||||||
Ascent Resources Utica Holdings LLC |
| |||||||||||
10.000% due 04/01/2022 | 8,097 | 8,074 | ||||||||||
Ashland LLC |
| |||||||||||
4.750% due 08/15/2022 | 7,763 | 8,132 | ||||||||||
Avon International Operations, Inc. |
| |||||||||||
7.875% due 08/15/2022 | 250 | 261 | ||||||||||
Avon Products, Inc. |
| |||||||||||
7.000% due 03/15/2023 | 5,220 | 5,691 | ||||||||||
B.C. Unlimited Liability Co. |
| |||||||||||
4.250% due 05/15/2024 | 8,750 | 8,987 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Ball Corp. |
| |||||||||||
4.000% due 11/15/2023 | $ | 1,189 | $ | 1,251 | ||||||||
4.375% due 12/15/2020 | 6,293 | 6,439 | ||||||||||
Barminco Finance Pty. Ltd. |
| |||||||||||
6.625% due 05/15/2022 | 2,518 | 2,589 | ||||||||||
Bausch Health Cos., Inc. |
| |||||||||||
5.500% due 03/01/2023 | 5,031 | 5,071 | ||||||||||
5.875% due 05/15/2023 | 5,174 | 5,223 | ||||||||||
6.500% due 03/15/2022 | 1,963 | 2,010 | ||||||||||
Baytex Energy Corp. |
| |||||||||||
5.125% due 06/01/2021 | 5,110 | 5,074 | ||||||||||
BCD Acquisition, Inc. |
| |||||||||||
9.625% due 09/15/2023 | 1,700 | 1,755 | ||||||||||
Bombardier, Inc. |
| |||||||||||
6.125% due 01/15/2023 | 6,887 | 7,077 | ||||||||||
8.750% due 12/01/2021 | 9,650 | 10,594 | ||||||||||
Bruin E&P Partners LLC |
| |||||||||||
8.875% due 08/01/2023 | 3,956 | 2,583 | ||||||||||
Cablevision Systems Corp. |
| |||||||||||
5.875% due 09/15/2022 | 7,029 | 7,586 | ||||||||||
California Resources Corp. |
| |||||||||||
8.000% due 12/15/2022 (e) | 2,914 | 1,260 | ||||||||||
Carvana Co. |
| |||||||||||
8.875% due 10/01/2023 | 2,301 | 2,432 | ||||||||||
Centene Corp. |
| |||||||||||
4.750% due 05/15/2022 | 7,215 | 7,372 | ||||||||||
CF Industries, Inc. |
| |||||||||||
3.450% due 06/01/2023 | 3,745 | 3,863 | ||||||||||
Chemours Co. |
| |||||||||||
6.625% due 05/15/2023 | 10,256 | 10,317 | ||||||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||||||
7.000% due 06/30/2024 | 6,921 | 7,990 | ||||||||||
Chesapeake Energy Corp. |
| |||||||||||
5.750% due 03/15/2023 | 2,126 | 1,444 | ||||||||||
6.625% due 08/15/2020 | 1,139 | 1,131 | ||||||||||
Clear Channel Worldwide Holdings, Inc. |
| |||||||||||
9.250% due 02/15/2024 | 9,793 | 10,866 | ||||||||||
Clearwater Paper Corp. |
| |||||||||||
4.500% due 02/01/2023 | 2,532 | 2,541 | ||||||||||
CNX Resources Corp. |
| |||||||||||
5.875% due 04/15/2022 | 4,063 | 4,076 | ||||||||||
Cogent Communications Group, Inc. |
| |||||||||||
5.375% due 03/01/2022 | 3,119 | 3,268 | ||||||||||
CommScope, Inc. |
| |||||||||||
5.000% due 06/15/2021 | 1,424 | 1,429 | ||||||||||
5.500% due 03/01/2024 | 4,240 | 4,429 | ||||||||||
5.500% due 06/15/2024 | 3,065 | 3,111 | ||||||||||
Community Health Systems, Inc. |
| |||||||||||
6.250% due 03/31/2023 | 13,434 | 13,669 | ||||||||||
8.125% due 06/30/2024 | 3,403 | 2,799 | ||||||||||
8.625% due 01/15/2024 | 50 | 53 | ||||||||||
9.875% due 06/30/2023 þ | 4,023 | 3,512 | ||||||||||
Consolidated Communications, Inc. |
| |||||||||||
6.500% due 10/01/2022 (e) | 2,177 | 1,976 | ||||||||||
Continental Resources, Inc. |
| |||||||||||
4.500% due 04/15/2023 | 307 | 321 | ||||||||||
5.000% due 09/15/2022 | 320 | 322 | ||||||||||
CPG Merger Sub LLC |
| |||||||||||
8.000% due 10/01/2021 | 6,915 | 6,952 | ||||||||||
Crown Americas LLC |
| |||||||||||
4.500% due 01/15/2023 | 12,019 | 12,665 | ||||||||||
CSC Holdings LLC |
| |||||||||||
5.250% due 06/01/2024 | 4,100 | 4,426 | ||||||||||
6.750% due 11/15/2021 | 13,231 | 14,270 | ||||||||||
DAE Funding LLC |
| |||||||||||
4.500% due 08/01/2022 | 100 | 102 | ||||||||||
DaVita, Inc. |
| |||||||||||
5.125% due 07/15/2024 | 10,999 | 11,297 | ||||||||||
DCP Midstream Operating LP |
| |||||||||||
3.875% due 03/15/2023 | 4,023 | 4,124 | ||||||||||
4.950% due 04/01/2022 | 4,321 | 4,495 | ||||||||||
5.350% due 03/15/2020 | 5,107 | 5,141 | ||||||||||
5.850% due 05/21/2043 • | 651 | 608 |
36 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Dell International LLC |
| |||||||||||
5.875% due 06/15/2021 | $ | 6,279 | $ | 6,385 | ||||||||
Dell, Inc. |
| |||||||||||
4.625% due 04/01/2021 | 4,111 | 4,236 | ||||||||||
Denbury Resources, Inc. |
| |||||||||||
7.750% due 02/15/2024 | 768 | 682 | ||||||||||
9.000% due 05/15/2021 | 6,601 | 6,401 | ||||||||||
Diamond Offshore Drilling, Inc. |
| |||||||||||
3.450% due 11/01/2023 | 1,849 | 1,577 | ||||||||||
Diamond Resorts International, Inc. |
| |||||||||||
7.750% due 09/01/2023 | 200 | 206 | ||||||||||
DISH DBS Corp. |
| |||||||||||
5.125% due 05/01/2020 | 5,722 | 5,765 | ||||||||||
5.875% due 07/15/2022 | 15,334 | 16,281 | ||||||||||
6.750% due 06/01/2021 | 6,710 | 7,067 | ||||||||||
DKT Finance ApS |
| |||||||||||
9.375% due 06/17/2023 | 1,937 | 2,067 | ||||||||||
DriveTime Automotive Group, Inc. |
| |||||||||||
8.000% due 06/01/2021 | 3,761 | 3,829 | ||||||||||
Eagle Holding Co. LLC (7.750% Cash or 8.500% PIK) |
| |||||||||||
7.750% due 05/15/2022 (a) | 6,745 | 6,861 | ||||||||||
Edgewell Personal Care Co. |
| |||||||||||
4.700% due 05/19/2021 | 2,969 | 3,042 | ||||||||||
Eldorado Resorts, Inc. |
| |||||||||||
7.000% due 08/01/2023 | 4,334 | 4,536 | ||||||||||
EMC Corp. |
| |||||||||||
2.650% due 06/01/2020 | 4,227 | 4,233 | ||||||||||
3.375% due 06/01/2023 | 6,025 | 6,160 | ||||||||||
Endo Dac |
| |||||||||||
6.000% due 07/15/2023 | 5,095 | 3,694 | ||||||||||
Energy Transfer Operating LP |
| |||||||||||
6.250% due 02/15/2023 •(c) | 3,111 | 2,929 | ||||||||||
Ensign Drilling, Inc. |
| |||||||||||
9.250% due 04/15/2024 | 5,738 | 5,430 | ||||||||||
Extraction Oil & Gas, Inc. |
| |||||||||||
7.375% due 05/15/2024 | 2,019 | 1,268 | ||||||||||
Fairstone Financial, Inc. |
| |||||||||||
7.875% due 07/15/2024 | 5,620 | 6,058 | ||||||||||
Ferrellgas LP |
| |||||||||||
6.750% due 01/15/2022 (e) | 6,613 | 5,640 | ||||||||||
Fiat Chrysler Automobiles NV |
| |||||||||||
4.500% due 04/15/2020 | 5,178 | 5,219 | ||||||||||
5.250% due 04/15/2023 | 4,908 | 5,258 | ||||||||||
FMG Resources Pty. Ltd. |
| |||||||||||
4.750% due 05/15/2022 | 7,507 | 7,764 | ||||||||||
5.125% due 03/15/2023 | 5,152 | 5,455 | ||||||||||
5.125% due 05/15/2024 | 4,674 | 4,976 | ||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
3.550% due 03/01/2022 | 14,197 | 14,400 | ||||||||||
3.875% due 03/15/2023 | 10,126 | 10,332 | ||||||||||
GameStop Corp. |
| |||||||||||
6.750% due 03/15/2021 (e) | 3,408 | 3,357 | ||||||||||
GFL Environmental, Inc. |
| |||||||||||
5.625% due 05/01/2022 | 3,884 | 3,963 | ||||||||||
Global Ship Lease, Inc. |
| |||||||||||
9.875% due 11/15/2022 | 559 | 584 | ||||||||||
Great Lakes Dredge & Dock Corp. |
| |||||||||||
8.000% due 05/15/2022 | 1,516 | 1,607 | ||||||||||
Griffon Corp. |
| |||||||||||
5.250% due 03/01/2022 | 17,939 | 18,051 | ||||||||||
Grinding Media, Inc. |
| |||||||||||
7.375% due 12/15/2023 | 5,701 | 5,822 | ||||||||||
Gulfport Energy Corp. |
| |||||||||||
6.625% due 05/01/2023 (e) | 2,725 | 2,303 | ||||||||||
Hanesbrands, Inc. |
| |||||||||||
4.625% due 05/15/2024 | 4,457 | 4,710 | ||||||||||
Harland Clarke Holdings Corp. |
| |||||||||||
8.375% due 08/15/2022 | 3,449 | 2,821 | ||||||||||
Harvest Operations Corp. |
| |||||||||||
2.330% due 04/14/2021 | 10 | 10 | ||||||||||
HCA Healthcare, Inc. |
| |||||||||||
6.250% due 02/15/2021 | 8,818 | 9,213 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
HCA, Inc. |
| |||||||||||
5.875% due 05/01/2023 | $ | 6,301 | $ | 6,977 | ||||||||
7.500% due 02/15/2022 | 6,425 | 7,111 | ||||||||||
Hertz Corp. |
| |||||||||||
7.625% due 06/01/2022 | 2,123 | 2,213 | ||||||||||
HudBay Minerals, Inc. |
| |||||||||||
7.250% due 01/15/2023 | 3,705 | 3,852 | ||||||||||
iHeartCommunications, Inc. |
| |||||||||||
6.375% due 05/01/2026 | 1,483 | 1,612 | ||||||||||
8.375% due 05/01/2027 | 2,188 | 2,422 | ||||||||||
Infor U.S., Inc. |
| |||||||||||
6.500% due 05/15/2022 | 13,546 | 13,773 | ||||||||||
Informatica LLC |
| |||||||||||
7.125% due 07/15/2023 | 3,986 | 4,056 | ||||||||||
Inmarsat Finance PLC |
| |||||||||||
4.875% due 05/15/2022 | 3,079 | 3,123 | ||||||||||
Intelsat Connect Finance S.A. |
| |||||||||||
9.500% due 02/15/2023 (e) | 7,709 | 5,413 | ||||||||||
Intelsat Jackson Holdings S.A. |
| |||||||||||
5.500% due 08/01/2023 | 8,580 | 7,388 | ||||||||||
8.500% due 10/15/2024 | 5,147 | 4,699 | ||||||||||
9.500% due 09/30/2022 | 3,549 | 4,027 | ||||||||||
Intelsat Luxembourg S.A. |
| |||||||||||
8.125% due 06/01/2023 | 6,313 | 3,748 | ||||||||||
International Game Technology PLC |
| |||||||||||
6.250% due 02/15/2022 | 8,776 | 9,274 | ||||||||||
Ithaca Energy North Sea PLC |
| |||||||||||
9.375% due 07/15/2024 | 500 | 524 | ||||||||||
Jaguar Holding Co. |
| |||||||||||
6.375% due 08/01/2023 | 4,884 | 5,053 | ||||||||||
JC Penney Corp., Inc. |
| |||||||||||
5.650% due 06/01/2020 | 24 | 23 | ||||||||||
KB Home |
| |||||||||||
7.000% due 12/15/2021 | 5,631 | 6,056 | ||||||||||
7.500% due 09/15/2022 | 4,981 | 5,605 | ||||||||||
Kenan Advantage Group, Inc. |
| |||||||||||
7.875% due 07/31/2023 (e) | 85 | 83 | ||||||||||
KGA Escrow LLC |
| |||||||||||
7.500% due 08/15/2023 | 1,672 | 1,773 | ||||||||||
Kinetic Concepts, Inc. |
| |||||||||||
12.500% due 11/01/2021 | 1,218 | 1,257 | ||||||||||
Kronos Acquisition Holdings, Inc. |
| |||||||||||
9.000% due 08/15/2023 | 5,971 | 5,720 | ||||||||||
L Brands, Inc. |
| |||||||||||
5.625% due 02/15/2022 | 4,730 | 4,987 | ||||||||||
5.625% due 10/15/2023 | 3,061 | 3,308 | ||||||||||
6.625% due 04/01/2021 | 4,558 | 4,788 | ||||||||||
Lennar Corp. |
| |||||||||||
4.750% due 04/01/2021 | 1,610 | 1,649 | ||||||||||
4.750% due 11/15/2022 | 1,039 | 1,093 | ||||||||||
6.250% due 12/15/2021 | 421 | 444 | ||||||||||
6.625% due 05/01/2020 | 250 | 254 | ||||||||||
Lightstream Resources Ltd. |
| |||||||||||
8.625% due 02/01/2020 ^«(b) | 3,575 | 81 | ||||||||||
LKQ Corp. |
| |||||||||||
4.750% due 05/15/2023 | 2,929 | 2,977 | ||||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.500% due 04/15/2024 | 5,724 | 5,911 | ||||||||||
MEG Energy Corp. |
| |||||||||||
6.375% due 01/30/2023 | 5,030 | 5,053 | ||||||||||
7.000% due 03/31/2024 | 3,353 | 3,381 | ||||||||||
MGM Resorts International |
| |||||||||||
7.750% due 03/15/2022 | 3,709 | 4,142 | ||||||||||
Midas Intermediate Holdco LLC |
| |||||||||||
7.875% due 10/01/2022 | 2,277 | 2,084 | ||||||||||
MPH Acquisition Holdings LLC |
| |||||||||||
7.125% due 06/01/2024 | 8,062 | 7,820 | ||||||||||
Murray Energy Corp. |
| |||||||||||
11.250% due 04/15/2021 ^(b) | 3,255 | 4 | ||||||||||
Nabors Industries, Inc. |
| |||||||||||
4.625% due 09/15/2021 | 4,329 | 4,312 | ||||||||||
5.000% due 09/15/2020 | 839 | 844 | ||||||||||
5.500% due 01/15/2023 (e) | 3,172 | 3,053 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Navios Maritime Holdings, Inc. |
| |||||||||||
7.375% due 01/15/2022 | $ | 5,930 | $ | �� | 3,454 | |||||||
NCR Corp. |
| |||||||||||
5.000% due 07/15/2022 | 6,695 | 6,775 | ||||||||||
Netflix, Inc. |
| |||||||||||
5.500% due 02/15/2022 | 6,308 | 6,694 | ||||||||||
Newfield Exploration Co. |
| |||||||||||
5.750% due 01/30/2022 | 801 | 852 | ||||||||||
Nielsen Finance LLC |
| |||||||||||
5.000% due 04/15/2022 | 16,965 | 17,059 | ||||||||||
Nine Energy Service, Inc. |
| |||||||||||
8.750% due 11/01/2023 | 6,477 | 5,267 | ||||||||||
Nokia Oyj |
| |||||||||||
3.375% due 06/12/2022 | 3,227 | 3,275 | ||||||||||
Northwest Acquisitions ULC |
| |||||||||||
7.125% due 11/01/2022 | 3,483 | 2,618 | ||||||||||
NuStar Logistics LP |
| |||||||||||
4.750% due 02/01/2022 | 5,346 | 5,521 | ||||||||||
4.800% due 09/01/2020 | 2,005 | 2,036 | ||||||||||
NXP BV |
| |||||||||||
3.875% due 09/01/2022 | 334 | 347 | ||||||||||
Oasis Petroleum, Inc. |
| |||||||||||
6.875% due 03/15/2022 | 432 | 417 | ||||||||||
Open Text Corp. |
| |||||||||||
5.625% due 01/15/2023 | 8,468 | 8,634 | ||||||||||
Ortho-Clinical Diagnostics, Inc. |
| |||||||||||
6.625% due 05/15/2022 | 11,328 | 11,285 | ||||||||||
Owens-Brockway Glass Container, Inc. |
| |||||||||||
5.000% due 01/15/2022 | 5,009 | 5,208 | ||||||||||
Party City Holdings, Inc. |
| |||||||||||
6.125% due 08/15/2023 (e) | 5,650 | 4,960 | ||||||||||
PetSmart, Inc. |
| |||||||||||
7.125% due 03/15/2023 | 7,634 | 7,500 | ||||||||||
Polaris Intermediate Corp. (8.500% Cash or 9.250% PIK) |
| |||||||||||
8.500% due 12/01/2022 (a) | 2,239 | 2,091 | ||||||||||
PolyOne Corp. |
| |||||||||||
5.250% due 03/15/2023 | 2,512 | 2,713 | ||||||||||
Precision Drilling Corp. |
| |||||||||||
6.500% due 12/15/2021 | 12 | 12 | ||||||||||
7.750% due 12/15/2023 | 1,591 | 1,592 | ||||||||||
Prime Security Services Borrower LLC |
| |||||||||||
5.250% due 04/15/2024 | 2,727 | 2,891 | ||||||||||
QEP Resources, Inc. |
| |||||||||||
5.375% due 10/01/2022 | 4,314 | 4,348 | ||||||||||
QVC, Inc. |
| |||||||||||
4.850% due 04/01/2024 | 2,476 | 2,594 | ||||||||||
Rackspace Hosting, Inc. |
| |||||||||||
8.625% due 11/15/2024 | 3,600 | 3,528 | ||||||||||
Radiate Holdco LLC |
| |||||||||||
6.875% due 02/15/2023 | 8,064 | 8,229 | ||||||||||
Range Resources Corp. |
| |||||||||||
5.000% due 08/15/2022 | 7,246 | 7,119 | ||||||||||
Revlon Consumer Products Corp. |
| |||||||||||
5.750% due 02/15/2021 (e) | 7,954 | 6,739 | ||||||||||
6.250% due 08/01/2024 | 2,071 | 990 | ||||||||||
Reynolds Group Issuer, Inc. |
| |||||||||||
5.125% due 07/15/2023 | 11,311 | 11,603 | ||||||||||
5.750% due 10/15/2020 | 8,092 | 8,112 | ||||||||||
Rite Aid Corp. |
| |||||||||||
6.125% due 04/01/2023 | 3,428 | 3,162 | ||||||||||
Riverbed Technology, Inc. |
| |||||||||||
8.875% due 03/01/2023 (e) | 2,731 | 1,584 | ||||||||||
Rockpoint Gas Storage Canada Ltd. |
| |||||||||||
7.000% due 03/31/2023 | 6,004 | 5,916 | ||||||||||
Rowan Cos., Inc. |
| |||||||||||
4.875% due 06/01/2022 | 5,773 | 4,231 | ||||||||||
RR Donnelley & Sons Co. |
| |||||||||||
7.875% due 03/15/2021 | 70 | 73 | ||||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.625% due 02/01/2021 | 10 | 10 | ||||||||||
Sabre GLBL, Inc. |
| |||||||||||
5.375% due 04/15/2023 | 6,583 | 6,758 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 37 |
Table of Contents
Schedule of InvestmentsPIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Sanchez Energy Corp. |
| |||||||||||
7.750% due 06/15/2021 ^(b) | $ | 2,029 | $ | 101 | ||||||||
Sensata Technologies BV |
| |||||||||||
4.875% due 10/15/2023 | 2,989 | 3,191 | ||||||||||
SESI LLC |
| |||||||||||
7.125% due 12/15/2021 | 3,213 | 2,748 | ||||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.875% due 08/01/2022 | 156 | 160 | ||||||||||
4.625% due 07/15/2024 | 4,601 | 4,841 | ||||||||||
Sophia LP |
| |||||||||||
9.000% due 09/30/2023 | 1,559 | 1,606 | ||||||||||
Southwestern Energy Co. |
| |||||||||||
4.100% due 03/15/2022 | 60 | 59 | ||||||||||
Standard Industries, Inc. |
| |||||||||||
5.500% due 02/15/2023 | 4,684 | 4,772 | ||||||||||
Sunoco LP |
| |||||||||||
4.875% due 01/15/2023 | 6,617 | 6,785 | ||||||||||
T-Mobile USA, Inc. |
| |||||||||||
4.000% due 04/15/2022 | 3,415 | 3,505 | ||||||||||
Teine Energy Ltd. |
| |||||||||||
6.875% due 09/30/2022 | 2,142 | 2,148 | ||||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.625% due 09/01/2024 | 8,349 | 8,715 | ||||||||||
6.750% due 06/15/2023 | 10,669 | 11,744 | ||||||||||
8.125% due 04/01/2022 | 12,844 | 14,232 | ||||||||||
THQ, Inc. |
| |||||||||||
12.000% due 08/15/2021 ^«(b) | 2,000 | 81 | ||||||||||
Toll Brothers Finance Corp. |
| |||||||||||
5.875% due 02/15/2022 | 4,218 | 4,472 | ||||||||||
Transocean, Inc. |
| |||||||||||
9.000% due 07/15/2023 | 7,946 | 8,410 | ||||||||||
TRI Pointe Group, Inc. |
| |||||||||||
4.875% due 07/01/2021 | 1,534 | 1,577 | ||||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
9.250% due 08/01/2024 | 1,823 | 1,847 | ||||||||||
Triumph Group, Inc. |
| |||||||||||
6.250% due 09/15/2024 | 10,283 | 10,831 | ||||||||||
Unisys Corp. |
| |||||||||||
10.750% due 04/15/2022 | 167 | 180 | ||||||||||
Unit Corp. |
| |||||||||||
6.625% due 05/15/2021 | 3,888 | 2,147 | ||||||||||
United Airlines Holdings, Inc. |
| |||||||||||
4.250% due 10/01/2022 | 3,274 | 3,425 | ||||||||||
Univision Communications, Inc. |
| |||||||||||
5.125% due 05/15/2023 | 12,709 | 12,709 | ||||||||||
Valaris PLC |
| |||||||||||
8.000% due 01/31/2024 | 2,622 | 1,594 | ||||||||||
VeriSign, Inc. |
| |||||||||||
4.625% due 05/01/2023 | 5,015 | 5,106 | ||||||||||
Veritas U.S., Inc. |
| |||||||||||
10.500% due 02/01/2024 (e) | 1,427 | 1,324 | ||||||||||
Videotron Ltd. |
| |||||||||||
5.000% due 07/15/2022 | 4,584 | 4,848 | ||||||||||
Virgin Australia Holdings Ltd. |
| |||||||||||
7.875% due 10/15/2021 | 878 | 909 | ||||||||||
Watco Cos. LLC |
| |||||||||||
6.375% due 04/01/2023 | 2,200 | 2,239 | ||||||||||
WEX, Inc. |
| |||||||||||
4.750% due 02/01/2023 | 1,724 | 1,742 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Whiting Petroleum Corp. |
| |||||||||||
5.750% due 03/15/2021 | $ | 1,427 | $ | 1,353 | ||||||||
6.250% due 04/01/2023 | 1,063 | 893 | ||||||||||
Williams Scotsman International, Inc. |
| |||||||||||
6.875% due 08/15/2023 | 5,340 | 5,636 | ||||||||||
WPX Energy, Inc. |
| |||||||||||
5.250% due 09/15/2024 | 3,355 | 3,573 | ||||||||||
8.250% due 08/01/2023 | 6,559 | 7,562 | ||||||||||
WR Grace &Co-Conn |
| |||||||||||
5.125% due 10/01/2021 | 8,538 | 8,917 | ||||||||||
Wyndham Destinations, Inc. |
| |||||||||||
4.250% due 03/01/2022 | 435 | 445 | ||||||||||
5.400% due 04/01/2024 | 4,300 | 4,565 | ||||||||||
XPO Logistics, Inc. |
| |||||||||||
6.125% due 09/01/2023 | 4,964 | 5,135 | ||||||||||
6.500% due 06/15/2022 | 9,539 | 9,737 | ||||||||||
6.750% due 08/15/2024 | 11,708 | 12,743 | ||||||||||
Yum! Brands, Inc. |
| |||||||||||
3.875% due 11/01/2020 | 3,924 | 3,970 | ||||||||||
3.875% due 11/01/2023 | 5,406 | 5,584 | ||||||||||
|
| |||||||||||
1,082,333 | ||||||||||||
|
| |||||||||||
UTILITIES 7.8% |
| |||||||||||
AES Corp. |
| |||||||||||
4.000% due 03/15/2021 | 5,553 | 5,642 | ||||||||||
American Midstream Partners LP |
| |||||||||||
9.500% due 12/15/2021 | 4,230 | 3,988 | ||||||||||
Blue Racer Midstream LLC |
| |||||||||||
6.125% due 11/15/2022 | 10,337 | 10,149 | ||||||||||
Calpine Corp. |
| |||||||||||
6.000% due 01/15/2022 | 4,043 | 4,055 | ||||||||||
CenturyLink, Inc. |
| |||||||||||
5.625% due 04/01/2020 | 7,778 | 7,836 | ||||||||||
5.800% due 03/15/2022 | 8,457 | 8,906 | ||||||||||
6.450% due 06/15/2021 | 6,833 | 7,168 | ||||||||||
7.500% due 04/01/2024 (e) | 6,084 | 6,872 | ||||||||||
Crestwood Midstream Partners LP |
| |||||||||||
6.250% due 04/01/2023 | 3,240 | 3,312 | ||||||||||
Frontier Communications Corp. |
| |||||||||||
10.500% due 09/15/2022 | 6,936 | 3,401 | ||||||||||
Genesis Energy LP |
| |||||||||||
6.750% due 08/01/2022 | 1,074 | 1,087 | ||||||||||
Great Western Petroleum LLC |
| |||||||||||
9.000% due 09/30/2021 | 672 | 602 | ||||||||||
NGPL PipeCo LLC |
| |||||||||||
4.375% due 08/15/2022 | 6,854 | 7,120 | ||||||||||
PBF Holding Co. LLC |
| |||||||||||
7.000% due 11/15/2023 | 1,922 | 2,000 | ||||||||||
PBF Logistics LP |
| |||||||||||
6.875% due 05/15/2023 | 2,907 | 3,001 | ||||||||||
Qwest Corp. |
| |||||||||||
6.750% due 12/01/2021 | 5,800 | 6,242 | ||||||||||
Sprint Communications, Inc. |
| |||||||||||
6.000% due 11/15/2022 | 3,902 | 4,099 | ||||||||||
7.000% due 03/01/2020 | 3,256 | 3,277 | ||||||||||
7.000% due 08/15/2020 | 4,334 | 4,431 | ||||||||||
Sprint Corp. |
| |||||||||||
7.250% due 09/15/2021 | 4,317 | 4,573 | ||||||||||
7.875% due 09/15/2023 | 14,809 | 16,370 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Targa Resources Partners LP |
| |||||||||||
4.250% due 11/15/2023 | $ | 5,094 | $ | 5,156 | ||||||||
Telecom Italia SpA |
| |||||||||||
5.303% due 05/30/2024 | 7,421 | 7,996 | ||||||||||
|
| |||||||||||
127,283 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 1,424,407 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
WARRANTS 0.3% |
| |||||||||||
COMMUNICATION SERVICES 0.3% |
| |||||||||||
iHeartMedia, Inc. | 243,827 | 4,121 | ||||||||||
|
| |||||||||||
Total Warrants (Cost $5,035) | 4,121 | |||||||||||
|
| |||||||||||
PREFERRED SECURITIES 0.0% |
| |||||||||||
BANKING & FINANCE 0.0% |
| |||||||||||
AGFC Capital Trust |
| |||||||||||
3.751% (US0003M + 1.750%) due 01/15/2067 ~ | 1,289,000 | 644 | ||||||||||
|
| |||||||||||
Total Preferred Securities (Cost $762) | 644 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 20.9% |
| |||||||||||
REPURCHASE AGREEMENTS (g) 20.9% |
| |||||||||||
342,759 | ||||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $342,759) | 342,759 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $1,791,702) | 1,776,479 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
INVESTMENTS IN AFFILIATES 2.6% |
| |||||||||||
SHORT-TERM INSTRUMENTS 2.6% |
| |||||||||||
MUTUAL FUNDS 2.6% |
| |||||||||||
PIMCO Government Money Market Fund |
| |||||||||||
1.620%(d)(e)(f) | 42,534,963 | 42,535 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $42,535) | 42,535 | |||||||||||
|
| |||||||||||
Total Investments in Affiliates (Cost $42,535) | 42,535 | |||||||||||
Total Investments 111.2% (Cost $1,834,237) |
| $ | 1,819,014 | |||||||||
Financial Derivative (Cost or Premiums, net $11,374) |
| 176 | ||||||||||
Other Assets and Liabilities, net (11.2)% | (182,976 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 1,636,214 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
38 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Paymentin-kind security. |
(b) | Security is not accruing income as of the date of this report. |
(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 $45,563 were out on loan in exchange for $46,480 of cash collateral as of December 31, 2019. See Note 5, Securities Lending, in the Notes to Financial Statements for more information regarding securities on loan and cash collateral. |
(f) | Coupon represents a7-Day Yield. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
BOS | 1.580 | % | 01/02/2020 | 01/03/2020 | $ | 150,000 | U.S. Treasury Bonds 3.000% due 11/15/2044 | $ | (152,851 | ) | $ | 150,000 | $ | 150,000 | ||||||||||||||||
FICC | 1.250 | 12/31/2019 | 01/02/2020 | 7,259 | U.S. Treasury Notes 2.750% due 09/15/2021 | (7,406 | ) | 7,259 | 7,259 | |||||||||||||||||||||
JPS | 1.850 | 12/31/2019 | 01/02/2020 | 150,000 | U.S. Treasury Bonds 3.000% due 11/15/2044 | (151,634 | ) | 150,000 | 150,015 | |||||||||||||||||||||
MBC | 1.650 | 12/31/2019 | 01/02/2020 | 35,500 | U.S. Treasury Notes 2.000% - 2.500% due 06/30/2020 - 06/30/2024 | (36,628 | ) | 35,500 | 35,503 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (348,519 | ) | $ | 342,759 | $ | 342,777 | ||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Securities Out on Loan | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(2) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
BOS | $ | 150,000 | $ | 0 | $ | 0 | $ | 0 | $ | 150,000 | $ | (152,851 | ) | $ | (2,851 | ) | ||||||||||||
FICC | 7,259 | 0 | 0 | 0 | 7,259 | (7,406 | ) | (147 | ) | |||||||||||||||||||
JPS | 150,015 | 0 | 0 | 0 | 150,015 | (151,634 | ) | (1,619 | ) | |||||||||||||||||||
MBC | 35,503 | 0 | 0 | 0 | 35,503 | (36,628 | ) | (1,125 | ) | |||||||||||||||||||
Master Securities Forward Transactions Agreement |
| |||||||||||||||||||||||||||
BCY | 0 | 0 | 0 | 13,735 | 13,735 | (14,005 | ) | (270 | ) | |||||||||||||||||||
FOB | 0 | 0 | 0 | 689 | 689 | (703 | ) | (14 | ) | |||||||||||||||||||
GSC | 0 | 0 | 0 | 29,591 | 29,591 | (30,185 | ) | (594 | ) | |||||||||||||||||||
RDR | 0 | 0 | 0 | 1,548 | 1,548 | (1,587 | ) | (39 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 342,777 | $ | 0 | $ | 0 | $ | 45,563 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Securities Lending Transactions(3) |
| |||||||||||||||||||
Corporate Bonds & Notes | $ | (46,480 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (46,480 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | (46,480 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (46,480 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements and securities lending transactions |
| $ | (46,480 | ) | ||||||||||||||||
|
|
(1) | Includes accrued interest. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(3) | Includes cash collateral as described in Note 5 in the Notes to Financial Statements. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 39 |
Table of Contents
Schedule of InvestmentsPIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund(Cont.)
(h) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS | ||||||||||||||||||||||||
Description | Expiration | # of | Notional | Unrealized | Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
U.S. Treasury5-Year Note March Futures | 03/2020 | 335 | $ | 39,734 | $ | (140 | ) | $ | 0 | $ | (8 | ) | ||||||||||||
|
|
|
|
|
|
SHORT FUTURES CONTRACTS | ||||||||||||||||||||||||
Description | Expiration | # of | Notional | Unrealized | Variation Margin | |||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
U.S. Treasury2-Year Note March Futures | 03/2020 | 117 | $ | (25,214 | ) | $ | 24 | $ | 0 | $ | (5 | ) | ||||||||||||
U.S. Treasury10-Year Note March Futures | 03/2020 | 53 | (6,806 | ) | 57 | 6 | 0 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 81 | $ | 6 | $ | (5 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Futures Contracts |
| $ | (59 | ) | $ | 6 | $ | (13 | ) | |||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed | Payment | Maturity | Notional | Premiums | Unrealized Appreciation/ (Depreciation) | Market | Variation Margin | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
CDX.HY-325-Year Index | 5.000 | % | Quarterly | 06/20/2024 | $ | 94,374 | $ | 6,369 | $ | 3,126 | $ | 9,495 | $ | 0 | $ | (36 | ) | |||||||||||||||||||
CDX.HY-335-Year Index | 5.000 | Quarterly | 12/20/2024 | 69,597 | 5,065 | 1,767 | 6,832 | 0 | (24 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | 11,434 | $ | 4,893 | $ | 16,327 | $ | 0 | $ | (60 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Market Value | Variation Margin Liability | Total | ||||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Total | Written Options | Futures | Swap Agreements | ||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 6 | $ | 0 | $ | 6 | $ | 0 | $ | (13) | $ | (60) | $ (73) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $9,226 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
40 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
(i) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
SWAP AGREEMENTS:
TOTAL RETURN SWAPS ON INTEREST RATE INDICES
Counterparty | Pay/Receive(1) | Underlying Reference | # of Units | Financing Rate | Payment | Maturity | Notional | Premiums | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
BRC | Receive | iBoxx USD Liquid High Yield Index | N/A | 1.908%(3-MonthUSD-LIBOR) | Maturity | 03/20/2020 | $ | 200 | $ | (1 | ) | $ | 6 | $ | 5 | $ | 0 | |||||||||||||||||||||
FBF | Receive | iBoxx USD Liquid High Yield Index | N/A | 1.908%(3-MonthUSD-LIBOR plus a specified spread) | Maturity | 06/22/2020 | 6,700 | (31 | ) | 175 | 144 | 0 | ||||||||||||||||||||||||||
GST | Receive | iBoxx USD Liquid High Yield Index | N/A | 1.908%(3-MonthUSD-LIBOR plus a specified spread) | Maturity | 06/22/2020 | 5,900 | (28 | ) | 122 | 94 | 0 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Swap Agreements |
| $ | (60 | ) | $ | 303 | $ | 243 | $ | 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 pledged/(received) as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) | Net Exposure(2) | |||||||||||||||||||||||||||||||||||||
BRC | $ | 0 | $ | 0 | $ | 5 | $ | 5 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 5 | $ | 0 | $ | 5 | ||||||||||||||||||||||||||
FBF | 0 | 0 | 144 | 144 | 0 | 0 | 0 | 0 | 144 | 0 | 144 | |||||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 94 | 94 | 0 | 0 | 0 | 0 | 94 | (100 | ) | (6 | ) | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 0 | $ | 0 | $ | 243 | $ | 243 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||||||||||||||
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(1) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 6 | ||||||||||||
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|
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| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 243 | $ | 243 | ||||||||||||
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|
| |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 249 | $ | 249 | |||||||||||||
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Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 13 | $ | 13 | ||||||||||||
Swap Agreements | 0 | 60 | 0 | 0 | 0 | 60 | ||||||||||||||||||
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| |||||||||||||
$ | 0 | $ | 60 | $ | 0 | $ | 0 | $ | 13 | $ | 73 | |||||||||||||
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See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 41 |
Table of Contents
Schedule of InvestmentsPIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:
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 | $ | 363 | $ | 363 | ||||||||||||
Swap Agreements | 0 | 1,642 | 0 | 0 | 4 | 1,646 | ||||||||||||||||||
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|
|
| |||||||||||||
$ | 0 | $ | 1,642 | $ | 0 | $ | 0 | $ | 367 | $ | 2,009 | |||||||||||||
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|
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|
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|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 3 | $ | 0 | $ | 0 | $ | 2,278 | $ | 2,281 | ||||||||||||
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|
|
|
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|
| |||||||||||||
$ | 0 | $ | 1,645 | $ | 0 | $ | 0 | $ | 2,645 | $ | 4,290 | |||||||||||||
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Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (188 | ) | $ | (188 | ) | ||||||||||
Swap Agreements | 0 | 3,265 | 0 | 0 | 0 | 3,265 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 3,265 | $ | 0 | $ | 0 | $ | (188 | ) | $ | 3,077 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (906 | ) | $ | (906 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 3,265 | $ | 0 | $ | 0 | $ | (1,094 | ) | $ | 2,171 | ||||||||||||
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FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 4,548 | $ | 0 | $ | 4,548 | ||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | 0 | 214,791 | 0 | 214,791 | ||||||||||||
Industrials | 0 | 1,082,164 | 169 | 1,082,333 | ||||||||||||
Utilities | 0 | 127,283 | 0 | 127,283 | ||||||||||||
Warrants |
| |||||||||||||||
Communication Services | 0 | 4,121 | 0 | 4,121 | ||||||||||||
Preferred Securities |
| |||||||||||||||
Banking & Finance | 0 | 644 | 0 | 644 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 342,759 | 0 | 342,759 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 1,776,310 | $ | 169 | $ | 1,776,479 | |||||||||
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|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Affiliates, at Value |
| |||||||||||||||
Short-Term Instruments |
| |||||||||||||||
Mutual Funds | 42,535 | 0 | 0 | 42,535 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 42,535 | $ | 1,776,310 | $ | 169 | $ | 1,819,014 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | 6 | 0 | 0 | 6 | ||||||||||||
Over the counter | 0 | 243 | 0 | 243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 6 | $ | 243 | $ | 0 | $ | 249 | |||||||||
|
|
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|
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|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | (13 | ) | $ | (60 | ) | $ | 0 | $ | (73 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | (7 | ) | $ | 183 | $ | 0 | $ | 176 | |||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 42,528 | $ | 1,776,493 | $ | 169 | $ | 1,819,190 | ||||||||
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There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
42 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 98.9% |
| |||||||||||
CORPORATE BONDS & NOTES 97.8% |
| |||||||||||
BANKING & FINANCE 39.2% |
| |||||||||||
AerCap Ireland Capital DAC |
| |||||||||||
4.500% due 05/15/2021 | $ | 1,315 | $ | 1,357 | ||||||||
4.625% due 10/30/2020 | 2,942 | 3,001 | ||||||||||
Aflac, Inc. |
| |||||||||||
3.625% due 11/15/2024 | 3,295 | 3,522 | ||||||||||
AIG Global Funding |
| |||||||||||
2.389% (US0003M + 0.480%) | 1,210 | 1,212 | ||||||||||
Air Lease Corp. |
| |||||||||||
3.500% due 01/15/2022 | 1,712 | 1,759 | ||||||||||
American Express Co. |
| |||||||||||
2.650% due 12/02/2022 | 295 | 301 | ||||||||||
4.050% due 12/03/2042 | 277 | 326 | ||||||||||
American Honda Finance Corp. |
| |||||||||||
2.450% due 09/24/2020 | 1,278 | 1,283 | ||||||||||
American International Group, Inc. |
| |||||||||||
3.750% due 07/10/2025 | 2,852 | 3,052 | ||||||||||
3.875% due 01/15/2035 | 450 | 478 | ||||||||||
3.900% due 04/01/2026 | 410 | 439 | ||||||||||
4.500% due 07/16/2044 | 295 | 340 | ||||||||||
American Tower Corp. |
| |||||||||||
2.750% due 01/15/2027 | 1,300 | 1,299 | ||||||||||
3.125% due 01/15/2027 | 1,395 | 1,428 | ||||||||||
3.375% due 10/15/2026 | 932 | 969 | ||||||||||
3.500% due 01/31/2023 | 1,585 | 1,643 | ||||||||||
3.600% due 01/15/2028 | 735 | 772 | ||||||||||
Athene Global Funding |
| |||||||||||
3.000% due 07/01/2022 | 1,010 | 1,028 | ||||||||||
Athene Holding Ltd. |
| |||||||||||
4.125% due 01/12/2028 | 1,638 | 1,696 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
6.750% due 04/06/2021 | 100 | 105 | ||||||||||
7.125% due 10/15/2020 | 100 | 104 | ||||||||||
AXA Equitable Holdings, Inc. |
| |||||||||||
4.350% due 04/20/2028 | 772 | 838 | ||||||||||
5.000% due 04/20/2048 | 880 | 946 | ||||||||||
B3 S.A. - Brasil Bolsa Balcao |
| |||||||||||
5.500% due 07/16/2020 | 680 | 692 | ||||||||||
Banco de Credito e Inversiones S.A. |
| |||||||||||
3.500% due 10/12/2027 | 1,965 | 2,010 | ||||||||||
Banco do Brasil S.A. |
| |||||||||||
6.000% due 01/22/2020 | 275 | 276 | ||||||||||
Banco Santander Mexico S.A. |
| |||||||||||
4.125% due 11/09/2022 | 265 | 276 | ||||||||||
Bank of America Corp. |
| |||||||||||
2.369% due 07/21/2021 • | 1,950 | 1,954 | ||||||||||
3.419% due 12/20/2028 • | 2,658 | 2,790 | ||||||||||
3.500% due 04/19/2026 | 1,867 | 1,985 | ||||||||||
4.000% due 04/01/2024 | 2,469 | 2,645 | ||||||||||
4.271% due 07/23/2029 • | 2,534 | 2,815 | ||||||||||
7.750% due 05/14/2038 | 386 | 608 | ||||||||||
Bank of New York Mellon Corp. |
| |||||||||||
3.000% due 02/24/2025 | 2,181 | 2,268 | ||||||||||
Barclays PLC |
| |||||||||||
4.375% due 01/12/2026 | 3,995 | 4,328 | ||||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
5.750% due 01/15/2040 | 672 | 921 | ||||||||||
Berkshire Hathaway, Inc. |
| |||||||||||
4.500% due 02/11/2043 | 545 | 660 | ||||||||||
BNP Paribas S.A. |
| |||||||||||
4.400% due 08/14/2028 | 635 | 705 | ||||||||||
5.000% due 01/15/2021 | 3,676 | 3,793 | ||||||||||
Boston Properties LP |
| |||||||||||
3.800% due 02/01/2024 | 900 | 952 | ||||||||||
BPCE S.A. |
| |||||||||||
4.500% due 03/15/2025 | 525 | 566 | ||||||||||
4.625% due 09/12/2028 | 585 | 658 | ||||||||||
5.150% due 07/21/2024 | 195 | 214 | ||||||||||
Brookfield Finance, Inc. |
| |||||||||||
4.850% due 03/29/2029 | 1,220 | 1,396 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Capital One Financial Corp. |
| |||||||||||
4.750% due 07/15/2021 | $ | 2,079 | $ | 2,165 | ||||||||
Cboe Global Markets, Inc. |
| |||||||||||
3.650% due 01/12/2027 | 445 | 478 | ||||||||||
Charles Schwab Corp. |
| |||||||||||
3.000% due 03/10/2025 | 250 | 259 | ||||||||||
China Cinda Finance Ltd. |
| |||||||||||
4.250% due 04/23/2025 | 465 | 497 | ||||||||||
Chubb INA Holdings, Inc. |
| |||||||||||
3.350% due 05/03/2026 | 3,215 | 3,418 | ||||||||||
4.350% due 11/03/2045 | 576 | 697 | ||||||||||
Citibank N.A. |
| |||||||||||
3.650% due 01/23/2024 | 1,471 | 1,557 | ||||||||||
Citigroup, Inc. |
| |||||||||||
2.700% due 03/30/2021 | 2,208 | 2,229 | ||||||||||
2.876% due 07/24/2023 • | 1,079 | 1,098 | ||||||||||
3.400% due 05/01/2026 | 2,871 | 3,015 | ||||||||||
3.700% due 01/12/2026 | 2,329 | 2,483 | ||||||||||
4.000% due 08/05/2024 | 692 | 741 | ||||||||||
8.125% due 07/15/2039 | 84 | 141 | ||||||||||
Citizens Financial Group, Inc. |
| |||||||||||
2.375% due 07/28/2021 | 100 | 100 | ||||||||||
CME Group, Inc. |
| |||||||||||
3.000% due 09/15/2022 | 1,802 | 1,855 | ||||||||||
3.000% due 03/15/2025 | 395 | 410 | ||||||||||
3.750% due 06/15/2028 | 480 | 530 | ||||||||||
4.150% due 06/15/2048 | 535 | 635 | ||||||||||
Commonwealth Bank of Australia |
| |||||||||||
2.750% due 03/10/2022 | 2,378 | 2,420 | ||||||||||
Cooperatieve Rabobank UA |
| |||||||||||
3.875% due 02/08/2022 | 375 | 391 | ||||||||||
5.250% due 05/24/2041 | 2,346 | 3,203 | ||||||||||
Credit Suisse AG |
| |||||||||||
3.000% due 10/29/2021 | 910 | 928 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||||||
3.800% due 06/09/2023 | 2,004 | 2,098 | ||||||||||
4.875% due 05/15/2045 | 865 | 1,090 | ||||||||||
Crown Castle International Corp. |
| |||||||||||
3.100% due 11/15/2029 | 804 | 815 | ||||||||||
4.450% due 02/15/2026 | 1,333 | 1,460 | ||||||||||
5.250% due 01/15/2023 | 1,833 | 1,991 | ||||||||||
CubeSmart LP |
| |||||||||||
3.000% due 02/15/2030 | 200 | 198 | ||||||||||
Deutsche Bank AG |
| |||||||||||
2.971% (US0003M + 0.970%) | 1,310 | 1,311 | ||||||||||
4.100% due 01/13/2026 | 1,657 | 1,681 | ||||||||||
Discover Bank |
| |||||||||||
4.650% due 09/13/2028 | 1,370 | 1,544 | ||||||||||
Duke Realty LP |
| |||||||||||
3.875% due 10/15/2022 | 200 | 208 | ||||||||||
4.000% due 09/15/2028 | 785 | 856 | ||||||||||
EPR Properties |
| |||||||||||
4.950% due 04/15/2028 | 965 | 1,054 | ||||||||||
Essex Portfolio LP |
| |||||||||||
3.250% due 05/01/2023 | 1,651 | 1,696 | ||||||||||
Fairfax Financial Holdings Ltd. |
| |||||||||||
4.850% due 04/17/2028 | 558 | 608 | ||||||||||
First Republic Bank |
| |||||||||||
4.375% due 08/01/2046 | 200 | 221 | ||||||||||
Five Corners Funding Trust |
| |||||||||||
4.419% due 11/15/2023 | 3,999 | 4,341 | ||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.336% due 03/18/2021 | 1,809 | 1,823 | ||||||||||
5.875% due 08/02/2021 | 2,358 | 2,469 | ||||||||||
GE Capital International Funding Co. Unlimited Co. |
| |||||||||||
2.342% due 11/15/2020 | 3,095 | 3,098 | ||||||||||
4.418% due 11/15/2035 | 2,602 | 2,775 | ||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.700% due 11/24/2020 | 663 | 671 | ||||||||||
5.250% due 03/01/2026 | 1,451 | 1,611 | ||||||||||
GLP Capital LP |
| |||||||||||
4.000% due 01/15/2030 | 1,500 | 1,535 | ||||||||||
4.375% due 04/15/2021 | 838 | 857 | ||||||||||
5.300% due 01/15/2029 | 920 | 1,024 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Goldman Sachs Group, Inc. |
| |||||||||||
2.875% due 02/25/2021 | $ | 1,830 | $ | 1,848 | ||||||||
2.936% (US0003M + 1.000%) | 1,295 | 1,308 | ||||||||||
3.500% due 01/23/2025 | 295 | 309 | ||||||||||
4.750% due 10/21/2045 | 825 | 1,006 | ||||||||||
6.750% due 10/01/2037 | 2,797 | 3,882 | ||||||||||
Guardian Life Insurance Co. of America |
| |||||||||||
4.850% due 01/24/2077 | 200 | 243 | ||||||||||
Highwoods Realty LP |
| |||||||||||
3.050% due 02/15/2030 | 1,090 | 1,075 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
2.650% due 01/05/2022 | 1,510 | 1,527 | ||||||||||
3.400% due 03/08/2021 | 1,494 | 1,518 | ||||||||||
3.900% due 05/25/2026 | 2,095 | 2,234 | ||||||||||
4.300% due 03/08/2026 | 1,646 | 1,792 | ||||||||||
4.583% due 06/19/2029 • | 1,006 | 1,124 | ||||||||||
Hutchison Whampoa International Ltd. |
| |||||||||||
7.450% due 11/24/2033 | 1,088 | 1,604 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.550% due 03/01/2021 | 2,798 | 2,820 | ||||||||||
2.950% due 10/01/2026 | 3,741 | 3,855 | ||||||||||
3.625% due 05/13/2024 | 3,595 | 3,810 | ||||||||||
4.850% due 02/01/2044 | 1,586 | 2,025 | ||||||||||
5.400% due 01/06/2042 | 250 | 336 | ||||||||||
KeyCorp |
| |||||||||||
2.900% due 09/15/2020 | 1,399 | 1,408 | ||||||||||
Kilroy Realty LP |
| |||||||||||
3.800% due 01/15/2023 | 460 | 477 | ||||||||||
Kimco Realty Corp. |
| |||||||||||
4.450% due 09/01/2047 | 640 | 701 | ||||||||||
Lazard Group LLC |
| |||||||||||
3.750% due 02/13/2025 | 2,108 | 2,226 | ||||||||||
Liberty Mutual Group, Inc. |
| |||||||||||
3.951% due 10/15/2050 | 730 | 759 | ||||||||||
Lloyds Bank PLC |
| |||||||||||
5.800% due 01/13/2020 | 395 | 395 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
3.750% due 01/11/2027 | 3,260 | 3,427 | ||||||||||
Macquarie Bank Ltd. |
| |||||||||||
6.625% due 04/07/2021 | 49 | 52 | ||||||||||
Manulife Financial Corp. |
| |||||||||||
4.150% due 03/04/2026 | 1,208 | 1,330 | ||||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||||
3.750% due 03/14/2026 | 273 | 293 | ||||||||||
4.350% due 01/30/2047 | 150 | 173 | ||||||||||
4.900% due 03/15/2049 | 250 | 317 | ||||||||||
MetLife, Inc. |
| |||||||||||
4.050% due 03/01/2045 | 345 | 400 | ||||||||||
5.700% due 06/15/2035 | 240 | 322 | ||||||||||
5.875% due 02/06/2041 | 85 | 116 | ||||||||||
9.250% due 04/08/2068 | 365 | 538 | ||||||||||
Metropolitan Life Global Funding |
| |||||||||||
2.650% due 04/08/2022 | 820 | 832 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. |
| |||||||||||
2.665% due 07/25/2022 | 2,435 | 2,471 | ||||||||||
3.850% due 03/01/2026 | 1,693 | 1,819 | ||||||||||
Mizuho Financial Group, Inc. |
| |||||||||||
2.273% due 09/13/2021 | 2,100 | 2,109 | ||||||||||
2.632% due 04/12/2021 | 2,005 | 2,022 | ||||||||||
Morgan Stanley |
| |||||||||||
3.875% due 01/27/2026 | 1,460 | 1,568 | ||||||||||
4.350% due 09/08/2026 | 2,487 | 2,720 | ||||||||||
5.750% due 01/25/2021 | 1,855 | 1,927 | ||||||||||
MUFG Union Bank N.A. |
| |||||||||||
2.100% due 12/09/2022 | 5,100 | 5,114 | ||||||||||
Nasdaq, Inc. |
| |||||||||||
3.850% due 06/30/2026 | 100 | 107 | ||||||||||
National Australia Bank Ltd. |
| |||||||||||
2.800% due 01/10/2022 | 543 | 552 | ||||||||||
Nationwide Building Society |
| |||||||||||
3.960% due 07/18/2030 • | 945 | 1,015 | ||||||||||
New York Life Global Funding |
| |||||||||||
2.350% due 07/14/2026 | 100 | 100 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 43 |
Table of Contents
Schedule of InvestmentsPIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
New York Life Insurance Co. |
| |||||||||||
4.450% due 05/15/2069 | $ | 250 | $ | 286 | ||||||||
6.750% due 11/15/2039 | 720 | 1,055 | ||||||||||
Nippon Life Insurance Co. |
| |||||||||||
4.700% due 01/20/2046 • | 660 | 715 | ||||||||||
5.100% due 10/16/2044 • | 335 | 366 | ||||||||||
Nissan Motor Acceptance Corp. |
| |||||||||||
2.391% (US0003M + 0.390%) | 420 | 420 | ||||||||||
Nuveen Finance LLC |
| |||||||||||
4.125% due 11/01/2024 | 882 | 958 | ||||||||||
ORIX Corp. |
| |||||||||||
2.900% due 07/18/2022 | 790 | 805 | ||||||||||
PNC Bank N.A. |
| |||||||||||
3.800% due 07/25/2023 | 545 | 573 | ||||||||||
Principal Life Global Funding |
| |||||||||||
3.000% due 04/18/2026 | 639 | 661 | ||||||||||
Progressive Corp. |
| |||||||||||
2.450% due 01/15/2027 | 150 | 151 | ||||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.625% due 09/15/2026 | 100 | 106 | ||||||||||
Regency Centers LP |
| |||||||||||
2.950% due 09/15/2029 | 833 | 832 | ||||||||||
Reinsurance Group of America, Inc. |
| |||||||||||
3.950% due 09/15/2026 | 1,090 | 1,156 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
4.892% due 05/18/2029 • | 1,575 | 1,781 | ||||||||||
5.076% due 01/27/2030 • | 800 | 920 | ||||||||||
Santander Holdings USA, Inc. |
| |||||||||||
4.500% due 07/17/2025 | 3,061 | 3,304 | ||||||||||
Service Properties Trust |
| |||||||||||
5.000% due 08/15/2022 | 294 | 309 | ||||||||||
Simon Property Group LP |
| |||||||||||
2.450% due 09/13/2029 | 905 | 891 | ||||||||||
Societe Generale S.A. |
| |||||||||||
4.250% due 04/14/2025 | 495 | 520 | ||||||||||
Spirit Realty LP |
| |||||||||||
3.400% due 01/15/2030 | 845 | 849 | ||||||||||
4.450% due 09/15/2026 | 920 | 989 | ||||||||||
Standard Chartered PLC |
| |||||||||||
3.050% due 01/15/2021 | 705 | 711 | ||||||||||
State Street Corp. |
| |||||||||||
2.804% (US0003M + 0.900%) | 675 | 679 | ||||||||||
Sumitomo Life Insurance Co. |
| |||||||||||
6.500% due 09/20/2073 • | 250 | 279 | ||||||||||
Sumitomo Mitsui Banking Corp. |
| |||||||||||
3.200% due 07/18/2022 | 1,639 | 1,684 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||||||
2.058% due 07/14/2021 | 348 | 349 | ||||||||||
2.781% (US0003M + 0.780%) | 1,270 | 1,278 | ||||||||||
2.784% due 07/12/2022 | 1,560 | 1,587 | ||||||||||
3.102% due 01/17/2023 | 1,594 | 1,635 | ||||||||||
Synchrony Financial |
| |||||||||||
2.700% due 02/03/2020 | 200 | 200 | ||||||||||
3.950% due 12/01/2027 | 1,041 | 1,094 | ||||||||||
Tanger Properties LP |
| |||||||||||
3.750% due 12/01/2024 | 1,105 | 1,132 | ||||||||||
Toyota Motor Credit Corp. |
| |||||||||||
1.900% due 04/08/2021 | 624 | 625 | ||||||||||
Travelers Cos., Inc. |
| |||||||||||
4.100% due 03/04/2049 | 650 | 747 | ||||||||||
U.S. Bancorp |
| |||||||||||
2.950% due 07/15/2022 | 2,494 | 2,552 | ||||||||||
UBS Group AG |
| |||||||||||
4.125% due 09/24/2025 | 2,450 | 2,665 | ||||||||||
Ventas Realty LP |
| |||||||||||
4.400% due 01/15/2029 | 635 | 700 | ||||||||||
Visa, Inc. |
| |||||||||||
4.300% due 12/14/2045 | 1,716 | 2,113 | ||||||||||
Washington Prime Group LP |
| |||||||||||
6.450% due 08/15/2024 (c) | 535 | 495 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
WEA Finance LLC |
| |||||||||||
3.750% due 09/17/2024 | $ | 1,720 | $ | 1,810 | ||||||||
Wells Fargo & Co. |
| |||||||||||
2.625% due 07/22/2022 | 2,335 | 2,369 | ||||||||||
3.300% due 09/09/2024 | 3,215 | 3,373 | ||||||||||
3.500% due 03/08/2022 | 1,605 | 1,658 | ||||||||||
3.900% due 05/01/2045 | 709 | 803 | ||||||||||
4.125% due 08/15/2023 | 75 | 80 | ||||||||||
4.150% due 01/24/2029 | 796 | 886 | ||||||||||
4.400% due 06/14/2046 | 408 | 468 | ||||||||||
4.750% due 12/07/2046 | 330 | 396 | ||||||||||
Welltower, Inc. |
| |||||||||||
4.250% due 04/15/2028 | 803 | 880 | ||||||||||
Westpac Banking Corp. |
| |||||||||||
2.850% due 05/13/2026 | 360 | 369 | ||||||||||
Weyerhaeuser Co. |
| |||||||||||
4.000% due 11/15/2029 | 2,369 | 2,575 | ||||||||||
WR Berkley Corp. |
| |||||||||||
4.625% due 03/15/2022 | 251 | 265 | ||||||||||
|
| |||||||||||
248,405 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 46.0% |
| |||||||||||
Abbott Laboratories |
| |||||||||||
2.550% due 03/15/2022 | 270 | 274 | ||||||||||
AbbVie, Inc. |
| |||||||||||
2.900% due 11/06/2022 | 2,992 | 3,054 | ||||||||||
3.200% due 05/14/2026 | 1,951 | 2,020 | ||||||||||
4.300% due 05/14/2036 | 275 | 304 | ||||||||||
4.450% due 05/14/2046 | 800 | 856 | ||||||||||
Activision Blizzard, Inc. |
| |||||||||||
2.300% due 09/15/2021 | 268 | 269 | ||||||||||
3.400% due 09/15/2026 | 1,801 | 1,891 | ||||||||||
AEP Transmission Co. LLC |
| |||||||||||
4.250% due 09/15/2048 | 910 | 1,044 | ||||||||||
Aetna, Inc. |
| |||||||||||
3.875% due 08/15/2047 | 435 | 442 | ||||||||||
Alibaba Group Holding Ltd. |
| |||||||||||
2.800% due 06/06/2023 | 295 | 299 | ||||||||||
