-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, SyDgywDWx4SueVVpBg9CxnfqFBLoWEa3AgOYuq8ah0Z/higbGZe0w/Xk39MNqRMg YR5BXFFeCj+M11KO+qICSg== 0001017062-01-500903.txt : 20020412 0001017062-01-500903.hdr.sgml : 20020412 ACCESSION NUMBER: 0001017062-01-500903 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010930 FILED AS OF DATE: 20011207 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PIMCO FUNDS CENTRAL INDEX KEY: 0000810893 STANDARD INDUSTRIAL CLASSIFICATION: [] IRS NUMBER: 952632339 STATE OF INCORPORATION: CA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05028 FILM NUMBER: 1808812 BUSINESS ADDRESS: STREET 1: 840 NEWPORT CTR DR STREET 2: SUITE 360 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 BUSINESS PHONE: 7147604465 MAIL ADDRESS: STREET 1: 840 NEWPORT CENTER DRIVE STREET 2: SUITE 360 CITY: NEWPORT BEACH STATE: CA ZIP: 92660 N-30D 1 dn30d.txt SEMI-ANNUAL REPORT DATED SEPTEMBER 30, 2001 [LOGO] PIMCO FUNDS PACIFIC INVESTMENT MANAGEMENT SERIES SEMI-ANNUAL REPORT SEPTEMBER 30, 2001 Treasury Yield Curves [GRAPH] Date Range 9/28/01 3/30/01 3 month 2.365 4.281 6 month 2.348 4.127 2 year 2.847 4.176 5 year 3.802 4.555 10 year 4.586 4.915 30 year 5.419 5.443 On the cover: Presented on the front cover and in greater detail here are U.S. Treasury yield curves depicting the term structure of interest rates at two different snapshots in time. The graph compares the yield curve as of March 30, 2001 with that of September 28, 2001, corresponding with the beginning and end of the Trust's fiscal half-year. Historical graphs such as this assist PIMCO in evaluating longer-term trends in the financial markets. As the graph illustrates, U.S. Treasury yields decreased across all maturities during the Trust's fiscal half year, especially for shorter maturity securities. High quality assets such as Treasuries and mortgages outperformed other fixed income securities, as well as stocks, over the third calendar quarter as investors sought safety amid market turmoil. Short and intermediate maturities fared especially well as yield curves steepened worldwide. Two-year Treasury yields, already falling before the attacks in expectation of more Fed easing, plunged a total of 1.33% over the quarter to close at 2.85%. Ten and 30-year Treasury yields fell by 0.32% and 0.02% to close at 4.59% and 5.42%, respectively. Contents Chairman's Message ......................................................... 1 A Conversation with Bill Gross and Paul McCulley ........................... 2 Financial Highlights ....................................................... 32 Statements of Assets and Liabilities ....................................... 44 Statements of Operations ................................................... 48 Statements of Changes in Net Assets ........................................ 52 Statements of Cash Flows ................................................... 59 Notes to Financial Statements .............................................. 179 Fund Schedule of Summary Investments Total Return Fund ....................................... 4 60 Total Return Fund II .................................... 5 89 Total Return Fund III ................................... 6 94 Moderate Duration Fund .................................. 7 98 Low Duration Fund ....................................... 8 102 Low Duration Fund II .................................... 9 110 Low Duration Fund III ................................... 10 112 Short-Term Fund ......................................... 11 114 Money Market Fund ....................................... 12 118 Long-Term U.S. Government Fund .......................... 13 119 Investment Grade Corporate Bond Fund .................... 14 123 High Yield Fund ......................................... 15 125 Total Return Mortgage Fund .............................. 16 131 GNMA Fund ............................................... 17 133 Real Return Fund ........................................ 18 135 Foreign Bond Fund ....................................... 19 138 Global Bond Fund ........................................ 20 145 Global Bond Fund II ..................................... 21 152 Emerging Markets Bond Fund .............................. 22 158 Strategic Balanced Fund ................................. 23 160 Convertible Fund ........................................ 24 161 European Convertible Fund ............................... 25 163 StocksPLUS Fund ......................................... 26 164 Municipal Bond Fund ..................................... 27 168 Short Duration Municipal Income Fund .................... 28 171 California Intermediate Municipal Bond Fund ............. 29 173 California Municipal Bond Fund .......................... 30 176 New York Municipal Bond Fund ............................ 31 178 Chairman's Letter Dear PIMCO Funds Shareholder: We are pleased to present you with this semi-annual report for PIMCO Funds: Pacific Investment Management Series. During the Trust's fiscal half year, assets grew by $ 11.2 billion to finish the six-month period ended September 30, 2001 at $ 80.0 billion. The U.S. economy showed few signs of recovery even before the terrorist attacks against the U.S. on September 11. Major indicators pointed to continued retrenchment by debt-laden businesses and consumers after several years of over-indulgence. Investment spending and profits at U.S. companies were falling; unemployment and layoffs across a wide range of industries were on the rise; consumer confidence, long the bulwark of U.S. growth, fell to an eight-year low as consumers spent just enough to keep the economy from contracting. The picture was no brighter outside the U.S. Growth in the Eurozone slowed to almost zero in the second quarter. Japan's economy shrank as business spending fell and exports plunged. The attacks made these weaknesses more acute by heightening risk aversion among consumers, businesses and investors. Layoffs mounted, especially in the airline and aerospace industries, with more on the way. Already weak stock markets fell sharply, as did prices of corporate and emerging market bonds. Trading volume and liquidity in bond markets fell well below normal levels after the attacks, although they returned close to normal by period end. Injections of liquidity by the Federal Reserve and rate cuts by central banks worldwide helped to bolster confidence in financial markets. In particular, bond markets rallied strongly. The Fed eased 1.50% over the six-month period and then another 0.50% just after the close of the period. In Japan, where interest rates are near zero, the central bank tried to boost the economy by intervening in currency markets to hold down the yen's value. On the following pages you will find commentary from PIMCO's Bill Gross and Paul McCulley, plus specific details as to each Fund's portfolio and total return investment performance including a discussion of those factors that affected investment performance. We appreciate the trust you have placed in us through your investments, and we will continue to focus our efforts to meet your investment needs. If you have any questions regarding your PIMCO Funds investment, please contact your account manager, or call one of our shareholder associates at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2001 9.30.01 | PIMCO Funds Semi-Annual Report 1 Economic Outlook [PHOTO] Bill Gross Buying and Selling Hope The September 11th attacks dealt a blow to the U.S. economy, causing many investors to wonder what's next for the financial markets--and their portfolios. In this excerpt from the October issue of his Investment Outlook, Bill Gross asks then answers three fundamental questions that shed some light on the current investment climate. ALL THE INTEREST OF MY REASON COMES TOGETHER IN THE FOLLOWING THREE QUESTIONS: (1) What can I know? (2) What ought I to do? (3) What may I hope? --Immanuel Kant, Critique of Pure Reason Any investor, anytime must ask the question, "What am I buying?"--not just in relation to the money manager but to the investments themselves. Am I buying hope or am I buying value? That question is especially important in the wake of the September 11th attacks, because it's only natural to combine patriotism with hope for a better tomorrow and come to incorrect conclusions about valuations. But when it comes to investing, it pays to use one's head instead of one's heart. The heart should be responsible for writing a check to the Red Cross to assist surviving families in NYC, Washington D.C. and those killed in Pennsylvania. The head should be in charge of deciding whether bonds or stocks make sense at today's prices in an increasingly risky global economic and sociopolitical environment. Eighteenth century philosopher Immanuel Kant wrote in his Critique of Pure Reason some sage advice for any investor, quoted at the beginning of this piece. His questions, at least for today will be my questions, beginning with... 1) WHAT CAN I KNOW? I know several things. I know that in the early part of September, the U.S. economy was already in recession, and in the aftermath of September 11th, recovery could be postponed deep into 2002. I know President Bush and other government officials believe this war will be a long lasting one requiring sacrifices from all Americans. I know that the monetary spigot has been opened wide and that the fiscal lock box has been broken into. I know that since September 11th the financial environment has become increasingly risky. And finally, I know that significant secular trends involving globalization and privatization are at risk of slowing down or even reversing. 2) WHAT OUGHT I TO DO? In an environment of increasing economic/financial risk, PIMCO's stance will focus first on protection of principal and secondarily on increasing return. Prices are not right at the moment for taking big chances either in bonds or in stocks. We are in the culminating phase of a 20-year Treasury bond bull market with 2-year yields at 23/4% and 10-year yields at 41/2%.* Should an investor risk principal loss for such paltry returns? Hardly. Should a risk-averse investor grab for Baa and junk bond yields in an environment where corporate profits are at risk? Hardly. For now, PIMCO will stress high quality, close to market durations, and a healthy dose of European sovereign credits. 3) WHAT MAY I HOPE? Yours truly and PIMCO are not in the business of selling hope nor in paying too high a price for it on your behalf. I hope that America comes back from its current recession quicker than ever. I hope our current war against terrorism is won and won decisively. I hope the American initiatives promoting globalization and privatization are not halted or reversed. But I have serious questions about all of these hopes and more. "All the interest of my reason," as perhaps that of Immanuel Kant were he a 21st century investor, suggests the ascendancy of caution, not hope, and the protection of principal at the expense of return. Bill Gross is a founder and the Chief Investment Officer of PIMCO. He manages the PIMCO Total Return and Low Duration Funds, as well as various other fixed income funds. * As of October 4, 2001 2 PIMCO Funds Semi-Annual Report | 9.30.01 [PHOTO] Paul McCulley The Right Way All year, investors have been looking to the Fed to cut interest rates in an attempt to put the economy back on track. The Fed has delivered and, in the aftermath of September 11, it has intensified its efforts. But, as Paul McCulley explains in this excerpt from his October Fed Focus newsletter, cutting interest rates simply isn't enough. The nation is in recession. When it began exactly, I don't know. The precise dating of recessions is not a science but an art, practiced by the National Bureau of Economic Research (NBER). And the NBER only dates them long after the fact. That's because the NBER is not in the forecasting business, but rather the history business. And in writing history, it is more important to be right than quick. BETTER RIGHT AND QUICK In Congressional testimony since the tragedies of September 11, Mr. Greenspan has evoked precisely the same dictum with respect to enacting additional fiscal stimulus: it is more important to be right than quick. Philosophically, it's hard to argue with that proposition. I worry, however, that Mr. Greenspan's plea to avoid undue haste in crafting a fiscal stimulus package arises from the fact that he has only accepted the inevitability of a fiscal stimulus package, but has not embraced either its efficacy or desirability. More bluntly, I believe that Mr. Greenspan still believes that monetary policy should be the dominant and dominating counter-cyclical policy tool, aided and abetted by the "bond market vigilantes" policing fiscal policy authorities. AND THE RIGHT WAY IS... There is, as Mr. Greenspan argues, a "right" way to construct a fiscal stimulus package. And one that is expected to "work" will, by definition, offend the "bond market vigilantes." Put differently, long-term Treasury yields will naturally rise if/when credible prospects for recovery diminish the "safe" haven bid for long-term Treasuries. How much they rise will depend, in large part, on whether the Fed is expected to jack short-term rates when recovery is at hand. Thus, the "right" way for Congress to construct a fiscal stimulus is to (1) start with the presumption that, if successful, the vaunted "bond market vigilantes" will not like it; and (2) demand a pledge from the Fed to resist any urge to tighten in "solidarity" with the "bond market vigilantes." A PRE-HOLIDAY TAX HOLIDAY I'd like to offer my proposal for a fiscal stimulus package: a 3-6 month "holiday" in all payroll (social security) taxes, which are paid half and half by the employee and the employer -7.65% on both sides. A payroll tax holiday has five key features I think make it the "right" way to go. . It is large. The tax will raise almost $700 billion this year, about 7% of GDP. Thus, a 3-6 month holiday from the tax would boost private sector cash flow by 1%-3% of GDP, well above the 1% of GDP that conventional econometric models--and Greenspan--suggest is appropriate. . It has a "sunset" provision, by definition: the length of the holiday. . Payroll tax is a regressive tax on the household sector, with only 1.45% of both employee and employer levies applying to incomes above $80,400 (for Medicare). Thus, a holiday from the tax would put hard cold take-home cash into the hands of those who have a high marginal propensity to consume. . Since the business sector pays half the tax "on behalf" of their employees, a three-month holiday from the tax would be an immediate boon to business cash flow--potentially over $75 billion, a large number in the context of after-tax corporate profits of just under $600 billion in 2000. . It's exceedingly easy to administer and fast-acting--preferably before the Christmas shopping season. The bottom line: a payroll tax holiday can deliver what's needed--fiscal stimulus that's both right and quick. Paul McCulley is a Managing Director at PIMCO and is the manager of the PIMCO Short-Term Fund, as well as various other fixed income funds. No part of this publication may be reproduced in any form, or referred to in any other publication, without express written permission. These articles contain the current opinions of the authors but not necessarily Pacific Investment Management Company LLC, and do not represent a recommendation of any particular security, strategy, or investment product. The authors' opinions are subject to change without notice. Information contained herein has been obtained from sources believed to be reliable, but is not guaranteed. These articles are distributed for educational purposes and should not be considered as investment advice or an offer of any security for sale. Copyright 2001, PIMCO 9.30.01 | PIMCO Funds Semi-Annual Report 3 PIMCO Total Return Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily intermediate maturity fixed income securities. DURATION: 4.4 years FUND INCEPTION DATE: Institutional Class: 5/11/1987 Administrative Class: 9/07/1994 TOTAL NET ASSETS: $48.4 billion PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Total Return Fund Institutional Class 6.22% 14.38% 7.00% 8.90% 8.79% 9.43% Total Return Fund Administrative Class 6.09% 14.10% 6.74% 8.63% -- 8.67% Lehman Brothers Aggregate Bond Index 5.20% 12.95% 6.39% 8.06% 7.76% -- Lipper Intermediate Investment Grade Debt Fund Average 4.48% 11.71% 5.44% 7.06% 7.31% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 54.4% Corporate Bonds & Notes 24.5% U.S. Treasury Obligations 6.9% Short-Term Instruments 5.4% Asset-Backed Securities 8.8% QUALITY BREAKDOWN* AAA 72.1% AA 4.9% A 15.3% BBB 6.1% BB 1.6% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers Aggregate Bond Month Total Return Fund Index ========== ================= =============== 05/31/1987 5,000,000 5,000,000 06/30/1987 5,063,956 5,068,813 07/31/1987 5,051,390 5,064,918 08/31/1987 5,039,534 5,037,815 09/30/1987 4,913,547 4,930,538 10/31/1987 5,070,060 5,106,141 11/30/1987 5,107,024 5,147,040 12/31/1987 5,153,726 5,217,151 01/31/1988 5,364,621 5,400,545 02/29/1988 5,425,978 5,464,652 03/31/1988 5,377,483 5,413,367 04/30/1988 5,349,895 5,384,153 05/31/1988 5,323,746 5,347,962 06/30/1988 5,451,097 5,476,986 07/31/1988 5,444,079 5,448,260 08/31/1988 5,470,463 5,462,542 09/30/1988 5,574,381 5,586,211 10/31/1988 5,662,479 5,691,379 11/30/1988 5,612,027 5,622,241 12/31/1988 5,637,131 5,628,571 01/31/1989 5,706,918 5,709,556 02/28/1989 5,670,892 5,668,171 03/31/1989 5,697,790 5,692,677 04/30/1989 5,825,551 5,811,802 05/31/1989 5,967,305 5,964,522 06/30/1989 6,168,244 6,146,131 07/31/1989 6,298,843 6,276,779 08/31/1989 6,190,418 6,183,783 09/30/1989 6,221,536 6,215,431 10/31/1989 6,371,017 6,368,476 11/30/1989 6,426,949 6,429,174 12/31/1989 6,440,083 6,446,378 01/31/1990 6,332,594 6,369,774 02/28/1990 6,349,652 6,390,386 03/31/1990 6,344,778 6,395,092 04/30/1990 6,255,058 6,336,504 05/31/1990 6,460,283 6,524,117 06/30/1990 6,569,705 6,628,798 07/31/1990 6,676,661 6,720,495 08/31/1990 6,571,662 6,630,745 09/30/1990 6,578,458 6,685,601 10/31/1990 6,669,789 6,770,482 11/30/1990 6,838,024 6,916,223 12/31/1990 6,958,354 7,023,987 01/31/1991 7,027,903 7,110,815 02/28/1991 7,126,178 7,171,514 03/31/1991 7,216,808 7,220,852 04/30/1991 7,335,070 7,299,078 05/31/1991 7,390,178 7,341,762 06/30/1991 7,401,768 7,338,029 07/31/1991 7,508,521 7,439,788 08/31/1991 7,712,232 7,600,786 09/30/1991 7,894,694 7,754,804 10/31/1991 7,975,769 7,841,145 11/30/1991 8,045,044 7,913,042 12/31/1991 8,319,147 8,148,046 01/31/1992 8,251,437 8,037,198 02/29/1992 8,323,957 8,089,457 03/31/1992 8,292,135 8,043,852 04/30/1992 8,335,850 8,101,954 05/31/1992 8,508,487 8,254,836 06/30/1992 8,616,472 8,368,443 07/31/1992 8,827,524 8,539,178 08/31/1992 8,902,987 8,625,682 09/30/1992 9,043,980 8,727,928 10/31/1992 8,965,037 8,612,211 11/30/1992 8,972,362 8,614,159 12/31/1992 9,129,278 8,751,136 01/31/1993 9,297,750 8,918,950 02/28/1993 9,504,901 9,075,078 03/31/1993 9,560,206 9,112,893 04/30/1993 9,643,848 9,176,350 05/31/1993 9,666,306 9,188,036 06/30/1993 9,876,645 9,354,551 07/31/1993 9,937,133 9,407,459 08/31/1993 10,163,538 9,572,351 09/30/1993 10,204,890 9,598,643 10/31/1993 10,277,472 9,634,511 11/30/1993 10,187,745 9,552,551 12/31/1993 10,271,501 9,604,324 01/31/1994 10,396,445 9,733,998 02/28/1994 10,210,928 9,564,886 03/31/1994 9,995,399 9,329,070 04/30/1994 9,896,929 9,254,577 05/31/1994 9,850,224 9,253,278 06/30/1994 9,814,015 9,232,829 07/31/1994 10,015,509 9,416,223 08/31/1994 10,044,623 9,427,908 09/30/1994 9,917,753 9,289,146 10/31/1994 9,906,083 9,280,869 11/30/1994 9,907,443 9,260,257 12/31/1994 9,904,417 9,324,202 01/31/1995 10,082,267 9,508,731 02/28/1995 10,319,048 9,734,809 03/31/1995 10,417,456 9,794,534 04/30/1995 10,600,658 9,931,349 05/31/1995 10,936,213 10,315,665 06/30/1995 10,929,713 10,391,294 07/31/1995 10,936,311 10,368,086 08/31/1995 11,105,123 10,493,216 09/30/1995 11,244,355 10,595,300 10/31/1995 11,415,091 10,733,089 11/30/1995 11,662,396 10,893,924 12/31/1995 11,863,138 11,046,806 01/31/1996 11,960,385 11,120,164 02/29/1996 11,668,778 10,926,870 03/31/1996 11,578,391 10,850,915 04/30/1996 11,530,294 10,789,892 05/31/1996 11,499,480 10,767,982 06/30/1996 11,683,873 10,912,588 07/31/1996 11,714,500 10,942,450 08/31/1996 11,704,501 10,924,111 09/30/1996 11,973,193 11,114,483 10/31/1996 12,284,300 11,360,686 11/30/1996 12,575,406 11,555,278 12/31/1996 12,419,446 11,447,838 01/31/1997 12,465,678 11,482,894 02/28/1997 12,494,013 11,511,458 03/31/1997 12,342,925 11,383,894 04/30/1997 12,565,728 11,554,304 05/31/1997 12,694,757 11,663,529 06/30/1997 12,843,894 11,801,967 07/31/1997 13,203,071 12,120,229 08/31/1997 13,089,168 12,016,846 09/30/1997 13,301,627 12,194,073 10/31/1997 13,461,510 12,370,975 11/30/1997 13,523,400 12,427,941 12/31/1997 13,681,812 12,553,071 01/31/1998 13,893,968 12,714,230 02/28/1998 13,855,371 12,704,087 03/31/1998 13,902,211 12,748,312 04/30/1998 13,957,191 12,814,853 05/31/1998 14,119,833 12,936,413 06/30/1998 14,257,594 13,046,124 07/31/1998 14,305,551 13,073,877 08/31/1998 14,533,176 13,286,646 09/30/1998 14,969,015 13,597,767 10/31/1998 14,869,808 13,525,870 11/30/1998 14,925,950 13,602,636 12/31/1998 15,018,914 13,643,534 01/31/1999 15,109,171 13,740,911 02/28/1999 14,831,091 13,501,039 03/31/1999 14,958,503 13,575,857 04/30/1999 15,032,946 13,618,865 05/31/1999 14,870,656 13,499,578 06/30/1999 14,846,270 13,456,570 07/31/1999 14,790,750 13,399,279 08/31/1999 14,803,007 13,392,596 09/30/1999 14,968,364 13,547,942 10/31/1999 15,018,938 13,597,929 11/30/1999 15,055,090 13,596,955 12/31/1999 14,976,517 13,531,388 01/31/2000 14,900,278 13,487,081 02/29/2000 15,083,651 13,650,188 03/31/2000 15,307,078 13,830,012 04/30/2000 15,264,806 13,790,412 05/31/2000 15,262,467 13,784,082 06/30/2000 15,586,098 14,070,858 07/31/2000 15,729,678 14,198,585 08/31/2000 15,977,572 14,404,375 09/30/2000 16,034,043 14,494,936 10/31/2000 16,135,944 14,590,853 11/30/2000 16,451,556 14,829,427 12/31/2000 16,786,703 15,104,518 01/31/2001 17,032,309 15,351,532 02/28/2001 17,196,785 15,485,264 03/31/2001 17,266,189 15,563,003 04/30/2001 17,107,442 15,498,343 05/31/2001 17,174,199 15,591,965 06/30/2001 17,222,245 15,650,786 07/31/2001 17,819,063 16,000,687 08/31/2001 18,040,583 16,184,024 09/30/2001 18,340,232 16,372,525
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 6/01/1987, the first full month following the Fund's Institutional Class inception on 5/11/1987, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/07/1994. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Total Return Fund outperformed the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2001, returning 6.22% versus 5.20% for the Index. . The Fund's duration was longer than its benchmark's during the second quarter of the calendar year, which negatively impacted returns as yields rose. Subsequently, duration positioning and an emphasis on shorter maturity instruments were a positive as yields fell in the third quarter on weaker than expected economic growth. . The Fund benefited from an overweight in mortgage securities, which provided a high quality source of additional yield. . An underweight in investment grade corporates hurt returns in the second quarter of the year, but was positive in the third quarter as corporates underperformed Treasuries due to widening yield premiums. . Holdings along Euro-zone and UK yield curves, especially on the short end of these curves, were a positive for performance as European markets rallied in anticipation of weaker growth and further rate cuts. 4 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Total Return Fund II FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily intermediate maturity fixed income securities with quality and non-U.S. issuer restrictions. DURATION: 4.4 years FUND INCEPTION DATE: Institutional Class: 12/30/1991 Administrative Class: 11/30/1994 TOTAL NET ASSETS: $1.8 billion PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* Total Return Fund II Institutional Class 6.87% 15.24% 6.72% 8.76% 8.20% Total Return Fund II Administrative Class 6.74% 14.96% 6.46% 8.49% 8.96% Lehman Brothers Aggregate Bond Index 5.20% 12.95% 6.39% 8.06% -- Lipper Intermediate Investment Grade Debt Fund Average 4.48% 11.71% 5.44% 7.06% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 52.7% Corporate Bonds & Notes 26.9% Asset-Backed Securities 7.1% Short-Term Instruments 5.9% U.S. Treasury Obligations 5.6% Other 1.8% QUALITY BREAKDOWN* AAA 67.9% AA 5.4% A 20.3% BBB 6.1% BB 0.3% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers Aggregate Bond Month Total Return Fund II Index ===== ==================== =============== 12/31/1991 5,000,000 5,000,000 01/31/1992 4,929,716 4,931,979 02/29/1992 4,951,937 4,964,047 03/31/1992 4,937,873 4,936,062 04/30/1992 4,963,257 4,971,716 05/31/1992 5,075,312 5,065,531 06/30/1992 5,149,979 5,135,245 07/31/1992 5,309,040 5,240,016 08/31/1992 5,355,136 5,293,098 09/30/1992 5,437,041 5,355,841 10/31/1992 5,367,337 5,284,832 11/30/1992 5,383,727 5,286,027 12/31/1992 5,471,600 5,370,083 01/31/1993 5,579,371 5,473,060 02/28/1993 5,705,377 5,568,868 03/31/1993 5,719,997 5,592,073 04/30/1993 5,793,075 5,631,013 05/31/1993 5,790,801 5,638,183 06/30/1993 5,920,354 5,740,365 07/31/1993 5,952,711 5,772,831 08/31/1993 6,070,915 5,874,017 09/30/1993 6,093,002 5,890,150 10/31/1993 6,109,820 5,912,160 11/30/1993 6,049,436 5,861,866 12/31/1993 6,067,802 5,893,636 01/31/1994 6,149,761 5,973,210 02/28/1994 6,050,676 5,869,435 03/31/1994 5,910,178 5,724,729 04/30/1994 5,870,870 5,679,016 05/31/1994 5,858,460 5,678,219 06/30/1994 5,845,104 5,665,671 07/31/1994 5,977,463 5,778,209 08/31/1994 5,984,657 5,785,380 09/30/1994 5,896,835 5,700,229 10/31/1994 5,889,838 5,695,150 11/30/1994 5,888,896 5,682,502 12/31/1994 5,933,421 5,721,741 01/31/1995 6,043,232 5,834,977 02/28/1995 6,182,752 5,973,708 03/31/1995 6,223,522 6,010,358 04/30/1995 6,299,808 6,094,313 05/31/1995 6,523,923 6,330,146 06/30/1995 6,551,569 6,376,556 07/31/1995 6,507,691 6,362,315 08/31/1995 6,628,805 6,439,100 09/30/1995 6,717,353 6,501,743 10/31/1995 6,829,613 6,586,296 11/30/1995 6,952,671 6,684,992 12/31/1995 7,059,284 6,778,807 01/31/1996 7,096,875 6,823,822 02/29/1996 6,956,380 6,705,209 03/31/1996 6,882,877 6,658,600 04/30/1996 6,829,282 6,621,153 05/31/1996 6,805,776 6,607,708 06/30/1996 6,917,299 6,696,445 07/31/1996 6,933,266 6,714,769 08/31/1996 6,916,233 6,703,516 09/30/1996 7,079,837 6,820,337 10/31/1996 7,268,469 6,971,417 11/30/1996 7,416,019 7,090,828 12/31/1996 7,331,446 7,024,898 01/31/1997 7,372,632 7,046,410 02/28/1997 7,387,727 7,063,938 03/31/1997 7,305,831 6,985,659 04/30/1997 7,418,069 7,090,230 05/31/1997 7,488,383 7,157,255 06/30/1997 7,571,276 7,242,207 07/31/1997 7,808,619 7,437,506 08/31/1997 7,730,081 7,374,066 09/30/1997 7,837,156 7,482,820 10/31/1997 7,950,092 7,591,375 11/30/1997 7,972,129 7,626,332 12/31/1997 8,063,867 7,703,117 01/31/1998 8,181,882 7,802,012 02/28/1998 8,157,419 7,795,787 03/31/1998 8,181,806 7,822,926 04/30/1998 8,222,040 7,863,759 05/31/1998 8,310,019 7,938,353 06/30/1998 8,398,686 8,005,677 07/31/1998 8,417,371 8,022,707 08/31/1998 8,634,608 8,153,272 09/30/1998 8,863,669 8,344,189 10/31/1998 8,784,161 8,300,070 11/30/1998 8,790,237 8,347,177 12/31/1998 8,840,354 8,372,274 01/31/1999 8,895,775 8,432,029 02/28/1999 8,717,208 8,284,832 03/31/1999 8,791,829 8,330,744 04/30/1999 8,826,341 8,357,136 05/31/1999 8,716,487 8,283,936 06/30/1999 8,686,621 8,257,544 07/31/1999 8,640,505 8,222,388 08/31/1999 8,645,072 8,218,287 09/30/1999 8,749,143 8,313,614 10/31/1999 8,774,371 8,344,288 11/30/1999 8,789,718 8,343,691 12/31/1999 8,745,555 8,303,456 01/31/2000 8,714,587 8,276,267 02/29/2000 8,804,572 8,376,357 03/31/2000 8,919,699 8,486,705 04/30/2000 8,885,298 8,462,404 05/31/2000 8,910,528 8,458,520 06/30/2000 9,090,806 8,634,499 07/31/2000 9,163,246 8,712,877 08/31/2000 9,307,790 8,839,159 09/30/2000 9,348,802 8,894,732 10/31/2000 9,424,027 8,953,590 11/30/2000 9,600,448 9,099,990 12/31/2000 9,776,445 9,268,798 01/31/2001 9,910,018 9,420,376 02/28/2001 10,026,066 9,502,440 03/31/2001 10,081,188 9,550,144 04/30/2001 10,013,145 9,510,466 05/31/2001 10,086,569 9,567,917 06/30/2001 10,116,284 9,604,012 07/31/2001 10,445,858 9,818,726 08/31/2001 10,560,283 9,931,230 09/30/2001 10,773,561 10,046,903