3.125% due 11/28/2021 | 1,411 | 1,439 | ||||||||||
3.400% due 12/06/2027 | 1,600 | 1,666 | ||||||||||
3.600% due 11/28/2024 | 2,175 | 2,290 | ||||||||||
Allergan Funding SCS |
| |||||||||||
3.450% due 03/15/2022 | 835 | 854 | ||||||||||
Altria Group, Inc. |
| |||||||||||
2.950% due 05/02/2023 | 800 | 817 | ||||||||||
Amazon.com, Inc. |
| |||||||||||
3.150% due 08/22/2027 | 1,215 | 1,286 | ||||||||||
3.875% due 08/22/2037 | 2,364 | 2,684 | ||||||||||
Amgen, Inc. |
| |||||||||||
3.200% due 11/02/2027 | 535 | 563 | ||||||||||
3.450% due 10/01/2020 | 864 | 874 | ||||||||||
3.625% due 05/22/2024 | 2,790 | 2,949 | ||||||||||
4.400% due 05/01/2045 | 395 | 444 | ||||||||||
4.663% due 06/15/2051 | 860 | 1,012 | ||||||||||
4.950% due 10/01/2041 | 545 | 649 | ||||||||||
Anheuser-Busch Cos. LLC |
| |||||||||||
4.900% due 02/01/2046 | 2,892 | 3,425 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
5.450% due 01/23/2039 | 250 | 314 | ||||||||||
5.550% due 01/23/2049 | 595 | 772 | ||||||||||
5.800% due 01/23/2059 | 250 | 341 | ||||||||||
Anthem, Inc. |
| |||||||||||
3.500% due 08/15/2024 | 1,054 | 1,105 | ||||||||||
3.650% due 12/01/2027 | 843 | 892 | ||||||||||
4.550% due 03/01/2048 | 385 | 435 | ||||||||||
Apache Corp. |
| |||||||||||
4.750% due 04/15/2043 | 263 | 254 | ||||||||||
5.100% due 09/01/2040 | 77 | 78 | ||||||||||
Apple, Inc. |
| |||||||||||
2.500% due 02/09/2022 | 955 | 969 | ||||||||||
2.500% due 02/09/2025 | 1,520 | 1,548 | ||||||||||
3.250% due 02/23/2026 | 4,135 | 4,378 | ||||||||||
3.450% due 05/06/2024 | 265 | 281 | ||||||||||
3.850% due 08/04/2046 | 406 | 459 | ||||||||||
4.650% due 02/23/2046 | 560 | 701 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
AstraZeneca PLC |
| |||||||||||
4.000% due 01/17/2029 | $ | 685 | $ | 761 | ||||||||
6.450% due 09/15/2037 | 1,360 | 1,922 | ||||||||||
Bacardi Ltd. |
| |||||||||||
2.750% due 07/15/2026 | 100 | 98 | ||||||||||
Baidu, Inc. |
| |||||||||||
3.625% due 07/06/2027 | 880 | 912 | ||||||||||
BAT Capital Corp. |
| |||||||||||
2.764% due 08/15/2022 | 825 | 837 | ||||||||||
3.222% due 08/15/2024 | 755 | 772 | ||||||||||
4.540% due 08/15/2047 | 1,725 | 1,733 | ||||||||||
Baxalta, Inc. |
| |||||||||||
5.250% due 06/23/2045 | 252 | 325 | ||||||||||
Bayer U.S. Finance LLC |
| |||||||||||
4.375% due 12/15/2028 | 90 | 98 | ||||||||||
4.875% due 06/25/2048 | 1,180 | 1,351 | ||||||||||
BHP Billiton Finance USA Ltd. |
| |||||||||||
5.000% due 09/30/2043 | 1,247 | 1,595 | ||||||||||
Booking Holdings, Inc. |
| |||||||||||
3.550% due 03/15/2028 | 777 | 828 | ||||||||||
BorgWarner, Inc. |
| |||||||||||
3.375% due 03/15/2025 | 150 | 157 | ||||||||||
Boston Scientific Corp. |
| |||||||||||
3.750% due 03/01/2026 | 760 | 814 | ||||||||||
4.550% due 03/01/2039 | 645 | 758 | ||||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
3.400% due 07/26/2029 | 3,965 | 4,241 | ||||||||||
4.350% due 11/15/2047 | 890 | 1,061 | ||||||||||
Broadcom Corp. |
| |||||||||||
2.375% due 01/15/2020 | 275 | 275 | ||||||||||
3.000% due 01/15/2022 | 485 | 492 | ||||||||||
3.625% due 01/15/2024 | 490 | 508 | ||||||||||
3.875% due 01/15/2027 | 260 | 270 | ||||||||||
Broadcom, Inc. |
| |||||||||||
3.125% due 04/15/2021 | 3,645 | 3,689 | ||||||||||
3.125% due 10/15/2022 | 500 | 509 | ||||||||||
4.750% due 04/15/2029 | 1,400 | 1,532 | ||||||||||
Burlington Northern Santa Fe LLC |
| |||||||||||
5.400% due 06/01/2041 | 1,728 | 2,234 | ||||||||||
Campbell Soup Co. |
| |||||||||||
4.800% due 03/15/2048 | 930 | 1,076 | ||||||||||
Cardinal Health, Inc. |
| |||||||||||
2.616% due 06/15/2022 | 50 | 51 | ||||||||||
Cenovus Energy, Inc. |
| |||||||||||
5.400% due 06/15/2047 | 937 | 1,093 | ||||||||||
6.750% due 11/15/2039 | 218 | 278 | ||||||||||
Charter Communications Operating LLC |
| |||||||||||
4.500% due 02/01/2024 | 1,700 | 1,829 | ||||||||||
4.800% due 03/01/2050 | 2,000 | 2,105 | ||||||||||
4.908% due 07/23/2025 | 3,602 | 3,968 | ||||||||||
Chevron Corp. |
| |||||||||||
2.100% due 05/16/2021 | 1,851 | 1,860 | ||||||||||
China Resources Gas Group Ltd. |
| |||||||||||
4.500% due 04/05/2022 | 560 | 584 | ||||||||||
Citrix Systems, Inc. |
| |||||||||||
4.500% due 12/01/2027 | 1,405 | 1,522 | ||||||||||
Comcast Corp. |
| |||||||||||
3.125% due 07/15/2022 | 1,481 | 1,527 | ||||||||||
3.200% due 07/15/2036 | 585 | 598 | ||||||||||
3.600% due 03/01/2024 | 578 | 613 | ||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.850% due 11/01/2028 | 695 | 797 | ||||||||||
5.300% due 11/01/2038 | 20 | 24 | ||||||||||
5.400% due 11/01/2048 | 140 | 171 | ||||||||||
Concho Resources, Inc. |
| |||||||||||
4.300% due 08/15/2028 | 836 | 911 | ||||||||||
4.875% due 10/01/2047 | 1,270 | 1,482 | ||||||||||
Constellation Brands, Inc. |
| |||||||||||
4.100% due 02/15/2048 | 284 | 297 | ||||||||||
5.250% due 11/15/2048 | 685 | 832 | ||||||||||
Continental Resources, Inc. |
| |||||||||||
4.500% due 04/15/2023 | 250 | 261 | ||||||||||
Corning, Inc. |
| |||||||||||
5.750% due 08/15/2040 | 235 | 292 |
44 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Cox Communications, Inc. |
| |||||||||||
3.350% due 09/15/2026 | $ | 100 | $ | 103 | ||||||||
CRH America Finance, Inc. |
| |||||||||||
3.400% due 05/09/2027 | 445 | 463 | ||||||||||
CSX Corp. |
| |||||||||||
3.800% due 11/01/2046 | 465 | 487 | ||||||||||
6.220% due 04/30/2040 | 125 | 170 | ||||||||||
CVS Health Corp. |
| |||||||||||
3.250% due 08/15/2029 | 496 | 504 | ||||||||||
3.375% due 08/12/2024 | 1,830 | 1,905 | ||||||||||
5.050% due 03/25/2048 | 995 | 1,177 | ||||||||||
5.125% due 07/20/2045 | 353 | 418 | ||||||||||
D.R. Horton, Inc. |
| |||||||||||
4.000% due 02/15/2020 | 1,177 | 1,180 | ||||||||||
Dell International LLC |
| |||||||||||
5.450% due 06/15/2023 | 3,085 | 3,346 | ||||||||||
8.100% due 07/15/2036 | 884 | 1,162 | ||||||||||
8.350% due 07/15/2046 | 450 | 619 | ||||||||||
Delta Air Lines, Inc. |
| |||||||||||
3.625% due 03/15/2022 | 350 | 358 | ||||||||||
4.375% due 04/19/2028 | 587 | 620 | ||||||||||
Deutsche Telekom International Finance BV |
| |||||||||||
3.600% due 01/19/2027 | 1,940 | 2,043 | ||||||||||
Discovery Communications LLC |
| |||||||||||
5.000% due 09/20/2037 | 250 | 282 | ||||||||||
Dolphin Energy Ltd. LLC |
| |||||||||||
5.500% due 12/15/2021 | 395 | 418 | ||||||||||
Dominion Energy Gas Holdings LLC |
| |||||||||||
3.600% due 12/15/2024 | 832 | 873 | ||||||||||
Dow Chemical Co. |
| |||||||||||
5.250% due 11/15/2041 | 356 | 416 | ||||||||||
DP World PLC |
| |||||||||||
5.625% due 09/25/2048 | 745 | 863 | ||||||||||
eBay, Inc. |
| |||||||||||
4.000% due 07/15/2042 | 949 | 937 | ||||||||||
Ecopetrol S.A. |
| |||||||||||
5.375% due 06/26/2026 | 568 | 638 | ||||||||||
Eli Lilly & Co. |
| |||||||||||
2.750% due 06/01/2025 | 896 | 924 | ||||||||||
Empresa Nacional de Telecomunicaciones S.A. |
| |||||||||||
4.875% due 10/30/2024 | 435 | 462 | ||||||||||
Enbridge, Inc. |
| |||||||||||
2.594% (US0003M + 0.700%) | 1,915 | 1,918 | ||||||||||
2.900% due 07/15/2022 | 2,446 | 2,492 | ||||||||||
Encana Corp. |
| |||||||||||
5.150% due 11/15/2041 | 30 | 30 | ||||||||||
Energy Transfer Operating LP |
| |||||||||||
3.600% due 02/01/2023 | 2,473 | 2,533 | ||||||||||
4.200% due 04/15/2027 | 365 | 382 | ||||||||||
4.250% due 03/15/2023 | 395 | 413 | ||||||||||
4.650% due 06/01/2021 | 100 | 103 | ||||||||||
4.750% due 01/15/2026 | 725 | 785 | ||||||||||
5.300% due 04/15/2047 | 620 | 661 | ||||||||||
6.250% due 04/15/2049 | 250 | 301 | ||||||||||
Eni SpA |
| |||||||||||
4.000% due 09/12/2023 | 1,015 | 1,071 | ||||||||||
4.750% due 09/12/2028 | 835 | 945 | ||||||||||
Entergy Louisiana LLC |
| |||||||||||
4.200% due 09/01/2048 | 1,120 | 1,294 | ||||||||||
Enterprise Products Operating LLC |
| |||||||||||
3.750% due 02/15/2025 | 2,404 | 2,565 | ||||||||||
3.950% due 02/15/2027 | 851 | 918 | ||||||||||
4.850% due 03/15/2044 | 538 | 625 | ||||||||||
Equifax, Inc. |
| |||||||||||
2.300% due 06/01/2021 | 250 | 251 | ||||||||||
7.000% due 07/01/2037 | 665 | 855 | ||||||||||
ERAC USA Finance LLC |
| |||||||||||
3.300% due 12/01/2026 | 335 | 345 | ||||||||||
4.200% due 11/01/2046 | 600 | 640 | ||||||||||
7.000% due 10/15/2037 | 390 | 551 | ||||||||||
Exxon Mobil Corp. |
| |||||||||||
3.176% due 03/15/2024 | 13 | 14 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
FedEx Corp. |
| |||||||||||
4.550% due 04/01/2046 | $ | 604 | $ | 621 | ||||||||
Fomento Economico Mexicano S.A.B. de C.V. |
| |||||||||||
2.875% due 05/10/2023 | 980 | 990 | ||||||||||
Fox Corp. |
| |||||||||||
5.476% due 01/25/2039 | 250 | 306 | ||||||||||
Freeport-McMoRan, Inc. |
| |||||||||||
3.550% due 03/01/2022 | 75 | 76 | ||||||||||
GATX Corp. |
| |||||||||||
4.700% due 04/01/2029 | 1,390 | 1,549 | ||||||||||
General Electric Co. |
| |||||||||||
3.100% due 01/09/2023 | 75 | 77 | ||||||||||
4.625% due 01/07/2021 | 400 | 409 | ||||||||||
5.500% due 01/08/2020 | 580 | 580 | ||||||||||
6.875% due 01/10/2039 | 261 | 348 | ||||||||||
General Motors Co. |
| |||||||||||
4.875% due 10/02/2023 | 1,823 | 1,957 | ||||||||||
5.400% due 04/01/2048 | 585 | 605 | ||||||||||
Georgia-Pacific LLC |
| |||||||||||
3.163% due 11/15/2021 | 1,835 | 1,870 | ||||||||||
GlaxoSmithKline Capital, Inc. |
| |||||||||||
2.800% due 03/18/2023 | 175 | 179 | ||||||||||
Glencore Finance Canada Ltd. |
| |||||||||||
4.250% due 10/25/2022 | 2,489 | 2,607 | ||||||||||
Grupo Televisa S.A.B. |
| |||||||||||
5.000% due 05/13/2045 | 275 | 288 | ||||||||||
6.625% due 01/15/2040 | 781 | 976 | ||||||||||
GTL Trade Finance, Inc. |
| |||||||||||
5.893% due 04/29/2024 | 2,789 | 3,093 | ||||||||||
Halliburton Co. |
| |||||||||||
5.000% due 11/15/2045 | 1,660 | 1,895 | ||||||||||
HCA, Inc. |
| |||||||||||
4.125% due 06/15/2029 | 994 | 1,055 | ||||||||||
Hess Corp. |
| |||||||||||
5.800% due 04/01/2047 | 950 | 1,162 | ||||||||||
Home Depot, Inc. |
| |||||||||||
3.000% due 04/01/2026 | 1,412 | 1,476 | ||||||||||
3.500% due 09/15/2056 | 100 | 104 | ||||||||||
4.250% due 04/01/2046 | 7 | 8 | ||||||||||
IHS Markit Ltd. |
| |||||||||||
4.125% due 08/01/2023 | 920 | 979 | ||||||||||
4.250% due 05/01/2029 | 997 | 1,076 | ||||||||||
4.750% due 08/01/2028 | 575 | 642 | ||||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.125% due 07/26/2024 | 2,900 | 2,931 | ||||||||||
International Business Machines Corp. |
| |||||||||||
4.000% due 06/20/2042 | 92 | 102 | ||||||||||
5.600% due 11/30/2039 | 29 | 38 | ||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.450% due 09/26/2028 | 985 | 1,077 | ||||||||||
Keurig Dr Pepper, Inc. |
| |||||||||||
4.985% due 05/25/2038 | 250 | 295 | ||||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
3.950% due 09/01/2022 | 1,180 | 1,230 | ||||||||||
5.300% due 09/15/2020 | 275 | 281 | ||||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.550% due 06/01/2045 | 1,611 | 1,929 | ||||||||||
KLA Corp. |
| |||||||||||
4.650% due 11/01/2024 | 1,138 | 1,249 | ||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.375% due 06/01/2046 | 2,358 | 2,322 | ||||||||||
4.625% due 01/30/2029 | 340 | 374 | ||||||||||
5.200% due 07/15/2045 | 240 | 260 | ||||||||||
6.500% due 02/09/2040 | 275 | 334 | ||||||||||
Kroger Co. |
| |||||||||||
6.150% due 01/15/2020 | 175 | 175 | ||||||||||
Lockheed Martin Corp. |
| |||||||||||
4.090% due 09/15/2052 | 1,463 | 1,713 | ||||||||||
Lowe’s Cos., Inc. |
| |||||||||||
4.650% due 04/15/2042 | 1,008 | 1,155 | ||||||||||
Massachusetts Institute of Technology |
| |||||||||||
3.885% due 07/01/2116 | 250 | 271 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
McDonald’s Corp. |
| |||||||||||
3.700% due 01/30/2026 | $ | 470 | $ | 507 | ||||||||
4.875% due 12/09/2045 | 3,070 | 3,695 | ||||||||||
Medtronic, Inc. |
| |||||||||||
3.150% due 03/15/2022 | 969 | 997 | ||||||||||
3.500% due 03/15/2025 | 822 | 881 | ||||||||||
4.625% due 03/15/2045 | 194 | 244 | ||||||||||
Microsoft Corp. |
| |||||||||||
4.250% due 02/06/2047 | 670 | 821 | ||||||||||
4.450% due 11/03/2045 | 2,844 | 3,555 | ||||||||||
Mondelez International Holdings Netherlands BV |
| |||||||||||
2.000% due 10/28/2021 | 1,290 | 1,290 | ||||||||||
Moody’s Corp. |
| |||||||||||
2.625% due 01/15/2023 | 1,250 | 1,269 | ||||||||||
4.875% due 02/15/2024 | 2,660 | 2,925 | ||||||||||
Motorola Solutions, Inc. |
| |||||||||||
5.500% due 09/01/2044 | 445 | 496 | ||||||||||
MPLX LP |
| |||||||||||
4.125% due 03/01/2027 | 1,316 | 1,382 | ||||||||||
4.700% due 04/15/2048 | 40 | 41 | ||||||||||
5.200% due 03/01/2047 | 712 | 769 | ||||||||||
Nexen, Inc. |
| |||||||||||
5.875% due 03/10/2035 | 250 | 322 | ||||||||||
6.400% due 05/15/2037 | 535 | 736 | ||||||||||
Norfolk Southern Corp. |
| |||||||||||
4.650% due 01/15/2046 | 1,180 | 1,398 | ||||||||||
Northrop Grumman Corp. |
| |||||||||||
3.850% due 04/15/2045 | 505 | 544 | ||||||||||
NXP BV |
| |||||||||||
4.125% due 06/01/2021 | 1,220 | 1,251 | ||||||||||
Occidental Petroleum Corp. |
| |||||||||||
2.700% due 08/15/2022 | 1,460 | 1,475 | ||||||||||
2.900% due 08/15/2024 | 330 | 335 | ||||||||||
6.450% due 09/15/2036 | 1,240 | 1,523 | ||||||||||
ONEOK Partners LP |
| |||||||||||
4.900% due 03/15/2025 | 772 | 850 | ||||||||||
5.000% due 09/15/2023 | 200 | 217 | ||||||||||
Oracle Corp. |
| |||||||||||
4.125% due 05/15/2045 | 1,871 | 2,111 | ||||||||||
Owens Corning |
| |||||||||||
3.400% due 08/15/2026 | 100 | 102 | ||||||||||
Penske Truck Leasing Co. LP |
| |||||||||||
3.300% due 04/01/2021 | 2,150 | 2,183 | ||||||||||
3.400% due 11/15/2026 | 150 | 153 | ||||||||||
PepsiCo, Inc. |
| |||||||||||
2.850% due 02/24/2026 | 151 | 157 | ||||||||||
Pertamina Persero PT |
| |||||||||||
4.300% due 05/20/2023 | 395 | 417 | ||||||||||
6.000% due 05/03/2042 | 925 | 1,132 | ||||||||||
Petroleos Mexicanos |
| |||||||||||
6.750% due 09/21/2047 | 880 | 885 | ||||||||||
6.840% due 01/23/2030 | 275 | 294 | ||||||||||
6.875% due 08/04/2026 | 525 | 578 | ||||||||||
7.690% due 01/23/2050 | 1,344 | 1,471 | ||||||||||
Pfizer, Inc. |
| |||||||||||
4.400% due 05/15/2044 | 840 | 1,002 | ||||||||||
Philip Morris International, Inc. |
| |||||||||||
2.750% due 02/25/2026 | 218 | 221 | ||||||||||
3.375% due 08/11/2025 | 265 | 279 | ||||||||||
3.600% due 11/15/2023 | 340 | 359 | ||||||||||
3.875% due 08/21/2042 | 725 | 755 | ||||||||||
6.375% due 05/16/2038 | 485 | 670 | ||||||||||
Phillips 66 Partners LP |
| |||||||||||
4.900% due 10/01/2046 | 400 | 454 | ||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. |
| |||||||||||
5.838% due 09/30/2027 | 485 | 555 | ||||||||||
Reliance Industries Ltd. |
| |||||||||||
4.125% due 01/28/2025 | 450 | 476 | ||||||||||
RELX Capital, Inc. |
| |||||||||||
4.000% due 03/18/2029 | 920 | 999 | ||||||||||
Republic Services, Inc. |
| |||||||||||
3.375% due 11/15/2027 | 1,177 | 1,244 | ||||||||||
5.250% due 11/15/2021 | 245 | 260 | ||||||||||
Reynolds American, Inc. |
| |||||||||||
4.450% due 06/12/2025 | 1,874 | 2,018 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 45 |
Table of Contents
Schedule of InvestmentsPIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Roche Holdings, Inc. |
| |||||||||||
2.625% due 05/15/2026 | $ | 955 | $ | 977 | ||||||||
Rockwell Collins, Inc. |
| |||||||||||
4.800% due 12/15/2043 | 1,030 | 1,238 | ||||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.625% due 02/01/2021 | 2,852 | 2,932 | ||||||||||
Sasol Financing USA LLC |
| |||||||||||
6.500% due 09/27/2028 | 1,230 | 1,368 | ||||||||||
Saudi Arabian Oil Co. |
| |||||||||||
4.250% due 04/16/2039 | 1,200 | 1,285 | ||||||||||
Seagate HDD Cayman |
| |||||||||||
4.750% due 06/01/2023 | 800 | 851 | ||||||||||
4.750% due 01/01/2025 | 940 | 1,005 | ||||||||||
4.875% due 03/01/2024 | 295 | 314 | ||||||||||
Sky Ltd. |
| |||||||||||
3.750% due 09/16/2024 | 256 | 274 | ||||||||||
Southern Co. |
| |||||||||||
4.400% due 07/01/2046 | 964 | 1,068 | ||||||||||
Southern Copper Corp. |
| |||||||||||
6.750% due 04/16/2040 | 1,200 | 1,603 | ||||||||||
Spectra Energy Partners LP |
| |||||||||||
2.592% (US0003M + 0.700%) due 06/05/2020 ~ | 1,335 | 1,337 | ||||||||||
Sprint Spectrum Co. LLC |
| |||||||||||
3.360% due 03/20/2023 | 173 | 175 | ||||||||||
Steel Dynamics, Inc. |
| |||||||||||
2.800% due 12/15/2024 | 400 | 403 | ||||||||||
Stryker Corp. |
| |||||||||||
2.625% due 03/15/2021 | 150 | 151 | ||||||||||
3.500% due 03/15/2026 | 710 | 756 | ||||||||||
4.375% due 01/15/2020 | 100 | 100 | ||||||||||
4.625% due 03/15/2046 | 540 | 650 | ||||||||||
Suncor Energy, Inc. |
| |||||||||||
5.950% due 05/15/2035 | 430 | 558 | ||||||||||
Target Corp. |
| |||||||||||
3.875% due 07/15/2020 | 200 | 202 | ||||||||||
Tech Data Corp. |
| |||||||||||
3.700% due 02/15/2022 | 3,295 | 3,368 | ||||||||||
Teck Resources Ltd. |
| |||||||||||
6.000% due 08/15/2040 | 280 | 312 | ||||||||||
6.125% due 10/01/2035 | 1,050 | 1,234 | ||||||||||
Telefonica Emisiones S.A. |
| |||||||||||
5.462% due 02/16/2021 | 125 | 130 | ||||||||||
7.045% due 06/20/2036 | 1,345 | 1,881 | ||||||||||
Tencent Holdings Ltd. |
| |||||||||||
3.280% due 04/11/2024 | 1,335 | 1,374 | ||||||||||
3.975% due 04/11/2029 | 950 | 1,027 | ||||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||||
2.950% due 09/19/2026 | 2,542 | 2,614 | ||||||||||
Toyota Industries Corp. |
| |||||||||||
3.566% due 03/16/2028 | 1,060 | 1,121 | ||||||||||
TransCanada PipeLines Ltd. |
| |||||||||||
3.800% due 10/01/2020 | 165 | 167 | ||||||||||
4.625% due 03/01/2034 | 920 | 1,052 | ||||||||||
4.875% due 05/15/2048 | 1,300 | 1,534 | ||||||||||
7.625% due 01/15/2039 | 945 | 1,417 | ||||||||||
TWDC Enterprises 18 Corp. |
| |||||||||||
4.125% due 06/01/2044 | 1,376 | 1,622 | ||||||||||
Tyson Foods, Inc. |
| |||||||||||
4.500% due 06/15/2022 | 3,474 | 3,657 | ||||||||||
4.875% due 08/15/2034 | 1,137 | 1,351 | ||||||||||
Union Pacific Corp. |
| |||||||||||
3.799% due 10/01/2051 | 1,315 | 1,400 | ||||||||||
United Technologies Corp. |
| |||||||||||
3.100% due 06/01/2022 | 3,208 | 3,290 | ||||||||||
3.650% due 08/16/2023 | 1,535 | 1,618 | ||||||||||
UnitedHealth Group, Inc. |
| |||||||||||
4.750% due 07/15/2045 | 2,449 | 3,011 | ||||||||||
6.875% due 02/15/2038 | 260 | 385 | ||||||||||
Vale Overseas Ltd. |
| |||||||||||
6.875% due 11/21/2036 | 1,997 | 2,603 | ||||||||||
Valero Energy Corp. |
| |||||||||||
4.350% due 06/01/2028 | 1,042 | 1,148 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
ViacomCBS, Inc. |
| |||||||||||
2.500% due 02/15/2023 | $ | 506 | $ | 512 | ||||||||
2.900% due 01/15/2027 | 150 | 150 | ||||||||||
4.250% due 09/01/2023 | 145 | 154 | ||||||||||
Volkswagen Group of America Finance LLC |
| |||||||||||
4.750% due 11/13/2028 | 1,370 | 1,544 | ||||||||||
Walmart, Inc. |
| |||||||||||
3.050% due 07/08/2026 | 1,090 | 1,149 | ||||||||||
3.250% due 10/25/2020 | 1,349 | 1,365 | ||||||||||
3.700% due 06/26/2028 | 859 | 947 | ||||||||||
Walt Disney Co. |
| |||||||||||
4.950% due 10/15/2045 | 1,260 | 1,644 | ||||||||||
6.400% due 12/15/2035 | 77 | 109 | ||||||||||
Western Midstream Operating LP |
| |||||||||||
4.650% due 07/01/2026 | 250 | 256 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||||||
4.950% due 09/15/2028 | 1,742 | 1,917 | ||||||||||
Whirlpool Corp. |
| |||||||||||
3.700% due 03/01/2023 | 200 | 208 | ||||||||||
5.150% due 03/01/2043 | 250 | 270 | ||||||||||
Williams Cos., Inc. |
| |||||||||||
5.400% due 03/04/2044 | 1,153 | 1,298 | ||||||||||
Woodside Finance Ltd. |
| |||||||||||
3.700% due 09/15/2026 | 445 | 463 | ||||||||||
Wyeth LLC |
| |||||||||||
5.950% due 04/01/2037 | 1,255 | 1,719 | ||||||||||
Yara International ASA |
| |||||||||||
4.750% due 06/01/2028 | 805 | 875 | ||||||||||
Zoetis, Inc. |
| |||||||||||
3.900% due 08/20/2028 | 535 | 580 | ||||||||||
4.700% due 02/01/2043 | 1,052 | 1,252 | ||||||||||
|
| |||||||||||
291,872 | ||||||||||||
|
| |||||||||||
UTILITIES 12.6% |
| |||||||||||
Acwa Power Management And Investments One Ltd. |
| |||||||||||
5.950% due 12/15/2039 | 800 | 856 | ||||||||||
AEP Texas, Inc. |
| |||||||||||
3.450% due 01/15/2050 | 650 | 651 | ||||||||||
American Water Capital Corp. |
| |||||||||||
3.850% due 03/01/2024 | 658 | 698 | ||||||||||
Appalachian Power Co. |
| |||||||||||
7.000% due 04/01/2038 | 260 | 369 | ||||||||||
AT&T, Inc. |
| |||||||||||
3.400% due 06/15/2022 | 250 | 258 | ||||||||||
3.550% due 06/01/2024 | 2,526 | 2,657 | ||||||||||
3.800% due 03/01/2024 | 604 | 641 | ||||||||||
4.100% due 02/15/2028 | 1,616 | 1,758 | ||||||||||
4.125% due 02/17/2026 | 1,244 | 1,348 | ||||||||||
4.300% due 02/15/2030 | 440 | 489 | ||||||||||
4.350% due 03/01/2029 | 300 | 334 | ||||||||||
4.450% due 04/01/2024 | 708 | 767 | ||||||||||
4.800% due 06/15/2044 | 2,695 | 3,071 | ||||||||||
5.150% due 02/15/2050 | 445 | 536 | ||||||||||
5.250% due 03/01/2037 | 595 | 710 | ||||||||||
5.650% due 02/15/2047 | 265 | 338 | ||||||||||
6.000% due 08/15/2040 | 200 | 256 | ||||||||||
Atmos Energy Corp. |
| |||||||||||
4.150% due 01/15/2043 | 465 | 521 | ||||||||||
Berkshire Hathaway Energy Co. |
| |||||||||||
6.125% due 04/01/2036 | 949 | 1,308 | ||||||||||
BG Energy Capital PLC |
| |||||||||||
5.125% due 10/15/2041 | 115 | 145 | ||||||||||
Black Hills Corp. |
| |||||||||||
3.150% due 01/15/2027 | 250 | 253 | ||||||||||
4.200% due 09/15/2046 | 100 | 105 | ||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.937% due 09/21/2028 | 1,154 | 1,275 | ||||||||||
4.234% due 11/06/2028 | 575 | 650 | ||||||||||
CNOOC Finance Ltd. |
| |||||||||||
3.000% due 05/09/2023 | 2,830 | 2,880 | ||||||||||
3.875% due 05/02/2022 | 255 | 264 | ||||||||||
CNOOC Finance USA LLC |
| |||||||||||
4.375% due 05/02/2028 | 1,465 | 1,630 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Commonwealth Edison Co. |
| |||||||||||
4.000% due 03/01/2048 | $ | 535 | $ | 602 | ||||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||||
3.850% due 06/15/2046 | 800 | 861 | ||||||||||
Consumers Energy Co. |
| |||||||||||
3.125% due 08/31/2024 | 1,380 | 1,435 | ||||||||||
Delmarva Power & Light Co. |
| |||||||||||
3.500% due 11/15/2023 | 1,132 | 1,185 | ||||||||||
DTE Electric Co. |
| |||||||||||
3.650% due 03/15/2024 | 1,435 | 1,519 | ||||||||||
Duke Energy Carolinas LLC |
| |||||||||||
3.950% due 11/15/2028 | 435 | 485 | ||||||||||
Duke Energy Corp. |
| |||||||||||
3.750% due 09/01/2046 | 100 | 103 | ||||||||||
3.950% due 10/15/2023 | 395 | 419 | ||||||||||
Duke Energy Ohio, Inc. |
| |||||||||||
3.800% due 09/01/2023 | 2,440 | 2,580 | ||||||||||
E.ON International Finance BV |
| |||||||||||
6.650% due 04/30/2038 | 965 | 1,305 | ||||||||||
Electricite de France S.A. |
| |||||||||||
4.600% due 01/27/2020 | 265 | 265 | ||||||||||
4.875% due 01/22/2044 | 1,246 | 1,429 | ||||||||||
Enable Midstream Partners LP |
| |||||||||||
4.950% due 05/15/2028 | 935 | 947 | ||||||||||
Enel Finance International NV |
| |||||||||||
6.000% due 10/07/2039 | 1,664 | 2,095 | ||||||||||
Entergy Corp. |
| |||||||||||
4.000% due 07/15/2022 | 1,128 | 1,177 | ||||||||||
5.125% due 09/15/2020 | 250 | 253 | ||||||||||
Exelon Corp. |
| |||||||||||
3.950% due 06/15/2025 | 665 | 715 | ||||||||||
4.450% due 04/15/2046 | 335 | 376 | ||||||||||
Exelon Generation Co. LLC |
| |||||||||||
5.600% due 06/15/2042 | 500 | 572 | ||||||||||
FirstEnergy Corp. |
| |||||||||||
2.850% due 07/15/2022 | 915 | 930 | ||||||||||
7.375% due 11/15/2031 | 2,382 | 3,361 | ||||||||||
Florida Power & Light Co. |
| |||||||||||
4.125% due 02/01/2042 | 100 | 115 | ||||||||||
Gazprom OAO Via Gaz Capital S.A. |
| |||||||||||
6.510% due 03/07/2022 | 1,010 | 1,098 | ||||||||||
Indiana Michigan Power Co. |
| |||||||||||
4.250% due 08/15/2048 | 830 | 948 | ||||||||||
Infraestructura Energetica Nova S.A.B. de C.V. |
| |||||||||||
4.875% due 01/14/2048 | 595 | 569 | ||||||||||
Kentucky Utilities Co. |
| |||||||||||
5.125% due 11/01/2040 | 100 | 124 | ||||||||||
KeySpan Gas East Corp. |
| |||||||||||
2.742% due 08/15/2026 | 515 | 516 | ||||||||||
LLPL Capital Pte Ltd. |
| |||||||||||
6.875% due 02/04/2039 | 637 | 743 | ||||||||||
MidAmerican Energy Co. |
| |||||||||||
3.500% due 10/15/2024 | 2,452 | 2,599 | ||||||||||
4.250% due 07/15/2049 | 335 | 401 | ||||||||||
National Rural Utilities Cooperative Finance Corp. |
| |||||||||||
4.400% due 11/01/2048 | 250 | 300 | ||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.750% due 11/01/2029 | 950 | 956 | ||||||||||
3.150% due 04/01/2024 | 100 | 104 | ||||||||||
Oncor Electric Delivery Co. LLC |
| |||||||||||
3.100% due 09/15/2049 | 250 | 248 | ||||||||||
ONEOK, Inc. |
| |||||||||||
4.550% due 07/15/2028 | 938 | 1,031 | ||||||||||
5.200% due 07/15/2048 | 915 | 1,037 | ||||||||||
Pacific Gas & Electric Co. |
| |||||||||||
3.500% due 10/01/2020 ^(a) | 255 | 256 | ||||||||||
5.800% due 03/01/2037 ^(a) | 205 | 214 | ||||||||||
Pennsylvania Electric Co. |
| |||||||||||
5.200% due 04/01/2020 | 70 | 70 | ||||||||||
Petronas Global Sukuk Ltd. |
| |||||||||||
2.707% due 03/18/2020 | 465 | 465 | ||||||||||
Plains All American Pipeline LP |
| |||||||||||
4.500% due 12/15/2026 | 335 | 357 | ||||||||||
5.150% due 06/01/2042 | 675 | 681 |
46 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Shell International Finance BV |
| |||||||||||
3.875% due 11/13/2028 | $ | 1,180 | $ | 1,308 | ||||||||
4.000% due 05/10/2046 | 585 | 667 | ||||||||||
4.375% due 03/25/2020 | 180 | 181 | ||||||||||
6.375% due 12/15/2038 | 1,065 | 1,553 | ||||||||||
Sinopec Group Overseas Development Ltd. |
| |||||||||||
2.500% due 04/28/2020 | 970 | 971 | ||||||||||
Southern California Edison Co. |
| |||||||||||
2.850% due 08/01/2029 | 880 | 880 | ||||||||||
4.125% due 03/01/2048 | 970 | 1,035 | ||||||||||
Southern California Gas Co. |
| |||||||||||
3.150% due 09/15/2024 | 1,470 | 1,535 | ||||||||||
4.125% due 06/01/2048 | 665 | 739 | ||||||||||
Southern Power Co. |
| |||||||||||
5.150% due 09/15/2041 | 1,540 | 1,744 | ||||||||||
Southwestern Electric Power Co. |
| |||||||||||
4.100% due 09/15/2028 | 965 | 1,055 | ||||||||||
Southwestern Public Service Co. |
| |||||||||||
6.000% due 10/01/2036 | 1,238 | 1,565 | ||||||||||
Verizon Communications, Inc. |
| |||||||||||
3.376% due 02/15/2025 | 69 | 73 | ||||||||||
4.016% due 12/03/2029 | 455 | 509 | ||||||||||
4.125% due 08/15/2046 | 830 | 937 | ||||||||||
4.400% due 11/01/2034 | 819 | 949 | ||||||||||
4.522% due 09/15/2048 | 64 | 77 | ||||||||||
4.672% due 03/15/2055 | 1,110 | 1,371 | ||||||||||
4.812% due 03/15/2039 | 250 | 302 | ||||||||||
4.862% due 08/21/2046 | 1,007 | 1,248 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Virginia Electric & Power Co. |
| |||||||||||
8.875% due 11/15/2038 | 621 | $ | 1,048 | |||||||||
|
| |||||||||||
79,961 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 620,238 | |||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 0.2% |
| |||||||||||
Korea Hydro & Nuclear Power Co. Ltd. |
| |||||||||||
3.000% due 09/19/2022 | 285 | 291 | ||||||||||
3.125% due 07/25/2027 | 1,110 | 1,149 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $1,385) | 1,440 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 0.9% |
| |||||||||||
REPURCHASE AGREEMENTS (e) 0.9% |
| |||||||||||
5,857 | ||||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $5,857) | 5,857 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $599,999) | 627,535 | |||||||||||
|
| |||||||||||
SHARES | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN AFFILIATES 0.1% |
| |||||||||||
SHORT-TERM INSTRUMENTS 0.1% |
| |||||||||||
MUTUAL FUNDS 0.1% |
| |||||||||||
PIMCO Government Money Market Fund | ||||||||||||
1.620%(b)(c)(d) | 462,720 | $ | 463 | |||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $463) | 463 | |||||||||||
|
| |||||||||||
Total Investments in Affiliates (Cost $463) | 463 | |||||||||||
Total Investments 99.0% (Cost $600,462) |
| 627,998 | ||||||||||
Financial Derivative (Cost or Premiums, net $26) | (88 | ) | ||||||||||
Other Assets and Liabilities, net 1.0% | 6,131 | |||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 634,041 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
(a) | Security is not accruing income as of the date of this report. |
(b) | Institutional Class Shares of each Fund. |
(c) | Securities with an aggregate market value of $454 were out on loan in exchange for $463 of cash collateral as of December 31, 2019. See Note 5, Securities Lending, in the Notes to Financial Statements for more information regarding securities on loan and cash collateral. |
(d) | Coupon represents a7-Day Yield. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(e) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
BSN | 1.600 | % | 12/31/2019 | 01/02/2020 | $ | 4,800 | U.S. Treasury Notes 2.250% due 11/15/2024 | $ | (4,897 | ) | $ | 4,800 | $ | 4,800 | ||||||||||||||||
FICC | 1.250 | 12/31/2019 | 01/02/2020 | 1,057 | U.S. Treasury Notes 2.750% due 09/15/2021 | (1,079 | ) | 1,057 | 1,057 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (5,976 | ) | $ | 5,857 | $ | 5,857 | ||||||||||||||||||||||
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 47 |
Table of Contents
Schedule of InvestmentsPIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund(Cont.)
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Securities Out on Loan | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(2) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
BSN | $ | 4,800 | $ | 0 | $ | 0 | $ | 0 | $ | 4,800 | $ | (4,897 | ) | $ | (97 | ) | ||||||||||||
FICC | 1,057 | 0 | 0 | 0 | 1,057 | (1,079 | ) | (22 | ) | |||||||||||||||||||
Master Securities Lending Agreement | ||||||||||||||||||||||||||||
BCY | 0 | 0 | 0 | 454 | 454 | (463 | ) | (9 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 5,857 | $ | 0 | $ | 0 | $ | 454 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Securities Lending Transactions(3) | ||||||||||||||||||||
Corporate Bonds & Notes | $ | (463 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (463 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | (463 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (463 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Payable for securities lending transactions |
| $ | (463 | ) | ||||||||||||||||
|
|
(1) | Includes accrued interest. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(3) | Includes cash collateral as described in Note 5 in the Notes to Financial Statements. |
(f) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS | ||||||||||||||||||||||||||||
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
U.S. Treasury2-Year Note March Futures | 03/2020 | 65 | $ | 14,008 | $ | (12 | ) | $ | 3 | $ | 0 | |||||||||||||||||
U.S. Treasury10-Year Ultra March Futures | 03/2020 | 50 | 7,035 | (90 | ) | 0 | (9 | ) | ||||||||||||||||||||
U.S. Treasury30-Year Bond March Futures | 03/2020 | 52 | 8,107 | (175 | ) | 0 | (18 | ) | ||||||||||||||||||||
U.S. Treasury Ultra Long-Term Bond March Futures | 03/2020 | 48 | 8,720 | (263 | ) | 0 | (55 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (540 | ) | $ | 3 | $ | (82 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
SHORT FUTURES CONTRACTS | ||||||||||||||||||||||||||||
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
U.S. Treasury10-Year Note March Futures | 03/2020 | 32 | $ | (4,110 | ) | $ | 35 | $ | 4 | $ | 0 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Futures Contracts |
| $ | (505 | ) | $ | 7 | $ | (82 | ) | |||||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION(1)
Index/Tranches | Fixed Receive Rate | Payment Frequency | Maturity Date | Notional Amount(2) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(3) | Variation Margin | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
CDX.IG-315-Year Index | 1.000 | % | Quarterly | 12/20/2023 | $ | 1,600 | $ | 9 | $ | 32 | $ | 41 | $ | 0 | $ | 0 | ||||||||||||||||||||
CDX.IG-325-Year Index | 1.000 | Quarterly | 06/20/2024 | 1,700 | 36 | 9 | 45 | 0 | 0 | |||||||||||||||||||||||||||
CDX.IG-335-Year Index | 1.000 | Quarterly | 12/20/2024 | 1,600 | 33 | 9 | 42 | 0 | 0 | |||||||||||||||||||||||||||
CDX.IG-3310-Year Index | 1.000 | Quarterly | 12/20/2029 | 32,200 | (52 | ) | 343 | 291 | 0 | (13 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | 26 | $ | 393 | $ | 419 | $ | 0 | $ | (13 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
48 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2019:
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 | $ | 7 | $ | 0 | $ | 7 | $ | 0 | $ | (82) | $ | (13) | $ | (95) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $1,867 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 7 | $ | 7 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 82 | $ | 82 | ||||||||||||
Swap Agreements | 0 | 13 | 0 | 0 | 0 | 13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 13 | $ | 0 | $ | 0 | $ | 82 | $ | 95 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1,056 | $ | 1,056 | ||||||||||||
Swap Agreements | 0 | 660 | 0 | 0 | 0 | 660 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 660 | $ | 0 | $ | 0 | $ | 1,056 | $ | 1,716 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Futures | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (861 | ) | $ | (861 | ) | ||||||||||
Swap Agreements | 0 | 117 | 0 | 0 | 0 | 117 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 117 | $ | 0 | $ | 0 | $ | (861 | ) | $ | (744 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 49 |
Table of Contents
Schedule of InvestmentsPIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | $ | 0 | $ | 248,405 | $ | 0 | $ | 248,405 | ||||||||
Industrials | 0 | 291,872 | 0 | 291,872 | ||||||||||||
Utilities | 0 | 79,961 | 0 | 79,961 | ||||||||||||
Sovereign Issues | 0 | 1,440 | 0 | 1,440 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Repurchase Agreements | 0 | 5,857 | 0 | 5,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 627,535 | $ | 0 | $ | 627,535 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Investments in Affiliates, at Value |
| |||||||||||||||
Short-Term Instruments |
| |||||||||||||||
Mutual Funds | 463 | 0 | 0 | 463 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 463 | $ | 627,535 | $ | 0 | $ | 627,998 | ||||||||
|
|
|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 7 | $ | 0 | $ | 0 | $ | 7 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | (82 | ) | $ | (13 | ) | $ | 0 | $ | (95 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | (75 | ) | $ | (13 | ) | $ | 0 | $ | (88 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 388 | $ | 627,522 | $ | 0 | $ | 627,910 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
50 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Active Bond Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 101.2% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 0.8% |
| |||||||||||
Castlelake Aircraft Securitization Trust |
| |||||||||||
3.967% due 07/15/2042 | $ | 4,220 | $ | 4,266 | ||||||||
Jefferies Finance LLC |
| |||||||||||
5.500% (LIBOR03M + 3.750%) due 06/03/2026 ~ | 2,294 | 2,292 | ||||||||||
PG&E Corp. |
| |||||||||||
2.250% due 12/31/2020 «µ | 1,250 | 1,255 | ||||||||||
3.970% (LIBOR03M + 2.250%) due 12/31/2020 «~ | 3,750 | 3,764 | ||||||||||
State Of Qatar |
| |||||||||||
2.721% - 2.996% (LIBOR03M + 0.800%) due 12/21/2020 «~ | 2,500 | 2,500 | ||||||||||
State of Qatar |
| |||||||||||
2.996% (LIBOR03M + 0.800%) due 12/21/2020 «~ | 2,500 | 2,500 | ||||||||||
State of Rio de Janeiro |
| |||||||||||
6.024% (LIBOR03M + 3.250%) due 12/20/2020 «~ | 2,400 | 2,419 | ||||||||||
Zephyrus Capital Aviation Partners LLC |
| |||||||||||
4.605% due 10/15/2038 | 3,670 | 3,683 | ||||||||||
|
| |||||||||||
Total Loan Participations and Assignments | 22,679 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 28.6% |
| |||||||||||
BANKING & FINANCE 18.9% |
| |||||||||||
AerCap Ireland Capital DAC |
| |||||||||||
3.875% due 01/23/2028 | 2,100 | 2,180 | ||||||||||
Aircastle Ltd. |
| |||||||||||
4.250% due 06/15/2026 | 3,800 | 4,023 | ||||||||||
American Homes 4 Rent LP |
| |||||||||||
4.250% due 02/15/2028 | 2,900 | 3,088 | ||||||||||
American Tower Corp. |
| |||||||||||
3.375% due 10/15/2026 | 3,300 | 3,430 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
3.500% due 11/01/2027 | 500 | 503 | ||||||||||
Banco Santander Mexico S.A. |
| |||||||||||
4.125% due 11/09/2022 | 4,300 | 4,477 | ||||||||||
Bank of America Corp. |
| |||||||||||
3.093% due 10/01/2025 • | 6,500 | 6,710 | ||||||||||
3.419% due 12/20/2028 • | 20,118 | 21,115 | ||||||||||
3.593% due 07/21/2028 • | 9,000 | 9,537 | ||||||||||
Barclays Bank PLC |
| |||||||||||
7.625% due 11/21/2022 (f) | 17,100 | 19,228 | ||||||||||
Barclays PLC |
| |||||||||||
4.375% due 01/12/2026 | 1,500 | 1,625 | ||||||||||
BBVA Bancomer S.A. |
| |||||||||||
6.500% due 03/10/2021 | 6,000 | 6,266 | ||||||||||
BGC Partners, Inc. |
| |||||||||||
5.375% due 07/24/2023 | 5,000 | 5,348 | ||||||||||
Blackstone Holdings Finance Co. LLC |
| |||||||||||
3.500% due 09/10/2049 | 5,400 | 5,322 | ||||||||||
BNP Paribas S.A. |
| |||||||||||
4.400% due 08/14/2028 | 700 | 778 | ||||||||||
BPCE S.A. |
| |||||||||||
5.700% due 10/22/2023 | 6,600 | 7,308 | ||||||||||
Brandywine Operating Partnership LP |
| |||||||||||
3.950% due 11/15/2027 | 1,500 | 1,568 | ||||||||||
Brixmor Operating Partnership LP |
| |||||||||||
3.650% due 06/15/2024 | 7,000 | 7,321 | ||||||||||
4.125% due 05/15/2029 | 5,000 | 5,369 | ||||||||||
Cantor Fitzgerald LP |
| |||||||||||
4.875% due 05/01/2024 | 1,300 | 1,386 | ||||||||||
Carlyle Finance Subsidiary LLC |
| |||||||||||
3.500% due 09/19/2029 | 4,500 | 4,488 | ||||||||||
CIT Group, Inc. |
| |||||||||||
4.750% due 02/16/2024 | 4,000 | 4,275 | ||||||||||
Citigroup, Inc. |
| |||||||||||
3.668% due 07/24/2028 • | 5,000 | 5,328 | ||||||||||
3.887% due 01/10/2028 • | 10,000 | 10,772 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
5.500% due 09/13/2025 | $ | 4,000 | $ | 4,573 | ||||||||
Cooperatieve Rabobank UA |
| |||||||||||
3.875% due 09/26/2023 | 6,150 | 6,502 | ||||||||||
Credit Suisse AG |
| |||||||||||
6.500% due 08/08/2023 (f) | 15,400 | 17,208 | ||||||||||
Credit Suisse Group AG |
| |||||||||||
7.500% due 12/11/2023 •(e)(f) | 4,400 | 4,958 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||||||
3.750% due 03/26/2025 | 5,600 | 5,926 | ||||||||||
Crown Castle International Corp. |
| |||||||||||
4.300% due 02/15/2029 | 2,000 | 2,216 | ||||||||||
4.450% due 02/15/2026 | 5,200 | 5,696 | ||||||||||
CyrusOne LP |
| |||||||||||
2.900% due 11/15/2024 | 5,600 | 5,633 | ||||||||||
Deutsche Bank AG |
| |||||||||||
3.375% due 05/12/2021 | 13,100 | 13,238 | ||||||||||
3.961% due 11/26/2025 • | 2,000 | 2,044 | ||||||||||
4.250% due 10/14/2021 | 3,600 | 3,703 | ||||||||||
Discover Financial Services |
| |||||||||||
4.500% due 01/30/2026 | 5,400 | 5,902 | ||||||||||
EPR Properties |
| |||||||||||
4.500% due 06/01/2027 | 4,300 | 4,617 | ||||||||||
4.750% due 12/15/2026 | 700 | 765 | ||||||||||
Farmers Insurance Exchange |
| |||||||||||
4.747% due 11/01/2057 • | 2,000 | 2,091 | ||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.350% due 11/01/2022 | 3,100 | 3,132 | ||||||||||
3.550% due 10/07/2022 | 5,000 | 5,074 | ||||||||||
5.875% due 08/02/2021 | 3,900 | 4,083 | ||||||||||
Global Atlantic Fin Co. |
| |||||||||||
4.400% due 10/15/2029 | 6,000 | 5,927 | ||||||||||
GLP Capital LP |
| |||||||||||
4.000% due 01/15/2030 | 5,100 | 5,217 | ||||||||||
5.750% due 06/01/2028 | 2,600 | 2,958 | ||||||||||
Goldman Sachs Group, Inc. |
| |||||||||||
3.691% due 06/05/2028 • | 7,600 | 8,074 | ||||||||||
3.850% due 01/26/2027 | 13,000 | 13,836 | ||||||||||
Goodman U.S. Finance Three LLC |
| |||||||||||
3.700% due 03/15/2028 | 5,000 | 5,133 | ||||||||||
Hampton Roads PPV LLC |
| |||||||||||
6.621% due 06/15/2053 | 35,436 | 39,252 | ||||||||||
Harborwalk Funding Trust |
| |||||||||||
5.077% due 02/15/2069 • | 3,250 | 3,846 | ||||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.750% due 07/01/2027 | 4,600 | 4,857 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
4.250% due 03/14/2024 | 6,000 | 6,375 | ||||||||||
4.250% due 08/18/2025 | 7,200 | 7,699 | ||||||||||
4.583% due 06/19/2029 • | 5,300 | 5,924 | ||||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.950% due 11/01/2027 | 900 | 942 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.782% due 02/01/2028 • | 19,000 | 20,482 | ||||||||||
LeasePlan Corp. NV |
| |||||||||||
2.875% due 10/24/2024 | 3,300 | 3,300 | ||||||||||
Life Storage LP |
| |||||||||||
3.875% due 12/15/2027 | 2,100 | 2,214 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
3.574% due 11/07/2028 • | 1,300 | 1,358 | ||||||||||
7.500% due 09/27/2025 •(e)(f) | 5,000 | 5,611 | ||||||||||
Low Income Investment Fund |
| |||||||||||
3.711% due 07/01/2029 | 2,500 | 2,562 | ||||||||||
Mid-America Apartments LP |
| |||||||||||
4.000% due 11/15/2025 | 7,500 | 8,117 | ||||||||||
MMcapS Funding Ltd. |
| |||||||||||
2.237% (US0003M + 0.290%) due 12/26/2039 ~ | 781 | 709 | ||||||||||
Morgan Stanley |
| |||||||||||
3.772% due 01/24/2029 • | 17,500 | 18,829 | ||||||||||
Navient Corp. |
| |||||||||||
6.500% due 06/15/2022 | 950 | 1,032 | ||||||||||
New York Life Insurance Co. |
| |||||||||||
4.450% due 05/15/2069 | 3,700 | 4,231 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Nordea Bank Abp |
| |||||||||||
6.125% due 09/23/2024 •(e)(f) | $ | 550 | $ | 586 | ||||||||
Omega Healthcare Investors, Inc. |
| |||||||||||
4.750% due 01/15/2028 | 3,350 | 3,648 | ||||||||||
Pacific Life Insurance Co. |
| |||||||||||
9.250% due 06/15/2039 | 5,000 | 8,252 | ||||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
5.500% due 02/15/2024 | 4,000 | 4,397 | ||||||||||
Physicians Realty LP |
| |||||||||||
4.300% due 03/15/2027 | 2,000 | 2,138 | ||||||||||
Piper Jaffray Cos. |
| |||||||||||
4.740% due 10/15/2021 | 4,000 | 3,995 | ||||||||||
Preferred Term Securities Ltd. |
| |||||||||||
2.194% (US0003M + 0.300%) due 03/22/2037 ~ | 2,985 | 2,627 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
4.519% due 06/25/2024 • | 5,000 | 5,311 | ||||||||||
4.800% due 04/05/2026 | 1,000 | 1,111 | ||||||||||
8.625% due 08/15/2021 •(e)(f) | 3,000 | 3,249 | ||||||||||
Sabra Health Care LP |
| |||||||||||
4.800% due 06/01/2024 | 3,600 | 3,838 | ||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
3.373% due 01/05/2024 • | 2,900 | 2,971 | ||||||||||
3.823% due 11/03/2028 • | 5,000 | 5,273 | ||||||||||
Service Properties Trust |
| |||||||||||
3.950% due 01/15/2028 | 3,000 | 2,926 | ||||||||||
4.250% due 02/15/2021 | 2,200 | 2,232 | ||||||||||
4.375% due 02/15/2030 | 1,300 | 1,276 | ||||||||||
Spirit Realty LP |
| |||||||||||
4.450% due 09/15/2026 | 700 | 752 | ||||||||||
Springleaf Finance Corp. |
| |||||||||||
6.125% due 05/15/2022 | 4,500 | 4,843 | ||||||||||
8.250% due 12/15/2020 | 5,500 | 5,783 | ||||||||||
State Bank of India |
| |||||||||||
4.000% due 01/24/2022 | 5,000 | 5,135 | ||||||||||
STORE Capital Corp. |
| |||||||||||
4.625% due 03/15/2029 | 2,100 | 2,330 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||||||
2.448% due 09/27/2024 | 5,500 | 5,513 | ||||||||||
Trust F/1401 |
| |||||||||||
4.869% due 01/15/2030 | 4,500 | 4,745 | ||||||||||
UBS AG |
| |||||||||||
7.625% due 08/17/2022 (f) | 15,700 | 17,705 | ||||||||||
UDR, Inc. |
| |||||||||||
3.500% due 07/01/2027 | 2,400 | 2,520 | ||||||||||
UniCredit SpA |
| |||||||||||
7.830% due 12/04/2023 | 5,000 | 5,834 | ||||||||||
VEREIT Operating Partnership LP |
| |||||||||||
3.100% due 12/15/2029 | 4,000 | 3,933 | ||||||||||
Washington Prime Group LP |
| |||||||||||
3.850% due 04/01/2020 | 1,900 | 1,906 | ||||||||||
Wells Fargo & Co. |
| |||||||||||
3.584% due 05/22/2028 • | 15,000 | 15,941 | ||||||||||
Welltower, Inc. |
| |||||||||||
3.625% due 03/15/2024 | 5,000 | 5,253 | ||||||||||
|
| |||||||||||
553,314 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 8.8% |
| |||||||||||
AP Moller-Maersk A/S |
| |||||||||||
3.750% due 09/22/2024 | 2,500 | 2,573 | ||||||||||
Arrow Electronics, Inc. |
| |||||||||||
3.250% due 09/08/2024 | 5,000 | 5,140 | ||||||||||
3.875% due 01/12/2028 | 2,500 | 2,561 | ||||||||||
Ashtead Capital, Inc. |
| |||||||||||
4.250% due 11/01/2029 | 5,000 | 5,119 | ||||||||||
Bacardi Ltd. |
| |||||||||||
4.450% due 05/15/2025 | 5,000 | 5,391 | ||||||||||
5.150% due 05/15/2038 | 1,200 | 1,355 | ||||||||||
BAT Capital Corp. |
| |||||||||||
4.390% due 08/15/2037 | 3,100 | 3,138 | ||||||||||
Bowdoin College |
| |||||||||||
4.693% due 07/01/2112 | 3,400 | 3,679 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 51 |
Table of Contents
Schedule of InvestmentsPIMCO Active Bond Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Broadcom, Inc. |
| |||||||||||
3.625% due 10/15/2024 | $ | 7,000 | $ | 7,280 | ||||||||
Campbell Soup Co. |
| |||||||||||
3.650% due 03/15/2023 | 3,400 | 3,542 | ||||||||||
Centene Corp. |
| |||||||||||
4.250% due 12/15/2027 | 4,200 | 4,329 | ||||||||||
Charter Communications Operating LLC |
| |||||||||||
4.908% due 07/23/2025 | 4,600 | 5,067 | ||||||||||
Choice Hotels International, Inc. |
| |||||||||||
3.700% due 12/01/2029 | 6,700 | 6,766 | ||||||||||
Citrix Systems, Inc. |
| |||||||||||
4.500% due 12/01/2027 | 3,000 | 3,250 | ||||||||||
CommonSpirit Health |
| |||||||||||
4.187% due 10/01/2049 | 7,300 | 7,306 | ||||||||||
Corp. Nacional del Cobre de Chile |
| |||||||||||
3.625% due 08/01/2027 | 4,000 | 4,160 | ||||||||||
4.500% due 09/16/2025 | 3,500 | 3,785 | ||||||||||
CVS Health Corp. |
| |||||||||||
3.000% due 08/15/2026 | 4,000 | 4,082 | ||||||||||
3.700% due 03/09/2023 | 4,700 | 4,896 | ||||||||||
4.100% due 03/25/2025 | 10,000 | 10,733 | ||||||||||
Dell International LLC |
| |||||||||||
4.000% due 07/15/2024 | 6,500 | 6,809 | ||||||||||
5.450% due 06/15/2023 | 4,000 | 4,339 | ||||||||||
Ecopetrol S.A. |
| |||||||||||
5.875% due 09/18/2023 | 5,200 | 5,769 | ||||||||||
Energy Transfer Operating LP |
| |||||||||||
5.200% due 02/01/2022 | 2,275 | 2,385 | ||||||||||
Energy Transfer Partners LP |
| |||||||||||
4.500% due 11/01/2023 | 5,000 | 5,297 | ||||||||||
5.000% due 10/01/2022 | 2,500 | 2,651 | ||||||||||
ERAC USA Finance LLC |
| |||||||||||
3.800% due 11/01/2025 | 900 | 951 | ||||||||||
Expedia Group, Inc. |
| |||||||||||
3.800% due 02/15/2028 | 2,500 | 2,550 | ||||||||||
Fairstone Financial, Inc. |
| |||||||||||
7.875% due 07/15/2024 | 2,000 | 2,156 | ||||||||||
Flex Ltd. |
| |||||||||||
4.875% due 06/15/2029 | 2,000 | 2,174 | ||||||||||
Georgetown University |
| |||||||||||
5.215% due 10/01/2118 | 6,500 | 8,291 | ||||||||||
Global Payments, Inc. |
| |||||||||||
2.650% due 02/15/2025 | 2,600 | 2,612 | ||||||||||
3.200% due 08/15/2029 | 2,600 | 2,657 | ||||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.500% due 07/26/2026 | 5,000 | 5,031 | ||||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
4.300% due 05/01/2024 | 850 | 909 | ||||||||||
6.850% due 02/15/2020 | 1,100 | 1,106 | ||||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.625% due 11/15/2023 | 2,000 | 2,213 | ||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.950% due 07/15/2025 | 5,000 | 5,293 | ||||||||||
Las Vegas Sands Corp. |
| |||||||||||
3.200% due 08/08/2024 | 3,600 | 3,716 | ||||||||||
Magellan Health, Inc. |
| |||||||||||
4.900% due 09/22/2024 | 5,500 | 5,654 | ||||||||||