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1992, the first full month following the Fund's Institutional Class inception on 12/30/1991, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 11/30/1994. PORTFOLIO INSIGHTS . The Total Return Fund II outperformed the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2001, returning 6.87% versus 5.20% for the Index. . The Fund's duration was longer than its benchmark's during the second quarter of the calendar year, which negatively impacted returns as yields rose. Subsequently, duration positioning and an emphasis on shorter maturity instruments were a positive as yields fell in the third quarter on weaker than expected economic growth. . The Fund benefited from an overweight in mortgages, which provided a high quality source of additional yield. . An underweight in investment grade corporates hurt returns in the second quarter of the year, but was positive in the third quarter as corporates underperformed Treasuries due to widening yield premiums. 9.30.01 | PIMCO Funds Semi-Annual Report 5 PIMCO Total Return Fund III FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily intermediate maturity fixed income securities with prohibitions on firms engaged in socially sensitive practices. DURATION: 4.6 years FUND INCEPTION DATE: Institutional Class: 5/01/1991 Administrative Class: 4/11/1997 TOTAL NET ASSETS: $843.1 million PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Total Return Fund III Institutional Class 6.54% 14.59% 6.45% 8.52% 8.60% 8.97% Total Return Fund III Administrative Class 6.40% 14.26% 6.17% -- -- 8.58% Lehman Brothers Aggregate Bond Index 5.20% 12.95% 6.39% 8.06% 7.76% -- Lipper Intermediate Investment Grade Debt Fund Average 4.48% 11.71% 5.44% 7.06% 7.31% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 56.2% Corporate Bonds & Notes 23.6% Other 20.2% QUALITY BREAKDOWN* AAA 68.9% AA 2.9% A 18.9% BBB 6.8% BB 2.5% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers Aggregate Bond Month Total Return Fund III Index ===== ===================== =============== 04/30/1991 5,000,000 5,000,000 05/31/1991 5,024,573 5,029,239 06/30/1991 5,011,360 5,026,682 07/31/1991 5,091,347 5,096,389 08/31/1991 5,231,902 5,206,675 09/30/1991 5,362,299 5,312,180 10/31/1991 5,419,024 5,371,326 11/30/1991 5,475,902 5,420,576 12/31/1991 5,687,512 5,581,558 01/31/1992 5,605,239 5,505,625 02/29/1992 5,649,578 5,541,424 03/31/1992 5,621,306 5,510,184 04/30/1992 5,643,874 5,549,984 05/31/1992 5,752,958 5,654,712 06/30/1992 5,844,833 5,732,534 07/31/1992 6,028,857 5,849,491 08/31/1992 6,069,916 5,908,747 09/30/1992 6,112,922 5,978,788 10/31/1992 6,061,053 5,899,520 11/30/1992 6,110,005 5,900,854 12/31/1992 6,200,947 5,994,686 01/31/1993 6,262,534 6,109,641 02/28/1993 6,404,215 6,216,592 03/31/1993 6,434,449 6,242,496 04/30/1993 6,497,518 6,285,965 05/31/1993 6,501,189 6,293,970 06/30/1993 6,644,496 6,408,036 07/31/1993 6,697,102 6,444,279 08/31/1993 6,880,114 6,557,233 09/30/1993 6,894,099 6,575,243 10/31/1993 6,957,037 6,599,813 11/30/1993 6,917,372 6,543,670 12/31/1993 6,984,685 6,579,135 01/31/1994 7,060,374 6,667,964 02/28/1994 6,937,795 6,552,119 03/31/1994 6,797,242 6,390,581 04/30/1994 6,731,751 6,339,552 05/31/1994 6,676,376 6,338,662 06/30/1994 6,681,328 6,324,654 07/31/1994 6,815,349 6,450,282 08/31/1994 6,830,651 6,458,287 09/30/1994 6,760,588 6,363,232 10/31/1994 6,777,181 6,357,562 11/30/1994 6,726,341 6,343,443 12/31/1994 6,745,188 6,387,246 01/31/1995 6,870,185 6,513,652 02/28/1995 7,076,265 6,668,520 03/31/1995 7,131,606 6,709,432 04/30/1995 7,251,354 6,803,153 05/31/1995 7,479,227 7,066,416 06/30/1995 7,468,982 7,118,224 07/31/1995 7,469,280 7,102,326 08/31/1995 7,577,254 7,188,042 09/30/1995 7,661,664 7,257,971 10/31/1995 7,778,032 7,352,359 11/30/1995 7,920,241 7,462,534 12/31/1995 8,042,735 7,567,261 01/31/1996 8,110,490 7,617,512 02/29/1996 7,917,045 7,485,103 03/31/1996 7,848,991 7,433,072 04/30/1996 7,813,232 7,391,271 05/31/1996 7,795,663 7,376,262 06/30/1996 7,938,312 7,475,319 07/31/1996 7,953,817 7,495,775 08/31/1996 7,937,131 7,483,213 09/30/1996 8,134,267 7,613,621 10/31/1996 8,353,533 7,782,274 11/30/1996 8,530,260 7,915,573 12/31/1996 8,415,107 7,841,975 01/31/1997 8,452,273 7,865,989 02/28/1997 8,465,767 7,885,556 03/31/1997 8,379,284 7,798,172 04/30/1997 8,523,528 7,914,906 05/31/1997 8,625,020 7,989,727 06/30/1997 8,714,471 8,084,560 07/31/1997 8,945,988 8,302,575 08/31/1997 8,888,809 8,231,756 09/30/1997 9,006,608 8,353,160 10/31/1997 9,140,798 8,474,341 11/30/1997 9,172,684 8,513,363 12/31/1997 9,274,215 8,599,079 01/31/1998 9,418,706 8,709,477 02/28/1998 9,404,616 8,702,528 03/31/1998 9,436,938 8,732,823 04/30/1998 9,472,905 8,778,405 05/31/1998 9,559,386 8,861,676 06/30/1998 9,655,888 8,936,830 07/31/1998 9,697,309 8,955,841 08/31/1998 9,843,713 9,101,592 09/30/1998 10,148,628 9,314,715 10/31/1998 10,097,948 9,265,464 11/30/1998 10,154,614 9,318,050 12/31/1998 10,237,306 9,346,067 01/31/1999 10,291,019 9,412,772 02/28/1999 10,083,482 9,248,455 03/31/1999 10,210,751 9,299,706 04/30/1999 10,264,484 9,329,168 05/31/1999 10,112,792 9,247,454 06/30/1999 10,098,298 9,217,993 07/31/1999 10,060,554 9,178,748 08/31/1999 10,064,068 9,174,170 09/30/1999 10,149,144 9,280,584 10/31/1999 10,190,083 9,314,826 11/30/1999 10,208,038 9,314,159 12/31/1999 10,139,938 9,269,244 01/31/2000 9,971,148 9,238,894 02/29/2000 10,081,292 9,350,625 03/31/2000 10,244,449 9,473,807 04/30/2000 10,191,835 9,446,680 05/31/2000 10,178,995 9,442,344 06/30/2000 10,404,668 9,638,791 07/31/2000 10,480,599 9,726,286 08/31/2000 10,659,083 9,867,257 09/30/2000 10,682,050 9,929,292 10/31/2000 10,727,050 9,994,997 11/30/2000 10,921,300 10,158,425 12/31/2000 11,164,751 10,346,867 01/31/2001 11,321,486 10,516,076 02/28/2001 11,425,133 10,607,684 03/31/2001 11,489,223 10,660,937 04/30/2001 11,393,743 10,616,644 05/31/2001 11,461,186 10,680,777 06/30/2001 11,468,986 10,721,070 07/31/2001 11,853,724 10,960,758 08/31/2001 12,026,516 11,086,348 09/30/2001 12,240,207 11,215,474
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/1991, the Fund's Institutional Class inception date, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 4/11/1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Total Return Fund III outperformed the Lehman Brothers Aggregate Bond Index for the six-month period ended September 30, 2001, returning 6.54% versus 5.20% for the Index. . The Fund's duration was longer than its benchmark's during the second quarter of the calendar year, which negatively impacted returns as yields rose. Subsequently, duration positioning and an emphasis on shorter maturity instruments were a positive as yields fell in the third quarter on weaker than expected economic growth. . The Fund benefited from an overweight in mortgages, which provided a high quality source of additional yield. . An underweight in investment grade corporates hurt returns in the second quarter of the year, but was positive in the third quarter as corporates underperformed Treasuries due to widening yield premiums. . Holdings along Euro-zone and UK yield curves, especially on the short end of these curves, were a positive for performance as European markets rallied in anticipation of weaker growth and further rate cuts. 6 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Moderate Duration Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily short and intermediate maturity fixed income securities. DURATION: 3.5 years FUND INCEPTION DATE: Institutional Class: 12/31/1996 TOTAL NET ASSETS: $638.1 million PORTFOLIO MANAGEMENT TEAM LEAD: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Moderate Duration Fund Institutional Class 6.23% 13.11% 6.84% 7.62% Lehman Brothers Intermediate Government/Corporate Bond Index 5.31% 12.91% 6.47% -- Lipper Short Intermediate Investment Grade Debt Fund Average 4.29% 10.28% 5.83% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 57.5% Corporate Bonds & Notes 19.5% Asset-Backed Securities 5.8% U.S. Treasury Obligations 5.5% Other 11.7% QUALITY BREAKDOWN* AAA 78.1% AA 4.2% A 9.1% BBB 7.8% BB 0.8% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers Intermed. Moderate Duration Gov't/Corporate Bond Month Fund Index ===== ================= ========================= 12/31/1996 5,000,000 5,000,000 01/31/1997 5,018,573 5,019,499 02/28/1997 5,025,671 5,029,037 03/31/1997 4,987,552 4,994,337 04/30/1997 5,045,822 5,053,270 05/31/1997 5,078,973 5,095,212 06/30/1997 5,141,280 5,141,578 07/31/1997 5,240,626 5,245,952 08/31/1997 5,220,094 5,219,722 09/30/1997 5,282,529 5,280,271 10/31/1997 5,331,654 5,338,882 11/30/1997 5,354,915 5,350,628 12/31/1997 5,398,734 5,393,432 01/31/1998 5,454,128 5,464,087 02/28/1998 5,448,868 5,459,715 03/31/1998 5,476,199 5,477,186 04/30/1998 5,507,779 5,504,572 05/31/1998 5,547,118 5,544,756 06/30/1998 5,574,030 5,580,242 07/31/1998 5,603,136 5,599,773 08/31/1998 5,657,953 5,687,689 09/30/1998 5,812,116 5,830,450 10/31/1998 5,807,792 5,824,620 11/30/1998 5,807,850 5,824,037 12/31/1998 5,837,909 5,847,334 01/31/1999 5,869,063 5,879,494 02/28/1999 5,778,416 5,793,065 03/31/1999 5,842,985 5,836,513 04/30/1999 5,861,195 5,854,606 05/31/1999 5,823,540 5,809,526 06/30/1999 5,805,584 5,813,592 07/31/1999 5,800,346 5,808,361 08/31/1999 5,804,694 5,813,007 09/30/1999 5,858,013 5,867,068 10/31/1999 5,893,763 5,882,322 11/30/1999 5,912,009 5,889,381 12/31/1999 5,890,158 5,869,946 01/31/2000 5,826,274 5,848,228 02/29/2000 5,873,746 5,896,183 03/31/2000 5,951,786 5,957,503 04/30/2000 5,955,966 5,943,800 05/31/2000 5,995,504 5,953,311 06/30/2000 6,078,846 6,058,088 07/31/2000 6,123,436 6,104,129 08/31/2000 6,204,722 6,176,158 09/30/2000 6,265,532 6,232,361 10/31/2000 6,292,005 6,261,030 11/30/2000 6,379,265 6,346,180 12/31/2000 6,486,663 6,462,950 01/31/2001 6,588,529 6,568,942 02/28/2001 6,633,080 6,631,347 03/31/2001 6,671,537 6,682,408 04/30/2001 6,651,187 6,665,034 05/31/2001 6,678,198 6,702,358 06/30/2001 6,710,068 6,727,157 07/31/2001 6,873,298 6,867,082 08/31/2001 6,945,719 6,935,753 09/30/2001 7,087,216 7,037,015
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date, compared to the Lehman Brothers Intermediate Government/Corporate Bond Index, an unmanaged market index. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Moderate Duration Fund outperformed the Lehman Brothers Intermediate Government/Corporate Bond Index for the six-month period ended September 30, 2001, returning 6.23% versus 5.31% for the Index. . The Fund's duration during most of this period was longer than its benchmark's. This negatively impacted returns during the second calendar quarter, as yields generally rose. However, longer than benchmark duration became a positive during the third quarter as short and intermediate rates fell. . The Fund benefited from an overweight in mortgages, which provided a high quality source of additional yield. . An underweight in investment grade corporates hurt returns in the second quarter of the year, but was positive in the third quarter as corporates underperformed Treasuries due to widening yield premiums. . Holdings along Euro-zone and UK yield curves, especially on the short end of these curves, were a positive for performance as European markets rallied in anticipation of weaker growth and further rate cuts. 9.30.01 | PIMCO Funds Semi-Annual Report 7 PIMCO Low Duration Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily short maturity fixed income securities. DURATION: 1.5 years FUND INCEPTION DATE: Institutional Class: 5/11/1987 Administrative Class: 12/31/1994 TOTAL NET ASSETS: $5.1 billion PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Low Duration Fund Institutional Class 4.78% 10.22% 6.54% 7.32% 7.16% 7.95% Low Duration Fund Administrative Class 4.65% 9.95% 6.28% 7.05% -- 7.42% Merrill Lynch 1-3 Year Treasury Index 4.59% 10.38% 6.42% 6.83% 6.39% -- Lipper Short Investment Grade Debt Fund Average 4.08% 9.38% 5.93% 6.28% 6.14% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 57.5% Corporate Bonds & Notes 25.1% Short-Term Instruments 5.9% U.S. Treasury Obligations 5.4% Other 6.1% QUALITY BREAKDOWN* AAA 71.8% AA 4.0% A 12.6% BBB 9.8% BB 1.8% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Low Duration Merrill Lynch Month Fund 1-3 Year Treasury Index ===== ============ ======================= 05/31/1987 5,000,000 5,000,000 06/30/1987 5,046,628 5,054,486 07/31/1987 5,065,090 5,079,247 08/31/1987 5,064,335 5,083,277 09/30/1987 5,052,060 5,063,694 10/31/1987 5,133,989 5,175,497 11/30/1987 5,191,951 5,206,753 12/31/1987 5,222,390 5,239,924 01/31/1988 5,308,798 5,323,917 02/29/1988 5,347,411 5,367,579 03/31/1988 5,380,986 5,378,053 04/30/1988 5,403,325 5,385,796 05/31/1988 5,415,511 5,378,103 06/30/1988 5,466,198 5,433,788 07/31/1988 5,495,264 5,437,868 08/31/1988 5,517,425 5,449,457 09/30/1988 5,568,286 5,512,752 10/31/1988 5,619,832 5,567,754 11/30/1988 5,626,975 5,552,801 12/31/1988 5,652,043 5,565,872 01/31/1989 5,699,277 5,609,584 02/28/1989 5,708,130 5,609,468 03/31/1989 5,730,286 5,635,162 04/30/1989 5,798,151 5,721,387 05/31/1989 5,917,401 5,806,895 06/30/1989 6,046,639 5,915,301 07/31/1989 6,135,363 6,002,808 08/31/1989 6,107,180 5,965,890 09/30/1989 6,137,963 6,001,276 10/31/1989 6,219,093 6,091,880 11/30/1989 6,275,483 6,149,263 12/31/1989 6,307,554 6,173,858 01/31/1990 6,303,536 6,178,987 02/28/1990 6,346,767 6,207,779 03/31/1990 6,381,164 6,228,694 04/30/1990 6,377,250 6,240,900 05/31/1990 6,484,898 6,336,383 06/30/1990 6,554,775 6,403,041 07/31/1990 6,626,735 6,482,955 08/31/1990 6,639,802 6,502,338 09/30/1990 6,676,368 6,555,691 10/31/1990 6,724,978 6,627,712 11/30/1990 6,805,177 6,692,922 12/31/1990 6,878,682 6,774,101 01/31/1991 6,942,193 6,836,151 02/28/1991 6,997,644 6,876,758 03/31/1991 7,057,271 6,923,107 04/30/1991 7,143,402 6,988,670 05/31/1991 7,199,368 7,030,881 06/30/1991 7,245,425 7,059,426 07/31/1991 7,325,646 7,120,914 08/31/1991 7,430,571 7,218,612 09/30/1991 7,527,775 7,296,718 10/31/1991 7,593,269 7,375,086 11/30/1991 7,675,305 7,451,712 12/31/1991 7,804,629 7,565,276 01/31/1992 7,811,724 7,553,701 02/29/1992 7,850,357 7,579,762 03/31/1992 7,854,905 7,577,109 04/30/1992 7,910,379 7,646,439 05/31/1992 7,990,995 7,716,175 06/30/1992 8,065,552 7,794,942 07/31/1992 8,172,756 7,882,416 08/31/1992 8,227,543 7,951,624 09/30/1992 8,309,644 8,027,323 10/31/1992 8,312,516 7,979,320 11/30/1992 8,317,418 7,966,313 12/31/1992 8,404,634 8,041,993 01/31/1993 8,484,134 8,125,469 02/28/1993 8,584,735 8,194,941 03/31/1993 8,633,491 8,219,527 04/30/1993 8,674,838 8,270,487 05/31/1993 8,685,036 8,247,329 06/30/1993 8,771,815 8,308,113 07/31/1993 8,802,074 8,327,387 08/31/1993 8,888,391 8,400,002 09/30/1993 8,922,962 8,427,302 10/31/1993 8,984,843 8,443,819 11/30/1993 8,993,553 8,445,931 12/31/1993 9,056,846 8,477,097 01/31/1994 9,106,228 8,531,519 02/28/1994 9,066,980 8,477,003 03/31/1994 9,027,600 8,434,789 04/30/1994 8,998,069 8,404,930 05/31/1994 8,988,338 8,416,864 06/30/1994 9,007,246 8,441,778 07/31/1994 9,091,298 8,514,377 08/31/1994 9,129,999 8,544,348 09/30/1994 9,116,482 8,524,952 10/31/1994 9,115,926 8,544,133 11/30/1994 9,118,176 8,506,026 12/31/1994 9,113,801 8,525,250 01/31/1995 9,198,589 8,643,921 02/28/1995 9,314,539 8,762,689 03/31/1995 9,352,866 8,811,585 04/30/1995 9,470,326 8,890,096 05/31/1995 9,642,739 9,045,405 06/30/1995 9,692,391 9,094,070 07/31/1995 9,696,402 9,131,718 08/31/1995 9,802,372 9,186,053 09/30/1995 9,890,345 9,230,697 10/31/1995 9,964,908 9,308,604 11/30/1995 10,081,178 9,390,892 12/31/1995 10,201,089 9,463,014 01/31/1996 10,276,453 9,543,450 02/29/1996 10,210,333 9,503,081 03/31/1996 10,206,317 9,494,623 04/30/1996 10,210,668 9,502,599 05/31/1996 10,220,903 9,522,079 06/30/1996 10,324,796 9,590,448 07/31/1996 10,360,157 9,628,235 08/31/1996 10,411,622 9,661,259 09/30/1996 10,559,003 9,748,888 10/31/1996 10,711,509 9,858,660 11/30/1996 10,856,335 9,934,177 12/31/1996 10,827,172 9,934,177 01/31/1997 10,917,928 9,980,768 02/28/1997 10,962,362 10,003,723 03/31/1997 10,918,161 9,999,822 04/30/1997 11,051,403 10,081,520 05/31/1997 11,144,606 10,150,277 06/30/1997 11,232,679 10,220,213 07/31/1997 11,414,133 10,332,533 08/31/1997 11,408,378 10,342,038 09/30/1997 11,508,994 10,420,534 10/31/1997 11,594,791 10,497,958 11/30/1997 11,628,837 10,523,470 12/31/1997 11,718,950 10,595,345 01/31/1998 11,808,398 10,698,225 02/28/1998 11,849,111 10,707,426 03/31/1998 11,900,389 10,751,006 04/30/1998 11,965,788 10,801,320 05/31/1998 12,042,787 10,858,892 06/30/1998 12,072,222 10,915,357 07/31/1998 12,130,281 10,966,441 08/31/1998 12,177,935 11,104,289 09/30/1998 12,426,371 11,251,422 10/31/1998 12,407,993 11,306,666 11/30/1998 12,480,576 11,296,829 12/31/1998 12,558,314 11,336,708 01/31/1999 12,614,507 11,381,600 02/28/1999 12,548,547 11,326,059 03/31/1999 12,656,332 11,404,775 04/30/1999 12,723,248 11,441,498 05/31/1999 12,683,445 11,434,174 06/30/1999 12,690,305 11,469,850 07/31/1999 12,692,072 11,506,210 08/31/1999 12,701,307 11,539,462 09/30/1999 12,796,976 11,614,468 10/31/1999 12,850,766 11,645,363 11/30/1999 12,906,395 11,667,372 12/31/1999 12,931,228 11,684,058 01/31/2000 12,915,977 11,679,735 02/29/2000 13,009,930 11,757,522 03/31/2000 13,106,258 11,830,418 04/30/2000 13,135,290 11,861,176 05/31/2000 13,175,787 11,909,925 06/30/2000 13,335,487 12,033,551 07/31/2000 13,416,218 12,109,603 08/31/2000 13,566,278 12,198,850 09/30/2000 13,635,215 12,286,438 10/31/2000 13,636,576 12,352,416 11/30/2000 13,743,722 12,469,270 12/31/2000 13,926,801 12,618,029 01/31/2001 14,154,253 12,776,132 02/28/2001 14,225,101 12,859,176 03/31/2001 14,343,928 12,966,423 04/30/2001 14,386,763 13,001,042 05/31/2001 14,503,863 13,074,368 06/30/2001 14,541,262 13,118,821 07/31/2001 14,789,469 13,266,014 08/31/2001 14,880,723 13,342,428 09/30/2001 15,029,046 13,562,042
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 6/01/1987, the first full month following the Fund's Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 12/31/1994. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Low Duration Fund Institutional Class shares returned 4.78% for the six months ended September 30, 2001, outperforming the Merrill Lynch 1-3 Year Treasury Index return of 4.59%. . The Fund maintained an above-benchmark duration for most of the period, which enhanced performance as yields fell across the maturity spectrum. . The Fund's broader-than-Index maturity distribution had a negative impact on performance as shorter maturity rates fell the most. . An emphasis on mortgage-backed securities was positive for performance as mortgages outperformed Treasuries. . The Fund's investment-grade corporate holdings added to returns as this sector rallied early in the period on hopes of an impending economic recovery. . Below-investment-grade holdings hurt performance as this sector underperformed amid concerns of rising defaults and continued profit warnings. . Emerging market holdings helped returns as financial fundamentals of top tier credits continued to improve. . Developed non-U.S. holdings slightly lagged U.S. positions, modestly detracting from performance. 8 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Low Duration Fund II FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily short maturity fixed income securities with quality and non-U.S. issuer restrictions. DURATION: 1.5 years FUND INCEPTION DATE: Institutional Class: 11/01/1991 Administrative Class: 2/02/1998 TOTAL NET ASSETS: $469.6 million PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* Low Duration Fund II Institutional Class 5.27% 10.92% 6.48% 7.13% 6.66% Low Duration Fund II Administrative Class 5.14% 10.73% 6.22% -- 6.52% Merrill Lynch 1-3 Year Treasury Index 4.59% 10.38% 6.42% 6.83% -- Lipper Short Investment Grade Debt Fund Average 4.08% 9.38% 5.93% 6.28% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 70.7% Corporate Bonds & Notes 14.5% U.S. Treasury Obligations 7.0% Other 7.8% QUALITY BREAKDOWN* AAA 84.6% AA 3.3% A 12.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Low Duration Merrill Lynch Month Fund II 1-3 Year Treasury Index ===== ============ ======================= 10/31/1991 5,000,000 5,000,000 11/30/1991 5,070,496 5,051,950 12/31/1991 5,150,788 5,128,941 01/31/1992 5,126,506 5,121,094 02/29/1992 5,159,358 5,138,762 03/31/1992 5,157,326 5,136,964 04/30/1992 5,197,109 5,183,966 05/31/1992 5,240,589 5,231,244 06/30/1992 5,302,476 5,284,645 07/31/1992 5,355,736 5,343,949 08/31/1992 5,377,728 5,390,869 09/30/1992 5,426,036 5,442,189 10/31/1992 5,423,401 5,409,645 11/30/1992 5,417,545 5,400,827 12/31/1992 5,471,783 5,452,135 01/31/1993 5,544,427 5,508,728 02/28/1993 5,600,313 5,555,828 03/31/1993 5,619,040 5,572,496 04/30/1993 5,660,962 5,607,045 05/31/1993 5,649,149 5,591,344 06/30/1993 5,710,514 5,632,553 07/31/1993 5,724,808 5,645,621 08/31/1993 5,775,444 5,694,851 09/30/1993 5,794,689 5,713,359 10/31/1993 5,802,333 5,724,557 11/30/1993 5,799,743 5,725,988 12/31/1993 5,831,720 5,747,117 01/31/1994 5,872,093 5,784,014 02/28/1994 5,850,184 5,747,054 03/31/1994 5,796,320 5,718,434 04/30/1994 5,779,212 5,698,191 05/31/1994 5,767,710 5,706,282 06/30/1994 5,772,326 5,723,172 07/31/1994 5,831,607 5,772,392 08/31/1994 5,826,033 5,792,711 09/30/1994 5,810,813 5,779,561 10/31/1994 5,821,529 5,792,565 11/30/1994 5,828,521 5,766,731 12/31/1994 5,850,354 5,779,763 01/31/1995 5,935,515 5,860,217 02/28/1995 6,029,620 5,940,737 03/31/1995 6,074,370 5,973,886 04/30/1995 6,107,608 6,027,114 05/31/1995 6,211,631 6,132,407 06/30/1995 6,235,805 6,165,399 07/31/1995 6,243,368 6,190,923 08/31/1995 6,297,641 6,227,760 09/30/1995 6,346,020 6,258,027 10/31/1995 6,405,255 6,310,844 11/30/1995 6,478,110 6,366,632 12/31/1995 6,539,804 6,415,528 01/31/1996 6,580,351 6,470,061 02/29/1996 6,535,860 6,442,692 03/31/1996 6,518,000 6,436,958 04/30/1996 6,505,764 6,442,365 05/31/1996 6,502,485 6,455,572 06/30/1996 6,575,782 6,501,923 07/31/1996 6,606,321 6,527,541 08/31/1996 6,630,457 6,549,930 09/30/1996 6,719,145 6,609,338 10/31/1996 6,816,464 6,683,760 11/30/1996 6,887,004 6,734,957 12/31/1996 6,881,011 6,734,957 01/31/1997 6,918,655 6,766,544 02/28/1997 6,946,342 6,782,107 03/31/1997 6,930,530 6,779,461 04/30/1997 6,993,758 6,834,850 05/31/1997 7,044,400 6,881,464 06/30/1997 7,099,424 6,928,877 07/31/1997 7,200,340 7,005,026 08/31/1997 7,201,737 7,011,470 09/30/1997 7,257,640 7,064,687 10/31/1997 7,324,878 7,117,177 11/30/1997 7,343,098 7,134,473 12/31/1997 7,405,208 7,183,201 01/31/1998 7,464,768 7,252,950 02/28/1998 7,477,590 7,259,187 03/31/1998 7,505,393 7,288,733 04/30/1998 7,541,498 7,322,844 05/31/1998 7,593,666 7,361,875 06/30/1998 7,623,903 7,400,156 07/31/1998 7,657,543 7,434,789 08/31/1998 7,746,767 7,528,244 09/30/1998 7,854,078 7,627,994 10/31/1998 7,838,078 7,665,447 11/30/1998 7,857,712 7,658,778 12/31/1998 7,893,710 7,685,814 01/31/1999 7,943,452 7,716,249 02/28/1999 7,885,625 7,678,594 03/31/1999 7,947,390 7,731,961 04/30/1999 7,979,520 7,756,857 05/31/1999 7,950,895 7,751,892 06/30/1999 7,933,181 7,776,079 07/31/1999 7,948,712 7,800,729 08/31/1999 7,953,224 7,823,273 09/30/1999 8,024,423 7,874,124 10/31/1999 8,063,922 7,895,070 11/30/1999 8,094,148 7,909,991 12/31/1999 8,095,132 7,921,303 01/31/2000 8,091,435 7,918,372 02/29/2000 8,147,721 7,971,109 03/31/2000 8,208,297 8,020,529 04/30/2000 8,230,192 8,041,382 05/31/2000 8,254,772 8,074,432 06/30/2000 8,344,502 8,158,245 07/31/2000 8,402,661 8,209,805 08/31/2000 8,475,367 8,270,310 09/30/2000 8,548,174 8,329,692 10/31/2000 8,593,470 8,374,422 11/30/2000 8,667,062 8,453,644 12/31/2000 8,750,262 8,554,496 01/31/2001 8,883,371 8,661,684 02/28/2001 8,923,988 8,717,984 03/31/2001 9,007,545 8,790,693 04/30/2001 9,037,851 8,814,164 05/31/2001 9,115,828 8,863,875 06/30/2001 9,143,360 8,894,013 07/31/2001 9,320,652 8,993,803 08/31/2001 9,365,723 9,045,608 09/30/2001 9,481,992 9,194,498
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/01/1991, the Fund's Institutional Class inception date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annual basis. The Administrative Class commenced operations on 2/02/1998. PORTFOLIO INSIGHTS . The Low Duration Fund II Institutional Class shares returned 5.27% for the six months ended September 30, 2001, outperforming the Merrill Lynch 1-3 Year Treasury Index return of 4.59%. . The Fund maintained an above-benchmark duration for most of the period, which enhanced performance as yields fell across the maturity spectrum. . The portfolio's broader-than-Index maturity distribution had a negative impact on performance as shorter maturity rates fell the most. . An emphasis on mortgage-backed securities was positive for performance as mortgages outperformed Treasuries. . The Fund's investment-grade corporate holdings added to returns as this sector rallied early in the period on hopes of an impending economic recovery. 9.30.01 | PIMCO Funds Semi-Annual Report 9 PIMCO Low Duration Fund III FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily short maturity fixed income securities with prohibitions on firms engaged in socially sensitive practices. DURATION: 1.6 years FUND INCEPTION DATE: Institutional Class: 12/31/1996 Administrative Class: 3/19/1999 TOTAL NET ASSETS: $43.2 million PORTFOLIO MANAGER: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Low Duration Fund III Institutional Class 5.07% 9.70% 6.35% 6.67% Low Duration Fund III Administrative Class 4.93% 9.43% -- 6.55% Merrill Lynch 1-3 Year Treasury Index 4.59% 10.38% 6.42% -- Lipper Short Investment Grade Debt Fund Average 4.08% 9.38% 5.93% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 63.7% Corporate Bonds & Notes 24.1% U.S. Treasury Obligations 5.6% Other 6.6% QUALITY BREAKDOWN* AAA 75.5% AA 5.3% A 13.7% BBB 5.5% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Merrill Lynch 1-3 Year Month Low Duration Fund III Treasury Index ===== ===================== ====================== 12/31/1996 5,000,000 5,000,000 01/31/1997 5,019,544 5,023,450 02/28/1997 5,044,724 5,035,003 03/31/1997 5,028,885 5,033,040 04/30/1997 5,074,774 5,074,160 05/31/1997 5,116,879 5,108,766 06/30/1997 5,156,800 5,143,965 07/31/1997 5,193,007 5,200,497 08/31/1997 5,219,920 5,205,281 09/30/1997 5,260,771 5,244,790 10/31/1997 5,310,323 5,283,758 11/30/1997 5,313,692 5,296,598 12/31/1997 5,355,776 5,332,774 01/31/1998 5,393,985 5,384,555 02/28/1998 5,402,862 5,389,186 03/31/1998 5,427,616 5,411,120 04/30/1998 5,458,772 5,436,444 05/31/1998 5,490,624 5,465,421 06/30/1998 5,503,181 5,493,840 07/31/1998 5,527,294 5,519,552 08/31/1998 5,543,567 5,588,932 09/30/1998 5,649,590 5,662,986 10/31/1998 5,656,322 5,690,791 11/30/1998 5,694,733 5,685,840 12/31/1998 5,712,097 5,705,912 01/31/1999 5,732,230 5,728,507 02/28/1999 5,719,966 5,700,552 03/31/1999 5,758,729 5,740,171 04/30/1999 5,794,632 5,758,654 05/31/1999 5,786,934 5,754,968 06/30/1999 5,775,306 5,772,924 07/31/1999 5,775,192 5,791,224 08/31/1999 5,779,894 5,807,961 09/30/1999 5,833,335 5,845,712 10/31/1999 5,851,977 5,861,262 11/30/1999 5,870,819 5,872,339 12/31/1999 5,868,064 5,880,737 01/31/2000 5,860,600 5,878,562 02/29/2000 5,890,024 5,917,713 03/31/2000 5,930,458 5,954,402 04/30/2000 5,948,746 5,969,883 05/31/2000 5,969,290 5,994,419 06/30/2000 6,042,394 6,056,642 07/31/2000 6,085,896 6,094,920 08/31/2000 6,140,202 6,139,839 09/30/2000 6,195,214 6,183,923 10/31/2000 6,177,912 6,217,130 11/30/2000 6,243,517 6,275,945 12/31/2000 6,303,425 6,350,817 01/31/2001 6,394,711 6,430,393 02/28/2001 6,424,571 6,472,190 03/31/2001 6,467,996 6,526,168 04/30/2001 6,486,396 6,543,593 05/31/2001 6,532,018 6,580,499 06/30/2001 6,538,598 6,602,872 07/31/2001 6,662,254 6,676,957 08/31/2001 6,713,249 6,715,416 09/30/2001 6,796,107 6,825,951
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 3/19/1999. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Low Duration Fund III Institutional Class shares returned 5.07% for the six months ended September 30, 2001, outperforming the Merrill Lynch 1-3 Year Treasury Index return of 4.59%. . The Fund maintained an above-benchmark duration for most of the period, which enhanced performance as yields fell across the maturity spectrum. . The Fund's broader-than-Index maturity distribution had a negative impact on performance as shorter maturity rates fell the most. . An emphasis on mortgage-backed securities was positive for performance as mortgages outperformed Treasuries. . The Fund's investment-grade corporate holdings added to returns as this sector rallied early in the period on hopes of an impending economic recovery. . Below-investment-grade holdings hurt performance as this sector underperformed amid concerns of rising defaults and continued profit warnings. . Emerging market holdings helped returns as financial fundamentals of our top tier credits continued to improve. . Developed non-U.S. holdings slightly lagged U.S. positions, modestly detracting from performance. 10 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Short-Term Fund FUND CHARACTERISTICS OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Primarily money market instruments and short maturity fixed income securities. DURATION: 0.3 years FUND INCEPTION DATE: Institutional Class: 10/07/1987 Administrative Class: 2/01/1996 TOTAL NET ASSETS: $1.5 billion PORTFOLIO MANAGER: Paul A. McCulley TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Short-Term Fund Institutional Class 2.91% 7.09% 6.21% 6.38% 5.82% 6.48% Short-Term Fund Administrative Class 2.78% 6.85% 5.95% 6.12% -- 6.10% Salomon 3-Month Treasury Bill Index 2.00% 5.05% 5.10% 5.15% 4.75% -- Lipper Ultra-Short Obligation Fund Average 2.75% 6.59% 5.63% 5.77% 5.28% -- * Annualized
SECTOR BREAKDOWN* Short-Term Instruments 35.0% Corporate Bonds & Notes 30.7% Asset-Backed Securities 13.5% Mortgage-Backed Securities 11.3% U.S. Treasury Obligations 8.0% Other 1.5% QUALITY BREAKDOWN* AAA 56.0% AA 13.9% A 18.2% BBB 11.0% BB 0.8% B 0.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Salomon 3-Month Short- Treasury Month Term Fund Bill Index ===== ========= ========== 10/31/1987 5,000,000 5,000,000 11/30/1987 5,029,461 5,025,505 12/31/1987 5,060,119 5,049,416 01/31/1988 5,094,787 5,074,145 02/29/1988 5,116,116 5,096,972 03/31/1988 5,144,560 5,121,946 04/30/1988 5,173,186 5,147,043 05/31/1988 5,202,593 5,173,283 06/30/1988 5,232,291 5,200,710 07/31/1988 5,259,411 5,229,832 08/31/1988 5,293,423 5,260,160 09/30/1988 5,328,409 5,291,715 10/31/1988 5,375,276 5,323,984 11/30/1988 5,411,635 5,357,521 12/31/1988 5,443,779 5,392,345 01/31/1989 5,483,420 5,429,009 02/28/1989 5,522,499 5,467,021 03/31/1989 5,571,029 5,506,382 04/30/1989 5,613,569 5,547,685 05/31/1989 5,665,094 5,589,294 06/30/1989 5,708,266 5,628,410 07/31/1989 5,756,794 5,667,812 08/31/1989 5,788,039 5,706,356 09/30/1989 5,828,328 5,743,449 10/31/1989 5,883,335 5,782,504 11/30/1989 5,922,983 5,820,087 12/31/1989 5,957,698 5,858,508 01/31/1990 5,987,232 5,897,174 02/28/1990 6,024,238 5,932,550 03/31/1990 6,064,842 5,972,300 04/30/1990 6,090,417 6,011,109 05/31/1990 6,148,665 6,051,983 06/30/1990 6,189,318 6,091,324 07/31/1990 6,232,885 6,131,523 08/31/1990 6,267,095 6,171,375 09/30/1990 6,309,632 6,209,019 10/31/1990 6,358,334 6,247,522 11/30/1990 6,409,912 6,284,390 12/31/1990 6,462,141 6,325,239 01/31/1991 6,509,418 6,361,294 02/28/1991 6,545,494 6,392,464 03/31/1991 6,576,473 6,425,704 04/30/1991 6,618,103 6,456,547 05/31/1991 6,656,338 6,487,540 06/30/1991 6,682,104 6,517,381 07/31/1991 6,722,727 6,548,666 08/31/1991 6,766,617 6,579,444 09/30/1991 6,804,471 6,608,395 10/31/1991 6,844,965 6,637,470 11/30/1991 6,862,973 6,664,021 12/31/1991 6,892,228 6,688,678 01/31/1992 6,919,339 6,712,089 02/29/1992 6,934,403 6,732,895 03/31/1992 6,948,634 6,755,787 04/30/1992 6,979,006 6,777,407 05/31/1992 7,001,946 6,799,771 06/30/1992 7,031,099 6,820,171 07/31/1992 7,061,296 6,840,632 08/31/1992 7,080,606 6,859,785 09/30/1992 7,100,505 6,876,934 10/31/1992 7,109,622 6,894,125 11/30/1992 7,119,728 6,911,360 12/31/1992 7,142,089 6,930,020 01/31/1993 7,167,580 6,948,732 02/28/1993 7,187,715 6,964,714 03/31/1993 7,222,352 6,982,126 04/30/1993 7,248,666 6,998,882 05/31/1993 7,279,042 7,016,380 06/30/1993 7,309,491 7,033,921 07/31/1993 7,337,521 7,052,210 08/31/1993 7,358,333 7,070,546 09/30/1993 7,378,551 7,088,221 10/31/1993 7,406,168 7,106,651 11/30/1993 7,435,531 7,124,417 12/31/1993 7,472,268 7,142,941 01/31/1994 7,487,037 7,161,512 02/28/1994 7,497,133 7,178,699 03/31/1994 7,486,772 7,198,799 04/30/1994 7,500,714 7,220,394 05/31/1994 7,507,684 7,244,222 06/30/1994 7,544,131 7,268,852 07/31/1994 7,581,551 7,295,019 08/31/1994 7,613,244 7,322,010 09/30/1994 7,623,522 7,349,101 10/31/1994 7,645,459 7,379,233 11/30/1994 7,653,660 7,410,225 12/31/1994 7,688,576 7,444,312 01/31/1995 7,728,764 7,478,556 02/28/1995 7,801,580 7,511,461 03/31/1995 7,820,739 7,548,268 04/30/1995 7,906,502 7,584,500 05/31/1995 7,988,187 7,621,664 06/30/1995 8,016,388 7,657,486 07/31/1995 8,066,833 7,694,241 08/31/1995 8,106,191 7,730,404 09/30/1995 8,183,875 7,765,192 10/31/1995 8,244,808 7,800,911 11/30/1995 8,323,417 7,835,235 12/31/1995 8,396,279 7,871,277 01/31/1996 8,438,474 7,906,698 02/29/1996 8,455,531 7,939,115 03/31/1996 8,484,975 7,972,459 04/30/1996 8,526,887 8,005,146 05/31/1996 8,573,734 8,039,568 06/30/1996 8,622,971 8,073,335 07/31/1996 8,649,616 8,108,049 08/31/1996 8,706,604 8,143,726 09/30/1996 8,792,582 8,178,744 10/31/1996 8,865,196 8,214,729 11/30/1996 8,947,374 8,249,233 12/31/1996 8,984,288 8,284,703 01/31/1997 9,039,631 8,320,328 02/28/1997 9,081,953 8,352,778 03/31/1997 9,089,081 8,389,529 04/30/1997 9,142,882 8,425,604 05/31/1997 9,211,364 8,462,676 06/30/1997 9,273,987 8,498,220 07/31/1997 9,348,891 8,534,763 08/31/1997 9,379,554 8,571,461 09/30/1997 9,444,784 8,607,463 10/31/1997 9,469,319 8,645,334 11/30/1997 9,513,992 8,681,646 12/31/1997 9,569,434 8,718,978 01/31/1998 9,628,194 8,757,342 02/28/1998 9,663,998 8,792,371 03/31/1998 9,730,989 8,831,057 04/30/1998 9,777,926 8,868,142 05/31/1998 9,824,621 8,906,281 06/30/1998 9,860,451 8,942,797 07/31/1998 9,921,920 8,980,356 08/31/1998 9,927,830 9,018,971 09/30/1998 9,996,273 9,055,950 10/31/1998 10,036,673 9,092,174 11/30/1998 10,073,050 9,125,815 12/31/1998 10,118,477 9,159,581 01/31/1999 10,160,402 9,193,471 02/28/1999 10,203,832 9,224,729 03/31/1999 10,278,911 9,259,782 04/30/1999 10,329,119 9,294,044 05/31/1999 10,333,674 9,329,361 06/30/1999 10,372,627 9,363,879 07/31/1999 10,411,216 9,400,399 08/31/1999 10,447,798 9,438,001 09/30/1999 10,497,169 9,474,808 10/31/1999 10,550,411 9,513,656 11/30/1999 10,602,935 9,551,709 12/31/1999 10,648,527 9,592,783 01/31/2000 10,677,925 9,634,991 02/29/2000 10,740,147 9,676,420 03/31/2000 10,812,389 9,721,898 04/30/2000 10,854,585 9,767,591 05/31/2000 10,916,030 9,815,452 06/30/2000 10,985,938 9,861,584 07/31/2000 11,045,435 9,908,919 08/31/2000 11,117,564 9,957,968 09/30/2000 11,184,834 10,007,758 10/31/2000 11,236,895 10,060,199 11/30/2000 11,330,833 10,111,505 12/31/2000 11,424,107 10,165,096 01/31/2001 11,505,558 10,217,956 02/28/2001 11,585,092 10,261,893 03/31/2001 11,639,557 10,307,044 04/30/2001 11,676,154 10,346,624 05/31/2001 11,769,947 10,384,906 06/30/2001 11,792,303 10,418,243 07/31/2001 11,877,186 10,450,539 08/31/2001 11,921,614 10,482,308 09/30/2001 11,978,109 10,512,708
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/01/1987, the first full month following the Fund's Institutional Class inception on 10/07/1987, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market index. Whereas money market funds attempt to maintain a stable share price, the Short-Term Fund's share price will fluctuate in response to market conditions. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 2/01/1996. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Short-Term Fund Institutional Class shares returned 2.91% for the semi-annual period ended September 30, 2001, outperforming the Salomon 3-Month Treasury Bill Index return of 2.00%. . An above benchmark duration early in the period helped performance as yields fell. PIMCO subsequently reduced duration as lower yields discounted economic weakness. . The use of Eurodollar futures was a strong positive as these yields fell significantly. . Mortgages added incremental yield to the portfolio, though this benefit was partially offset by spread widening. . Short-maturity investment grade corporate holdings were slightly positive as relatively high yields offset falling prices. . Modest holdings of U.S. dollar-denominated emerging market bonds detracted from returns as credit premiums in these sectors widened. . Short-term Euro-zone and U.K. positions gained as short rates fell and yield curves steepened worldwide. 9.30.01 | PIMCO Funds Semi-Annual Report 11 PIMCO Money Market Fund FUND CHARACTERISTICS OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Primarily money market instruments. DURATION: 25.2 days FUND INCEPTION DATE: Institutional Class: 3/01/1991 Administrative Class: 1/24/1995 TOTAL NET ASSETS: $416.0 million PORTFOLIO MANAGER: Paul A. McCulley TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
7 Day Yield 6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Money Market Fund Institutional Class 2.96% 1.94% 5.03% 5.27% 5.29% 4.79% 4.85% Money Market Fund Administrative Class 2.71% 1.82% 4.76% 5.02% 5.04% -- 5.16% Salomon 3-Month Treasury Bill Index -- 2.00% 5.05% 5.10% 5.15% 4.75% -- Lipper Institutional Money Market Fund Average -- 1.95% 5.00% 5.24% 5.30% 4.84% --
* Annualized SECTOR BREAKDOWN* Short-Term Instruments 83.7% Corporate Bonds & Notes 16.0% Other 0.3% QUALITY BREAKDOWN* AAA 83.7% AA 12.2% A 4.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Money Market Salomon 3-Month Month Fund Treasury Bill Index ===== ============ =================== 02/28/1991 5,000,000 5,000,000 03/31/1991 5,025,170 5,026,000 04/30/1991 5,050,085 5,050,124 05/31/1991 5,075,810 5,074,366 06/30/1991 5,098,544 5,097,707 07/31/1991 5,122,151 5,122,177 08/31/1991 5,146,158 5,146,250 09/30/1991 5,168,071 5,168,895 10/31/1991 5,189,068 5,191,637 11/30/1991 5,209,752 5,212,405 12/31/1991 5,235,296 5,231,691 01/31/1992 5,253,666 5,250,001 02/29/1992 5,269,348 5,266,276 03/31/1992 5,286,316 5,284,181 04/30/1992 5,302,529 5,301,091 05/31/1992 5,318,495 5,318,584 06/30/1992 5,333,833 5,334,540 07/31/1992 5,349,339 5,350,544 08/31/1992 5,362,691 5,365,525 09/30/1992 5,375,416 5,378,938 10/31/1992 5,388,548 5,392,385 11/30/1992 5,400,824 5,405,865 12/31/1992 5,415,417 5,420,461 01/31/1993 5,427,493 5,435,097 02/28/1993 5,439,092 5,447,597 03/31/1993 5,452,504 5,461,217 04/30/1993 5,464,658 5,474,323 05/31/1993 5,475,877 5,488,009 06/30/1993 5,489,090 5,501,729 07/31/1993 5,501,737 5,516,034 08/31/1993 5,515,161 5,530,376 09/30/1993 5,527,714 5,544,202 10/31/1993 5,541,036 5,558,617 11/30/1993 5,554,511 5,572,513 12/31/1993 5,567,081 5,587,002 01/31/1994 5,580,537 5,601,527 02/28/1994 5,592,446 5,614,971 03/31/1994 5,606,276 5,630,692 04/30/1994 5,620,505 5,647,583 05/31/1994 5,637,321 5,666,220 06/30/1994 5,654,814 5,685,485 07/31/1994 5,672,813 5,705,953 08/31/1994 5,694,234 5,727,064 09/30/1994 5,714,049 5,748,254 10/31/1994 5,736,363 5,771,822 11/30/1994 5,759,664 5,796,064 12/31/1994 5,785,415 5,822,725 01/31/1995 5,813,735 5,849,510 02/28/1995 5,839,234 5,875,247 03/31/1995 5,867,023 5,904,036 04/30/1995 5,892,850 5,932,376 05/31/1995 5,923,104 5,961,445 06/30/1995 5,950,960 5,989,464 07/31/1995 5,979,025 6,018,213 08/31/1995 6,006,869 6,046,498 09/30/1995 6,032,542 6,073,708 10/31/1995 6,061,076 6,101,647 11/30/1995 6,105,719 6,128,494 12/31/1995 6,136,175 6,156,685 01/31/1996 6,164,350 6,184,390 02/29/1996 6,191,072 6,209,746 03/31/1996 6,217,237 6,235,827 04/30/1996 6,244,019 6,261,393 05/31/1996 6,273,132 6,288,317 06/30/1996 6,297,220 6,314,729 07/31/1996 6,324,461 6,341,881 08/31/1996 6,354,570 6,369,786 09/30/1996 6,379,780 6,397,177 10/31/1996 6,406,912 6,425,323 11/30/1996 6,433,601 6,452,311 12/31/1996 6,460,353 6,480,054 01/31/1997 6,488,472 6,507,920 02/28/1997 6,513,657 6,533,301 03/31/1997 6,539,911 6,562,047 04/30/1997 6,567,988 6,590,263 05/31/1997 6,598,555 6,619,260 06/30/1997 6,626,256 6,647,062 07/31/1997 6,655,217 6,675,644 08/31/1997 6,686,098 6,704,349 09/30/1997 6,714,110 6,732,508 10/31/1997 6,746,003 6,762,130 11/30/1997 6,773,457 6,790,532 12/31/1997 6,805,247 6,819,732 01/31/1998 6,836,094 6,849,739 02/28/1998 6,863,584 6,877,138 03/31/1998 6,893,016 6,907,397 04/30/1998 6,922,674 6,936,404 05/31/1998 6,953,532 6,966,235 06/30/1998 6,983,538 6,994,797 07/31/1998 7,016,569 7,024,175 08/31/1998 7,045,979 7,054,378 09/30/1998 7,076,192 7,083,302 10/31/1998 7,107,700 7,111,635 11/30/1998 7,136,327 7,137,948 12/31/1998 7,168,594 7,164,359 01/31/1999 7,194,413 7,190,867 02/28/1999 7,219,300 7,215,316 03/31/1999 7,247,024 7,242,733 04/30/1999 7,276,038 7,269,532 05/31/1999 7,301,880 7,297,156 06/30/1999 7,329,104 7,324,155 07/31/1999 7,359,334 7,352,720 08/31/1999 7,388,408 7,382,131 09/30/1999 7,418,652 7,410,920 10/31/1999 7,450,747 7,441,306 11/30/1999 7,482,278 7,471,070 12/31/1999 7,519,731 7,503,197 01/31/2000 7,552,712 7,536,211 02/29/2000 7,586,023 7,568,616 03/31/2000 7,624,519 7,604,187 04/30/2000 7,657,193 7,639,927 05/31/2000 7,694,457 7,677,362 06/30/2000 7,736,374 7,713,445 07/31/2000 7,775,004 7,750,470 08/31/2000 7,817,526 7,788,834 09/30/2000 7,859,326 7,827,778 10/31/2000 7,900,222 7,868,796 11/30/2000 7,941,283 7,908,926 12/31/2000 7,985,711 7,950,844 01/31/2001 8,024,932 7,992,189 02/28/2001 8,061,082 8,026,556 03/31/2001 8,097,308 8,061,871 04/30/2001 8,128,747 8,092,830 05/31/2001 8,158,254 8,122,773 06/30/2001 8,185,013 8,148,848 07/31/2001 8,209,512 8,174,109 08/31/2001 8,235,891 8,198,958 09/30/2001 8,254,682 8,222,735
*Past performance is no guarantee of future results. Yields are computed by SEC-prescribed calculations and are subject to change. The line graph above assumes the investment of $5,000,000 on 3/01/1991, the Fund's Institutional Class inception date, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/24/1995. An investment in the Money Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other U.S. Government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund. If there is a material difference between the quoted total return and the quoted current yield, the yield quotation more closely reflects the current earnings of the Money Market Fund than the total return quotation. PORTFOLIO INSIGHTS . The Money Market Fund Institutional Class shares returned 1.94% for the six-month period ended September 30, 2001, versus a 2.00% return for the Salomon 3-Month Treasury Bill Index. . The Fund, which has a Aaa money market fund rating by Moody's Investors Service, emphasizes high quality commercial paper, shorter-term agency and high quality corporate debt issues due to strong liquidity, attractive yields and limited credit risks. . High quality (A1/P1) commercial paper yields fell approximately 2.30% for three-month maturities, reflecting Federal Reserve rate decreases. . Three-month commercial paper yields relative to Treasuries narrowed by 0.48% to approximately 0.10% on September 30. . The SEC 7-day and 30-day yields for the Fund were 2.96% and 3.15%, respectively as of September 30, 2001. 12 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Long-Term U.S. Government Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily long-term maturity fixed income securities. DURATION: 10.4 years FUND INCEPTION DATE: Institutional Class: 7/01/1991 Administrative Class: 9/23/1997 TOTAL NET ASSETS: $562.3 million PORTFOLIO MANAGER: James M. Keller TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* Long-Term U.S. Government Fund 5.89% 16.61% 5.50% 10.53% 10.68% 11.32% Institutional Class Long-Term U.S. Government Fund 5.76% 16.33% 5.24% -- -- 9.18% Administrative Class Lehman Long-Term Treasury Index 4.86% 13.99% 4.94% 9.82% 9.44% -- Lipper General U.S. Government Fund Average 4.68% 11.98% 5.02% 7.13% 6.91% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 38.9% U.S. Government Agencies 20.4% U.S. Treasury Obligations 16.7% Short-Term Instruments 13.0% Corporate Bonds & Notes 6.7% Other 4.3% QUALITY BREAKDOWN* AAA 91.2% AA 3.8% A 5.0% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Long-Term U.S. Gov't Lehman Long-Term Month Fund Treasury Index ===== ==================== ================ 06/30/1991 5,000,000 5,000,000 07/31/1991 5,068,858 5,074,501 08/31/1991 5,265,511 5,249,571 09/30/1991 5,442,627 5,414,932 10/31/1991 5,470,292 5,426,845 11/30/1991 5,543,810 5,457,236 12/31/1991 5,909,199 5,782,486 01/31/1992 5,742,566 5,600,917 02/29/1992 5,771,828 5,633,962 03/31/1992 5,753,678 5,571,988 04/30/1992 5,725,465 5,566,416 05/31/1992 5,930,074 5,721,163 06/30/1992 6,016,162 5,804,119 07/31/1992 6,300,744 6,045,570 08/31/1992 6,427,326 6,087,285 09/30/1992 6,540,767 6,183,464 10/31/1992 6,378,211 6,053,611 11/30/1992 6,445,336 6,076,615 12/31/1992 6,614,191 6,243,115 01/31/1993 6,790,743 6,421,044 02/28/1993 7,063,398 6,635,507 03/31/1993 7,101,318 6,652,095 04/30/1993 7,156,851 6,703,316 05/31/1993 7,184,508 6,725,437 06/30/1993 7,540,954 7,009,924 07/31/1993 7,650,608 7,122,783 08/31/1993 7,942,707 7,409,119 09/30/1993 7,968,888 7,435,051 10/31/1993 8,009,725 7,488,582 11/30/1993 7,792,708 7,296,874 12/31/1993 7,842,784 7,320,224 01/31/1994 8,022,521 7,495,910 02/28/1994 7,708,576 7,188,578 03/31/1994 7,394,709 6,873,000 04/30/1994 7,268,749 6,791,898 05/31/1994 7,246,140 6,747,072 06/30/1994 7,204,478 6,682,974 07/31/1994 7,383,601 6,909,528 08/31/1994 7,399,922 6,858,397 09/30/1994 7,169,097 6,642,358 10/31/1994 7,122,283 6,619,109 11/30/1994 7,100,894 6,658,162 12/31/1994 7,263,266 6,760,697 01/31/1995 7,453,074 6,934,447 02/28/1995 7,711,268 7,131,386 03/31/1995 7,801,463 7,192,715 04/30/1995 7,935,436 7,320,745 05/31/1995 8,543,447 7,882,247 06/30/1995 8,641,206 7,973,681 07/31/1995 8,492,085 7,846,101 08/31/1995 8,683,920 8,020,286 09/30/1995 8,871,163 8,167,858 10/31/1995 9,089,923 8,396,559 11/30/1995 9,313,423 8,606,473 12/31/1995 9,556,575 8,835,405 01/31/1996 9,571,589 8,835,405 02/29/1996 9,125,878 8,408,654 03/31/1996 8,958,506 8,241,322 04/30/1996 8,759,744 8,103,692 05/31/1996 8,771,139 8,061,553 06/30/1996 8,947,395 8,233,264 07/31/1996 8,918,333 8,236,557 08/31/1996 8,856,612 8,133,600 09/30/1996 9,102,968 8,358,088 10/31/1996 9,493,678 8,686,561 11/30/1996 9,851,090 8,976,691 12/31/1996 9,624,385 8,758,559 01/31/1997 9,576,361 8,696,373 02/28/1997 9,598,405 8,699,851 03/31/1997 9,359,770 8,477,135 04/30/1997 9,570,437 8,681,434 05/31/1997 9,684,481 8,778,666 06/30/1997 9,875,451 8,948,094 07/31/1997 10,424,177 9,473,347 08/31/1997 10,161,918 9,209,988 09/30/1997 10,427,124 9,463,263 10/31/1997 10,781,870 9,782,175 11/30/1997 10,884,053 9,912,278 12/31/1997 11,070,318 10,078,804 01/31/1998 11,276,193 10,283,404 02/28/1998 11,199,620 10,209,364 03/31/1998 11,253,545 10,230,803 04/30/1998 11,318,487 10,268,657 05/31/1998 11,539,028 10,464,788 06/30/1998 11,809,161 10,707,571 07/31/1998 11,801,731 10,662,600 08/31/1998 12,300,067 11,143,483 09/30/1998 12,791,270 11,551,334 10/31/1998 12,445,690 11,376,910 11/30/1998 12,490,607 11,464,511 12/31/1998 12,554,165 11,440,436 01/31/1999 12,649,540 11,543,400 02/28/1999 12,075,837 10,975,465 03/31/1999 12,126,451 10,950,221 04/30/1999 12,144,805 10,965,551 05/31/1999 11,926,288 10,793,392 06/30/1999 11,815,966 10,678,982 07/31/1999 11,748,078 10,627,723 08/31/1999 11,657,161 10,586,275 09/30/1999 11,776,658 10,664,613 10/31/1999 11,801,615 10,671,012 11/30/1999 11,726,960 10,598,449 12/31/1999 11,551,451 10,440,533 01/31/2000 11,604,071 10,589,832 02/29/2000 11,954,949 10,909,645 03/31/2000 12,278,865 11,282,755 04/30/2000 12,210,344 11,192,492 05/31/2000 12,145,217 11,152,200 06/30/2000 12,518,123 11,394,202 07/31/2000 12,744,020 11,590,183 08/31/2000 13,030,399 11,854,439 09/30/2000 12,879,831 11,711,000 10/31/2000 13,107,443 11,893,691 11/30/2000 13,541,214 12,269,532 12/31/2000 13,905,851 12,557,866 01/31/2001 13,986,307 12,579,214 02/28/2001 14,260,933 12,794,319 03/31/2001 14,184,611 12,730,348 04/30/2001 13,761,742 12,384,082 05/31/2001 13,838,707 12,400,182 06/30/2001 13,958,907 12,506,822 07/31/2001 14,555,453 12,972,076 08/31/2001 14,877,703 13,249,679 09/30/2001 15,019,643 13,349,052
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/01/1991, the Fund's Institutional Class inception date, compared to the Lehman Long-Term Treasury Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annual basis. The Administrative Class commenced operations on 9/23/1997. PORTFOLIO INSIGHTS . The Long-Term U.S. Government Fund Institutional Class outperformed its benchmark for the six months ended September 30, 2001, returning 5.89% versus 4.86% for the Lehman Long-Term Treasury Index. . The Fund's above benchmark duration was negative for the first three months but was positive during the second three months. PIMCO moved duration below that of the benchmark during the second fiscal quarter as falling yields discounted economic weakness. . Exposure to short and intermediate maturities relative to the long duration Index was positive as the yield curve steepened amid Fed easing. . A mortgage emphasis was positive on a duration-adjusted basis; mortgages provided yield premiums near all-time spread differentials with minimal credit risk. . Falling real yields helped real return bonds outperform like-duration Treasuries, benefiting performance. 9.30.01 | PIMCO Funds Semi-Annual Report 13 PIMCO Investment Grade Corporate Bond Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily corporate fixed income securities. DURATION: 5.3 years FUND INCEPTION DATE: Institutional Class: 4/28/2000 TOTAL NET ASSETS: $6.0 million PORTFOLIO MANAGER: Chris P. Dialynas TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Investment Grade Corporate Bond Fund Institutional Class 4.06% 12.95% 13.43% Lehman Brothers Credit Investment Grade Index 4.93% 13.10% -- Lipper Intermediate Investment Grade Debt Fund Average 4.48% 11.71% --
* Annualized SECTOR BREAKDOWN* Corporate Bonds & Notes 89.6% Other 10.4% QUALITY BREAKDOWN* AAA 4.5% AA 8.1% A 19.7% BBB 58.1% BB 9.6% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Lehman Brothers Invest. Grade Credit Investment Month Corp. Bond Fund Grade Index ===== =============== ================= 04/30/2000 5,000,000 5,000,000 05/31/2000 5,014,761 4,981,500 06/30/2000 5,128,394 5,106,535 07/31/2000 5,184,004 5,168,324 08/31/2000 5,264,388 5,235,512 09/30/2000 5,297,559 5,263,260 10/31/2000 5,317,541 5,268,524 11/30/2000 5,424,989 5,337,015 12/31/2000 5,563,978 5,440,553 01/31/2001 5,642,326 5,589,624 02/28/2001 5,736,175 5,638,254 03/31/2001 5,749,969 5,673,211 04/30/2001 5,686,680 5,652,787 05/31/2001 5,737,457 5,704,793 06/30/2001 5,744,342 5,733,317 07/31/2001 5,953,968 5,882,957 08/31/2001 6,059,316 5,961,788 09/30/2001 5,983,609 5,952,846
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/2000, the first full month following the Fund's Institutional Class inception on 4/28/2000, compared to the Lehman Brothers Credit Investment Grade Index, an unmanaged market index. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Investment Grade Corporate Bond Fund returned 4.06% for the semi-annual period ended September 30, 2001, compared with 4.93% for the Lehman Brothers Credit Investment Grade Index. . An elevated duration was neutral for performance as yields on intermediate and longer maturities rose during the second quarter of the year, but fell sharply in the third quarter as the economy weakened further. . An emphasis on higher rated issues detracted from returns as BBB's outperformed their upper-tier investment-grade counterparts. . Exposure to Treasury securities, consistent with PIMCO's emphasis on high quality assets, was negative for returns as corporates outperformed. . An overweight of the telecom sector with an emphasis on wireline issues was positive as investors shifted exposure from lower quality credits to investment-grade companies. 14 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO High Yield Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily higher yielding fixed income securities. DURATION: 3.8 years FUND INCEPTION DATE: Institutional Class: 12/16/1992 Administrative Class: 1/16/1995 TOTAL NET ASSETS: $3.0 billion PORTFOLIO MANAGER: Benjamin L. Trosky TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* High Yield Fund Institutional Class -2.82% -0.72% 2.35% 5.40% 8.50% High Yield Fund Administrative Class -2.94% -0.97% 2.10% 5.14% 7.72% Lehman Brothers BB U.S. High Yield Index -0.66% 4.76% 4.17% 6.27% -- Lipper High Current Yield Fund Average -7.04% -9.22% -2.12% 0.90% --
* Annualized SECTOR BREAKDOWN* Corporate Bonds & Notes 74.5% Short-Term Instruments 7.8% Asset-Backed Securities 7.5% Other 10.2% QUALITY BREAKDOWN* AAA 10.3% AA 1.8% A 0.8% BBB 21.0% BB 46.3% B 19.8% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