Marvell Technology Group Ltd. |
| |||||||||||
4.200% due 06/22/2023 | 3,000 | 3,168 | ||||||||||
Massachusetts Institute of Technology |
| |||||||||||
4.678% due 07/01/2114 | 1,360 | 1,748 | ||||||||||
Micron Technology, Inc. |
| |||||||||||
4.185% due 02/15/2027 | 6,000 | 6,423 | ||||||||||
MPLX LP |
| |||||||||||
4.250% due 12/01/2027 | 4,200 | 4,424 | ||||||||||
New York and Presbyterian Hospital |
| |||||||||||
4.763% due 08/01/2116 | 3,000 | 3,476 | ||||||||||
Norwegian Air Shuttle ASA Pass-Through Trust |
| |||||||||||
4.875% due 11/10/2029 | 4,846 | 4,725 | ||||||||||
Pacific National Finance Pty. Ltd. |
| |||||||||||
4.750% due 03/22/2028 | 4,300 | 4,639 | ||||||||||
QVC, Inc. |
| |||||||||||
4.450% due 02/15/2025 | 1,250 | 1,293 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.625% due 03/01/2025 | $ | 2,000 | $ | 2,252 | ||||||||
5.875% due 06/30/2026 | 3,000 | 3,445 | ||||||||||
Sands China Ltd. |
| |||||||||||
4.600% due 08/08/2023 | 6,600 | 6,979 | ||||||||||
Sprint Spectrum Co. LLC |
| |||||||||||
4.738% due 09/20/2029 | 6,500 | 6,902 | ||||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.950% due 12/01/2025 | 2,300 | 2,624 | ||||||||||
Syngenta Finance NV |
| |||||||||||
4.441% due 04/24/2023 | 5,400 | 5,639 | ||||||||||
Tech Data Corp. |
| |||||||||||
4.950% due 02/15/2027 | 2,420 | 2,499 | ||||||||||
Teva Pharmaceutical Finance Netherlands BV |
| |||||||||||
2.800% due 07/21/2023 | 5,500 | 5,113 | ||||||||||
Turkish Airlines Pass-Through Trust |
| |||||||||||
4.200% due 09/15/2028 | 3,952 | 3,725 | ||||||||||
Wesleyan University |
| |||||||||||
4.781% due 07/01/2116 | 3,248 | 3,634 | ||||||||||
Western Midstream Operating LP |
| |||||||||||
3.950% due 06/01/2025 | 7,547 | 7,621 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||||||
4.400% due 03/15/2024 | 1,800 | 1,912 | ||||||||||
4.950% due 09/15/2028 | 4,600 | 5,061 | ||||||||||
WRKCo, Inc. |
| |||||||||||
3.900% due 06/01/2028 | 500 | 531 | ||||||||||
ZF North America Capital, Inc. |
| |||||||||||
4.500% due 04/29/2022 | 2,500 | 2,577 | ||||||||||
|
| |||||||||||
257,125 | ||||||||||||
|
| |||||||||||
UTILITIES 0.9% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
4.300% due 02/15/2030 | 4,163 | 4,629 | ||||||||||
Edison International |
| |||||||||||
2.950% due 03/15/2023 | 700 | 701 | ||||||||||
Enable Midstream Partners LP |
| |||||||||||
3.900% due 05/15/2024 | 2,750 | 2,817 | ||||||||||
FirstEnergy Corp. |
| |||||||||||
3.900% due 07/15/2027 | 6,000 | 6,416 | ||||||||||
IPALCO Enterprises, Inc. |
| |||||||||||
3.700% due 09/01/2024 | 4,450 | 4,603 | ||||||||||
Odebrecht Drilling Norbe Ltd. |
| |||||||||||
6.350% due 12/01/2021 ^ | 874 | 872 | ||||||||||
Plains All American Pipeline LP |
| |||||||||||
3.600% due 11/01/2024 | 7,262 | 7,472 | ||||||||||
|
| |||||||||||
27,510 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 837,949 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 1.9% |
| |||||||||||
CALIFORNIA 0.2% |
| |||||||||||
University of California Revenue Bonds, Series 2012 |
| |||||||||||
4.858% due 05/15/2112 | 2,191 | 2,708 | ||||||||||
University of California Revenue Bonds, Series 2015 |
| |||||||||||
4.767% due 05/15/2115 | 2,100 | 2,543 | ||||||||||
|
| |||||||||||
5,251 | ||||||||||||
|
| |||||||||||
FLORIDA 0.3% |
| |||||||||||
Palm Beach County, Florida Revenue Bonds, Series 2013 |
| |||||||||||
5.250% due 11/01/2043 | 7,520 | 8,435 | ||||||||||
|
| |||||||||||
ILLINOIS 0.3% |
| |||||||||||
Illinois State General Obligation Bonds, (BABs), Series 2010 |
| |||||||||||
7.350% due 07/01/2035 | 6,800 | 8,260 | ||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
NEW JERSEY 0.3% |
| |||||||||||
New Jersey Economic Development Authority Revenue Notes, Series 2017 |
| |||||||||||
3.800% due 07/01/2022 | $ | 1,000 | $ | 1,027 | ||||||||
Rutgers The State University of New Jersey Revenue Bonds, Series 2019 |
| |||||||||||
3.915% due 05/01/2119 | 7,900 | 7,794 | ||||||||||
|
| |||||||||||
8,821 | ||||||||||||
|
| |||||||||||
NEW YORK 0.3% |
| |||||||||||
Port Authority of New York & New Jersey Revenue Bonds, Series 2015 |
| |||||||||||
4.810% due 10/15/2065 | 1,000 | 1,262 | ||||||||||
Port Authority of New York & New Jersey Revenue Bonds, Series 2019 |
| |||||||||||
3.287% due 08/01/2069 | 7,500 | 7,149 | ||||||||||
|
| |||||||||||
8,411 | ||||||||||||
|
| |||||||||||
TEXAS 0.2% |
| |||||||||||
Texas Private Activity Bond Surface Transportation Corp. Revenue Bonds, Series 2019 |
| |||||||||||
3.922% due 12/31/2049 | 4,200 | 4,229 | ||||||||||
Texas Public Finance Authority Revenue Notes, Series 2014 |
| |||||||||||
8.250% due 07/01/2024 | 2,300 | 2,320 | ||||||||||
|
| |||||||||||
6,549 | ||||||||||||
|
| |||||||||||
VIRGINIA 0.2% |
| |||||||||||
University of Virginia Revenue Bonds, Series 2017 |
| |||||||||||
4.179% due 09/01/2117 | 870 | 1,030 | ||||||||||
University of Virginia Revenue Bonds, Series 2019 |
| |||||||||||
3.227% due 09/01/2119 | 5,300 | 4,928 | ||||||||||
|
| |||||||||||
5,958 | ||||||||||||
|
| |||||||||||
WEST VIRGINIA 0.1% |
| |||||||||||
Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007 |
| |||||||||||
7.467% due 06/01/2047 | 3,540 | 3,681 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $52,931) | 55,366 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 43.8% |
| |||||||||||
Fannie Mae |
| |||||||||||
0.000% due 07/25/2031 - 02/25/2040 (b)(c) | 191 | 169 | ||||||||||
0.541% due 08/25/2022 ~(a) | 11,483 | 125 | ||||||||||
2.500% due 03/25/2033 | 2 | 2 | ||||||||||
3.000% due 03/25/2033 - 04/25/2043 | 10 | 9 | ||||||||||
3.360% due 01/01/2037 • | 16 | 17 | ||||||||||
3.500% due 06/25/2042 - 05/25/2043 | 616 | 650 | ||||||||||
3.905% due 11/01/2035 • | 11 | 11 | ||||||||||
3.980% due 12/01/2028 • | 211 | 212 | ||||||||||
4.000% due 10/01/2026 - 07/01/2044 | 2,901 | 2,995 | ||||||||||
4.085% due 10/01/2035 • | 3 | 4 | ||||||||||
4.208% due 09/25/2042 •(a) | 58,993 | 10,475 | ||||||||||
4.218% due 09/01/2034 • | 34 | 35 | ||||||||||
4.491% due 05/25/2042 • | 206 | 230 | ||||||||||
4.500% due 09/01/2023 - 06/01/2051 | 2,548 | 2,654 | ||||||||||
4.628% due 04/25/2040 •(a) | 73 | 9 | ||||||||||
4.820% due 04/01/2036 • | 12 | 13 | ||||||||||
5.000% due 05/01/2026 - 11/01/2039 | 1,672 | 1,755 | ||||||||||
5.408% due 05/25/2036 •(a) | 1,623 | 260 | ||||||||||
5.500% due 12/01/2031 - 04/01/2039 | 1,486 | 1,592 | ||||||||||
6.000% due 05/25/2031 - 09/01/2037 | 2,055 | 2,252 | ||||||||||
6.500% due 01/01/2036 - 05/01/2038 | 111 | 123 |
52 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
7.000% due 04/01/2037 - 11/01/2038 | $ | 282 | $ | 301 | ||||||||
7.500% due 10/01/2037 | 80 | 94 | ||||||||||
15.236% due 01/25/2036 • | 207 | 265 | ||||||||||
21.876% due 07/25/2023 • | 7 | 8 | ||||||||||
Freddie Mac |
| |||||||||||
0.000% due 01/15/2033 - 07/15/2039 (b)(c) | 803 | 747 | ||||||||||
2.243% due 06/15/2040 ~(a) | 17,563 | 966 | ||||||||||
3.000% due 01/01/2043 - 04/01/2043 | 20 | 19 | ||||||||||
3.290% due 05/15/2041 • | 2,348 | 2,325 | ||||||||||
3.500% due 12/15/2028 (a) | 2,688 | 196 | ||||||||||
3.500% due 10/01/2033 - 04/01/2049 | 205,338 | 213,207 | ||||||||||
3.990% due 11/01/2023 • | 1 | 1 | ||||||||||
4.000% due 09/01/2033 - 06/01/2049 | 249,349 | 261,461 | ||||||||||
4.101% due 06/15/2042 • | 2,040 | 2,125 | ||||||||||
4.500% due 02/01/2034 - 02/01/2045 | 8,325 | 9,036 | ||||||||||
4.518% due 10/01/2036 • | 1 | 1 | ||||||||||
4.745% due 07/01/2036 • | 21 | 22 | ||||||||||
4.844% due 12/01/2031 • | 101 | 107 | ||||||||||
5.000% due 03/01/2033 - 07/15/2041 | 671 | 736 | ||||||||||
5.000% due 08/15/2039 (a) | 78 | 2 | ||||||||||
5.250% due 04/15/2033 | 34 | 38 | ||||||||||
5.500% due 01/01/2023 - 10/01/2037 | 2,010 | 2,175 | ||||||||||
6.000% due 01/01/2034 - 08/01/2037 | 149 | 160 | ||||||||||
6.421% due 01/15/2041 • | 5,689 | 6,668 | ||||||||||
6.500% due 01/01/2037 - 07/01/2037 | 27 | 28 | ||||||||||
8.500% due 12/01/2022 - 03/01/2023 | 26 | 26 | ||||||||||
9.000% due 12/01/2025 - 08/01/2030 | 5 | 5 | ||||||||||
9.500% due 01/01/2025 | 10 | 10 | ||||||||||
10.000% due 05/01/2020 - 04/01/2025 | 6 | 5 | ||||||||||
14.743% due 10/15/2023 • | 92 | 107 | ||||||||||
14.878% due 05/15/2033 • | 57 | 78 | ||||||||||
Ginnie Mae |
| |||||||||||
3.500% due 12/20/2040 - 03/20/2047 | 23,211 | 24,230 | ||||||||||
4.000% due 09/20/2040 - 06/15/2047 | 49,600 | 52,355 | ||||||||||
4.500% due 08/20/2038 - 02/20/2047 | 3,548 | 3,724 | ||||||||||
4.750% due 01/20/2035 | 41 | 47 | ||||||||||
5.000% due 03/20/2034 - 05/20/2047 | 868 | 916 | ||||||||||
5.500% due 04/16/2034 - 11/20/2038 | 76 | 84 | ||||||||||
6.000% due 08/20/2038 - 02/20/2039 | 98 | 106 | ||||||||||
6.500% due 12/20/2038 | 28 | 29 | ||||||||||
Ginnie Mae, TBA |
| |||||||||||
3.000% due 02/01/2050 | 16,000 | 16,410 | ||||||||||
4.000% due 02/01/2050 | 9,800 | 10,152 | ||||||||||
Tennessee Valley Authority STRIPS |
| |||||||||||
0.000% due 06/15/2038 (c) | 2,500 | 1,448 | ||||||||||
4.250% due 09/15/2065 | 10,000 | 12,991 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
2.500% due 09/01/2049 - 01/01/2050 | 26,268 | 25,971 | ||||||||||
3.000% due 05/01/2049 - 12/01/2049 | 77,496 | 78,632 | ||||||||||
3.500% due 09/01/2045 - 08/01/2049 | 197,273 | 204,077 | ||||||||||
4.000% due 12/01/2020 - 08/01/2049 | 195,437 | 205,487 | ||||||||||
4.500% due 01/01/2020 - 02/01/2049 | 69,659 | 74,170 | ||||||||||
4.750% due 09/01/2033 | 139 | 148 | ||||||||||
5.000% due 08/01/2020 - 09/01/2025 | 247 | 257 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
7.000% due 10/01/2020 - 01/01/2023 | $ | 525 | $ | 543 | ||||||||
7.500% due 10/01/2021 - 01/01/2022 | 114 | 117 | ||||||||||
Uniform Mortgage-Backed Security, TBA |
| |||||||||||
2.500% due 02/01/2050 | 46,000 | 45,435 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 1,281,840 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 7.3% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
2.250% due 08/15/2049 | 144,600 | 140,152 | ||||||||||
2.375% due 11/15/2049 | 55,700 | 55,465 | ||||||||||
3.000% due 02/15/2049 (j) | 2,000 | 2,254 | ||||||||||
U.S. Treasury Notes |
| |||||||||||
1.750% due 11/15/2029 | 15,700 | 15,453 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 213,324 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 5.2% |
| |||||||||||
American Home Mortgage Investment Trust |
| |||||||||||
3.407% due 09/25/2045 • | 12 | 13 | ||||||||||
BAMLL Commercial Mortgage Securities Trust |
| |||||||||||
2.940% due 03/15/2034 • | 5,385 | 5,406 | ||||||||||
Banc of America Alternative Loan Trust |
| |||||||||||
6.500% due 04/25/2036 ^ | 1,166 | 1,146 | ||||||||||
Banc of America Funding Trust |
| |||||||||||
1.848% due 08/27/2036 ~ | 8,558 | 7,636 | ||||||||||
BCAP LLC Trust |
| |||||||||||
1.942% due 05/25/2047 ^• | 3,700 | 3,494 | ||||||||||
Bear StearnsALT-A Trust |
| |||||||||||
2.432% due 04/25/2034 • | 32 | 32 | ||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
6.000% due 05/25/2036 | 5,618 | 4,376 | ||||||||||
ChaseFlex Trust |
| |||||||||||
6.500% due 02/25/2037 | 4,790 | 2,721 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
2.592% due 08/25/2035 ^• | 964 | 904 | ||||||||||
3.228% due 09/25/2059 þ | 3,917 | 3,927 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
5.500% due 08/25/2034 | 3,079 | 3,197 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
2.042% due 06/25/2037 ^• | 825 | 684 | ||||||||||
5.500% due 07/25/2035 | 1,978 | 1,831 | ||||||||||
5.500% due 08/25/2035 | 584 | 584 | ||||||||||
5.500% due 12/25/2035 | 1,236 | 1,150 | ||||||||||
5.500% due 02/25/2036 | 2,494 | 2,411 | ||||||||||
5.750% due 05/25/2036 | 564 | 411 | ||||||||||
6.000% due 04/25/2037 | 5,701 | 5,682 | ||||||||||
6.250% due 08/25/2036 | 483 | 411 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust |
| |||||||||||
2.332% due 03/25/2035 • | 126 | 123 | ||||||||||
3.777% due 03/20/2036 ~ | 1,113 | 1,076 | ||||||||||
Countrywide Home Loan Reperforming REMIC Trust |
| |||||||||||
2.132% due 01/25/2036 • | 2,722 | 2,670 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp. |
| |||||||||||
2.442% due 11/25/2031 • | 37 | 28 | ||||||||||
4.357% due 11/25/2034 ~ | 37 | 39 | ||||||||||
Credit Suisse Mortgage Capital Certificates |
| |||||||||||
3.830% due 08/26/2058 | 4,750 | 4,790 | ||||||||||
6.000% due 07/25/2037 ^ | 1,044 | 995 | ||||||||||
Credit Suisse Mortgage Capital Certificates Trust |
| |||||||||||
3.322% due 10/25/2058 ~ | 3,918 | 3,932 | ||||||||||
Credit Suisse Mortgage Capital Mortgage-Backed Trust |
| |||||||||||
5.500% due 03/25/2037 | 1,283 | 1,097 | ||||||||||
6.421% due 10/25/2037 ~ | 4,853 | 4,299 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
3.319% due 10/27/2059 ~ | 4,977 | 4,981 | ||||||||||
DeutscheALT-A Securities, Inc. Mortgage Loan Trust |
| |||||||||||
2.032% due 01/25/2047 • | 4,377 | 3,868 | ||||||||||
DeutscheALT-B Securities, Inc. Mortgage Loan Trust |
| |||||||||||
5.431% due 02/25/2036 ~ | 237 | 236 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
5.665% due 02/25/2036 ~ | $ | 2,197 | $ | 2,187 | ||||||||
Great Hall Mortgages PLC |
| |||||||||||
2.029% due 06/18/2039 • | 2,668 | 2,602 | ||||||||||
GSMPS Mortgage Loan Trust |
| |||||||||||
2.142% due 01/25/2036 • | 2,950 | 2,584 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.956% due 01/25/2036 ~ | 2,422 | 2,458 | ||||||||||
4.133% due 11/25/2035 ~ | 19 | 19 | ||||||||||
4.635% due 09/25/2034 ~ | 282 | 295 | ||||||||||
6.000% due 03/25/2036 | 6,284 | 4,429 | ||||||||||
6.500% due 05/25/2036 | 912 | 490 | ||||||||||
HarborView Mortgage Loan Trust |
| |||||||||||
1.969% due 12/19/2036 • | 3,056 | 2,728 | ||||||||||
2.304% due 03/19/2035 • | 2,017 | 2,008 | ||||||||||
HomeBanc Mortgage Trust |
| |||||||||||
2.122% due 10/25/2035 • | 1,187 | 1,210 | ||||||||||
Impac Secured Assets Trust |
| |||||||||||
1.962% due 01/25/2037 • | 5 | 4 | ||||||||||
IndyMac Mortgage Loan Trust |
| |||||||||||
3.951% due 09/25/2036 ~ | 2,211 | 1,907 | ||||||||||
JPMorgan Alternative Loan Trust |
| |||||||||||
3.914% due 12/25/2035 ^~ | 796 | 697 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
4.346% due 02/25/2036 ^~ | 1,305 | 1,216 | ||||||||||
4.492% due 07/25/2035 ~ | 33 | 35 | ||||||||||
6.000% due 08/25/2037 ^ | 1,158 | 944 | ||||||||||
6.500% due 01/25/2036 ^ | 6,560 | 5,398 | ||||||||||
JPMorgan Resecuritization Trust |
| |||||||||||
5.450% due 07/27/2037 ~ | 19 | 19 | ||||||||||
Legacy Mortgage Asset Trust |
| |||||||||||
3.000% due 06/25/2059 þ | 5,236 | 5,239 | ||||||||||
Lehman XS Trust |
| |||||||||||
1.982% due 11/25/2046 • | 4,535 | 4,335 | ||||||||||
3.239% due 11/25/2035 • | �� | 72 | 74 | |||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
2.056% due 04/25/2034 ~ | 1,442 | 1,416 | ||||||||||
3.690% (US0012M + 1.750%) due 12/25/2035 ~ | 7,666 | 7,671 | ||||||||||
4.229% due 03/25/2035 ~ | 992 | 992 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.352% due 07/25/2029 • | 486 | 476 | ||||||||||
3.836% due 05/25/2029 ~ | 18 | 18 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
3.985% due 06/25/2036 ~ | 5,062 | 5,263 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust |
| |||||||||||
2.042% due 06/25/2037 • | 4,024 | 3,314 | ||||||||||
Nomura Resecuritization Trust |
| |||||||||||
6.500% due 10/26/2037 | 2,982 | 2,267 | ||||||||||
RBSGC Mortgage Loan Trust |
| |||||||||||
2.172% due 12/25/2034 • | 2,062 | 1,815 | ||||||||||
Residential Asset Securitization Trust |
| |||||||||||
2.342% due 08/25/2033 • | 40 | 37 | ||||||||||
5.500% due 08/25/2034 | 2,173 | 2,236 | ||||||||||
Residential Funding Mortgage Securities, Inc. Trust |
| |||||||||||
6.000% due 06/25/2036 ^ | 1,016 | 997 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
2.115% due 07/20/2033 • | 40 | 40 | ||||||||||
2.674% due 02/20/2035 • | 919 | 937 | ||||||||||
Thornburg Mortgage Securities Trust |
| |||||||||||
3.252% due 06/25/2037 • | 357 | 340 | ||||||||||
4.130% due 10/25/2046 • | 2,746 | 2,764 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
2.627% due 10/25/2046 • | 2,159 | 2,101 | ||||||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||||||
4.400% due 12/28/2037 ~ | 3,735 | 3,624 | ||||||||||
4.862% due 08/25/2036 ^~ | 703 | 685 | ||||||||||
|
| |||||||||||
TotalNon-Agency Mortgage-Backed Securities (Cost $150,874) | 152,021 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 10.9% |
| |||||||||||
AASET Trust |
| |||||||||||
3.967% due 05/16/2042 | 2,279 | 2,299 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 53 |
Table of Contents
Schedule of InvestmentsPIMCO Active Bond Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
AASET U.S. Ltd. |
| |||||||||||
3.844% due 01/16/2038 | $ | 3,744 | $ | 3,755 | ||||||||
Adams Mill CLO Ltd. |
| |||||||||||
3.101% due 07/15/2026 • | 1,007 | 1,007 | ||||||||||
ALESCO Preferred Funding Ltd. |
| |||||||||||
2.258% due 12/23/2036 • | 1,808 | 1,665 | ||||||||||
2.678% due 09/23/2038 • | 3,215 | 3,023 | ||||||||||
Allegro CLO Ltd. |
| |||||||||||
3.156% due 01/30/2026 • | 621 | 622 | ||||||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |
| |||||||||||
3.342% due 06/25/2033 • | 4,843 | 4,854 | ||||||||||
Apidos CLO |
| |||||||||||
2.946% due 01/19/2025 • | 54 | 54 | ||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. |
| |||||||||||
2.890% due 05/15/2037 • | 6,500 | 6,503 | ||||||||||
Argent Securities Trust |
| |||||||||||
1.982% due 03/25/2036 • | 4,717 | 4,380 | ||||||||||
Argent Securities, Inc. Asset-BackedPass-Through Certificates |
| |||||||||||
2.022% due 01/25/2036 • | 1,953 | 1,852 | ||||||||||
Asset-Backed Funding Certificates Trust |
| |||||||||||
1.932% due 10/25/2036 • | 2,244 | 2,167 | ||||||||||
2.032% due 09/25/2036 • | 3,913 | 3,708 | ||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||||||
2.602% due 06/25/2034 • | 3,552 | 3,505 | ||||||||||
4.965% due 08/15/2032 • | 550 | 541 | ||||||||||
Avery Point CLO Ltd. |
| |||||||||||
3.123% due 01/18/2025 • | 1,939 | 1,940 | ||||||||||
Bayview Opportunity Master Fund Trust |
| |||||||||||
3.475% due 06/28/2034 þ | 4,998 | 5,003 | ||||||||||
3.967% due 03/28/2034 þ | 1,667 | 1,671 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
2.692% due 03/25/2034 • | 3,232 | 3,219 | ||||||||||
2.767% due 12/25/2034 • | 3,189 | 3,173 | ||||||||||
Black Diamond CLO Ltd. |
| |||||||||||
3.052% due 02/06/2026 • | 1,192 | 1,193 | ||||||||||
BlueMountain CLO Ltd. |
| |||||||||||
3.503% due 07/18/2027 • | 1,700 | 1,684 | ||||||||||
Business Jet Securities LLC |
| |||||||||||
4.335% due 02/15/2033 | 2,932 | 2,965 | ||||||||||
4.447% due 06/15/2033 | 4,426 | 4,493 | ||||||||||
Carrington Mortgage Loan Trust |
| |||||||||||
1.952% due 10/25/2036 • | 3,573 | 2,888 | ||||||||||
2.842% due 05/25/2035 • | 5,100 | 5,110 | ||||||||||
Castlelake Aircraft Securitization Trust |
| |||||||||||
4.125% due 06/15/2043 | 1,685 | 1,713 | ||||||||||
Cent CLO Ltd. |
| |||||||||||
3.651% due 10/15/2026 • | 2,000 | 1,997 | ||||||||||
CIT Mortgage Loan Trust |
| |||||||||||
3.142% due 10/25/2037 • | 2,830 | 2,861 | ||||||||||
3.292% due 10/25/2037 • | 5,000 | 5,078 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
6.164% due 05/25/2036 þ | 5,424 | 2,989 | ||||||||||
Citigroup Mortgage Loan Trust Asset-BackedPass-Through Certificates |
| |||||||||||
2.767% due 05/25/2035 • | 7,301 | 7,190 | ||||||||||
Citigroup Mortgage Loan Trust, Inc. |
| |||||||||||
2.052% due 03/25/2037 • | 377 | 348 | ||||||||||
CLNC FL1 Ltd. |
| |||||||||||
2.983% due 08/20/2035 • | 5,000 | 5,006 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
2.012% due 09/25/2037 ^• | 3,152 | 2,776 | ||||||||||
2.022% due 04/25/2047 • | 6,800 | 5,679 | ||||||||||
3.067% due 10/25/2034 • | 309 | 307 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
4.125% due 07/25/2058 ~ | 1,833 | 1,849 | ||||||||||
EMC Mortgage Loan Trust |
| |||||||||||
2.892% due 08/25/2040 • | 1,859 | 1,846 | ||||||||||
First Franklin Mortgage Loan Asset-Backed Certificates |
| |||||||||||
2.617% due 05/25/2034 • | 2,935 | 2,923 | ||||||||||
Flagship CLO Ltd. |
| |||||||||||
2.851% due 01/16/2026 • | 4,923 | 4,924 | ||||||||||
GSAA Home Equity Trust |
| |||||||||||
2.012% due 03/25/2047 • | 3,925 | 2,157 | ||||||||||
Halcyon Loan Advisors Funding Ltd. |
| |||||||||||
3.053% due 10/22/2025 • | 3,046 | 3,047 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Home Equity Mortgage Loan Asset-Backed Trust |
| |||||||||||
2.032% due 11/25/2036 • | $ | 7,000 | $ | 5,870 | ||||||||
Horizon Aircraft Finance Ltd. |
| |||||||||||
3.721% due 07/15/2039 | 4,840 | 4,837 | ||||||||||
ICG U.S. CLO Ltd. |
| |||||||||||
2.851% due 01/16/2028 • | 7,600 | 7,574 | ||||||||||
JPMorgan Mortgage Acquisition Corp. |
| |||||||||||
2.182% due 05/25/2035 • | 6,000 | 6,000 | ||||||||||
JPMorgan Mortgage Acquisition Trust |
| |||||||||||
2.092% due 07/25/2036 • | 1,510 | 1,387 | ||||||||||
2.172% due 07/25/2036 • | 1,100 | 1,057 | ||||||||||
KDAC Aviation Finance Ltd. |
| |||||||||||
4.212% due 12/15/2042 | 4,361 | 4,410 | ||||||||||
Legacy Mortgage Asset Trust |
| |||||||||||
3.438% due 05/25/2059 þ | 4,936 | 4,970 | ||||||||||
3.750% due 04/25/2059 þ | 8,652 | 8,742 | ||||||||||
Lehman XS Trust |
| |||||||||||
1.962% due 12/25/2036 • | 1,209 | 1,199 | ||||||||||
4.833% due 06/25/2036 þ | 3,063 | 3,163 | ||||||||||
Long Beach Mortgage Loan Trust |
| |||||||||||
2.692% due 06/25/2035 • | 4,201 | 4,220 | ||||||||||
Loomis Sayles CLO Ltd. |
| |||||||||||
2.901% due 04/15/2028 • | 5,500 | 5,474 | ||||||||||
M360 Advisors LLC |
| |||||||||||
4.395% due 07/24/2028 | 4,606 | 4,622 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
4.110% due 02/25/2037 ^þ | 13,360 | 2,497 | ||||||||||
METAL LLC |
| |||||||||||
4.581% due 10/15/2042 | 3,867 | 3,901 | ||||||||||
Mid-State Capital Corp. Trust |
| |||||||||||
6.005% due 08/15/2037 | 27 | 29 | ||||||||||
Mid-State Trust |
| |||||||||||
6.340% due 12/15/2036 | 3,965 | 4,206 | ||||||||||
Morgan Stanley ABS Capital, Inc. Trust |
| |||||||||||
1.932% due 05/25/2037 • | 181 | 166 | ||||||||||
2.042% due 07/25/2036 • | 1,870 | 1,015 | ||||||||||
3.042% due 07/25/2037 • | 6,420 | 6,175 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
5.965% due 09/25/2046 ^þ | 3,562 | 1,984 | ||||||||||
Mountain View CLO Ltd. |
| |||||||||||
2.801% due 10/15/2026 • | 4,773 | 4,771 | ||||||||||
Raptor Aircraft Finance LLC |
| |||||||||||
4.213% due 08/23/2044 | 2,936 | 2,972 | ||||||||||
Renaissance Home Equity Loan Trust |
| |||||||||||
5.586% due 11/25/2036 þ | 687 | 360 | ||||||||||
6.120% due 11/25/2036 þ | 1,210 | 692 | ||||||||||
Residential Asset Mortgage Products Trust |
| |||||||||||
3.817% due 03/25/2032 • | 1,241 | 1,242 | ||||||||||
S-Jets Ltd. |
| |||||||||||
3.967% due 08/15/2042 | 5,277 | 5,285 | ||||||||||
Sapphire Aviation Finance Ltd. |
| |||||||||||
4.250% due 03/15/2040 | 3,938 | 4,007 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
2.587% due 03/25/2035 ^• | 1,353 | 1,321 | ||||||||||
3.542% due 12/25/2037 • | 1,151 | 1,154 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
2.082% due 12/25/2035 • | 4,310 | 4,252 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
2.690% due 04/25/2023 • | 3,405 | 3,344 | ||||||||||
2.840% due 07/25/2023 • | 5,282 | 5,216 | ||||||||||
3.440% due 04/25/2023 • | 3,762 | 3,776 | ||||||||||
3.640% due 07/25/2023 • | 2,545 | 2,564 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
2.042% due 07/25/2037 • | 2,993 | 2,722 | ||||||||||
SpringCastle Funding Asset-Backed Notes |
| |||||||||||
3.200% due 05/27/2036 | 4,057 | 4,073 | ||||||||||
Sprite Ltd. |
| |||||||||||
4.250% due 12/15/2037 | 4,791 | 4,898 | ||||||||||
Stanwich Mortgage Loan Co. LLC |
| |||||||||||
3.375% due 08/15/2024 þ | 4,055 | 4,057 | ||||||||||
Structured Asset Investment Loan Trust |
| |||||||||||
2.497% due 03/25/2034 • | 4,334 | 4,286 | ||||||||||
THL Credit Wind River CLO Ltd. |
| |||||||||||
2.881% due 01/15/2026 • | 5,455 | 5,458 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
TICP CLO Ltd. |
| |||||||||||
2.806% due 04/20/2028 • | $ | 8,700 | $ | 8,687 | ||||||||
Tralee CLO Ltd. |
| |||||||||||
2.996% due 10/20/2027 • | 8,000 | 8,003 | ||||||||||
Venture CDO Ltd. |
| |||||||||||
2.881% due 04/15/2027 • | 9,000 | 8,964 | ||||||||||
Venture CLO Ltd. |
| |||||||||||
2.992% due 04/20/2029 • | 4,000 | 3,997 | ||||||||||
WaMu Asset-Backed Certificates WaMu Trust |
| |||||||||||
2.017% due 05/25/2037 • | 3,461 | 3,331 | ||||||||||
WAVE LLC |
| |||||||||||
3.597% due 09/15/2044 | 4,911 | 4,863 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust |
| |||||||||||
2.292% due 12/25/2035 • | 2,900 | 2,872 | ||||||||||
WhiteHorse Ltd. |
| |||||||||||
3.162% due 07/17/2026 • | 1,842 | 1,843 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 318,472 | |||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 0.7% |
| |||||||||||
Mexico Government International Bond |
| |||||||||||
5.750% due 10/12/2110 | 4,000 | 4,746 | ||||||||||
Qatar Government International Bond |
| |||||||||||
3.875% due 04/23/2023 | 4,000 | 4,229 | ||||||||||
Saudi Government International Bond |
| |||||||||||
4.000% due 04/17/2025 | 9,500 | 10,259 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $17,624) | 19,234 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
PREFERRED SECURITIES 1.2% |
| |||||||||||
BANKING & FINANCE 0.9% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
5.875% due 03/15/2028 •(e) | 5,300,000 | 5,882 | ||||||||||
Charles Schwab Corp. |
| |||||||||||
5.000% due 12/01/2027 •(e) | 5,500,000 | 5,797 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
5.000% due 08/01/2024 •(e) | 3,500,000 | 3,644 | ||||||||||
6.100% due 10/01/2024 •(e) | 7,000,000 | 7,644 | ||||||||||
State Street Corp. |
| |||||||||||
5.625% due 12/15/2023 •(e) | 5,000,000 | 5,314 | ||||||||||
|
| |||||||||||
28,281 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 0.3% |
| |||||||||||
General Electric Co. |
| |||||||||||
5.000% due 01/21/2021 •(e) | 8,500,000 | 8,338 | ||||||||||
|
| |||||||||||
Total Preferred Securities (Cost $34,723) | 36,619 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 0.8% |
| |||||||||||
REPURCHASE AGREEMENTS (g) 0.8% |
| |||||||||||
23,897 | ||||||||||||
|
| |||||||||||
U.S. TREASURY BILLS 0.0% |
| |||||||||||
1.653% due 01/02/2020 (c)(d) | 30 | 30 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $23,927) | 23,927 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $2,895,823) | 2,961,431 | |||||||||||
Total Investments 101.2% (Cost $2,895,823) |
| $ | 2,961,431 | |||||||||
Financial Derivative (Cost or Premiums, net $488) |
| (71 | ) | |||||||||
Other Assets and Liabilities, net (1.2)% | (36,052 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 2,925,308 | |||||||||
|
|
54 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
µ | All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding. See Note 4, Securities and Other Investments, in the Notes to Financial Statements for more information regarding unfunded loan commitments. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Interest only security. |
(b) | Principal only security. |
(c) | Zero coupon security. |
(d) | Coupon represents a yield to maturity. |
(e) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
(f) | Contingent convertible security. |
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.250 | % | 12/31/2019 | 01/02/2020 | $ | 697 | U.S. Treasury Notes 2.750% due 09/15/2021 | $ | (714 | ) | $ | 697 | $ | 697 | ||||||||||||||||
NOM | 1.650 | 12/31/2019 | 01/02/2020 | 23,200 | U.S. Treasury Bonds 3.125% due 02/15/2043 | (23,519 | ) | 23,200 | 23,202 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (24,233 | ) | $ | 23,897 | $ | 23,899 | ||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(2) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
FICC | $ | 697 | $ | 0 | $ | 0 | $ | 697 | $ | (714 | ) | $ | (17 | ) | ||||||||||
NOM | 23,202 | 0 | 0 | 23,202 | (23,519 | ) | (317 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 23,899 | $ | 0 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
The average amount of borrowings outstanding during the period ended December 31, 2019 was $(6,500) at a weighted average interest rate of 1.778%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.
(h) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(1)
Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2019(2) | Notional Amount(3) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(4) | Variation Margin | |||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||
Ford Motor Credit Co. LLC | 5.000 | % | Quarterly | 06/20/2022 | 0.724 | % | $ | 2,600 | $ | 440 | $ | (166 | ) | $ | 274 | $ | 0 | $ | (2 | ) | ||||||||||||||||||||
General Electric Co. | 1.000 | Quarterly | 06/20/2024 | 0.766 | 7,750 | (18 | ) | 98 | 80 | 0 | (6 | ) | ||||||||||||||||||||||||||||
General Electric Co. | 1.000 | Quarterly | 12/20/2024 | 0.857 | 4,200 | (68 | ) | 98 | 30 | 0 | 0 | |||||||||||||||||||||||||||||
Navient Corp. | 5.000 | Quarterly | 06/20/2022 | 0.852 | 6,000 | 392 | 221 | 613 | 0 | (7 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Swap Agreements |
| $ | 746 | $ | 251 | $ | 997 | $ | 0 | $ | (15 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 55 |
Table of Contents
Schedule of InvestmentsPIMCO Active Bond Exchange-Traded Fund(Cont.)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Market Value | Variation Margin Liability | Total | ||||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Total | Written Options | Futures | Swap Agreements | ||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (15) | $ | (15) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $12,216 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(i) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BPS | 01/2020 | EUR | 354 | $ | 391 | $ | 0 | $ | (6 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 0 | $ | (6 | ) | ||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection | Exercise Rate | Expiration Date | Notional Amount(1) | Premiums (Received) | Market Value | |||||||||||||||
BPS | Call - OTCCDX.IG-335-Year Index | Buy | 0.475 | % | 02/19/2020 | 46,400 | $ | (23 | ) | $ | (75 | ) | ||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 0.800 | 02/19/2020 | 46,400 | (26 | ) | (6 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||
Total Written Options | $ | (49 | ) | $ | (81 | ) | ||||||||||||||||
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION(2)
Counterparty | Reference Entity | Fixed Receive Rate | Payment Frequency | Maturity Date | Implied Credit Spread at December 31, 2019(3) | Notional Amount(4) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value(5) | |||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||
CBK | Petroleos Mexicanos | 1.000 | % | Quarterly | 06/20/2022 | 1.211 | % | $ | 5,000 | $ | (252 | ) | $ | 228 | $ | 0 | $ | (24 | ) | |||||||||||||||||||
GST | Springleaf Finance Corp. | 5.000 | Quarterly | 06/20/2022 | 0.555 | 500 | 43 | 12 | 55 | 0 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Swap Agreements | $ | (209 | ) | $ | 240 | $ | 55 | $ | (24 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
56 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged | Net Exposure(6) | |||||||||||||||||||||||||||||||||||||
BPS | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (6 | ) | $ | (81 | ) | $ | 0 | $ | (87 | ) | $ | (87 | ) | $ | 0 | $ | (87 | ) | |||||||||||||||||||||
CBK | 0 | 0 | 0 | 0 | 0 | 0 | (24 | ) | (24 | ) | (24 | ) | 32 | 8 | ||||||||||||||||||||||||||||||||||
GST | 0 | 0 | 55 | 55 | 0 | 0 | 0 | 0 | 55 | 0 | 55 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 0 | $ | 0 | $ | 55 | $ | 55 | $ | (6 | ) | $ | (81 | ) | $ | (24 | ) | $ | (111 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(j) | Securities with an aggregate market value of $32 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2019. |
(1) | Notional Amount represents the number of contracts. |
(2) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(3) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(5) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(6) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2019:
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 | ||||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 55 | $ | 0 | $ | 0 | $ | 0 | $ | 55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Swap Agreements | $ | 0 | $ | 15 | $ | 0 | $ | 0 | $ | 0 | $ | 15 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 6 | $ | 0 | $ | 6 | ||||||||||||
Written Options | 0 | 81 | 0 | 0 | 0 | 81 | ||||||||||||||||||
Swap Agreements | 0 | 24 | 0 | 0 | 0 | 24 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 105 | $ | 0 | $ | 6 | $ | 0 | $ | 111 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 120 | $ | 0 | $ | 6 | $ | 0 | $ | 126 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 57 |
Table of Contents
Schedule of InvestmentsPIMCO Active Bond Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Written Options | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 166 | $ | 166 | ||||||||||||
Futures | 0 | 0 | 0 | 0 | 8,028 | 8,028 | ||||||||||||||||||
Swap Agreements | 0 | (251 | ) | 0 | 0 | 119 | (132 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (251 | ) | $ | 0 | $ | 0 | $ | 8,313 | $ | 8,062 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (791 | ) | $ | 0 | $ | (791 | ) | ||||||||||
Written Options | 0 | 28 | 0 | 0 | 0 | 28 | ||||||||||||||||||
Swap Agreements | 0 | 259 | 0 | 0 | 0 | 259 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 287 | $ | 0 | $ | (791 | ) | $ | 0 | $ | (504 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 36 | $ | 0 | $ | (791 | ) | $ | 8,313 | $ | 7,558 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Written Options | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (19 | ) | $ | (19 | ) | ||||||||||
Futures | 0 | 0 | 0 | 0 | (2,802 | ) | (2,802 | ) | ||||||||||||||||
Swap Agreements | 0 | 591 | 0 | 0 | 0 | 591 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 591 | $ | 0 | $ | 0 | $ | (2,821 | ) | $ | (2,230 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 26 | $ | 0 | $ | 26 | ||||||||||||
Written Options | 0 | (39 | ) | 0 | 0 | 0 | (39 | ) | ||||||||||||||||
Swap Agreements | 0 | 9 | 0 | 0 | 0 | 9 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (30 | ) | $ | 0 | $ | 26 | $ | 0 | $ | (4 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 561 | $ | 0 | $ | 26 | $ | (2,821 | ) | $ | (2,234 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 10,241 | $ | 12,438 | $ | 22,679 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 553,314 | 0 | 553,314 | ||||||||||||
Industrials | 0 | 257,125 | 0 | 257,125 | ||||||||||||
Utilities | 0 | 27,510 | 0 | 27,510 | ||||||||||||
Municipal Bonds & Notes | ||||||||||||||||
California | 0 | 5,251 | 0 | 5,251 | ||||||||||||
Florida | 0 | 8,435 | 0 | 8,435 | ||||||||||||
Illinois | 0 | 8,260 | 0 | 8,260 | ||||||||||||
New Jersey | 0 | 8,821 | 0 | 8,821 | ||||||||||||
New York | 0 | 8,411 | 0 | 8,411 | ||||||||||||
Texas | 0 | 6,549 | 0 | 6,549 | ||||||||||||
Virginia | 0 | 5,958 | 0 | 5,958 | ||||||||||||
West Virginia | 0 | 3,681 | 0 | 3,681 | ||||||||||||
U.S. Government Agencies | 0 | 1,281,840 | 0 | 1,281,840 | ||||||||||||
U.S. Treasury Obligations | 0 | 213,324 | 0 | 213,324 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 152,021 | 0 | 152,021 | ||||||||||||
Asset-Backed Securities | 0 | 318,472 | 0 | 318,472 | ||||||||||||
Sovereign Issues | 0 | 19,234 | 0 | 19,234 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 28,281 | 0 | 28,281 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Industrials | $ | 0 | $ | 8,338 | $ | 0 | $ | 8,338 | ||||||||
Short-Term Instruments | ||||||||||||||||
Repurchase Agreements | 0 | 23,897 | 0 | 23,897 | ||||||||||||
U.S. Treasury Bills | 0 | 30 | 0 | 30 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 2,948,993 | $ | 12,438 | $ | 2,961,431 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Over the counter | $ | 0 | $ | 55 | $ | 0 | $ | 55 | ||||||||
�� |
|
|
|
|
|
|
|
| ||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Exchange-traded or centrally cleared | 0 | (15 | ) | 0 | (15 | ) | ||||||||||
Over the counter | 0 | (111 | ) | 0 | (111 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | (126 | ) | $ | 0 | $ | (126 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (71 | ) | $ | 0 | $ | (71 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 0 | $ | 2,948,922 | $ | 12,438 | $ | 2,961,360 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
58 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Low Duration Active Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 117.1% |
| |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS 0.2% |
| |||||||||||
Qatar National Bank SAQ |
| |||||||||||
2.799% (LIBOR03M + 0.900%) due 12/22/2020 «~ | $ | 1,000 | $ | 1,002 | ||||||||
|
| |||||||||||
Total Loan Participations and Assignments (Cost $997) | 1,002 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES 66.8% |
| |||||||||||
BANKING & FINANCE 33.7% |
| |||||||||||
ADCB Finance Cayman Ltd. |
| |||||||||||
2.625% due 03/10/2020 | 2,000 | 2,002 | ||||||||||
AerCap Ireland Capital DAC |
| |||||||||||
3.950% due 02/01/2022 | 250 | 258 | ||||||||||
4.450% due 12/16/2021 | 500 | 521 | ||||||||||
4.625% due 10/30/2020 | 1,800 | 1,836 | ||||||||||
5.000% due 10/01/2021 | 500 | 524 | ||||||||||
Air Lease Corp. |
| |||||||||||
2.500% due 03/01/2021 | 600 | 603 | ||||||||||
2.750% due 01/15/2023 | 1,300 | 1,317 | ||||||||||
3.500% due 01/15/2022 | 1,400 | 1,439 | ||||||||||
4.750% due 03/01/2020 | 500 | 502 | ||||||||||
Aircastle Ltd. |
| |||||||||||
5.125% due 03/15/2021 | 1,000 | 1,033 | ||||||||||
5.500% due 02/15/2022 | 2,200 | 2,340 | ||||||||||
Ally Financial, Inc. |
| |||||||||||
4.125% due 02/13/2022 | 200 | 207 | ||||||||||
4.625% due 05/19/2022 | 300 | 315 | ||||||||||
7.500% due 09/15/2020 | 200 | 208 | ||||||||||
8.000% due 03/15/2020 | 400 | 404 | ||||||||||
American Tower Corp. |
| |||||||||||
2.250% due 01/15/2022 | 600 | 602 | ||||||||||
2.800% due 06/01/2020 | 500 | 502 | ||||||||||
3.300% due 02/15/2021 | 400 | 405 | ||||||||||
3.375% due 05/15/2024 | 1,000 | 1,038 | ||||||||||
3.450% due 09/15/2021 | 400 | 409 | ||||||||||
Aozora Bank Ltd. |
| |||||||||||
2.750% due 03/09/2020 | 800 | 801 | ||||||||||
3.810% due 09/07/2021 | 3,300 | 3,369 | ||||||||||
Assurant, Inc. |
| |||||||||||
3.197% (US0003M + 1.250%) due 03/26/2021 ~ | 67 | 67 | ||||||||||
Athene Global Funding |
| |||||||||||
3.138% (US0003M + 1 .230%) due 07/01/2022 ~ | 2,500 | 2,535 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
2.857% (US0003M + 0.950%) due 06/01/2021 ~ | 350 | 352 | ||||||||||
2.875% due 01/20/2022 | 2,820 | 2,840 | ||||||||||
4.125% due 08/01/2025 | 400 | 418 | ||||||||||
6.750% due 04/06/2021 | 500 | 527 | ||||||||||
7.125% due 10/15/2020 | 750 | 778 | ||||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
5.500% due 01/15/2023 | 600 | 649 | ||||||||||
Axis Bank Ltd. |
| |||||||||||
3.250% due 05/21/2020 | 700 | 702 | ||||||||||
Banco Santander Chile |
| |||||||||||
2.740% (US0003M + 0.800%) | 600 | 600 | ||||||||||
3.114% (US0003M + 1.200%) | 3,000 | 3,037 | ||||||||||
Barclays PLC |
| |||||||||||
4.338% due 05/16/2024 • | 3,800 | 4,006 | ||||||||||
BGC Partners, Inc. |
| |||||||||||
5.125% due 05/27/2021 | 250 | 258 | ||||||||||
BOC Aviation Ltd. |
| |||||||||||
2.375% due 09/15/2021 | 200 | 200 | ||||||||||
2.952% (US0003M + 1.050%) | 500 | 502 | ||||||||||
3.000% due 03/30/2020 | 450 | 451 | ||||||||||
3.000% due 05/23/2022 | 500 | 504 | ||||||||||
3.072% (US0003M + 1.125%) | 1,700 | 1,711 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Cantor Fitzgerald LP |
| |||||||||||
6.500% due 06/17/2022 | $ | 400 | $ | 433 | ||||||||
CIT Group, Inc. |
| |||||||||||
5.000% due 08/15/2022 | 100 | 106 | ||||||||||
Citibank N.A. |
| |||||||||||
2.844% due 05/20/2022 •(d) | 3,000 | 3,037 | ||||||||||
Citigroup, Inc. |
| |||||||||||
2.886% (US0003M + 0.950%) | 200 | 202 | ||||||||||
CK Hutchison International Ltd. |
| |||||||||||
3.250% due 04/11/2024 | 3,100 | 3,182 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||||||
3.800% due 09/15/2022 | 250 | 260 | ||||||||||
Danske Bank A/S |
| |||||||||||
2.947% (US0003M + 1.060%) | 1,400 | 1,397 | ||||||||||
3.001% due 09/20/2022 • | 2,950 | 2,974 | ||||||||||
First Abu Dhabi Bank PJSC |
| |||||||||||
2.250% due 02/11/2020 | 1,000 | 1,000 | ||||||||||
2.951% (US0003M + 0.950%) | 1,800 | 1,811 | ||||||||||
Five Corners Funding Trust |
| |||||||||||
4.419% due 11/15/2023 | 400 | 434 | ||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.881% (US0003M + 0.880%) | 200 | 198 | ||||||||||
4.250% due 09/20/2022 | 1,625 | 1,681 | ||||||||||
5.750% due 02/01/2021 | 500 | 516 | ||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.862% (US0003M + 0.850%) | 1,000 | 1,002 | ||||||||||
3.550% due 07/08/2022 | 1,500 | 1,544 | ||||||||||
3.700% due 11/24/2020 | 1,000 | 1,012 | ||||||||||
Goldman Sachs Group, Inc. |
| |||||||||||
2.707% (US0003M + 0.780%) | 1,100 | 1,108 | ||||||||||
3.000% due 04/26/2022 | 1,000 | 1,013 | ||||||||||
3.046% (US0003M + 1.110%) | 1,000 | 1,010 | ||||||||||
3.601% (US0003M + 1.600%) | 1,000 | 1,006 | ||||||||||
Goodman U.S. Finance Two LLC |
| |||||||||||
6.000% due 03/22/2022 | 2,000 | 2,145 | ||||||||||
Harley-Davidson Financial Services, Inc. |
| |||||||||||
2.400% due 06/15/2020 | 3,500 | 3,500 | ||||||||||
2.847% (US0003M + 0.940%) | 300 | 302 | ||||||||||
3.550% due 05/21/2021 | 230 | 234 | ||||||||||
Hartford Financial Services Group, Inc. |
| |||||||||||
5.500% due 03/30/2020 | 500 | 504 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
2.904% (US0003M + 1.000%) | 500 | 504 | ||||||||||
3.600% due 05/25/2023 | 1,700 | 1,774 | ||||||||||
3.950% due 05/18/2024 • | 2,000 | 2,104 | ||||||||||
Hyundai Capital Services, Inc. |
| |||||||||||
2.875% due 03/16/2021 | 1,000 | 1,005 | ||||||||||
ICICI Bank Ltd. |
| |||||||||||
3.125% due 08/12/2020 | 1,465 | 1,470 | ||||||||||
ING Groep NV |
| |||||||||||
3.111% (US0003M + 1.150%) | 1,500 | 1,521 | ||||||||||
International Lease Finance Corp. |
| |||||||||||
8.250% due 12/15/2020 | 200 | 211 | ||||||||||
8.625% due 01/15/2022 | 500 | 563 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.207% due 04/01/2023 • | 600 | 614 | ||||||||||
LeasePlan Corp. NV |
| |||||||||||
2.875% due 10/24/2024 | 3,500 | 3,499 | ||||||||||
Lloyds Bank PLC |
| |||||||||||
2.250% due 08/14/2022 | 1,000 | 1,005 | ||||||||||
6.500% due 09/14/2020 | 1,175 | 1,207 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
2.858% due 03/17/2023 • | 2,800 | 2,835 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Mitsubishi UFJ Financial Group, Inc. |
| |||||||||||
2.623% due 07/18/2022 | $ | 1,000 | $ | 1,014 | ||||||||
2.665% due 07/25/2022 | 500 | 507 | ||||||||||
2.796% (US0003M + 0.860%) | 2,000 | 2,016 | ||||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. |
| |||||||||||
2.250% due 09/07/2021 | 200 | 200 | ||||||||||
3.406% due 02/28/2022 | 500 | 511 | ||||||||||
Mizuho Financial Group, Inc. |
| |||||||||||
2.601% due 09/11/2022 | 3,000 | 3,039 | ||||||||||
Morgan Stanley |
| |||||||||||
2.750% due 05/19/2022 | 400 | 407 | ||||||||||
Nationwide Building Society |
| |||||||||||
3.622% due 04/26/2023 • | 1,600 | 1,646 | ||||||||||
6.250% due 02/25/2020 | 150 | 151 | ||||||||||
Navient Corp. |
| |||||||||||
5.000% due 10/26/2020 | 800 | 813 | ||||||||||
5.875% due 03/25/2021 | 200 | 207 | ||||||||||
6.500% due 06/15/2022 | 400 | 435 | ||||||||||
6.625% due 07/26/2021 | 1,200 | 1,272 | ||||||||||
7.250% due 01/25/2022 | 500 | 544 | ||||||||||
8.000% due 03/25/2020 | 832 | 842 | ||||||||||
Nissan Motor Acceptance Corp. |
| |||||||||||
2.150% due 09/28/2020 | 1,600 | 1,597 | ||||||||||
2.391% (US0003M + 0.390%) | 700 | 700 | ||||||||||
2.558% (US0003M + 0.630%) | 500 | 501 | ||||||||||
2.651% (US0003M + 0.650%) | 1,680 | 1,677 | ||||||||||
ORIX Corp. |
| |||||||||||
2.650% due 04/13/2021 | 500 | 503 | ||||||||||
2.900% due 07/18/2022 | 500 | 510 | ||||||||||
2.950% due 07/23/2020 | 500 | 502 | ||||||||||
3.200% due 01/19/2022 | 2,000 | 2,038 | ||||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
3.625% due 03/15/2021 | 400 | 406 | ||||||||||
5.250% due 08/15/2022 | 2,800 | 2,991 | ||||||||||
Piper Jaffray Cos. |
| |||||||||||
4.740% due 10/15/2021 | 200 | 200 | ||||||||||
5.200% due 10/15/2023 | 600 | 599 | ||||||||||
QNB Finance Ltd. |
| |||||||||||
2.875% due 04/29/2020 | 273 | 274 | ||||||||||
2.902% (US0003M + 1.000%) | 2,000 | 2,005 | ||||||||||
3.251% (US0003M + 1.350%) | 700 | 701 | ||||||||||
3.351% (US0003M + 1.450%) | 600 | 606 | ||||||||||
Reckson Operating Partnership LP |
| |||||||||||
7.750% due 03/15/2020 | 2,000 | 2,022 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
3.380% (US0003M + 1.470%) | 1,400 | 1,416 | ||||||||||
3.497% (US0003M + 1.550%) | 400 | 406 | ||||||||||
4.519% due 06/25/2024 • | 2,100 | 2,231 | ||||||||||
Santander Holdings USA, Inc. |
| |||||||||||
4.450% due 12/03/2021 | 200 | 208 | ||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
2.875% due 08/05/2021 | 800 | 808 | ||||||||||
Santander UK PLC |
| |||||||||||
3.400% due 06/01/2021 | 1,000 | 1,021 | ||||||||||
SBA Tower Trust |
| |||||||||||
3.156% due 10/10/2045 | 1,600 | 1,603 | ||||||||||
Sinochem Overseas Capital Co. Ltd. |
| |||||||||||
4.500% due 11/12/2020 | 1,000 | 1,018 | ||||||||||
SL Green Operating Partnership LP |
| |||||||||||
2.884% (US0003M + 0.980%) | 200 | 200 | ||||||||||
SMBC Aviation Capital Finance DAC |
| |||||||||||
2.650% due 07/15/2021 | 2,510 | 2,527 | ||||||||||
3.000% due 07/15/2022 | 200 | 204 | ||||||||||
3.550% due 04/15/2024 | 1,500 | 1,558 | ||||||||||
4.125% due 07/15/2023 | 900 | 947 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 59 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Low Duration Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Springleaf Finance Corp. |
| |||||||||||
6.125% due 05/15/2022 | $ | 1,300 | $ | 1,399 | ||||||||
7.750% due 10/01/2021 | 800 | 870 | ||||||||||
8.250% due 12/15/2020 | 1,150 | 1,209 | ||||||||||
Standard Chartered PLC |
| |||||||||||
2.744% due 09/10/2022 • | 3,000 | 3,021 | ||||||||||
Starwood Property Trust, Inc. |
| |||||||||||
3.625% due 02/01/2021 | 1,000 | 1,009 | ||||||||||
State Bank of India |
| |||||||||||
2.816% (US0003M + 0.850%) | 700 | 702 | ||||||||||
2.993% (US0003M + 0.950%) | 1,300 | 1,301 | ||||||||||
Synchrony Financial |
| |||||||||||
2.850% due 07/25/2022 | 1,700 | 1,721 | ||||||||||
UBS Group AG |
| |||||||||||
3.439% due 02/01/2022 • | 1,700 | 1,740 | ||||||||||
|
| |||||||||||
149,250 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 27.0% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
2.300% due 11/21/2022 | 2,000 | 2,011 | ||||||||||
Altria Group, Inc. |
| |||||||||||
3.490% due 02/14/2022 | 1,000 | 1,029 | ||||||||||