High Yield Lehman Brothers BB Month Fund U.S. High Yield Index ===== ========== ===================== 12/31/1992 5,000,000 5,000,000 01/31/1993 5,113,886 5,105,500 02/28/1993 5,208,126 5,180,551 03/31/1993 5,313,333 5,239,092 04/30/1993 5,369,686 5,283,100 05/31/1993 5,409,077 5,322,195 06/30/1993 5,556,254 5,435,026 07/31/1993 5,595,567 5,489,919 08/31/1993 5,658,345 5,553,602 09/30/1993 5,686,689 5,594,144 10/31/1993 5,839,376 5,669,106 11/30/1993 5,884,380 5,683,845 12/31/1993 5,935,129 5,732,726 01/31/1994 6,061,596 5,828,463 02/28/1994 6,060,370 5,822,051 03/31/1994 5,879,246 5,643,896 04/30/1994 5,828,068 5,610,598 05/31/1994 5,870,524 5,615,648 06/30/1994 5,878,587 5,632,494 07/31/1994 5,934,013 5,701,210 08/31/1994 5,984,086 5,761,643 09/30/1994 6,025,467 5,772,015 10/31/1994 6,028,706 5,785,289 11/30/1994 6,004,787 5,745,950 12/31/1994 6,077,394 5,781,575 01/31/1995 6,137,436 5,874,658 02/28/1995 6,305,367 6,053,248 03/31/1995 6,397,464 6,110,148 04/30/1995 6,537,390 6,232,351 05/31/1995 6,727,023 6,415,582 06/30/1995 6,781,902 6,472,039 07/31/1995 6,872,762 6,530,935 08/31/1995 6,925,387 6,568,814 09/30/1995 7,022,543 6,639,758 10/31/1995 7,125,446 6,692,211 11/30/1995 7,212,331 6,776,533 12/31/1995 7,334,202 6,883,602 01/31/1996 7,453,084 6,995,117 02/29/1996 7,460,951 6,969,934 03/31/1996 7,402,000 6,933,691 04/30/1996 7,434,433 6,930,917 05/31/1996 7,459,688 6,940,621 06/30/1996 7,490,201 7,015,579 07/31/1996 7,557,060 7,053,463 08/31/1996 7,680,144 7,110,596 09/30/1996 7,858,765 7,263,475 10/31/1996 7,937,607 7,364,437 11/30/1996 8,110,110 7,513,198 12/31/1996 8,191,022 7,529,728 01/31/1997 8,275,049 7,601,259 02/28/1997 8,402,615 7,693,234 03/31/1997 8,292,841 7,601,685 04/30/1997 8,381,534 7,695,946 05/31/1997 8,572,658 7,827,547 06/30/1997 8,699,809 7,928,522 07/31/1997 8,924,236 8,164,792 08/31/1997 8,921,803 8,087,226 09/30/1997 9,072,091 8,214,195 10/31/1997 9,081,530 8,242,125 11/30/1997 9,168,890 8,299,819 12/31/1997 9,273,057 8,376,177 01/31/1998 9,432,639 8,476,692 02/28/1998 9,483,456 8,515,684 03/31/1998 9,557,939 8,570,184 04/30/1998 9,581,967 8,613,893 05/31/1998 9,631,622 8,669,883 06/30/1998 9,702,825 8,722,769 07/31/1998 9,806,262 8,768,128 08/31/1998 9,412,663 8,526,128 09/30/1998 9,532,027 8,706,882 10/31/1998 9,438,479 8,595,433 11/30/1998 9,836,791 8,801,724 12/31/1998 9,879,676 8,857,175 01/31/1999 10,010,006 8,948,403 02/28/1999 9,927,890 8,882,185 03/31/1999 10,010,332 8,946,137 04/30/1999 10,178,603 9,037,387 05/31/1999 9,984,753 8,928,036 06/30/1999 9,982,745 8,907,501 07/31/1999 10,010,514 8,941,350 08/31/1999 9,972,088 8,885,018 09/30/1999 9,978,381 8,921,448 10/31/1999 9,966,545 8,891,114 11/30/1999 10,104,777 8,966,688 12/31/1999 10,158,157 9,051,872 01/31/2000 10,112,740 8,987,604 02/29/2000 10,137,614 9,004,680 03/31/2000 9,935,905 8,919,136 04/30/2000 9,958,025 8,949,460 05/31/2000 9,908,672 8,953,039 06/30/2000 10,098,829 9,146,423 07/31/2000 10,178,729 9,298,253 08/31/2000 10,325,854 9,441,446 09/30/2000 10,294,967 9,395,182 10/31/2000 10,085,655 9,253,315 11/30/2000 9,895,109 9,205,199 12/31/2000 10,113,001 9,389,302 01/31/2001 10,530,435 9,734,828 02/28/2001 10,642,311 9,874,037 03/31/2001 10,517,025 9,907,609 04/30/2001 10,438,828 10,008,667 05/31/2001 10,558,600 10,153,792 06/30/2001 10,394,083 10,078,654 07/31/2001 10,556,027 10,239,913 08/31/2001 10,647,779 10,349,479 09/30/2001 10,220,694 9,842,355
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1993, the first full month following the Fund's Institutional Class inception on 12/16/1992, compared to the Lehman Brothers BB U.S. High Yield Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/16/1995. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. The investments made by the High Yield Fund may involve high risk and may have speculative characteristics. PORTFOLIO INSIGHTS . The High Yield Fund Institutional Class shares returned -2.82% for the semi-annual period ended September 30, 2001, compared to -0.66% for the benchmark Lehman Brothers BB U.S. High Yield Index. . The Fund's exposure to B rated issues detracted from performance as B rated issues significantly underperformed BBs. . An underweight of cyclical companies such as retail and basic materials added to performance as the U.S economy continued to slow and consumer confidence declined. . An overweight to the telecom sector was a negative as this sector significantly underperformed the broader market. . Avoiding "fallen angels" such as Xerox and Lucent, detracted from performance as these issues rebounded sharply from distressed price levels. 9.30.01 | PIMCO Funds Semi-Annual Report 15 PIMCO Total Return Mortgage Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily intermediate maturity mortgage-related fixed income securities. DURATION: 2.1 years FUND INCEPTION DATE: Institutional Class: 7/31/1997 TOTAL NET ASSETS: $46.0 million PORTFOLIO MANAGER: W. Scott Simon TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Total Return Mortgage Fund Institutional Class 6.03% 13.96% 8.03% 8.65% Lehman Brothers Mortgage Index 5.27% 12.34% 7.27% -- Lipper U.S. Mortgage Fund Average 4.95% 11.72% 6.32% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Instruments 80.1% Short-Term Instruments 17.5% Other 2.4% QUALITY BREAKDOWN* AAA 96.1% AA 3.9% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Total Return Lehman Brothers Month Mortgage Fund Mortgage Index ===== ============= =============== 07/31/1997 5,000,000 5,000,000 08/31/1997 5,005,044 4,988,118 09/30/1997 5,084,467 5,051,382 10/31/1997 5,160,309 5,107,387 11/30/1997 5,184,726 5,124,151 12/31/1997 5,246,122 5,170,844 01/31/1998 5,304,038 5,222,289 02/28/1998 5,314,354 5,233,336 03/31/1998 5,334,652 5,255,495 04/30/1998 5,371,139 5,285,232 05/31/1998 5,417,855 5,320,364 06/30/1998 5,453,983 5,345,733 07/31/1998 5,476,124 5,372,837 08/31/1998 5,542,715 5,421,585 09/30/1998 5,605,738 5,487,033 10/31/1998 5,584,293 5,479,968 11/30/1998 5,609,572 5,507,264 12/31/1998 5,625,826 5,530,643 01/31/1999 5,660,727 5,570,014 02/28/1999 5,631,600 5,547,984 03/31/1999 5,669,090 5,585,236 04/30/1999 5,697,656 5,610,991 05/31/1999 5,667,354 5,579,648 06/30/1999 5,661,901 5,559,994 07/31/1999 5,641,744 5,522,293 08/31/1999 5,639,123 5,522,100 09/30/1999 5,717,073 5,611,697 10/31/1999 5,745,364 5,644,003 11/30/1999 5,773,781 5,647,086 12/31/1999 5,762,288 5,633,277 01/31/2000 5,725,332 5,584,465 02/29/2000 5,812,378 5,649,206 03/31/2000 5,890,936 5,710,992 04/30/2000 5,871,241 5,714,910 05/31/2000 5,868,917 5,717,543 06/30/2000 5,978,903 5,839,767 07/31/2000 6,038,508 5,877,275 08/31/2000 6,138,873 5,966,358 09/30/2000 6,201,183 6,028,208 10/31/2000 6,244,656 6,071,497 11/30/2000 6,345,742 6,162,828 12/31/2000 6,468,116 6,262,059 01/31/2001 6,570,212 6,359,555 02/28/2001 6,632,002 6,395,972 03/31/2001 6,664,904 6,433,095 04/30/2001 6,663,174 6,441,997 05/31/2001 6,728,926 6,484,752 06/30/2001 6,752,370 6,498,620 07/31/2001 6,903,222 6,613,988 08/31/2001 6,966,484 6,672,330 09/30/2001 7,067,115 6,772,287
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the Lehman Brothers Mortgage Index, an unmanaged market index. PORTFOLIO INSIGHTS . The PIMCO Total Return Mortgage Fund outperformed the Lehman Brothers Mortgage Index for the six-month period ended September 30, 2001, returning 6.03% versus 5.27% for the Index. . Year-to-date the Fund has outperformed the Index by 1.11%. . The Fund's near benchmark duration had limited effect on performance. . The broader-than-Index security selection helped increase performance. CMOs boosted returns by providing protections against increases in prepayment rates in addition to providing low duration vehicles that augmented the yield of the portfolio. . GNMA II ARMs also added to returns by providing attractive yields relative to their short durations. . Buying mortgages forward and investing the purchase amount at relatively high short-term rates added to the Fund's performance. 16 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO GNMA Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily short and intermediate maturity mortgage-related fixed income securities issued by the Government National Mortgage Association. DURATION: 1.7 years FUND INCEPTION DATE: Institutional Class: 7/31/1997 TOTAL NET ASSETS: $41.5 million PORTFOLIO MANAGER: W. Scott Simon TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* GNMA Fund Institutional Class 6.77% 16.52% 8.58% 8.76% Lehman Brothers GNMA Index 5.19% 11.93% 7.27% -- Lipper GNMA Fund Average 4.83% 11.35% 6.17% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 46.9% Short-Term Instruments 45.7% Other 7.4% QUALITY BREAKDOWN* AAA 96.1% AA 3.9% A 1.7% BBB 0.5% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
GNMA Lehman Brothers Month Fund GNMA Index ===== ========= =============== 07/31/1997 5,000,000 5,000,000 08/31/1997 5,018,286 4,989,337 09/30/1997 5,111,651 5,055,583 10/31/1997 5,159,820 5,108,308 11/30/1997 5,172,284 5,123,990 12/31/1997 5,218,267 5,170,241 01/31/1998 5,260,371 5,220,145 02/28/1998 5,285,796 5,231,813 03/31/1998 5,293,096 5,253,935 04/30/1998 5,311,809 5,284,438 05/31/1998 5,351,927 5,320,546 06/30/1998 5,392,191 5,342,972 07/31/1998 5,408,563 5,373,010 08/31/1998 5,477,311 5,415,391 09/30/1998 5,543,973 5,479,473 10/31/1998 5,519,699 5,474,726 11/30/1998 5,498,845 5,505,690 12/31/1998 5,536,600 5,528,299 01/31/1999 5,578,414 5,567,556 02/28/1999 5,528,744 5,549,893 03/31/1999 5,595,411 5,583,509 04/30/1999 5,622,757 5,610,300 05/31/1999 5,662,331 5,582,000 06/30/1999 5,653,531 5,559,755 07/31/1999 5,659,351 5,523,329 08/31/1999 5,658,931 5,521,445 09/30/1999 5,722,084 5,610,299 10/31/1999 5,740,102 5,643,667 11/30/1999 5,736,548 5,646,093 12/31/1999 5,694,838 5,634,755 01/31/2000 5,747,671 5,583,844 02/29/2000 5,792,796 5,655,255 03/31/2000 5,884,367 5,744,636 04/30/2000 5,873,635 5,739,574 05/31/2000 5,882,556 5,760,408 06/30/2000 5,950,810 5,866,692 07/31/2000 5,991,510 5,897,650 08/31/2000 6,047,328 5,986,789 09/30/2000 6,090,882 6,042,466 10/31/2000 6,147,435 6,087,180 11/30/2000 6,286,860 6,173,009 12/31/2000 6,355,420 6,260,666 01/31/2001 6,457,728 6,362,715 02/28/2001 6,575,949 6,391,347 03/31/2001 6,647,112 6,429,695 04/30/2001 6,647,008 6,440,625 05/31/2001 6,718,310 6,494,083 06/30/2001 6,782,014 6,512,915 07/31/2001 6,941,037 6,624,287 08/31/2001 6,997,445 6,672,644 09/30/2001 7,097,376 6,763,391
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the Lehman Brothers GNMA Index, an unmanaged market index. PORTFOLIO INSIGHTS . The PIMCO GNMA Fund outperformed the Lehman Brothers GNMA Index for the six-month period ended September 30, 2001, returning 6.77% versus 5.19% for the Index. . Year-to-date the Fund has outperformed the Index by 3.64%. . The Fund's near benchmark duration had limited effect on performance. . GNMA II ARMs added to returns by providing attractive yields considering their short durations. . Issue selection in the 7% and 7.5% coupons range proved to be an effective relative value strategy. . The broader-than-Index security selection helped increase performance. CMOs boosted returns by providing protections against increases in prepayment rates, as well as providing low duration vehicles that augmented the yield of the portfolio. 9.30.01 | PIMCO Funds Semi-Annual Report 17 PIMCO Real Return Fund FUND CHARACTERISTICS OBJECTIVE: Maximum real return, consistent with preservation of real capital and prudent investment management. PORTFOLIO: Primarily inflation-indexed fixed income securities. DURATION: 2.8 years FUND INCEPTION DATE: Institutional Class: 1/29/1997 Administrative Class: 4/28/2000 TOTAL NET ASSETS: $1.9 billion PORTFOLIO MANAGER: John B. Brynjolfsson TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Real Return Fund Institutional Class 4.55% 13.96% 9.70% 8.21% Real Return Fund Administrative Class 4.40% 13.66% -- 12.09% Lehman Brothers Global Real: U.S. TIPS Index 4.07% 13.20% 7.94% -- Lipper Intermediate U.S. Treasury Fund Average 4.64% 13.16% 6.98% --
* Annualized SECTOR BREAKDOWN* U.S. Treasury Obligations 80.6% Corporate Bonds & Notes 13.4% Other 6.0% QUALITY BREAKDOWN* AAA 85.0% AA 3.6% A 7.2% BBB 2.4% BB 1.8% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Lehman Brothers Real Return Global Real: U.S. TIPS Month Fund Index ===== =========== ====================== 01/31/1997 5,000,000 5,000,000 02/28/1997 5,017,061 5,016,499 03/31/1997 4,971,983 4,947,776 04/30/1997 5,002,809 4,977,955 05/31/1997 5,032,748 5,004,838 06/30/1997 5,021,938 4,988,823 07/31/1997 5,083,742 5,036,214 08/31/1997 5,094,469 5,051,322 09/30/1997 5,104,457 5,061,426 10/31/1997 5,169,085 5,113,556 11/30/1997 5,196,006 5,142,195 12/31/1997 5,169,329 5,120,599 01/31/1998 5,199,466 5,145,691 02/28/1998 5,193,833 5,141,057 03/31/1998 5,205,501 5,138,489 04/30/1998 5,233,211 5,157,501 05/31/1998 5,254,770 5,194,120 06/30/1998 5,272,877 5,207,097 07/31/1998 5,313,726 5,231,257 08/31/1998 5,317,549 5,243,132 09/30/1998 5,441,195 5,348,519 10/31/1998 5,469,946 5,360,284 11/30/1998 5,461,835 5,354,923 12/31/1998 5,438,790 5,322,793 01/31/1999 5,518,587 5,384,539 02/28/1999 5,505,806 5,346,309 03/31/1999 5,538,991 5,344,703 04/30/1999 5,630,484 5,379,950 05/31/1999 5,671,234 5,417,047 06/30/1999 5,664,215 5,420,299 07/31/1999 5,674,126 5,417,586 08/31/1999 5,703,057 5,426,798 09/30/1999 5,727,393 5,447,965 10/31/1999 5,738,633 5,458,858 11/30/1999 5,783,160 5,492,160 12/31/1999 5,749,871 5,448,219 01/31/2000 5,784,298 5,472,738 02/29/2000 5,826,798 5,523,636 03/31/2000 6,002,905 5,684,369 04/30/2000 6,079,127 5,759,975 05/31/2000 6,062,274 5,744,998 06/30/2000 6,143,456 5,817,382 07/31/2000 6,192,132 5,867,107 08/31/2000 6,251,051 5,910,524 09/30/2000 6,302,775 5,941,257 10/31/2000 6,370,226 6,013,147 11/30/2000 6,463,907 6,100,339 12/31/2000 6,524,893 6,166,219 01/31/2001 6,691,996 6,295,097 02/28/2001 6,816,461 6,401,481 03/31/2001 6,869,744 6,462,938 04/30/2001 6,923,017 6,499,127 05/31/2001 7,014,615 6,575,820 06/30/2001 7,006,887 6,567,930 07/31/2001 7,121,462 6,677,616 08/31/2001 7,141,782 6,686,963 09/30/2001 7,182,647 6,725,746
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/1997, the first full month following the Fund's Institutional Class inception date on 1/29/1997, compared to the Lehman Brothers Global Real: U.S. TIPS Index, an unmanaged market index, formerly the Lehman Brothers Inflation Linked Treasury Index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 4/28/2000. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the half-year period ended September 30, 2001, the Institutional Class shares of the Real Return Fund returned 4.55%, versus 4.07% for the Lehman Brothers Global Real: U.S. TIPS Index. . Intermediate real yields dropped by up to 0.40% while long-term real yields fell only marginally as substantial Fed easing influenced mostly shorter-term real yields. . Real yield decreases were less than those of conventional, or non-inflation-indexed, Treasuries as investor expectations of slowing inflation affected conventional yields more. . TIPS performance lagged Treasuries as investors sought out Treasuries due to their high liquidity and quality. During times of market uncertainty, Treasuries normally outperform all other fixed income markets, including U.S. government-issued TIPS. . The inflation break-even yield, defined as the differential between a Treasury yield and a TIPS real yield, was 1.45% for 10-year maturities at September 30, 2001. The 12-month CPI-U rate of change as of September 30, 2001 was 2.6%. . The effective duration of the Fund was 2.8 years at September 30, 2001 versus 3.0 years for the Lehman TIPS Index. . The weighted average credit quality of the Fund was AAA at the end of September 2001. . The Fund maintained a modest duration overweight through the half-year period, improving relative returns as real yields fell. . An emphasis on intermediate maturities boosted performance due to intermediate real yields falling more than long-term real yields. . Cash-backing portfolios, consisting of high quality, short duration corporate and asset-backed securities, were combined with TIPS buy-forwards to improve portfolio yield. . Modest allocations from TIPS to conventional corporate bonds lowered relative performance as yield premiums increased for corporates during the period. . The average real yield of the U.S. TIPS index was 3.3% at September 30, 2001. CPI-U adjustments are then added to real yields to get inflation-adjusted yields. 18 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Foreign Bond Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily intermediate maturity, hedged non-U.S. fixed income securities. DURATION: 5.0 years FUND INCEPTION DATE: Institutional Class: 12/03/1992 Administrative Class: 1/28/1997 TOTAL NET ASSETS: $754.8 million PORTFOLIO MANAGER: Sudi Mariappa TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* Foreign Bond Fund Institutional Class 3.57% 11.05% 6.55% 8.75% 9.76% Foreign Bond Fund Administrative Class 3.44% 10.78% 6.29% -- 7.51% J.P. Morgan Non-U.S. Index (Hedged) 2.57% 9.41% 6.13% 8.97% -- Lipper International Income Fund Average 3.71% 6.67% 1.12% 3.08% --
* Annualized COUNTRY ALLOCATION* United States 46.3% Germany 9.2% Italy 8.4% Short-Term Instruments 7.2% United Kingdom 6.1% France 5.6% Canada 5.1% Other 12.1% QUALITY BREAKDOWN* AAA 68.8% AA 18.6% A 7.7% BBB 3.8% BB 1.0% B 0.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
J.P. Morgan Foreign Bond Non-U.S. Index Month Fund (Hedged) ===== ============ ============== 12/31/1992 5,000,000 5,000,000 01/31/1993 5,041,660 5,045,501 02/28/1993 5,152,513 5,136,826 03/31/1993 5,171,807 5,139,908 04/30/1993 5,171,804 5,140,421 05/31/1993 5,218,564 5,169,209 06/30/1993 5,342,019 5,274,661 07/31/1993 5,426,186 5,333,737 08/31/1993 5,558,061 5,444,678 09/30/1993 5,580,127 5,468,090 10/31/1993 5,663,151 5,540,815 11/30/1993 5,679,152 5,579,601 12/31/1993 5,820,067 5,695,098 01/31/1994 5,827,680 5,666,624 02/28/1994 5,673,113 5,539,124 03/31/1994 5,574,498 5,488,718 04/30/1994 5,522,099 5,449,747 05/31/1994 5,441,127 5,389,254 06/30/1994 5,340,992 5,334,283 07/31/1994 5,374,816 5,369,488 08/31/1994 5,322,015 5,317,942 09/30/1994 5,330,821 5,322,728 10/31/1994 5,351,402 5,343,487 11/30/1994 5,430,650 5,418,829 12/31/1994 5,395,132 5,406,367 01/31/1995 5,431,819 5,465,297 02/28/1995 5,467,726 5,535,800 03/31/1995 5,471,621 5,648,728 04/30/1995 5,605,512 5,738,544 05/31/1995 5,825,529 5,926,769 06/30/1995 5,790,386 5,907,210 07/31/1995 5,900,948 5,981,642 08/31/1995 6,013,433 6,033,680 09/30/1995 6,099,110 6,129,012 10/31/1995 6,201,268 6,197,659 11/30/1995 6,444,451 6,333,387 12/31/1995 6,540,017 6,392,287 01/31/1996 6,700,408 6,469,635 02/29/1996 6,557,601 6,393,293 03/31/1996 6,664,336 6,446,357 04/30/1996 6,825,851 6,523,713 05/31/1996 6,852,155 6,568,075 06/30/1996 6,930,027 6,622,589 07/31/1996 6,997,369 6,672,259 08/31/1996 7,169,036 6,761,000 09/30/1996 7,370,202 6,905,010 10/31/1996 7,552,295 7,018,941 11/30/1996 7,735,101 7,159,321 12/31/1996 7,775,388 7,169,345 01/31/1997 7,899,810 7,258,963 02/28/1997 7,942,561 7,305,419 03/31/1997 7,843,570 7,266,703 04/30/1997 7,917,253 7,345,183 05/31/1997 7,958,788 7,383,378 06/30/1997 8,118,878 7,508,894 07/31/1997 8,239,266 7,628,287 08/31/1997 8,206,198 7,637,441 09/30/1997 8,383,475 7,772,623 10/31/1997 8,286,145 7,822,367 11/30/1997 8,398,755 7,878,689 12/31/1997 8,522,040 7,981,113 01/31/1998 8,645,607 8,087,245 02/28/1998 8,725,510 8,159,239 03/31/1998 8,835,222 8,231,855 04/30/1998 8,865,827 8,273,838 05/31/1998 8,942,528 8,387,190 06/30/1998 8,987,048 8,423,255 07/31/1998 9,130,620 8,501,590 08/31/1998 9,058,201 8,669,071 09/30/1998 9,266,649 8,874,530 10/31/1998 9,075,582 8,861,217 11/30/1998 9,245,824 8,956,919 12/31/1998 9,377,213 8,946,169 01/31/1999 9,569,644 9,057,102 02/28/1999 9,476,423 8,996,420 03/31/1999 9,534,902 9,103,477 04/30/1999 9,658,589 9,219,091 05/31/1999 9,507,394 9,181,293 06/30/1999 9,391,681 9,038,983 07/31/1999 9,396,468 9,015,482 08/31/1999 9,329,165 9,031,709 09/30/1999 9,379,607 9,066,031 10/31/1999 9,422,198 9,087,790 11/30/1999 9,440,689 9,140,496 12/31/1999 9,524,187 9,167,918 01/31/2000 9,475,484 9,168,837 02/29/2000 9,584,349 9,236,684 03/31/2000 9,722,350 9,371,538 04/30/2000 9,756,895 9,422,144 05/31/2000 9,815,858 9,497,520 06/30/2000 9,890,070 9,543,107 07/31/2000 9,973,457 9,611,817 08/31/2000 9,963,948 9,613,739 09/30/2000 10,095,126 9,696,417 10/31/2000 10,121,158 9,774,958 11/30/2000 10,271,406 9,947,974 12/31/2000 10,463,562 10,058,396 01/31/2001 10,619,334 10,177,679 02/28/2001 10,680,403 10,265,125 03/31/2001 10,824,425 10,342,598 04/30/2001 10,759,482 10,272,516 05/31/2001 10,785,208 10,325,932 06/30/2001 10,779,884 10,382,726 07/31/2001 11,033,728 10,477,207 08/31/2001 11,133,056 10,565,217 09/30/2001 11,210,774 10,608,535
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1993, the first full month following the Fund's Institutional Class inception on 12/03/1992, compared to the J.P. Morgan Non-U.S. Index (Hedged), an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/28/1997. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the six-month period ended September 30, 2001, the Foreign Bond Fund Institutional Class shares posted a return of 3.57%, outperforming the 2.57% return of the Fund's benchmark, the J.P. Morgan Non-U.S. Index (Hedged into USD). . Foreign bonds underperformed U.S. bonds for the period. The U.S. was the best performing bond market as investors fled to the safety and liquidity of Treasuries following the New York and Washington attacks. . Extending European duration added to returns as yields fell amid a slowdown in global growth. . A focus on the short end of yield curves in Europe and the U.K. added to returns as short maturity yields fell the most on expectations of further central bank rate cuts. . Although Japan lagged other developed markets due to concerns over new bond supply, yields remained relatively stable, causing the Fund's Japan underweight to be neutral for performance. . A focus on global mortgages aided returns as mortgages were a high yielding alternative to most government bonds. . Although a euro overweight was positive, a partial hedge using an underweight in the Swiss franc reduced the positive impact of this position. . An underweight in the Japanese yen was negative; the yen rallied vs. the U.S. dollar as exporters repatriated profits toward fiscal half-year end. . Emerging market exposure was neutral. Though investors shunned the sector in the flight to safety, our higher quality positions performed in line with alternative holdings. 9.30.01 | PIMCO Funds Semi-Annual Report 19 PIMCO Global Bond Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily U.S. and non-U.S. intermediate maturity fixed income securities. DURATION: 5.3 years FUND INCEPTION DATE: Institutional Class: 11/23/1993 Administrative Class: 8/01/1996 TOTAL NET ASSETS: $330.9 million PORTFOLIO MANAGER: Sudi Mariappa TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* Global Bond Fund Institutional Class 6.49% 7.30% 1.00% 3.22% 5.74% Global Bond Fund Administrative Class 6.36% 7.04% 0.75% 2.99% 3.53% J.P. Morgan Global Index (Unhedged) 5.44% 7.06% 0.83% 3.63% -- Lipper Global Income Fund Average 2.47% 5.82% 2.23% 3.72% --
* Annualized COUNTRY ALLOCATION* United States 52.2% Italy 7.7% France 7.7% United Kingdom 7.1% Other 25.3% QUALITY BREAKDOWN* AAA 70.1% AA 17.4% A 8.3% BBB 3.0% BB 1.1% B 0.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
J.P. Morgan Global Global Index Month Bond Fund (Unhedged) ===== ========= ============ 11/30/1993 5,000,000 5,000,000 12/31/1993 5,159,354 5,051,001 01/31/1994 5,172,612 5,098,479 02/28/1994 5,050,687 5,042,396 03/31/1994 4,981,799 5,019,201 04/30/1994 4,983,396 5,015,186 05/31/1994 4,957,155 4,973,560 06/30/1994 4,993,232 5,032,746 07/31/1994 5,040,972 5,080,054 08/31/1994 5,023,423 5,066,846 09/30/1994 5,045,769 5,091,673 10/31/1994 5,117,441 5,168,048 11/30/1994 5,070,101 5,102,929 12/31/1994 5,071,554 5,114,666 01/31/1995 5,158,706 5,217,982 02/28/1995 5,306,429 5,352,606 03/31/1995 5,497,439 5,625,054 04/30/1995 5,586,069 5,714,492 05/31/1995 5,774,015 5,873,926 06/30/1995 5,791,402 5,910,344 07/31/1995 5,833,592 5,938,122 08/31/1995 5,749,603 5,773,043 09/30/1995 5,839,678 5,902,936 10/31/1995 5,966,446 5,960,786 11/30/1995 6,121,956 6,027,545 12/31/1995 6,236,009 6,102,287 01/31/1996 6,250,544 6,039,434 02/29/1996 6,152,157 6,004,405 03/31/1996 6,159,100 5,995,399 04/30/1996 6,210,796 5,973,217 05/31/1996 6,191,536 5,979,190 06/30/1996 6,265,488 6,031,208 07/31/1996 6,379,395 6,142,182 08/31/1996 6,491,924 6,167,980 09/30/1996 6,584,759 6,201,904 10/31/1996 6,764,325 6,324,702 11/30/1996 6,923,739 6,415,146 12/31/1996 6,879,967 6,370,239 01/31/1997 6,702,769 6,210,983 02/28/1997 6,656,620 6,168,128 03/31/1997 6,576,929 6,121,249 04/30/1997 6,536,080 6,086,970 05/31/1997 6,699,780 6,230,622 06/30/1997 6,783,140 6,301,651 07/31/1997 6,758,684 6,278,337 08/31/1997 6,721,424 6,270,802 09/30/1997 6,895,854 6,410,014 10/31/1997 6,891,415 6,545,905 11/30/1997 6,834,927 6,467,355 12/31/1997 6,817,845 6,460,241 01/31/1998 6,851,128 6,524,843 02/28/1998 6,915,929 6,573,126 03/31/1998 6,961,654 6,523,829 04/30/1998 7,063,593 6,624,295 05/31/1998 7,059,363 6,652,780 06/30/1998 7,070,889 6,671,407 07/31/1998 7,130,372 6,689,420 08/31/1998 7,124,542 6,874,048 09/30/1998 7,491,180 7,232,874 10/31/1998 7,509,415 7,394,889 11/30/1998 7,456,893 7,311,327 12/31/1998 7,669,954 7,448,780 01/31/1999 7,718,892 7,387,701 02/28/1999 7,459,185 7,140,951 03/31/1999 7,441,983 7,158,805 04/30/1999 7,454,117 7,156,657 05/31/1999 7,250,125 7,030,699 06/30/1999 7,143,749 6,913,286 07/31/1999 7,296,476 7,065,380 08/31/1999 7,283,484 7,083,750 09/30/1999 7,400,295 7,185,754 10/31/1999 7,405,937 7,177,131 11/30/1999 7,291,664 7,091,723 12/31/1999 7,341,262 7,071,158 01/31/2000 7,098,375 6,931,857 02/29/2000 7,116,716 6,897,197 03/31/2000 7,307,538 7,097,904 04/30/2000 7,080,709 6,882,129 05/31/2000 7,153,212 6,932,368 06/30/2000 7,318,062 7,100,825 07/31/2000 7,239,595 6,989,341 08/31/2000 7,170,776 6,939,019 09/30/2000 7,191,731 6,925,141 10/31/2000 7,079,209 6,842,732 11/30/2000 7,190,025 6,984,374 12/31/2000 7,372,837 7,235,812 01/31/2001 7,432,281 7,230,820 02/28/2001 7,435,644 7,233,112 03/31/2001 7,247,001 7,031,526 04/30/2001 7,215,815 7,003,484 05/31/2001 7,190,664 6,983,173 06/30/2001 7,102,470 6,920,324 07/31/2001 7,390,315 7,095,410 08/31/2001 7,682,234 7,361,488 09/30/2001 7,717,058 7,413,753
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 12/01/1993, the first full month following the Fund's Institutional Class inception on 11/23/1993, compared to the J.P. Morgan Global Index (Unhedged), an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 8/01/1996. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the six-month period ended September 30, 2001, the Global Bond Fund Institutional Class shares posted a return of 6.49%, outperforming the 5.44% return of the Fund's benchmark, the J.P. Morgan Global Index (Unhedged, measured in USD). . The Fund's exposure to foreign currencies matched the benchmark, which added to returns as the USD fell versus the yen and euro. . The U.S. was the best performing bond market over the period as investors fled to the safety and liquidity of Treasuries following the New York and Washington attacks. . Extending European duration added to returns as yields fell amid a slowdown in global growth. . A focus on the short end of yield curves in Europe and the U.K. added to returns as short maturity yields fell the most on expectations of further central bank rate cuts. . Although Japan lagged other developed markets due to concerns over new bond supply, yields remained relatively stable, causing the Fund's Japan underweight to be neutral for performance. . A focus on global mortgages aided returns as mortgages were a high yielding alternative to most government bonds. . Although a euro overweight was positive, a partial hedge using an underweight in the Swiss franc reduced the positive impact of this position. . An underweight in the Japanese yen was negative; the yen rallied vs. the dollar as exporters repatriated profits toward fiscal half-year end. . Emerging market exposure was neutral. Though investors shunned the sector in the flight to safety, our higher quality positions performed in line with alternative holdings. 20 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Global Bond Fund II FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital. PORTFOLIO: Primarily U.S. and hedged non-U.S. intermediate maturity fixed income securities. DURATION: 5.3 years FUND INCEPTION DATE: Institutional Class: 2/25/1998 TOTAL NET ASSETS: $81.2 million PORTFOLIO MANAGER: Sudi Mariappa TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Global Bond Fund II Institutional Class 4.10% 11.98% 6.28% 6.83% J.P. Morgan Global Index (Hedged) 3.26% 10.44% 5.99% -- Lipper Global Income Fund Average 2.47% 5.82% 2.23% --
* Annualized COUNTRY ALLOCATION* United States 43.2% Italy 10.1% United Kingdom 7.4% France 7.2% Canada 6.2% France 5.8% Short-Term Instruments 4.9% Other 15.2% QUALITY BREAKDOWN* AAA 71.8% AA 18.1% A 5.3% BBB 3.6% BB 1.0% B 0.2% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
Global Bond J.P. Morgan Global Month Fund II Index (Hedged) ===== =========== ================== 02/28/1998 5,000,000 5,000,000 03/31/1998 5,069,096 5,032,502 04/30/1998 5,092,746 5,057,159 05/31/1998 5,121,536 5,120,376 06/30/1998 5,146,064 5,157,242 07/31/1998 5,210,272 5,190,249 08/31/1998 5,156,019 5,308,584 09/30/1998 5,273,043 5,443,954 10/31/1998 5,187,282 5,431,977 11/30/1998 5,256,161 5,470,545 12/31/1998 5,303,609 5,470,545 01/31/1999 5,422,839 5,525,796 02/28/1999 5,341,215 5,451,750 03/31/1999 5,376,152 5,501,909 04/30/1999 5,429,327 5,553,624 05/31/1999 5,347,551 5,520,302 06/30/1999 5,283,537 5,457,923 07/31/1999 5,279,879 5,446,462 08/31/1999 5,257,452 5,452,452 09/30/1999 5,285,083 5,480,262 10/31/1999 5,300,795 5491,222 11/30/1999 5,294,352 5,509,892 12/31/1999 5,318,774 5,510,442 01/31/2000 5,296,692 5,514,850 02/29/2000 5,360,260 5,570,552 03/31/2000 5,435,868 5,663,021 04/30/2000 5,444,990 5,677,180 05/31/2000 5,465,049 5,710,672 06/30/2000 5,525,868 5,760,353 07/31/2000 5,572,330 5,807,011 08/31/2000 5,588,099 5,833,723 09/30/2000 5,653,061 5,869,310 10/31/2000 5,670,166 5,920,372 11/30/2000 5,738,619 6,032,269 12/31/2000 5,808,435 6,114,309 01/31/2001 5,933,174 6,178,353 02/28/2001 5,987,239 6,238,623 03/31/2001 6,081,194 6,277,271 04/30/2001 6,044,854 6,221,607 05/31/2001 6,069,055 6,250,225 06/30/2001 6,049,566 6,285,227 07/31/2001 6,226,368 6,372,589 08/31/2001 6,287,921 6,436,315 09/30/2001 6,330,511 6,482,017
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 3/01/1998, the first full month following the Fund's Institutional Class inception on 2/25/1998, compared to the J.P. Morgan Global Index (Hedged), an unmanaged market index. Foreign investing involves potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the six-month period ended September 30, 2001, the Global Bond Fund II Institutional Class shares posted a return of 4.10%, outperforming the 3.26% return of the Fund's benchmark, the J.P. Morgan Global Index (Hedged into USD). . The U.S. was the best performing bond market over the period as investors fled to the safety and liquidity of Treasuries following the New York and Washington attacks. . Extending European duration added to returns as yields fell amid a slowdown in global growth. . A focus on the short end of yield curves in Europe and the U.K. added to returns as short maturity yields fell the most on expectations of further central bank rate cuts. . Although Japan lagged other developed markets due to concerns over new bond supply, yields remained relatively stable, causing the Fund's Japan underweight to be neutral for performance. . A focus on global mortgages aided returns as mortgages were a high yielding alternative to most government bonds. . Although a euro overweight was positive, a partial hedge using an underweight in the Swiss franc reduced the positive impact of this position. . An underweight in the Japanese yen was negative; the yen rallied vs. the dollar as exporters repatriated profits toward fiscal half-year end. . Emerging market exposure was neutral. Though investors shunned the sector in the flight to safety, our higher quality positions performed in line with alternative holdings. 9.30.01 | PIMCO Funds Semi-Annual Report 21 PIMCO Emerging Markets Bond Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily emerging market fixed income securities. DURATION: 4.9 years FUND INCEPTION DATE: Institutional Class: 7/31/1997 Administrative Class: 9/30/1998 TOTAL NET ASSETS: $66.2 million PORTFOLIO MANAGER: Mohamed A. El-Erian TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Emerging Markets Bond Fund Institutional Class 8.27% 16.01% 22.67% 8.59% Emerging Markets Bond Fund Administrative Class 8.11% 15.70% 22.36% 22.34% J.P. Morgan Emerging Markets Bond Index Plus -1.91% 1.78% 17.03% -- Lipper Emerging Markets Debt Fund Average -0.02% 2.84% 16.53% --
* Annualized COUNTRY ALLOCATION* Brazil 23.1% Short-Term Instruments 15.2% Mexico 14.1% Russia 13.5% Other 34.1% QUALITY BREAKDOWN* AAA 14.5% AA 4.7% BBB 25.8% BB 32.2% B 22.8% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
J.P. Morgan Emerging Markets Emerging Markets Month Bond Fund Bond Index Plus ===== ================ ================ 07/31/1997 5,000,000 5,000,000 08/31/1997 4,941,202 4,979,763 09/30/1997 5,077,992 5,132,145 10/31/1997 4,500,427 4,540,921 11/30/1997 4,738,197 4,756,615 12/31/1997 4,859,660 4,920,720 01/31/1998 4,866,472 4,910,880 02/28/1998 5,005,158 5,051,329 03/31/1998 5,155,188 5,177,076 04/30/1998 5,168,205 5,189,638 05/31/1998 5,002,060 5,012,513 06/30/1998 4,838,082 4,867,654 07/31/1998 4,912,199 4,901,240 08/31/1998 3,543,793 3,492,624 09/30/1998 3,819,422 3,834,203 10/31/1998 4,019,347 4,082,276 11/30/1998 4,340,414 4,322,720 12/31/1998 4,288,256 4,214,652 01/31/1999 4,139,443 4,058,290 02/28/1999 4,222,136 4,116,729 03/31/1999 4,507,995 4,428,365 04/30/1999 4,883,959 4,730,823 05/31/1999 4,578,472 4,461,166 06/30/1999 4,716,852 4,660,580 07/31/1999 4,686,777 4,564,104 08/31/1999 4,679,209 4,557,715 09/30/1999 4,888,898 4,716,781 10/31/1999 5,046,834 4,898,847 11/30/1999 5,183,471 5,037,484 12/31/1999 5,427,907 5,310,012 01/31/2000 5,308,344 5,204,876 02/29/2000 5,622,784 5,540,069 03/31/2000 5,765,699 5,714,579 04/30/2000 5,656,677 5,605,431 05/31/2000 5,546,802 5,462,491 06/30/2000 5,808,164 5,739,437 07/31/2000 5,949,537 5,912,770 08/31/2000 6,158,003 6,121,489 09/30/2000 6,076,985 6,038,429 10/31/2000 5,975,644 5,902,377 11/30/2000 6,006,990 5,872,276 12/31/2000 6,220,981 6,141,811 01/31/2001 6,485,181 6,455,457 02/28/2001 6,457,362 6,352,990 03/31/2001 6,511,798 6,266,029 04/30/2001 6,550,734 6,229,046 05/31/2001 6,698,649 6,382,906 06/30/2001 6,902,857 6,481,201 07/31/2001 6,955,869 6,079,368 08/31/2001 7,313,582 6,379,798 09/30/2001 7,050,022 6,146,132
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception date, compared to the J.P. Morgan Emerging Markets Bond Index Plus, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/30/1998. The Fund may invest in foreign securities which involve potentially higher risks including currency fluctuations and political or economic uncertainty. Investing in emerging market securities imposes even greater risks including smaller capitalization of securities markets, which can experience illiquidity, price volatility, foreign restrictions, and repatriation of investment income and capital. PORTFOLIO INSIGHTS . The Emerging Markets Bond Fund Institutional Class shares outperformed the benchmark J.P. Morgan Emerging Markets Bond Index Plus over the six-month period ended September 30, 2001, returning 8.27% versus -1.91% for the Index. . Continued focus on countries with strong fundamentals offset the impact of heightened market volatility due to isolated crisis situations and the fluid international environment. . Our outright avoidance of Argentina added substantially to both absolute and relative returns as this segment of the Index returned -25% over the semi-annual period. . Our overweight position in Russia added to returns amid continued progress on Paris Club repayments and growing levels of international reserves. . An underweight in the Philippines was positive due to the continued political uncertainty in the region and heavy reliance on external sources of funding. . Overweight positions in Eastern Europe were positive as the ongoing trend in trade barrier reduction aided these economies. . Holdings of high quality, off-Index countries and relative value strategies added to returns for the period. 22 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Strategic Balanced Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Normally invests between 45% and 75% in the StocksPLUS Fund and between 25% and 55% in the Total Return Fund. DURATION: 2.2 years FUND INCEPTION DATE: Institutional Class: 6/28/1996 Administrative Class: 6/30/1999 TOTAL NET ASSETS: $73.6 million PORTFOLIO MANAGEMENT TEAM LEAD: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* Strategic Balanced Fund Institutional Class -3.11% -10.39% 3.88% 9.63% 9.86% Strategic Balanced Fund Administrative Class -3.31% -10.62% -- -- -2.95% 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond -3.73% -12.28% 4.16% 9.77% -- Index S&P 500 Index -9.68% -26.62% 2.04% 10.23% -- Lipper Balanced Fund Average -4.91% -11.76% 3.51% 7.35% --
* Annualized ALLOCATION* StocksPLUS Fund 57.4% Total Return Fund 42.6% QUALITY BREAKDOWN* AA 100.0% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
60% S&P 500 Index and Strategic Balanced 40% Lehman Brothers Month Fund Aggregate Bond Index S&P 500 Index ===== ================== ==================== ============= 06/30/1996 5,000,000 5,000,000 5,000,000 07/31/1996 4,865,000 4,872,933 4,779,100 08/31/1996 4,940,000 4,931,328 4,879,891 09/30/1996 5,175,000 5,132,224 5,154,532 10/31/1996 5,320,000 5,262,627 5,296,693 11/30/1996 5,615,000 5,537,365 5,697,071 12/31/1996 5,511,545 5,450,953 5,584,212 01/31/1997 5,743,214 5,661,975 5,933,113 02/28/1997 5,775,539 5,694,243 5,979,629 03/31/1997 5,591,600 5,528,617 5,733,926 04/30/1997 5,846,009 5,759,756 6,076,241 05/31/1997 6,089,593 5,991,928 6,446,163 06/30/1997 6,275,398 6,181,439 6,734,951 07/31/1997 6,659,382 6,543,230 7,270,851 08/31/1997 6,423,506 6,300,974 6,863,537 09/30/1997 6,659,150 6,545,208 7,239,453 10/31/1997 6,565,126 6,452,023 6,997,656 11/30/1997 6,736,582 6,643,106 7,321,577 12/31/1997 6,843,897 6,738,297 7,447,289 01/31/1998 6,937,730 6,817,616 7,529,656 02/28/1998 7,213,362 7,110,452 8,072,694 03/31/1998 7,459,339 7,338,829 8,486,097 04/30/1998 7,524,460 7,398,449 8,571,467 05/31/1998 7,447,498 7,350,213 8,424,124 06/30/1998 7,662,852 7,554,287 8,766,312 07/31/1998 7,621,044 7,512,443 8,672,951 08/31/1998 6,904,331 6,909,658 7,419,015 09/30/1998 7,310,278 7,239,956 7,894,278 10/31/1998 7,639,840 7,577,983 8,536,398 11/30/1998 7,885,513 7,870,767 9,053,789 12/31/1998 8,189,101 8,152,341 9,575,468 01/31/1999 8,385,168 8,380,174 9,975,915 02/28/1999 8,117,209 8,165,384 9,665,863 03/31/1999 8,381,044 8,379,502 10,052,594 04/30/1999 8,584,658 8,584,843 10,441,931 05/31/1999 8,407,317 8,433,153 10,195,398 06/30/1999 8,726,038 8,703,230 10,761,242 07/31/1999 8,533,893 8,525,380 10,425,276 08/31/1999 8,507,390 8,498,358 10,373,348 09/30/1999 8,424,034 8,398,023 10,089,329 10/31/1999 8,758,321 8,729,273 10,727,781 11/30/1999 8,845,236 8,835,503 10,945,877 12/31/1999 9,136,140 9,130,707 11,590,589 01/31/2000 8,743,572 8,843,606 11,008,477 02/29/2000 8,679,333 8,785,846 10,799,892 03/31/2000 9,223,089 9,347,855 11,856,445 04/30/2000 9,014,128 9,168,382 11,499,685 05/31/2000 8,956,484 9,053,818 11,263,711 06/30/2000 9,091,403 9,263,069 11,541,362 07/31/2000 9,061,838 9,209,778 11,360,855 08/31/2000 9,475,755 9,606,384 12,066,477 09/30/2000 9,143,966 9,326,269 11,429,488 10/31/2000 9,143,966 9,327,285 11,381,141 11/30/2000 8,868,006 8,947,092 10,483,895 12/31/2000 8,978,129 9,039,710 10,535,118 01/31/2001 9,226,409 9,291,280 10,908,904 02/28/2001 8,777,903 8,815,348 9,914,230 03/31/2001 8,457,009 8,497,979 9,286,164 04/30/2001 8,812,753 8,880,083 10,007,792 05/31/2001 8,877,434 8,937,237 10,074,844 06/30/2001 8,771,024 8,820,204 9,829,622 07/31/2001 8,844,320 8,846,985 9,732,859 08/31/2001 8,559,282 8,555,240 9,123,582 09/30/2001 8,194,327 8,180,616 8,386,887
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 7/01/1996, the first full month following the Fund's Institutional Class inception on 6/28/1996, compared to a static 60/40 blend of the Standard and Poor's 500 Index and the Lehman Brothers Aggregate Bond Index, and the S&P 500 Index, each an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 6/30/1999. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Strategic Balanced Fund is a fund-of-funds structure; the equity portfolio is the StocksPLUS Fund, and the fixed income portfolio is the Total Return Fund. . For the six-month period ended September 30, 2001, the Strategic Balanced Fund's Institutional Class shares returned -3.11%, versus -3.73% for the Fund's benchmark, a blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index (LBAG). . Asset allocation had a minor impact on returns as the Fund remained near a standard 60/40 equity/fixed income mix. . The equity portfolio, consisting of PIMCO's StocksPLUS Fund, outperformed the S&P 500 Index. . Extended duration relative to the duration of the S&P 500 futures contract added to performance as short rates fell. . Mortgages and high-grade corporates added incremental income, but modest exposure to high yield and emerging markets was negative as credit premiums widened. . The bond portfolio, consisting of PIMCO's Total Return Fund, significantly outperformed the LBAG. . Above Index duration was positive as rates fell; a short maturity focus also helped returns. . We plan to target a neutral equity/bond (60%/40%) mix in light of the full valuation of the short and intermediate portion of the yield curve after the significant decline in interest rates that has already taken place, and the continuing uncertainty for corporate profits and still lofty valuations. 9.30.01 | PIMCO Funds Semi-Annual Report 23 PIMCO Convertible Fund FUND CHARACTERISTICS OBJECTIVE: Seeks maximum total return, consistent with prudent investment management. PORTFOLIO: Primarily convertible securities. DURATION: 1.4 years FUND INCEPTION DATE: Institutional Class: 3/31/1999 Administrative Class: 8/01/2000 TOTAL NET ASSETS: $43.2 million PORTFOLIO MANAGER: Sandra K. Durn TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Convertible Fund Institutional Class -8.82% -28.36% 4.93% Convertible Fund Administrative Class -8.90% -28.34% -20.74% First Boston Convertible Bond Index -7.34% -23.81% -- Lipper Convertible Securities Fund Average -8.79% -23.34% --
* Annualized SECTOR BREAKDOWN* Convertible Bonds & Notes 69.2% Convertible Preferred Stock 22.8% Short-Term Instruments 6.8% Other 1.2% QUALITY BREAKDOWN* AAA 13.9% AA 9.9% A 26.2% BBB 35.0% BB 8.8% B 4.2% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
First Boston Month Convertible Fund Convertible Bond Index ===== ================ ====================== 03/31/1999 5,000,000 5,000,000 04/30/1999 5,240,000 5,202,500 05/31/1999 5,335,000 5,154,637 06/30/1999 5,625,000 5,376,802 07/31/1999 5,640,000 5,305,828 08/31/1999 5,630,000 5,321,746 09/30/1999 5,685,000 5,335,582 10/31/1999 5,915,000 5,520,194 11/30/1999 6,350,000 5,944,144 12/31/1999 7,109,943 6,847,654 01/31/2000 7,257,010 6,744,254 02/29/2000 8,032,917 7,452,401 03/31/2000 8,032,816 7,292,174 04/30/2000 7,497,974 6,936,316 05/31/2000 7,258,568 6,564,529 06/30/2000 7,620,361 6,991,223 07/31/2000 7,400,886 6,780,089 08/31/2000 7,967,437 7,301,477 09/30/2000 7,872,203 7,197,796 10/31/2000 7,507,607 6,867,108 11/30/2000 6,567,872 6,035,501 12/31/2000 7,055,087 6,311,504 01/31/2001 7,240,032 6,681,615 02/28/2001 6,451,298 6,169,406 03/31/2001 6,185,149 5,918,311 04/30/2001 6,649,171 6,317,205 05/31/2001 6,490,858 6,281,014 06/30/2001 6,225,557 6,162,114 07/31/2001 6,027,746 6,040,569 08/31/2001 5,956,314 5,885,930 09/30/2001 5,639,814 5,483,921
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 3/31/1999, the Fund's Institutional Class inception date, compared to the First Boston Convertible Bond Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 8/01/2000. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The Convertible Fund Institutional Class shares returned -8.82% for the semi-annual period ended September 30, 2001, compared to -7.34% for the First Boston Convertible Bond Index. . The Fund's delta, or sensitivity to underlying stock prices, was generally higher than that of the benchmark, which detracted from performance in the face of sharp declines in global equity markets. . The Fund's emphasis on higher quality convertibles was positive given the deteriorating credit fundamentals in the convertible universe. . Underweighting telecom and technology issues was positive for returns as these companies suffered from weak profits amid reduced investment spending. . An underweight to zero coupon convertibles hurt returns as these defensively structured issues outperformed. . Health care holdings helped returns as prospects for improving earnings growth and visibility caused a rotation into these securities. 24 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO European Convertible Fund FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. PORTFOLIO: Primarily European convertible securities. DURATION: 1.7 years FUND INCEPTION DATE: Institutional Class: 11/30/2000 TOTAL NET ASSETS: $5.0 million PORTFOLIO MANAGER: Sandra K. Durn TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months Since Inception European Convertible Fund Institutional Class 0.79% 0.89% UBS All European Convertible Index -3.11% -- Lipper Convertible Securities Fund Average -8.79% --
SECTOR BREAKDOWN* Convertible Bonds & Notes 77.4% Short-Term Instruments 18.1% Other 4.5% QUALITY BREAKDOWN* AAA 17.0% AA 27.0% A 30.5% BB 25.5% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
European Convertible UBS All European Month Fund Convertible Index ===== ==================== ================= 11/30/2000 5,000,000 5,000,000 12/31/2000 5,020,075 5,291,865 01/31/2001 5,065,256 5,411,482 02/28/2001 4,999,995 5,105,263 03/31/2001 5,005,015 4,904,306 04/30/2001 5,070,276 5,062,198 05/31/2001 5,080,316 4,832,534 06/30/2001 5,062,389 4,760,763 07/31/2001 5,067,426 4,794,091 08/31/2001 5,062,389 4,869,736 09/30/2001 5,044,353 4,751,538
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/30/2000, the Fund's Institutional Class inception date, compared to the UBS All European Convertible Index, an unmanaged market index. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The European Convertible Fund Institutional Class shares returned 0.79% for the semi-annual period ended September 30, 2001, compared to -3.11% for the UBS All European Convertible Index. . The Fund's lower delta, or sensitivity to price movements in the underlying equities, enhanced relative performance as these equities underperformed over the past six months. . The Fund's relatively high average credit quality added to results as investment grade convertibles significantly outperformed speculative grade issues. . Underweighting telecom and technology issues was positive for returns as these companies suffered from weak profits amid reduced investment spending. . Health care holdings were positive for performance as individual issues such as Roche had absolute positive returns. . The use of a proprietary valuation model was instrumental in taking advantage of security pricing inefficiencies in the market. 9.30.01 | PIMCO Funds Semi-Annual Report 25 PIMCO StocksPLUS Fund FUND CHARACTERISTICS OBJECTIVE: Total return which exceeds that of the S&P 500 Index. PORTFOLIO: Primarily S&P 500 stock index derivatives backed by a portfolio of short-term fixed income securities. DURATION: 0.5 years FUND INCEPTION DATE: Institutional Class: 5/14/1993 Administrative Class: 1/07/1997 TOTAL NET ASSETS: $878.3 million PORTFOLIO MANAGEMENT TEAM LEAD: William H. Gross TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* Since Inception* StocksPLUS Fund Institutional Class -9.15% -25.82% 2.30% 10.27% 13.59% StocksPLUS Fund Administrative Class -9.51% -26.27% 1.86% -- 8.14% S&P 500 Index -9.68% -26.62% 2.04% 10.23% -- Lipper Large-Cap Core Fund Average -10.62% -27.39% 1.48% 7.52% --
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 41.3% Corporate Bonds & Notes 19.5% Short-Term Instruments 18.8% U.S. Treasury Obligations 10.9% Asset-Backed Securities 5.3% Other 4.2% QUALITY BREAKDOWN* AAA 78.1% AA 2.9% A 5.0% BBB 10.0% BB 3.3% B 0.7% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
Stocks-PLUS Fund S&P 500 Month 100 Index ===== =========== ========== 05/31/1993 5,000,000 5,000,000 06/30/1993 5,027,261 5,014,650 07/31/1993 5,017,471 4,994,491 08/31/1993 5,208,380 5,183,982 09/30/1993 5,157,774 5,144,221 10/31/1993 5,271,731 5,250,655 11/30/1993 5,212,275 5,200,616 12/31/1993 5,306,421 5,263,492 01/31/1994 5,480,662 5,442,451 02/28/1994 5,311,701 5,294,743 03/31/1994 5,077,284 5,063,892 04/30/1994 5,141,283 5,128,811 05/31/1994 5,237,282 5,212,974 06/30/1994 5,126,078 5,085,204 07/31/1994 5,325,725 5,252,202 08/31/1994 5,568,540 5,467,543 09/30/1994 5,473,357 5,333,861 10/31/1994 5,561,106 5,453,713 11/30/1994 5,391,092 5,255,089 12/31/1994 5,461,225 5,333,022 01/31/1995 5,612,304 5,471,307 02/28/1995 5,864,102 5,684,524 03/31/1995 6,023,776 5,852,274 04/30/1995 6,219,204 6,024,624 05/31/1995 6,500,850 6,265,428 06/30/1995 6,643,179 6,410,974 07/31/1995 6,854,074 6,623,561 08/31/1995 6,900,939 6,640,187 09/30/1995 7,193,848 6,920,403 10/31/1995 7,181,918 6,895,697 11/30/1995 7,527,891 7,198,418 12/31/1995 7,673,723 7,337,059 01/31/1996 7,949,045 7,586,813 02/29/1996 7,970,224 7,657,142 03/31/1996 8,076,117 7,730,881 04/30/1996 8,177,430 7,844,834 05/31/1996 8,365,584 8,047,152 06/30/1996 8,445,187 8,077,812 07/31/1996 8,052,904 7,720,934 08/31/1996 8,223,140 7,883,768 09/30/1996 8,704,242 8,327,467 10/31/1996 8,981,877 8,557,139 11/30/1996 9,649,702 9,203,973 12/31/1996 9,444,046 9,021,642 01/31/1997 10,025,985 9,585,314 02/28/1997 10,100,806 9,660,463 03/31/1997 9,646,437 9,263,515 04/30/1997 10,244,078 9,816,546 05/31/1997 10,892,224 10,414,178 06/30/1997 11,344,245 10,880,733 07/31/1997 12,278,977 11,746,513 08/31/1997 11,616,167 11,088,473 09/30/1997 12,220,454 11,695,789 10/31/1997 11,832,913 11,305,149 11/30/1997 12,315,186 11,828,465 12/31/1997 12,546,229 12,031,560 01/31/1998 12,716,721 12,164,629 02/28/1998 13,569,183 13,041,941 03/31/1998 14,253,076 13,709,819 04/30/1998 14,425,043 13,847,740 05/31/1998 14,141,803 13,609,698 06/30/1998 14,691,669 14,162,524 07/31/1998 14,528,428 14,011,693 08/31/1998 12,314,475 11,985,882 09/30/1998 13,256,889 12,753,698 10/31/1998 14,302,676 13,791,084 11/30/1998 15,122,901 14,626,961 12/31/1998 16,099,828 15,469,767 01/31/1999 16,648,553 16,116,712 02/28/1999 16,088,153 15,615,805 03/31/1999 16,768,984 16,240,593 04/30/1999 17,436,465 16,869,592 05/31/1999 16,979,768 16,471,301 06/30/1999 17,970,000 17,385,458 07/31/1999 17,379,659 16,842,684 08/31/1999 17,285,204 16,758,790 09/30/1999 16,909,003 16,299,940 10/31/1999 17,981,456 17,331,400 11/30/1999 18,279,360 17,683,747 12/31/1999 19,341,400 18,725,320 01/31/2000 18,343,134 17,784,881 02/29/2000 18,065,838 17,447,899 03/31/2000 19,758,181 19,154,826 04/30/2000 19,143,792 18,578,458 05/31/2000 18,752,817 18,197,228 06/30/2000 19,218,094 18,645,789 07/31/2000 18,978,573 18,354,169 08/31/2000 20,246,629 19,494,147 09/30/2000 19,133,350 18,465,051 10/31/2000 19,047,934 18,386,944 11/30/2000 17,610,085 16,937,386 12/31/2000 17,751,217 17,020,141 01/31/2001 18,440,436 17,624,015 02/28/2001 16,740,362 16,017,058 03/31/2001 15,622,296 15,002,377 04/30/2001 16,816,942 16,168,212 05/31/2001 17,000,734 16,276,539 06/30/2001 16,623,116 15,880,368 07/31/2001 16,483,817 15,724,041 08/31/2001 15,446,806 14,739,716 09/30/2001 14,193,108 13,549,539
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 6/01/1993, the first full month following the Fund's Institutional Class inception on 5/14/1993, compared to the Standard and Poor's 500 Index, an unmanaged market index. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 1/07/1997. The Fund may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . The S&P 500 posted a negative total return of 9.68% for the semi-annual period ending September 30, 2001 amid heightened concern surrounding economic weakness and corporate earnings. . The PIMCO StocksPLUS Fund Institutional Class shares outperformed the S&P 500, returning -9.15% over the same time period. . An extended duration was positive for performance as realized and anticipated monetary easing led to significant short-term interest rate declines. . Mortgage-backed holdings added incremental yield to the portfolio though this was partially offset by negative price performance related to heightened prepayment concerns. . Investment grade corporate issues benefited from high yield premiums and narrowing corporate spreads. . Modest emerging markets and below investment grade holdings lost value as credit premiums in these sectors widened. 26 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Municipal Bond Fund FUND CHARACTERISTICS OBJECTIVE: High current income exempt from federal income tax, consistent with preservation of capital. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate and long-term maturity municipal securities (exempt from federal income tax). DURATION: 7.5 years FUND INCEPTION DATE: Institutional Class: 12/31/1997 Administrative Class: 9/30/1998 TOTAL NET ASSETS: $109.1 million PORTFOLIO MANAGER: Mark V. McCray TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Municipal Bond Fund Institutional Class 4.50% 11.49% 4.80% 5.41% Municipal Bond Fund Administrative Class 4.37% 11.22% 4.54% 4.54% Lehman Brothers General Municipal Bond Index 3.48% 10.41% 5.19% -- Lipper General Municipal Debt Fund Average 3.07% 9.54% 3.63% --
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 99.5% Other 0.5% QUALITY BREAKDOWN* AAA 46.8% AA 19.6% A 6.9% BBB 17.5% BB 9.2% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
Lehman Brothers General Month Municipal Bond Fund Municipal Bond Index ===== =================== ======================= 12/31/1997 5,000,000 5,000,000 01/31/1998 5,058,771 5,051,500 02/28/1998 5,035,172 5,053,016 03/31/1998 5,039,379 5,057,562 04/30/1998 5,006,296 5,034,805 05/31/1998 5,105,540 5,114,354 06/30/1998 5,122,719 5,134,299 07/31/1998 5,128,447 5,147,137 08/31/1998 5,223,548 5,226,915 09/30/1998 5,293,484 5,292,252 10/31/1998 5,282,938 5,292,252 11/30/1998 5,296,412 5,310,775 12/31/1998 5,302,933 5,324,053 01/31/1999 5,373,214 5,387,409 02/28/1999 5,338,814 5,363,705 03/31/1999 5,343,842 5,371,213 04/30/1999 5,354,304 5,384,642 05/31/1999 5,314,853 5,353,412 06/30/1999 5,217,784 5,276,322 07/31/1999 5,228,509 5,295,317 08/31/1999 5,173,421 5,252,953 09/30/1999 5,166,761 5,255,056 10/31/1999 5,100,796 5,198,299 11/30/1999 5,153,694 5,253,401 12/31/1999 5,105,896 5,214,003 01/31/2000 5,076,823 5,191,581 02/29/2000 5,130,397 5,251,804 03/31/2000 5,247,153 5,366,818 04/30/2000 5,221,693 5,335,153 05/31/2000 5,198,809 5,307,409 06/30/2000 5,317,548 5,448,053 07/31/2000 5,383,204 5,523,778 08/31/2000 5,469,026 5,608,845 09/30/2000 5,465,577 5,579,681 10/31/2000 5,517,329 5,640,499 11/30/2000 5,504,367 5,683,366 12/31/2000 5,631,212 5,823,744 01/31/2001 5,682,823 5,881,401 02/28/2001 5,767,136 5,900,221 03/31/2001 5,831,025 5,953,323 04/30/2001 5,754,016 5,889,026 05/31/2001 5,866,118 5,952,628 06/30/2001 5,925,480 5,992,512 07/31/2001 6,027,073 6,081,201 08/31/2001 6,167,010 6,181,541 09/30/2001 6,093,424 6,160,522