Anheuser-Busch North American Holding Corp. |
| |||||||||||
3.750% due 01/15/2022 | 2,500 | 2,570 | ||||||||||
Arrow Electronics, Inc. |
| |||||||||||
3.500% due 04/01/2022 | 900 | 921 | ||||||||||
Bacardi Ltd. |
| |||||||||||
4.500% due 01/15/2021 | 3,000 | 3,064 | ||||||||||
BAT Capital Corp. |
| |||||||||||
2.764% due 08/15/2022 | 2,600 | 2,638 | ||||||||||
Boral Finance Pty. Ltd. |
| |||||||||||
3.000% due 11/01/2022 | 1,400 | 1,406 | ||||||||||
Boston Scientific Corp. |
| |||||||||||
3.450% due 03/01/2024 | 500 | 523 | ||||||||||
Broadcom Corp. |
| |||||||||||
2.375% due 01/15/2020 | 1,200 | 1,200 | ||||||||||
3.000% due 01/15/2022 | 2,200 | 2,232 | ||||||||||
Broadcom, Inc. |
| |||||||||||
4.250% due 04/15/2026 | 600 | 638 | ||||||||||
Central Nippon Expressway Co. Ltd. |
| |||||||||||
2.716% due 03/03/2022 • | 500 | 503 | ||||||||||
2.744% (US0003M + 0.850%) | 500 | 503 | ||||||||||
2.849% due 03/03/2022 | 1,000 | 1,012 | ||||||||||
Charter Communications Operating LLC |
| |||||||||||
3.559% (US0003M + 1.650%) | 1,300 | 1,338 | ||||||||||
3.579% due 07/23/2020 | 500 | 503 | ||||||||||
4.464% due 07/23/2022 | 1,500 | 1,576 | ||||||||||
4.500% due 02/01/2024 | 500 | 538 | ||||||||||
Cigna Corp. |
| |||||||||||
3.750% due 07/15/2023 | 1,000 | 1,049 | ||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.300% due 05/01/2024 | 500 | 538 | ||||||||||
4.600% due 11/01/2025 | 500 | 552 | ||||||||||
Continental Airlines Pass-Through Trust |
| |||||||||||
5.983% due 10/19/2023 | 1,294 | 1,363 | ||||||||||
Cox Communications, Inc. |
| |||||||||||
3.250% due 12/15/2022 | 300 | 309 | ||||||||||
Crown Castle Towers LLC |
| |||||||||||
3.222% due 05/15/2042 | 800 | 809 | ||||||||||
CVS Health Corp. |
| |||||||||||
2.605% (US0003M + 0.720%) | 1,500 | 1,510 | ||||||||||
3.350% due 03/09/2021 | 425 | 432 | ||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.550% due 08/15/2022 | 4,200 | 4,231 | ||||||||||
Dell International LLC |
| |||||||||||
4.420% due 06/15/2021 | 600 | 617 | ||||||||||
4.900% due 10/01/2026 | 1,100 | 1,211 | ||||||||||
5.450% due 06/15/2023 | 500 | 542 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Delta Air Lines, Inc. |
| |||||||||||
3.625% due 03/15/2022 | $ | 900 | $ | 922 | ||||||||
Deutsche Telekom International Finance BV |
| |||||||||||
1.950% due 09/19/2021 | 1,050 | 1,050 | ||||||||||
Dominion Energy Gas Holdings LLC |
| |||||||||||
2.494% (US0003M + 0.600%) | 300 | 301 | ||||||||||
EMC Corp. |
| |||||||||||
2.650% due 06/01/2020 | 1,750 | 1,752 | ||||||||||
Energy Transfer LP |
| |||||||||||
7.500% due 10/15/2020 | 142 | 146 | ||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.250% due 03/15/2023 | 500 | 522 | ||||||||||
EQT Corp. |
| |||||||||||
2.679% (US0003M + 0.770%) | 3,000 | 2,992 | ||||||||||
Equifax, Inc. |
| |||||||||||
2.780% (US0003M + 0.870%) | 800 | 803 | ||||||||||
3.600% due 08/15/2021 | 1,200 | 1,228 | ||||||||||
Fortune Brands Home & Security, Inc. |
| |||||||||||
3.000% due 06/15/2020 | 1,480 | 1,485 | ||||||||||
GATX Corp. |
| |||||||||||
2.611% (US0003M + 0.720%) | 500 | 502 | ||||||||||
General Electric Co. |
| |||||||||||
2.700% due 10/09/2022 | 800 | 811 | ||||||||||
4.375% due 09/16/2020 | 500 | 508 | ||||||||||
General Mills, Inc. |
| |||||||||||
6.610% due 10/15/2022 | 500 | 516 | ||||||||||
Hyundai Capital America |
| |||||||||||
2.600% due 03/19/2020 | 1,000 | 1,001 | ||||||||||
2.967% (US0003M + 0.940%) | 900 | 903 | ||||||||||
3.450% due 03/12/2021 | 1,750 | 1,772 | ||||||||||
Imperial Brands Finance PLC |
| |||||||||||
3.125% due 07/26/2024 | 1,700 | 1,718 | ||||||||||
3.750% due 07/21/2022 | 2,700 | 2,780 | ||||||||||
Kansas City Southern |
| |||||||||||
3.000% due 05/15/2023 | 1,100 | 1,125 | ||||||||||
3.125% due 06/01/2026 | 700 | 715 | ||||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
6.500% due 04/01/2020 | 436 | 441 | ||||||||||
Komatsu Finance America, Inc. |
| |||||||||||
2.118% due 09/11/2020 | 1,520 | 1,517 | ||||||||||
Las Vegas Sands Corp. |
| |||||||||||
2.900% due 06/25/2025 | 500 | 506 | ||||||||||
3.500% due 08/18/2026 | 2,000 | 2,058 | ||||||||||
Latam Airlines Pass-Through Trust |
| |||||||||||
4.200% due 08/15/2029 | 117 | 121 | ||||||||||
Lear Corp. |
| |||||||||||
5.250% due 01/15/2025 | 2,800 | 2,878 | ||||||||||
Mead Johnson Nutrition Co. |
| |||||||||||
3.000% due 11/15/2020 | 103 | 104 | ||||||||||
Micron Technology, Inc. |
| |||||||||||
4.185% due 02/15/2027 | 1,800 | 1,927 | ||||||||||
Mylan NV |
| |||||||||||
3.150% due 06/15/2021 | 3,100 | 3,141 | ||||||||||
3.750% due 12/15/2020 | 100 | 102 | ||||||||||
NXP BV |
| |||||||||||
4.125% due 06/01/2021 | 2,200 | 2,256 | ||||||||||
4.625% due 06/15/2022 | 2,000 | 2,108 | ||||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.360% (US0003M + 1.450%) | 4,600 | 4,625 | ||||||||||
Pacific National Finance Pty. Ltd. |
| |||||||||||
4.625% due 09/23/2020 | 1,411 | 1,433 | ||||||||||
6.000% due 04/07/2023 | 1,000 | 1,095 | ||||||||||
Penske Truck Leasing Co. LP |
| |||||||||||
3.300% due 04/01/2021 | 850 | 863 | ||||||||||
3.450% due 07/01/2024 | 1,000 | 1,039 | ||||||||||
Reynolds American, Inc. |
| |||||||||||
4.000% due 06/12/2022 | 700 | 729 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.625% due 04/15/2020 | $ | 4,265 | $ | 4,317 | ||||||||
Ryder System, Inc. |
| |||||||||||
2.875% due 06/01/2022 | 900 | 914 | ||||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.625% due 02/01/2021 | 1,700 | 1,747 | ||||||||||
6.250% due 03/15/2022 | 500 | 537 | ||||||||||
Shire Acquisitions Investments Ireland DAC |
| |||||||||||
2.875% due 09/23/2023 | 800 | 815 | ||||||||||
Spirit AeroSystems, Inc. |
| |||||||||||
2.694% (US0003M + 0.800%) due 06/15/2021 ~ | 1,276 | 1,273 | ||||||||||
3.950% due 06/15/2023 | 1,600 | 1,650 | ||||||||||
Sprint Spectrum Co. LLC |
| |||||||||||
3.360% due 03/20/2023 | 438 | 442 | ||||||||||
Sydney Airport Finance Co. Pty. Ltd. |
| |||||||||||
5.125% due 02/22/2021 | 1,000 | 1,033 | ||||||||||
Syngenta Finance NV |
| |||||||||||
3.698% due 04/24/2020 | 2,700 | 2,709 | ||||||||||
3.933% due 04/23/2021 | 1,500 | 1,526 | ||||||||||
Takeda Pharmaceutical Co. Ltd. |
| |||||||||||
2.450% due 01/18/2022 | 1,000 | 1,006 | ||||||||||
Teva Pharmaceutical Finance Netherlands BV |
| |||||||||||
2.200% due 07/21/2021 | 519 | 504 | ||||||||||
Time Warner Cable LLC |
| |||||||||||
5.000% due 02/01/2020 | 500 | 501 | ||||||||||
Volkswagen Group of America Finance LLC |
| |||||||||||
4.000% due 11/12/2021 | 1,700 | 1,758 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||||||
3.194% (US0003M + 1.050%) due 09/15/2021 ~ | 1,558 | 1,558 | ||||||||||
4.400% due 03/15/2024 | 2,000 | 2,125 | ||||||||||
WestJet Airlines Ltd. |
| |||||||||||
3.500% due 06/16/2021 | 1,050 | 1,067 | ||||||||||
Woodside Finance Ltd. |
| |||||||||||
3.650% due 03/05/2025 | 100 | 104 | ||||||||||
3.700% due 09/15/2026 | 200 | 208 | ||||||||||
4.600% due 05/10/2021 | 1,800 | 1,843 | ||||||||||
Woolworths Group Ltd. |
| |||||||||||
4.000% due 09/22/2020 | 300 | 304 | ||||||||||
ZF North America Capital, Inc. |
| |||||||||||
4.000% due 04/29/2020 | 3,133 | 3,148 | ||||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.375% due 11/30/2021 | 500 | 510 | ||||||||||
|
| |||||||||||
119,462 | ||||||||||||
|
| |||||||||||
UTILITIES 6.1% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
2.799% (US0003M + 0.890%) due 02/15/2023 ~ | 1,100 | 1,110 | ||||||||||
3.000% due 06/30/2022 | 500 | 511 | ||||||||||
3.067% (US0003M + 1.180%) due 06/12/2024 ~ | 2,000 | 2,036 | ||||||||||
China Shenhua Overseas Capital Co. Ltd. |
| |||||||||||
3.125% due 01/20/2020 | 2,985 | 2,986 | ||||||||||
Chugoku Electric Power Co., Inc. |
| |||||||||||
2.701% due 03/16/2020 | 200 | 200 | ||||||||||
Duke Energy Corp. |
| |||||||||||
2.409% (US0003M + 0.500%) due 05/14/2021 ~ | 600 | 602 | ||||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.900% due 12/01/2021 | 500 | 531 | ||||||||||
6.400% due 09/15/2020 | 200 | 206 | ||||||||||
Edison International |
| |||||||||||
2.125% due 04/15/2020 | 3,300 | 3,302 | ||||||||||
Enel Finance International NV |
| |||||||||||
4.250% due 09/14/2023 | 200 | 212 | ||||||||||
FirstEnergy Corp. |
| |||||||||||
2.850% due 07/15/2022 | 970 | 986 | ||||||||||
Israel Electric Corp. Ltd. |
| |||||||||||
9.375% due 01/28/2020 | 1,500 | 1,509 | ||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
1.950% due 09/01/2022 | 2,000 | 2,007 |
60 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Pennsylvania Electric Co. |
| |||||||||||
5.200% due 04/01/2020 | $ | 1,000 | $ | 1,007 | ||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. |
| |||||||||||
5.298% due 09/30/2020 | 280 | 284 | ||||||||||
Sempra Energy |
| |||||||||||
2.501% (US0003M + 0.500%) due 01/15/2021 ~ | 2,500 | 2,500 | ||||||||||
Sprint Communications, Inc. |
| |||||||||||
6.000% due 11/15/2022 | 400 | 420 | ||||||||||
Sprint Corp. |
| |||||||||||
7.250% due 09/15/2021 | 3,100 | 3,284 | ||||||||||
7.875% due 09/15/2023 | 400 | 442 | ||||||||||
Verizon Communications, Inc. |
| |||||||||||
3.010% (US0003M + 1.100%) due 05/15/2025 ~ | 1,000 | 1,024 | ||||||||||
Vodafone Group PLC |
| |||||||||||
2.991% (US0003M + 0.990%) due 01/16/2024 ~ | 1,400 | 1,418 | ||||||||||
Wisconsin Electric Power Co. |
| |||||||||||
2.050% due 12/15/2024 | 300 | 300 | ||||||||||
|
| |||||||||||
26,877 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 295,589 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 17.9% |
| |||||||||||
Fannie Mae |
| |||||||||||
4.000% due 09/01/2039 - 03/01/2047 | 1,408 | 1,489 | ||||||||||
5.000% due 04/01/2033 - 09/01/2047 | 3,827 | 4,041 | ||||||||||
5.150% due 05/01/2035 | 48 | 49 | ||||||||||
5.350% due 02/01/2035 - 01/01/2038 | 615 | 647 | ||||||||||
5.450% due 04/01/2036 | 137 | 146 | ||||||||||
5.500% due 12/01/2028 - 07/01/2050 | 2,611 | 2,807 | ||||||||||
6.000% due 09/01/2028 - 04/01/2048 | 1,897 | 2,055 | ||||||||||
6.500% due 03/01/2026 - 09/01/2048 | 873 | 954 | ||||||||||
Freddie Mac |
| |||||||||||
2.000% due 02/01/2028 - 04/01/2028 | 10 | 10 | ||||||||||
4.500% due 07/01/2020 - 07/01/2021 | 7 | 7 | ||||||||||
5.000% due 12/01/2020 - 02/01/2038 | 941 | 996 | ||||||||||
5.400% due 09/01/2037 - 11/01/2038 | 561 | 604 | ||||||||||
5.490% due 10/01/2038 | 31 | 33 | ||||||||||
5.500% due 11/01/2021 - 06/01/2047 | 3,308 | 3,521 | ||||||||||
5.550% due 06/01/2037 - 07/01/2037 | 238 | 257 | ||||||||||
5.650% due 01/01/2037 | 42 | 46 | ||||||||||
6.000% due 02/01/2028 - 06/01/2037 | 754 | 803 | ||||||||||
6.500% due 08/01/2022 - 10/17/2038 | 676 | 747 | ||||||||||
7.000% due 05/01/2029 - 10/01/2037 | 101 | 104 | ||||||||||
Ginnie Mae |
| |||||||||||
2.740% due 08/16/2039 • | 8 | 8 | ||||||||||
3.000% due 11/20/2046 | 190 | 196 | ||||||||||
3.500% due 05/20/2042 - 09/20/2044 | 417 | 429 | ||||||||||
3.700% due 04/15/2042 | 210 | 220 | ||||||||||
3.740% due 03/20/2042 - 07/20/2042 | 270 | 278 | ||||||||||
3.750% due 04/15/2042 - 03/20/2044 | 267 | 280 | ||||||||||
4.000% due 04/20/2040 - 06/20/2043 | 2,082 | 2,123 | ||||||||||
4.500% due 08/20/2038 - 11/20/2048 | 2,040 | 2,142 | ||||||||||
5.000% due 02/20/2039 | 12 | 13 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
5.350% due 12/15/2036 - 01/15/2038 | $ | 724 | $ | 776 | ||||||||
5.400% due 12/20/2038 - 06/20/2039 | 314 | 334 | ||||||||||
5.500% due 03/20/2034 - 08/20/2041 | 614 | 645 | ||||||||||
6.000% due 09/20/2038 | 78 | 85 | ||||||||||
6.500% due 09/20/2025 - 07/20/2039 | 114 | 122 | ||||||||||
7.000% due 09/15/2024 - 06/20/2039 | 696 | 741 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
3.500% due 05/01/2049 | 3,349 | 3,442 | ||||||||||
4.250% due 11/01/2035 - 01/01/2036 | 331 | 347 | ||||||||||
4.750% due 09/01/2034 - 04/01/2036 | 755 | 811 | ||||||||||
5.340% due 09/01/2029 | 70 | 76 | ||||||||||
5.500% due 05/01/2021 | 2 | 2 | ||||||||||
6.000% due 06/01/2031 | 3 | 4 | ||||||||||
6.500% due 09/01/2021 - 02/01/2022 | 4 | 4 | ||||||||||
Uniform Mortgage-Backed Security, TBA |
| |||||||||||
3.000% due 02/01/2050 | 22,300 | 22,589 | ||||||||||
4.000% due 02/01/2050 - 03/01/2050 | 23,400 | 24,344 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 79,327 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 12.5% |
| |||||||||||
U.S. Treasury Inflation Protected Securities (a) |
| |||||||||||
0.625% due 04/15/2023 | 6,734 | 6,839 | ||||||||||
0.750% due 07/15/2028 | 5,024 | 5,287 | ||||||||||
U.S. Treasury Notes |
| |||||||||||
1.500% due 08/31/2021 | 15,200 | 15,175 | ||||||||||
1.500% due 10/31/2024 | 23,500 | 23,285 | ||||||||||
1.750% due 07/31/2021 | 4,900 | 4,912 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 55,498 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 8.3% |
| |||||||||||
AREIT Trust |
| |||||||||||
2.760% due 09/14/2036 • | 500 | 500 | ||||||||||
Bancorp Commercial Mortgage Trust |
| |||||||||||
2.740% due 03/15/2036 • | 483 | 484 | ||||||||||
2.815% due 09/15/2036 • | 497 | 498 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
4.544% due 02/25/2033 ~ | 2 | 2 | ||||||||||
Bear StearnsALT-A Trust |
| |||||||||||
1.952% due 02/25/2034 • | 1,485 | 1,439 | ||||||||||
4.413% due 05/25/2035 ~ | 57 | 58 | ||||||||||
Brass PLC |
| |||||||||||
2.806% due 11/16/2066 • | 400 | 400 | ||||||||||
Chase Mortgage Finance Trust |
| |||||||||||
4.255% due 02/25/2037 ~ | 890 | 932 | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates |
| |||||||||||
1.992% due 01/25/2036 • | 92 | 89 | ||||||||||
2.022% due 10/25/2035 • | 420 | 421 | ||||||||||
2.092% due 08/25/2035 • | 48 | 48 | ||||||||||
Citigroup Mortgage Loan Trust |
| |||||||||||
3.228% due 09/25/2059 þ | 196 | 196 | ||||||||||
Countrywide Alternative Loan Trust |
| |||||||||||
1.932% due 06/25/2037 • | 100 | 95 | ||||||||||
Credit Suisse Mortgage Capital Certificates Trust |
| |||||||||||
3.322% due 10/25/2058 ~ | 196 | 197 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
3.318% due 12/25/2059 ~ | 1,500 | 1,501 | ||||||||||
3.319% due 10/27/2059 ~ | 1,991 | 1,992 | ||||||||||
Exantas Capital Corp. Ltd. |
| |||||||||||
2.737% due 04/15/2036 • | 1,100 | 1,101 | ||||||||||
First Horizon Alternative Mortgage Securities Trust |
| |||||||||||
4.165% due 02/25/2035 ~ | 447 | 447 | ||||||||||
GSR Mortgage Loan Trust |
| |||||||||||
3.690% due 08/25/2033 • | 145 | 149 | ||||||||||
4.704% due 09/25/2035 ~ | 14 | 14 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Holmes Master Issuer PLC |
| |||||||||||
2.421% due 10/15/2054 • | $ | 1,474 | $ | 1,474 | ||||||||
Impac CMB Trust |
| |||||||||||
2.432% due 03/25/2035 • | 187 | 184 | ||||||||||
JPMBB Commercial Mortgage Securities Trust |
| |||||||||||
3.379% due 09/15/2050 | 300 | 311 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
3.190% due 12/15/2031 • | 2,000 | 2,000 | ||||||||||
JPMorgan Mortgage Trust |
| |||||||||||
4.492% due 07/25/2035 ~ | 496 | 508 | ||||||||||
Lanark Master Issuer PLC |
| |||||||||||
2.669% due 12/22/2069 • | 2,080 | 2,086 | ||||||||||
Legacy Mortgage Asset Trust |
| |||||||||||
3.000% due 06/25/2059 þ | 2,424 | 2,426 | ||||||||||
MASTR Adjustable Rate Mortgages Trust |
| |||||||||||
4.606% due 04/21/2034 ~ | 37 | 38 | ||||||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||||||
2.252% due 04/25/2029 • | 329 | 323 | ||||||||||
4.120% due 12/25/2035 ~ | 538 | 535 | ||||||||||
MF12019-FL2 Ltd. |
| |||||||||||
2.922% due 12/25/2034 • | 2,000 | 2,005 | ||||||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||||||
2.512% due 11/25/2035 • | 755 | 745 | ||||||||||
New Residential Mortgage Loan Trust |
| |||||||||||
2.750% due 07/25/2059 ~ | 3,898 | 3,901 | ||||||||||
4.500% due 05/25/2058 ~ | 235 | 248 | ||||||||||
Nomura Resecuritization Trust |
| |||||||||||
4.100% due 04/26/2037 ~ | 131 | 133 | ||||||||||
PFP Ltd. |
| |||||||||||
2.710% due 04/14/2036 • | 2,500 | 2,504 | ||||||||||
Sequoia Mortgage Trust |
| |||||||||||
1.965% due 07/20/2036 • | 1,529 | 1,493 | ||||||||||
2.425% due 06/20/2033 • | 3 | 3 | ||||||||||
2.436% due 11/22/2024 • | 3 | 3 | ||||||||||
Silverstone Master Issuer PLC |
| |||||||||||
2.536% due 01/21/2070 • | 183 | 183 | ||||||||||
Structured Asset Mortgage Investments Trust |
| |||||||||||
2.344% due 07/19/2034 • | 7 | 8 | ||||||||||
2.424% due 09/19/2032 • | 15 | 15 | ||||||||||
Thornburg Mortgage Securities Trust |
| |||||||||||
4.459% due 04/25/2045 ~ | 107 | 108 | ||||||||||
VMC Finance LLC |
| |||||||||||
2.657% due 10/15/2035 • | 1,904 | 1,904 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||||||
2.102% due 01/25/2045 • | 21 | 20 | ||||||||||
2.192% due 06/25/2044 • | 891 | 874 | ||||||||||
2.222% due 10/25/2045 • | 165 | 164 | ||||||||||
3.219% due 06/25/2046 • | 46 | 46 | ||||||||||
3.612% due 07/25/2037 ^~ | 629 | 576 | ||||||||||
4.666% due 06/25/2033 ~ | 3 | 3 | ||||||||||
WellsFargo-RBS Commercial Mortgage Trust |
| |||||||||||
3.187% due 06/15/2044 • | 1,287 | 1,297 | ||||||||||
|
| |||||||||||
TotalNon-Agency Mortgage-Backed Securities (Cost $36,548) | 36,681 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 10.0% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust |
| |||||||||||
2.467% due 05/25/2035 • | 201 | 201 | ||||||||||
Apidos CLO |
| |||||||||||
2.946% due 01/19/2025 • | 3 | 3 | ||||||||||
Arbor Realty Commercial Real Estate Notes Ltd. |
| |||||||||||
2.890% due 05/15/2037 • | 300 | 300 | ||||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust |
| |||||||||||
2.602% due 06/25/2034 • | 95 | 94 | ||||||||||
Barings BDC Static CLO Ltd. |
| |||||||||||
3.021% due 04/15/2027 • | 1,438 | 1,438 | ||||||||||
Bayview Opportunity Master Fund Trust |
| |||||||||||
3.967% due 03/28/2034 þ | 238 | 239 | ||||||||||
Bear Stearns Asset-Backed Securities Trust |
| |||||||||||
2.282% due 09/25/2035 • | 1,465 | 1,463 | ||||||||||
2.592% due 10/27/2032 • | 38 | 37 | ||||||||||
2.692% due 08/25/2034 • | 719 | 707 | ||||||||||
Bear Stearns Second Lien Trust |
| |||||||||||
3.142% due 01/25/2036 • | 1,539 | 1,544 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 61 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Low Duration Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
BlueMountain CLO Ltd. |
| |||||||||||
3.331% due 04/13/2027 • | $ | 208 | $ | 208 | ||||||||
Cent CLO Ltd. |
| |||||||||||
3.258% due 10/29/2025 • | 147 | 147 | ||||||||||
Chase Funding Trust |
| |||||||||||
2.392% due 07/25/2033 • | 210 | 206 | ||||||||||
CIFC Funding Ltd. |
| |||||||||||
2.800% due 10/25/2027 • | 300 | 299 | ||||||||||
Countrywide Asset-Backed Certificates |
| |||||||||||
2.242% due 03/25/2036 • | $ | 275 | $ | 266 | ||||||||
Countrywide Asset-Backed Certificates Trust |
| |||||||||||
2.492% due 11/25/2035 • | 962 | 966 | ||||||||||
Crown Point CLO Ltd. |
| |||||||||||
2.942% due 07/17/2028 • | 700 | 697 | ||||||||||
Drug Royalty LP |
| |||||||||||
5.153% due 07/15/2023 • | 9 | 9 | ||||||||||
Dryden Senior Loan Fund |
| |||||||||||
2.886% due 10/15/2027 • | 300 | 300 | ||||||||||
Finance America Mortgage Loan Trust |
| |||||||||||
2.617% due 08/25/2034 • | 181 | 182 | ||||||||||
First Franklin Mortgage Loan Trust |
| |||||||||||
1.952% due 04/25/2036 • | 1,737 | 1,693 | ||||||||||
2.542% due 11/25/2034 • | 242 | 242 | ||||||||||
2.722% due 07/25/2034 • | 897 | 900 | ||||||||||
Greystone Commercial Real Estate Notes Ltd. |
| |||||||||||
3.442% due 09/15/2037 • | 1,000 | 1,002 | ||||||||||
GSAA Home Equity Trust |
| |||||||||||
2.062% due 07/25/2037 • | 517 | 506 | ||||||||||
GSAMP Trust |
| |||||||||||
2.052% due 06/25/2036 • | 1,000 | 975 | ||||||||||
LCM LP |
| |||||||||||
3.006% due 10/20/2027 • | 500 | 498 | ||||||||||
LoanCore Issuer Ltd. |
| |||||||||||
2.870% due 05/15/2036 • | 600 | 600 | ||||||||||
Navient Private Education Loan Trust |
| |||||||||||
2.940% due 12/15/2028 • | 484 | 487 | ||||||||||
New Century Home Equity Loan Trust |
| |||||||||||
2.722% due 11/25/2034 • | 534 | 536 | ||||||||||
NovaStar Mortgage Funding Trust |
| |||||||||||
2.452% due 01/25/2036 • | 1,000 | 999 | ||||||||||
Ocean Trails CLO |
| |||||||||||
3.151% due 07/15/2028 • | 1,500 | 1,500 | ||||||||||
Palmer Square Loan Funding Ltd. |
| |||||||||||
2.936% due 04/20/2027 • | 1,425 | 1,425 | ||||||||||
RAAC Trust |
| |||||||||||
2.342% due 01/25/2046 • | 1,000 | 996 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Residential Asset Securities Corp. Trust |
| |||||||||||
2.662% due 05/25/2035 • | $ | 192 | $ | 192 | ||||||||
2.842% due 06/25/2035 • | 1,528 | 1,532 | ||||||||||
2.887% due 03/25/2035 • | 253 | 251 | ||||||||||
Saxon Asset Securities Trust |
| |||||||||||
2.512% due 05/25/2035 • | 195 | 189 | ||||||||||
Securitized Asset-Backed Receivables LLC Trust |
| |||||||||||
2.467% due 01/25/2035 • | 265 | 262 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
2.690% due 04/25/2023 • | 460 | 452 | ||||||||||
3.440% due 04/25/2023 • | 281 | 282 | ||||||||||
3.640% due 07/25/2023 • | 242 | 244 | ||||||||||
SMB Private Education Loan Trust |
| |||||||||||
2.980% due 07/15/2027 | 1,068 | 1,074 | ||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
3.020% due 02/25/2040 | 214 | 217 | ||||||||||
Soundview Home Loan Trust |
| |||||||||||
2.467% due 06/25/2035 • | 961 | 960 | ||||||||||
SpringCastle Funding Asset-Backed Notes |
| |||||||||||
3.200% due 05/27/2036 | 592 | 594 | ||||||||||
Starwood Waypoint Homes Trust |
| |||||||||||
2.690% due 01/17/2035 • | 939 | 938 | ||||||||||
Structured Asset Investment Loan Trust |
| |||||||||||
2.342% due 09/25/2034 • | 1,980 | 1,949 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust |
| |||||||||||
1.927% due 07/25/2036 • | 1,406 | 1,382 | ||||||||||
Towd Point Mortgage Trust |
| |||||||||||
2.392% due 02/25/2057 • | 463 | 463 | ||||||||||
2.792% due 10/25/2059 • | 1,904 | 1,911 | ||||||||||
3.000% due 11/25/2058 ~ | 1,025 | 1,032 | ||||||||||
3.000% due 11/25/2059 ~ | 2,538 | 2,546 | ||||||||||
Tralee CLO Ltd. |
| |||||||||||
3.076% due 10/20/2028 • | 1,000 | 995 | ||||||||||
Venture CLO Ltd. |
| |||||||||||
2.992% due 04/20/2029 • | 2,100 | 2,098 | ||||||||||
Vericrest Opportunity Loan Transferee LLC |
| |||||||||||
3.125% due 09/25/2047 þ | 736 | 739 | ||||||||||
WhiteHorse Ltd. |
| |||||||||||
2.932% due 04/17/2027 • | 769 | 769 | ||||||||||
3.162% due 07/17/2026 • | 194 | 194 | ||||||||||
Zais CLO Ltd. |
| |||||||||||
3.151% due 04/15/2028 • | 1,500 | 1,500 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 44,430 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SOVEREIGN ISSUES 0.4% |
| |||||||||||
Export-Import Bank of India |
| |||||||||||
2.750% due 04/01/2020 | $ | 800 | $ | 801 | ||||||||
2.895% (US0003M + 1.000%) due 08/21/2022 ~ | 1,000 | 1,000 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $1,796) | 1,801 | |||||||||||
|
| |||||||||||
SHARES | ||||||||||||
PREFERRED SECURITIES 0.2% |
| |||||||||||
BANKING & FINANCE 0.2% |
| |||||||||||
JPMorgan Chase & Co. |
| |||||||||||
5.406% (US0003M + 3.470%) due 01/30/2020 ~(b) | 761,000 | 769 | ||||||||||
|
| |||||||||||
Total Preferred Securities (Cost $760) | 769 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | ||||||||||||
SHORT-TERM INSTRUMENTS 0.8% |
| |||||||||||
COMMERCIAL PAPER 0.5% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.350% due 01/21/2020 | $ | 2,200 | 2,197 | |||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS (c) 0.3% |
| |||||||||||
1,274 | ||||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $3,471) | 3,471 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $514,717) | 518,568 | |||||||||||
Total Investments 117.1% (Cost $514,717) |
| $ | 518,568 | |||||||||
Financial Derivative (Cost or Premiums, net $(1,935)) | (240 | ) | ||||||||||
Other Assets and Liabilities, net (17.0)% | (75,392 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 442,936 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
^ | Security is in default. |
« | Security valued using significant unobservable inputs (Level 3). |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
þ | Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end. |
(a) | Principal amount of security is adjusted for inflation. |
(b) | Perpetual maturity; date shown, if applicable, represents next contractual call date. |
62 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.250 | % | 12/31/2019 | 01/02/2020 | $ | 1,274 | U.S. Treasury Notes 2.750% due 09/15/2021 | $ | (1,305 | ) | $ | 1,274 | $ | 1,274 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (1,305 | ) | $ | 1,274 | $ | 1,274 | ||||||||||||||||||||||
|
|
|
|
|
|
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||
RDR | 2.000 | % | 12/16/2019 | 01/16/2020 | $ | (2,883 | ) | $ | (2,886 | ) | ||||||||||
|
| |||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (2,886 | ) | ||||||||||||||||
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Securities Out on Loan | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(3) | |||||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||||||
FICC | $ | 1,274 | $ | 0 | $ | 0 | $ | 0 | $ | 1,274 | $ | (1,305 | ) | $ | (31 | ) | ||||||||||||
RDR | 0 | (2,886 | ) | 0 | 0 | (2,886 | ) | 3,037 | 151 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 1,274 | $ | (2,886 | ) | $ | 0 | $ | 0 | |||||||||||||||||||
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
Corporate Bonds & Notes | $ | 0 | $ | (2,886 | ) | $ | 0 | $ | 0 | $ | (2,886 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (2,886 | ) | $ | 0 | $ | 0 | $ | (2,886 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Payable for reverse repurchase agreements |
| $ | (2,886 | ) | ||||||||||||||||
|
|
(d) | Securities with an aggregate market value of $3,037 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(18,162) at a weighted average interest rate of 2.112%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 63 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Low Duration Active Exchange-Traded Fund(Cont.)
(e) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED
PURCHASED OPTIONS:
OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS
Description | Strike Price | Expiration Date | # of Contracts | Notional Amount | Cost | Market Value | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | $ | 104.500 | 02/21/2020 | 5 | $ | 10 | $ | 0 | $ | 0 | ||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 104.625 | 02/21/2020 | 19 | 38 | 0 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 104.750 | 02/21/2020 | 14 | 28 | 0 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 104.875 | 02/21/2020 | 125 | 250 | 1 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 105.000 | 02/21/2020 | 10 | 20 | 0 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 105.500 | 02/21/2020 | 20 | 40 | 0 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 105.625 | 02/21/2020 | 9 | 18 | 0 | 0 | ||||||||||||||||||
Put - CBOT U.S. Treasury2-Year Note March 2020 Futures | 105.750 | 02/21/2020 | 36 | 72 | 1 | 0 | ||||||||||||||||||
Call - CBOT U.S. Treasury5-Year Note March 2020 Futures | 128.000 | 02/21/2020 | 323 | 323 | 3 | 1 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Purchased Options |
| $ | 5 | $ | 1 | |||||||||||||||||||
|
|
|
|
FUTURES CONTRACTS:
LONG FUTURES CONTRACTS
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
U.S. Treasury2-Year Note March Futures | 03/2020 | 1,413 | $ | 304,502 | $ | (151 | ) | $ | 66 | $ | 0 | |||||||||||||||||
|
|
|
|
|
|
SHORT FUTURES CONTRACTS
Description | Expiration Month | # of Contracts | Notional Amount | Unrealized Appreciation/ (Depreciation) | Variation Margin | |||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||
U.S. Treasury5-Year Note March Futures | 03/2020 | 273 | $ | (32,380 | ) | $ | 112 | $ | 6 | $ | 0 | |||||||||||||||||
U.S. Treasury10-Year Note March Futures | 03/2020 | 4 | (514 | ) | 4 | 1 | 0 | |||||||||||||||||||||
U.S. Treasury10-Year Ultra March Futures | 03/2020 | 122 | (17,166 | ) | 219 | 21 | 0 | |||||||||||||||||||||
U.S. Treasury Ultra Long-Term Bond March Futures | 03/2020 | 33 | (5,995 | ) | 169 | 38 | 0 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 504 | $ | 66 | $ | 0 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Futures Contracts |
| $ | 353 | $ | 132 | $ | 0 | |||||||||||||||||||||
|
|
|
|
|
|
SWAP AGREEMENTS:
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION(1)
Index/Tranches | Fixed (Pay) Rate | Payment Frequency | Maturity Date | Notional Amount(2) | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value(3) | Variation Margin | ||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
CDX.HY-335-Year Index | (5.000 | )% | Quarterly | 12/20/2024 | $ | 12,276 | $ | (843 | ) | $ | (362 | ) | $ | (1,205 | ) | $ | 4 | $ | 0 | |||||||||||||||||
CDX.IG-325-Year Index | (1.000 | ) | Quarterly | 06/20/2024 | 23,300 | (438 | ) | (178 | ) | (616 | ) | 2 | 0 | |||||||||||||||||||||||
CDX.IG-335-Year Index | (1.000 | ) | Quarterly | 12/20/2024 | 3,000 | (80 | ) | 1 | (79 | ) | 1 | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| �� |
|
| ||||||||||||||||||||||||||
$ | (1,361 | ) | $ | (539 | ) | $ | (1,900 | ) | $ | 7 | $ | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAPS
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Market Value | Variation Margin | |||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 3.000 | % | Semi-Annual | 06/19/2026 | $ | 14,200 | $ | (509 | ) | $ | (553 | ) | $ | (1,062 | ) | $ | 25 | $ | 0 | ||||||||||||||||
Receive(4) | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 01/06/2030 | 3,400 | (18 | ) | 108 | 90 | 11 | 0 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (527 | ) | $ | (445 | ) | $ | (972 | ) | $ | 36 | $ | 0 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Swap Agreements |
| $ | (1,888 | ) | $ | (984 | ) | $ | (2,872 | ) | $ | 43 | $ | 0 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
64 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY
The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||
Market Value | Variation Margin Asset | Total | Market Value | Variation Margin Liability | Total | |||||||||||||||||||||||||||||||
Purchased Options | Futures | Swap Agreements | Written Options | Futures | Swap Agreements | |||||||||||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared | $ | 1 | $ | 132 | $ | 43 | $ | 176 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash of $1,840 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2019. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information.
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(3) | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
(4) | This instrument has a forward starting effective date. See Note 2, Securities Transactions and Investment Income, in the Notes to Financial Statements for further information. |
(f) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement Month | Currency to be Delivered | Currency to be Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BOA | 01/2020 | AUD | 3,703 | $ | 2,514 | $ | 0 | $ | (85 | ) | ||||||||||||||
01/2020 | $ | 1,043 | JPY | 113,900 | 6 | 0 | ||||||||||||||||||
BPS | 01/2020 | EUR | 509 | $ | 562 | 0 | (9 | ) | ||||||||||||||||
01/2020 | $ | 1,566 | EUR | 1,400 | 5 | 0 | ||||||||||||||||||
BRC | 01/2020 | 2,852 | 2,569 | 31 | 0 | |||||||||||||||||||
CBK | 01/2020 | 7,786 | JPY | 845,300 | 0 | (5 | ) | |||||||||||||||||
MYI | 01/2020 | EUR | 15,484 | $ | 17,121 | 0 | (255 | ) | ||||||||||||||||
SSB | 01/2020 | $ | 80 | JPY | 8,691 | 0 | 0 | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 42 | $ | (354 | ) | ||||||||||||||||||
|
|
|
|
WRITTEN OPTIONS:
CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES
Counterparty | Description | Buy/Sell Protection | Exercise Rate | Expiration Date | Notional Amount(1) | Premiums (Received) | Market Value | |||||||||||||||
BOA | Call - OTCCDX.IG-335-Year Index | Buy | 0.475 | % | 01/15/2020 | 20,300 | $ | (12 | ) | $ | (26 | ) | ||||||||||
Call - OTCCDX.IG-335-Year Index | Buy | 0.475 | 02/19/2020 | 6,900 | (3 | ) | (11 | ) | ||||||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 0.725 | 02/19/2020 | 6,900 | (5 | ) | (1 | ) | ||||||||||||||
BPS | Call - OTCCDX.IG-335-Year Index | Buy | 0.475 | 02/19/2020 | 7,500 | (4 | ) | (12 | ) | |||||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 0.800 | 02/19/2020 | 7,500 | (4 | ) | (1 | ) | ||||||||||||||
CBK | Put - OTCCDX.IG-335-Year Index | Sell | 0.900 | 01/15/2020 | 5,600 | (7 | ) | 0 | ||||||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 1.000 | 01/15/2020 | 2,100 | (2 | ) | 0 | |||||||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 1.200 | 01/15/2020 | 6,800 | (4 | ) | 0 | |||||||||||||||
DUB | Call - OTCCDX.IG-335-Year Index | Buy | 0.475 | 01/15/2020 | 11,900 | (5 | ) | (15 | ) | |||||||||||||
FBF | Call - OTCCDX.IG-335-Year Index | Buy | 0.450 | 01/15/2020 | 20,200 | (4 | ) | (11 | ) | |||||||||||||
Put - OTCCDX.IG-335-Year Index | Sell | 0.900 | 01/15/2020 | 1,400 | (2 | ) | 0 | |||||||||||||||
|
|
|
| |||||||||||||||||||
Total Written Options | $ | (52 | ) | $ | (77 | ) | ||||||||||||||||
|
|
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 65 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Low Duration Active Exchange-Traded Fund(Cont.)
SWAP AGREEMENTS:
TOTAL RETURN SWAPS ON SECURITIES
Counterparty | Pay/Receive(2) | Underlying Reference | # of Shares | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/(Received) | Unrealized Appreciation/ (Depreciation) | Swap Agreements, at Value | ||||||||||||||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||||||||||||||||||||
BPS | Receive | U.S. Treasury Inflation Protected Securities | N/A | 2.220 | % | Maturity | 01/02/2020 | $ | 3,500 | $ | 0 | $ | 3 | $ | 3 | $ | 0 | |||||||||||||||||||||||||
Receive | U.S. Treasury Inflation Protected Securities | N/A | 2.200 | Maturity | 01/22/2020 | 4,500 | 0 | (21 | ) | 0 | (21 | ) | ||||||||||||||||||||||||||||||
Receive | U.S. Treasury Inflation Protected Securities | N/A | 2.250 | Maturity | 01/27/2020 | 9,090 | 0 | (5 | ) | 9 | (14 | ) | ||||||||||||||||||||||||||||||
Receive | U.S. Treasury Inflation Protected Securities | N/A | 2.090 | Maturity | 02/10/2020 | 3,200 | 0 | (4 | ) | 0 | (4 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total Swap Agreements |
| $ | 0 | $ | (27 | ) | $ | 12 | $ | (39 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received) as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral (Received) | Net Exposure(3) | |||||||||||||||||||||||||||||||||||||
BOA | $ | 6 | $ | 0 | $ | 0 | $ | 6 | $ | (85 | ) | $ | (38 | ) | $ | 0 | $ | (123 | ) | $ | (117 | ) | $ | 0 | $ | (117 | ) | |||||||||||||||||||||
BPS | 5 | 0 | 12 | 17 | (9 | ) | (13 | ) | (39 | ) | (61 | ) | (44 | ) | 0 | (44 | ) | |||||||||||||||||||||||||||||||
BRC | 31 | 0 | 0 | 31 | 0 | 0 | 0 | 0 | 31 | 0 | 31 | |||||||||||||||||||||||||||||||||||||
CBK | 0 | 0 | 0 | 0 | (5 | ) | 0 | 0 | (5 | ) | (5 | ) | 0 | (5 | ) | |||||||||||||||||||||||||||||||||
DUB | 0 | 0 | 0 | 0 | 0 | (15 | ) | 0 | (15 | ) | (15 | ) | (20 | ) | (35 | ) | ||||||||||||||||||||||||||||||||
FBF | 0 | 0 | 0 | 0 | 0 | (11 | ) | 0 | (11 | ) | (11 | ) | 0 | (11 | ) | |||||||||||||||||||||||||||||||||
MYI | 0 | 0 | 0 | 0 | (255 | ) | 0 | 0 | (255 | ) | (255 | ) | 0 | (255 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 42 | $ | 0 | $ | 12 | $ | 54 | $ | (354 | ) | $ | (77 | ) | $ | (39 | ) | $ | (470 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Notional Amount represents the number of contracts. |
(2) | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
(3) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 1 | $ | 1 | ||||||||||||
Futures | 0 | 0 | 0 | 0 | 132 | 132 | ||||||||||||||||||
Swap Agreements | 0 | 7 | 0 | 0 | 36 | 43 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 7 | $ | 0 | $ | 0 | $ | 169 | $ | 176 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 42 | $ | 0 | $ | 42 | ||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 12 | 12 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 0 | $ | 0 | $ | 42 | $ | 12 | $ | 54 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 7 | $ | 0 | $ | 42 | $ | 181 | $ | 230 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
66 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 354 | $ | 0 | $ | 354 | ||||||||||||
Written Options | 0 | 77 | 0 | 0 | 0 | 77 | ||||||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 39 | 39 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 77 | $ | 0 | $ | 354 | $ | 39 | $ | 470 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Realized Gain (Loss) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared | ||||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (7 | ) | $ | (7 | ) | ||||||||||
Futures | 0 | 0 | 0 | 0 | (1,549 | ) | (1,549 | ) | ||||||||||||||||
Swap Agreements | 0 | (801 | ) | 0 | 0 | (1,892 | ) | (2,693 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (801 | ) | $ | 0 | $ | 0 | $ | (3,448 | ) | $ | (4,249 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter |
| |||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 324 | $ | 0 | $ | 324 | ||||||||||||
Written Options | 0 | 70 | 0 | 0 | 483 | 553 | ||||||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | 589 | 589 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | 70 | $ | 0 | $ | 324 | $ | 1,072 | $ | 1,466 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (731 | ) | $ | 0 | $ | 324 | $ | (2,376 | ) | $ | (2,783 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Exchange-traded or centrally cleared |
| |||||||||||||||||||||||
Purchased Options | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (4 | ) | $ | (4 | ) | ||||||||||
Futures | 0 | 0 | 0 | 0 | 821 | 821 | ||||||||||||||||||
Swap Agreements | 0 | (77 | ) | 0 | 0 | 1,820 | 1,743 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (77 | ) | $ | 0 | $ | 0 | $ | 2,637 | $ | 2,560 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (5 | ) | $ | 0 | $ | (5 | ) | ||||||||||
Written Options | 0 | (52 | ) | 0 | 0 | (37 | ) | (89 | ) | |||||||||||||||
Swap Agreements | 0 | 0 | 0 | 0 | (568 | ) | (568 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (52 | ) | $ | 0 | $ | (5 | ) | $ | (605 | ) | $ | (662 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
$ | 0 | $ | (129 | ) | $ | 0 | $ | (5 | ) | $ | 2,032 | $ | 1,898 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Loan Participations and Assignments | $ | 0 | $ | 0 | $ | 1,002 | $ | 1,002 | ||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | 0 | 149,250 | 0 | 149,250 | ||||||||||||
Industrials | 0 | 119,462 | 0 | 119,462 | ||||||||||||
Utilities | 0 | 26,877 | 0 | 26,877 | ||||||||||||
U.S. Government Agencies | 0 | 79,327 | 0 | 79,327 | ||||||||||||
U.S. Treasury Obligations | 0 | 55,498 | 0 | 55,498 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 36,681 | 0 | 36,681 | ||||||||||||
Asset-Backed Securities | 0 | 44,430 | 0 | 44,430 | ||||||||||||
Sovereign Issues | 0 | 1,801 | 0 | 1,801 | ||||||||||||
Preferred Securities | ||||||||||||||||
Banking & Finance | 0 | 769 | 0 | 769 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Commercial Paper | 0 | 2,197 | 0 | 2,197 | ||||||||||||
Repurchase Agreements | 0 | 1,274 | 0 | 1,274 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 517,566 | $ | 1,002 | $ | 518,568 | ||||||||
|
|
|
|
|
|
|
|
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Financial Derivative Instruments - Assets |
| |||||||||||||||
Exchange-traded or centrally cleared | $ | 132 | $ | 44 | $ | 0 | $ | 176 | ||||||||
Over the counter | 0 | 54 | 0 | 54 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 132 | $ | 98 | $ | 0 | $ | 230 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Over the counter | $ | 0 | $ | (470 | ) | $ | 0 | $ | (470 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 132 | $ | (372 | ) | $ | 0 | $ | (240 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 132 | $ | 517,194 | $ | 1,002 | $ | 518,328 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 67 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 108.5% |
| |||||||||||
CORPORATE BONDS & NOTES 61.5% |
| |||||||||||
BANKING & FINANCE 41.6% |
| |||||||||||
Aircastle Ltd. |
| |||||||||||
5.125% due 03/15/2021 | $ | 250 | $ | 258 | ||||||||
Ally Financial, Inc. |
| |||||||||||
4.125% due 03/30/2020 | 100 | 100 | ||||||||||
7.500% due 09/15/2020 | 200 | 208 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
2.606% (US0003M + 0.670%) due 07/30/2021 ~ | 247 | 247 | ||||||||||
Barclays PLC |
| |||||||||||
3.250% due 01/12/2021 | 500 | 505 | ||||||||||
Canadian Imperial Bank of Commerce |
| |||||||||||
2.341% (SOFRRATE + 0.800%) due 03/17/2023 ~ | 500 | 502 | ||||||||||
Credit Agricole Corporate & Investment Bank S.A. |
| |||||||||||
2.533% due 10/03/2021 • | 500 | 501 | ||||||||||
DBS Group Holdings Ltd. |
| |||||||||||
2.560% (US0003M + 0.620%) due 07/25/2022 ~ | 500 | 502 | ||||||||||
Goodman U.S. Finance Two LLC |
| |||||||||||
6.000% due 03/22/2022 | 500 | 536 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
2.504% (US0003M + 0.600%) due 05/18/2021 ~ | 500 | 501 | ||||||||||
NTT Finance Corp. |
| |||||||||||
1.900% due 07/21/2021 | 500 | 499 | ||||||||||
ORIX Corp. |
| |||||||||||
2.950% due 07/23/2020 | 200 | 201 | ||||||||||
PNC Bank N.A. |
| |||||||||||
2.403% (US0003M + 0.450%) due 07/22/2022 ~ | 500 | 501 | ||||||||||
Skandinaviska Enskilda Banken AB |
| |||||||||||
2.532% (US0003M + 0.645%) due 12/12/2022 ~ | 500 | 502 | ||||||||||
Sumitomo Mitsui Banking Corp. |
| |||||||||||
2.450% due 10/20/2020 | 500 | 502 | ||||||||||
UBS Group AG |
| |||||||||||
3.766% due 04/14/2021 • | 500 | 510 | ||||||||||
WEA Finance LLC |
| |||||||||||
3.250% due 10/05/2020 | 500 | 504 | ||||||||||
|
| |||||||||||
7,079 | ||||||||||||
|
|
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INDUSTRIALS 18.1% |
| |||||||||||
BMW U.S. Capital LLC |
| |||||||||||
2.531% (US0003M + 0.530%) due 04/14/2022 ~ | $ | 500 | $ | 501 | ||||||||
Delta Air Lines, Inc. |
| |||||||||||
2.600% due 12/04/2020 | 500 | 502 | ||||||||||
Komatsu Finance America, Inc. |
| |||||||||||
2.118% due 09/11/2020 | 400 | 399 | ||||||||||
Reckitt Benckiser Treasury Services PLC |
| |||||||||||
2.495% (US0003M + 0.560%) due 06/24/2022 ~ | 200 | 200 | ||||||||||
RELX Capital, Inc. |
| |||||||||||
3.125% due 10/15/2022 | 400 | 412 | ||||||||||
Syngenta Finance NV |
| |||||||||||
3.698% due 04/24/2020 | 400 | 401 | ||||||||||
Telefonica Emisiones S.A. |
| |||||||||||
5.462% due 02/16/2021 | 151 | 157 | ||||||||||
Woodside Finance Ltd. |
| |||||||||||
4.600% due 05/10/2021 | 500 | 512 | ||||||||||
|
| |||||||||||
3,084 | ||||||||||||
|
| |||||||||||
UTILITIES 1.8% |
| |||||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
6.400% due 09/15/2020 | 301 | 310 | ||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes (Cost $10,466) | 10,473 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES 16.6% |
| |||||||||||
Fannie Mae |
| |||||||||||
2.242% due 03/25/2049 | 989 | 984 | ||||||||||
2.292% due 05/25/2046 • | 476 | 476 | ||||||||||
Freddie Mac |
| |||||||||||
2.190% due 09/25/2049 | 989 | 984 | ||||||||||
Ginnie Mae |
| |||||||||||
2.215% due 02/20/2049 • | 381 | 381 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies (Cost $2,818) | 2,825 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 10.3% |
| |||||||||||
Golden Credit Card Trust |
| |||||||||||
2.090% due 10/15/2023 • | 500 | 500 | ||||||||||
Navient Private Education Refi Loan Trust |
| |||||||||||
2.390% due 05/15/2068 | 196 | 196 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SoFi Consumer Loan Program Trust |
| |||||||||||
3.540% due 11/26/2027 | $ | 458 | $ | 462 | ||||||||
3.670% due 08/25/2027 | 100 | 101 | ||||||||||
Tesla Auto Lease Trust |
| |||||||||||
2.130% due 04/20/2022 | 500 | 500 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities (Cost $1,757) | 1,759 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 20.1% |
| |||||||||||
COMMERCIAL PAPER 2.9% |
| |||||||||||
DXC Capital Funding Ltd. |
| |||||||||||
2.330% due 02/28/2020 | 500 | 498 | ||||||||||
|
| |||||||||||
JAPAN TREASURY BILLS 3.7% |
| |||||||||||
(0.159)% due 01/20/2020 (b)(c) | JPY | 68,000 | 626 | |||||||||
|
| |||||||||||
MEXICO TREASURY BILLS 4.1% |
| |||||||||||
7.236% due 01/16/2020 - 02/06/2020 (b)(c) | MXN | 13,200 | 695 | |||||||||
|
| |||||||||||
U.S. TREASURY BILLS 9.4% |
| |||||||||||
1.550% due 04/02/2020 (a)(b)(c) | $ | 1,600 | 1,594 | |||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $3,401) | 3,413 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $18,442) | 18,470 | |||||||||||
Total Investments 108.5% (Cost $18,442) |
| $ | 18,470 | |||||||||
Financial Derivative (Cost or Premiums, net $0) |
| (13 | ) | |||||||||
Other Assets and Liabilities, net (8.4)% | (1,440 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 17,017 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
(a) | When-issued security. |
(b) | Coupon represents a weighted average yield to maturity. |
(c) | Zero coupon security. |
The average amount of borrowings outstanding during the period ended December 31, 2019 was $(43) at a weighted average interest rate of 2.125%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.
68 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
(d) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER
FORWARD FOREIGN CURRENCY CONTRACTS:
Counterparty | Settlement | Currency to | Currency to | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Asset | Liability | |||||||||||||||||||||||
BPS | 01/2020 | JPY | 46,000 | $ | 421 | $ | 0 | $ | (3 | ) | ||||||||||||||
CBK | 01/2020 | 22,000 | 201 | 0 | (1 | ) | ||||||||||||||||||
01/2020 | MXN | 7,400 | 388 | 0 | (3 | ) | ||||||||||||||||||
02/2020 | 5,800 | 300 | 0 | (6 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Foreign Currency Contracts |
| $ | 0 | $ | (13 | ) | ||||||||||||||||||
|
|
|
|
FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY
The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral pledged/(received) as of December 31, 2019:
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | Purchased Options | Swap Agreements | Total Over the Counter | Forward Foreign Currency Contracts | Written Options | Swap Agreements | Total Over the Counter | Net Market Value of OTC Derivatives | Collateral Pledged/ (Received) | Net Exposure(1) | |||||||||||||||||||||||||||||||||||||
BPS | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (3 | ) | $ | 0 | $ | 0 | $ | (3 | ) | $ | (3 | ) | $ | 0 | $ | (3 | ) | ||||||||||||||||||||||
CBK | 0 | 0 | 0 | 0 | (10 | ) | 0 | 0 | (10 | ) | (10 | ) | 0 | (10 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
Total Over the Counter | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | (13 | ) | $ | 0 | $ | 0 | $ | (13 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS
The following is a summary of the fair valuation of the Fund’s derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund.
Fair Values of Financial Derivative Instruments on the Statements of Assets and Liabilities as of December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Financial Derivative Instruments - Liabilities | ||||||||||||||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | 13 | $ | 0 | $ | 13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The effect of Financial Derivative Instruments on the Statements of Operations for the period ended December 31, 2019:
Derivatives not accounted for as hedging instruments | ||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Exchange Contracts | Interest Rate Contracts | Total | |||||||||||||||||||
Net Change in Unrealized (Depreciation) on Financial Derivative Instruments |
| |||||||||||||||||||||||
Over the counter | ||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 0 | $ | 0 | $ | 0 | $ | (13 | ) | $ | 0 | $ | (13 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Banking & Finance | $ | 0 | $ | 7,079 | $ | 0 | $ | 7,079 | ||||||||
Industrials | 0 | 3,084 | 0 | 3,084 | ||||||||||||
Utilities | 0 | 310 | 0 | 310 | ||||||||||||
U.S. Government Agencies | 0 | 2,825 | 0 | 2,825 | ||||||||||||
Asset-Backed Securities | 0 | 1,759 | 0 | 1,759 | ||||||||||||
Short-Term Instruments | ||||||||||||||||
Commercial Paper | 0 | 498 | 0 | 498 | ||||||||||||
Japan Treasury Bills | 0 | 626 | 0 | 626 | ||||||||||||
Mexico Treasury Bills | 0 | 695 | 0 | 695 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
U.S. Treasury Bills | $ | 0 | $ | 1,594 | $ | 0 | $ | 1,594 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 18,470 | $ | 0 | $ | 18,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Derivative Instruments - Liabilities |
| |||||||||||||||
Over the counter | $ | 0 | $ | (13 | ) | $ | 0 | $ | (13 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial Derivative Instruments | $ | 0 | $ | (13 | ) | $ | 0 | $ | (13 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 0 | $ | 18,457 | $ | 0 | $ | 18,457 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 69 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active Exchange-Traded Fund
(Amounts in thousands*, except number of shares, contracts and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 101.5% |
| |||||||||||
CORPORATE BONDS & NOTES 59.7% |
| |||||||||||
BANKING & FINANCE 35.9% |
| |||||||||||
ABN AMRO Bank NV |
| |||||||||||
2.376% (US0003M + 0.410%) due 01/19/2021 ~ | $ | 5,420 | $ | 5,432 | ||||||||
2.489% (US0003M + 0.570%) due 08/27/2021 ~ | 29,650 | 29,778 | ||||||||||
ADCB Finance Cayman Ltd. |
| |||||||||||
2.625% due 03/10/2020 | 5,240 | 5,246 | ||||||||||
AerCap Ireland Capital DAC |
| |||||||||||
4.250% due 07/01/2020 | 30,925 | 31,239 | ||||||||||
4.500% due 05/15/2021 | 19,446 | 20,072 | ||||||||||
4.625% due 10/30/2020 | 56,951 | 58,095 | ||||||||||
AIA Group Ltd. |
| |||||||||||
2.428% (US0003M + 0.520%) due 09/20/2021 ~ | 40,835 | 40,870 | ||||||||||
AIG Global Funding |
| |||||||||||
2.389% (US0003M + 0.480%) due 07/02/2020 ~ | 6,208 | 6,220 | ||||||||||
2.407% (US0003M + 0.460%) due 06/25/2021 ~ | 8,900 | 8,936 | ||||||||||
Air Lease Corp. |
| |||||||||||
2.125% due 01/15/2020 | 51,818 | 51,815 | ||||||||||
3.375% due 06/01/2021 | 1,700 | 1,729 | ||||||||||
4.750% due 03/01/2020 | 24,036 | 24,133 | ||||||||||
Aircastle Ltd. |
| |||||||||||
5.125% due 03/15/2021 | 7,206 | 7,445 | ||||||||||
7.625% due 04/15/2020 | 15,017 | 15,240 | ||||||||||
Ally Financial, Inc. |
| |||||||||||
4.125% due 03/30/2020 | 2,100 | 2,110 | ||||||||||
American Express Co. |
| |||||||||||
2.266% (US0003M + 0.330%) due 10/30/2020 ~ | 5,500 | 5,508 | ||||||||||
2.519% (US0003M + 0.620%) due 05/20/2022 ~ | 37,000 | 37,249 | ||||||||||
2.519% (US0003M + 0.610%) due 08/01/2022 ~ | 14,200 | 14,281 | ||||||||||
American Honda Finance Corp. |
| |||||||||||
2.181% (US0003M + 0.290%) due 12/10/2021 ~ | 33,000 | 33,016 | ||||||||||
2.360% (US0003M + 0.450%) due 02/15/2022 ~ | 29,600 | 29,705 | ||||||||||
2.487% (US0003M + 0.540%) due 06/27/2022 ~ | 53,300 | 53,594 | ||||||||||
American Tower Corp. |
| |||||||||||
2.800% due 06/01/2020 | 16,555 | 16,604 | ||||||||||
Aozora Bank Ltd. |
| |||||||||||
2.750% due 03/09/2020 | 2,800 | 2,802 | ||||||||||
Athene Global Funding |
| |||||||||||
2.750% due 04/20/2020 | 3,904 | 3,912 | ||||||||||
3.106% (US0003M + 1.140%) due 04/20/2020 ~ | 42,885 | 43,005 | ||||||||||
3.138% (US0003M + 1.230%) due 07/01/2022 ~ | 35,659 | 36,151 | ||||||||||
AvalonBay Communities, Inc. |
| |||||||||||
2.431% (US0003M + 0.430%) due 01/15/2021 ~ | 7,575 | 7,574 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
2.606% (US0003M + 0.670%) due 07/30/2021 ~ | 13,655 | 13,658 | ||||||||||
2.857% (US0003M + 0.950%) due 06/01/2021 ~ | 34,025 | 34,180 | ||||||||||
6.750% due 04/06/2021 | 5,930 | 6,249 | ||||||||||
7.125% due 10/15/2020 | 11,236 | 11,661 | ||||||||||
Axis Bank Ltd. |
| |||||||||||
3.250% due 05/21/2020 | 10,854 | 10,879 | ||||||||||
Banco Santander Chile |
| |||||||||||
2.500% due 12/15/2020 | 4,143 | 4,147 | ||||||||||
Bank of America Corp. |
| |||||||||||
2.559% (US0003M + 0.650%) due 10/01/2021 ~ | 32,300 | 32,396 | ||||||||||
Barclays Bank PLC |
| |||||||||||
2.444% (US0003M + 0.460%) due 01/11/2021 ~ | 2,275 | 2,278 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.544% (US0003M + 0.650%) due 08/07/2020 ~ | $ | 1,308 | $ | 1,311 | ||||||||
2.650% due 01/11/2021 | 3,100 | 3,120 | ||||||||||
Barclays PLC |
| |||||||||||
2.875% due 06/08/2020 | 5,804 | 5,820 | ||||||||||
3.200% due 08/10/2021 | 2,905 | 2,947 | ||||||||||
3.284% (US0003M + 1.380%) due 05/16/2024 ~ | 19,000 | 19,227 | ||||||||||
4.011% (US0003M + 2.110%) due 08/10/2021 ~ | 8,141 | 8,336 | ||||||||||
BNZ International Funding Ltd. |
| |||||||||||
2.400% due 02/21/2020 | 2,500 | 2,501 | ||||||||||
2.595% (US0003M + 0.700%) due 02/21/2020 ~ | 20,650 | 20,670 | ||||||||||
2.874% (US0003M + 0.980%) due 09/14/2021 ~ | 13,000 | 13,147 | ||||||||||
BOC Aviation Ltd. |
| |||||||||||
2.952% (US0003M + 1.050%) due 05/02/2021 ~ | 15,215 | 15,285 | ||||||||||
3.000% due 03/30/2020 | 17,683 | 17,704 | ||||||||||
Canadian Imperial Bank of Commerce |
| |||||||||||
2.341% (SOFRRATE + 0.800%) due 03/17/2023 ~ | 54,700 | 54,904 | ||||||||||
Caterpillar Financial Services Corp. |
| |||||||||||
2.165% (US0003M + 0.280%) due 09/07/2021 ~ | 14,000 | 14,007 | ||||||||||
2.185% (US0003M + 0.300%) due 03/08/2021 ~ | 10,000 | 10,016 | ||||||||||
2.420% (US0003M + 0.510%) due 05/15/2023 ~ | 8,400 | 8,426 | ||||||||||
Citibank N.A. |
| |||||||||||
2.499% (US0003M + 0.600%) due 05/20/2022 ~ | 94,300 | 94,683 | ||||||||||
Citigroup, Inc. |
| |||||||||||
2.425% (SOFRRATE + 0.870%) due 11/04/2022 ~ | 1,500 | 1,508 | ||||||||||
2.930% (US0003M + 1.023%) due 06/01/2024 ~ | 37,800 | 38,261 | ||||||||||
2.955% (US0003M + 1.070%) due 12/08/2021 ~ | 13,000 | 13,177 | ||||||||||
3.092% (US0003M + 1.190%) due 08/02/2021 ~ | 8,200 | 8,313 | ||||||||||
Cooperatieve Rabobank UA |
| |||||||||||
2.840% (US0003M + 0.830%) due 01/10/2022 ~ | 45,000 | 45,480 | ||||||||||
Credit Suisse AG |
| |||||||||||
2.100% due 11/12/2021 | 26,000 | 26,122 | ||||||||||
Credit Suisse Group AG |
| |||||||||||
3.127% (US0003M + 1.240%) due 06/12/2024 ~ | 5,000 | 5,062 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||||||
3.125% due 12/10/2020 | 6,700 | 6,761 | ||||||||||
3.450% due 04/16/2021 | 7,000 | 7,120 | ||||||||||
4.293% (US0003M + 2.290%) due 04/16/2021 ~ | 11,900 | 12,202 | ||||||||||
Danske Bank A/S |
| |||||||||||
2.000% due 09/08/2021 | 11,453 | 11,405 | ||||||||||
2.200% due 03/02/2020 | 18,980 | 18,980 | ||||||||||
2.417% (US0003M + 0.510%) due 03/02/2020 ~ | 76,840 | 76,866 | ||||||||||
2.750% due 09/17/2020 | 21,158 | 21,224 | ||||||||||
2.800% due 03/10/2021 | 3,475 | 3,500 | ||||||||||
3.001% due 09/20/2022 • | 1,500 | 1,512 | ||||||||||
DBS Group Holdings Ltd. |
| |||||||||||
2.560% (US0003M + 0.620%) due 07/25/2022 ~ | 58,530 | 58,822 | ||||||||||
Delphi Financial Group, Inc. |
| |||||||||||
7.875% due 01/31/2020 | 3,805 | 3,821 | ||||||||||
Dexia Credit Local S.A. |
| |||||||||||
2.248% (US0003M + 0.320%) due 09/29/2020 ~ | 35,000 | 35,067 | ||||||||||
DNB Bank ASA |
| |||||||||||
2.279% (US0003M + 0.370%) due 10/02/2020 ~ | 11,000 | 11,020 | ||||||||||
2.527% (US0003M + 0.620%) due 12/02/2022 ~ | 58,500 | 58,810 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.977% (US0003M + 1.070%) due 06/02/2021 ~ | $ | 11,600 | $ | 11,741 | ||||||||
Emirates NBD Bank PJSC |
| |||||||||||
2.701% (US0003M + 0.800%) due 02/12/2020 ~ | 3,100 | 3,103 | ||||||||||
3.486% (US0003M + 1.550%) due 01/26/2020 ~ | 11,525 | 11,554 | ||||||||||
First Abu Dhabi Bank PJSC |
| |||||||||||
2.250% due 02/11/2020 | 1,540 | 1,540 | ||||||||||
2.951% (US0003M + 0.950%) due 04/16/2022 ~ | 4,500 | 4,528 | ||||||||||
First Gulf Bank PJSC |
| |||||||||||
2.625% due 02/24/2020 | 4,950 | 4,955 | ||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.332% (US0003M + 0.430%) due 11/02/2020 ~ | 3,500 | 3,481 | ||||||||||
2.865% (US0003M + 0.930%) due 09/24/2020 ~ | 58,100 | 58,189 | ||||||||||
3.012% (US0003M + 1.000%) due 01/09/2020 ~ | 26,675 | 26,679 | ||||||||||
4.593% (US0003M + 2.550%) due 01/07/2021 ~ | 13,600 | 13,797 | ||||||||||
8.125% due 01/15/2020 | 6,510 | 6,522 | ||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
2.448% (US0003M + 0.540%) due 11/06/2020 ~ | 5,608 | 5,599 | ||||||||||
2.450% due 11/06/2020 | 10,026 | 10,051 | ||||||||||
2.862% (US0003M + 0.850%) due 04/09/2021 ~ | 26,023 | 26,080 | ||||||||||
3.008% (US0003M + 1.100%) due 11/06/2021 ~ | 36,422 | 36,534 | ||||||||||
3.536% (US0003M + 1.550%) due 01/14/2022 ~ | 3,700 | 3,738 | ||||||||||
3.700% due 11/24/2020 | 1,057 | 1,070 | ||||||||||
Goldman Sachs Bank USA |
| |||||||||||
2.150% due 05/24/2021 • | 28,200 | 28,215 | ||||||||||
Goldman Sachs Group, Inc. |
| |||||||||||
2.707% (US0003M + 0.780%) due 10/31/2022 ~ | 1,538 | 1,549 | ||||||||||
3.046% (US0003M + 1.110%) due 04/26/2022 ~ | 30,550 | 30,862 | ||||||||||
3.080% (US0003M + 1.170%) due 11/15/2021 ~ | 52,932 | 53,352 | ||||||||||
3.300% (US0003M + 1.360%) due 04/23/2021 ~ | 19,400 | 19,660 | ||||||||||
5.375% due 03/15/2020 | 1,300 | 1,309 | ||||||||||
Harley-Davidson Financial Services, Inc. |
| |||||||||||
2.150% due 02/26/2020 | 9,585 | 9,585 | ||||||||||
2.395% (US0003M + 0.500%) due 05/21/2020 ~ | 18,246 | 18,267 | ||||||||||
2.400% due 06/15/2020 | 21,800 | 21,803 | ||||||||||
2.847% (US0003M + 0.940%) due 03/02/2021 ~ | 37,600 | 37,828 | ||||||||||
3.550% due 05/21/2021 | 4,200 | 4,278 | ||||||||||
Hitachi Capital UK PLC |
| |||||||||||
2.589% (US0003M + 0.690%) due 11/20/2020 ~ | 4,200 | 4,205 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
2.504% (US0003M + 0.600%) due 05/18/2021 ~ | 27,930 | 27,960 | ||||||||||
2.537% (US0003M + 0.650%) due 09/11/2021 ~ | 73,217 | 73,385 | ||||||||||
2.904% (US0003M + 1.000%) due 05/18/2024 ~ | 6,000 | 6,052 | ||||||||||
3.543% (US0003M + 1.500%) due 01/05/2022 ~ | 68,373 | 69,747 | ||||||||||
HSBC USA, Inc. |
| |||||||||||
2.750% due 08/07/2020 | 1,500 | 1,507 | ||||||||||
HSH Portfoliomanagement AoeR |
| |||||||||||
2.229% (US0003M + 0.330%) due 09/18/2020 ~ | 1,000 | 1,002 | ||||||||||
2.233% (US0003M + 0.330%) due 11/19/2021 ~ | 10,000 | 10,053 | ||||||||||
Hyundai Capital Services, Inc. |
| |||||||||||
2.625% due 09/29/2020 | 26,328 | 26,376 | ||||||||||
3.000% due 03/06/2022 | 299 | 302 | ||||||||||
ICICI Bank Ltd. |
| |||||||||||
3.125% due 08/12/2020 | 4,130 | 4,145 |
70 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.500% due 03/18/2020 | $ | 8,430 | $ | 8,447 | ||||||||
5.750% due 11/16/2020 | 3,344 | 3,434 | ||||||||||
ING Bank NV |
| |||||||||||
2.874% (US0003M + 0.970%) due 08/17/2020 ~ | 2,000 | 2,011 | ||||||||||
ING Groep NV |
| |||||||||||
3.111% (US0003M + 1.150%) due 03/29/2022 ~ | 21,700 | 22,003 | ||||||||||
International Lease Finance Corp. |
| |||||||||||
4.625% due 04/15/2021 | 14,166 | 14,609 | ||||||||||
8.250% due 12/15/2020 | 11,424 | 12,079 | ||||||||||
Jackson National Life Global Funding |
| |||||||||||
2.236% (US0003M + 0.300%) due 04/27/2020 ~ | 19,400 | 19,415 | ||||||||||
2.301% (US0003M + 0.300%) due 10/15/2020 ~ | 17,400 | 17,425 | ||||||||||
2.368% (US0003M + 0.480%) due 06/11/2021 ~ | 1,700 | 1,707 | ||||||||||
2.677% (US0003M + 0.730%) due 06/27/2022 ~ | 25,750 | 26,034 | ||||||||||
John Deere Capital Corp. |
| |||||||||||
2.377% (US0003M + 0.490%) due 06/13/2022 ~ | 27,000 | 27,126 | ||||||||||
2.435% (US0003M + 0.550%) due 06/07/2023 ~ | 18,000 | 18,071 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.435% (US0003M + 0.550%) due 03/09/2021 ~ | 39,141 | 39,155 | ||||||||||
2.509% (US0003M + 0.610%) due 06/18/2022 ~ | 67,000 | 67,279 | ||||||||||
3.387% (US0003M + 1.480%) due 03/01/2021 ~ | 12,595 | 12,765 | ||||||||||
JPMorgan Chase Bank N.A. |
| |||||||||||
2.199% (US0003M + 0.290%) due 02/01/2021 ~ | 27,885 | 27,891 | ||||||||||
2.273% (US0003M + 0.370%) due 02/19/2021 ~ | 2,300 | 2,301 | ||||||||||
2.276% (US0003M + 0.340%) due 04/26/2021 ~ | 17,305 | 17,315 | ||||||||||
KEB Hana Bank |
| |||||||||||
2.645% (US0003M + 0.700%) due 10/02/2022 ~ | 21,130 | 21,217 | ||||||||||
2.768% (US0003M + 0.725%) due 04/05/2020 ~ | 35,000 | 35,031 | ||||||||||
2.769% (US0003M + 0.875%) due 09/14/2022 ~ | 6,800 | 6,859 | ||||||||||
Lloyds Bank PLC |
| |||||||||||
2.384% (US0003M + 0.490%) due 05/07/2021 ~ | 46,400 | 46,562 | ||||||||||
Lloyds Banking Group PLC |
| |||||||||||
2.728% (US0003M + 0.800%) due 06/21/2021 ~ | 8,800 | 8,851 | ||||||||||
Macquarie Bank Ltd. |
| |||||||||||
3.048% (US0003M + 1.120%) due 07/29/2020 ~ | 51,650 | 51,953 | ||||||||||
MassMutual Global Funding |
| |||||||||||
2.025% (US0003M + 0.125%) due 03/04/2021 ~ | 3,700 | 3,696 | ||||||||||
Metropolitan Life Global Funding |
| |||||||||||
2.040% (SOFRRATE + 0.500%) due 05/28/2021 ~ | 58,100 | 58,227 | ||||||||||
2.110% due 09/07/2020 • | 40,000 | 40,081 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. |
| |||||||||||
2.585% (US0003M + 0.700%) due 03/07/2022 ~ | 13,600 | 13,660 | ||||||||||
2.647% (US0003M + 0.740%) due 03/02/2023 ~ | 16,000 | 16,051 | ||||||||||
2.730% (US0003M + 0.790%) due 07/25/2022 ~ | 50,336 | 50,668 | ||||||||||
2.819% (US0003M + 0.920%) due 02/22/2022 ~ | 33,789 | 34,093 | ||||||||||
2.947% (US0003M + 1.060%) due 09/13/2021 ~ | 42,556 | 43,027 | ||||||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. |
| |||||||||||
2.500% due 03/09/2020 | 31,800 | 31,837 | ||||||||||
2.750% due 10/21/2020 | 14,278 | 14,347 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Mizuho Financial Group, Inc. |
| |||||||||||
2.737% (US0003M + 0.850%) due 09/13/2023 ~ | $ | 26,520 | $ | 26,635 | ||||||||
2.768% (US0003M + 0.880%) due 09/11/2022 ~ | 47,100 | 47,512 | ||||||||||
2.841% (US0003M + 0.840%) due 07/16/2023 ~ | 39,623 | 39,800 | ||||||||||
2.854% (US0003M + 0.940%) due 02/28/2022 ~ | 24,990 | 25,213 | ||||||||||
Morgan Stanley |
| |||||||||||
2.372% (SOFRRATE + 0.830%) due 06/10/2022 ~ | 1,000 | 1,006 | ||||||||||
2.883% (US0003M + 0.930%) due 07/22/2022 ~ | 62,460 | 63,064 | ||||||||||
3.146% (US0003M + 1.180%) due 01/20/2022 ~ | 74,309 | 74,998 | ||||||||||
MUFG Union Bank N.A. |
| |||||||||||
2.252% (SOFRRATE + 0.710%) due 12/09/2022 ~ | 21,050 | 21,108 | ||||||||||
Nationwide Building Society |
| |||||||||||
2.350% due 01/21/2020 (d) | 1,481 | 1,481 | ||||||||||
6.250% due 02/25/2020 | 5,583 | 5,617 | ||||||||||
NatWest Markets PLC |
| |||||||||||
3.361% (US0003M + 1.400%) due 09/29/2022 ~ | 56,900 | 57,749 | ||||||||||
Natwest Markets PLC |
| |||||||||||
5.625% due 08/24/2020 | 3,171 | 3,242 | ||||||||||
New York Life Global Funding |
| |||||||||||
2.233% (US0003M + 0.280%) due 01/21/2022 ~ | 34,000 | 34,082 | ||||||||||
2.441% (US0003M + 0.440%) due 07/12/2022 ~ | 30,000 | 30,127 | ||||||||||
Nissan Motor Acceptance Corp. |
| |||||||||||
2.150% due 09/28/2020 | 17,660 | 17,627 | ||||||||||
2.351% (US0003M + 0.390%) due 09/28/2020 ~ | 11,446 | 11,451 | ||||||||||
2.351% due 09/28/2020 • | 3,200 | 3,201 | ||||||||||
2.391% (US0003M + 0.390%) due 07/13/2020 ~ | 8,000 | 8,004 | ||||||||||
2.414% (US0003M + 0.520%) due 03/15/2021 ~ | 7,200 | 7,203 | ||||||||||
2.558% (US0003M + 0.630%) due 09/21/2021 ~ | 25,337 | 25,361 | ||||||||||
2.651% (US0003M + 0.650%) due 07/13/2022 ~ | 9,550 | 9,531 | ||||||||||
2.651% due 09/28/2022 • | 9,850 | 9,832 | ||||||||||
2.891% (US0003M + 0.890%) due 01/13/2022 ~ | 43,745 | 43,972 | ||||||||||
Nordea Bank Abp |
| |||||||||||
2.384% (US0003M + 0.470%) due 05/29/2020 ~ | 9,000 | 9,016 | ||||||||||
NRW Bank |
| |||||||||||
2.029% (US0003M + 0.120%) due 02/01/2022 ~ | 27,000 | 27,133 | ||||||||||
NTT Finance Corp. |
| |||||||||||
2.491% (US0003M + 0.530%) due 06/29/2020 ~ | 107,066 | 107,212 | ||||||||||
PNC Bank N.A. |
| |||||||||||
2.403% (US0003M + 0.450%) due 07/22/2022 ~ | 111,900 | 112,127 | ||||||||||
Protective Life Global Funding |
| |||||||||||
2.481% (US0003M + 0.520%) due 06/28/2021 ~ | 10,000 | 10,048 | ||||||||||
Qatari Diar Finance QSC |
| |||||||||||
5.000% due 07/21/2020 | 15,425 | 15,684 | ||||||||||
QNB Finance Ltd. |
| |||||||||||
2.875% due 04/29/2020 | 9,650 | 9,671 | ||||||||||
3.207% (US0003M + 1.320%) due 12/06/2021 ~(f) | 8,400 | 8,478 | ||||||||||
3.244% (US0003M + 1.350%) due 02/07/2020 ~ | 11,400 | 11,414 | ||||||||||
3.251% (US0003M + 1.350%) due 02/12/2020 ~ | 61,100 | 61,216 | ||||||||||
3.264% (US0003M + 1.350%) due 05/31/2021 ~ | 55,657 | 56,060 | ||||||||||
3.573% (US0003M + 1.570%) due 07/18/2021 ~ | 11,400 | 11,515 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Reckson Operating Partnership LP |
| |||||||||||
7.750% due 03/15/2020 | $ | 33,067 | $ | 33,433 | ||||||||
Reliance Standard Life Global Funding |
| |||||||||||
2.500% due 01/15/2020 | 5,000 | 5,000 | ||||||||||
Royal Bank of Canada |
| |||||||||||
2.398% (US0003M + 0.470%) due 04/29/2022 ~ | 34,000 | 34,179 | ||||||||||
Royal Bank of Scotland Group PLC |
| |||||||||||
3.380% (US0003M + 1.470%) due 05/15/2023 ~ | 52,482 | 53,084 | ||||||||||
Santander Holdings USA, Inc. |
| |||||||||||
2.650% due 04/17/2020 | 46,037 | 46,091 | ||||||||||
Santander UK Group Holdings PLC |
| |||||||||||
2.875% due 10/16/2020 | 12,095 | 12,163 | ||||||||||
Santander UK PLC |
| |||||||||||
2.125% due 11/03/2020 | 1,010 | 1,011 | ||||||||||
2.202% (US0003M + 0.300%) due 11/03/2020 ~ | 500 | 500 | ||||||||||
2.527% (US0003M + 0.620%) due 06/01/2021 ~ | 38,418 | 38,560 | ||||||||||
2.570% (US0003M + 0.660%) due 11/15/2021 ~ | 33,942 | 34,118 | ||||||||||
SBA Tower Trust |
| |||||||||||
2.877% due 07/15/2046 | 6,000 | 6,026 | ||||||||||
Skandinaviska Enskilda Banken AB |
| |||||||||||
2.334% (US0003M + 0.430%) due 05/17/2021 ~ | 15,000 | 15,039 | ||||||||||
2.532% (US0003M + 0.645%) due 12/12/2022 ~ | 65,700 | 65,906 | ||||||||||
SL Green Operating Partnership LP |
| |||||||||||
2.884% (US0003M + 0.980%) due 08/16/2021 ~ | 13,800 | 13,803 | ||||||||||
Standard Chartered PLC |
| |||||||||||
2.744% due 09/10/2022 • | 4,500 | 4,531 | ||||||||||
3.050% due 01/15/2021 | 2,920 | 2,945 | ||||||||||
3.091% (US0003M + 1.200%) due 09/10/2022 ~ | 31,300 | 31,562 | ||||||||||
State Bank of India |
| |||||||||||
2.993% (US0003M + 0.950%) due 04/06/2020 ~ | 57,109 | 57,160 | ||||||||||
SumitG Guaranteed Secured Obligation Issuer DAC |
| |||||||||||
2.251% due 11/02/2020 | 3,500 | 3,506 | ||||||||||
Sumitomo Mitsui Banking Corp. |
| |||||||||||
2.371% (US0003M + 0.370%) due 10/16/2020 ~ | 56,400 | 56,485 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||||||
2.743% (US0003M + 0.740%) due 10/18/2022 ~ | 4,500 | 4,520 | ||||||||||
2.781% (US0003M + 0.780%) due 07/12/2022 ~ | 40,065 | 40,311 | ||||||||||
2.954% (US0003M + 0.970%) due 01/11/2022 ~ | 12,000 | 12,119 | ||||||||||
3.111% (US0003M + 1.110%) due 07/14/2021 ~ | 14,389 | 14,562 | ||||||||||
3.565% (US0003M + 1.680%) due 03/09/2021 ~ | 6,000 | 6,100 | ||||||||||
Svenska Handelsbanken AB |
| |||||||||||
2.380% (US0003M + 0.470%) due 05/24/2021 ~ | 9,700 | 9,733 | ||||||||||
Synchrony Bank |
| |||||||||||
2.586% (US0003M + 0.625%) due 03/30/2020 ~ | 31,575 | 31,601 | ||||||||||
Synchrony Financial |
| |||||||||||
2.700% due 02/03/2020 | 13,195 | 13,200 | ||||||||||
3.132% (US0003M + 1.230%) due 02/03/2020 ~ | 3,100 | 3,103 | ||||||||||
Toronto-Dominion Bank |
| |||||||||||
2.170% (US0003M + 0.270%) due 03/17/2021 ~ | 28,000 | 28,030 | ||||||||||
Toyota Motor Credit Corp. |
| |||||||||||
2.304% due 05/17/2022 • | 13,250 | 13,293 | ||||||||||
UBS AG |
| |||||||||||
2.387% (US0003M + 0.480%) due 12/01/2020 ~ | 15,881 | 15,923 | ||||||||||
UBS Group AG |
| |||||||||||
2.860% (US0003M + 0.950%) due 08/15/2023 ~ | 37,500 | 37,758 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 71 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
3.439% due 02/01/2022 • | $ | 1,340 | $ | 1,372 | ||||||||
3.766% due 04/14/2021 • | 31,190 | 31,783 | ||||||||||
United Overseas Bank Ltd. |
| |||||||||||
2.414% (US0003M + 0.480%) due 04/23/2021 ~ | 13,000 | 13,044 | ||||||||||
Wells Fargo & Co. |
| |||||||||||
2.831% (US0003M + 0.930%) due 02/11/2022 ~ | 21,102 | 21,250 | ||||||||||
3.046% (US0003M + 1.110%) due 01/24/2023 ~ | 18,200 | 18,445 | ||||||||||
Wells Fargo Bank N.A. |
| |||||||||||
2.539% (US0003M + 0.620%) due 05/27/2022 ~ | 60,600 | 60,873 | ||||||||||
2.545% (US0003M + 0.660%) due 09/09/2022 ~ | 64,415 | 64,779 | ||||||||||
|
| |||||||||||
4,924,467 | ||||||||||||
|
| |||||||||||
INDUSTRIALS 19.9% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
2.355% (US0003M + 0.460%) due 11/19/2021 ~ | 33,600 | 33,675 | ||||||||||
2.545% (US0003M + 0.650%) due 11/21/2022 ~ | 33,800 | 33,981 | ||||||||||
Allergan Funding SCS |
| |||||||||||
3.000% due 03/12/2020 | 51,237 | 51,276 | ||||||||||
3.142% (US0003M + 1.255%) due 03/12/2020 ~ | 76,731 | 76,880 | ||||||||||
Altria Group, Inc. |
| |||||||||||
2.625% due 01/14/2020 | 5,000 | 5,001 | ||||||||||
Amgen, Inc. |
| |||||||||||
2.351% (US0003M + 0.450%) due 05/11/2020 ~ | 21,408 | 21,437 | ||||||||||
Apple, Inc. |
| |||||||||||
2.251% (US0003M + 0.350%) due 05/11/2022 ~ | 100 | 101 | ||||||||||
AutoNation, Inc. |
| |||||||||||
5.500% due 02/01/2020 | 2,853 | 2,860 | ||||||||||
BAT Capital Corp. |
| |||||||||||
2.499% due 08/14/2020 • | 88,376 | 88,540 | ||||||||||
2.790% (US0003M + 0.880%) due 08/15/2022 ~ | 46,600 | 46,850 | ||||||||||
Bayer U.S. Finance LLC |
| |||||||||||
2.577% (US0003M + 0.630%) due 06/25/2021 ~ | 39,197 | 39,331 | ||||||||||
3.000% due 10/08/2021 | 5,100 | 5,165 | ||||||||||
3.500% due 06/25/2021 | 27,300 | 27,798 | ||||||||||
Becton Dickinson and Co. |
| |||||||||||
2.404% due 06/05/2020 | 12,700 | 12,714 | ||||||||||
BMW Finance NV |
| |||||||||||
2.691% (US0003M + 0.790%) due 08/12/2022 ~ | 32,000 | 32,246 | ||||||||||
BMW U.S. Capital LLC |
| |||||||||||
2.411% (US0003M + 0.410%) due 04/12/2021 ~ | 26,799 | 26,849 | ||||||||||
2.423% (US0003M + 0.380%) due 04/06/2020 ~ | 4,040 | 4,043 | ||||||||||
2.531% (US0003M + 0.530%) due 04/14/2022 ~ | 12,000 | 12,030 | ||||||||||
2.683% (US0003M + 0.640%) due 04/06/2022 ~ | 18,334 | 18,423 | ||||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
2.284% (US0003M + 0.380%) due 05/16/2022 ~ | 56,600 | 56,801 | ||||||||||
Broadcom Corp. |
| |||||||||||
2.375% due 01/15/2020 | 191,432 | 191,442 | ||||||||||
Campbell Soup Co. |
| |||||||||||
2.394% (US0003M + 0.500%) due 03/16/2020 ~ | 1,600 | 1,601 | ||||||||||
Central Nippon Expressway Co. Ltd. |
| |||||||||||
2.370% (US0003M + 0.460%) due 02/15/2022 ~ | 19,800 | 19,786 | ||||||||||
2.381% due 09/17/2020 | 5,500 | 5,505 | ||||||||||
2.431% (US0003M + 0.540%) due 08/04/2020 ~ | 34,400 | 34,446 | ||||||||||
2.451% (US0003M + 0.560%) due 11/02/2021 ~ | 21,250 | 21,281 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.716% due 03/03/2022 • | $ | 70,960 | $ | 71,415 | ||||||||
2.744% (US0003M + 0.850%) due 09/14/2021 ~ | 22,050 | 22,192 | ||||||||||
2.874% (US0003M + 0.970%) due 02/16/2021 ~ | 1,000 | 1,006 | ||||||||||
2.914% (US0003M + 1.000%) due 05/28/2021 ~ | 31,000 | 31,246 | ||||||||||
3.004% (US0003M + 1.070%) due 04/23/2021 ~ | 7,570 | 7,633 | ||||||||||
Charter Communications Operating LLC |
| |||||||||||
3.579% due 07/23/2020 | 101,228 | 101,881 | ||||||||||
Cigna Corp. |
| |||||||||||
2.550% (US0003M + 0.650%) due 09/17/2021 ~ | 51,000 | 51,003 | ||||||||||
3.200% due 09/17/2020 | 2,871 | 2,894 | ||||||||||
Conagra Brands, Inc. |
| |||||||||||
2.512% (US0003M + 0.500%) due 10/09/2020 ~ | 31,376 | 31,427 | ||||||||||
2.703% (US0003M + 0.750%) due 10/22/2020 ~ | 5,678 | 5,679 | ||||||||||
3.800% due 10/22/2021 | 8,780 | 9,060 | ||||||||||
Constellation Brands, Inc. |
| |||||||||||
2.610% (US0003M + 0.700%) due 11/15/2021 ~ | 40,415 | 40,422 | ||||||||||
CVS Health Corp. |
| |||||||||||
2.515% (US0003M + 0.630%) due 03/09/2020 ~ | 1,652 | 1,653 | ||||||||||
2.605% (US0003M + 0.720%) due 03/09/2021 ~ | 8,700 | 8,755 | ||||||||||
D.R. Horton, Inc. |
| |||||||||||
4.000% due 02/15/2020 | 12,076 | 12,103 | ||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.250% due 03/02/2020 | 2,685 | 2,686 | ||||||||||
2.331% (US0003M + 0.430%) due 02/12/2021 ~ | 10,775 | 10,784 | ||||||||||
2.452% (US0003M + 0.550%) due 05/04/2021 ~ | 43,938 | 44,006 | ||||||||||
2.561% (US0003M + 0.670%) due 11/05/2021 ~ | 47,000 | 47,213 | ||||||||||
2.742% (US0003M + 0.840%) due 05/04/2023 ~ | 3,200 | 3,215 | ||||||||||
2.779% (US0003M + 0.880%) due 02/22/2022 ~ | 39,900 | 40,212 | ||||||||||
2.810% (US0003M + 0.900%) due 02/15/2022 ~ | 27,000 | 27,217 | ||||||||||
Dell International LLC |
| |||||||||||
4.420% due 06/15/2021 | 85,821 | 88,320 | ||||||||||
Delta Air Lines, Inc. |
| |||||||||||
2.600% due 12/04/2020 | 3,644 | 3,655 | ||||||||||
Deutsche Telekom International Finance BV |
| |||||||||||
2.582% (US0003M + 0.580%) due 01/17/2020 ~ | 60,615 | 60,630 | ||||||||||
Discovery Communications LLC |
| |||||||||||
2.800% due 06/15/2020 | 26,572 | 26,643 | ||||||||||
Dominion Energy Gas Holdings LLC |
| |||||||||||
2.494% (US0003M + 0.600%) due 06/15/2021 ~ | 44,900 | 45,088 | ||||||||||
Enbridge, Inc. |
| |||||||||||
2.594% (US0003M + 0.700%) due 06/15/2020 ~ | 12,250 | 12,271 | ||||||||||
Energy Transfer Operating LP |
| |||||||||||
7.500% due 10/15/2020 | 6,089 | 6,329 | ||||||||||
EQT Corp. |
| |||||||||||
2.679% (US0003M + 0.770%) due 10/01/2020 ~ | 500 | 499 | ||||||||||
Expedia Group, Inc. |
| |||||||||||
5.950% due 08/15/2020 | 6,500 | 6,645 | ||||||||||
Florida Gas Transmission Co. LLC |
| |||||||||||
5.450% due 07/15/2020 | 550 | 559 | ||||||||||
Fortune Brands Home & Security, Inc. |
| |||||||||||
3.000% due 06/15/2020 | 15,937 | 15,993 | ||||||||||
GATX Corp. |
| |||||||||||
2.611% (US0003M + 0.720%) due 11/05/2021 ~ | 10,700 | 10,749 | ||||||||||
General Electric Co. |
| |||||||||||
2.500% due 03/28/2020 | 5,700 | 5,700 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.801% (US0003M + 0.800%) due 04/15/2020 ~ | $ | 2,890 | $ | 2,894 | ||||||||
General Mills, Inc. |
| |||||||||||
6.610% due 10/15/2022 | 10,800 | 11,153 | ||||||||||
General Motors Co. | ||||||||||||
2.694% (US0003M + 0.800%) due 08/07/2020 ~ | 25,570 | 25,610 | ||||||||||
2.791% (US0003M + 0.900%) due 09/10/2021 ~ | 1,906 | 1,907 | ||||||||||
GlaxoSmithKline Capital PLC |
| |||||||||||
2.259% (US0003M + 0.350%) due 05/14/2021 ~ | 6,400 | 6,414 | ||||||||||
Goodrich Corp. |
| |||||||||||
4.875% due 03/01/2020 | 10,000 | 10,044 | ||||||||||
Hewlett Packard Enterprise Co. |
| |||||||||||
2.567% (US0003M + 0.680%) due 03/12/2021 ~ | 11,500 | 11,545 | ||||||||||
2.763% (US0003M + 0.720%) due 10/05/2021 ~ | 21,200 | 21,203 | ||||||||||
3.600% due 10/15/2020 | 13,500 | 13,654 | ||||||||||
Hyundai Capital America |
| |||||||||||
2.450% due 06/15/2021 | 1,700 | 1,702 | ||||||||||
2.550% due 04/03/2020 | 8,620 | 8,624 | ||||||||||
2.600% due 03/19/2020 | 29,895 | 29,915 | ||||||||||
2.699% due 09/18/2020 • | 8,500 | 8,519 | ||||||||||
2.707% (US0003M + 0.820%) due 03/12/2021 ~ | 3,330 | 3,338 | ||||||||||
2.708% (US0003M + 0.800%) due 04/03/2020 ~ | 5,203 | 5,209 | ||||||||||
2.750% due 09/18/2020 | 13,385 | 13,433 | ||||||||||
2.899% (US0003M + 1.000%) due 09/18/2020 ~ | 8,238 | 8,267 | ||||||||||
2.967% due 07/08/2021 • | 4,700 | 4,713 | ||||||||||
3.000% due 10/30/2020 | 4,412 | 4,440 | ||||||||||
3.000% due 03/18/2021 | 11,077 | 11,161 | ||||||||||
3.450% due 03/12/2021 | 11,654 | 11,798 | ||||||||||
Imperial Brands Finance PLC |
| |||||||||||
2.950% due 07/21/2020 | 37,021 | 37,129 | ||||||||||
Japan Tobacco, Inc. |
| |||||||||||
2.000% due 04/13/2021 | 9,000 | 8,982 | ||||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
6.850% due 02/15/2020 | 6,873 | 6,908 | ||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
2.471% (US0003M + 0.570%) due 02/10/2021 ~ | 21,627 | 21,663 | ||||||||||
2.800% due 07/02/2020 | 2,157 | 2,161 | ||||||||||
L3Harris Technologies, Inc. |
| |||||||||||
2.416% (US0003M + 0.480%) due 04/30/2020 ~ | 4,900 | 4,903 | ||||||||||
Marriott International, Inc. |
| |||||||||||
2.507% (US0003M + 0.600%) due 12/01/2020 ~ | 45,100 | 45,254 | ||||||||||
2.535% (US0003M + 0.650%) due 03/08/2021 ~ | 12,158 | 12,206 | ||||||||||
Martin Marietta Materials, Inc. |
| |||||||||||
2.549% (US0003M + 0.650%) due 05/22/2020 ~ | 10,506 | 10,519 | ||||||||||
McDonald’s Corp. |
| |||||||||||
2.366% (US0003M + 0.430%) due 10/28/2021 ~ | 13,400 | 13,446 | ||||||||||
Mylan NV |
| |||||||||||
3.150% due 06/15/2021 | 12,000 | 12,158 | ||||||||||
3.750% due 12/15/2020 | 3,250 | 3,315 | ||||||||||
NXP BV |
| |||||||||||
4.125% due 06/01/2021 | 3,600 | 3,691 | ||||||||||
Occidental Petroleum Corp. |
| |||||||||||
2.854% (US0003M + 0.950%) due 02/08/2021 ~ | 59,570 | 59,960 | ||||||||||
3.360% (US0003M + 1.450%) due 08/15/2022 ~ | 76,804 | 77,222 | ||||||||||
Penske Truck Leasing Co. LP |
| |||||||||||
3.050% due 01/09/2020 | 13,350 | 13,352 | ||||||||||
3.200% due 07/15/2020 | 19,000 | 19,083 | ||||||||||
3.650% due 07/29/2021 | 1,200 | 1,228 | ||||||||||
Phillips 66 |
| |||||||||||
2.517% (US0003M + 0.600%) due 02/26/2021 ~ | 7,905 | 7,905 |
72 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.751% (US0003M + 0.750%) due 04/15/2020 ~ | $ | 8,300 | $ | 8,303 | ||||||||
QUALCOMM, Inc. |
| |||||||||||
2.449% (US0003M + 0.550%) due 05/20/2020 ~ | 37,684 | 37,740 | ||||||||||
Reckitt Benckiser Treasury Services PLC |
| |||||||||||
2.495% (US0003M + 0.560%) due 06/24/2022 ~ | 31,650 | 31,732 | ||||||||||
Reynolds American, Inc. |
| |||||||||||
3.250% due 06/12/2020 | 1,851 | 1,860 | ||||||||||
Rockies Express Pipeline LLC |
| |||||||||||
5.625% due 04/15/2020 | 10,700 | 10,832 | ||||||||||
Spectra Energy Partners LP |
| |||||||||||
2.592% (US0003M + 0.700%) due 06/05/2020 ~ | 1,744 | 1,747 | ||||||||||
Syngenta Finance NV |
| |||||||||||
3.698% due 04/24/2020 | 1,800 | 1,806 | ||||||||||
Textron, Inc. |
| |||||||||||
2.451% (US0003M + 0.550%) due 11/10/2020 ~ | 4,800 | 4,800 | ||||||||||
Time Warner Cable LLC |
| |||||||||||
5.000% due 02/01/2020 | 40,068 | 40,144 | ||||||||||
Tyson Foods, Inc. |
| |||||||||||
2.345% (US0003M + 0.450%) due 08/21/2020 ~ | 16,290 | 16,308 | ||||||||||
2.457% (US0003M + 0.550%) due 06/02/2020 ~ | 31,286 | 31,330 | ||||||||||
United Technologies Corp. |
| |||||||||||
2.554% (US0003M + 0.650%) due 08/16/2021 ~ | 20,700 | 20,703 | ||||||||||
VMware, Inc. |
| |||||||||||
2.300% due 08/21/2020 | 24,965 | 25,003 | ||||||||||
Volkswagen Group of America Finance LLC |
| |||||||||||
2.400% due 05/22/2020 | 8,562 | 8,574 | ||||||||||
2.675% (US0003M + 0.770%) due 11/13/2020 ~ | 89,215 | 89,587 | ||||||||||
2.795% (US0003M + 0.860%) due 09/24/2021 ~ | 15,000 | 15,109 | ||||||||||
2.841% (US0003M + 0.940%) due 11/12/2021 ~ | 20,100 | 20,281 | ||||||||||
3.875% due 11/13/2020 | 1,910 | 1,941 | ||||||||||
Vulcan Materials Co. |
| |||||||||||
2.494% (US0003M + 0.600%) due 06/15/2020 ~ | 13,090 | 13,104 | ||||||||||
Walt Disney Co. |
| |||||||||||
2.297% (US0003M + 0.390%) due 09/01/2022 ~ | 28,900 | 29,088 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||||||
3.194% (US0003M + 1.050%) due 09/15/2021 ~ | 18,200 | 18,203 | ||||||||||
Woolworths Group Ltd. |
| |||||||||||
4.000% due 09/22/2020 | 1,325 | 1,341 | ||||||||||
ZF North America Capital, Inc. |
| |||||||||||
4.000% due 04/29/2020 | 800 | 804 | ||||||||||
Zoetis, Inc. |
| |||||||||||
2.339% (US0003M + 0.440%) due 08/20/2021 ~ | 1,400 | 1,402 | ||||||||||
|
| |||||||||||
2,735,215 | ||||||||||||
|
| |||||||||||
UTILITIES 3.9% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
2.651% (US0003M + 0.650%) due 01/15/2020 ~ | 1,400 | 1,400 | ||||||||||
2.657% (US0003M + 0.750%) due 06/01/2021 ~ | 26,300 | 26,463 | ||||||||||
2.799% (US0003M + 0.890%) due 02/15/2023 ~ | 35,185 | 35,490 | ||||||||||
2.951% (US0003M + 0.950%) due 07/15/2021 ~ | 34,881 | 35,222 | ||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
2.553% (US0003M + 0.650%) due 09/19/2022 ~ | 26,000 | 26,139 | ||||||||||
BP Capital Markets PLC |
| |||||||||||
2.764% (US0003M + 0.870%) due 09/16/2021 ~ | 21,500 | 21,742 | ||||||||||
Chugoku Electric Power Co., Inc. |
| |||||||||||
2.701% due 03/16/2020 | 6,000 | 6,003 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||||
2.347% (US0003M + 0.400%) due 06/25/2021 ~ | $ | 49,481 | $ | 49,627 | ||||||||
Duke Energy Corp. |
| |||||||||||
2.409% (US0003M + 0.500%) due 05/14/2021 ~ | 2,195 | 2,204 | ||||||||||
2.538% (US0003M + 0.650%) due 03/11/2022 ~ | 25,000 | 25,180 | ||||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
6.400% due 09/15/2020 | 841 | 865 | ||||||||||
Entergy Corp. |
| |||||||||||
5.125% due 09/15/2020 | 1,000 | 1,014 | ||||||||||
Exelon Generation Co. LLC |
| |||||||||||
2.950% due 01/15/2020 | 4,369 | 4,370 | ||||||||||
IPALCO Enterprises, Inc. |
| |||||||||||
3.450% due 07/15/2020 | 5,136 | 5,159 | ||||||||||
Israel Electric Corp. Ltd. |
| |||||||||||
9.375% due 01/28/2020 | 50,725 | 51,026 | ||||||||||
Mississippi Power Co. |
| |||||||||||
2.597% (US0003M + 0.650%) due 03/27/2020 ~ | 21,267 | 21,275 | ||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.411% (US0003M + 0.450%) due 09/28/2020 ~ | 1,000 | 1,002 | ||||||||||
2.464% (US0003M + 0.550%) due 08/28/2021 ~ | 2,300 | 2,300 | ||||||||||
2.630% (US0003M + 0.720%) due 02/25/2022 ~ | 2,300 | 2,320 | ||||||||||
3.342% due 09/01/2020 | 10,000 | 10,089 | ||||||||||
Petronas Global Sukuk Ltd. |
| |||||||||||
2.707% due 03/18/2020 | 8,800 | 8,806 | ||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. |
| |||||||||||
5.298% due 09/30/2020 | 2,102 | 2,133 | ||||||||||
Sempra Energy |
| |||||||||||
2.344% (US0003M + 0.450%) due 03/15/2021 ~ | 19,833 | 19,844 | ||||||||||
2.400% due 03/15/2020 | 1,000 | 1,000 | ||||||||||
2.501% (US0003M + 0.500%) due 01/15/2021 ~ | 500 | 500 | ||||||||||
Sinopec Group Overseas Development Ltd. |
| |||||||||||
2.250% due 09/13/2020 | 12,850 | 12,852 | ||||||||||
2.375% due 04/12/2020 | 13,150 | 13,155 | ||||||||||
2.500% due 04/28/2020 | 30,520 | 30,544 | ||||||||||
Southern Power Co. |
| |||||||||||
2.458% (US0003M + 0.550%) due 12/20/2020 ~ | 44,294 | 44,306 | ||||||||||
State Grid Overseas Investment Ltd. |
| |||||||||||
2.250% due 05/04/2020 | 4,062 | 4,062 | ||||||||||
TECO Finance, Inc. |
| |||||||||||
5.150% due 03/15/2020 | 5,545 | 5,579 | ||||||||||
Verizon Communications, Inc. |
| |||||||||||
2.894% (US0003M + 1.000%) due 03/16/2022 ~ | 33,300 | 33,867 | ||||||||||
3.010% (US0003M + 1.100%) due 05/15/2025 ~ | 24,300 | 24,876 | ||||||||||
|
| |||||||||||
530,414 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds & Notes | 8,190,096 | |||||||||||
|
| |||||||||||
MUNICIPAL BONDS & NOTES 0.3% |
| |||||||||||
CALIFORNIA 0.2% |
| |||||||||||
California State General Obligation Bonds, Series 2017 |
| |||||||||||
2.477% (US0001M + 0.780%) due 04/01/2047 ~ | 27,950 | 28,059 | ||||||||||
|
| |||||||||||
WASHINGTON 0.1% |
| |||||||||||
Washington Health Care Facilities Authority Revenue Bonds, Series 2017 |
| |||||||||||
2.301% (0.67*US0001M + 1.100%) due 01/01/2042 ~ | 7,350 | 7,437 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes | 35,496 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
U.S. GOVERNMENT AGENCIES 8.6% |
| |||||||||||
Fannie Mae |
| |||||||||||
2.008% due 01/25/2037 • | $ | 515 | $ | 514 | ||||||||
2.042% due 05/25/2037 • | 28 | 28 | ||||||||||
2.092% due 12/25/2045 • | 3,738 | 3,718 | ||||||||||
2.101% due 08/25/2044 • | 6,125 | 6,116 | ||||||||||
2.108% due 08/25/2049 • | 29,246 | 29,269 | ||||||||||
2.122% due 02/25/2037 • | 81 | 81 | ||||||||||
2.131% due 10/25/2044 - | 40,490 | 40,407 | ||||||||||
2.142% due 11/25/2036 • | 101 | 100 | ||||||||||
2.145% due 04/18/2028 - | 911 | 904 | ||||||||||
2.181% due 07/25/2044 - | 26,204 | 26,183 | ||||||||||
2.192% due 06/25/2026 • | 179 | 179 | ||||||||||
2.202% due 09/25/2035 • | 469 | 469 | ||||||||||
2.212% due 03/25/2037 • | 338 | 337 | ||||||||||
2.231% due 07/25/2046 • | 15,248 | 15,219 | ||||||||||
2.242% due 02/25/2038 - | 12,236 | 12,271 | ||||||||||
2.245% due 05/18/2032 • | 160 | 161 | ||||||||||
2.281% due 07/25/2046 • | 10,832 | 10,858 | ||||||||||
2.292% due 06/25/2031 - | 98,783 | 98,763 | ||||||||||
2.295% due 03/18/2032 • | 136 | 137 | ||||||||||
2.472% due 12/25/2037 • | 529 | 535 | ||||||||||
2.492% due 05/25/2037 • | 105 | 106 | ||||||||||
2.542% due 03/25/2037 - | 130 | 133 | ||||||||||
2.566% due 04/25/2023 • | 848 | 851 | ||||||||||
2.572% due 02/25/2038 • | 977 | 994 | ||||||||||
2.642% due 07/25/2038 • | 105 | 107 | ||||||||||
2.692% due 03/25/2032 • | 29 | 29 | ||||||||||
4.402% due 05/01/2038 • | 503 | 527 | ||||||||||
4.622% due 01/01/2036 • | 3,856 | 4,071 | ||||||||||
FDIC Structured Sale Guaranteed Notes |
| |||||||||||
2.209% due 11/29/2037 • | 34 | 34 | ||||||||||
Freddie Mac |
| |||||||||||
1.990% due 11/15/2036 - | 38 | 38 | ||||||||||
1.997% due 11/25/2024 • | 5,634 | 5,604 | ||||||||||
2.060% due 02/15/2037 • | 1,196 | 1,190 | ||||||||||
2.101% due 05/15/2038 • | 4,317 | 4,312 | ||||||||||
2.111% due 05/15/2041 • | 4,817 | 4,814 | ||||||||||
2.131% due 03/15/2037 - | 79,256 | 78,978 | ||||||||||
2.160% due 04/15/2041 • | 310 | 311 | ||||||||||
2.181% due 12/15/2042 - | 11,023 | 10,992 | ||||||||||
2.190% due 04/15/2049 - | 45,584 | 45,399 | ||||||||||
2.201% due 06/15/2044 • | 16,604 | 16,566 | ||||||||||
2.231% due 12/15/2037 • | 2,931 | 2,923 | ||||||||||
2.240% due 07/15/2039 - | 17,284 | 17,278 | ||||||||||
2.250% due 10/07/2024 | 74,000 | 74,003 | ||||||||||
2.300% due 10/22/2024 | 58,000 | 58,019 | ||||||||||
4.530% due 09/01/2037 • | 2,898 | 3,064 | ||||||||||
Ginnie Mae |
| |||||||||||
1.974% due 06/20/2066 • | 2,320 | 2,314 | ||||||||||
2.020% due 05/20/2063 • | 944 | 943 | ||||||||||
2.109% due 06/20/2046 • | 44,230 | 44,123 | ||||||||||
2.124% due 08/20/2065 • | 27,461 | 27,341 | ||||||||||
2.144% due 06/20/2061 - | 408 | 408 | ||||||||||
2.165% due 07/20/2049 • | 18,982 | 18,977 | ||||||||||
2.174% due 10/20/2062 • | 5,519 | 5,502 | ||||||||||
2.215% due 03/20/2049 - | 58,617 | 58,640 | ||||||||||
2.244% due 06/20/2067 • | 1,879 | 1,875 | ||||||||||
2.274% due 03/20/2061 - | 9,845 | 9,837 | ||||||||||
2.324% due 04/20/2062 • | 3,824 | 3,825 | ||||||||||
2.374% due 05/20/2065 - | 14,645 | 14,641 | ||||||||||
2.424% due 12/20/2064 - | 24,107 | 24,124 | ||||||||||
2.474% due 02/20/2062 • | 5,427 | 5,444 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 73 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.524% due 12/20/2065 - | $ | 13,011 | $ | 13,070 | ||||||||
2.554% due 09/20/2066 • | 2,155 | 2,167 | ||||||||||
2.574% due 05/20/2066 - | 12,954 | 13,035 | ||||||||||
2.604% due 08/20/2066 • | 1,289 | 1,298 | ||||||||||
2.694% due 07/20/2065 • | 6,074 | 6,135 | ||||||||||
2.774% due 01/20/2066 • | 5,851 | 5,933 | ||||||||||
2.824% due 02/20/2066 • | 14,994 | 15,235 | ||||||||||
3.245% due 12/20/2068 • | 11,256 | 11,092 | ||||||||||
3.487% due 06/20/2067 • | 7,750 | 7,857 | ||||||||||
3.629% due 04/20/2067 • | 2,256 | 2,285 | ||||||||||
6.000% due 12/15/2033 | 20 | 23 | ||||||||||
6.500% due 11/15/2033 - | 22 | 25 | ||||||||||
7.000% due 01/15/2024 - | 88 | 88 | ||||||||||
7.500% due 07/15/2024 - | 63 | 66 | ||||||||||
NCUA Guaranteed Notes |
| |||||||||||
2.068% due 12/07/2020 • | 517 | 517 | ||||||||||
2.183% due 11/05/2020 • | 3,708 | 3,709 | ||||||||||
2.273% due 12/08/2020 • | 1,681 | 1,682 | ||||||||||
Uniform Mortgage-Backed Security |
| |||||||||||
2.500% due 11/01/2049 | 300,000 | 296,612 | ||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 1,175,415 | |||||||||||
|
| |||||||||||
U.S. TREASURY OBLIGATIONS 8.7% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
1.500% due 10/31/2024 (h) | 1,198,000 | 1,187,059 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations | 1,187,059 | |||||||||||
|
| |||||||||||
NON-AGENCY MORTGAGE-BACKED SECURITIES 3.1% |
| |||||||||||
AREIT Trust |
| |||||||||||
2.760% due 09/14/2036 • | 14,000 | 14,001 | ||||||||||
Bancorp Commercial Mortgage Trust |
| |||||||||||
2.815% due 09/15/2036 • | 17,786 | 17,811 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust |
| |||||||||||
3.971% due 08/25/2033 ~ | 572 | 574 | ||||||||||
Brass PLC |
| |||||||||||
2.806% due 11/16/2066 • | 12,900 | 12,906 | ||||||||||
BX Commercial Mortgage Trust |
| |||||||||||
2.490% due 11/15/2035 • | 12,496 | 12,500 | ||||||||||
Credit Suisse Mortgage Capital Trust |
| |||||||||||
2.490% due 07/15/2032 • | 13,000 | 12,982 | ||||||||||
Exantas Capital Corp. Ltd. |
| |||||||||||
2.737% due 04/15/2036 • | 27,091 | 27,127 | ||||||||||
GCAT Trust |
| |||||||||||
2.650% due 10/25/2068 ~ | 4,544 | 4,547 | ||||||||||
Gosforth Funding PLC |
| |||||||||||
2.360% due 08/25/2060 • | 16,463 | 16,442 | ||||||||||
2.373% due 12/19/2059 • | 5,251 | 5,249 | ||||||||||
GPMT Ltd. |
| |||||||||||
2.665% due 11/21/2035 • | 5,971 | 5,974 | ||||||||||
GS Mortgage Securities Corp. Trust |
| |||||||||||
2.440% due 07/15/2032 • | 16,300 | 16,294 | ||||||||||
GS Mortgage Securities Trust |
| |||||||||||
3.648% due 01/10/2047 | 8,251 | 8,470 | ||||||||||
IMT Trust |
| |||||||||||
2.440% due 06/15/2034 • | 3,000 | 2,990 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
2.740% due 09/15/2029 • | 45,400 | 45,454 | ||||||||||
Lanark Master Issuer PLC |
| |||||||||||
2.669% due 12/22/2069 • | 10,400 | 10,432 | ||||||||||
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates |
| |||||||||||
2.440% due 11/15/2031 • | 783 | 792 | ||||||||||
MF12019-FL2 Ltd. |
| |||||||||||
2.922% due 12/25/2034 • | 50,000 | 50,119 | ||||||||||
Mill City Mortgage Loan Trust |
| |||||||||||
2.750% due 07/25/2059 ~ | 1,451 | 1,459 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Motel 6 Trust |
| |||||||||||
2.660% due 08/15/2034 • | $ | 31,392 | $ | 31,436 | ||||||||
Permanent Master Issuer PLC |
| |||||||||||
2.366% due 07/15/2058 • | 4,500 | 4,500 | ||||||||||
PFP Ltd. |
| |||||||||||
2.964% due 04/14/2037 • | 45,200 | 45,294 | ||||||||||
Rosslyn Portfolio Trust |
| |||||||||||
2.690% due 06/15/2033 • | 4,500 | 4,501 | ||||||||||
ShellpointCo-Originator Trust |
| |||||||||||
3.500% due 08/25/2045 ~ | 7,003 | 7,096 | ||||||||||
Stonemont Portfolio Trust |
| |||||||||||
2.615% due 08/20/2030 • | 11,329 | 11,326 | ||||||||||
UBS-Barclays Commercial Mortgage Trust |
| |||||||||||
2.526% due 04/10/2046 • | 14,981 | 15,158 | ||||||||||
VMC Finance LLC |
| |||||||||||
2.557% due 03/15/2035 • | 75 | 74 | ||||||||||
2.657% due 10/15/2035 • | 9,522 | 9,519 | ||||||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||||||
2.591% due 12/13/2031 • | 5,400 | 5,389 | ||||||||||
2.787% due 07/15/2046 • | 5,700 | 5,736 | ||||||||||
WellsFargo-RBS Commercial Mortgage Trust |
| |||||||||||
3.187% due 06/15/2044 • | 25,143 | 25,332 | ||||||||||
|
| |||||||||||
TotalNon-Agency Mortgage-Backed Securities (Cost $431,100) | 431,484 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES 13.1% |
| |||||||||||
Allegro CLO Ltd. |
| |||||||||||
3.156% due 01/30/2026 • | 1,243 | 1,243 | ||||||||||
Ally Auto Receivables Trust |
| |||||||||||
1.750% due 12/15/2021 | 190 | 190 | ||||||||||
Ally Master Owner Trust |
| |||||||||||
2.060% due 07/15/2022 • | 20,000 | 20,013 | ||||||||||
ARI Fleet Lease Trust |
| |||||||||||
2.220% due 11/15/2027 • | 10,100 | 10,113 | ||||||||||
Arkansas Student Loan Authority |
| |||||||||||
2.810% due 11/25/2043 • | 532 | 530 | ||||||||||
B&M CLO Ltd. |
| |||||||||||
2.731% due 04/16/2026 • | 1,379 | 1,378 | ||||||||||
Bank of The West Auto Trust |
| |||||||||||
3.090% due 04/15/2021 | 7,086 | 7,092 | ||||||||||
Barings BDC Static CLO Ltd. |
| |||||||||||
3.021% due 04/15/2027 • | 38,378 | 38,375 | ||||||||||
Canadian Pacer Auto Receivables Trust |
| |||||||||||
3.000% due 06/21/2021 | 3,724 | 3,731 | ||||||||||
CARDS Trust |
| |||||||||||
2.130% due 05/15/2024 • | 34,400 | 34,490 | ||||||||||
CarMax Auto Owner Trust |
| |||||||||||
1.390% due 05/17/2021 | 1,030 | 1,031 | ||||||||||
1.400% due 08/15/2021 | 4,074 | 4,067 | ||||||||||
2.050% due 07/15/2022 • | 11,525 | 11,530 | ||||||||||
2.730% due 08/16/2021 | 2,245 | 2,247 | ||||||||||
Chesapeake Funding LLC |
| |||||||||||
1.910% due 08/15/2029 | 5,715 | 5,710 | ||||||||||
1.990% due 05/15/2029 | 932 | 932 | ||||||||||
2.110% due 08/15/2030 • | 25,361 | 25,344 | ||||||||||
2.140% due 04/15/2031 • | 15,937 | 15,903 | ||||||||||
2.220% due 09/15/2031 • | 14,102 | 14,107 | ||||||||||
CIFC Funding Ltd. |
| |||||||||||
2.800% due 10/25/2027 • | 8,800 | 8,783 | ||||||||||
Citibank Credit Card Issuance Trust |
| |||||||||||
2.405% due 04/22/2026 • | 6,000 | 6,051 | ||||||||||
Commonbond Student Loan Trust |
| |||||||||||
2.642% due 05/25/2041 • | 821 | 818 | ||||||||||
Crown Point CLO Ltd. |
| |||||||||||
2.942% due 07/17/2028 • | 21,000 | 20,905 | ||||||||||
3.136% due 10/20/2028 • | 40,000 | 39,953 | ||||||||||
CVP Cascade CLO Ltd. |
| |||||||||||
3.151% due 01/16/2026 • | 6,019 | 6,021 | ||||||||||
Dell Equipment Finance Trust |
| |||||||||||
3.160% due 02/22/2021 | 4,771 | 4,789 | ||||||||||
Denali Capital CLO LLC |
| |||||||||||
2.986% due 10/26/2027 • | 15,180 | 15,174 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Drug Royalty LP |
| |||||||||||
5.153% due 07/15/2023 • | $ | 100 | $ | 100 | ||||||||
Dryden Senior Loan Fund |
| |||||||||||
2.886% due 10/15/2027 • | 15,200 | 15,178 | ||||||||||
Earnest Student Loan Program LLC |
| |||||||||||
2.680% due 07/25/2035 | 10,716 | 10,737 | ||||||||||
Edsouth Indenture LLC |
| |||||||||||
2.522% due 04/25/2039 • | 1,069 | 1,059 | ||||||||||
2.942% due 09/25/2040 • | 234 | 233 | ||||||||||
Enterprise Fleet Financing LLC |
| |||||||||||
2.870% due 10/20/2023 | 338 | 339 | ||||||||||
Evergreen Credit Card Trust |
| |||||||||||
2.090% due 07/15/2022 • | 25,000 | 25,021 | ||||||||||
2.110% due 10/16/2023 • | 84,000 | 84,096 | ||||||||||
2.220% due 01/15/2023 • | 42,000 | 42,118 | ||||||||||
Figueroa CLO Ltd. |
| |||||||||||
2.758% due 06/20/2027 • | 3,373 | 3,372 | ||||||||||
2.901% due 01/15/2027 • | 9,296 | 9,294 | ||||||||||
Flagship CLO Ltd. |
| |||||||||||
2.851% due 01/16/2026 • | 1,758 | 1,758 | ||||||||||
Ford Credit Auto Lease Trust |
| |||||||||||
2.000% due 02/15/2022 • | 29,900 | 29,896 | ||||||||||
Ford Credit Auto Owner Trust |
| |||||||||||
1.520% due 08/15/2021 | 1,403 | 1,402 | ||||||||||
1.690% due 11/15/2021 | 1,824 | 1,822 | ||||||||||
Ford Credit Floorplan Master Owner Trust |
| |||||||||||
1.980% due 01/15/2022 | 2,000 | 2,000 | ||||||||||
2.090% due 03/15/2022 | 356 | 356 | ||||||||||
2.340% due 09/15/2024 • | 20,400 | 20,490 | ||||||||||
Gallatin CLO Ltd. |
| |||||||||||
3.051% (US0003M + 1.050%) due 07/15/2027 ~ | 7,571 | 7,585 | ||||||||||
GMF Floorplan Owner Revolving Trust |
| |||||||||||
2.150% due 09/15/2023 • | 28,400 | 28,419 | ||||||||||
Golden Credit Card Trust |
| |||||||||||
2.090% due 10/15/2023 • | 41,195 | 41,170 | ||||||||||
Gracechurch Card Funding PLC |
| |||||||||||
2.140% due 07/15/2022 • | 26,810 | 26,826 | ||||||||||
Halcyon Loan Advisors Funding Ltd. |
| |||||||||||
2.886% due 04/20/2027 • | 3,600 | 3,599 | ||||||||||
Hertz Fleet Lease Funding LP |
| |||||||||||
2.185% due 01/10/2033 • | 107,500 | 107,585 | ||||||||||
Kubota Credit Owner Trust |
| |||||||||||
2.800% due 02/16/2021 | 294 | 295 | ||||||||||
LCM LP |
| |||||||||||
3.006% due 10/20/2027 • | 3,500 | 3,483 | ||||||||||
Marlette Funding Trust |
| |||||||||||
2.690% due 09/17/2029 | 6,758 | 6,784 | ||||||||||
3.130% due 07/16/2029 | 2,693 | 2,711 | ||||||||||
Master Credit Card Trust |
| |||||||||||
2.275% due 07/21/2024 • | 12,000 | 12,006 | ||||||||||
Mercedes-Benz Auto Lease Trust |
| |||||||||||
3.010% due 02/16/2021 | 8,813 | 8,830 | ||||||||||
MMAF Equipment Finance LLC |
| |||||||||||
2.330% due 12/08/2025 | 3,360 | 3,368 | ||||||||||
Mountain Hawk CLO Ltd. |
| |||||||||||
2.786% due 07/20/2024 • | 58 | 58 | ||||||||||
Navient Private Education Loan Trust |
| |||||||||||
2.590% due 11/15/2030 • | 9,710 | 9,717 | ||||||||||
Navient Private Education Refi Loan Trust |
| |||||||||||
2.040% due 12/15/2059 • | 2,982 | 2,975 | ||||||||||
3.010% due 06/16/2042 | 8,936 | 8,962 | ||||||||||
Navient Student Loan Trust |
| |||||||||||
2.140% due 12/15/2059 • | 30,409 | 30,352 | ||||||||||
2.392% due 07/26/2066 • | 11,500 | 11,497 | ||||||||||
2.542% due 07/26/2066 • | 1,670 | 1,673 | ||||||||||
2.592% due 07/26/2066 • | 8,221 | 8,088 | ||||||||||
2.842% due 12/27/2066 • | 18,874 | 18,784 | ||||||||||
Nelnet Student Loan Trust |
| |||||||||||
2.020% due 08/23/2027 • | 6,983 | 6,972 | ||||||||||
2.048% due 12/24/2035 • | 4,424 | 4,340 | ||||||||||
2.392% due 03/25/2030 • | 3,559 | 3,548 | ||||||||||
2.592% due 09/25/2065 • | 18,885 | 18,872 | ||||||||||
2.592% due 08/25/2067 • | 31,101 | 30,800 |
74 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
2.642% due 02/25/2066 • | $ | 12,594 | $ | 12,415 | ||||||||
Nissan Master Owner Trust Receivables |
| |||||||||||
2.170% due 11/15/2023 • | 64,900 | 65,024 | ||||||||||
Northstar Education Finance, Inc. |
| |||||||||||
2.492% due 12/26/2031 • | 965 | 955 | ||||||||||
OneMain Financial Issuance Trust |
| |||||||||||
2.370% due 09/14/2032 | 11,035 | 11,035 | ||||||||||
Oscar U.S. Funding LLC |
| |||||||||||
2.369% due 08/10/2020 | 392 | 393 | ||||||||||
2.490% due 08/10/2022 | 5,000 | 5,010 | ||||||||||
3.100% due 04/11/2022 | 8,781 | 8,823 | ||||||||||
Oscar U.S. Funding Trust LLC |
| |||||||||||
2.185% due 08/10/2021 • | 2,923 | 2,926 | ||||||||||
Palmer Square CLO Ltd. |
| |||||||||||
2.760% due 08/15/2026 • | 6,162 | 6,167 | ||||||||||
Palmer Square Loan Funding Ltd. |
| |||||||||||
2.601% due 04/15/2026 • | 37,814 | 37,685 | ||||||||||
2.810% due 11/15/2026 • | 8,359 | 8,364 | ||||||||||
2.836% due 10/24/2027 • | 12,800 | 12,802 | ||||||||||
Panhandle-Plains Higher Education Authority, Inc. |
| |||||||||||
3.229% due 10/01/2035 • | 657 | 656 | ||||||||||
Penarth Master Issuer PLC |
| |||||||||||
2.125% due 03/18/2022 • | 17,000 | 17,008 | ||||||||||
2.195% due 09/18/2022 • | 30,000 | 30,010 | ||||||||||
2.285% due 07/18/2023 • | 23,600 | 23,601 | ||||||||||
PHEAA Student Loan Trust |
| |||||||||||
2.742% due 11/25/2065 • | 8,631 | 8,552 | ||||||||||
Santander Retail Auto Lease Trust |
| |||||||||||
2.105% due 09/20/2022 • | 15,000 | 15,012 | ||||||||||
Securitized Term Auto Receivables Trust |
| |||||||||||
2.002% due 02/25/2021 • | 6,392 | 6,391 | ||||||||||
2.289% due 03/25/2022 | 1,285 | 1,287 | ||||||||||
2.862% due 05/25/2021 | 5,821 | 5,841 | ||||||||||
SLC Student Loan Trust |
| |||||||||||
1.994% due 09/15/2026 • | 6,468 | 6,452 | ||||||||||
2.004% due 03/15/2027 • | 8,247 | 8,192 | ||||||||||
2.014% due 06/15/2029 • | 22,673 | 22,477 | ||||||||||
2.070% due 05/15/2023 • | 745 | 745 | ||||||||||
SLM Private Education Loan Trust |
| |||||||||||
3.240% due 03/15/2032 • | 11,687 | 11,740 | ||||||||||
3.990% due 06/16/2042 • | 4,094 | 4,122 | ||||||||||
4.240% due 01/15/2043 • | 3,187 | 3,194 | ||||||||||
4.540% due 10/17/2044 | 215 | 215 | ||||||||||
SLM Student Loan Trust |
| |||||||||||
2.030% due 01/26/2026 • | 7,031 | 7,010 | ||||||||||
2.050% due 01/27/2025 • | 2,331 | 2,325 | ||||||||||
2.050% due 10/27/2025 • | 91 | 91 | ||||||||||
2.060% due 01/25/2027 • | 16,575 | 16,446 | ||||||||||
2.080% due 10/25/2028 • | 2,471 | 2,447 | ||||||||||
2.110% due 07/25/2023 • | 170 | 170 | ||||||||||
2.364% due 12/15/2027 • | 25,170 | 25,149 | ||||||||||
2.440% due 04/25/2024 • | 480 | 480 | ||||||||||
2.442% due 12/27/2038 • | 2,957 | 2,911 | ||||||||||
2.444% due 12/15/2025 • | 4,986 | 4,966 | ||||||||||
2.490% due 01/25/2028 • | 5,007 | 5,011 | ||||||||||
2.492% due 01/25/2029 • | 3,325 | 3,241 | ||||||||||
3.440% due 04/25/2023 • | 281 | 282 | ||||||||||
SMB Private Education Loan Trust |
| |||||||||||
2.040% due 09/15/2025 • | 3,917 | 3,916 | ||||||||||
2.090% due 02/16/2026 • | 7,653 | 7,649 | ||||||||||
2.090% due 03/16/2026 • | 2,788 | 2,785 | ||||||||||
2.340% due 09/15/2034 | 9,017 | 8,990 | ||||||||||
2.490% due 06/15/2027 | 3,482 | 3,488 | ||||||||||
2.640% due 09/15/2034 • | 14,856 | 14,854 | ||||||||||
2.840% due 09/15/2034 • | 7,039 | 7,059 | ||||||||||
2.940% due 07/15/2027 • | 6,091 | 6,121 | ||||||||||
2.980% due 07/15/2027 | 5,684 | 5,713 | ||||||||||
3.050% due 05/15/2026 | 921 | 925 | ||||||||||
SoFi Consumer Loan Program LLC |
| |||||||||||
2.500% due 05/26/2026 | 5,363 | 5,373 | ||||||||||
2.770% due 05/25/2026 | 2,824 | 2,834 | ||||||||||
3.280% due 01/26/2026 | 1,597 | 1,602 | ||||||||||
SoFi Consumer Loan Program Trust |
| |||||||||||
2.900% due 05/25/2028 | 10,275 | 10,341 | ||||||||||
2.930% due 04/26/2027 | 74 | 74 | ||||||||||
3.010% due 04/25/2028 | 9,364 | 9,436 | ||||||||||
3.240% due 02/25/2028 | 6,721 | 6,769 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SoFi Professional Loan Program LLC |
| |||||||||||
2.142% due 02/25/2042 • | $ | 1,150 | $ | 1,146 | ||||||||
2.392% due 07/25/2040 • | 866 | 864 | ||||||||||
2.642% due 07/25/2039 • | 2,697 | 2,698 | ||||||||||
2.842% due 08/27/2035 • | 3,645 | 3,657 | ||||||||||
2.892% due 10/27/2036 • | 1,138 | 1,142 | ||||||||||
3.092% due 02/25/2040 • | 1,406 | 1,421 | ||||||||||
SoFi Professional Loan Program Trust |
| |||||||||||
3.080% due 01/25/2048 | 7,512 | 7,545 | ||||||||||
Sound Point CLO Ltd. |
| |||||||||||
3.084% due 01/23/2029 • | 20,000 | 19,990 | ||||||||||