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 12/31/1997, the Fund's Institutional Class inception date, compared to the Lehman Brothers General Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. The performance of the Administrative Class (shown above) reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/30/1998. PORTFOLIO INSIGHTS . The Municipal Bond Fund returned 4.50% for Institutional Class shares for the six-month period ended September 30, 2001, an excess return of 1.02% over the Lehman Brothers General Municipal Bond Index. . The benchmark AAA general obligation curve steepened significantly over the half-year period as the 1- to 30-year yield differential rose by nearly 0.90% to 2.94%. Fed easing mostly affected shorter-term yields as investors showed a reluctance to accept lower long-term yields. . The Fund's option-adjusted duration was 7.5 years at September 30, 2001, modestly under the benchmark's duration of 7.7 years. . The Fund maintained an above-benchmark duration throughout most of the half-year period, aiding returns as municipal yields fell generally. . Overweighting intermediate maturities improved performance as intermediate yields decreased more than long-maturity yields. . Maintaining a high AA average credit quality assisted performance as lower tier credit premiums increased. . Issue selection in insured and revenue bonds that produced returns above the respective sector returns increased relative performance. . Overweighting higher quality revenue bonds improved portfolio yield relative to the benchmark. . Transportation issues, especially airport bonds, lowered relative returns after the Attack of September 11. . The Fund's SEC yield at September 30 was 4.03%, or a tax-adjusted 6.62% assuming a federal tax rate of 39.1%. 9.30.01 | PIMCO Funds Semi-Annual Report 27 PIMCO Short Duration Municipal Income Fund FUND CHARACTERISTICS OBJECTIVE: Seeks high current income exempt from federal income tax, consistent with preservation of capital. PORTFOLIO: Primarily short and intermediate maturity municipal securities (exempt from federal income tax). DURATION: 1.9 years FUND INCEPTION DATE: Institutional Class: 8/31/1999 TOTAL NET ASSETS: $14.6 million PORTFOLIO MANAGER: Mark V. McCray TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Short Duration Municipal Income Fund Institutional Class 2.71% 6.28% 5.35% Lehman Brothers 1-Year Municipal Bond Index 2.85% 6.65% -- Lipper Short Municipal Debt Fund Average 2.63% 6.17% --
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 99.7% Other 0.3% QUALITY BREAKDOWN* AAA 38.5% AA 34.6% A 5.3% BBB 21.6% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
Lehman Brothers Short Duration 1-Year Municipal Month Municipal Income Fund Bond Index ===== ===================== ================ 08/31/1999 5,000,000 5,000,000 09/30/1999 5,015,118 5,012,000 10/31/1999 5,026,688 5,023,025 11/30/1999 5,043,155 5,038,597 12/31/1999 5,056,562 5,042,629 01/31/2000 5,077,025 5,061,792 02/29/2000 5,086,181 5,076,977 03/31/2000 5,109,575 5,098,804 04/30/2000 5,117,236 5,111,043 05/31/2000 5,126,760 5,119,223 06/30/2000 5,161,314 5,161,199 07/31/2000 5,188,759 5,190,100 08/31/2000 5,219,335 5,216,569 09/30/2000 5,245,011 5,228,047 10/31/2000 5,280,167 5,252,619 11/30/2000 5,294,485 5,272,582 12/31/2000 5,350,202 5,312,122 01/31/2001 5,379,572 5,375,336 02/28/2001 5,406,064 5,393,077 03/31/2001 5,427,510 5,421,120 04/30/2001 5,425,337 5,431,418 05/31/2001 5,459,195 5,469,984 06/30/2001 5,498,887 5,491,316 07/31/2001 5,528,640 5,515,478 08/31/2001 5,582,997 5,548,570 09/30/2001 5,574,425 5,575,758
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date, compared to the Lehman Brothers 1-Year Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. PORTFOLIO INSIGHTS . The Short Duration Municipal Income Fund's Institutional Class shares had a return of 2.71%, versus 2.85% for the Lehman Brothers 1-Year Municipal Bond Index for the six-month period ended September 30, 2001. . Shorter-term municipal yields fell by up to 0.90% in reaction to substantial Fed easing, leading to a much steeper municipal yield curve. . The Fund's duration was 1.9 years at September 30, 2001 versus 1.4 years for the benchmark. . The Fund maintained an above-benchmark duration for the half-year period ended September 30, which was positive for performance as municipal yields decreased for all maturities. . Targeting a more extended maturity profile, combining longer and shorter-than-benchmark maturities, lowered relative returns as short-term yields fell the most. . Generating SEC yields above the benchmark yields improved total returns. . Holding municipal inflation-indexed bonds boosted total returns due to tax-exempt inflation capture and price appreciation. . Issue selection in other revenue and healthcare bonds improved total returns due to better-than-sector price appreciation. . Limited holdings of transportation issues, such as airport bonds, whose revenue sources were affected adversely by the Attack of September 11, lowered returns as investors sought higher credit premiums from these issues. . The average credit quality of the Fund was AA with no non-investment-grade bonds at September 30, 2001. . The Fund's SEC yield was 3.04%, or a tax-adjusted 4.99% with a 39.1% federal tax rate, at September 30, 2001. 28 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO California Intermediate Municipal Bond Fund FUND CHARACTERISTICS OBJECTIVE: Seeks high current income exempt from federal and California income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate maturity municipal securities (exempt from federal and California income tax). DURATION: 5.5 years FUND INCEPTION DATE: Institutional Class: 8/31/1999 Administrative Class: 9/07/1999 TOTAL NET ASSETS: $101.2 million PORTFOLIO MANAGER: Mark V. McCray TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* California Intermediate Municipal Bond Fund Institutional Class 3.90% 9.80% 8.50% California Intermediate Municipal Bond Fund Administrative Class 3.78% 9.56% 8.19% Lehman Brothers Intermediate California Insured Municipal Bond Index 3.71% 8.83% -- Lipper California Intermediate Municipal Debt Fund Average 3.28% 8.32% --
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 99.6% Other 0.4% QUALITY BREAKDOWN* AAA 55.5% AA 18.0% A 6.6% BBB 12.6% BB 7.3% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [GRAPH]
Lehman Brothers Intermed. California California Intermed. Insured Municipal Month Municipal Bond Fund Bond Index ===== ==================== ==================== 08/31/1999 5,000,000 5,000,000 09/30/1999 5,035,313 5,031,999 10/31/1999 4,998,038 4,998,789 11/30/1999 5,040,593 5,039,779 12/31/1999 5,018,422 4,993,413 01/31/2000 5,034,390 5,021,873 02/29/2000 5,066,955 5,049,494 03/31/2000 5,158,118 5,123,722 04/30/2000 5,145,459 5,084,783 05/31/2000 5,170,144 5,098,512 06/30/2000 5,268,173 5,213,226 07/31/2000 5,337,733 5,284,647 08/31/2000 5,414,917 5,367,088 09/30/2000 5,398,442 5,336,498 10/31/2000 5,433,154 5,367,982 11/30/2000 5,459,904 5,392,140 12/31/2000 5,550,991 5,478,411 01/31/2001 5,641,724 5,575,925 02/28/2001 5,650,896 5,574,812 03/31/2001 5,704,668 5,599,899 04/30/2001 5,613,264 5,497,978 05/31/2001 5,710,997 5,593,644 06/30/2001 5,745,338 5,626,645 07/31/2001 5,815,154 5,718,923 08/31/2001 5,932,622 5,824,149 09/30/2001 5,927,320 5,807,839
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date, compared to the Lehman Brothers Intermediate California Insured Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. The performance of the Administrative Class reflects the payment of a service fee in an amount not to exceed 0.25% on an annualized basis. The Administrative Class commenced operations on 9/07/1999. PORTFOLIO INSIGHTS . Institutional Class shares of the California Intermediate Municipal Bond Fund had a total return of 3.90%, versus 3.71% for the Lehman Brothers Intermediate CA Insured Municipal Bond Index for the half-year period ended September 30, 2001. . The California yield curve steepened substantially as shorter-term yields declined by as much as 0.75% in response to Fed easing while long-term CA yields dropped by only 0.10% or less due to a potential supply overhang. . The Fund's option-adjusted duration was 5.5 years at September 30, 2001, nearly identical to that of the benchmark. . The Fund had an above-benchmark duration throughout the half-year period, adding to returns as CA municipal yields fell across all maturities. . Targeting a broader-than-benchmark maturity profile, combining shorter-term and longer-maturity holdings, lowered relative returns as longer-term yields fell less than intermediate maturities. . Allocations to high quality territorial bonds, also qualifying for CA state income tax exemption, raised relative performance as these bonds outperformed the CA market. . De-emphasizing uninsured CA state general obligation bonds and CA utility debt negatively impacted by the general rise in CA electricity costs contributed positively to relative performance. . Issue selection involving insured CA bonds boosted account performance. . The Fund's SEC yield after fees was 3.41%, or a tax-adjusted 6.17% at September 30, 2001. 9.30.01 | PIMCO Funds Semi-Annual Report 29 PIMCO California Municipal Bond Fund FUND CHARACTERISTICS OBJECTIVE: Seeks high current income exempt from federal and California income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate to long-term maturity municipal securities (exempt from federal and California income tax). DURATION: 7.0 years FUND INCEPTION DATE: Institutional Class: 5/16/2000 TOTAL NET ASSETS: $15.2 million PORTFOLIO MANAGER: Mark V. McCray TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* California Municipal Bond Fund Institutional Class 4.98% 11.65% 12.85% Lehman California Insured Municipal Index 3.72% 8.52% -- Lipper California Municipal Debt Fund Average 3.46% 9.26% --
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 98.5% Other 1.5% QUALITY BREAKDOWN* AAA 50.8% AA 34.0% A 3.5% BBB 6.8% BB 4.9% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman California California Municipal Insured Municipal Month Bond Fund Index ===== ==================== ================= 05/31/2000 5,000,000 5,000,000 06/30/2000 5,104,932 5,160,502 07/31/2000 5,176,634 5,237,387 08/31/2000 5,249,866 5,357,327 09/30/2000 5,237,446 5,328,931 10/31/2000 5,268,264 5,289,385 11/30/2000 5,299,674 5,331,171 12/31/2000 5,409,493 5,469,785 01/31/2001 5,493,367 5,521,198 02/28/2001 5,532,919 5,530,585 03/31/2001 5,569,930 5,575,380 04/30/2001 5,428,431 5,469,450 05/31/2001 5,560,449 5,550,398 06/30/2001 5,611,962 5,574,820 07/31/2001 5,734,783 5,669,034 08/31/2001 5,844,422 5,813,027 09/30/2001 5,847,451 5,782,797
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 6/01/2000, the first full month following the Fund's Institutional Class inception on 5/16/2000, compared to the Lehman California Insured Municipal Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. PORTFOLIO INSIGHTS . Institutional Class shares of the California Municipal Bond Fund returned 4.98%, versus 3.72% for the Lehman CA Insured Municipal Index for the six-month period ended September 30, 2001. . Insured CA yields fell by up to 0.10% more than uninsured CA yields as investors displayed concerns over future debt issuance by the State and the Department of Water Resources to fund past electricity purchases, future energy purchases and acquisitions of utility transmission networks. . The Fund's option-adjusted duration was 7.0 years at September 30, 2001 in contrast to 9.0 years for the benchmark. . The Fund generally maintained below-benchmark duration over the period from March 31 to September 30, which had the effect of lowering relative returns as CA municipal yields decreased. . De-emphasizing uninsured CA state general obligation bonds improved relative performance as investors reacted negatively to continuing energy purchases and less tax revenue collections due to a weakening economy. . Allocations to non-CA issues, some qualifying for CA income tax exemption, led to improved returns as these issues outperformed the CA market. . Selective longer-term strategies, hedging potentially higher credit premiums, resulted in improved returns. . The Fund's average credit quality was AA+ at September versus an A+ rating for uninsured CA state general obligation bonds. 30 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO New York Municipal Bond Fund FUND CHARACTERISTICS OBJECTIVE: Seeks high current income exempt from federal and New York income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate to long-term maturity municipal securities (exempt from federal and New York income tax). DURATION: 6.9 years FUND INCEPTION DATE: Institutional Class: 8/31/1999 TOTAL NET ASSETS: $5.0 million PORTFOLIO MANAGER: Mark V. McCray TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* New York Municipal Bond Fund Institutional Class 3.91% 11.65% 8.90% Lehman Brothers New York Insured Municipal Bond Index 3.09% 10.85% -- Lipper New York Intermediate Municipal Debt Fund Average 2.90% 9.74% --
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 98.3% Other 1.7% QUALITY BREAKDOWN* AAA 26.1% AA 15.4% A 15.4% BBB 43.1% * % of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Bros. NY NY Insured Month Muni. Bond Fund Municipal Bond Index ===== =============== ==================== 08/31/1999 5,000,000 5,000,000 09/30/1999 5,019,710 4,993,502 10/31/1999 4,980,249 4,924,089 11/30/1999 5,025,490 4,993,028 12/31/1999 5,006,999 4,941,600 01/31/2000 4,983,454 4,912,940 02/29/2000 5,015,826 4,986,631 03/31/2000 5,096,773 5,113,293 04/30/2000 5,067,630 5,064,206 05/31/2000 5,050,517 4,961,492 06/30/2000 5,174,063 5,122,742 07/31/2000 5,232,730 5,190,364 08/31/2000 5,340,170 5,282,232 09/30/2000 5,349,497 5,249,480 10/31/2000 5,415,568 5,316,149 11/30/2000 5,449,805 5,362,400 12/31/2000 5,558,734 5,530,244 01/31/2001 5,634,983 5,577,802 02/28/2001 5,675,787 5,582,822 03/31/2001 5,747,731 5,644,234 04/30/2001 5,703,523 5,588,921 05/31/2001 5,859,988 5,654,313 06/30/2001 5,907,799 5,686,540 07/31/2001 6,021,097 5,774,680 08/31/2001 6,177,243 5,871,693 09/30/2001 5,972,699 5,818,848
* Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that fund shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 8/31/1999, the Fund's Institutional Class inception date, compared to the Lehman Brothers New York Insured Municipal Bond Index, an unmanaged market index. Income may be subject to state and local taxes and (if applicable) the Alternative Minimum Tax. PORTFOLIO INSIGHTS . The New York Municipal Bond Fund had a total return of 3.91% for Institutional Class shares, versus 3.09% for the Lehman Brothers New York Insured Municipal Bond Index for the six months ended September 30, 2001. . The New York insured municipal yield steepened substantially as short-term yields dropped by up to 0.90% while longer-term yields moved downward by less than 0.10%. . The Fund's duration was 6.9 years, or 1.3 years under the benchmark, at September 30, 2001. . The Fund had an average duration below the benchmark during the fiscal first half, which lowered relative performance as New York municipal yields decreased across the yield curve. . Overweighting intermediate maturities raised total returns relative to the benchmark as intermediate yields decreased more than longer-term yields. . Hedging New York municipal yield risk enhanced returns as these hedges more than offset New York insured municipal returns. . Issue selection in revenue and healthcare bonds increased performance as such issues outperformed their respective sector total returns. . Transportation issues, specifically airport revenue bonds, decreased relative returns as the September 11th Attack caused loss of revenues and prompted investors to demand higher credit premiums. . The Fund's average credit quality at September 30, 2001 was A+, nearly equivalent to that for uninsured New York state general obligation bonds. . The SEC yield of the Fund was 4.13% at September 30, 2001, which translates into a tax-adjusted 7.28% for California residents with the highest federal and state tax brackets. 9.30.01 | PIMCO Funds Semi-Annual Report 31 Financial Highlights
Net Realized / Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income Total Return Fund Institutional Class 09/30/2001 * $ 10.52 $ 0.29 (a) $ 0.35 (a) $ 0.64 $ (0.29) $ 0.00 03/31/2001 9.96 0.67 (a) 0.56 (a) 1.23 (0.65) (0.02) 03/31/2000 10.36 0.63 (a) (0.40)(a) 0.23 (0.60) (0.03) 03/31/1999 10.62 0.63 (a) 0.16 (a) 0.79 (0.63) 0.00 03/31/1998 10.27 0.64 (a) 0.62 (a) 1.26 (0.62) (0.02) 03/31/1997 10.29 0.68 (0.02) 0.66 (0.66) (0.02) Administrative Class 09/30/2001 * 10.52 0.28 (a) 0.35 (a) 0.63 (0.28) 0.00 03/31/2001 9.96 0.64 (a) 0.56 (a) 1.20 (0.62) (0.02) 03/31/2000 10.36 0.61 (a) (0.41)(a) 0.20 (0.58) (0.02) 03/31/1999 10.62 0.61 (a) 0.16 (a) 0.77 (0.61) 0.00 03/31/1998 10.27 0.61 (a) 0.63 (a) 1.24 (0.60) (0.02) 03/31/1997 10.29 0.66 (a) (0.02)(a) 0.64 (0.64) (0.02) Total Return Fund II Institutional Class 09/30/2001 * $ 10.27 $ 0.27 (a) $ 0.42 (a) $ 0.69 $ (0.27) $ 0.00 03/31/2001 9.67 0.62 (a) 0.60 (a) 1.22 (0.61) (0.01) 03/31/2000 10.11 0.58 (a) (0.44)(a) 0.14 (0.58) 0.00 03/31/1999 10.26 0.59 (a) 0.17 (a) 0.76 (0.59) 0.00 03/31/1998 9.85 0.63 (a) 0.52 (a) 1.15 (0.60) (0.03) 03/31/1997 9.89 0.61 (0.02) 0.59 (0.62) (0.01) Administrative Class 09/30/2001 * 10.27 0.26 (a) 0.42 (a) 0.68 (0.26) 0.00 03/31/2001 9.67 0.59 (a) 0.60 (a) 1.19 (0.58) (0.01) 03/31/2000 10.11 0.55 (a) (0.44)(a) 0.11 (0.55) 0.00 03/31/1999 10.26 0.56 (a) 0.17 (a) 0.73 (0.56) 0.00 03/31/1998 9.85 0.60 (a) 0.52 (a) 1.12 (0.57) (0.03) 03/31/1997 9.89 0.59 (0.02) 0.57 (0.60) (0.01) Total Return Fund III Institutional Class 09/30/2001 * $ 9.19 $ 0.26 (a) $ 0.33 (a) $ 0.59 $ (0.26) $ 0.00 03/31/2001 8.74 0.57 (a) 0.45 (a) 1.02 (0.56) (0.01) 03/31/2000 9.27 0.55 (a) (0.53)(a) 0.02 (0.54) (0.01) 03/31/1999 9.55 0.57 (a) 0.20 (a) 0.77 (0.56) 0.00 03/31/1998 9.15 0.57 (a) 0.56 (a) 1.13 (0.54) (0.03) 03/31/1997 9.13 0.55 0.05 0.60 (0.55) (0.02) Administrative Class 09/30/2001 * 9.19 0.25 (a) 0.33 (a) 0.58 (0.25) 0.00 03/31/2001 8.74 0.55 (a) 0.45 (a) 1.00 (0.54) (0.01) 03/31/2000 9.27 0.54 (a) (0.54)(a) 0.00 (0.52) (0.01) 03/31/1999 9.55 0.55 (a) 0.20 (a) 0.75 (0.54) 0.00 04/11/1997 - 03/31/1998 9.12 0.54 (a) 0.58 (a) 1.12 (0.50) (0.03) Moderate Duration Fund Institutional Class 09/30/2001 * $ 10.00 $ 0.27 (a) $ 0.34 (a) $ 0.61 $ (0.27) $ 0.00 03/31/2001 9.52 0.64 (a) 0.47 (a) 1.11 (0.63) 0.00 03/31/2000 9.94 0.60 (a) (0.42)(a) 0.18 (0.58) (0.02) 03/31/1999 10.14 0.60 (a) 0.07 (a) 0.67 (0.60) 0.00 03/31/1998 9.83 0.38 (a) 0.56 (a) 0.94 (0.60) 0.00 12/31/1996 - 03/31/1997 10.00 0.15 (0.17) (0.02) (0.15) 0.00
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.43%. (c) Ratio of expenses to average net assets excluding interest expense is 0.68%. (d) Ratio of expenses to average net assets excluding interest expense is 0.74%. 32 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return 0f Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.87 6.22% $34,042,435 0.43%+ 5.51%+ 256% 0.00 0.00 0.00 (0.67) 10.52 12.80 31,746,629 0.49 (b) 6.57 450 0.00 0.00 0.00 (0.63) 9.96 2.33 24,900,321 0.54 (b) 6.25 223 (0.24) (0.18) 0.00 (1.05) 10.36 7.60 21,711,396 0.43 5.91 154 (0.27) 0.00 0.00 (0.91) 10.62 12.63 16,484,119 0.43 6.06 206 0.00 0.00 0.00 (0.68) 10.27 6.60 12,528,536 0.43 6.60 173 0.00 0.00 0.00 (0.28) 10.87 6.09 7,092,788 0.68+ 5.22+ 256 0.00 0.00 0.00 (0.64) 10.52 12.52 5,353,222 0.74 (c) 6.31 450 0.00 0.00 0.00 (0.60) 9.96 2.07 3,233,785 0.79 (c) 6.01 223 (0.24) (0.18) 0.00 (1.03) 10.36 7.33 1,972,984 0.68 5.52 154 (0.27) 0.00 0.00 (0.89) 10.62 12.36 481,730 0.68 5.74 206 0.00 0.00 0.00 (0.66) 10.27 6.34 151,194 0.68 6.35 173 $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.69 6.87% $ 1,697,892 0.50%+ 5.23%+ 258% 0.00 0.00 0.00 (0.62) 10.27 13.02 1,606,998 0.51 6.24 566 0.00 0.00 0.00 (0.58) 9.67 1.46 1,263,556 0.50 5.89 142 (0.18) (0.14) 0.00 (0.91) 10.11 7.46 986,690 0.50 5.65 213 (0.11) 0.00 0.00 (0.74) 10.26 11.99 574,587 0.50 6.15 361 0.00 0.00 0.00 (0.63) 9.85 6.15 478,451 0.50 6.38 293 0.00 0.00 0.00 (0.26) 10.69 6.74 94,178 0.75+ 4.95+ 258 0.00 0.00 0.00 (0.59) 10.27 12.74 77,183 0.76 (d) 6.00 566 0.00 0.00 0.00 (0.55) 9.67 1.20 56,755 0.75 5.56 142 (0.18) (0.14) 0.00 (0.88) 10.11 7.19 54,736 0.75 5.33 213 (0.11) 0.00 0.00 (0.71) 10.26 11.71 15,172 0.75 5.86 361 0.00 0.00 0.00 (0.61) 9.85 5.88 5,304 0.75 6.13 293 $ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 9.52 6.54% $ 832,711 0.50%+ 5.58%+ 230% 0.00 0.00 0.00 (0.57) 9.19 12.15 868,757 0.50 6.46 581 0.00 0.00 0.00 (0.55) 8.74 0.33 635,592 0.50 6.21 186 (0.24) (0.25) 0.00 (1.05) 9.27 8.20 488,243 0.50 5.85 216 (0.16) 0.00 0.00 (0.73) 9.55 12.62 365,249 0.51 (e) 5.99 183 0.00 (0.01) 0.00 (0.58) 9.15 6.76 193,297 0.51 (e) 6.21 90 0.00 0.00 0.00 (0.25) 9.52 6.40 10,355 0.75+ 5.34+ 230 0.00 0.00 0.00 (0.55) 9.19 11.83 11,223 0.75 6.12 581 0.00 0.00 0.00 (0.53) 8.74 0.08 10,144 0.75 6.11 186 (0.24) (0.25) 0.00 (1.03) 9.27 7.93 1,867 0.75 5.59 216 (0.16) 0.00 0.00 (0.69) 9.55 12.46 178 0.76+(d) 5.85+ 183 $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.34 6.23% $ 638,149 0.45%+ 5.36%+ 228% 0.00 0.00 0.00 (0.63) 10.00 12.09 576,911 0.45 6.54 377 0.00 0.00 0.00 (0.60) 9.52 1.86 387,126 0.47 (f) 6.16 129 (0.11) (0.16) 0.00 (0.87) 9.94 6.70 317,400 0.45 5.94 169 (0.03) 0.00 0.00 (0.63) 10.14 9.80 239,152 0.45 3.75 96 0.00 0.00 0.00 (0.15) 9.83 (0.25) 13,458 0.44+ 6.01+ 49
(e) Ratio of expenses to average net assets excluding interest expense is 0.50%. (f) Ratio of expenses to average net assets excluding interest expense is 0.45%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 33 Financial Highlights (Cont.)
Net Realized / Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income Low Duration Fund Institutional Class 09/30/2001 * $ 10.03 $ 0.30 (a) $ 0.17 (a) $ 0.47 $ (0.30) $ 0.00 03/31/2001 9.81 0.68 (a) 0.21 (a) 0.89 (0.65) (0.02) 03/31/2000 10.10 0.64 (a) (0.29)(a) 0.35 (0.63) (0.01) 03/31/1999 10.18 0.65 (a) (0.02)(a) 0.63 (0.65) 0.00 03/31/1998 9.98 0.65 (a) 0.23 (a) 0.88 (0.63) (0.02) 03/31/1997 9.95 0.64 0.03 0.67 (0.63) (0.01) Administrative Class 09/30/2001 * 10.03 0.29 (a) 0.17 (a) 0.46 (0.29) 0.00 03/31/2001 9.81 0.62 (a) 0.25 (a) 0.87 (0.63) (0.02) 03/31/2000 10.10 0.61 (a) (0.29)(a) 0.32 (0.60) (0.01) 03/31/1999 10.18 0.62 (a) (0.02)(a) 0.60 (0.62) 0.00 03/31/1998 9.98 0.63 (a) 0.22 (a) 0.85 (0.60) (0.02) 03/31/1997 9.95 0.62 0.03 0.65 (0.60) (0.02) Low Duration Fund II Institutional Class 09/30/2001 * $ 9.98 $ 0.29 (a) $ 0.23 (a) $ 0.52 $ (0.29) $ 0.00 03/31/2001 9.69 0.62 (a) 0.29 (a) 0.91 (0.61) (0.01) 03/31/2000 9.95 0.58 (a) (0.27)(a) 0.31 (0.57) 0.00 03/31/1999 10.00 0.58 (a) 0.00 (a) 0.58 (0.58) 0.00 03/31/1998 9.81 0.22 (a) 0.59 (a) 0.81 (0.56) (0.04) 03/31/1997 9.82 0.62 (0.03) 0.59 (0.58) (0.02) Administrative Class 09/30/2001 * 9.98 0.28 (a) 0.23 (a) 0.51 (0.28) 0.00 03/31/2001 9.69 0.59 (a) 0.30 (a) 0.89 (0.59) (0.01) 03/31/2000 9.95 0.52 (a) (0.23)(a) 0.29 (0.55) 0.00 03/31/1999 10.00 0.56 (a) 0.00 (a) 0.56 (0.56) 0.00 02/02/1998 - 03/31/1998 10.03 0.14 (a) (0.08)(a) 0.06 (0.08) (0.01) Low Duration Fund III Institutional Class 09/30/2001 * $ 9.87 $ 0.27 (a) $ 0.22 (a) $ 0.49 $ (0.27) $ 0.00 03/31/2001 9.66 0.64 (a) 0.21 (a) 0.85 (0.63) (0.01) 03/31/2000 9.98 0.61 (a) (0.32)(a) 0.29 (0.61) 0.00 03/31/1999 10.05 0.60 (a) 0.00 (a) 0.60 (0.60) 0.00 03/31/1998 9.91 0.53 (a) 0.24 (a) 0.77 (0.60) 0.00 12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15) 0.00 Administrative Class 09/30/2001 * 9.87 0.26 (a) 0.22 (a) 0.48 (0.26) 0.00 03/31/2001 9.66 0.63 (a) 0.20 (a) 0.83 (0.61) (0.01) 03/31/2000 9.98 0.57 (a) (0.31)(a) 0.26 (0.58) 0.00 03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02) 0.00 Short-Term Fund Institutional Class 09/30/2001 * $ 10.03 $ 0.25 (a) $ 0.04 (a) $ 0.29 $ (0.26) $ 0.00 03/31/2001 9.95 0.64 (a) 0.10 (a) 0.74 (0.64) 0.00 03/31/2000 10.03 0.59 (a) (0.08)(a) 0.51 (0.59) 0.00 03/31/1999 10.06 0.57 (a) (0.02)(a) 0.55 (0.57) 0.00 03/31/1998 10.00 0.62 (a) 0.06 (a) 0.68 (0.60) (0.01) 03/31/1997 9.92 0.61 0.08 0.69 (0.59) (0.02) Administrative Class 09/30/2001 * 10.03 0.20 (a) 0.08 (a) 0.28 (0.25) 0.00 03/31/2001 9.95 0.60 (a) 0.12 (a) 0.72 (0.62) 0.00 03/31/2000 10.03 0.57 (a) (0.09)(a) 0.48 (0.56) 0.00 03/31/1999 10.06 0.54 (a) (0.02)(a) 0.52 (0.54) 0.00 03/31/1998 10.00 0.59 (a) 0.07 (a) 0.66 (0.58) (0.01) 03/31/1997 9.92 0.58 0.08 0.66 (0.57) (0.01)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.43%. 34 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return Of Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.30) $ 10.20 4.78% $4,073,469 0.43%+ 5.96%+ 269% 0.00 0.00 0.00 (0.67) 10.03 9.44 3,950,592 0.49 (b) 6.86 348 0.00 0.00 0.00 (0.64) 9.81 3.56 3,440,455 0.51 (b) 6.40 82 (0.01) (0.05) 0.00 (0.71) 10.10 6.35 3,367,438 0.43 6.36 245 (0.03) 0.00 0.00 (0.68) 10.18 9.00 2,759,531 0.43 6.39 309 0.00 0.00 0.00 (0.64) 9.98 6.97 2,797,001 0.43 6.46 240 0.00 0.00 0.00 (0.29) 10.20 4.65 254,039 0.68+ 5.64+ 269 0.00 0.00 0.00 (0.65) 10.03 9.17 151,774 0.74 (c) 6.31 348 0.00 0.00 0.00 (0.61) 9.81 3.30 118,874 0.75 (c) 6.13 82 (0.01) (0.05) 0.00 (0.68) 10.10 6.09 128,212 0.68 6.09 245 (0.03) 0.00 0.00 (0.65) 10.18 8.73 46,186 0.68 6.16 309 0.00 0.00 0.00 (0.62) 9.98 6.71 23,564 0.68 6.21 240 $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.21 5.27% $ 469,506 0.50%+ 5.71%+ 279% 0.00 0.00 0.00 (0.62) 9.98 9.74 636,542 0.50 6.37 382 0.00 0.00 0.00 (0.57) 9.69 3.28 467,997 0.57 (f) 5.88 117 0.00 (0.05) 0.00 (0.63) 9.95 5.89 414,463 0.57 (f) 5.79 322 (0.02) 0.00 0.00 (0.62) 10.00 8.29 401,204 0.50 5.98 335 0.00 0.00 0.00 (0.60) 9.81 6.33 339,375 0.51 6.31 237 0.00 0.00 0.00 (0.28) 10.21 5.14 60 0.75+ 5.49+ 279 0.00 0.00 0.00 (0.60) 9.98 9.50 82 0.75 6.06 382 0.00 0.00 0.00 (0.55) 9.69 3.01 71 1.17 (g) 5.30 117 0.00 (0.05) 0.00 (0.61) 9.95 5.63 22,594 0.85 (g) 5.47 322 0.00 0.00 0.00 (0.09) 10.00 0.58 56 0.75+ 8.53+ 335 $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.09 5.07% $ 43,229 0.50%+ 5.46%+ 270% 0.00 0.00 0.00 (0.64) 9.87 9.06 42,924 0.50 6.53 419 0.00 0.00 0.00 (0.61) 9.66 2.98 32,349 0.55 (f) 6.20 87 0.00 (0.07) 0.00 (0.67) 9.98 6.10 26,549 0.50 5.94 167 (0.03) 0.00 0.00 (0.63) 10.05 7.93 23,896 0.50 5.98 307 0.00 0.00 0.00 (0.15) 9.91 0.58 10,056 0.49+ 6.00+ 155 0.00 0.00 0.00 (0.26) 10.09 4.93 12 0.75+ 5.18+ 270 0.00 0.00 0.00 (0.62) 9.87 8.82 11 0.75 6.49 419 0.00 0.00 0.00 (0.58) 9.66 2.71 10 0.82 (g) 5.79 87 0.00 0.00 0.00 (0.02) 9.98 0.15 6 0.75+ 6.42+ 167 $ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 10.06 2.91% $ 782,755 0.71%+(d) 4.97%+ 77% 0.00 (0.02) 0.00 (0.66) 10.03 7.65 524,693 1.01 (d) 6.42 121 0.00 0.00 0.00 (0.59) 9.95 5.19 589,203 0.64 (d) 5.88 38 0.00 (0.01) 0.00 (0.58) 10.03 5.63 495,752 0.45 5.66 47 (0.01) 0.00 0.00 (0.62) 10.06 7.06 172,846 0.45 6.12 48 0.00 0.00 0.00 (0.61) 10.00 7.12 156,515 0.47 (d) 6.12 77 0.00 0.00 0.00 (0.25) 10.06 2.78 56,357 0.86+(e) 3.92+ 77 0.00 (0.02) 0.00 (0.64) 10.03 7.40 4,610 1.25 (e) 6.01 121 0.00 0.00 0.00 (0.56) 9.95 4.91 15,137 0.89 (e) 5.67 38 0.00 (0.01) 0.00 (0.55) 10.03 5.39 3,769 0.70 5.37 47 (0.01) 0.00 0.00 (0.60) 10.06 6.80 5,147 0.70 5.86 48 0.00 0.00 0.00 (0.58) 10.00 6.86 4,513 0.72 (e) 5.87 77
(c) Ratio of expenses to average net assets excluding interest expense is 0.68%. (d) Ratio of expenses to average net assets excluding interest expense is 0.45%. (e) Ratio of expenses to average net assets excluding interest expense is 0.70%. (f) Ratio of expenses to average net assets excluding interest expense is 0.50%. (g) Ratio of expenses to average net assets excluding interest expense is 0.75%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 35 Financial Highlights (Cont.)