Staniford Street CLO Ltd. |
| |||||||||||
3.074% due 06/15/2025 • | 1,954 | 1,954 | ||||||||||
Starwood Waypoint Homes Trust |
| |||||||||||
2.690% due 01/17/2035 • | 9,386 | 9,377 | ||||||||||
Symphony CLO Ltd. |
| |||||||||||
2.951% due 07/14/2026 • | 23,668 | 23,683 | ||||||||||
Tesla Auto Lease Trust |
| |||||||||||
2.130% due 04/20/2022 | 20,000 | 19,997 | ||||||||||
THL Credit Wind River CLO Ltd. |
| |||||||||||
2.881% due 01/15/2026 • | 7,178 | 7,181 | ||||||||||
Towd Point Mortgage Trust |
| |||||||||||
2.392% due 02/25/2057 • | 3,469 | 3,470 | ||||||||||
2.792% due 10/25/2059 • | 4,761 | 4,779 | ||||||||||
Toyota Auto Receivables Owner Trust |
| |||||||||||
1.470% due 09/15/2021 | 577 | 577 | ||||||||||
Trillium Credit Card Trust |
| |||||||||||
2.042% due 02/27/2023 • | 15,000 | 15,003 | ||||||||||
2.142% due 09/26/2023 • | 53,000 | 53,044 | ||||||||||
2.272% due 01/26/2024 • | 19,100 | 19,161 | ||||||||||
Upstart Securitization Trust |
| |||||||||||
3.450% due 04/20/2026 | 1,204 | 1,208 | ||||||||||
Utah State Board of Regents |
| |||||||||||
2.542% due 09/25/2056 • | 10,758 | 10,680 | ||||||||||
2.542% due 01/25/2057 • | 6,775 | 6,727 | ||||||||||
Venture CLO Ltd. |
| |||||||||||
2.992% due 04/20/2029 • | 30,000 | 29,975 | ||||||||||
3.103% due 10/22/2031 • | 25,000 | 25,018 | ||||||||||
Volkswagen Auto Lease Trust |
| |||||||||||
2.065% due 03/21/2022 • | 9,000 | 9,013 | ||||||||||
Volkswagen Auto Loan Enhanced Trust |
| |||||||||||
3.050% due 08/20/2021 | 1,810 | 1,815 | ||||||||||
Voya CLO Ltd. |
| |||||||||||
2.660% due 07/25/2026 • | 4,533 | 4,528 | ||||||||||
WhiteHorse Ltd. |
| |||||||||||
2.932% due 04/17/2027 • | 7,690 | 7,687 | ||||||||||
3.162% due 07/17/2026 • | 630 | 630 | ||||||||||
World Omni Auto Receivables Trust |
| |||||||||||
1.300% due 02/15/2022 | 849 | 848 | ||||||||||
World Omni Automobile Lease Securitization Trust |
| |||||||||||
2.000% due 07/15/2022 • | 20,000 | 20,007 | ||||||||||
Zais CLO Ltd. |
| |||||||||||
3.151% due 04/15/2028 • | 24,100 | 24,108 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 1,803,575 | |||||||||||
|
| |||||||||||
SOVEREIGN ISSUES 1.5% |
| |||||||||||
Agence Francaise de Developpement EPIC |
| |||||||||||
2.008% (US0003M + 0.080%) | 4,200 | 4,201 | ||||||||||
Development Bank of Japan, Inc. |
| |||||||||||
2.176% (US0003M + 0.240%) | 3,500 | 3,501 | ||||||||||
2.504% (US0003M + 0.570%) | 6,000 | 6,025 | ||||||||||
Export-Import Bank of India |
| |||||||||||
2.750% due 04/01/2020 | 2,091 | 2,094 | ||||||||||
2.750% due 08/12/2020 | 1,604 | 1,608 | ||||||||||
2.895% (US0003M + 1.000%) | 31,468 | 31,471 | ||||||||||
Export-Import Bank of Korea |
| |||||||||||
2.482% (US0003M + 0.575%) | 1,000 | 1,004 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Industrial Bank of Korea |
| |||||||||||
2.384% (US0003M + 0.450%) | $ | 29,000 | $ | 29,083 | ||||||||
Japan Bank for International Cooperation |
| |||||||||||
2.356% (US0003M + 0.390%) | 66,700 | 66,823 | ||||||||||
Korea Development Bank |
| |||||||||||
2.250% due 05/18/2020 | 6,000 | 6,002 | ||||||||||
Korea Expressway Corp. |
| |||||||||||
2.666% (US0003M + 0.700%) | 13,550 | 13,562 | ||||||||||
3.625% due 10/22/2021 | 2,800 | 2,874 | ||||||||||
Korea National Oil Corp. |
| |||||||||||
2.547% (US0003M + 0.600%) | 1,340 | 1,341 | ||||||||||
Qatar Government International Bond |
| |||||||||||
5.250% due 01/20/2020 | 4,500 | 4,511 | ||||||||||
Tokyo Metropolitan Government |
| |||||||||||
2.125% due 05/19/2020 | 27,800 | 27,785 | ||||||||||
|
| |||||||||||
Total Sovereign Issues (Cost $201,542) | 201,885 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 6.5% |
| |||||||||||
CERTIFICATES OF DEPOSIT 1.2% |
| |||||||||||
Bank of Montreal |
| |||||||||||
1.940% (SOFRRATE + 0.400%) | 65,000 | 65,001 | ||||||||||
Emirates NBD PJSC |
| |||||||||||
2.850% due 05/04/2020 | 6,900 | 6,916 | ||||||||||
3.000% due 03/06/2020 | 16,200 | 16,224 | ||||||||||
Lloyds Bank Corporate Markets PLC |
| |||||||||||
2.435% (US0003M + 0.500%) | 22,500 | 22,551 | ||||||||||
2.512% (US0003M + 0.500%) | 53,900 | 54,016 | ||||||||||
|
| |||||||||||
164,708 | ||||||||||||
|
| |||||||||||
COMMERCIAL PAPER 4.8% |
| |||||||||||
Boeing Co. |
| |||||||||||
2.140% due 02/19/2020 | 60,000 | 59,844 | ||||||||||
Boston Scientific Corp. |
| |||||||||||
2.010% due 01/22/2020 | 2,603 | 2,600 | ||||||||||
Campbell Soup Co. |
| |||||||||||
2.200% due 01/15/2020 | 9,511 | 9,503 | ||||||||||
2.310% due 01/30/2020 | 24,400 | 24,359 | ||||||||||
Daimler Finance North America LLC |
| |||||||||||
2.350% due 02/13/2020 | 10,000 | 9,974 | ||||||||||
DXC Capital Funding Ltd. |
| |||||||||||
2.330% due 02/28/2020 | 16,000 | 15,944 | ||||||||||
Encana Corp. |
| |||||||||||
2.200% due 01/07/2020 | 6,000 | 5,998 | ||||||||||
2.360% due 01/03/2020 | 42,000 | 41,994 | ||||||||||
Energy Transfer Partners LP |
| |||||||||||
2.500% due 01/15/2020 | 60,000 | 59,937 | ||||||||||
Entergy Corp. |
| |||||||||||
2.160% due 01/22/2020 | 31,850 | 31,812 | ||||||||||
2.250% due 01/06/2020 | 6,000 | 5,998 | ||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.350% due 01/21/2020 | 30,000 | 29,955 | ||||||||||
Marriott International |
| |||||||||||
2.300% due 01/22/2020 | 18,000 | 17,978 | ||||||||||
National Grid Electricity Trasmission PLC |
| |||||||||||
2.150% due 01/21/2020 | 38,300 | 38,256 | ||||||||||
Royal Caribbean Cruise |
| |||||||||||
2.100% due 01/22/2020 | 26,750 | 26,716 | ||||||||||
2.130% due 01/30/2020 | 12,000 | 11,979 | ||||||||||
2.250% due 01/06/2020 | 10,850 | 10,846 | ||||||||||
2.250% due 01/09/2020 | 65,000 | 64,967 | ||||||||||
Sempra Energy Holdings |
| |||||||||||
2.240% due 01/09/2020 | 8,000 | 7,996 | ||||||||||
2.250% due 01/13/2020 | 10,000 | 9,993 | ||||||||||
2.250% due 01/14/2020 | 34,500 | 34,474 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 75 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Syngenta Wilmington, Inc. |
| |||||||||||
2.500% due 03/18/2020 | $ | 60,000 | $ | 59,696 | ||||||||
2.600% due 02/14/2020 | 50,000 | 49,865 | ||||||||||
VW Credit, Inc. |
| |||||||||||
2.450% due 04/01/2020 | 26,000 | 25,858 | ||||||||||
|
| |||||||||||
656,542 | ||||||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS (g) 0.0% |
| |||||||||||
572 | ||||||||||||
|
| |||||||||||
SHORT-TERM NOTES 0.5% |
| |||||||||||
Cigna Corp. |
| |||||||||||
2.250% (US0003M + 0.350%) due 03/17/2020 ~ | 72,223 | 72,253 | ||||||||||
|
| |||||||||||
U.S. TREASURY BILLS 0.0% |
| |||||||||||
1.552% due 03/19/2020 - 03/26/2020 (a)(b) | 1,015 | 1,011 | ||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $894,775) | 895,086 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $13,892,877) | 13,920,096 | |||||||||||
|
|
SHARES | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN AFFILIATES 0.0% |
| |||||||||||
SHORT-TERM INSTRUMENTS 0.0% |
| |||||||||||
MUTUAL FUNDS 0.0% |
| |||||||||||
PIMCO Government Money Market Fund |
| |||||||||||
1.620% (c)(d)(e) | 1,153,272 | $ | 1,153 | |||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $1,153) | 1,153 | |||||||||||
|
| |||||||||||
Total Investments in Affiliates (Cost $1,153) | 1,153 | |||||||||||
Total Investments 101.5% (Cost $13,894,030) |
| $ | 13,921,249 | |||||||||
Other Assets and Liabilities, net (1.5)% | (203,143 | ) | ||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 13,718,106 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
• | Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description. |
(a) | Coupon represents a weighted average yield to maturity. |
(b) | Zero coupon security. |
(c) | Institutional Class Shares of each Fund. |
(d) | Securities with an aggregate market value of $720 were out on loan in exchange for $734 of cash collateral as of December 31, 2019. See Note 5, Securities Lending, in the Notes to Financial Statements for more information regarding securities on loan and cash collateral. |
(e) | Coupon represents a7-Day Yield. |
(f) RESTRICTED SECURITIES:
Issuer Description | Coupon | Maturity Date | Acquisition Date | Cost | Market Value | Market Value as Percentage of Net Assets | ||||||||||||||||
QNB Finance Ltd. | 3.207% | 12/06/2021 | 06/20/2019 | $ 8,469 | $ | 8,478 | 0.06% | |||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(g) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.250 | % | 12/31/2019 | 01/02/2020 | $ | 572 | U.S. Treasury Notes 2.750% due 09/15/2021 | $ | (586 | ) | $ | 572 | $ | 572 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (586 | ) | $ | 572 | $ | 572 | ||||||||||||||||||||||
|
|
|
|
|
|
76 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
REVERSE REPURCHASE AGREEMENTS:
Counterparty | Borrowing Rate(2) | Settlement Date | Maturity Date | Amount Borrowed(2) | Payable for Reverse Repurchase Agreements | |||||||||||||||
BSN | 1.790 | % | 12/27/2019 | 01/10/2020 | $ | (81,187 | ) | $ | (81,211 | ) | ||||||||||
1.790 | 12/27/2019 | 01/13/2020 | (11,910 | ) | (11,913 | ) | ||||||||||||||
SGY | 1.700 | 12/30/2019 | 01/03/2020 | (64,314 | ) | (64,323 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Reverse Repurchase Agreements |
| $ | (157,447 | ) | ||||||||||||||||
|
|
SALE-BUYBACK TRANSACTIONS:
Counterparty | Borrowing Rate(2) | Borrowing Date | Maturity Date | Amount Borrowed(2) | Payable for Sale-Buyback Transactions(3) | |||||||||||||||
BCY | 1.400 | % | 12/31/2019 | 01/02/2020 | $ | (696 | ) | $ | (696 | ) | ||||||||||
GSC | 1.500 | 12/31/2019 | 01/02/2020 | (1,788 | ) | (1,788 | ) | |||||||||||||
UBS | 1.830 | 12/30/2019 | 01/03/2020 | (89,547 | ) | (89,561 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Sale-Buyback Transactions |
| $ | (92,045 | ) | ||||||||||||||||
|
|
SHORT SALES:
Description | Coupon | Maturity Date | Principal Amount | Proceeds | Payable for Short Sales | |||||||||||||||
U.S. Government Agencies (2.2)% | ||||||||||||||||||||
Uniform Mortgage-Backed Security, TBA | 2.500% | 01/01/2050 | $ | 300,000 | $ | (295,758 | ) | $ | (296,481 | ) | ||||||||||
|
|
|
| |||||||||||||||||
Total Short Sales (2.2)% | $ | (295,758 | ) | $ | (296,481 | ) | ||||||||||||||
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions(3) | Securities Out on Loan | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(4) | |||||||||||||||||||||
Global/Master Repurchase Agreement | ||||||||||||||||||||||||||||
BSN | $ | 0 | $ | (93,124 | ) | $ | 0 | $ | 0 | $ | (93,124 | ) | $ | 92,943 | $ | (181 | ) | |||||||||||
FICC | 572 | 0 | 0 | 0 | 572 | (586 | ) | (14 | ) | |||||||||||||||||||
SGY | 0 | (64,323 | ) | 0 | 0 | (64,323 | ) | 64,208 | (115 | ) | ||||||||||||||||||
Master Securities Forward Transaction Agreement | ||||||||||||||||||||||||||||
BCY | 0 | 0 | (696 | ) | 0 | (696 | ) | 694 | (2 | ) | ||||||||||||||||||
GSC | 0 | 0 | (1,788 | ) | 0 | (1,788 | ) | 1,784 | (4 | ) | ||||||||||||||||||
UBS | 0 | 0 | (89,561 | ) | 0 | (89,561 | ) | 89,178 | (383 | ) | ||||||||||||||||||
Master Securities Lending Agreement | ||||||||||||||||||||||||||||
BMO | 0 | 0 | 0 | 720 | 720 | (734 | ) | (14 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 572 | $ | (157,447 | ) | $ | (92,045 | ) | $ | 720 | ||||||||||||||||||
|
|
|
|
|
|
|
|
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
Overnight and Continuous | Up to 30 days | 31-90 days | Greater Than 90 days | Total | ||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||
U.S. Treasury Obligations | $ | 0 | $ | (157,447 | ) | $ | 0 | $ | 0 | $ | (157,447 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 0 | $ | (157,447 | ) | $ | 0 | $ | 0 | $ | (157,447 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Sale-Buyback Transactions |
| |||||||||||||||||||
U.S. Treasury Obligations | 0 | (92,045 | ) | 0 | 0 | (92,045 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 0 | $ | (92,045 | ) | $ | 0 | $ | 0 | $ | (92,045 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 0 | $ | (249,492 | ) | $ | 0 | $ | 0 | $ | (249,492 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Payable for reverse repurchase agreements and sale-buyback financing transactions |
| $ | (249,492 | ) | ||||||||||||||||
|
| |||||||||||||||||||
Securities Lending Transactions(5) |
| |||||||||||||||||||
Corporate Bonds & Notes | (734 | ) | 0 | 0 | 0 | (734 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | (734 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (734 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Payable for securities lending transactions |
| $ | (734 | ) | ||||||||||||||||
|
|
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 77 |
Table of Contents
Schedule of InvestmentsPIMCO Enhanced Short Maturity Active Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
(h) | Securities with an aggregate market value of $248,807 have been pledged as collateral under the terms of the above master agreements as of December 31, 2019. |
(1) | Includes accrued interest. |
(2) | The average amount of borrowings outstanding during the period ended December 31, 2019 was $(137,123) at a weighted average interest rate of 1.397%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
(3) | Payable for sale-buyback transactions includes $(5) of deferred price drop. |
(4) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
(5) | Includes cash collateral as described in Note 5 in the Notes to Financial Statements. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Corporate Bonds & Notes |
| |||||||||||||||
Banking & Finance | $ | 0 | $ | 4,924,467 | $ | 0 | $ | 4,924,467 | ||||||||
Industrials | 0 | 2,735,215 | 0 | 2,735,215 | ||||||||||||
Utilities | 0 | 530,414 | 0 | 530,414 | ||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
California | 0 | 28,059 | 0 | 28,059 | ||||||||||||
Washington | 0 | 7,437 | 0 | 7,437 | ||||||||||||
U.S. Government Agencies | 0 | 1,175,415 | 0 | 1,175,415 | ||||||||||||
U.S. Treasury Obligations | 0 | 1,187,059 | 0 | 1,187,059 | ||||||||||||
Non-Agency Mortgage-Backed Securities | 0 | 431,484 | 0 | 431,484 | ||||||||||||
Asset-Backed Securities | 0 | 1,803,575 | 0 | 1,803,575 | ||||||||||||
Sovereign Issues | 0 | 201,885 | 0 | 201,885 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Certificates of Deposit | 0 | 164,708 | 0 | 164,708 | ||||||||||||
Commercial Paper | 0 | 656,542 | 0 | 656,542 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Repurchase Agreements | $ | 0 | $ | 572 | $ | 0 | $ | 572 | ||||||||
Short-Term Notes | 0 | 72,253 | 0 | 72,253 | ||||||||||||
U.S. Treasury Bills | 0 | 1,011 | 0 | 1,011 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 0 | $ | 13,920,096 | $ | 0 | $ | 13,920,096 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Investments in Affiliates, at Value |
| |||||||||||||||
Short-Term Instruments |
| |||||||||||||||
Mutual Funds | 1,153 | 0 | 0 | �� | 1,153 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,153 | $ | 13,920,096 | $ | 0 | $ | 13,921,249 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Short Sales, at Value - Liabilities |
| |||||||||||||||
U.S. Government Agencies | $ | 0 | $ | (296,481 | ) | $ | 0 | $ | (296,481 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Totals | $ | 1,153 | $ | 13,623,615 | $ | 0 | $ | 13,624,768 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
78 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Intermediate Municipal Bond Active Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts, and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 99.4% |
| |||||||||||
MUNICIPAL BONDS & NOTES 93.3% |
| |||||||||||
ALABAMA 1.0% |
| |||||||||||
Selma Industrial Development Board, Alabama Revenue Bonds, Series 2019 |
| |||||||||||
2.000% due 11/01/2033 | $ | 1,350 | $ | 1,363 | ||||||||
Southeast Alabama Gas Supply District Revenue Bonds, Series 2018 |
| |||||||||||
4.000% due 06/01/2049 | 2,000 | 2,181 | ||||||||||
|
| |||||||||||
3,544 | ||||||||||||
|
| |||||||||||
ARIZONA 1.6% |
| |||||||||||
Chandler Industrial Development Authority, Arizona Revenue Bonds, Series 2005 |
| |||||||||||
2.400% due 12/01/2035 | 2,750 | 2,848 | ||||||||||
Maricopa County, Arizona Special Health Care District General Obligation Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2029 | 1,940 | 2,452 | ||||||||||
Phoenix Civic Improvement Corp., Arizona Revenue Bonds, Series 2017 |
| |||||||||||
3.125% due 07/01/2034 | 425 | 444 | ||||||||||
|
| |||||||||||
5,744 | ||||||||||||
|
| |||||||||||
CALIFORNIA 2.3% |
| |||||||||||
California State General Obligation Notes, Series 2013 |
| |||||||||||
5.000% due 09/01/2021 | 3,000 | 3,201 | ||||||||||
California Statewide Communities Development Authority Revenue Bonds, Series 2004 |
| |||||||||||
5.000% due 04/01/2038 | 1,175 | 1,536 | ||||||||||
Los Angeles, California Wastewater System Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 06/01/2029 | 1,350 | 1,626 | ||||||||||
Sacramento Municipal Utility District, California Revenue Bonds, Series 2013 |
| |||||||||||
5.000% due 08/15/2029 | 1,000 | 1,136 | ||||||||||
Southern California Public Power Authority Revenue Bonds, Series 2007 |
| |||||||||||
5.250% due 11/01/2020 | 575 | 593 | ||||||||||
|
| |||||||||||
8,092 | ||||||||||||
|
| |||||||||||
COLORADO 2.2% |
| |||||||||||
Board of Governors of Colorado State University System Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 03/01/2028 | 1,580 | 1,885 | ||||||||||
Colorado Health Facilities Authority Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 11/15/2048 | 2,500 | 3,011 | ||||||||||
Colorado Health Facilities Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 08/01/2031 | 850 | 1,046 | ||||||||||
5.000% due 11/15/2049 | 1,500 | 1,847 | ||||||||||
|
| |||||||||||
7,789 | ||||||||||||
|
| |||||||||||
CONNECTICUT 6.0% |
| |||||||||||
Bridgeport, Connecticut General Obligation Notes, Series 2017 |
| |||||||||||
5.000% due 08/15/2023 | 1,635 | 1,822 | ||||||||||
5.000% due 08/15/2027 | 3,000 | 3,635 | ||||||||||
Connecticut Special Tax State Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 01/01/2030 | 3,000 | 3,711 | ||||||||||
5.000% due 10/01/2033 | 1,020 | 1,256 | ||||||||||
Connecticut State General Obligation Bonds, Series 2018 |
| |||||||||||
5.000% due 09/15/2030 | 3,640 | 4,539 | ||||||||||
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2029 | 1,200 | 1,495 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Metropolitan District, Connecticut General Obligation Bonds, Series 2018 |
| |||||||||||
5.000% due 07/15/2029 | $ | 1,845 | $ | 2,332 | ||||||||
Metropolitan District, Connecticut General Obligation Bonds, Series 2019 |
| |||||||||||
5.000% due 07/15/2030 | 2,000 | 2,564 | ||||||||||
|
| |||||||||||
21,354 | ||||||||||||
|
| |||||||||||
DISTRICT OF COLUMBIA 1.0% |
| |||||||||||
District of Columbia Revenue Bonds, Series 2010 |
| |||||||||||
5.000% due 12/01/2024 | 1,000 | 1,016 | ||||||||||
District of Columbia Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 07/15/2028 | 2,000 | 2,389 | ||||||||||
|
| |||||||||||
3,405 | ||||||||||||
|
| |||||||||||
FLORIDA 3.9% |
| |||||||||||
Broward County, Florida Airport System Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 10/01/2023 | 1,000 | 1,105 | ||||||||||
Central Florida Expressway Authority Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2030 | 450 | 565 | ||||||||||
5.000% due 07/01/2031 | 900 | 1,126 | ||||||||||
Escambia County, Florida Revenue Bonds, Series 2009 |
| |||||||||||
1.730% due 04/01/2039 | 500 | 500 | ||||||||||
Florida Municipal Power Agency Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 10/01/2031 | 3,000 | 3,951 | ||||||||||
Florida Municipal Power Agency Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 10/01/2028 | 1,000 | 1,271 | ||||||||||
Jacksonville, Florida Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 10/01/2021 | 1,000 | 1,065 | ||||||||||
JEA Water & Sewer System, Florida Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 10/01/2025 | 1,500 | 1,573 | ||||||||||
Lakeland, Florida Department of Electric Utilities Revenue Bonds, Series 2016 |
| |||||||||||
5.000% due 10/01/2026 | 505 | 613 | ||||||||||
Osceola County, Florida Transportation Revenue Notes, Series 2020 |
| |||||||||||
0.000% due 10/01/2026 (a)(b) | 275 | 237 | ||||||||||
0.000% due 10/01/2028 (a)(b) | 475 | 382 | ||||||||||
Palm Beach County, Florida Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 06/01/2023 | 1,300 | 1,420 | ||||||||||
|
| |||||||||||
13,808 | ||||||||||||
|
| |||||||||||
GEORGIA 4.6% |
| |||||||||||
Atlanta Department of Aviation, Georgia Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 01/01/2025 | 500 | 538 | ||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2008 |
| |||||||||||
2.925% due 11/01/2048 | 3,000 | 3,140 | ||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2012 |
| |||||||||||
1.700% due 12/01/2049 | 2,000 | 1,998 | ||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2017 |
| |||||||||||
3.250% due 11/01/2045 | 3,750 | 3,920 | ||||||||||
Cobb County, Georgia Kennestone Hospital Authority Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 04/01/2028 | 600 | 730 | ||||||||||
LaGrange-Troup County, Georgia Hospital Authority Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 04/01/2028 | 700 | 852 | ||||||||||
Main Street Natural Gas, Inc., Georgia Revenue Bonds, Series 2019 |
| |||||||||||
4.000% due 03/01/2050 | 2,000 | 2,264 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Municipal Electric Authority of Georgia Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 01/01/2031 | $ | 600 | $ | 729 | ||||||||
5.000% due 01/01/2032 | 525 | 636 | ||||||||||
Municipal Electric Authority of Georgia Revenue Notes, Series 2011 |
| |||||||||||
5.000% due 01/01/2020 | 250 | 250 | ||||||||||
Municipal Electric Authority of Georgia Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 01/01/2029 | 500 | 614 | ||||||||||
5.000% due 01/01/2030 | 500 | 610 | ||||||||||
|
| |||||||||||
16,281 | ||||||||||||
|
| |||||||||||
GUAM 0.2% |
| |||||||||||
Guam Government Waterworks Authority Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 07/01/2023 | 770 | 855 | ||||||||||
|
| |||||||||||
HAWAII 0.7% |
| |||||||||||
Honolulu, Hawaii City & County General Obligation Bonds, Series 2015 |
| |||||||||||
5.000% due 10/01/2030 | 2,000 | 2,384 | ||||||||||
|
| |||||||||||
ILLINOIS 8.7% |
| |||||||||||
Chicago Midway International Airport, Illinois Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 01/01/2035 | 6,500 | 7,347 | ||||||||||
Chicago, Illinois General Obligation Bonds, Series 2015 |
| |||||||||||
5.250% due 01/01/2027 | 4,000 | 4,532 | ||||||||||
Chicago, Illinois General Obligation Notes, Series 2015 |
| |||||||||||
5.000% due 01/01/2026 | 2,000 | 2,243 | ||||||||||
Illinois Finance Authority Revenue Bonds, Series 2019 |
| |||||||||||
2.450% due 10/01/2039 | 2,000 | 2,024 | ||||||||||
Illinois State General Obligation Bonds, Series 2012 |
| |||||||||||
4.000% due 01/01/2024 | 4,000 | 4,130 | ||||||||||
Illinois State Revenue Bonds, Series 2013 |
| |||||||||||
5.000% due 06/15/2025 | 1,500 | 1,629 | ||||||||||
Illinois State Toll Highway Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 01/01/2030 | 2,500 | 3,152 | ||||||||||
Illinois State Toll Highway Authority Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 01/01/2027 | 1,525 | 1,878 | ||||||||||
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 06/01/2023 | 1,100 | 1,231 | ||||||||||
Regional Transportation Authority, Illinois Revenue Bonds, (FGIC Insured), Series 2003 |
| |||||||||||
5.750% due 06/01/2033 | 1,800 | 2,407 | ||||||||||
|
| |||||||||||
30,573 | ||||||||||||
|
| |||||||||||
INDIANA 1.1% |
| |||||||||||
Indiana Finance Authority Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 02/01/2030 | 1,500 | 1,889 | ||||||||||
Indiana Municipal Power Agency Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 01/01/2029 | 285 | 362 | ||||||||||
Rockport, Indiana Revenue Bonds, Series 2009 |
| |||||||||||
3.050% due 06/01/2025 | 1,500 | 1,614 | ||||||||||
|
| |||||||||||
3,865 | ||||||||||||
|
| |||||||||||
IOWA 0.8% |
| |||||||||||
Iowa Finance Authority Revenue Bonds, Series 2018 |
| |||||||||||
1.670% due 02/15/2041 | 2,840 | 2,840 | ||||||||||
|
| |||||||||||
KENTUCKY 1.8% |
| |||||||||||
Kentucky Public Energy Authority Revenue Bonds, Series 2018 |
| |||||||||||
4.000% due 01/01/2049 | 3,000 | 3,314 |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 79 |
Table of Contents
Schedule of InvestmentsPIMCO Intermediate Municipal Bond Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Kentucky State Property & Building Commission Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 11/01/2031 | $ | 2,500 | $ | 3,068 | ||||||||
|
| |||||||||||
6,382 | ||||||||||||
|
| |||||||||||
LOUISIANA 2.0% |
| |||||||||||
East Baton Rouge Sewerage Commission, Louisiana Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 02/01/2031 | 2,330 | 3,046 | ||||||||||
Louisiana Public Facilities Authority Revenue Bonds, Series 2016 |
| |||||||||||
3.375% due 09/01/2028 | 2,000 | 2,035 | ||||||||||
Louisiana Public Facilities Authority Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 05/15/2028 | 855 | 1,035 | ||||||||||
Parish of St John the Baptist, Louisiana Revenue Bonds, Series 2017 |
| |||||||||||
2.200% due 06/01/2037 | 910 | 919 | ||||||||||
|
| |||||||||||
7,035 | ||||||||||||
|
| |||||||||||
MAINE 0.3% |
| |||||||||||
Portland, Maine General Airport Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 01/01/2028 | 300 | 373 | ||||||||||
5.000% due 01/01/2029 | 225 | 284 | ||||||||||
5.000% due 01/01/2030 | 270 | 345 | ||||||||||
|
| |||||||||||
1,002 | ||||||||||||
|
| |||||||||||
MASSACHUSETTS 0.9% |
| |||||||||||
Massachusetts Development Finance Agency Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2030 | 1,500 | 1,858 | ||||||||||
Massachusetts School Building Authority Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 08/15/2022 | 1,175 | 1,294 | ||||||||||
|
| |||||||||||
3,152 | ||||||||||||
|
| |||||||||||
MICHIGAN 1.9% |
| |||||||||||
Detroit City School District, Michigan General Obligation Bonds,(AGM/Q-SBLF Insured), Series 2001 |
| |||||||||||
6.000% due 05/01/2029 | 4,380 | 5,476 | ||||||||||
Michigan Finance Authority Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 07/01/2030 | 1,200 | 1,405 | ||||||||||
|
| |||||||||||
6,881 | ||||||||||||
|
| |||||||||||
MINNESOTA 0.3% |
| |||||||||||
Rochester, Minnesota Electric Utility Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 12/01/2029 | 1,000 | 1,225 | ||||||||||
|
| |||||||||||
MISSISSIPPI 0.4% |
| |||||||||||
Mississippi Business Finance Corp. Revenue Bonds, Series 2002 |
| |||||||||||
3.200% due 09/01/2028 | 1,500 | 1,537 | ||||||||||
|
| |||||||||||
MISSOURI 0.5% |
| |||||||||||
St Louis, Missouri Revenue Notes, Series 2019 |
| |||||||||||
2.500% due 06/01/2020 | 1,750 | 1,759 | ||||||||||
|
| |||||||||||
NEBRASKA 0.6% |
| |||||||||||
Public Power Generation Agency, Nebraska Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 01/01/2025 | 1,905 | 2,232 | ||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
NEVADA 1.1% |
| |||||||||||
Clark Department of Aviation, Nevada Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 07/01/2031 | $ | 1,750 | $ | 2,232 | ||||||||
Las Vegas Valley Water District, Nevada General Obligation Bonds, Series 2015 |
| |||||||||||
5.000% due 06/01/2034 | 1,500 | 1,740 | ||||||||||
|
| |||||||||||
3,972 | ||||||||||||
|
| |||||||||||
NEW HAMPSHIRE 0.4% |
| |||||||||||
Merrimack County, New Hampshire General Obligation Notes, Series 2012 |
| |||||||||||
5.000% due 12/01/2022 | 1,115 | 1,240 | ||||||||||
|
| |||||||||||
NEW JERSEY 4.9% |
| |||||||||||
New Jersey Economic Development Authority Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 06/15/2023 | 1,000 | 1,078 | ||||||||||
New Jersey Economic Development Authority Revenue Bonds, Series 2013 |
| |||||||||||
3.160% (MUNIPSA + 1.550%) due 09/01/2027 ~ | 3,000 | 3,010 | ||||||||||
New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2011 |
| |||||||||||
5.000% due 07/01/2023 | 1,000 | 1,094 | ||||||||||
New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2011 |
| |||||||||||
5.250% due 06/15/2024 | 2,500 | 2,649 | ||||||||||
New Jersey Transportation Trust Fund Authority Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 06/15/2022 | 1,000 | 1,084 | ||||||||||
New Jersey Turnpike Authority Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 01/01/2030 | 2,250 | 2,750 | ||||||||||
Tobacco Settlement Financing Corp., New Jersey Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 06/01/2031 | 1,500 | 1,816 | ||||||||||
Tobacco Settlement Financing Corp., New Jersey Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 06/01/2025 | 1,020 | 1,190 | ||||||||||
5.000% due 06/01/2028 | 2,000 | 2,464 | ||||||||||
|
| |||||||||||
17,135 | ||||||||||||
|
| |||||||||||
NEW YORK 13.3% |
| |||||||||||
Erie County, New York Industrial Development Agency Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 05/01/2022 | 1,000 | 1,090 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 11/15/2029 | 3,000 | 3,572 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 05/15/2022 | 2,500 | 2,710 | ||||||||||
Monroe County Industrial Development Corp., New York Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 12/01/2027 | 1,000 | 1,211 | ||||||||||
Nassau County, New York General Obligation Notes, Series 2016 |
| |||||||||||
5.000% due 04/01/2026 | 1,360 | 1,651 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured, New York Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 08/01/2031 | 5,000 | 5,798 | ||||||||||
New York City, New York Housing Development Corp. Revenue Bonds, Series 2013 |
| |||||||||||
5.250% due 07/01/2031 | 2,500 | 2,791 | ||||||||||
New York City, New York Transitional Finance Authority Building Aid Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/15/2031 | 1,520 | 1,909 | ||||||||||
New York Convention Center Development Corp. Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 11/15/2027 | 2,000 | 2,415 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
New York State Dormitory Authority Revenue Bonds, Series 2011 |
| |||||||||||
5.000% due 05/01/2022 | $ | 2,000 | $ | 2,104 | ||||||||
New York State Dormitory Authority Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 12/15/2025 | 405 | 451 | ||||||||||
New York State Dormitory Authority Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 03/15/2031 | 3,000 | 3,793 | ||||||||||
5.000% due 01/15/2032 | 500 | 623 | ||||||||||
New York State Dormitory Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 05/01/2048 | 2,535 | 2,864 | ||||||||||
New York State Energy Research & Development Authority Revenue Bonds, Series 1994 |
| |||||||||||
3.500% due 10/01/2029 | 3,000 | 3,430 | ||||||||||
Triborough Bridge & Tunnel Authority, New York Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 11/15/2025 | 2,000 | 2,223 | ||||||||||
Triborough Bridge & Tunnel Authority, New York Revenue Bonds, Series 2013 |
| |||||||||||
5.000% due 11/15/2027 | 2,075 | 2,377 | ||||||||||
5.000% due 11/15/2028 | 825 | 943 | ||||||||||
TSASC, Inc., New York Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 06/01/2026 | 1,270 | 1,515 | ||||||||||
5.000% due 06/01/2027 | 2,800 | 3,401 | ||||||||||
|
| |||||||||||
46,871 | ||||||||||||
|
| |||||||||||
NORTH CAROLINA 1.4% |
| |||||||||||
North Carolina Medical Care Commission Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 06/01/2023 | 1,665 | 1,817 | ||||||||||
5.000% due 10/01/2027 | 1,120 | 1,228 | ||||||||||
North Carolina State Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 03/01/2020 | 1,750 | 1,761 | ||||||||||
University of North Carolina at Greensboro Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 04/01/2026 | 250 | 288 | ||||||||||
|
| |||||||||||
5,094 | ||||||||||||
|
| |||||||||||
OHIO 2.7% |
| |||||||||||
American Municipal Power, Inc., Ohio Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 02/15/2022 | 800 | 863 | ||||||||||
Butler County, Ohio Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 11/15/2030 | 1,235 | 1,497 | ||||||||||
Cuyahoga County, Ohio Certificates of Participation Bonds, Series 2014 |
| |||||||||||
5.000% due 12/01/2025 | 3,000 | 3,452 | ||||||||||
Hamilton County, Ohio Sales Tax Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 12/01/2026 | 750 | 929 | ||||||||||
Ohio Water Development Authority Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 12/01/2028 | 1,000 | 1,297 | ||||||||||
University of Cincinnati, Ohio Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 06/01/2024 | 1,250 | 1,366 | ||||||||||
|
| |||||||||||
9,404 | ||||||||||||
|
| |||||||||||
PENNSYLVANIA 6.8% |
| |||||||||||
Commonwealth Financing Authority, Pennsylvania Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 06/01/2031 | 1,340 | 1,645 | ||||||||||
Commonwealth Financing Authority, Pennsylvania Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 06/01/2025 | 1,500 | 1,769 | ||||||||||
Commonwealth of Pennsylvania General Obligation Notes, Series 2016 |
| |||||||||||
5.000% due 01/15/2027 | 2,000 | 2,465 |
80 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Delaware River Joint Toll Bridge Commission, Pennsylvania Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 07/01/2026 | $ | 1,500 | $ | 1,848 | ||||||||
Delaware River Port Authority, Pennsylvania Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 01/01/2023 | 900 | 990 | ||||||||||
Lehigh County, Pennsylvania Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 07/01/2029 | 1,310 | 1,655 | ||||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds, Series 2009 |
| |||||||||||
2.800% due 12/01/2033 | 1,000 | 1,029 | ||||||||||
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2011 |
| |||||||||||
5.250% due 06/15/2023 | 2,500 | 2,647 | ||||||||||
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 08/15/2029 | 340 | 404 | ||||||||||
5.000% due 08/15/2031 | 300 | 354 | ||||||||||
5.000% due 08/15/2033 | 1,000 | 1,174 | ||||||||||
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2017 |
| |||||||||||
5.000% due 08/15/2029 | 1,250 | 1,551 | ||||||||||
Pennsylvania Turnpike Commission Revenue Notes, Series 2014 |
| |||||||||||
2.490% (MUNIPSA + 0.880%) due 12/01/2020 ~ | 4,500 | 4,514 | ||||||||||
Philadelphia Gas Works, Co., Pennsylvania Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 08/01/2027 | 750 | 888 | ||||||||||
Philadelphia Gas Works, Colorado, Pennsylvania Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 08/01/2026 | 1,000 | 1,189 | ||||||||||
|
| |||||||||||
24,122 | ||||||||||||
|
| |||||||||||
PUERTO RICO 0.4% |
| |||||||||||
Puerto Rico Electric Power Authority Revenue Bonds, (AGM Insured), Series 2007 |
| |||||||||||
1.926% (0.67*US0003M + 0.520%) due 07/01/2029 ~ | 1,280 | 1,267 | ||||||||||
|
| |||||||||||
RHODE ISLAND 2.4% |
| |||||||||||
Tobacco Settlement Financing Corp., Rhode Island Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 06/01/2035 | 7,500 | 8,423 | ||||||||||
|
| |||||||||||
SOUTH DAKOTA 0.6% |
| |||||||||||
South Dakota Health & Educational Facilities Authority Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 11/01/2027 | 925 | 1,071 | ||||||||||
South Dakota Health & Educational Facilities Authority Revenue Bonds, Series 2015 |
| |||||||||||
5.000% due 11/01/2028 | 900 | 1,062 | ||||||||||
|
| |||||||||||
2,133 | ||||||||||||
|
| |||||||||||
TENNESSEE 2.8% |
| |||||||||||
Tennergy Corp., Tennessee Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 02/01/2050 | 3,000 | 3,451 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006 |
| |||||||||||
5.000% due 02/01/2021 | $ | 870 | $ | 902 | ||||||||
5.000% due 02/01/2027 | 3,000 | 3,570 | ||||||||||
5.250% due 09/01/2026 | 1,745 | 2,088 | ||||||||||
|
| |||||||||||
10,011 | ||||||||||||
|
| |||||||||||
TEXAS 8.2% |
| |||||||||||
Austin Convention Enterprises, Inc., Texas Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 01/01/2026 | 750 | 882 | ||||||||||
Corpus Christi Independent School District, Texas General Obligation Notes, (PSF Insured), Series 2016 |
| |||||||||||
5.000% due 08/15/2025 | 2,115 | 2,539 | ||||||||||
Dallas, Texas Waterworks & Sewer System Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 10/01/2023 | 1,000 | 1,105 | ||||||||||
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008 |
| |||||||||||
1.680% due 12/01/2024 | 2,550 | 2,550 | ||||||||||
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2014 |
| |||||||||||
5.000% due 12/01/2025 | 500 | 583 | ||||||||||
Houston, Texas Airport System Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2030 | 3,300 | 4,146 | ||||||||||
Katy Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2018 |
| |||||||||||
5.000% due 02/15/2029 | 1,435 | 1,814 | ||||||||||
North Texas Tollway Authority Revenue Bonds, Series 2016 |
| |||||||||||
5.000% due 01/01/2028 | 2,875 | 3,453 | ||||||||||
Pflugerville Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2012 |
| |||||||||||
5.000% due 02/15/2024 | 1,165 | 1,258 | ||||||||||
San Antonio Public Facilities Corp., Texas Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 09/15/2025 | 1,000 | 1,099 | ||||||||||
Tarrant County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2012 |
| |||||||||||
1.520% due 11/15/2047 | 2,595 | 2,595 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008 |
| |||||||||||
6.250% due 12/15/2026 | 1,830 | 2,155 | ||||||||||
Texas Water Development Board Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 04/15/2030 | 250 | 319 | ||||||||||
5.000% due 10/15/2030 | 3,010 | 3,828 | ||||||||||
University of Texas System Revenue Bonds, Series 2010 |
| |||||||||||
5.000% due 08/15/2022 | 500 | 551 | ||||||||||
|
| |||||||||||
28,877 | ||||||||||||
|
| |||||||||||
UTAH 0.9% |
| |||||||||||
Murray, Utah Revenue Bonds, Series 2005 |
| |||||||||||
1.680% due 05/15/2037 | 3,000 | 3,000 | ||||||||||
|
| |||||||||||
WASHINGTON 3.3% |
| |||||||||||
Energy Northwest, Washington Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2031 | 3,035 | 3,828 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Seattle, Washington Solid Waste Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 05/01/2024 | $ | 545 | $ | 633 | ||||||||
Washington Health Care Facilities Authority Revenue Bonds, Series 2017 |
| |||||||||||
2.660% (MUNIPSA + 1.050%) due 01/01/2042 ~ | 2,500 | 2,544 | ||||||||||
Washington State Convention Center Public Facilities District Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 07/01/2030 | 750 | 933 | ||||||||||
5.000% due 07/01/2031 | 1,200 | 1,487 | ||||||||||
Washington State Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 09/01/2023 | 2,000 | 2,204 | ||||||||||
|
| |||||||||||
11,629 | ||||||||||||
|
| |||||||||||
WEST VIRGINIA 0.6% |
| |||||||||||
Mason County, West Virginia Revenue Bonds, Series 2003 |
| |||||||||||
2.750% due 10/01/2022 | 2,000 | 2,071 | ||||||||||
|
| |||||||||||
WISCONSIN 0.7% |
| |||||||||||
Wisconsin Health & Educational Facilities Authority Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 04/01/2029 | 1,925 | 2,439 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes (Cost $312,216) | 329,427 | |||||||||||
|
| |||||||||||
SHORT-TERM INSTRUMENTS 6.1% |
| |||||||||||
COMMERCIAL PAPER 1.0% |
| |||||||||||
DISTRICT OF COLUMBIA |
| |||||||||||
1.150% due 01/09/2020 | 3,500 | 3,500 | ||||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS (d) 0.2% |
| |||||||||||
597 | ||||||||||||
|
| |||||||||||
SHORT-TERM NOTES 4.9% |
| |||||||||||
Federal Home Loan Bank |
| |||||||||||
1.584% due 01/10/2020 (b)(c) | 5,500 | 5,498 | ||||||||||
1.585% due 01/27/2020 (b)(c) | 3,200 | 3,197 | ||||||||||
1.596% due 02/12/2020 (b)(c) | 2,700 | 2,695 | ||||||||||
School District of Philadelphia, Pennsylvania Revenue Notes, Series 2019 |
| |||||||||||
4.000% due 03/31/2020 | 2,400 | 2,417 | ||||||||||
Texas State Revenue Notes, Series 2019 |
| |||||||||||
4.000% due 08/27/2020 | 3,500 | 3,566 | ||||||||||
|
| |||||||||||
17,373 | ||||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $21,463) | 21,470 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $333,679) | 350,897 | |||||||||||
Total Investments 99.4% (Cost $333,679) |
| $ | 350,897 | |||||||||
Other Assets and Liabilities, net 0.6% | 2,241 | |||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 353,138 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
(a) | When-issued security. |
(b) | Zero coupon security. |
(c) | Coupon represents a yield to maturity. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 81 |
Table of Contents
Schedule of InvestmentsPIMCO Intermediate Municipal Bond Active Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(d) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.250 | % | 12/31/2019 | 01/02/2020 | $ | 597 | U.S. Treasury Notes 2.750% due 09/15/2021 | $ | (611 | ) | $ | 597 | $ | 597 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (611 | ) | $ | 597 | $ | 597 | ||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(2) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
FICC | $ | 597 | $ | 0 | $ | 0 | $ | 597 | $ | (611 | ) | $ | (14 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 597 | $ | 0 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Alabama | $ | 0 | $ | 3,544 | $ | 0 | $ | 3,544 | ||||||||
Arizona | 0 | 5,744 | 0 | 5,744 | ||||||||||||
California | 0 | 8,092 | 0 | 8,092 | ||||||||||||
Colorado | 0 | 7,789 | 0 | 7,789 | ||||||||||||
Connecticut | 0 | 21,354 | 0 | 21,354 | ||||||||||||
District of Columbia | 0 | 3,405 | 0 | 3,405 | ||||||||||||
Florida | 0 | 13,808 | 0 | 13,808 | ||||||||||||
Georgia | 0 | 16,281 | 0 | 16,281 | ||||||||||||
Guam | 0 | 855 | 0 | 855 | ||||||||||||
Hawaii | 0 | 2,384 | 0 | 2,384 | ||||||||||||
Illinois | 0 | 30,573 | 0 | 30,573 | ||||||||||||
Indiana | 0 | 3,865 | 0 | 3,865 | ||||||||||||
Iowa | 0 | 2,840 | 0 | 2,840 | ||||||||||||
Kentucky | 0 | 6,382 | 0 | 6,382 | ||||||||||||
Louisiana | 0 | 7,035 | 0 | 7,035 | ||||||||||||
Maine | 0 | 1,002 | 0 | 1,002 | ||||||||||||
Massachusetts | 0 | 3,152 | 0 | 3,152 | ||||||||||||
Michigan | 0 | 6,881 | 0 | 6,881 | ||||||||||||
Minnesota | 0 | 1,225 | 0 | 1,225 | ||||||||||||
Mississippi | 0 | 1,537 | 0 | 1,537 | ||||||||||||
Missouri | 0 | 1,759 | 0 | 1,759 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Nebraska | $ | 0 | $ | 2,232 | $ | 0 | $ | 2,232 | ||||||||
Nevada | 0 | 3,972 | 0 | 3,972 | ||||||||||||
New Hampshire | 0 | 1,240 | 0 | 1,240 | ||||||||||||
New Jersey | 0 | 17,135 | 0 | 17,135 | ||||||||||||
New York | 0 | 46,871 | 0 | 46,871 | ||||||||||||
North Carolina | 0 | 5,094 | 0 | 5,094 | ||||||||||||
Ohio | 0 | 9,404 | 0 | 9,404 | ||||||||||||
Pennsylvania | 0 | 24,122 | 0 | 24,122 | ||||||||||||
Puerto Rico | 0 | 1,267 | 0 | 1,267 | ||||||||||||
Rhode Island | 0 | 8,423 | 0 | 8,423 | ||||||||||||
South Dakota | 0 | 2,133 | 0 | 2,133 | ||||||||||||
Tennessee | 0 | 10,011 | 0 | 10,011 | ||||||||||||
Texas | 0 | 28,877 | 0 | 28,877 | ||||||||||||
Utah | 0 | 3,000 | 0 | 3,000 | ||||||||||||
Washington | 0 | 11,629 | 0 | 11,629 | ||||||||||||
West Virginia | 0 | 2,071 | 0 | 2,071 | ||||||||||||
Wisconsin | 0 | 2,439 | 0 | 2,439 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Commercial Paper | 0 | 3,500 | 0 | 3,500 | ||||||||||||
Repurchase Agreements | 0 | 597 | 0 | 597 | ||||||||||||
Short-Term Notes | 0 | 17,373 | 0 | 17,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 350,897 | $ | 0 | $ | 350,897 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
82 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
Schedule of InvestmentsPIMCO Short Term Municipal Bond Active Exchange-Traded Fund
December 31, 2019 (Unaudited)
(Amounts in thousands*, except number of shares, contracts, and units, if any)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
INVESTMENTS IN SECURITIES 99.4% |
| |||||||||||
MUNICIPAL BONDS & NOTES 92.4% |
| |||||||||||
ALABAMA 2.2% |
| |||||||||||
Black Belt Energy Gas District, Alabama Revenue Bonds, Series 2018 |
| |||||||||||
4.000% due 12/01/2048 | $ | 1,000 | $ | 1,080 | ||||||||
Prattville Industrial Development Board, Alabama Revenue Bonds, Series 2019 |
| |||||||||||
2.000% due 11/01/2033 | 450 | 454 | ||||||||||
Southeast Alabama Gas Supply District Revenue Bonds, Series 2018 |
| |||||||||||
4.000% due 06/01/2049 | 1,000 | 1,091 | ||||||||||
|
| |||||||||||
2,625 | ||||||||||||
|
| |||||||||||
ARIZONA 2.2% |
| |||||||||||
Chandler Industrial Development Authority, Arizona Revenue Bonds, Series 2005 |
| |||||||||||
2.400% due 12/01/2035 | 1,000 | 1,036 | ||||||||||
Industrial Development Authority of the City of Phoenix, Arizona Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 07/01/2024 | 200 | 228 | ||||||||||
Industrial Development Authority of the County, Arizona of Yavapai Revenue Notes, Series 2010 |
| |||||||||||
1.200% due 04/01/2029 | 1,000 | 1,000 | ||||||||||
Maricopa County, Arizona Special Health Care District General Obligation Notes, Series 2018 |
| |||||||||||
5.000% due 07/01/2024 | 350 | 407 | ||||||||||
|
| |||||||||||
2,671 | ||||||||||||
|
| |||||||||||
CALIFORNIA 0.6% |
| |||||||||||
Southern California Public Power Authority Revenue Bonds, Series 2018 |
| |||||||||||
1.860% (MUNIPSA + 0.250%) due 07/01/2040 ~ | 750 | 750 | ||||||||||
|
| |||||||||||
CONNECTICUT 4.8% |
| |||||||||||
Bridgeport, Connecticut General Obligation Notes, Series 2017 |
| |||||||||||
5.000% due 11/01/2021 | 650 | 696 | ||||||||||
5.000% due 08/15/2023 | 500 | 557 | ||||||||||
Connecticut Special Tax State Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 10/01/2025 | 1,000 | 1,199 | ||||||||||
Connecticut State General Obligation Notes, Series 2014 |
| |||||||||||
5.000% due 11/15/2022 | 250 | 277 | ||||||||||
Connecticut State General Obligation Notes, Series 2015 |
| |||||||||||
5.000% due 08/01/2025 | 350 | 417 | ||||||||||
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 1999 |
| |||||||||||
2.000% due 07/01/2033 | 1,000 | 1,017 | ||||||||||
Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2015 |
| |||||||||||
2.112% (0.68*US0001M + 0.950%) due 07/01/2049 ~ | 1,000 | 1,001 | ||||||||||
Metropolitan District, Connecticut General Obligation Notes, Series 2018 |
| |||||||||||
5.000% due 07/15/2023 | 500 | 566 | ||||||||||
|
| |||||||||||
5,730 | ||||||||||||
|
| |||||||||||
DISTRICT OF COLUMBIA 0.5% |
| |||||||||||
District of Columbia Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 04/01/2022 | 500 | 541 | ||||||||||
|
| |||||||||||
FLORIDA 7.4% |
| |||||||||||
Central Florida Expressway Authority Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 07/01/2023 | 700 | 791 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 06/01/2021 | $ | 280 | $ | 295 | ||||||||
Citizens Property Insurance Corp., Florida Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 06/01/2020 | 350 | 350 | ||||||||||
Florida Municipal Power Agency Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 10/01/2020 | 250 | 257 | ||||||||||
Florida Municipal Power Agency Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 10/01/2025 | 250 | 300 | ||||||||||
5.000% due 10/01/2026 | 470 | 577 | ||||||||||
Florida State General Obligation Notes, Series 2015 |
| |||||||||||
5.000% due 06/01/2022 | 750 | 820 | ||||||||||
Jacksonville, Florida Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 10/01/2021 | 915 | 975 | ||||||||||
JEA Electric System, Florida Revenue Bonds, Series 2008 |
| |||||||||||
1.710% due 10/01/2034 | 1,200 | 1,200 | ||||||||||
Lee Memorial Health System, Florida Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 04/01/2033 | 1,000 | 1,181 | ||||||||||
Miami-Dade County, Florida Water & Sewer System Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 10/01/2020 | 650 | 669 | ||||||||||
5.000% due 10/01/2024 | 710 | 835 | ||||||||||
Miami-Dade Seaport Department, Florida Revenue Notes, Series 2013 |
| |||||||||||
5.000% due 10/01/2023 | 550 | 617 | ||||||||||
|
| |||||||||||
8,867 | ||||||||||||
|
| |||||||||||
GEORGIA 3.2% |
| |||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2008 |
| |||||||||||
2.925% due 11/01/2048 | 500 | 523 | ||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2012 |
| |||||||||||
1.700% due 12/01/2049 | 500 | 500 | ||||||||||
Burke County, Georgia Development Authority Revenue Bonds, Series 2017 |
| |||||||||||
3.000% due 11/01/2045 | 1,000 | 1,027 | ||||||||||
Main Street Natural Gas, Inc., Georgia Revenue Bonds, Series 2019 |
| |||||||||||
4.000% due 03/01/2050 | 700 | 793 | ||||||||||
Monroe County, Georgia Development Authority Revenue Bonds, Series 2002 |
| |||||||||||
2.000% due 09/01/2037 | 1,000 | 1,003 | ||||||||||
|
| |||||||||||
3,846 | ||||||||||||
|
| |||||||||||
ILLINOIS 5.3% |
| |||||||||||
Chicago, Illinois General Obligation Bonds, Series 2012 |
| |||||||||||
5.000% due 01/01/2023 | 1,000 | 1,053 | ||||||||||
Illinois Finance Authority Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 11/15/2020 | 540 | 557 | ||||||||||
Illinois Health Facilities Authority Revenue Bonds, Series 1996 |
| |||||||||||
1.720% due 08/15/2035 | 1,125 | 1,125 | ||||||||||
Illinois State General Obligation Notes, Series 2016 |
| |||||||||||
5.000% due 06/01/2022 | 750 | 804 | ||||||||||
Illinois State Toll Highway Authority Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 12/01/2020 | 250 | 259 | ||||||||||
Illinois State Toll Highway Authority Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 01/01/2025 | 500 | 588 | ||||||||||
5.000% due 01/01/2026 | 375 | 452 | ||||||||||
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2010 |
| |||||||||||
5.250% due 06/01/2020 | 1,115 | 1,133 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Railsplitter Tobacco Settlement Authority, Illinois Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 06/01/2023 | $ | 350 | $ | 392 | ||||||||
|
| |||||||||||
6,363 | ||||||||||||
|
| |||||||||||
INDIANA 2.5% |
| |||||||||||
Indiana Finance Authority Revenue Bonds, Series 2011 |
| |||||||||||
1.650% due 03/01/2027 | 650 | 654 | ||||||||||
Indianapolis Local Public Improvement Bond Bank Revenue Notes, Series 2019 |
| |||||||||||
1.450% due 06/01/2021 | 800 | 800 | ||||||||||
Rockport, Indiana Revenue Bonds, Series 2009 |
| |||||||||||
3.050% due 06/01/2025 | 750 | 807 | ||||||||||
Whiting, Indiana Revenue Bonds, Series 2009 |
| |||||||||||
5.250% due 01/01/2021 | 750 | 779 | ||||||||||
|
| |||||||||||
3,040 | ||||||||||||
|
| |||||||||||
KENTUCKY 1.8% |
| |||||||||||
Kentucky Public Energy Authority Revenue Bonds, Series 2018 |
| |||||||||||
4.000% due 01/01/2049 | 500 | 552 | ||||||||||
Louisville & Jefferson County, Kentucky Metropolitan Sewer District Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 05/15/2021 | 1,000 | 1,053 | ||||||||||
Louisville/Jefferson County, Kentucky Metropolitan Government Revenue Bonds, Series 2007 |
| |||||||||||
1.650% due 06/01/2033 | 500 | 502 | ||||||||||
|
| |||||||||||
2,107 | ||||||||||||
|
| |||||||||||
LOUISIANA 0.3% |
| |||||||||||
Parish of St John the Baptist, Louisiana Revenue Bonds, Series 2017 |
| |||||||||||
2.100% due 06/01/2037 | 300 | 303 | ||||||||||
|
| |||||||||||
MASSACHUSETTS 2.3% |
| |||||||||||
Massachusetts Development Finance Agency Revenue Bonds, Series 2017 |
| |||||||||||
2.110% (MUNIPSA + 0.500%) due 07/01/2038 ~ | 1,000 | 1,002 | ||||||||||
Massachusetts Development Finance Agency Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 07/01/2021 | 575 | 608 | ||||||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 01/01/2039 | 1,000 | 1,110 | ||||||||||
|
| |||||||||||
2,720 | ||||||||||||
|
| |||||||||||
MICHIGAN 2.1% |
| |||||||||||
Michigan Finance Authority Revenue Notes, Series 2010 |
| |||||||||||
5.000% due 12/01/2020 | 780 | 807 | ||||||||||
Michigan State Hospital Finance Authority Revenue Bonds, Series 2010 |
| |||||||||||
4.000% due 11/15/2047 | 1,500 | 1,647 | ||||||||||
|
| |||||||||||
2,454 | ||||||||||||
|
| |||||||||||
MINNESOTA 0.2% |
| |||||||||||
Minneapolis-St. Paul Metropolitan Airports Commission, Minnesota Revenue Notes, Series 2016 |
| |||||||||||
4.000% due 01/01/2021 | 250 | 257 | ||||||||||
|
| |||||||||||
MISSISSIPPI 0.7% |
| |||||||||||
Warren County, Mississippi Revenue Bonds, Series 2018 |
| |||||||||||
2.900% due 09/01/2032 | 750 | 781 | ||||||||||
|
| |||||||||||
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 83 |
Table of Contents
Schedule of InvestmentsPIMCO Short Term Municipal Bond Active Exchange-Traded Fund(Cont.)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
MISSOURI 2.2% |
| |||||||||||
St Louis, Missouri Revenue Notes, Series 2019 |
| |||||||||||
2.500% due 06/01/2020 | $ | 1,000 | $ | 1,005 | ||||||||
University of Missouri Revenue Bonds, Series 2007 |
| |||||||||||
1.660% due 11/01/2031 | 1,655 | 1,655 | ||||||||||
|
| |||||||||||
2,660 | ||||||||||||
|
| |||||||||||
MONTANA 0.8% |
| |||||||||||
Montana Facility Finance Authority Revenue Bonds, Series 2018 |
| |||||||||||
2.160% (MUNIPSA + 0.550%) due 08/15/2037 ~ | 975 | 974 | ||||||||||
|
| |||||||||||
NEBRASKA 1.6% |
| |||||||||||
Lincoln, Nebraska Electric System Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 09/01/2021 | 485 | 516 | ||||||||||
Public Power Generation Agency, Nebraska Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 01/01/2021 | 1,340 | 1,389 | ||||||||||
|
| |||||||||||
1,905 | ||||||||||||
|
| |||||||||||
NEVADA 2.1% |
| |||||||||||
Clark County, Nevada Revenue Bonds, Series 2010 |
| |||||||||||
1.875% due 06/01/2031 | 1,000 | 1,001 | ||||||||||
Clark County, Nevada Revenue Bonds, Series 2017 |
| |||||||||||
1.600% due 01/01/2036 | 1,000 | 1,001 | ||||||||||
Washoe County, Nevada Revenue Bonds, Series 2016 |
| |||||||||||
1.850% due 03/01/2036 | 500 | 505 | ||||||||||
|
| |||||||||||
2,507 | ||||||||||||
|
| |||||||||||
NEW JERSEY 3.2% |
| |||||||||||
New Jersey Economic Development Authority Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 06/15/2020 | 500 | 508 | ||||||||||
New Jersey Health Care Facilities Financing Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 07/01/2042 | 900 | 1,068 | ||||||||||
New Jersey Turnpike Authority Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 01/01/2020 | 1,070 | 1,070 | ||||||||||
South Jersey Port Corp., New Jersey Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 01/01/2020 | 350 | 350 | ||||||||||