Net Realized / Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income Money Market Fund Institutional Class 09/30/2001 * $ 1.00 $ 0.02 (a) $ 0.00 (a) $ 0.02 $ (0.02) $ 0.00 03/31/2001 1.00 0.06 (a) 0.00 (a) 0.06 (0.06) 0.00 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00 Administrative Class 09/30/2001 * 1.00 0.02 (a) 0.00 (a) 0.02 (0.02) 0.00 03/31/2001 1.00 0.06 (a) 0.00 (a) 0.06 (0.06) 0.00 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00 03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00 Long-Term U.S. Government Fund Institutional Class 09/30/2001 * $ 10.65 $ 0.34 (a) $ 0.27 (a) $ 0.61 $ (0.34) $ 0.00 03/31/2001 9.79 0.62 (a) 0.85 (a) 1.47 (0.61) 0.00 03/31/2000 10.30 0.61 (a) (0.50)(a) 0.11 (0.62) 0.00 03/31/1999 10.57 0.63 (a) 0.20 (a) 0.83 (0.64) 0.00 03/31/1998 9.39 0.52 (a) 1.34 (a) 1.86 (0.62) 0.00 03/31/1997 9.96 0.79 (0.35) 0.44 (0.68) 0.00 Administrative Class 09/30/2001 * 10.65 0.32 (a) 0.28 (a) 0.60 (0.33) 0.00 03/31/2001 9.79 0.40 (a) 1.05 (a) 1.45 (0.59) 0.00 03/31/2000 10.30 0.57 (a) (0.49)(a) (0.08) (0.59) 0.00 03/31/1999 10.57 0.60 (a) 0.20 (a) 0.80 (0.61) 0.00 09/23/1997 - 03/31/1998 10.17 0.26 (a) 0.51 (a) 0.77 (0.31) 0.00 Investment Grade Corporate Bond Fund Institutional Class 09/30/2001 * $ 10.68 $ 0.37 (a) $ 0.06 (a) $ 0.43 $ (0.38) $ 0.00 04/28/2000 - 03/31/2001 10.00 0.72 (a) 0.72 (a) 1.44 (0.72) 0.00 High Yield Fund Institutional Class 09/30/2001 * $ 9.88 $ 0.41 (a) $ (0.68)(a) $ (0.27) $ (0.41) $ 0.00 03/31/2001 10.22 0.90 (a) (0.33)(a) 0.57 (0.90) (0.01) 03/31/2000 11.23 0.94 (a) (1.01)(a) (0.07) (0.93) (0.01) 03/31/1999 11.66 0.95 (a) (0.43)(a) 0.52 (0.94) (0.01) 03/31/1998 11.10 0.98 (a) 0.65 (a) 1.63 (0.98) 0.00 03/31/1997 10.94 0.92 0.34 1.26 (0.97) 0.00 Administrative Class 09/30/2001 * 9.88 0.40 (a) (0.68)(a) (0.28) (0.40) 0.00 03/31/2001 10.22 0.88 (a) (0.33)(a) 0.55 (0.88) (0.01) 03/31/2000 11.23 0.91 (a) (1.01)(a) (0.10) (0.90) (0.01) 03/31/1999 11.66 0.93 (a) (0.43)(a) 0.50 (0.92) (0.01) 03/31/1998 11.10 0.95 (a) 0.65 (a) 1.60 (0.95) 0.00 03/31/1997 10.94 0.85 (a) 0.38 (a) 1.23 (0.94) 0.00
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.50%. (c) Ratio of expenses to average net assets excluding interest expense is 0.60%. (d) Ratio of expenses to average net assets excluding interest expense is 0.75%. (e) Ratio of expenses to average net assets excluding interest expense is 0.35%. 36 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return 0f Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 1.00 1.94% $ 169,906 0.35%+ 3.78%+ N/A 0.00 0.00 0.00 (0.06) 1.00 6.20 135,990 0.35 6.02 N/A 0.00 0.00 0.00 (0.05) 1.00 5.21 305,016 0.35 5.04 N/A 0.00 0.00 0.00 (0.05) 1.00 5.14 322,290 0.35 4.85 N/A 0.00 0.00 0.00 (0.05) 1.00 5.40 55,335 0.35 5.29 N/A 0.00 0.00 0.00 (0.05) 1.00 5.19 23,497 0.40 (e) 5.08 N/A 0.00 0.00 0.00 (0.02) 1.00 1.82 18,606 0.60+ 3.35+ N/A 0.00 0.00 0.00 (0.06) 1.00 5.94 7,165 0.60 5.75 N/A 0.00 0.00 0.00 (0.05) 1.00 4.96 9,791 0.60 4.79 N/A 0.00 0.00 0.00 (0.05) 1.00 4.93 9,273 0.60 4.44 N/A 0.00 0.00 0.00 (0.05) 1.00 5.12 749 0.60 5.04 N/A 0.00 0.00 0.00 (0.05) 1.00 4.94 12 0.66 (c) 4.83 N/A $ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 10.92 5.89% $ 255,690 0.51%+(b) 6.39%+ 320% 0.00 0.00 0.00 (0.61) 10.65 15.52 234,088 0.56 (b) 6.13 1046 0.00 0.00 0.00 (0.62) 9.79 1.26 217,410 0.57 (b) 6.29 320 0.00 (0.46) 0.00 (1.10) 10.30 7.76 170,847 0.89 (b) 5.83 364 (0.06) 0.00 0.00 (0.68) 10.57 20.23 48,547 0.51 (b) 4.88 177 0.00 (0.33) 0.00 (1.01) 9.39 4.48 19,995 0.63 (b) 7.63 402 0.00 0.00 0.00 (0.33) 10.92 5.76 87,863 0.77+ 6.10+ 320 0.00 0.00 0.00 (0.59) 10.65 15.24 77,435 0.80 (d) 3.91 1046 0.00 0.00 0.00 (0.59) 9.79 1.01 39,808 0.82 (d) 5.82 320 0.00 (0.46) 0.00 (1.07) 10.30 7.46 11,383 1.15 (d) 5.58 364 (0.06) 0.00 0.00 (0.37) 10.57 7.60 4,957 0.76+(d) 4.87+ 177 $ 0.00 $ 0.00 $ 0.00 $ (0.38) $ 10.73 4.06% $ 5,982 0.50%+ 7.00%+ 185% (0.04) 0.00 0.00 (0.76) 10.68 15.00 5,751 0.50+ 7.54+ 253 $ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 9.20 (2.82)% $1,386,032 0.50%+ 8.45%+ 41% 0.00 0.00 0.00 (0.91) 9.88 5.85 1,182,954 0.50 8.91 53 0.00 0.00 0.00 (0.94) 10.22 (0.74) 1,960,171 0.50 8.64 39 0.00 0.00 0.00 (0.95) 11.23 4.73 2,162,868 0.50 8.41 39 0.00 (0.09) 0.00 (1.07) 11.66 15.26 1,628,930 0.50 8.52 37 (0.13) 0.00 0.00 (1.10) 11.10 12.04 744,498 0.50 8.77 67 0.00 0.00 0.00 (0.40) 9.20 (2.94) 486,539 0.75+ 8.18+ 41 0.00 0.00 0.00 (0.89) 9.88 5.59 462,899 0.75 8.79 53 0.00 0.00 0.00 (0.91) 10.22 (0.99) 354,296 0.75 8.40 39 0.00 0.00 0.00 (0.93) 11.23 4.49 238,792 0.75 8.17 39 0.00 (0.09) 0.00 (1.04) 11.66 14.98 69,937 0.75 8.21 37 (0.13) 0.00 0.00 (1.07) 11.10 11.76 10,428 0.76 (d) 8.48 67
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 37 Financial Highlights (Cont.)
Net Realized / Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income Total Return Mortgage Fund Institutional Class 09/30/2001 * $ 10.42 $ 0.26 (a) $ 0.36 (a) $ 0.62 $ (0.26) $ 0.00 03/31/2001 9.97 0.63 (a) 0.63 (a) 1.26 (0.63) 0.00 03/31/2000 10.19 0.59 (a) (0.21)(a) 0.38 (0.59) 0.00 03/31/1999 10.24 0.58 (a) 0.05 (a) 0.63 (0.58) 0.00 07/31/1997 - 03/31/1998 10.00 0.41 (a) 0.30 (a) 0.71 (0.46) 0.00 GNMA Fund Institutional Class 09/30/2001 * $ 10.44 $ 0.33 (a) $ 0.36 (a) $ 0.69 $ (0.34) $ 0.00 03/31/2001 9.89 0.63 (a) 0.60 (a) 1.23 (0.63) 0.00 03/31/2000 10.01 0.62 (a) (0.12)(a) 0.50 (0.62) 0.00 03/31/1999 10.13 0.64 (a) (0.08)(a) 0.56 (0.64) 0.00 07/31/1997 - 03/31/1998 10.00 0.43 (a) 0.14 (a) 0.57 (0.42) 0.00 Real Return Fund Institutional Class 09/30/2001 * $ 10.40 $ 0.32 (a) $ 0.15 (a) $ 0.47 $ (0.36) $ 0.00 03/31/2001 9.92 0.76 (a) 0.60 (a) 1.36 (0.80) 0.00 03/31/2000 9.83 0.68 (a) 0.11 (a) 0.79 (0.68) 0.00 03/31/1999 9.77 0.51 (a) 0.10 (a) 0.61 (0.48) (0.07) 03/31/1998 9.93 0.44 (a) 0.05 (a) 0.49 (0.48) (0.03) 01/29/1997 - 03/31/1997 9.92 0.11 (0.02) 0.09 (0.08) 0.00 Administrative Class 09/30/2001 * 10.40 0.32 (a) 0.13 (a) 0.45 (0.34) 0.00 04/28/2000 - 03/31/2001 9.95 0.62 (a) 0.58 (a) 1.20 (0.67) 0.00 Foreign Bond Fund Institutional Class 09/30/2001 * $ 10.32 $ 0.25 (a) $ 0.11 (a) $ 0.36 $ (0.25) $ 0.00 03/31/2001 10.03 0.58 (a) 0.51 (a) 1.09 (0.59) 0.00 03/31/2000 10.63 0.64 (a) (0.45)(a) 0.19 (0.64) 0.00 03/31/1999 10.74 0.58 (a) 0.24 (a) 0.82 (0.58) 0.00 03/31/1998 10.41 0.66 (a) 0.61 (a) 1.27 (0.63) 0.00 03/31/1997 10.50 0.80 1.00 1.80 (0.40) 0.00 Administrative Class 09/30/2001 * 10.32 0.24 (a) 0.11 (a) 0.35 (0.24) 0.00 03/31/2001 10.03 0.55 (a) 0.51 (a) 1.06 (0.56) 0.00 03/31/2000 10.63 0.61 (a) (0.45)(a) 0.16 (0.61) 0.00 03/31/1999 10.74 0.56 (a) 0.24 (a) 0.80 (0.56) 0.00 03/31/1998 10.41 0.63 (a) 0.61 (a) 1.24 (0.60) 0.00 01/28/1997 - 03/31/1997 10.54 0.59 (0.67) (0.08) (0.05) 0.00 Global Bond Fund Institutional Class 09/30/2001 * $ 8.45 $ 0.22 (a) $ 0.32 (a) $ 0.54 $ (0.22) $ 0.00 03/31/2001 9.01 0.48 (a) (0.56)(a) (0.08) (0.06) 0.00 03/31/2000 9.76 0.57 (a) (0.75)(a) (0.18) (0.46) (0.06) 03/31/1999 9.70 0.52 (a) 0.14 (a) 0.66 (0.36) (0.16) 03/31/1998 9.86 0.66 (a) (0.10)(a) 0.56 (0.53) 0.00 03/31/1997 10.05 0.70 (0.01) 0.69 (0.44) 0.00 Administrative Class 09/30/2001 * 8.45 0.20 (a) 0.33 (a) 0.53 (0.21) 0.00 03/31/2001 9.01 0.46 (a) (0.56)(a) (0.10) (0.06) 0.00 03/31/2000 9.76 0.55 (a) (0.75)(a) (0.20) (0.45) (0.05) 03/31/1999 9.70 0.51 (a) 0.14 (a) 0.65 (0.35) (0.16) 03/31/1998 9.86 0.59 (a) (0.05)(a) 0.54 (0.51) 0.00 08/01/1996 - 03/31/1997 10.28 0.51 (0.23) 0.28 (0.26) 0.00
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. 38 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return of Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.26) $ 10.78 6.03% $ 18,807 0.50%+ 4.90%+ 644% (0.18) 0.00 0.00 (0.81) 10.42 13.14 20,314 0.50 6.22 848 0.00 (0.01) 0.00 (0.60) 9.97 3.91 3,971 0.50 5.94 1476 (0.03) (0.07) 0.00 (0.68) 10.19 6.27 4,128 0.50 5.66 158 (0.01) 0.00 0.00 (0.47) 10.24 6.69 3,588 0.52+(c) 6.07+ 593 $ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 10.79 6.77% $ 27,431 0.51%+(c) 6.20%+ 587% (0.05) 0.00 0.00 (0.68) 10.44 12.96 9,963 0.50 6.29 808 0.00 0.00 0.00 (0.62) 9.89 5.16 4,308 1.60 (b) 6.23 952 0.00 (0.04) 0.00 (0.68) 10.01 5.71 4,119 2.37 (b) 6.35 198 (0.02) 0.00 0.00 (0.44) 10.13 5.86 3,748 1.81+(c) 6.30+ 486 $ 0.00 $ 0.00 $ 0.00 $ (0.36) $ 10.51 4.55% $813,186 0.50%+ 6.15%+ 29% (0.08) 0.00 0.00 (0.88) 10.40 14.44 557,849 0.54 (c) 7.57 202 (0.02) 0.00 0.00 (0.70) 9.92 8.37 207,826 0.53 (c) 6.91 253 0.00 0.00 0.00 (0.55) 9.83 6.41 15,588 0.52 (c) 5.18 438 (0.14) 0.00 0.00 (0.65) 9.77 4.70 5,526 0.52 (c) 4.46 967 0.00 0.00 0.00 (0.08) 9.93 0.09 5,638 0.51+(c) 6.54+ 160 0.00 0.00 0.00 (0.34) 10.51 4.40 67,084 0.75+ 6.11+ 29 (0.08) 0.00 0.00 (0.75) 10.40 12.70 51,359 0.80+(d) 6.61+ 202 $ 0.00 $ 0.00 $ 0.00 $ (0.25) $ 10.43 3.57% $524,998 0.51%+(c) 4.82%+ 168% 0.00 (0.21) 0.00 (0.80) 10.32 11.34 482,480 0.54 (c) 5.78 417 (0.15) 0.00 0.00 (0.79) 10.03 1.96 421,831 0.69 (c) 6.20 330 (0.10) (0.25) 0.00 (0.93) 10.63 7.92 530,325 0.50 5.39 376 (0.31) 0.00 0.00 (0.94) 10.74 12.64 392,198 0.50 6.32 280 (1.49) 0.00 0.00 (1.89) 10.41 17.69 234,880 0.50 7.88 984 0.00 0.00 0.00 (0.24) 10.43 3.44 17,671 0.75+ 4.58+ 168 0.00 (0.21) 0.00 (0.77) 10.32 11.06 17,056 0.78 (d) 5.36 417 (0.15) 0.00 0.00 (0.76) 10.03 1.70 4,824 0.97 (d) 6.01 330 (0.10) (0.25) 0.00 (0.91) 10.63 7.65 2,096 0.75 5.13 376 (0.31) 0.00 0.00 (0.91) 10.74 12.34 315 0.75 6.07 280 0.00 0.00 0.00 (0.05) 10.41 (0.72) 30 0.79+(d) 7.63+ 984 $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 8.77 6.49% $327,841 0.55%+ 5.09%+ 210% 0.00 0.00 (0.42) (0.48) 8.45 (0.83) 307,686 0.57 (e) 5.58 416 0.00 0.00 (0.05) (0.57) 9.01 (1.81) 271,538 0.71 (e) 6.12 301 (0.08) 0.00 0.00 (0.60) 9.76 6.90 266,984 0.55 5.35 143 0.00 (0.19) 0.00 (0.72) 9.70 5.85 256,274 0.55 6.64 389 (0.44) 0.00 0.00 (0.88) 9.86 6.78 215,631 0.56 (e) 7.51 911 0.00 0.00 0.00 (0.21) 8.77 6.36 3,015 0.80+ 4.79+ 210 0.00 0.00 (0.40) (0.46) 8.45 (1.07) 2,142 0.81 (f) 5.33 416 0.00 0.00 (0.05) (0.55) 9.01 (2.05) 2,238 0.92 (f) 5.91 301 (0.08) 0.00 0.00 (0.59) 9.76 6.78 1,326 0.80 5.21 143 0.00 (0.19) 0.00 (0.70) 9.70 5.57 1,548 0.80 6.39 389 (0.44) 0.00 0.00 (0.70) 9.86 2.97 346 0.78+ 5.66+ 911
(b) Ratio of expenses to average net assets excluding interest expense is 0.51%. (c) Ratio of expenses to average net assets excluding interest expense is 0.50%. (d) Ratio of expenses to average net assets excluding interest expense is 0.75%. (e) Ratio of expenses to average net assets excluding interest expense is 0.55%. (f) Ratio of expenses to average net assets excluding interest expense is 0.80%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 39 Financial Highlights (Cont.)
Net Realized/ Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income Global Bond Fund II Institutional Class 09/30/2001 * $ 9.61 $ 0.23 (a) $ 0.16 (a) $ 0.39 $ (0.23) $ 0.00 03/31/2001 9.41 0.55 (a) 0.51 (a) 1.06 (0.56) 0.00 03/31/2000 9.89 0.56 (a) (0.46)(a) 0.10 (0.55) (0.01) 03/31/1999 9.92 0.52 (a) 0.06 (a) 0.58 (0.52) 0.00 02/25/1998 - 03/31/1998 9.82 0.06 (a) 0.09 (a) 0.15 0.00 (0.05) Emerging Markets Bond Fund Institutional Class 09/30/2001 * $ 8.40 $ 0.39 (a) $ 0.30 (a) $ 0.69 $ (0.41) $ 0.00 03/31/2001 8.61 0.82 (a) 0.20 (a) 1.02 (0.83) 0.00 03/31/2000 7.51 0.86 (a) 1.11 (a) 1.97 (0.87) 0.00 03/31/1999 9.67 0.87 (a) (2.11)(a) (1.24) (0.87) 0.00 07/31/1997 - 03/31/1998 10.00 0.46 (a) (0.18)(a) 0.28 (0.46) 0.00 Administrative Class 09/30/2001 * 8.40 0.38 (a) 0.29 (a) 0.67 (0.39) 0.00 03/31/2001 8.61 0.80 (a) 0.20 (a) 1.00 (0.81) 0.00 03/31/2000 7.51 0.83 (a) 1.12 (a) 1.95 (0.85) 0.00 09/30/1998 - 03/31/1999 6.82 0.45 (a) 0.74 (a) 1.19 (0.45) 0.00 Strategic Balanced Fund Institutional Class 09/30/2001 * $ 10.46 $ 0.18 (a) $ (0.50)(a) $ (0.32) $ (0.16) $ 0.00 03/31/2001 12.80 0.90 (a) (1.88)(a) (0.98) (0.67) 0.00 03/31/2000 12.76 0.80 (a) 0.44 (a) 1.24 (0.74) 0.00 03/31/1999 12.60 0.89 (a) 0.60 (a) 1.49 (0.66) 0.00 03/31/1998 10.32 1.30 (a) 2.05 (a) 3.35 (0.84) 0.00 06/28/1996 - 03/31/1997 10.00 0.85 0.31 1.16 (0.63) 0.00 Administrative Class 09/30/2001 * 10.47 0.17 (a) (0.51)(a) (0.34) (0.15) 0.00 03/31/2001 12.79 0.90 (a) (1.88)(a) (0.98) (0.65) 0.00 06/30/1999 - 03/31/2000 13.17 0.62 (a) 0.07 (a) 0.69 (0.61) 0.00 Convertible Fund Institutional Class 09/30/2001 * $ 11.33 $ 0.09 (a) $ (1.08)(a) $ (0.99) $ (0.14) $ 0.00 03/31/2001 15.77 0.01 (a) (3.50)(a) (3.49) (0.25) 0.00 03/31/2000 10.00 0.07 (a) 5.97 (a) 6.04 (0.03) (0.15) Administrative Class 09/30/2001 * 11.36 0.08 (a) (1.09)(a) (1.01) (0.12) 0.00 08/01/2000 - 03/31/2001 14.49 (0.03)(a) (2.19)(a) (2.22) (0.21) 0.00 European Convertible Fund Institutional Class 09/30/2001 * $ 9.97 $ 0.09 (a) $ (0.01)(a) $ 0.08 $ (0.08) $ 0.00 11/30/2000 - 03/31/2001 10.00 0.04 (a) (0.03)(a) 0.01 (0.04) 0.00
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.55%. (c) Ratio of expenses to average net assets excluding interest expense is 0.85%. (d) Ratio of expenses to average net assets excluding interest expense is 1.10%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.69%. (f) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.78%. (g) Ratio of expenses to average net assets excluding interest expense is 0.65%. (h) Ratio of expenses to average net assets excluding interest expense is 0.90%. (i) Effective September 29, 2000, the Strategic Balanced Fund did not incur advisory fee expenses. 40 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return 0f Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 9.77 4.10% $ 64,881 0.55%+ 4.70%+ 146% (0.08) (0.22) 0.00 (0.86) 9.61 11.87 62,895 0.58 (b) 5.86 422 (0.02) 0.00 0.00 (0.58) 9.41 1.11 84,926 0.61 (b) 5.92 290 (0.01) (0.08) 0.00 (0.61) 9.89 6.06 29,044 0.55 5.29 236 0.00 0.00 0.00 (0.05) 9.92 1.02 24,517 0.55+ 6.24+ 369 $ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 8.68 8.27% $ 50,626 0.85%+ 8.88%+ 531% 0.00 (0.40) 0.00 (1.23) 8.40 12.94 46,239 0.93 (c) 9.73 902 0.00 0.00 0.00 (0.87) 8.61 27.90 12,614 0.89 (c) 10.69 328 0.00 (0.05) 0.00 (0.92) 7.51 (12.55) 3,641 0.85 11.08 315 (0.15) 0.00 0.00 (0.61) 9.67 3.10 3,676 0.86+(c) 7.21+ 695 0.00 0.00 0.00 (0.39) 8.68 8.11 8,071 1.10+ 8.62+ 531 0.00 (0.40) 0.00 (1.21) 8.40 12.65 7,793 1.17 (d) 9.46 902 0.00 0.00 0.00 (0.85) 8.61 27.60 13,490 1.14 (d) 10.30 328 0.00 (0.05) 0.00 (0.50) 7.51 17.88 118 1.10+ 6.24+ 315 $ 0.00 $ 0.00 $ 0.00 $ (0.16) $ 9.98 (3.11)% $ 45,303 0.05%+ 3.44%+ 11% 0.00 (0.69) 0.00 (1.36) 10.46 (8.31) 47,236 0.43 (i) 7.31 651 (0.15) (0.31) 0.00 (1.20) 12.80 10.05 124,934 0.65 6.19 176 (0.67) 0.00 0.00 (1.33) 12.76 12.36 97,945 0.65 7.00 82 (0.23) 0.00 0.00 (1.07) 12.60 33.40 38,806 0.65 10.84 56 (0.21) 0.00 0.00 (0.84) 10.32 11.83 10,360 0.90+ 9.72+ 95 0.00 0.00 0.00 (0.15) 9.98 (3.31) 723 0.30+ 3.21+ 11 0.00 (0.69) 0.00 (1.34) 10.47 (8.34) 488 0.63 (i) 7.30 651 (0.15) (0.31) 0.00 (1.07) 12.79 5.47 709 0.90+ 6.48+ 176 $ 0.00 $ 0.00 $ 0.00 $ (0.14) $ 10.20 (8.82)% $ 21,817 0.76%+(g) 1.59%+ 144% 0.00 (0.70) 0.00 (0.95) 11.33 (23.00) 65,980 0.67 (g) 0.08 225 (0.09) 0.00 0.00 (0.27) 15.77 60.66 168,224 0.65 (e) 0.50 247 0.00 0.00 0.00 (0.12) 10.23 (8.90) 290 1.01+(h) 1.36+ 144 0.00 (0.70) 0.00 (0.91) 11.36 (16.25) 322 0.90+ (0.32) 225 $ 0.00 $ 0.00 $ 0.00 $ (0.08) $ 9.97 0.79% $ 5,032 0.75%+ 1.82%+ 113% 0.00 0.00 0.00 (0.04) 9.97 0.10 4,997 0.75+(f) 1.27+ 175
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 41 Financial Highlights (Cont.)