Tobacco Settlement Financing Corp., New Jersey Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 06/01/2022 | 750 | 810 | ||||||||||
|
| |||||||||||
3,806 | ||||||||||||
|
| |||||||||||
NEW YORK 11.0% |
| |||||||||||
Brooklyn Arena Local Development Corp., New York Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 07/15/2020 | 500 | 509 | ||||||||||
5.000% due 07/15/2021 | 585 | 614 | ||||||||||
Long Island Power Authority, New York Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 09/01/2021 | 140 | 149 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Bonds, Series 2012 |
| |||||||||||
5.000% due 11/15/2024 | 65 | 72 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 11/15/2020 | 770 | 795 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 11/15/2021 | 250 | 268 | ||||||||||
Metropolitan Transportation Authority, New York Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 11/15/2024 | 1,000 | 1,172 |
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Metropolitan Transportation Authority, New York Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 05/15/2022 | $ | 750 | $ | 813 | ||||||||
Nassau County, New York General Obligation Notes, Series 2010 |
| |||||||||||
5.000% due 10/01/2020 | 500 | 515 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured, New York Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 11/01/2020 | 500 | 516 | ||||||||||
New York City, New York Housing Development Corp. Revenue Bonds, Series 2018 |
| |||||||||||
2.750% due 05/01/2050 | 750 | 780 | ||||||||||
New York City, New York Housing Development Corp. Revenue Bonds, Series 2019 |
| |||||||||||
1.750% due 05/01/2059 | 750 | 755 | ||||||||||
New York City, New York Transitional Finance Authority Future Tax Secured Revenue Bonds, Series 2019 |
| |||||||||||
1.650% due 11/01/2044 | 2,080 | 2,080 | ||||||||||
New York Power Authority Revenue Bonds, Series 2011 |
| |||||||||||
5.000% due 11/15/2022 | 360 | 402 | ||||||||||
New York State Dormitory Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 05/01/2048 | 870 | 926 | ||||||||||
New York State Dormitory Authority Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 03/15/2020 | 165 | 166 | ||||||||||
New York State Energy Research & Development Authority Revenue Bonds, Series 2004 |
| |||||||||||
2.625% due 04/01/2034 | 1,000 | 1,035 | ||||||||||
New York State Housing Finance Agency Revenue Bonds, Series 2002 |
| |||||||||||
1.680% due 05/15/2034 | 100 | 100 | ||||||||||
New York State Housing Finance Agency Revenue Bonds, Series 2019 |
| |||||||||||
1.800% due 05/01/2050 | 395 | 395 | ||||||||||
PortChester-Rye Union Free School District, New York General Obligation Notes, Series 2019 |
| |||||||||||
2.500% due 06/12/2020 | 500 | 503 | ||||||||||
TSASC, Inc., New York Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 06/01/2021 | 500 | 525 | ||||||||||
|
| |||||||||||
13,090 | ||||||||||||
|
| |||||||||||
NORTH CAROLINA 1.9% |
| |||||||||||
Charlotte-Mecklenburg Hospital Authority, North Carolina Revenue Bonds, (AGM Insured), Series 2007 |
| |||||||||||
1.670% due 01/15/2044 | 800 | 800 | ||||||||||
North Carolina State Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 03/01/2020 | 500 | 503 | ||||||||||
University of North Carolina at Chapel Hill Revenue Bonds, Series 2012 |
| |||||||||||
1.545% (0.67*US0001M + 0.400%) | 1,000 | 1,002 | ||||||||||
|
| |||||||||||
2,305 | ||||||||||||
|
| |||||||||||
OHIO 2.0% |
| |||||||||||
American Municipal Power, Inc., Ohio Revenue Bonds, Series 2018 |
| |||||||||||
2.250% due 02/15/2048 | 500 | 504 | ||||||||||
American Municipal Power, Inc., Ohio Revenue Notes, Series 2012 |
| |||||||||||
5.000% due 02/15/2020 | 175 | 176 | ||||||||||
Butler County, Ohio Revenue Notes, Series 2017 |
| |||||||||||
4.000% due 11/15/2023 | 500 | 549 | ||||||||||
Franklin County, Ohio Revenue Bonds, Series 2018 |
| |||||||||||
1.680% due 05/15/2053 | 1,000 | 1,000 | ||||||||||
Ohio Water Development Authority Revenue Notes, Series 2013 |
| |||||||||||
5.000% due 06/01/2021 | 130 | 137 | ||||||||||
|
| |||||||||||
2,366 | ||||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
PENNSYLVANIA 7.7% |
| |||||||||||
Bethlehem Area School District, Pennsylvania Revenue Bonds, Series 2017 |
| |||||||||||
1.744% (0.7*US0001M + 0.490%) | $ | 750 | $ | 751 | ||||||||
Commonwealth Financing Authority, Pennsylvania Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 06/01/2020 | 500 | 508 | ||||||||||
Lehigh County, Pennsylvania Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 07/01/2025 | 530 | 628 | ||||||||||
Luzerne County, Pennsylvania General Obligation Notes, (AGM Insured), Series 2017 |
| |||||||||||
5.000% due 12/15/2022 | 500 | 551 | ||||||||||
Montgomery County Industrial Development Authority, Pennsylvania Revenue Bonds, Series 2002 |
| |||||||||||
2.550% due 12/01/2029 | 1,000 | 1,005 | ||||||||||
Montgomery County, Pennsylvania Higher Education & Health Authority Revenue Bonds, Series 2018 |
| |||||||||||
2.330% (MUNIPSA + 0.720%) | 500 | 500 | ||||||||||
Northampton County, Pennsylvania General Purpose Authority Revenue Bonds, Series 2018 |
| |||||||||||
2.240% (0.7*US0001M + 1.040%) | 750 | 757 | ||||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds, Series 2009 |
| |||||||||||
2.800% due 12/01/2033 | 1,000 | 1,029 | ||||||||||
Pennsylvania Turnpike Commission Revenue Notes, Series 2018 |
| |||||||||||
2.210% (MUNIPSA + 0.600%) | 1,000 | 1,005 | ||||||||||
Philadelphia Gas Works, Co., Pennsylvania Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 08/01/2020 | 500 | 511 | ||||||||||
Southeastern Pennsylvania Transportation Authority Revenue Notes, Series 2010 |
| |||||||||||
5.000% due 03/01/2020 | 1,925 | 1,937 | ||||||||||
|
| |||||||||||
9,182 | ||||||||||||
|
| |||||||||||
TENNESSEE 2.5% |
| |||||||||||
Greeneville Health & Educational Facilities Board, Tennessee Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 07/01/2023 | 600 | 670 | ||||||||||
Shelby County, Tennessee Health Educational & Housing Facilities Board Revenue Bonds, (AGM Insured), Series 2008 |
| |||||||||||
1.600% due 06/01/2042 | 1,200 | 1,200 | ||||||||||
Tennergy Corp., Tennessee Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 02/01/2050 | 1,000 | 1,150 | ||||||||||
|
| |||||||||||
3,020 | ||||||||||||
|
| |||||||||||
TEXAS 11.6% |
| |||||||||||
Fort Bend Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2019 |
| |||||||||||
1.950% due 08/01/2049 | 750 | 761 | ||||||||||
Garland, Texas Electric Utility System Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 03/01/2025 | 500 | 590 | ||||||||||
Goose Creek Consolidated Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2019 |
| |||||||||||
3.000% due 10/01/2049 | 1,000 | 1,013 | ||||||||||
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2008 |
| |||||||||||
1.680% due 12/01/2024 | 850 | 850 | ||||||||||
1.680% due 12/01/2027 | 1,000 | 1,000 | ||||||||||
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Bonds, Series 2014 |
| |||||||||||
1.700% due 12/01/2043 | 1,100 | 1,100 | ||||||||||
Harris County, Texas Cultural Education Facilities Finance Corp. Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 12/01/2024 | 350 | 411 |
84 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
Houston Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2012 |
| |||||||||||
2.400% due 06/01/2030 | $ | 1,000 | $ | 1,016 | ||||||||
Houston, Texas Airport System Revenue Bonds, Series 2010 |
| |||||||||||
1.700% due 07/01/2030 | 1,000 | 1,000 | ||||||||||
North Texas Tollway Authority Revenue Notes, Series 2014 |
| |||||||||||
5.000% due 01/01/2022 | 720 | 775 | ||||||||||
North Texas Tollway Authority Revenue Notes, Series 2016 |
| |||||||||||
5.000% due 01/01/2020 | 175 | 175 | ||||||||||
5.000% due 01/01/2021 | 385 | 400 | ||||||||||
North Texas Tollway Authority Revenue Notes, Series 2017 |
| |||||||||||
5.000% due 01/01/2020 | 250 | 250 | ||||||||||
Northside Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2018 |
| |||||||||||
2.750% due 08/01/2048 | 750 | 786 | ||||||||||
Northside Independent School District, Texas General Obligation Bonds, (PSF Insured), Series 2019 |
| |||||||||||
1.600% due 08/01/2049 | 750 | 753 | ||||||||||
Pasadena Texas General Obligation Bonds, (PSF Insured), Series 2015 |
| |||||||||||
1.500% due 02/15/2044 | 750 | 754 | ||||||||||
San Antonio, Texas Electric & Gas Systems Revenue Bonds, Series 2018 |
| |||||||||||
2.750% due 02/01/2048 | 500 | 520 | ||||||||||
San Antonio, Texas Electric & Gas Systems Revenue Bonds, Series 2019 |
| |||||||||||
1.750% due 12/01/2045 | 750 | 760 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. Revenue Bonds, Series 2008 |
| |||||||||||
6.250% due 12/15/2026 | 275 | 324 | ||||||||||
Texas Water Development Board Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 10/15/2024 | 500 | 589 | ||||||||||
|
| |||||||||||
13,827 | ||||||||||||
|
| |||||||||||
UTAH 2.2% |
| |||||||||||
Utah County, Utah Revenue Bonds, Series 2018 |
| |||||||||||
5.000% due 05/15/2057 | 500 | 573 | ||||||||||
Weber County, Utah Revenue Bonds, Series 2000 |
| |||||||||||
1.680% due 02/15/2031 | 2,000 | 2,000 | ||||||||||
|
| |||||||||||
2,573 | ||||||||||||
|
| |||||||||||
VIRGINIA 0.8% |
| |||||||||||
Louisa Industrial Development Authority, Virginia Revenue Bonds, Series 2008 |
| |||||||||||
2.150% due 11/01/2035 | 1,000 | 1,006 | ||||||||||
|
|
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
WASHINGTON 4.8% |
| |||||||||||
Central Puget Sound Regional Transit Authority, Washington Revenue Bonds, Series 2015 |
| |||||||||||
2.060% (MUNIPSA + 0.450%) | $ | 750 | $ | 750 | ||||||||
King County, Washington Sewer Revenue Bonds, Series 2012 |
| |||||||||||
2.600% due 01/01/2043 | 750 | 759 | ||||||||||
Port of Seattle, Washington Revenue Notes, Series 2015 |
| |||||||||||
5.000% due 03/01/2023 | 1,000 | 1,119 | ||||||||||
Port of Tacoma, Washington General Obligation Notes, Series 2016 |
| |||||||||||
4.000% due 12/01/2022 | 440 | 477 | ||||||||||
Seattle, Washington Municipal Light & Power Revenue Bonds, Series 2018 |
| |||||||||||
2.100% (MUNIPSA + 0.490%) | 675 | 678 | ||||||||||
Washington Health Care Facilities Authority Revenue Bonds, Series 2017 |
| |||||||||||
2.660% (MUNIPSA + 1.050%) | 1,000 | 1,017 | ||||||||||
Washington Health Care Facilities Authority Revenue Bonds, Series 2019 |
| |||||||||||
5.000% due 08/01/2049 | 870 | 987 | ||||||||||
|
| |||||||||||
5,787 | ||||||||||||
|
| |||||||||||
WEST VIRGINIA 1.3% |
| |||||||||||
West Virginia Economic Development Authority Revenue Bonds, Series 2009 |
| |||||||||||
2.625% due 12/01/2042 | 1,000 | 1,025 | ||||||||||
West Virginia University Revenue Notes, Series 2011 |
| |||||||||||
5.000% due 10/01/2020 | 500 | 514 | ||||||||||
|
| |||||||||||
1,539 | ||||||||||||
|
| |||||||||||
WISCONSIN 0.6% |
| |||||||||||
Wisconsin Health & Educational Facilities Authority Revenue Notes, Series 2018 |
| |||||||||||
5.000% due 04/01/2022 | 650 | 706 | ||||||||||
|
| |||||||||||
Total Municipal Bonds & Notes | 110,308 | |||||||||||
|
| |||||||||||
PRINCIPAL AMOUNT (000S) | MARKET VALUE (000S) | |||||||||||
SHORT-TERM INSTRUMENTS 7.0% |
| |||||||||||
COMMERCIAL PAPER 0.8% |
| |||||||||||
District of Columbia |
| |||||||||||
1.150% due 01/09/2020 | $ | 1,000 | $ | 1,000 | ||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS (c) 0.6% |
| |||||||||||
716 | ||||||||||||
|
| |||||||||||
SHORT-TERM NOTES 5.6% |
| |||||||||||
Central Square Central School District, New York General Obligation Notes, Series 2019 |
| |||||||||||
2.000% due 06/26/2020 | 300 | 301 | ||||||||||
Clark Department of Aviation, Nevada Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 07/01/2020 | 1,000 | 1,019 | ||||||||||
Columbia, Missouri Water & Electric System Revenue Notes, Series 2019 |
| |||||||||||
5.000% due 10/01/2020 | 1,000 | 1,028 | ||||||||||
Federal Home Loan Bank |
| |||||||||||
1.585% due 01/27/2020 (a)(b) | 2,400 | 2,397 | ||||||||||
School District of Philadelphia, Pennsylvania Revenue Notes, Series 2019 |
| |||||||||||
4.000% due 03/31/2020 | 850 | 856 | ||||||||||
Texas State Revenue Notes, Series 2019 |
| |||||||||||
4.000% due 08/27/2020 | 1,000 | 1,019 | ||||||||||
|
| |||||||||||
6,620 | ||||||||||||
|
| |||||||||||
Total Short-Term Instruments (Cost $8,332) | 8,336 | |||||||||||
|
| |||||||||||
Total Investments in Securities (Cost $117,141) | 118,644 | |||||||||||
Total Investments 99.4% (Cost $117,141) |
| $ | 118,644 | |||||||||
Other Assets and Liabilities, net 0.6% | 717 | |||||||||||
|
| |||||||||||
Net Assets 100.0% |
| $ | 119,361 | |||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS:
* | A zero balance may reflect actual amounts rounding to less than one thousand. |
~ | Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. |
(a) | Zero coupon security. |
(b) | Coupon represents a yield to maturity. |
See Accompanying Notes | SEMIANNUAL REPORT | DECEMBER 31, 2019 | 85 |
Table of Contents
Schedule of InvestmentsPIMCO Short Term Municipal Bond Active Exchange-Traded Fund(Cont.)
December 31, 2019 (Unaudited)
BORROWINGS AND OTHER FINANCING TRANSACTIONS
(c) REPURCHASE AGREEMENTS:
Counterparty | Lending Rate | Settlement Date | Maturity Date | Principal Amount | Collateralized By | Collateral (Received) | Repurchase Agreements, at Value | Repurchase Agreement Proceeds to be Received(1) | ||||||||||||||||||||||
FICC | 1.250 | % | 12/31/2019 | 01/02/2020 | $ | 716 | U.S. Treasury Notes 2.750% due 09/15/2021 | $ | (734 | ) | $ | 716 | $ | 716 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Repurchase Agreements |
| $ | (734 | ) | $ | 716 | $ | 716 | ||||||||||||||||||||||
|
|
|
|
|
|
BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY
The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2019:
Counterparty | Repurchase Agreement Proceeds to be Received(1) | Payable for Reverse Repurchase Agreements | Payable for Sale-Buyback Transactions | Total Borrowings and Other Financing Transactions | Collateral Pledged/(Received) | Net Exposure(2) | ||||||||||||||||||
Global/Master Repurchase Agreement |
| |||||||||||||||||||||||
FICC | $ | 716 | $ | 0 | $ | 0 | $ | 716 | $ | (734 | ) | $ | (18 | ) | ||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Borrowings and Other Financing Transactions | $ | 716 | $ | 0 | $ | 0 | ||||||||||||||||||
|
|
|
|
|
|
(1) | Includes accrued interest. |
(2) | Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information. |
FAIR VALUE MEASUREMENTS
The following is a summary of the fair valuations according to the inputs used as of December 31, 2019 in valuing the Fund’s assets and liabilities:
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Investments in Securities, at Value |
| |||||||||||||||
Municipal Bonds & Notes |
| |||||||||||||||
Alabama | $ | 0 | $ | 2,625 | $ | 0 | $ | 2,625 | ||||||||
Arizona | 0 | 2,671 | 0 | 2,671 | ||||||||||||
California | 0 | 750 | 0 | 750 | ||||||||||||
Connecticut | 0 | 5,730 | 0 | 5,730 | ||||||||||||
District of Columbia | 0 | 541 | 0 | 541 | ||||||||||||
Florida | 0 | 8,867 | 0 | 8,867 | ||||||||||||
Georgia | 0 | 3,846 | 0 | 3,846 | ||||||||||||
Illinois | 0 | 6,363 | 0 | 6,363 | ||||||||||||
Indiana | 0 | 3,040 | 0 | 3,040 | ||||||||||||
Kentucky | 0 | 2,107 | 0 | 2,107 | ||||||||||||
Louisiana | 0 | 303 | 0 | 303 | ||||||||||||
Massachusetts | 0 | 2,720 | 0 | 2,720 | ||||||||||||
Michigan | 0 | 2,454 | 0 | 2,454 | ||||||||||||
Minnesota | 0 | 257 | 0 | 257 | ||||||||||||
Mississippi | 0 | 781 | 0 | 781 | ||||||||||||
Missouri | 0 | 2,660 | 0 | 2,660 | ||||||||||||
Montana | 0 | 974 | 0 | 974 | ||||||||||||
Nebraska | 0 | 1,905 | 0 | 1,905 |
Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value at 12/31/2019 | ||||||||||||
Nevada | $ | 0 | $ | 2,507 | $ | 0 | $ | 2,507 | ||||||||
New Jersey | 0 | 3,806 | 0 | 3,806 | ||||||||||||
New York | 0 | 13,090 | 0 | 13,090 | ||||||||||||
North Carolina | 0 | 2,305 | 0 | 2,305 | ||||||||||||
Ohio | 0 | 2,366 | 0 | 2,366 | ||||||||||||
Pennsylvania | 0 | 9,182 | 0 | 9,182 | ||||||||||||
Tennessee | 0 | 3,020 | 0 | 3,020 | ||||||||||||
Texas | 0 | 13,827 | 0 | 13,827 | ||||||||||||
Utah | 0 | 2,573 | 0 | 2,573 | ||||||||||||
Virginia | 0 | 1,006 | 0 | 1,006 | ||||||||||||
Washington | 0 | 5,787 | 0 | 5,787 | ||||||||||||
West Virginia | 0 | 1,539 | 0 | 1,539 | ||||||||||||
Wisconsin | 0 | 706 | 0 | 706 | ||||||||||||
Short-Term Instruments |
| |||||||||||||||
Commercial Paper | 0 | 1,000 | 0 | 1,000 | ||||||||||||
Repurchase Agreements | 0 | 716 | 0 | 716 | ||||||||||||
Short-Term Notes | 0 | 6,620 | 0 | 6,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 0 | $ | 118,644 | $ | 0 | $ | 118,644 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers into or out of Level 3 during the period ended December 31, 2019.
86 | PIMCO ETF TRUST | See Accompanying Notes |
Table of Contents
December 31, 2019 (Unaudited)
1. ORGANIZATION
PIMCO ETF Trust (the “Trust”) was established as a Delaware statutory trust on November 14, 2008. The Trust is registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. Information presented in these financial statements pertains to the funds (each a “Fund” and collectively the “Funds”) offered by the Trust. Pacific Investment Management Company LLC (“PIMCO” or “Manager”) serves as the investment adviser for the Funds.
Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of a Fund may be directly purchased from and redeemed by a Fund at NAV solely by certain large institutional investors. Also unlike shares of a mutual fund, shares of each Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day. Each Fund offers and issues shares only in aggregations of a specified number of shares (“Creation Units”).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Each Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The functional and reporting currency for the Funds is the U.S. dollar. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
(a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on theex-dividend date, except certain dividends from foreign securities where theex-dividend date may have passed, which are recorded as soon as a Fund is informed of theex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from
settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statements of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statements of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income on the Statements of Operations. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
Debt obligations may be placed onnon-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed fromnon-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
(b) Foreign Currency Translation The market values of foreign securities, currency holdings and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the current exchange rates each business day. Purchases and sales of securities and income and expense items denominated in foreign currencies, if any, are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effects of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized gain (loss) and net change in unrealized appreciation (depreciation) from investments on the Statements of Operations. The Funds may invest in foreign currency-denominated securities and may engage in foreign currency transactions either on a spot (cash) basis at the rate prevailing in the currency exchange market at the time or through a forward foreign currency contract. Realized foreign exchange gains (losses) arising from sales of spot foreign currencies, currency gains (losses) realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) on foreign currency transactions on the Statements of Operations. Net unrealized foreign exchange gains (losses) arising from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 87 |
Table of Contents
Notes to Financial Statements(Cont.)
held at the end of the reporting period are included in net change in unrealized appreciation (depreciation) on foreign currency assets and liabilities on the Statements of Operations.
(c) Distributions to Shareholders The following table shows the anticipated frequency of distributions from net investment income, if any, for each Fund.
Distribution Frequency | ||||||||||||
Fund Name | Declared | Distributed | ||||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Active Bond Exchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | Monthly | Monthly | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | Quarterly | Quarterly |
In addition, each Fund distributes any net capital gains it earns from the sale of portfolio securities to shareholders no less frequently than annually. Net short-term capital gains may be paid more frequently. The Trust does not provide an automatic dividend and/or distributions reinvestment service.
Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. Differences between tax regulations and U.S. GAAP may cause timing differences between income and capital gain recognition. Further, the character of investment income and capital gains may be different for certain transactions under the two methods of accounting. As a result, income distributions and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on each Fund’s annual financial statements presented under U.S. GAAP.
If a Fund estimates that a portion of its distribution may be comprised of amounts from sources other than net investment income in accordance with its policies and accounting practices, the Fund will notify shareholders of the estimated composition of such distribution through a Section 19 Notice. For these purposes, a Fund estimates the
source or sources from which a distribution is paid, to the close of the period as of which it is paid, in reference to its internal accounting records and related accounting practices. If, based on such accounting records and practices, it is estimated that a particular distribution does not include capital gains orpaid-in surplus or other capital sources, a Section 19 Notice generally would not be issued. It is important to note that differences exist between a Fund’s daily internal accounting records and practices, a Fund’s financial statements presented in accordance with U.S. GAAP, and recordkeeping practices under income tax regulations. For instance, a Fund’s internal accounting records and practices may take into account, among other factors,tax-related characteristics of certain sources of distributions that differ from treatment under U.S. GAAP. Examples of such differences may include, among others, the treatment of paydowns on mortgage-backed securities purchased at a discount and periodic payments under interest rate swap contracts. Accordingly, among other consequences, it is possible that a Fund may not issue a Section 19 Notice in situations where the Fund’s financial statements prepared later and in accordance with U.S. GAAP and/or the final tax character of those distributions might later report that the sources of those distributions included capital gains and/or a return of capital. Please visit www.pimco.com for the most recent Section 19 Notice, if applicable, for additional information regarding the estimated composition of distributions. Final determination of a distribution’s tax character will be reported on Form 1099 DIV sent to shareholders for the calendar year.
Distributions classified as a tax basis return of capital at a Fund’s fiscal year end, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital on the Statements of Assets and Liabilities. In addition, other amounts have been reclassified between distributable earnings (accumulated loss) and paid in capital on the Statements of Assets and Liabilities to more appropriately conform U.S. GAAP to tax characterizations of distributions.
(d) New Accounting Pronouncements In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”), ASU2018-13, which modifies certain disclosure requirements for fair value measurements in Accounting Standards Codification 820. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. At this time, management has elected to early adopt the ASU and the changes are incorporated in the financial statements.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
(a) Investment Valuation Policies The NAV of the Fund’s shares is determined by dividing the total value of the Fund’s portfolio investments and other assets, less any liabilities attributable to that Fund, by the total number of shares outstanding.
88 | PIMCO ETF TRUST |
Table of Contents
December 31, 2019 (Unaudited)
On each day that the NYSE Arca is open, Fund shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) (“NYSE Close”). Information that becomes known to the Funds or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. Each Fund reserves the right to change the time as of which its respective NAV is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (“SEC”).
For purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied by the Funds’ approved pricing services, quotation reporting systems and other third-party sources (together, “Pricing Services”). The Funds will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a foreign(non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the Manager to be the primary exchange. A foreign(non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign(non-U.S.) fixed income securities,non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Services. A Fund’s investments inopen-end management investment companies, other than exchange-traded funds (“ETFs”), are valued at the NAVs of such investments.Open-end management investment companies may include affiliated funds.
If a foreign(non-U.S.) equity security’s value has materially changed after the close of the security’s primary exchange or principal market
but before the NYSE Close, the security may be valued at fair value based on procedures established and approved by the Board of Trustees of the Trust (the “Board”). Foreign(non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign(non-U.S.) equity securities, a Fund may determine the fair value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required and in determining fair values, a Fund may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the NYSE Close. A Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign(non-U.S.) securities. For these purposes, any movement in the applicable reference index or instrument (“zero trigger”) between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign(non-U.S.) equity securities on days when the Trust is not open for business, which may result in a Fund’s portfolio investments being affected when shareholders are unable to buy or sell shares.
Senior secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c) recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality, rate, period until next interest rate reset and maturity.
Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services. As a result, the value of such investments and, in turn, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that a Fund holds foreign(non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund’s next calculated NAV.
SEMIANNUAL REPORT | DECEMBER 31, 2019 | 89 |
Table of Contents
Notes to Financial Statements(Cont.)
Investments for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated to the Manager the responsibility for applying the fair valuation methods. In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, indicative market quotations (“Broker Quotes”), Pricing Services’ prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be reevaluated in light of such significant events.
When a Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV, such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be priced by another method that the Board or persons acting at their direction believe reflects fair value. Fair valuation may require subjective determinations about the value of a security. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values determined by the Board or persons acting at their direction would accurately reflect the price that a Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the securities were sold. The Funds’ use of fair valuation may also help to deter “stale price arbitrage” as discussed under the “Abusive Trading Practices” section in each Fund’s prospectus.
(b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value
hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:
∎ | Level 1 — Quoted prices in active markets or exchanges for identical assets and liabilities. |
∎ | Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
∎ | Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments. |
In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Fund.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of a Fund’s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Fund.
(c) Valuation Techniques and the Fair Value Hierarchy
Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or “techniques”) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows:
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations,
90 | PIMCO ETF TRUST |
Table of Contents
December 31, 2019 (Unaudited)
sovereign issues, bank loans, convertible preferred securities andnon-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices,
indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.
Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by the Manager that uses significant unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy.
Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.
4. SECURITIES AND OTHER INVESTMENTS
(a) Investments in Affiliates
Each Fund eligible to participate in securities lending may invest the cash collateral received for securities out on loan in the PIMCO Government Money Market Fund under the Securities Lending Agreement. All or a portion of Dividend Income as shown in the table below represents the income earned on the cash collateral invested in PIMCO Government Money Market Fund and is included on the
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Statements of Operations as a component of Securities Lending Income. PIMCO Government Money Market Fund is considered to be affiliated with the Funds. A complete schedule of portfolio holdings for each affiliate fund is filed with the SEC for the first and third quarters of each fiscal year on FormN-PORT and is available at the SEC’s website at www.sec.gov. A copy of each affiliate fund’s shareholder report is also available at the SEC’s website at www.sec.gov, on the Funds’ website at www.pimco.com, or upon request, as applicable. The table below shows the Funds’ transactions in and earnings from investments in the affiliated Fund for the period ended December 31, 2019 (amounts in thousands†):
Investments in PIMCO Government Money Market Fund | ||||||||||||||||||||||||||||||||||||
Fund Name | Market Value 06/30/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Market Value 12/31/2019 | Dividend Income(1) | Realized Net Capital Gain Distributions(1) | ||||||||||||||||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | $ | 32,287 | $ | 124,434 | $ | (114,186 | ) | $ | 0 | $ | 0 | $ | 42,535 | $ | 364 | $ | 0 | |||||||||||||||||||
PIMCO Investment Grade Corporate Bond IndexExchange-Traded Fund | 712 | 780 | (1,029 | ) | 0 | 0 | 463 | 5 | 0 | |||||||||||||||||||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 0 | 4,339 | (3,186 | ) | 0 | 0 | 1,153 | 1 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) | The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information. |
(b) Investments in Securities
The Funds may utilize the investments and strategies described below to the extent permitted by each Fund’s respective investment policies.
Bank Obligations in which a Fund may invest include certificates of deposit, bankers’ acceptances, and fixed time deposits. Certificates of deposit are negotiable certificates issued against Funds deposited in a commercial bank for a definite period of time and earning a specified return. Bankers’ acceptances are negotiable drafts or bills of exchange, normally drawn by an importer or exporter to pay for specific merchandise, which are “accepted” by a bank, meaning, in effect, that the bank unconditionally agrees to pay the face value of the instrument on maturity. Fixed time deposits are bank obligations payable at a stated maturity date and bearing interest at a fixed rate. Fixed time deposits may be withdrawn on demand by the investor, but may be subject to early withdrawal penalties which vary depending upon market conditions and the remaining maturity of the obligation.
Inflation-Indexed Bonds are fixed income securities whose principal value is periodically adjusted by the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury Inflation-Protected Securities (“TIPS”). For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
Loans and Other Indebtedness, Loan Participations and Assignments are direct debt instruments which are interests in amounts owed to lenders or lending syndicates by corporate, governmental, or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties or investments in or originations of loans by the Fund or Funds. A loan is often administered by a bank or other financial institution (the “agent”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When a Fund purchases assignments from agents it acquires direct rights against the borrowers of the loans. These loans may include participations in bridge loans, which are loans taken out by borrowers for a short period (typically less than one year) pending arrangement of more permanent financing through, for example, the issuance of bonds, frequently high yield bonds issued for the purpose of acquisitions.
The types of loans and related investments in which the Funds may invest include, among others, senior loans, subordinated loans (including second lien loans,B-Notes and mezzanine loans), whole loans, commercial real estate and other commercial loans and structured loans. The Funds may originate loans or acquire direct interests in loans through primary loan distributions and/or in private transactions. In the case of subordinated loans, there may be significant indebtedness ranking ahead of the borrower’s obligation to the holder of such a loan, including in the event of the borrower’s insolvency. Mezzanine loans are typically secured by a pledge of an equity interest in the mortgage borrower that owns the real estate rather than an interest in a mortgage.
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Investments in loans may include unfunded loan commitments, which are contractual obligations for funding. Unfunded loan commitments may include revolving credit facilities, which may obligate a Fund to supply additional cash to the borrower on demand. Unfunded loan commitments represent a future obligation in full, even though a percentage of the committed amount may not be utilized by the borrower. When investing in a loan participation, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the agent selling the loan agreement and only upon receipt of payments by the agent from the borrower. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, a Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. Unfunded loan commitments are reflected as a liability on the Statements of Assets and Liabilities.
Mortgage-Related and Other Asset-Backed Securities directly or indirectly represent a participation in, or are secured by and payable from, loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. These securities provide a monthly payment which consists of both interest and principal. Interest may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed with the full faith and credit of the U.S. Government. Pools created and guaranteed bynon-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. Many of the risks of investing in mortgage-related securities secured by commercial mortgage loans reflect the effects of local and other economic conditions on real estate markets, the ability of tenants to make lease payments, and the ability of a property to attract and retain tenants. These securities may be less liquid and may exhibit greater price volatility than other types of mortgage-related or other asset-backed securities. Other asset-backed securities are created from many types of assets, including, but not limited to, auto loans, accounts receivable, such as credit card receivables and hospital account receivables, home equity loans, student loans, boat loans, mobile home loans, recreational vehicle loans, manufactured housing loans, aircraft leases, computer leases and syndicated bank loans.
Collateralized Debt Obligations (“CDOs”) include Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other similarly structured securities. CBOs and CLOs are types of asset-backed securities. A CBO is a trust which is backed by a diversified pool of high risk, below investment grade fixed income securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. In addition to the normal risks associated with fixed income securities discussed elsewhere in this report and each Fund’s prospectus and statement of additional information (e.g., prepayment risk, credit risk, liquidity risk, market risk, structural risk, legal risk and interest rate risk (which may be exacerbated if the interest rate payable on a structured financing changes based on multiples of changes in interest rates or inversely to changes in interest rates)), CBOs, CLOs and other CDOs carry additional risks including, but not limited to, (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments, (ii) the quality of the collateral may decline in value or default, (iii) the risk that a Fund may invest in CBOs, CLOs, or other CDOs that are subordinate to other classes, and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Collateralized Mortgage Obligations (“CMOs”) are debt obligations of a legal entity that are collateralized by whole mortgage loans or private mortgage bonds and divided into classes. CMOs are structured into multiple classes, often referred to as “tranches”, with each class bearing a different stated maturity and entitled to a different schedule for payments of principal and interest, including prepayments. CMOs may be less liquid and may exhibit greater price volatility than other types of mortgage-related or asset-backed securities.
Stripped Mortgage-Backed Securities (“SMBS”) are derivative multi-class mortgage securities. SMBS are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. An SMBS will have one class that will receive all of the interest (the interest-only or “IO” class), while the other class will receive the entire principal (the principal-only or “PO” class). Payments received for IOs are included in interest income on the Statements of Operations. Because no principal will be received at the maturity of an IO, adjustments are made to the cost of the security on a monthly basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities.
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PaymentIn-Kind Securities may give the issuer the option at each interest payment date of making interest payments in either cash and/or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro rata adjustment from the unrealized appreciation (depreciation) on investments to interest receivable on the Statements of Assets and Liabilities.
Perpetual Bonds are fixed income securities with no maturity date but pay a coupon in perpetuity (with no specified ending or maturity date). Unlike typical fixed income securities, there is no obligation for perpetual bonds to repay principal. The coupon payments, however, are mandatory. While perpetual bonds have no maturity date, they may have a callable date in which the perpetuity is eliminated and the issuer may return the principal received on the specified call date. Additionally, a perpetual bond may have additional features, such as interest rate increases at periodic dates or an increase as of a predetermined point in the future.
Restricted Investments are subject to legal or contractual restrictions on resale and may generally be sold privately, but may be required to be registered or exempted from such registration before being sold to the public. Private placement securities are generally considered to be restricted except for those securities traded between qualified institutional investors under the provisions of Rule 144A of the Securities Act of 1933. Disposal of restricted investments may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Restricted investments held by the Funds at December 31, 2019, as applicable, are disclosed in the Notes to Schedules of Investments.
Securities Issued by U.S. Government Agencies or Government-Sponsored Enterprises are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association, are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); and others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. U.S. Government securities may include zero coupon securities which do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.
In June 2019, under the Single Security Initiative, FNMA and FHLMC started issuing Uniform Mortgage Backed Securities in place of their current offerings ofTBA-eligible securities. The Single Security Initiative seeks to support the overall liquidity of the TBA market and aligns the characteristics of FNMA and FHLMC certificates. The effects that the Single Security Initiative may have on the market for TBA and other mortgage-backed securities are uncertain.
Roll-timing strategies can be used where a Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statements of Assets and Liabilities as an asset or liability, respectively.
Separate Trading of Registered Interest and Principal of Securities (“STRIPS”) are U.S. Treasury fixed income securities in which the principal is separated, or stripped, from the interest and each takes the form of zero coupon securities. A STRIP is sold at a significant discount to face value and offers no interest payments; rather, investors receive payment at maturity. Zero coupon securities do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities.
Warrants are securities that are usually issued together with a debt security or preferred security and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants are freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued.
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Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Fund to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value.
When-Issued Transactions are purchases or sales made on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. Transactions to purchase or sell securities on a when-issued basis involve a commitment by a Fund to purchase or sell these securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a realized gain (loss).
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Funds may enter into the borrowings and other financing transactions described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the Act, which may be viewed as borrowing or financing transactions by a Fund. The location of these instruments in each Fund’s financial statements is described below.
(a) Repurchase Agreements Under the terms of a typical repurchase agreement, a Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. In an open
maturity repurchase agreement, there is nopre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. The underlying securities for all repurchase agreements are held by a Fund’s custodian or designated subcustodians undertri-party repurchase agreements and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund.
(b) Reverse Repurchase Agreements In a reverse repurchase agreement, a Fund delivers a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. In an open maturity reverse repurchase agreement, there is nopre-determined repurchase date and the agreement can be terminated by the Fund or counterparty at any time. A Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by a Fund to counterparties are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund will segregate assets determined to be liquid by the Manager or will otherwise cover its obligations under reverse repurchase agreements.
(c) Sale-Buybacks A sale-buyback financing transaction consists of a sale of a security by a Fund to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are reflected as a liability on the Statements of Assets and Liabilities. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms
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between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income on the Statements of Operations. Interest payments based upon negotiated financing terms made by a Fund to counterparties are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund will segregate assets determined to be liquid by the Manager or will otherwise cover its obligations under sale-buyback transactions.
(d) Securities Lending The Funds listed below may seek to earn additional income by lending their securities to certain qualifiedbroker-dealers and institutions on a short-term or long-term basis via a lending agent.
Fund Name |
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund |
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund |
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund |
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund |
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund |
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund |
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund |
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund |
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund |
Securities on loan are required to be secured by cash collateral at least equal to 102% of the domestic, or 105% of the foreign security’s market value. If the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day, the borrower shall be required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day. The Funds will then invest the cash collateral received in the PIMCO Government Money Market Fund and record a liability for the return of the collateral during the period the securities are on loan. Each Fund is subject to a lending limit of 33.33% of total assets (including the value of collateral).
The loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the lender securities identical to the loaned securities. Should the borrower of the securities fail to return loaned securities, the Fund has the right to repurchase the securities using the collateral in the open market.
The borrower pays fees at the Funds’ direction to the lending agent. The lending agent may retain a portion of the fees and interest earned on the cash collateral invested as compensation for its services.
Investments made with the cash collateral are disclosed on the Schedules of Investments, if applicable. The lending fees and the Funds’ portion of the interest income earned on cash collateral are included on the Statements of Operations as securities lending income, if applicable.
(e) Short Sales Short sales are transactions in which a Fund sells a security that it may not own. A Fund may make short sales of securities to (i) offset potential declines in long positions in similar securities, (ii) to increase the flexibility of the Fund, (iii) for investment return, (iv) as part of a risk arbitrage strategy, and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. When a Fund engages in a short sale, it may borrow the security sold short and deliver it to the counterparty. A Fund will ordinarily have to pay a fee or premium to borrow a security and be obligated to repay the lender of the security any dividend or interest that accrues on the security during the period of the loan. Securities sold in short sale transactions and the dividend or interest payable on such securities, if any, are reflected as payable for short sales on the Statements of Assets and Liabilities. Short sales expose a Fund to the risk that it will be required to cover its short position at a time when the security or other asset has appreciated in value, thus resulting in losses to a Fund. A short sale is “against the box” if a Fund holds in its portfolio or has the right to acquire the security sold short, or securities identical to the security sold short, at no additional cost. A Fund will be subject to additional risks to the extent that it engages in short sales that are not “against the box.” A Fund’s loss on a short sale could theoretically be unlimited in cases where a Fund is unable, for whatever reason, to close out its short position.
6. FINANCIAL DERIVATIVE INSTRUMENTS
The Funds may enter into the financial derivative instruments described below to the extent permitted by each Fund’s respective investment policies.
The following disclosures contain information on how and why the Funds use financial derivative instruments, and how financial derivative instruments affect the Funds’ financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statements of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedules of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedules of Investments, serve as indicators of the volume of financial derivative activity for the Funds.
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(a) Forward Foreign Currency Contracts may be engaged, in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as part of an investment strategy. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked to market daily, and the change in value is recorded by a Fund as an unrealized gain (loss). Realized gains (losses) are equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed and are recorded upon delivery or receipt of the currency. These contracts may involve market risk in excess of the unrealized gain (loss) reflected on the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risk if the counterparties are unable to meet the terms of the contracts or if the value of the currency changes unfavorably to the U.S. dollar. To mitigate such risk, cash or securities may be exchanged as collateral pursuant to the terms of the underlying contracts.
(b) Futures Contracts are agreements to buy or sell a security or other asset for a set price on a future date and are traded on an exchange. A Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the Fund (“Futures Variation Margin”). Futures Variation Margins, if any, are disclosed within centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the Futures Variation Margin included within exchange traded or centrally cleared financial derivative instruments on the Statements of Assets and Liabilities.
(c) Options Contracts may be written or purchased to enhance returns or to hedge an existing position or future investment.A Fund may write call and put options on securities and financial derivative instruments it owns or in which it may invest. Writing put options tends to increase a
Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. These amounts are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. A Fund as a writer of an option has no control over whether the underlying instrument may be sold (“call”) or purchased (“put”) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market.
Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Credit Default Swaptions may be written or purchased to hedge exposure to the credit risk of an investment without making a commitment to the underlying instrument. A credit default swaption is an option to sell or buy credit protection on a specific reference by entering into apre-defined swap agreement by some specified date in the future.
Interest Rate Swaptions may be written or purchased to enter into apre-defined swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, by some specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
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Options on Exchange-Traded Futures Contracts (“Futures Option”) may be written or purchased to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract.
Options on Securities may be written or purchased to enhance returns or to hedge an existing position or future investment. An option on a security uses a specified security as the underlying instrument for the option contract.
(d) Swap Agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency.
Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statements of Operations. Daily changes in valuation of centrally cleared swaps (“Swap Variation Margin”), if any, are disclosed within centrally cleared financial derivative instruments on the Statements of Assets and Liabilities. Centrally Cleared and OTC swap payments received or paid at the beginning of the measurement period are included on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gain (loss) on the Statements of Operations.
For purposes of applying certain of a Fund’s investment policies and restrictions, swap agreements, like other derivative instruments, may be valued by a Fund at market value, notional value or full exposure value. In the case of a credit default swap, in applying certain of a Fund’s investment policies and restrictions, the Funds will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of a Fund’s other investment policies and restrictions. For example, a Fund may value credit default swaps at full exposure value for purposes of a Fund’s credit quality guidelines (if any) because such value in general better reflects a Fund’s actual economic exposure during the term of the credit default swap agreement. As a result, a Fund may, at times, have notional exposure to an asset class (before netting) that is greater or lesser than the stated limit or restriction noted in a Fund’s prospectus. In this context, both the notional amount and the market value may be positive or negative depending on whether a Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by a Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates or the values of the asset upon which the swap is based.
A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral to a Fund to cover a Fund’s exposure to the counterparty.
To the extent a Fund has a policy to limit the net amount owed to or to be received from a single counterparty under existing swap agreements, such limitation only applies to counterparties to OTC swaps and does not apply to centrally cleared swaps where the counterparty is a central counterparty or derivatives clearing organization.
Credit Default Swap Agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues are entered into to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a
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Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event that the referenced entity, obligation or index, as specified in the swap agreement, undergoes a certain credit event. As a seller of protection on credit default swap agreements, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a 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, other deliverable obligations 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. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are estimated by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. The ability to deliver other obligations may result in acheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a basket of credit instruments or exposures designed to be representative of some part of
the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds, which is less expensive than it would be to buy many credit default swaps to achieve a similar effect. Credit default swaps on indices are instruments for protecting investors owning bonds against default, and traders use them to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate, loan, sovereign, U.S. municipal or U.S. Treasury issues as of period end, if any, are disclosed in the Notes to Schedules of Investments. They serve as an indicator of the current status of payment/performance risk and represent the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement equals the notional amount of the agreement. Notional amounts of each individual credit default swap agreement outstanding as of period end for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments
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received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
Interest Rate Swap Agreements may be entered into to help hedge against interest rate risk exposure and to maintain a Fund’s ability to generate income at prevailing market rates. The value of the fixed rate bonds that the Funds hold may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap agreements. Interest rate swap agreements involve the exchange by a Fund with another party for their respective commitment to pay or receive interest on the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the buyer pays an upfront fee in consideration for
the right to early terminate the swap transaction in whole, at zero cost and at a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different segments of money markets.
Total Return Swap Agreements are entered into to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific underlying reference asset, which may include a single security, a basket of securities, or an index, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference asset less a financing rate, if any. As a receiver, a Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, a Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return.
7. PRINCIPAL RISKS
The principal risks of investing in a Fund, which could adversely affect its net asset value, yield and total return, are listed below.
Risks | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund | PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund | PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund | PIMCO Broad U.S. TIPS Index Exchange- Traded Fund | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund | PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund | PIMCO Active Bond Exchange- Traded Fund | PIMCO Enhanced Low Duration Active Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active ESG Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active Exchange- Traded Fund | PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund | PIMCO Short Term Municipal Bond Active Exchange- Traded Fund | ||||||||||||||||
New Fund | — | — | — | — | — | — | — | — | X | — | — | — | ||||||||||||||||
Small Fund | — | — | — | X | — | — | — | — | X | — | — | X | ||||||||||||||||
Market Trading | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Interest Rate | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Call | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Inflation-Indexed Security | — | X | X | X | — | — | — | — | — | — | — | — | ||||||||||||||||
Credit | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
High Yield | — | — | — | — | X | — | X | X | — | — | — | — | ||||||||||||||||
Market | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Municipal Bond | — | — | — | — | — | — | — | — | — | — | X | X | ||||||||||||||||
Issuer | — | — | — | — | X | X | X | X | X | X | X | X | ||||||||||||||||
Liquidity | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Derivatives | X | X | X | X | X | X | X | X | — | — | X | X | ||||||||||||||||
Equity | — | — | — | — | — | — | X | — | — | — | — | — | ||||||||||||||||
Mortgage-Related and Other Asset Backed Securities | — | — | — | — | — | — | X | X | X | X | — | — | ||||||||||||||||
Foreign(Non-U.S.) Investment | — | — | — | — | X | X | X | X | X | X | — | — | ||||||||||||||||
Emerging Markets | — | — | — | — | X | X | X | X | — | — | — | — | ||||||||||||||||
Sovereign Debt | — | — | — | — | X | X | — | — | — | — | — | — |
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Risks | PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange- Traded Fund | PIMCO 1-5 Year U.S. TIPS Index Exchange- Traded Fund | PIMCO 15+ Year U.S. TIPS Index Exchange- Traded Fund | PIMCO Broad U.S. TIPS Index Exchange- Traded Fund | PIMCO 0-5 Year High Yield Corporate Bond Index Exchange- Traded Fund | PIMCO Investment Grade Corporate Bond Index Exchange- Traded Fund | PIMCO Active Bond Exchange- Traded Fund | PIMCO Enhanced Low Duration Active Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active ESG Exchange- Traded Fund | PIMCO Enhanced Short Maturity Active Exchange- Traded Fund | PIMCO Intermediate Municipal Bond Active Exchange- Traded Fund | PIMCO Short Term Municipal Bond Active Exchange- Traded Fund | ||||||||||||||||
Currency | — | — | — | — | — | — | X | X | X | — | — | — | ||||||||||||||||
Leveraging | X | X | X | X | X | X | X | X | X | X | X | X | ||||||||||||||||
Management and Tracking Error | X | X | X | X | X | X | — | — | — | — | — | — | ||||||||||||||||
Indexing | X | X | X | X | X | X | — | — | — | — | — | — | ||||||||||||||||
Management | — | — | — | — | — | — | X | X | X | X | X | X | ||||||||||||||||
California State-Specific | — | — | — | — | — | — | — | — | — | — | X | — | ||||||||||||||||
New York State-Specific | — | — | — | — | — | — | — | — | — | — | X | — | ||||||||||||||||
Municipal Project-Specific | — | — | — | — | — | — | — | — | — | — | X | X | ||||||||||||||||
Short Exposure | — | — | — | — | — | — | X | X | — | — | — | — | ||||||||||||||||
Convertible Securities | — | — | — | — | — | — | X | — | — | — | — | — | ||||||||||||||||
Tax-Efficient Investing | — | — | — | — | — | — | X | X | — | — | — | — | ||||||||||||||||
Distribution Rate | — | — | — | — | — | — | X | X | — | — | — | — | ||||||||||||||||
Responsible Investing Risk | — | — | — | — | — | — | — | — | X | — | — | — |
Please see “Description of Principal Risks” in a Fund’s prospectus for a more detailed description of the risks of investing in a Fund.
New Fund Risk is the risk that a new fund’s performance may not represent how the fund is expected to or may perform in the long term. In addition, new funds have limited operating histories for investors to evaluate and new funds may not attract sufficient assets to achieve investment and trading efficiencies.
Small Fund Risk is the risk that a smaller Fund may not achieve investment and trading efficiencies. Additionally, a smaller Fund may be more adversely affected by large purchases or redemptions of Fund shares.
Market Trading Risk is the risk that an active secondary trading market for Fund shares does not continue once developed, that a Fund may not continue to meet a listing exchange’s trading or listing requirements, or that Fund shares trade at prices other than a Fund’s net asset value.
Interest Rate Risk is the risk that fixed income securities will decline in value because of an increase in interest rates; a fund with a longer average portfolio duration will be more sensitive to changes in interest rates than a fund with a shorter average portfolio duration.
Call Risk is the risk that an issuer may exercise its right to redeem a fixed income security earlier than expected (a call). Issuers may call outstanding securities prior to their maturity for a number of reasons (e.g., declining interest rates, changes in credit spreads and improvements in the issuer’s credit quality). If an issuer calls a security that a Fund has invested in, a Fund may not recoup the full amount of its initial investment and may be forced to reinvest in lower-yielding securities, securities with greater credit risks or securities with other, less favorable features.
Inflation-Indexed Security Risk is the risk that the value of an inflation-indexed security (such as TIPS) tends to decrease when real interest rates increase and increase when real interest rates decrease and interest payments on inflation-indexed securities will vary along with changes in the CPI.
Credit Risk is the risk that a Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a derivative contract, is unable or unwilling, or is perceived (whether by market participants, rating agencies, pricing services or otherwise) as unable or unwilling, to meet its financial obligations.
High Yield Risk is the risk that high yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) are subject to greater levels of credit, call and liquidity risks. High yield securities are considered primarily speculative with respect to the issuer’s continuing ability to make principal and interest payments, and may be more volatile than higher-rated securities of similar maturity.
Market Risk is the risk that the value of securities owned by a Fund may go up or down, sometimes rapidly or unpredictably, due to factors affecting securities markets generally or particular industries.
Municipal Bond Risk is the risk that by investing in Municipal Bonds a Fund may be affected significantly by the economic, regulatory or political developments affecting the ability of issuers of Municipal Bonds to pay interest or repay principal.
Issuer Risk is the risk that the value of a security may decline for a reason directly related to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services.
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Liquidity Risk isthe risk that a particular investment may be difficult to purchase or sell and that a Fund may be unable to sell illiquid investments at an advantageous time or price or achieve its desired level of exposure to a certain sector. Liquidity risk may result from the lack of an active market, reduced number and capacity of traditional market participants to make a market in fixed income securities, and may be magnified in a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, causing increased supply in the market due to selling activity.
Derivatives Risk is the risk of investing in derivative instruments (such as futures, swaps and structured securities), including leverage, liquidity, interest rate, market, credit and management risks, mispricing or valuation complexity. Changes in the value of the derivative may not correlate perfectly with, and may be more sensitive to market events than, the underlying asset, rate or index, and a Fund could lose more than the initial amount invested. A Fund’s use of derivatives may result in losses to a Fund, a reduction in a Fund’s returns and/or increased volatility.Over-the-counter (“OTC”) derivatives are also subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the protections afforded to centrally-cleared derivative transactions might not be available for OTC derivatives. For derivatives traded on an exchange or through a central counterparty, credit risk resides with a Fund’s clearing broker, or the clearinghouse itself, rather than with a counterparty in an OTC derivative transaction. Changes in regulation relating to a fund’s use of derivatives and related instruments could potentially limit or impact a Fund’s ability to invest in derivatives, limit a Fund’s ability to employ certain strategies that use derivatives and/or adversely affect the value of derivatives and a Fund’s performance.
Equity Risk is the risk that the value of equity or equity-related securities may decline due to general market conditions which are not specifically related to a particular company or to factors affecting a particular industry or industries. Equity or equity-related securities generally have greater price volatility than fixed income securities.
Mortgage-Related and Other Asset-Backed Securities Risk is the risk of investing in mortgage-related and other asset-backed securities, including interest rate risk, extension risk, prepayment risk, and credit risk.
Foreign(Non-U.S.) Investment Risk is the risk that investing in foreign(non-U.S.) securities may result in a Fund experiencing more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to smaller markets, differing reporting, accounting and auditing standards, increased risk of delayed settlement of portfolio transactions or loss of certificates of portfolio
securities, and the risk of unfavorable foreign government actions, including nationalization, expropriation or confiscatory taxation, currency blockage, or political changes or diplomatic developments. Foreign securities may also be less liquid and more difficult to value than securities of U.S. issuers.
Emerging Markets Risk is the risk of investing in emerging market securities, primarily increased foreign(non-U.S.) investment risk.
Sovereign Debt Risk is the risk that investments in fixed income instruments issued by sovereign entities may decline in value as a result of default or other adverse credit event resulting from an issuer’s inability or unwillingness to make principal or interest payments in a timely fashion.
Currency Risk is the risk that foreign(non-U.S.) currencies will change in value relative to the U.S. dollar and affect a Fund’s investments in foreign(non-U.S.) currencies or in securities that trade in, and receive revenues in, or in derivatives that provide exposure to, foreign(non-U.S.) currencies.
Leveraging Risk is the risk that certain transactions of a Fund, such as reverse repurchase agreements, loans of portfolio securities, and the use of when-issued, delayed delivery or forward commitment transactions, or derivative instruments, may give rise to leverage, magnifying gains and losses and causing a Fund to be more volatile than if it had not been leveraged. This means that leverage entails a heightened risk of loss.
Management and Tracking Error Risk is the risk that the portfolio manager’s investment decisions may not produce the desired results or that a Fund’s portfolio may not closely track the Underlying Index for a number of reasons. A Fund incurs operating expenses, which are not applicable to the Underlying Index, and the costs of buying and selling securities, especially when rebalancing a Fund’s portfolio to reflect changes in the composition of the Underlying Index. Performance of a Fund and the Underlying Index may vary due to asset valuation differences and differences between a Fund’s portfolio and the Underlying Index due to legal restrictions, cost or liquidity restraints. The risk that performance of a Fund and the Underlying Index may vary may be heightened during periods of increased market volatility or other unusual market conditions. In addition, a Fund’s use of a representative sampling approach may cause a Fund to be less correlated to the return of the Underlying Index than if a Fund held all of the securities in the Underlying Index.
Indexing Risk is the risk that a Fund is negatively affected by general declines in the asset classes represented by the Underlying Index.
Management Risk is the risk that the investment techniques and risk analyses applied by PIMCO will not produce the desired results and
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that legislative, regulatory, or tax restrictions, policies or developments may affect the investment techniques available to PIMCO and the individual portfolio manager in connection with managing a Fund. There is no guarantee that the investment objective of a Fund will be achieved.
California State-Specific Risk is the risk that by concentrating its investments in California Municipal Bonds, a Fund may be affected significantly by economic, regulatory or political developments affecting the ability of California issuers to pay interest or repay principal.
New York State-Specific Risk is the risk that by concentrating its investments in New York Municipal Bonds, a Fund may be affected significantly by economic, regulatory or political developments affecting the ability of New York issuers to pay interest or repay principal.
Municipal Project-Specific Risk is the risk that a Fund may be more sensitive to adverse economic, business or political developments if it invests a substantial portion of its assets in the bonds of similar projects (such as those relating to education, health care, housing, transportation, and utilities), industrial development bonds, or in bonds from issuers in a single state.
Short Exposure Risk is the risk of entering into short sales, including the potential loss of more money than the actual cost of the investment, and the risk that the third party to the short sale will not fulfill its contractual obligations, causing a loss to a Fund.
Convertible Securities Risk is the risk thatarises when convertible securities share both fixed income and equity characteristics. Convertible securities are subject to risks to which fixed income and equity investments are subject. These risks include equity risk, interest rate risk and credit risk.
Tax-Efficient Investing Risk is the risk that investment strategies intended to manage capital gain distributions may not succeed, and that such strategies may reduce investment returns or result in investment losses.
Distribution Rate Risk is the risk that a Fund’s distribution rate may change unexpectedly as a result of numerous factors, including changes in realized and projected market returns, fluctuations in market interest rates, Fund performance and other factors.
Responsible Investing Risk is the risk that, because the Fund’s responsible investment strategy may select or exclude securities of certain issuers for reasons other than performance, the Fund may underperform funds that do not utilize a responsible investment strategy. Responsible investing is qualitative and subjective by nature, and there is no guarantee that the criteria utilized by PIMCO or any judgment exercised by PIMCO will reflect the beliefs or values of any particular investor.
8. MASTER NETTING ARRANGEMENTS
A Fund may be subject to various netting arrangements (“Master Agreements”) with select counterparties. Master Agreements govern the terms of certain transactions, and are intended to reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that is intended to improve legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statements of Assets and Liabilities generally present derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements atpre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) govern repurchase, reverse repurchase, and certain sale-buyback transactions between a Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
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Master Securities Forward Transaction Agreements (“Master Forward Agreements”) govern certain forward settling transactions, such as TBA securities, delayed-delivery or certain sale-buyback transactions by and between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedules of Investments.
Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant (“FCM”) registered with the Commodity Futures Trading Commission. In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Funds. Variation margin, or changes in market value, are generally exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end are disclosed in the Notes to Schedules of Investments.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of listed equity option transactions or short sales of equity securities between a Fund and selected counterparties. The arrangements provide guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker. The market values of listed options and securities sold short and related collateral are disclosed in the Notes to Schedules of Investments.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern bilateral OTC derivative transactions entered into by a Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to
terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedules of Investments.
9. FEES AND EXPENSES
(a) Management Fee PIMCO, a majority-owned subsidiary of Allianz Asset Management of America L.P. (“Allianz Asset Management”), serves as the Manager to the Trust, pursuant to an investment management agreement. Each Fund pays PIMCO fees in return for providing investment advisory, supervisory and administrative services under anall-in fee structure. Each Fund will pay monthly management fees to PIMCO at an annual rate based on average daily net assets (the “Management Fee”), at an annual rate as noted in the table below.
Fund Name | Management Fee | |||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | 0.15% | |||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund | 0.20% | |||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | 0.20% | |||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 0.20% | |||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 0.55% | |||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 0.20% | |||||||
PIMCO Active Bond Exchange-Traded Fund | 0.55% | |||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund(1) | 0.46% | |||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund(2) | 0.36% | |||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 0.35% | |||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 0.35% | |||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | 0.35% |
(1) | PIMCO has contractually agreed, through October 31, 2020, to waive its management fee by 0.07% of the average daily net assets attributable to the Fund. |
(2) | PIMCO has contractually agreed, through October 31, 2022, to waive its management fee by 0.12% of the average daily net assets attributable to the Fund. |
(b) Distribution and Servicing Fees PIMCO Investments LLC, a wholly-owned subsidiary of PIMCO, serves as the distributor (“Distributor”) of each Fund’s Creation Units. The Distributor does not maintain a secondary market in shares of the Funds. During the period ended December 31, 2019 each Fund was permitted to compensate the Distributor at an annual rate of up to 0.25% of a Fund’s average daily
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net assets (the“12b-1 Plan Fee”). However, the Board of Trustees has determined not to authorize payment of a12b-1 Plan Fee at this time. The12b-1 Plan Fee may only be imposed or increased when the Board determines that it is in the best interests of shareholders to do so. Because these fees are paid out of a Fund’s assets on an ongoing basis, to the extent that a fee is authorized, over time it will increase the cost of an investment in the Fund. The12b-1 Plan Fee may cost an investor more than other types of sales charges.
(c) Fund Expenses PIMCO provides or procures supervisory and administrative services for shareholders and also bears the costs of various third-party services required by the Funds, including audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The Funds bear other expenses which are not covered under the Management Fee which may vary and affect the total level of expenses paid by shareholders, such as (i) taxes and governmental fees; (ii) brokerage fees and commissions and other portfolio transaction expenses; (iii) costs of borrowing money, including interest expense; (iv) securities lending fees and expenses; (v) fees and expenses of the Trustees who are not “interested persons” of PIMCO or the Trust, and any counsel retained exclusively for their benefit; (vi) extraordinary expense, including costs of litigation and indemnification expenses; and (vii) organizational expenses. The ratio of expenses to average net assets, as disclosed on the Financial Highlights, may differ from the annual fund operating expenses as disclosed in the prospectus.
The Trust pays no compensation directly to any Trustee or any other officer who is affiliated with the Manager, all of whom receive remuneration for their services to the Trust from the Manager or its affiliates.
(d) Expense Limitation Pursuant to the Expense Limitation Agreement, PIMCO has agreed to waive a portion of the Funds’ Management Fee, or reimburse each Fund, to the extent that each Fund’s organizational expenses, pro rata share of expenses related to obtaining or maintaining a Legal Entity Identifier and pro rata share of Trustee Fees exceed 0.0049%, the “Expense Limit” (calculated as a percentage of the Fund’s average daily net assets). The Expense Limitation Agreement will automatically renew forone-year terms unless PIMCO provides written notice to the Trust at least 30 days prior to the end of the then current term.
Pursuant to a Fee Waiver Agreement, PIMCO has contractually agreed, through October 31, 2020, to waive or reduce its Management Fee for the PIMCO Active Bond Exchange-Traded Fund.
Pursuant to a Fee Waiver Agreement, PIMCO has contractually agreed, through October 31, 2020, to waive or reduce its Management Fee for the PIMCO Enhanced Low Duration Active Exchange-Traded Fund.
Pursuant to a Fee Waiver Agreement, PIMCO has contractually agreed, through October 31, 2022, to waive or reduce its Management Fee for the PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund. The Fee Waiver Agreements will automatically renew forone-year terms unless PIMCO provides written notice to the Trust at least 30 days prior to the end of the then current term.
Each waiver is reflected on the Statements of Operations as a component of Waiver and/or Reimbursement by PIMCO.
Under certain conditions,PIMCO may be reimbursed for amounts waived pursuant to the Expense Limitation Agreement in future periods, not to exceedthirty-six months after the waiver. In any month in which the investment management agreement is in effect, PIMCO is entitled to reimbursement by each Fund of any portion of the Management Fee waived or reimbursed as set forth above (the “Reimbursement Amount”) during the previousthirty-six months from the time of the waiver, provided that such amount paid to PIMCO will not: i) together with any organizational expenses, pro rata share of expenses related to obtaining or maintaining a Legal Entity Identifier and pro rata Trustee fees, exceed, for such month, the Expense Limit (or the amount of the expense limit in place at the time the amount being recouped was originally waived if lower than the Expense Limit); ii) exceed the total Reimbursement Amount; or iii) include any amounts previously reimbursed to PIMCO. The total recoverable amounts to PIMCO at December 31, 2019, were as follows (amounts in thousands†):
Expiring within | ||||||||||||||||||||
Fund Name | 12 months | 13-24 months | 25-36 months | Total | ||||||||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | $ | 72 | $ | 124 | $ | 251 | $ | 447 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
10. RELATED PARTY TRANSACTIONS
The Manager and Distributor are related parties. Fees paid to these parties are disclosed in Note 9, Fees and Expenses, and the accrued related party fee amounts are disclosed on the Statements of Assets and Liabilities.
Certain Funds are permitted to purchase or sell securities from or to certain related affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an
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affiliate, or an affiliate of an affiliate, by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule17a-7 under the Act. Further, as defined under the procedures, each transaction is effected at the current market price. Purchases and sales of securities pursuant to Rule17a-7 under the Act for the period ended December 31, 2019, were as follows (amounts in thousands†):
Fund Name | Purchases | Sales | ||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | $ | 20,470 | $ | 1,081 | ||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 1,774 | 2,063 | ||||||||||
PIMCO Active Bond Exchange-Traded Fund | 26,822 | 0 | ||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | 14,203 | 41,554 | ||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund | 6,050 | 2,061 | ||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 701,714 | 701,593 | ||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 3,820 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
11. GUARANTEES AND INDEMNIFICATIONS
Under the Trust’s organizational documents, each Trustee or officer of the Trust is indemnified and each employee or other agent of the Trust (including the Trust’s investment manager) may be indemnified, to the
extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
12. PURCHASES AND SALES OF SECURITIES
The length of time a Fund has held a particular security is not generally a consideration in investment decisions. A change in the securities held by a Fund is known as “portfolio turnover.” Each Fund may engage in frequent and active trading of portfolio securities to achieve its investment objective, particularly during periods of volatile market movements. High portfolio turnover may involve correspondingly greater transaction costs, including brokerage commissions or dealermark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which are borne by the Fund. Such sales may also result in realization of taxable capital gains, including short-term capital gains (which are generally taxed at ordinary income tax rates when distributed to shareholders). The transaction costs associated with portfolio turnover may adversely affect a Fund’s performance. The portfolio turnover rates are reported in the Financial Highlights.
Purchases and sales of securities (excluding short-term investments) for the period ended December 31, 2019, were as follows (amounts in thousands†):
U.S. Government/Agency | All Other | |||||||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | $ | 28,573 | $ | 32,247 | $ | 0 | $ | 0 | ||||||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund | 71,218 | 74,400 | 0 | 0 | ||||||||||||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | 14,206 | 15,638 | 0 | 0 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 2,927 | 1,599 | 0 | 0 | ||||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 0 | 0 | 226,941 | 317,057 | ||||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 0 | 0 | 50,743 | 51,919 | ||||||||||||||||
PIMCO Active Bond Exchange-Traded Fund | 1,199,594 | 802,815 | 294,702 | 27,158 | ||||||||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | 1,088,298 | 1,063,298 | 149,213 | 79,303 | ||||||||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund | 2,831 | 0 | 12,085 | 2,936 | ||||||||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 2,620,967 | 876,332 | 3,178,650 | 1,989,590 | ||||||||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 0 | 0 | 70,516 | 19,200 | ||||||||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | 0 | 0 | 36,813 | 10,088 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
13. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by a Fund only in Creation Units. Except when aggregated in Creation Units, shares of a Fund are not redeemable. Transactions in capital shares for a Fund are disclosed in detail on the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund generally consists of a basket of cash and/or securities that the Fund specifies each business day. Authorized Participants may be charged transaction fees as set forth below. To offset transfer and other transaction costs associated
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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, thesub-administrator of the Funds. PIMCO may, from time to time, at its own expense, compensate purchasers of Creation Units who have purchased substantial amounts of Creation Units and other financial institutions for administrative or marketing services. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable charge up to the maximum amount shown in the table below.
Standard Creation/ Redemption Transaction Fee* | Maximum Variable Charge for Cash Creations** | Maximum Variable Charge for Cash Redemptions** | ||||||||
$ | 500 | 3.00 | % | 2.00 | % |
* | Applicable toin-kind contributions or redemptions only. |
** | As a percentage of the net asset value per Creation Unit purchased or redeemed, inclusive of the standard creation transaction fee (if imposed). |
14. INVESTMENT TRANSACTIONS
For the period ended December 31, 2019, certain Funds hadin-kind contributions andin-kind redemptions as follows (amounts in thousands†):
Fund Name | Contributions | Redemptions | ||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | $ | 71,475 | $ | 81,680 | ||||||||
PIMCO1-5 Year U.S. TIPS Index Exchange-Traded Fund | 7,855 | 47,162 | ||||||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | 99,030 | 25,224 | ||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 509,341 | 263,557 | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 43,681 | 212,716 | ||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 390 | 0 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
Thein-kind contributions andin-kind redemptions in this table may not agree with the Fund Share Transactions on the Statements of Changes in Net Assets. The table represents the accumulation of each Fund’s daily net shareholder transactions while the Statements of Changes in Net Assets reflect gross shareholder transactions including any cash component of the transactions.
15. REGULATORY AND LITIGATION MATTERS
The Funds are not named as defendants in any material litigation or arbitration proceedings and are not aware of any material litigation or claim pending or threatened against them.
The foregoing speaks only as of the date of this report.
16. FEDERAL INCOME TAX MATTERS
Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the “Code”) and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.
A Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.
In accordance with U.S. GAAP, the Manager has reviewed the Funds’ tax positions for all open tax years. As of December 31, 2019, the Funds have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.
The Funds file U.S. federal, state, and local tax returns as required. The Funds’ tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.
Under the Regulated Investment Company Modernization Act of 2010, a fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term under previous law.
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December 31, 2019 (Unaudited)
As of their last fiscal year ended June 30, 2019, the Funds had the following post-effective capital losses with no expiration (amounts in thousands†):
Short-Term | Long-Term | |||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | $ | 16,119 | $ | 12,685 | ||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund | 5,791 | 15,706 | ||||||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | 4,174 | 10,647 | ||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 166 | 1,031 | ||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 34,534 | 108,777 | ||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 1,535 | 4,915 | ||||||||||
PIMCO Active Bond Exchange-Traded Fund | 6,279 | 36,233 | ||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | 431 | 2,631 | ||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund | N/A | N/A | ||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 6,675 | 0 | ||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 3,803 | 412 | ||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | 700 | 201 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
As of December 31, 2019, 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)(1) | |||||||||||||||||
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund | $ | 254,014 | $ | 10,140 | $ | (1,591 | ) | $ | 8,549 | |||||||||||
PIMCO1-5 Year U.S. TIPS IndexExchange-Traded Fund | 702,868 | 5,634 | (889 | ) | 4,745 | |||||||||||||||
PIMCO 15+ Year U.S. TIPS IndexExchange-Traded Fund | 248,924 | 7,651 | 0 | 7,651 | ||||||||||||||||
PIMCO Broad U.S. TIPS Index Exchange-Traded Fund | 51,792 | 792 | (140 | ) | 652 | |||||||||||||||
PIMCO0-5 Year High Yield Corporate Bond Index Exchange-Traded Fund | 1,845,611 | 25,805 | (35,891 | ) | (10,086 | ) | ||||||||||||||
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund | 600,488 | 28,395 | (971 | ) | 27,424 | |||||||||||||||
PIMCO Active Bond Exchange-Traded Fund | 2,896,343 | 83,429 | (17,400 | ) | 66,029 | |||||||||||||||
PIMCO Enhanced Low Duration ActiveExchange-Traded Fund | 512,964 | 4,735 | (2,065 | ) | 2,670 | |||||||||||||||
PIMCO Enhanced Short Maturity Active ESGExchange-Traded Fund | 18,442 | 29 | (14 | ) | 15 | |||||||||||||||
PIMCO Enhanced Short Maturity ActiveExchange-Traded Fund | 13,598,282 | 31,574 | (5,088 | ) | 26,486 | |||||||||||||||
PIMCO Intermediate Municipal Bond ActiveExchange-Traded Fund | 333,679 | 17,236 | (18 | ) | 17,218 | |||||||||||||||
PIMCO Short Term Municipal Bond ActiveExchange-Traded Fund | 117,141 | 1,510 | (7 | ) | 1,503 |
† | A zero balance may reflect actual amounts rounding to less than one thousand. |
(1) | Primary differences, if any, between book and tax net unrealized appreciation/(depreciation) on investments are attributable to open wash sale loss deferrals, treasury inflation protected securities (TIPS), sale/buyback transactions, real estate investment trusts, defaulted bondmarked-to-market adjustment and accrual on convertible preferred stock for Federal income tax purposes. |
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Glossary:(abbreviations that may be used in the preceding statements)
(Unaudited)
Counterparty Abbreviations: | ||||||||||
BCY | Barclays Capital, Inc. | DUB | Deutsche Bank AG | MBC | HSBC Bank Plc | |||||
BMO | BMO Capital Markets Corp. | FBF | Credit Suisse International | MYI | Morgan Stanley & Co. International PLC | |||||
BOA | Bank of America N.A. | FICC | Fixed Income Clearing Corporation | NOM | Nomura Securities International Inc. | |||||
BOS | BofA Securities, Inc. | FOB | Credit Suisse Securities (USA) LLC | RDR | RBC Capital Markets LLC | |||||
BPS | BNP Paribas S.A. | GSC | Goldman Sachs & Co. LLC | SGY | Societe Generale, NY | |||||
BRC | Barclays Bank PLC | GST | Goldman Sachs International | SSB | State Street Bank and Trust Co. | |||||
BSN | The Bank of Nova Scotia - Toronto | JPS | J.P. Morgan Securities LLC | UBS | UBS Securities LLC | |||||
CBK | Citibank N.A. | |||||||||
Currency Abbreviations: | ||||||||||
AUD | Australian Dollar | JPY | Japanese Yen | USD (or $) | United States Dollar | |||||
EUR | Euro | MXN | Mexican Peso | |||||||
Exchange Abbreviations: | ||||||||||
CBOT | Chicago Board of Trade | OTC | Over the Counter | |||||||
Index/Spread Abbreviations: | ||||||||||
CDX.HY | Credit Derivatives Index - High Yield | MUNIPSA | Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index | US0003M | 3 Month USD Swap Rate | |||||
CDX.IG | Credit Derivatives Index - Investment Grade | SOFRRATE | Secured Overnight Financing Rate | US0012M | 12 Month USD Swap Rate | |||||
LIBOR03M | 3 MonthUSD-LIBOR | US0001M | 1 Month USD Swap Rate | |||||||
Municipal Bond or Agency Abbreviations: | ||||||||||
AGM | Assured Guaranty Municipal | PSF | Public School Fund | Q-SBLF | Qualified School Bond Loan Fund | |||||
FGIC | Financial Guaranty Insurance Co. | |||||||||
Other Abbreviations: | ||||||||||
ABS | Asset-Backed Security | DAC | Designated Activity Company | REMIC | Real Estate Mortgage Investment Conduit | |||||
ALT | Alternate Loan Trust | FDIC | Federal Deposit Insurance Corp. | TBA | To-Be-Announced | |||||
BABs | Build America Bonds | LIBOR | London Interbank Offered Rate | |||||||
CDO | Collateralized Debt Obligation | NCUA | National Credit Union Administration | |||||||
CLO | Collateralized Loan Obligation | PIK | Payment-in-Kind |
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Approval of Investment Advisory Contract and Other Agreements
Approval of Renewal of the Investment Management Agreement
At a meeting held onAugust 20-21, 2019, the Board of Trustees (the “Board”) of PIMCO ETF Trust (the “Trust”), including the Trustees who are not “interested persons” of the Trust under the Investment Company Act of 1940, as amended (the “Independent Trustees”), considered and unanimously approved the renewal of the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of each of the Trust’s series (each, a “Fund,” and collectively, the “Funds”), and Pacific Investment Management Company LLC (“PIMCO”) for an additionalone-year term through August 31, 2020. Under the Agreement, PIMCO provides investment advisory services, as well as supervisory and administrative services, to each Fund for a single management fee (“unified fee”).
The information, material factors and conclusions that formed the basis for the Board’s approval are summarized below.
1. INFORMATION RECEIVED
(a) Materials Reviewed: During the course of the past year, the Trustees received a wide variety of materials relating to the services provided by PIMCO to the Trust. At each of its quarterly meetings, the Board reviewed the Funds’ investment performance and a significant amount of information relating to Fund operations, including shareholder services, valuation and custody, the Funds’ compliance program and other information relating to the nature, extent and quality of services provided by PIMCO to the Trust and each of the Funds. In considering whether to approve the renewal of the Agreement, the Board reviewed additional information, including, but not limited to, comparative industry data with regard to investment performance, advisory and supervisory and administrative fees and expenses, financial information for PIMCO, information regarding the profitability to PIMCO of its relationship with the Funds, information about the personnel providing investment management services, other advisory services and supervisory and administrative services to the Funds, and information about the fees charged and services provided to other clients with similar investment mandates as the Funds, where applicable. In addition, the Board reviewed materials provided by counsel to the Trust and the Independent Trustees, which included, among other things, a memorandum outlining legal duties of the Board in considering the renewal of the Agreement.
(b) Review Process: In connection with considering the renewal of the Agreement, the Board reviewed written materials prepared by PIMCO in response to requests from counsel to the Trust and the Independent Trustees encompassing a wide variety of topics. The Board requested and received assistance and advice regarding, among other things, applicable legal standards from counsel to the Trust and the Independent Trustees,
and reviewed comparative fee and performance data prepared at the Board’s request by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company performance information and fee and expense data. The Board received presentations from PIMCO on matters related to the Agreement and met both as a full Board and in a separate session of the Independent Trustees, without management present, at theAugust 20-21, 2019 meeting. The Independent Trustees also metin-person and telephonically with counsel to the Trust and the Independent Trustees, including anin-person meeting on July 17, 2019, and conducted a telephonic meeting with management and counsel to the Trust and the Independent Trustees, to discuss the materials presented and other matters deemed relevant to their consideration of the renewal of the Agreement. In connection with its review of the Agreement, the Board received comparative information on the performance, the risk-adjusted performance and the fees and expenses of other peer group funds. The Independent Trustees also requested and received supplemental information, including information regarding Fund performance and profitability.
The approval determination was made on the basis of each Trustee’s business judgment after consideration and evaluation of all the information presented. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. In deciding to approve the renewal of the Agreement, the Board did not identify any single factor or particular information that, in isolation, was controlling. The discussion below is intended to summarize the broad factors and information that figured prominently in the Board’s consideration of the renewal of the Agreement, but is not intended to summarize all of the factors considered by the Board.
2. NATURE, EXTENT AND QUALITY OF SERVICES
(a) PIMCO, its Personnel, and Resources: The Board considered the depth and quality of PIMCO’s investment management process, including, but not limited to: the experience, capability and integrity of its senior management and other personnel; the overall financial strength and stability of its organization; and the ability of its organizational structure to address changes in the Funds’ asset levels. The Board also considered the various services in addition to portfolio management that PIMCO provides under the Agreement. The Board noted that PIMCO makes available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, performance and portfolio accounting. The Board also noted PIMCO’s commitment to enhancing and investing in its global infrastructure, technology capabilities, risk management processes and the specialized talent needed to provide the array of services required of an ETF sponsor, to stay at the forefront of the competitive investment management industry and to strengthen its
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ability to deliver services under the Agreement. The Board considered PIMCO’s policies, procedures and systems reasonably designed to assure compliance with applicable laws and regulations and its commitment to further developing and strengthening these programs, its oversight of matters that may involve conflicts of interest between the Funds’ investments and those of other accounts managed by PIMCO, and its efforts to keep the Trustees informed about matters relevant to the Funds and their shareholders. The Board also considered PIMCO’s continuous investment in new disciplines and talented personnel, which has enhanced PIMCO’s services to the Funds and has allowed PIMCO to introduce innovative new funds over time.
In addition, the Trustees considered new services and service enhancements that PIMCO has implemented, including, but not limited to: upgrading the global network and infrastructure to support trading and risk management systems; enhancing and continuing to expand capabilities within thepre-trade compliance platform; enhancing flexible client reporting capabilities to support increased differentiation within local markets; developing new application and database frameworks to support new trading strategies; making portfolio data, performance and portfolio analysis available on the cloud to improve system performance for internal users and develop a new self-service client portal; enhancing the enterprise risk management function, including PIMCO’s Global Risk Committee, cybersecurity program and global business continuity functions; continuing oversight by the Americas Fund Oversight Committee, which provides senior-level oversight and supervision focused on new and ongoing fund-related business opportunities; expanding engagement with a third party service provider to provide certain additional fund administration services subject to PIMCO’s oversight; expanding the Fund Treasurer’s Office; enhancing a proprietary application to provide portfolio managers with more timely and high quality income reporting; developing a global tax management application that will enable investment professionals to access foreign market and security tax information on a real-time basis; upgrading a proprietary application to allow shareholder subscription and redemption data to pass to portfolio managers more quickly and efficiently; completing work on structured data filings for FormN-PORT and FormN-CEN to ensure operational readiness and successfully meet applicable filing dates; implementing a contingent NAV process; continuing to advocate in the public policy arena; and continuing to expand the pricing portal and the proprietary performance reconciliation tool. In addition, the Board considered the investment in derivatives by certain active ETFs, and how PIMCO assesses and manages risk and regulatory compliance with respect to the use of derivatives by the Funds, as applicable.
Ultimately, the Board concluded that the nature, extent and quality of services provided or procured by PIMCO under the Agreement are likely to continue to benefit the Funds and their shareholders.
(b) Other Services: The Board also considered the nature, extent and quality of supervisory and administrative services provided by PIMCO to the Funds under the Agreement. The Board considered the terms of the Agreement, under which the Trust pays for the supervisory and administrative services provided pursuant to that agreement under the unified fee. In return, PIMCO provides or procures certain supervisory and administrative services and bears the costs of various third party services required by the Funds, including but not limited to, audit, custodial, portfolio accounting, ordinary legal, transfer agency and printing costs. The Board noted that the scope and complexity, as well as the costs, of the supervisory and administrative services provided by PIMCO under the Agreement continue to increase. The Board considered PIMCO’s provision of these services and its supervision of the Trust’s third party service providers to assure that these service providers continue to provide a high level of service relative to alternatives available in the market.
Ultimately, the Board concluded that the nature, extent and quality of the services provided or procured by PIMCO has benefited, and will likely continue to benefit, the Funds and their shareholders.
3. INVESTMENT PERFORMANCE
The Board reviewed information from PIMCO concerning the Funds’ performance, as available, over short- and long-term periods ended March 31, 2019 and other performance data, as available, over short- and long-term periods ended June 30, 2019 (the “PIMCO Report”) and from Broadridge concerning the Funds’ performance, as available, overshort- and long-term periods ended March 31, 2019 (the “Lipper Report”).
The Board considered information regarding both the short- and long-term investment performance of each Fund relative to its peer group and relevant benchmark index as provided to the Board in advance of each of its quarterly meetings throughout the year, including materials provided in advance of theAugust 20-21, 2019 meeting. The Board reviewed materials indicating that, on anet-of-fees basis, performance has generally been strong for the active fixed income Funds. The Board also reviewed information that showed that, certain index Funds underperformed their benchmark, but that PIMCO did not expect such Funds, for structural reasons, to outperform their benchmarks on anet-of-fees basis over longer time horizons. PIMCO reported to the Board about the reasons for the underperformance of certain Funds and actions that have been taken by PIMCO throughout the year to attempt to address underperformance.
The Board ultimately concluded, within the context of all of its considerations in connection with the Agreement, that PIMCO’s performance record and process in managing the Funds indicates that its continued management is likely to benefit the Funds and their
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Approval of Investment Advisory Contract and Other Agreements(Cont.)
shareholders, and merits the approval of the renewal of the Agreement.
4. MANAGEMENT FEE AND TOTAL EXPENSES
The Board considered that PIMCO seeks to price new funds to scale at the outset with reference to the total expense ratios of the respective Lipper median, if available, while providing a fee premium for innovative investment offerings. PIMCO reported to the Board that, in proposing fees for any Fund, it considers a number of factors, including, but not limited to, the type and complexity of the services provided, the cost of providing services, the risk assumed by PIMCO in the development of products and the provision of services and the competitive marketplace for financial products. Fees charged to or proposed for different Funds for management services may vary in light of these various factors.
The Board reviewed the management fee and total expenses of each Fund (each as a percentage of average net assets) and compared such amounts with the average and median fee and expense levels of other similar funds. With respect to the management fee, the Board reviewed data from the Lipper Report that compared the average and median management fees of other funds in a “Peer Group” of comparable funds, as well as the universe of other similar funds. The Board compared each Fund’s total expenses to other funds in the Lipper Report “Expense Group” and found each Fund’s total expenses to be reasonable.
The Board also reviewed data comparing the Funds’ management fees to the fee rates PIMCO charges to separate accounts and to other investment companies with similar investment strategies, although, in the case of a number of Funds in the Trust, PIMCO does not currently manage separate accounts with similar investment strategies. In cases where the fees for other clients were lower than those charged to the Funds, the Trustees noted that the differences in fees were attributable to various factors, including, but not limited to, differences in the number or extent of the services provided by PIMCO to the Funds, the manner in which similar portfolios may be managed, different requirements with respect to liquidity management and the implementation of other regulatory requirements, and the fact that separate accounts may have other contractual arrangements or arrangements across PIMCO strategies that justify different levels of fees. The Trustees also considered that PIMCO faces increased entrepreneurial, legal and regulatory risk in sponsoring and managing mutual funds and ETFs as compared to separate accounts, externalsub-advised funds or other investment products.
Regarding advisory fees charged by PIMCO in its capacity assub-adviser to third party/unaffiliated funds, the Trustees took into account that such fees may be lower than the fees charged by PIMCO
to serve as adviser to the Funds. The Trustees also took into account that there are various reasons for any such differences in fees, including, but not limited to, the fact that PIMCO may be subject to varying levels of entrepreneurial, legal and regulatory risk and different servicing requirements when PIMCO does not serve as the sponsor of a fund and is not principally responsible for all aspects of a fund’s investment program and operations as compared to when PIMCO serves as investment adviser and sponsor.
The Board considered the Funds’ unified fee structure, under which each Fund pays for the advisory and supervisory and administrative services it requires for one set fee. In return for this unified fee, PIMCO provides or procures such services and bears the costs of various third party services required by the Funds, including audit, custodial, portfolio accounting, ordinary legal, transfer agency and printing costs. The Board considered that the unified fee leads to Fund fees that are fixed over the contract period, rather than variable. The Board noted that, although the unified fee structure does not have breakpoints, it implicitly reflects economies of scale by fixing the absolute level of Fund fees at competitive levels over the contract period even if the Funds’ operating costs rise when assets remain flat or decrease. Other factors the Board considered in assessing the unified fee include PIMCO’s approach of pricing Funds to scale at inception and reinvesting in other important areas of the business that support the Funds. The Board concluded that each Fund’s fees were reasonable in relation to the value of the services provided, and that the unified fee represents, in effect, a cap on overall Fund fees during the contractual period, which is beneficial to the Funds and their shareholders.
Based on the information presented by PIMCO, members of the Board determined that, in the exercise of their business judgment, the management fee charged by PIMCO under the Agreement, and that the total expenses of each Fund, are reasonable.
5. ADVISER COSTS, LEVEL OF PROFITS AND ECONOMIES OF SCALE
The Board reviewed information regarding PIMCO’s costs of providing services to the Funds as a whole, as well as the resulting level of profits attributable to the Funds. The Board also noted that it had received information regarding the structure and manner in which PIMCO’s investment professionals were compensated, and PIMCO’s view of the relationship of such compensation to the attraction and retention of quality personnel. The Board considered PIMCO’s investment in global infrastructure, technology capabilities, risk management processes and qualified personnel to reinforce and offer new services and to accommodate changing regulatory requirements.
With respect to potential economies of scale, the Board noted that PIMCO shares the benefits of economies of scale with the Funds and
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their shareholders in a number of ways, including investing in portfolio and trade operations management, firm technology, middle and back office support, legal and compliance, and fund administration logistics; senior management supervision, governance and oversight of those services; and through fee reductions or waivers, the pricing of Funds to scale from inception and the enhancement of services provided to the Funds in return for fees paid. The Board considered that the Funds’ unified fee rates had been set competitively and/or priced to scale from inception, and continued to be competitive compared with peers. The Board also considered the substantial investments PIMCO has made in order to support the operational and technological issues required to support exchange-traded funds as compared to traditional mutual funds, including enhancements related to the creation/redemption process, trade processing systems and iNAV process. The Board also considered that the unified fee is a transparent means of informing a Fund’s shareholders of the fees associated with the Fund, and that the Fund bears certain expenses that are not covered by the management fee. The Board further considered the challenges that arise when managing large funds, which can result in certain “diseconomies” of scale and noted that PIMCO has continued to reinvest in many areas of the business to support the Funds.
The Trustees considered that the unified fee has provided inherent economies of scale because a Fund maintains competitive fixed fees over the annual contract period even if the particular Fund’s assets decline and/or operating costs rise. The Trustees also reviewed materials indicating that, unlike the Funds’ unified fee structure, funds with “pass through” fee structures may experience increased expense ratios when fixed dollar fees are charged against declining fund assets. The Trustees also considered that the unified fee protects shareholders from a rise in operating costs that may result from, among other things, PIMCO’s investments in various business enhancements and infrastructure, including those referenced above. The Trustees noted that PIMCO’s investments in these areas are extensive.
The Board concluded that the Funds’ cost structures were reasonable and that PIMCO is appropriately sharing economies of scale, if any, through the Funds’ unified fee structure, generally pricing Funds to scale at inception and reinvesting in its business to provide enhanced and expanded services to the Funds and their shareholders.
6. ANCILLARY BENEFITS
The Board considered other benefits realized by PIMCO and its affiliates as a result of PIMCO’s relationship with the Trust. Such benefits may include possible ancillary benefits to PIMCO’s institutional investment management business due to the reputation and market penetration of the Trust or third party service providers’ relationship-level fee concessions, which decrease fees paid by PIMCO. The Board also reviewed PIMCO’s soft dollar policies and procedures, noting that
while PIMCO has the authority to receive the benefit of research provided by broker-dealers executing portfolio transactions on behalf of the Funds, it has adopted a policy not to enter into contractual soft dollar arrangements.
7. CONCLUSIONS
Based on their review, including their comprehensive consideration and evaluation of each of the broad factors and information summarized above, the Independent Trustees and the Board as a whole concluded that the nature, extent and quality of the services rendered to the Funds by PIMCO supported the renewal of the Agreement. The Independent Trustees and the Board as a whole concluded that the Agreement continued to be fair and reasonable to the Funds and their shareholders, that the Funds’ shareholders received reasonable value in return for the fees paid to PIMCO by the Funds under the Agreement, and that the renewal of the Agreement was in the best interests of the Funds and their shareholders.
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Approval of Investment Advisory Contract and Other Agreements(Cont.)
Approval of the Investment Management Agreement for PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund
At a meeting held on November4-5, 2019, the Board of Trustees (the “Board”) of PIMCO ETF Trust (the “Trust”), including the Trustees who are not “interested persons” of the Trust under the Investment Company Act of 1940, as amended (the “Independent Trustees”), considered and unanimously approved, for an initialtwo-year term, the Investment Management Agreement (the “Agreement”) between the Trust, on behalf of the PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund (the “New Fund”), and Pacific Investment Management Company LLC (“PIMCO”).
The information, material factors and conclusions that formed the basis for the Board’s approval are summarized below.
1. INFORMATION RECEIVED
(a) Materials Reviewed: The Trustees received a wide variety of materials relating to the services to be provided by PIMCO to the New Fund in connection with the November4-5, 2019 meeting. The Trustees also considered information it had received from PIMCO in connection with the August20-21, 2019 meeting at which the Trustees considered the renewal of the Investment Management Agreement between PIMCO and the existing series of the Trust. The Board reviewed information relating to proposed New Fund operations, including a memorandum from PIMCO describing the New Fund, a term sheet detailing key features of the New Fund, fee comparisons for the New Fund from Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company performance and fee and expense data, and a memorandum from Dechert describing the Trustees’ responsibilities in approving the Agreement. In considering whether to approve the Agreement, the Board also reviewed materials provided by PIMCO, which included, among other things, comparative industry data with regard to management fees and expense ratios of funds with investment objectives and policies similar to those of the New Fund.
(b) Review Process: In connection with the approval of the Agreement, the Board reviewed written materials prepared by PIMCO in response to requests from counsel to the Trust and the Independent Trustees encompassing a wide variety of topics, which included, among other things, comparative fee data prepared at the Board’s request by Broadridge. The Board also heard oral presentations on matters related to the Agreement. The approval determination was made on the basis of each Trustee’s business judgment after consideration and evaluation of all the information presented. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval
process. In deciding to approve the Agreement, the Board did not identify any single factor or particular information that, in isolation, was controlling. The discussion below is intended to summarize the broad factors and information that figured prominently in the Board’s consideration of the approval of the Agreement, but is not intended to summarize all of the factors considered by the Board.
2. NATURE, EXTENT AND QUALITY OF SERVICES
(a) PIMCO, its Personnel and Resources: The Board considered the depth and quality of PIMCO and PIMCO’s investment management process, including: its global research capabilities; the experience, capability and integrity of its senior management and other personnel; the overall financial strength and stability of its organization; and the ability of its organizational structure to address changes in assets under management. The Board also considered the various services in addition to portfolio management that PIMCO proposes to provide under the Agreement. The Board noted that PIMCO makes available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, performance and portfolio accounting. The Board also noted PIMCO’s commitment to enhancing and investing in its global infrastructure, technology capabilities, risk management processes and the specialized talent needed to provide the array of services required of an ETF sponsor, to stay at the forefront of the competitive investment management industry and to strengthen its ability to deliver services under the Agreement. Further, the Board considered PIMCO’s continuing efforts to attract and retain qualified personnel and to maintain and enhance its resources and systems. The Board considered PIMCO’s policies, procedures and systems reasonably designed to assure compliance with applicable laws and regulations and its commitment to further developing and strengthening these programs; its oversight of matters that may involve conflicts of interest between the New Fund’s investments and those of other accounts managed by PIMCO; and its efforts to keep the Trustees informed about matters relevant to the New Fund and its shareholders. The Board also considered PIMCO’s continuous investment in new disciplines and talented personnel, which has enhanced PIMCO’s services to other funds in the Trust and has allowed PIMCO to introduce innovative new funds over time.
Ultimately, the Board concluded that the nature, extent and quality of services to be provided or procured by PIMCO under the Agreement are likely to benefit the New Fund and its shareholders.
(b) Other Services: The Board also considered the nature, extent and quality of supervisory and administrative services to be provided by PIMCO to the New Fund under the Agreement. The Board considered the terms of the Agreement, under which the Trust will pay for the supervisory and administrative services provided pursuant to that agreement under a unified fee structure. In return, PIMCO will provide
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or procure certain supervisory and administrative services and bear the costs of various third party services required by the New Fund, including but not limited to audit, custodial, portfolio accounting, ordinary legal, transfer agency and printing costs. The Board noted that the scope and complexity, as well as the costs, of the supervisory and administrative services provided by PIMCO under the Agreement will continue to increase. The Board considered PIMCO’s provision of supervisory and administrative services to other series of the Trust and its supervision of the Trust’s third party service providers to assure that these service providers provide a high level of service relative to alternatives available in the market.
The Board concluded that the nature, extent and quality of services proposed to be provided or procured by PIMCO under the Agreement are likely to benefit the New Fund and its shareholders.
3. INVESTMENT PERFORMANCE
As the New Fund had not yet commenced operations at the time the Agreement was considered, the Trustees did not receive or consider investment performance information with respect to the New Fund.
4. MANAGEMENT FEE AND TOTAL EXPENSES
The Board considered PIMCO’s general pricing philosophy to price funds to scale at the outset with reference to the total expense ratios of the respective median (if available) included in the Lipper report prepared by Broadridge, while providing a fee premium for innovative investment offerings. PIMCO reported to the Board that, in proposing fees for the New Fund, it considered a number of factors, including the type and complexity of the services provided, the cost of providing services, the risk assumed by PIMCO in the provision of services, the impact on potential returns from different levels of fees, the competitive marketplace for financial products and the attractiveness of potential returns to prospective investors in the New Fund.
The Board reviewed the proposed management fee and estimated total expenses of the New Fund (each as a percentage of average net assets) and compared such amounts with the fees and expenses of other similar funds. With respect to the management fee, the Board reviewed data from Broadridge that compared the average and median management fees of other funds in an “Expense Group” of comparable funds, as well as the universe of other similar funds. The Board also compared the New Fund’s total expenses to other funds in the Expense Group provided by Broadridge and found the New Fund’s total expenses to be reasonable.
The Board also reviewed data comparing the management fees charged to other products managed by PIMCO with similar investment strategies. The Board considered the New Fund’s unified fee under which the New Fund would pay for the supervisory and administrative
services it requires for one set fee. The Board considered that the unified fee would lead to New Fund fees that are fixed over the contract period, rather than variable. The Board noted that, although the unified fee does not have breakpoints, it implicitly reflects economies of scale by fixing the absolute level of fees for the New Fund at a competitive level over the contract period even if the New Fund’s operating costs rise when assets remain flat or decrease. The Board concluded that the New Fund’s proposed management fee was reasonable in relation to the value of the services to be provided, and that the unified fee represents, in effect, a cap on overall fund expenses that would be beneficial to the New Fund and its shareholders. The Board noted that the New Fund would be covered by an Expense Limitation Agreement that is designed to cap organizational expenses, expenses related to obtaining or maintaining a Legal Entity Identifier and trustee fees.
Based on the information presented by PIMCO, members of the Board then determined, in the exercise of their business judgment, that the level of the management fee to be charged by PIMCO, as well as the estimated total expenses of the New Fund, are reasonable and approval of the Agreement would benefit shareholders of the New Fund.
5. ADVISER COSTS, LEVEL OF PROFITS AND ECONOMIES OF SCALE
As the New Fund had not yet commenced operations at the time the Agreement was considered, information regarding PIMCO’s costs in providing services to the New Fund and the profitability of PIMCO’s relationship with the New Fund was not available.
The Trustees considered that the unified fee provides inherent economies of scale because the New Fund’s unified fee would remain fixed even if the New Fund’s assets decline and/or operating costs rise. The Trustees further considered that, in contrast, breakpoints are a proxy for charging higher fees on lower asset levels and that when a fund’s assets decline, breakpoints may reverse, which causes expense ratios to increase. The Trustees also considered that, unlike the New Fund’s proposed unified fee, funds with “pass through” administrative fee structures may experience increased expense ratios when fixed dollar fees are charged against declining fund assets. The Trustees also considered that the unified fee protects shareholders from a rise in operating costs that may result from, including, among other things, PIMCO’s investments in various business enhancements and infrastructure, including those described above. The Trustees noted that PIMCO’s investments in these areas are extensive. The Trustees noted that, by pricing the New Fund to scale at inception instead of instituting breakpoints, PIMCO is effectively sharing economies of scale with shareholders before it realizes such benefits.
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The Board concluded that the New Fund’s proposed cost structure was reasonable and that PIMCO is appropriately sharing economies of scale, if any, through the New Fund’s unified fee structure, by generally pricing the New Fund to scale at inception and reinvesting in its business to provide enhanced and expanded services to the New Fund and its shareholders.
6. ANCILLARY BENEFITS
The Board considered other benefits received by PIMCO and its affiliates as a result of PIMCO’s relationship with the Trust, including possible ancillary benefits to PIMCO’s institutional investment management business due to the reputation and market penetration of the Trust. The Board also considered that affiliates of PIMCO will provide distribution and shareholder services to the New Fund and its shareholders. The Board reviewed PIMCO’s soft dollar policies and procedures, noting that while PIMCO has the authority to receive the benefit of research provided by broker-dealers executing portfolio transactions on behalf of the New Fund, it has adopted a policy not to enter into contractual soft dollar arrangements.
7. CONCLUSIONS
Based on their review, including their consideration of each of the factors summarized above, the Independent Trustees and the Board as a whole concluded that the nature, extent and quality of the services to be rendered to the New Fund by PIMCO supported the approval of the Agreement. The Independent Trustees and the Board as a whole concluded that the Agreement was fair and reasonable to the New Fund and its shareholders, and that the New Fund’s shareholders would receive reasonable value in return for the fees that would be paid to PIMCO by the New Fund under the Agreement and that the approval of the Agreement was in the best interests of the New Fund and its shareholders.
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General Information
Investment Manager
Pacific Investment Management Company LLC
650 Newport Center Drive
Newport Beach, CA 92660
Distributor
PIMCO Investments LLC
1633 Broadway
New York, NY 10019
Custodian
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Transfer Agent
State Street Bank and Trust Company
1 Heritage Drive
Quincy, MA 02171
Legal Counsel
Dechert LLP
1900 K Street N.W.
Washington, D.C. 20006
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1100 Walnut Street, Suite 1300
Kansas City, MO 64106
This report is submitted for the general information of the shareholders of the Funds listed on the report cover.
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ETF4001SAR_123119
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Item 2. | Code of Ethics. |
The information required by this Item 2 is only required in an annual report on this FormN-CSR.
Item 3. | Audit Committee Financial Expert. |
The information required by this Item 3 is only required in an annual report on this FormN-CSR.
Item 4. | Principal Accountant Fees and Services. |
The information required by this Item 4 is only required in an annual report on this FormN-CSR.
Item 5. | Audit Committee of Listed Registrants. |
The information required by this Item 5 is only required in an annual report on this FormN-CSR.
Item 6. | Schedule of Investments. |
The information required by this Item 6 is included as part of the semiannual reports to shareholders filed under Item 1 of this FormN-CSR.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable toopen-end investment companies.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable toopen-end investment companies.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable toopen-end investment companies.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees since the Trust last provided disclosure in response to this item.
Item 11. | Controls and Procedures. |
(a) | The principal executive officer and principal financial & accounting officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Act) provide reasonable assurances that material information relating to the Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Act) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting |
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable toopen-end investment companies.
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Item 13. | Exhibits. |
(a)(1) | Exhibit 99.CODE—Code of Ethics is not applicable for semiannual reports. | |
(a)(2) | Exhibit 99.CERT—Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
(a)(3) | Not applicable foropen-end investment companies. | |
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by the report. | |
(b) | Exhibit 99.906CERT—Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
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Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
PIMCO ETF Trust | ||
By: | /s/ Eric D. Johnson | |
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: | February 28, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Eric D. Johnson | |
Eric D. Johnson | ||
President (Principal Executive Officer) | ||
Date: | February 28, 2020 | |
By: | /s/ Bradley Todd | |
Bradley Todd | ||
Treasurer (Principal Financial & Accounting Officer) | ||
Date: | February 28, 2020 |