Net Realized / Dividends in Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment the Year or Period Ended: Period Income (Loss) Investments Operations Income Income StocksPLUS Fund Institutional Class 09/30/2001 * $ 10.20 $ (0.02)(a) $ (0.90)(a) $ (0.92) $ (0.11) $ 0.00 03/31/2001 14.15 0.06 (a) (2.84)(a) (2.78) (0.26) 0.00 03/31/2000 14.32 1.08 (a) 1.33 (a) 2.41 (1.10) 0.00 03/31/1999 14.09 0.97 (a) 1.32 (a) 2.29 (0.82) 0.00 03/31/1998 11.46 1.90 (a) 3.23 (a) 5.13 (1.41) 0.00 03/31/1997 11.16 1.27 0.82 2.09 (1.27) 0.00 Administrative Class 09/30/2001 * 10.08 (0.06)(a) (0.88)(a) (0.94) (0.11) 0.00 03/31/2001 14.03 (0.07)(a) (2.72)(a) (2.79) (0.25) 0.00 03/31/2000 14.25 1.10 (a) 1.23 (a) 2.33 (1.07) 0.00 03/31/1999 14.06 1.10 (a) 1.13 (a) 2.23 (0.80) 0.00 03/31/1998 11.46 1.89 (a) 3.19 (a) 5.08 (1.39) 0.00 01/07/1997 - 03/31/1997 11.56 0.14 (0.09) 0.05 (0.15) 0.00 Municipal Bond Fund Institutional Class 09/30/2001 * $ 10.02 $ 0.25 (a) $ 0.20 (a) $ 0.45 $ (0.25) $ 0.00 03/31/2001 9.47 0.48 (a) 0.54 (a) 1.02 (0.47) 0.00 03/31/2000 10.12 0.46 (a) (0.65)(a) (0.19) (0.46) 0.00 03/31/1999 9.97 0.45 (a) 0.14 (a) 0.59 (0.44) 0.00 12/31/1997 - 03/31/1998 10.00 0.11 (a) (0.03)(a) 0.08 (0.11) 0.00 Administrative Class 09/30/2001 * 10.02 0.23 (a) 0.20 (a) 0.43 (0.23) 0.00 03/31/2001 9.47 0.45 (a) 0.55 (a) 1.00 (0.45) 0.00 03/31/2000 10.12 0.44 (a) (0.65)(a) (0.21) (0.44) 0.00 09/30/1998 - 03/31/1999 10.25 0.21 (0.13) 0.08 (0.21) 0.00 Short Duration Municipal Income Fund Institutional Class 09/30/2001 * $ 10.16 $ 0.18 (a) $ 0.09 (a) $ 0.27 $ (0.18) $ 0.00 03/31/2001 9.99 0.45 (a) 0.16 (a) 0.61 (0.44) 0.00 08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.01)(a) 0.22 (0.23) 0.00 California Intermediate Municipal Bond Fund Institutional Class 09/30/2001 * $ 10.60 $ 0.22 (a) $ 0.19 (a) $ 0.41 $ (0.22) $ 0.00 03/31/2001 10.05 0.48 (a) 0.56 (a) 1.04 (0.46) 0.00 08/31/1999 - 03/31/2000 10.00 0.25 (a) 0.06 (a) 0.31 (0.24) 0.00 Administrative Class 09/30/2001 * 10.60 0.20 (a) 0.20 (a) 0.40 (0.21) 0.00 03/31/2001 10.05 0.45 (a) 0.57 (a) 1.02 (0.44) 0.00 09/07/1999 - 03/31/2000 10.02 0.22 (a) 0.05 (a) 0.27 (0.22) 0.00 California Municipal Bond Fund Institutional Class 09/30/2001 * $ 10.35 $ 0.20 (a) $ 0.31 (a) $ 0.51 $ (0.20) $ 0.00 05/16/2000 - 03/31/2001 10.00 0.43 (a) 0.78 (a) 1.21 (0.43) 0.00 New York Municipal Bond Fund Institutional Class 09/30/2001 * $ 10.64 $ 0.23 (a) $ 0.19 (a) $ 0.42 $ (0.24) $ 0.00 03/31/2001 9.94 0.45 (a) 0.79 (a) 1.24 (0.45) 0.00 08/31/1999 - 03/31/2000 10.00 0.23 (a) (0.04)(a) 0.19 (0.23) 0.00
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.62%. (c) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.02%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.01%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.30%. 42 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Distributions Ratio of Investment from Net in Excess of Tax Basis Net Asset Net Assets Expenses Income (Loss) Portfolio Realized Net Realized Return of Total Value End Total End of Period to Average to Average Turnover Capital Gains Capital Gains Capital Distributions of Period Return (000s) Net Assets Net Assets Rate $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 9.17 (9.15)% $ 368,713 0.65%+ (0.29)%+ 225% 0.00 (0.91) 0.00 (1.17) 10.20 (20.93) 420,050 0.65 0.48 270 (0.97) (0.51) 0.00 (2.58) 14.15 17.82 620,144 0.65 7.42 92 (1.24) 0.00 0.00 (2.06) 14.32 17.65 512,953 0.65 6.92 81 (1.09) 0.00 0.00 (2.50) 14.09 47.75 416,600 0.65 13.74 30 (0.52) 0.00 0.00 (1.79) 11.46 19.44 235,829 0.65 11.78 47 0.00 0.00 0.00 (0.11) 9.03 (9.51) 37,741 0.90+ (1.19)+ 225 0.00 (0.91) 0.00 (1.16) 10.08 (21.21) 35,474 0.90 (0.55) 270 (0.97) (0.51) 0.00 (2.55) 14.03 17.31 28,403 0.90 7.61 92 (1.24) 0.00 0.00 (2.04) 14.25 17.21 11,302 0.90 7.83 81 (1.09) 0.00 0.00 (2.48) 14.06 47.19 2,143 0.90 13.49 30 0.00 0.00 0.00 (0.15) 11.46 0.34 682 0.95+(f) 4.83+ 47 $ 0.00 $ 0.00 $ 0.00 $ (0.25) $ 10.22 4.50% $ 33,871 0.50%+ 4.84%+ 48% 0.00 0.00 0.00 (0.47) 10.02 11.13 23,478 0.50 4.89 306 0.00 0.00 0.00 (0.46) 9.47 (1.81) 5,684 0.50 4.80 145 0.00 0.00 0.00 (0.44) 10.12 6.04 5,894 0.50 4.41 70 0.00 0.00 0.00 (0.11) 9.97 0.78 3,023 0.50+ 4.46+ 60 0.00 0.00 0.00 (0.23) 10.22 4.37 6,536 0.74+ 4.59+ 48 0.00 0.00 0.00 (0.45) 10.02 10.86 4,811 0.75 (i) 4.66 306 0.00 0.00 0.00 (0.44) 9.47 (2.07) 3,141 0.75 (i) 4.58 145 0.00 0.00 0.00 (0.21) 10.12 0.83 1,419 0.75+(i) 2.11+ 70 $ 0.00 $ 0.00 $ 0.00 $ (0.18) $ 10.25 2.71% $ 14,555 0.39%+ 3.55%+ 51% 0.00 0.00 0.00 (0.44) 10.16 6.22 13,645 0.40 (j) 4.48 208 0.00 0.00 (0.43) (0.23) 9.99 2.19 10,725 0.39+(b) 3.92+ 171 $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.79 3.90% $ 69,469 0.50%+(h) 4.09%+ 35% (0.03) 0.00 0.00 (0.49) 10.60 10.60 87,531 0.50 (h) 4.62 257 (0.02) 0.00 0.00 (0.26) 10.05 3.16 8,415 0.49+(c) 4.22+ 357 0.00 0.00 0.00 (0.21) 10.79 3.78 1,783 0.75+(i) 3.85+ 35 (0.03) 0.00 0.00 (0.47) 10.60 10.36 1,717 0.74 4.28 257 (0.02) 0.00 0.00 (0.24) 10.05 2.73 10 0.75+(d) 3.95+ 357 $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.66 4.98% $ 14,204 0.49%+ 3.75%+ 36% (0.43) 0.00 0.00 (0.86) 10.35 12.49 11,941 0.49+ 4.76+ 338 $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.82 3.91% $ 3,445 0.49%+ 4.27%+ 106% (0.09) 0.00 0.00 (0.54) 10.64 12.77 3,753 0.50 (h) 4.41 973 (0.02) 0.00 (0.21) (0.25) 9.94 1.93 3,058 0.49+(e) 4.00+ 270
(f) Ratio of expenses to average net assets excluding interest expense is 0.90%. (g) Ratio of expenses to average net assets excluding interest expense is 0.75%. (h) Ratio of expenses to average net assets excluding interest expense is 0.49%. (i) Ratio of expenses to average net assets excluding interest expense is 0.74%. (j) Ratio of expenses to average net assets excluding interest expense is 0.39%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 43 Statements of Assets and Liabilities September 30, 2001 (Unaudited)
Amounts in thousands, except per share amounts Total Total Total Moderate Low Return Fund Return Fund II Return Fund III Duration Fund Duration Fund Assets: Investments, at value $ 65,289,982 $ 2,632,053 $ 1,190,874 $ 912,569 $ 7,534,221 Cash and foreign currency 255,965 0 0 7,492 8,296 Receivable for investments sold and forward foreign currency contracts 1,766,079 17,830 93,766 404 427,170 Receivable for Fund shares sold 277,365 937 413 21 35,424 Variation margin receivable 578 294 49 69 0 Interest and dividends receivable 466,336 20,631 8,453 4,770 50,403 Other assets 180,684 20,548 8,699 0 4,323 68,236,989 2,692,293 1,302,254 925,325 8,059,837 - ---------------------------------------------------------------------------------------------------------------------------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 18,657,782 $ 890,291 $ 352,006 $ 260,355 $ 2,492,577 Payable for financing transactions 892,867 0 38,334 24,865 8,655 Payable for short sale 0 0 64,016 0 424,796 Notes payable 0 0 0 0 0 Due to custodian 0 22 3,035 0 0 Written options outstanding 35,836 1,701 649 169 65 Payable for Fund shares redeemed 172,581 567 83 1,246 21,199 Dividends payable 30,679 1,092 316 230 2,594 Accrued investment advisory fee 8,809 338 157 115 922 Accrued administration fee 7,438 348 157 92 775 Accrued distribution fee 2,841 17 2 0 169 Accrued servicing fee 1,299 0 0 0 131 Variation margin payable 317 194 98 12 0 Recoupment payable to Manager 0 0 0 0 0 Other liabilities 24,970 5,653 335 92 540 19,835,419 900,223 459,188 287,176 2,952,423 - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $ 48,401,570 $ 1,792,070 $ 843,066 $ 638,149 $ 5,107,414 - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets Consist of: Paid in capital $ 46,287,651 $ 1,686,887 $ 811,163 $ 612,395 $ 5,052,058 Undistributed (overdistributed) net investment income 159,058 6,385 (3,786) 346 571 Accumulated undistributed net realized gain (loss) 622,072 29,662 3,541 9,408 (15,229) Net unrealized appreciation (depreciation) 1,332,789 69,136 32,148 16,000 70,014 $ 48,401,570 $ 1,792,070 $ 843,066 $ 638,149 $ 5,107,414 - ---------------------------------------------------------------------------------------------------------------------------------- Net Assets: Institutional Class $ 34,042,435 $ 1,697,892 $ 832,711 $ 638,149 $ 4,073,469 Administrative Class 7,092,788 94,178 10,355 0 254,039 Other Classes 7,266,347 0 0 0 779,906 Shares Issued and Outstanding: Institutional Class 3,130,865 158,789 87,443 61,728 399,313 Administrative Class 652,326 8,808 1,087 0 24,903 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Institutional Class $ 10.87 $ 10.69 $ 9.52 $ 10.34 $ 10.20 Administrative Class 10.87 10.69 9.52 0.00 10.20 Cost of Investments Owned $ 64,310,780 $ 2,593,751 $ 1,168,479 $ 898,371 $ 7,464,456 - ---------------------------------------------------------------------------------------------------------------------------------- Cost of Foreign Currency Held $ 236,261 $ 0 $ 5,952 $ 6,662 $ 5,302 - ----------------------------------------------------------------------------------------------------------------------------------
44 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Investment Long-Term U.S. Grade Low Duration Low Duration Short-Term Money Government Corporate High Total Return Fund II Fund III Fund Market Fund Fund Bond Fund Yield Fund Mortgage Fund GNMA Fund $ 775,633 $ 73,757 $ 1,588,816 $ 409,770 $ 622,488 $ 5,749 $ 2,958,925 $ 79,545 $ 59,915 0 67 883 8,965 0 2 2,330 0 0 22 0 178,118 0 105,849 504 31,157 29,839 0 532 0 19,701 1,445 9,929 0 9,102 803 3,270 0 1 3 0 410 1 0 0 0 3,425 329 9,356 838 5,458 110 59,700 188 136 6 35 0 0 52 68 0 1 0 779,618 74,189 1,796,877 421,018 744,186 6,434 3,061,214 110,376 63,321 - ---------------------------------------------------------------------------------------------------------------------------------- $ 309,502 $ 30,921 $ 10,093 $ 0 $ 0 $ 434 $ 87,640 $ 63,833 $ 20,896 0 0 177,775 0 153,077 0 0 0 0 0 0 89,613 0 0 0 0 0 0 0 0 32,573 0 0 0 0 0 0 182 0 0 0 21,905 2 0 518 735 0 0 0 0 172 9 0 0 0 34 0 11,015 4,994 1,465 0 7,925 6 189 157 1 778 27 368 0 5,729 12 12 91 8 262 44 99 1 566 8 5 86 8 275 82 122 1 690 11 7 0 0 38 27 74 0 522 0 0 0 0 113 20 39 0 207 9 5 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 10 1,303 0 4,615 5 0 0 16 310,052 30,948 323,838 5,194 181,936 452 103,279 64,397 21,865 - ---------------------------------------------------------------------------------------------------------------------------------- $ 469,566 $ 43,241 $ 1,473,039 $ 415,824 $ 562,250 $ 5,982 $ 2,957,935 $ 45,979 $ 41,456 - ---------------------------------------------------------------------------------------------------------------------------------- $ 452,918 $ 42,393 $ 1,468,611 $ 415,804 $ 541,250 $ 5,603 $ 3,634,247 $ 43,593 $ 40,333 (435) (4) (1,519) (41) 33 126 (2,107) 383 312 6,952 11 4,086 61 5,229 145 (367,330) 988 418 10,131 841 1,861 0 15,738 108 (306,875) 1,015 393 $ 469,566 $ 43,241 $ 1,473,039 $ 415,824 $ 562,250 $ 5,982 $ 2,957,935 $ 45,979 $ 41,456 - ---------------------------------------------------------------------------------------------------------------------------------- $ 469,506 $ 43,229 $ 782,755 $ 169,906 $ 255,690 $ 5,982 $ 1,386,032 $ 18,807 $ 27,431 60 12 56,357 18,606 87,863 0 486,539 0 0 0 0 633,927 227,312 218,697 0 1,085,364 27,172 14,025 45,977 4,284 77,813 169,906 23,405 558 150,682 1,744 2,542 6 1 5,602 18,606 8,042 0 52,904 0 0 $ 10.21 $ 10.09 $ 10.06 $ 1.00 $ 10.92 $ 10.73 $ 9.20 $ 10.78 $ 10.79 10.21 10.09 10.06 1.00 10.92 0.00 9.20 0.00 0.00 $ 765,450 $ 72,949 $ 1,584,046 $ 409,770 $ 605,614 $ 5,675 $ 3,265,840 $ 78,490 $ 59,519 - ---------------------------------------------------------------------------------------------------------------------------------- $ 0 $ 64 $ 1,067 $ 0 $ 0 $ 0 $ 2,593 $ 0 $ 0 - ----------------------------------------------------------------------------------------------------------------------------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 45 Statements of Assets and Liabilities (Cont.) September 30, 2001 (Unaudited)
Emerging Amounts in thousands, except per share amounts Real Foreign Global Global Markets Return Fund Bond Fund Bond Fund Bond Fund II Bond Fund Assets: Investments, at value $ 2,928,772 $ 1,255,354 $ 531,699 $ 112,703 $ 75,320 Cash and foreign currency 0 19,278 6,415 2,898 3,148 Receivable for investments sold and forward foreign currency contracts 19,336 230,859 131,375 880 12,590 Receivable for Fund shares sold 60,658 1,925 0 85 84 Variation margin receivable 5 176 393 12 0 Interest and dividends receivable 30,183 18,371 10,677 1,848 1,784 Other assets 3 5,635 2,882 4 1 3,038,957 1,531,598 683,441 118,430 92,927 - -------------------------------------------------------------------------------------------------------------------------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 45,759 $ 316,208 $ 152,401 $ 9,345 $ 14,641 Payable for financing transactions 1,031,191 326,983 126,931 26,550 11,857 Payable for short sale 0 123,958 67,949 0 0 Notes payable 0 0 0 0 0 Due to custodian 8,317 0 0 0 0 Written options outstanding 0 2,854 1,314 309 0 Payable for Fund shares redeemed 5,901 3,118 508 6 28 Dividends payable 132 278 249 26 47 Accrued investment advisory fee 333 136 61 15 26 Accrued administration fee 439 168 73 16 24 Accrued distribution fee 212 44 0 7 4 Accrued servicing fee 176 39 0 3 1 Variation margin payable 132 37 328 0 0 Recoupment payable to Manager 0 0 0 0 0 Other liabilities 2,481 2,766 2,771 914 59 1,095,073 776,589 352,585 37,191 26,687 - -------------------------------------------------------------------------------------------------------------------------------- Net Assets $ 1,943,884 $ 755,009 $ 330,856 $ 81,239 $ 66,240 - -------------------------------------------------------------------------------------------------------------------------------- Net Assets Consist of: Paid in capital $ 1,894,777 $ 753,250 $ 344,522 $ 80,528 $ 61,889 Undistributed (overdistributed) net investment income 65 (885) (9,893) (39) 1,215 Accumulated undistributed net realized gain (loss) 5,889 6,206 (9,340) 371 3,656 Net unrealized appreciation (depreciation) 43,153 (3,562) 5,567 379 (520) $ 1,943,884 $ 755,009 $ 330,856 $ 81,239 $ 66,240 - -------------------------------------------------------------------------------------------------------------------------------- Net Assets: Institutional Class $ 813,186 $ 524,998 $ 327,841 $ 64,881 $ 50,626 Administrative Class 67,084 17,671 3,015 0 8,071 Other Classes 1,063,614 212,340 0 16,358 7,543 Shares Issued and Outstanding: Institutional Class 77,409 50,331 37,359 6,641 5,828 Administrative Class 6,363 1,694 344 0 930 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Institutional Class $ 10.51 $ 10.43 $ 8.77 $ 9.77 $ 8.68 Administrative Class 10.51 10.43 8.77 0.00 8.68 Cost of Investments Owned $ 2,885,433 $ 1,260,131 $ 527,527 $ 112,367 $ 76,100 - -------------------------------------------------------------------------------------------------------------------------------- Cost of Foreign Currency Held $ 2,158 $ 15,042 $ 7,584 $ 55,834 $ 0 - --------------------------------------------------------------------------------------------------------------------------------
46 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
California European Short Duration Intermediate California New York Strategic Convertible Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal Balanced Fund Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund $ 73,604 $ 42,407 $ 4,993 $ 1,276,980 $ 115,800 $ 14,347 $ 102,974 $ 15,025 $ 4,947 76 1,405 1 6,971 0 1 0 1 1 0 1,498 13 6,494 0 0 0 0 0 92 1 0 2,745 260 0 301 1 0 0 0 0 13,882 7 0 7 5 0 110 171 38 6,984 1,420 226 1,347 147 78 0 1 0 8 1 0 0 0 2 73,882 45,483 5,045 1,314,064 117,488 14,574 104,629 15,179 5,028 - --------------------------------------------------------------------------------------------------------------------------------- $ 184 $ 2,135 $ 0 $ 404,802 $ 7,923 $ 0 $ 2,738 $ 0 $ 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 18,581 0 0 0 0 0 0 0 0 0 69 0 78 0 0 0 0 0 28 0 0 0 0 0 25 85 0 885 184 3 499 0 0 0 0 0 17 94 0 12 1 2 0 13 2 265 20 2 20 3 1 10 11 1 220 25 2 21 3 1 13 9 0 187 23 0 0 0 0 5 4 0 90 12 0 6 0 0 0 0 0 47 14 0 14 0 0 0 1 0 0 0 0 2 0 0 0 0 0 10,692 0 1 0 1 0 237 2,258 3 435,814 8,364 8 3,390 8 4 - --------------------------------------------------------------------------------------------------------------------------------- $ 73,645 $ 43,225 $ 5,042 $ 878,250 $ 109,124 $ 14,566 $ 101,239 $ 15,171 $ 5,024 - --------------------------------------------------------------------------------------------------------------------------------- $ 89,862 $ 67,784 $ 5,059 $ 1,297,722 $ 104,416 $ 14,208 $ 93,213 $ 14,153 $ 4,749 646 (1,520) 101 (40,594) 18 39 1,397 173 66 (2,901) (18,512) 53 (304,884) 1,320 18 1,360 283 139 (13,962) (4,527) (171) (73,994) 3,370 301 5,269 562 70 $ 73,645 $ 43,225 $ 5,042 $ 878,250 $ 109,124 $ 14,566 $ 101,239 $ 15,171 $ 5,024 - --------------------------------------------------------------------------------------------------------------------------------- $ 45,303 $ 21,817 $ 5,032 $ 368,713 $ 33,871 $ 14,555 $ 69,469 $ 14,204 $ 3,445 723 290 0 37,741 6,536 0 1,783 0 0 27,619 21,118 10 471,796 68,717 11 29,987 967 1,579 4,536 2,139 505 40,190 3,314 1,420 6,439 1,332 318 72 28 0 4,177 639 0 165 0 0 $ 9.98 $ 10.20 $ 9.97 $ 9.17 $ 10.22 $ 10.25 $ 10.79 $ 10.66 $ 10.82 9.98 10.23 0.00 9.03 10.22 0.00 10.79 0.00 0.00 $ 87,566 $ 46,997 $ 5,178 $ 1,271,983 $ 112,266 $ 14,046 $ 97,549 $ 14,483 $ 4,876 - --------------------------------------------------------------------------------------------------------------------------------- $ 0 $ 903 $ 1 $ 6,743 $ 0 $ 0 $ 0 $ 0 $ 0 - ---------------------------------------------------------------------------------------------------------------------------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 47 Statements of Operations For the year or period ended September 30, 2001 (Unaudited)
Amounts in thousands Total Total Total Moderate Low Return Fund Return Fund II Return Fund III Duration Fund Duration Fund Investment Income: Interest $ 1,320,521 $ 48,396 $ 25,746 $ 17,125 $ 152,748 Dividends, net of foreign taxes 18,735 0 160 182 3,141 Miscellaneous income 0 0 1 17 0 Total Income 1,339,256 48,396 25,907 17,324 155,889 Expenses: Investment advisory fees 55,857 2,091 1,054 737 6,046 Administration fees 46,740 2,103 1,055 589 4,971 Distribution and/or servicing fees - Administrative Class 7,599 105 14 0 231 Distribution and/or servicing fees - Other Classes 16,796 0 0 0 1,445 Trustees' fees 140 6 3 2 16 Interest expense 333 4 0 0 51 Miscellaneous expense 4 0 0 0 0 Total Expenses 127,469 4,309 2,126 1,328 12,760 Net Investment Income 1,211,787 44,087 23,781 15,996 143,129 - ---------------------------------------------------------------------------------------------------------------------------------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 471,955 23,573 8,043 6,598 37,120 Net realized gain (loss) on futures contracts and written options 265,454 5,935 3,290 4,859 427 Net realized gain (loss) on foreign currency transactions (67,222) 3 154 (874) (5,033) Net change in unrealized appreciation (depreciation) on investments 703,720 26,975 16,708 9,903 45,455 Net change in unrealized appreciation (depreciation) on futures contracts and written options 182,887 12,517 4,502 2,113 2,134 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 7,146 (3) (2,697) (1,910) 2,158 Net Gain (Loss) 1,563,940 69,000 30,000 20,689 82,261 Net Increase (Decrease) in Assets Resulting from Operations $ 2,775,727 $ 113,087 $ 53,781 $ 36,685 $ 225,390 - ----------------------------------------------------------------------------------------------------------------------------------
48 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Investment Long-Term U.S. Grade Low Duration Low Duration Short-Term Money Government Corporate High Total Return Fund II Fund III Fund Market Fund Fund Bond Fund Yield Fund Mortgage Fund GNMA Fund $ 17,321 $ 1,329 $ 25,684 $ 7,473 $ 17,159 $ 220 $ 125,555 $ 953 $ 469 204 0 0 0 0 0 3,940 0 0 0 0 0 3 0 0 123 1 0 17,525 1,329 25,684 7,476 17,159 220 129,618 954 469 698 55 1,162 269 616 8 3,589 44 18 698 56 1,150 505 758 7 4,382 55 19 0 0 28 15 91 0 627 0 0 0 0 488 259 597 0 4,066 37 7 2 0 2 1 2 0 10 0 0 14 1 1,143 0 36 0 0 0 7 0 0 0 0 0 0 0 0 0 1,412 112 3,973 1,049 2,100 15 12,674 136 51 16,113 1,217 21,711 6,427 15,059 205 116,944 818 418 - -------------------------------------------------------------------------------------------------------------------------------- 9,966 546 3,969 61 6,796 81 (67,216) 989 424 (64) 8 983 0 1,079 46 0 0 0 0 (42) 2 0 0 5 32 0 0 1,056 343 (1,066) 0 717 (108) (141,253) 387 189 73 19 112 0 5,181 (5) 0 0 0 0 60 (7) 0 0 6 (5) 0 0 11,031 934 3,993 61 13,773 25 (208,442) 1,376 613 $ 27,144 $ 2,151 $ 25,704 $ 6,488 $ 28,832 $ 230 $ (91,498) $ 2,194 $ 1,031 - --------------------------------------------------------------------------------------------------------------------------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 49 Statements of Operations (Cont.) For the year or period ended September 30, 2001 (Unaudited)
Emerging Amounts in thousands Real Foreign Global Global Markets Return Fund Bond Fund Bond Fund Bond Fund II Bond Fund Investment Income: Interest $ 41,833 $ 18,461 $ 8,972 $ 2,007 $ 3,528 Dividends, net of foreign taxes 8 256 91 28 0 Miscellaneous income 0 0 0 0 0 Total Income 41,841 18,717 9,063 2,035 3,528 Expenses: Investment advisory fees 1,633 869 397 96 160 Administration fees 2,075 1,060 477 126 146 Distribution and/or servicing fees - Administrative Class 75 22 3 0 10 Distribution and/or servicing fees - Other Classes 1,552 492 0 59 18 Trustees' fees 3 2 1 0 0 Interest expense 45 46 7 2 62 Miscellaneous expense 0 0 0 0 0 Recoupment to Manager 0 0 0 0 0 Total Expenses 5,383 2,491 885 283 396 Net Investment Income (Loss) 36,458 16,226 8,178 1,752 3,132 - -------------------------------------------------------------------------------------------------------------------------------- Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 8,536 2,187 1,321 424 3,988 Net realized gain (loss) on futures contracts and written options (157) 9,856 3,751 1,362 0 Net realized gain (loss) on foreign currency transactions (1,704) 2,132 (6,452) (519) 154 Net change in unrealized appreciation (depreciation) on investments 7,380 14,986 11,529 2,409 (1,548) Net change in unrealized appreciation (depreciation) on futures contracts and written options 969 (23) (202) (37) 0 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 974 (21,268) 2,322 (2,331) 87 Net Gain (Loss) 15,998 7,870 12,269 1,308 2,681 Net Increase (Decrease) in Assets Resulting from Operations $ 52,456 $ 24,096 $ 20,447 $ 3,060 $ 5,813 - --------------------------------------------------------------------------------------------------------------------------------
50 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
California European Short Duration Intermediate California New York Strategic Convertible Convertible StocksPLUS Municipal Municipal Municipal Municipal Municipal Balanced Fund Fund Fund Fund Bond Fund Income Fund Bond Fund Bond Fund Bond Fund $ 18 $ 146 $ 63 $ 1,443 $ 2,551 $ 302 $ 2,693 $ 312 $ 111 1,340 474 5 413 0 0 0 0 0 2 0 0 0 0 1 0 0 0 1,360 620 68 1,856 2,551 303 2,693 312 111 0 104 13 2,049 119 14 131 17 6 69 84 6 1,702 148 14 141 17 6 1 0 0 50 8 0 2 0 0 125 104 0 2,119 192 0 35 1 0 0 0 0 4 0 0 0 0 0 0 28 2 33 0 0 3 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 3 0 0 195 321 21 5,957 467 28 315 35 12 1,165 299 47 (4,101) 2,084 275 2,378 277 99 - ---------------------------------------------------------------------------------------------------------------------------------- (671) (9,472) 35 7,855 268 16 822 3 17 0 0 0 (42,404) 689 0 606 269 93 85 (56) 18 949 0 0 0 0 0 (3,060) 3,700 23 2,733 1,106 113 328 106 (44) 0 0 0 (51,730) (164) 0 (257) 28 0 (98) (81) (87) (4,084) 0 0 0 0 0 (3,744) (5,909) (11) (86,681) 1,899 129 1,499 406 66 $ (2,579) $ (5,610) $ 36 $(90,782) $ 3,983 $ 404 $ 3,877 $ 683 $ 165 - ----------------------------------------------------------------------------------------------------------------------------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 51 Statements of Changes in Net Assets
Amounts in thousands Total Return Fund Total Return Fund II Total Return III Fund -------------------------------------------------------------------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, March 31, September 30, March 31, September 30, March 31, 2001 2001 2001 2001 2001 2001 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income $ 1,211,787 $ 2,324,651 $ 44,087 $ 95,960 $ 23,781 $ 51,199 Net realized gain 670,187 1,226,362 29,511 57,618 11,487 20,168 Net change in unrealized appreciation (depreciation) 893,753 795,370 39,489 36,370 18,513 21,779 Net increase resulting from operations 2,775,727 4,346,383 113,087 189,948 53,781 93,146 - ------------------------------------------------------------------------------------------------------------------------------------ Distributions to Shareholders: From net investment income Institutional Class (900,757) (1,792,734) (41,995) (91,365) (23,485) (49,458) Administrative Class (160,343) (245,683) (2,093) (3,756) (296) (646) Other Classes (146,354) (228,334) 0 0 0 0 In excess of net investment income Institutional Class 0 (49,037) 0 (803) 0 (1,051) Administrative Class 0 (6,720) 0 (33) 0 (14) Other Classes 0 ( 6,245) 0 0 0 0 From net realized capital gains Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 In excess of net realized capital gains Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 Total Distributions (1,207,454) (2,328,753) (44,088) (95,957) (23,781) (51,169) - ----------------------------------------------------------------------------------------------------------------------------------- Fund Share Transactions: Receipts for shares sold Institutional Class 5,105,547 10,686,192 184,664 570,675 37,881 221,365 Administrative Class 2,276,371 2,801,443 27,747 62,044 486 163 Other Classes 2,375,332 2,858,874 0 0 0 0 Issued as reinvestment of distributions Institutional Class 758,260 1,529,088 32,321 71,901 21,350 46,166 Administrative Class 134,521 198,869 2,094 3,782 281 637 Other Classes 82,851 123,077 0 0 0 0 Cost of shares redeemed Institutional Class (4,675,438 (6,936,468) (191,393) (389,100) (124,889) (75,805) Administrative Class (900,312) (1,104,430 (16,543) (49,423) (2,023) (259) Other Classes (829,228) (1,205,155) 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 4,327,904 8,951,490 38,890 269,879 (66,914) 192,267 Total Increase (Decrease) in Net Assets 5,896,177 10,969,120 107,889 363,870 (36,914) 234,244 - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets: Beginning of period 42,505,393 31,536,273 1,684,181 1,320,311 879,980 645,736 End of period * $ 48,401,570 $42,505,393 $ 1,792,070 $ 1,684,181 $ 843,066 $ 879,980 *Including net undistributed (overdistributed) investment income of: $ 159,058 $ 154,725 $ 6,385 $ 6,386 $ (3,786) $ (3,786)
52 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Moderate Duration Fund Low Duration Fund Low Duration Fund II Low Duration Fund III Short-Term Fund - ----------------------------------------------------------------------------------------------------------------------------------- Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Ended March Ended March Ended March Ended March Ended March September 31, 2001 September 31, 2001 September 31, 2001 September 31, 2001 September 31, 2001 30, 2001 30, 2001 30, 2001 30, 2001 30, 2001 (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 15,996 $ 31,015 $ 143,129 $ 288,496 $ 16,113 $ 38,783 $ 1,217 $ 2,622 $ 21,711 $ 43,519 10,583 14,065 32,514 17,000 9,902 4,322 512 155 4,954 204 10,106 9,411 49,747 80,909 1,129 14,482 422 768 (961) 6,182 36,685 54,491 225,390 386,405 27,144 57,587 2,151 3,545 25,704 49,905 - ----------------------------------------------------------------------------------------------------------------------------------- (15,997) (30,778) (122,395) (244,452) (16,109) (38,384) (1,218) (2,587) (15,092) (36,353) 0 0 (5,275) (8,855) (2) (2) 0 (1) (449) (407) 0 0 (15,142) (26,799) 0 0 0 0 (6,171) (6,739) 0 (191) 0 (7,347) 0 (435) 0 (35) 0 0 0 0 0 (266) 0 0 0 0 0 0 0 0 0 (806) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (878) 0 0 0 0 0 0 0 0 0 (6) 0 0 0 0 0 0 0 0 0 (177) (15,997) (30,969) (142,812) (288,525) (16,111) (38,821) (1,218) (2,623) (21,712) (44,560) - ------------------------------------------------------------------------------------------------------------------------------------ 99,982 271,662 1,173,831 2,441,784 62,616 394,918 2,393 25,072 469,052 557,919 0 0 126,797 98,789 1 82 0 0 55,579 7,559 0 0 391,772 318,860 0 0 0 0 662,571 118,255 14,578 30,441 109,994 220,160 13,997 35,794 1,212 2,621 12,070 28,548 0 0 4,616 8,907 1 1 0 1 456 271 0 0 10,278 18,884 0 0 0 0 4,545 4,561 (74,010) (135,840) (1,229,294) (2,235,908) (254,680) (280,932) (4,232) (18,040) (225,249) (655,344) 0 0 (32,661) (78,115) (26) (73) 0 0 (4,445) (18,406) 0 0 (133,786) (278,280) 0 0 0 0 (156,705) (106,536) 40,550 166,263 421,547 515,081 (178,091) 149,790 (627) 9,654 817,874 (63,173) 61,238 189,785 504,125 612,961 (167,058) 168,556 306 10,576 821,866 (57,828) - ----------------------------------------------------------------------------------------------------------------------------------- 576,911 387,126 4,603,289 3,990,328 636,624 468,068 42,935 32,359 651,173 709,001 $ 638,149 $ 576,911 $ 5,107,414 $4,603,289 $ 469,566 $ 636,624 $ 43,241 $ 42,935 $ 1,473,039 $ 651,173 $ 346 $ 347 $ 571 $ 254 $ (435) $ (437) $ (4) $ (3) $ (1,519) $ (1,518)
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 53 Statements of Changes in Net Assets (Cont.)
Long-Term Investment Grade Period Amounts in thousands Money Market Fund U.S. Government Fund Corporate Bond Fund from -------------------------------------------------------------------------------------- Six Months Year Six Months Year Six Months April 28, Ended Ended Ended Ended Ended 2001 Increase (Decrease) in Net Assets from: September 30, March 31, September 30, March 31, September 30, March 2001 2001 2001 2001 2001 31, 2001 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income $ 6,427 $ 23,342 $ 15,059 $ 23,590 $ 205 $ 374 Net realized gain (loss) 61 0 7,875 29,583 132 162 Net change in unrealized appreciation (depreciation) 0 0 5,898 6,314 (107) 215 Net increase (decrease) resulting from operations 6,488 23,342 28,832 59,487 230 751 - ------------------------------------------------------------------------------------------------------------------------------------ Distributions to Shareholders: From net investment income Institutional Class (2,933) (12,927) (7,562) (14,794) (205) (374) Administrative Class (210) (486) (2,223) (2,737) 0 0 Other Classes (3,347) (9,927) (5,298) (6,050) 0 0 In excess of net investment income Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 From net realized capital gains Institutional Class 0 0 0 0 0 (23) Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 In excess of net realized capital gains Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 Total Distributions (6,490) (23,340) (15,083) (23,581) (205) (397) - ------------------------------------------------------------------------------------------------------------------------------------ Fund Share Transactions: Receipts for shares sold Institutional Class 80,673 145,605 71,793 185,685 0 5,000 Administrative Class 23,705 16,510 33,389 61,908 0 0 Other Classes 432,326 2,312,653 109,723 122,155 0 0 Issued as reinvestment of distributions Institutional Class 2,898 12,820 5,894 11,990 206 397 Administrative Class 209 485 2,234 2,736 0 0 Other Classes 2,891 7,633 3,610 3,801 0 0 Cost of shares redeemed Institutional Class (49,655) (327,450) (62,324) (204,230) 0 0 Administrative Class (12,474) (19,622) (26,895) (30,338) 0 0 Other Classes (413,677) 2,341,229) (69,972) (63,811) 0 0 Net increase (decrease) resulting from Fund share 66,896 (192,595) 67,452 89,896 206 5,397 transactions Total Increase (Decrease) in Net Assets 66,894 (192,593) 81,201 125,802 231 5,751 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 348,930 541,523 481,049 355,247 5,751 0 End of period * $ 415,824 $ 348,930 $ 562,250 $ 481,049 $ 5,982 $ 5,751 *Including net undistributed (overdistributed) $ (41) $ 22 $ 33 $ 57 $ 126 $ 126 investment income of:
54 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Total Return High Yield Fund Mortgage Fund GNMA Fund Real Return Fund Foreign Bond Fund - ----------------------------------------------------------------------------------------------------------------------------------- Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Ended March Ended March Ended March Ended March Ended March September 31, 2001 September 31, 2001 September 31, 2001 September 31, 2001 September 31, 2001 30, 2001 30, 2001 30, 2001 30, 2001 30, 2001 (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 116,944 $ 246,822 $ 818 $ 1,027 $ 418 $ 543 $ 36,458 $ 40,196 $ 16,226 $ 33,316 (67,184) (237,986) 989 751 424 286 6,675 7,571 14,175 (890) (141,258) 111,594 387 649 189 290 9,323 30,225 (6,305) 31,945 (91,498) 120,430 2,194 2,427 1,031 1,119 52,45 77,992 24,096 64,371 - ----------------------------------------------------------------------------------------------------------------------------------- (56,080) (139,311) (526) (949) (361) (510) (21,846) (29,970) (11,952) (25,707) (20,772) (36,974) 0 0 0 0 (1,955) (1,102) (402) (405) (40,287) (68,547) (291) (78) (48) 0 (15,802) (9,225) (3,968) (7,021) 0 (1,064) 0 0 0 0 0 0 0 0 0 (282) 0 0 0 0 0 0 0 0 0 (523) 0 0 0 0 0 0 0 0 0 0 0 (324) 0 (54) 0 (3,779) 0 0 0 0 0 0 0 0 0 (129) 0 0 0 0 0 (39) 0 0 0 (1,301) 0 0 0 0 0 0 0 0 0 0 0 (9,671) 0 0 0 0 0 0 0 0 0 (138) 0 0 0 0 0 0 0 0 0 (3,061) (117,139) (246,701) (817) (1,390) (409) (564) (39,603) (45,506) (16,322) (46,003) - ----------------------------------------------------------------------------------------------------------------------------------- 473,509 792,834 3,223 19,192 18,809 9,067 316,487 412,572 89,741 172,052 147,511 224,073 0 0 0 0 23,646 62,788 4,137 14,864 318,963 522,135 24,477 5,324 14,106 10 831,443 242,511 68,419 81,245 42,212 116,900 517 1,270 306 530 20,337 30,496 10,527 31,126 20,733 37,198 0 0 0 0 1,940 1,223 398 540 20,718 34,732 236 104 39 0 11,322 7,495 3,330 8,494 (216,745) $(1,605,873) (5,996) (5,092) (2,109) (4,496) (88,013) (115,763) (63,008) (155,946) (108,610) (138,474) 0 0 0 0 (10,694) (14,142) (4,096) (3,524) (173,861) (385,505) (2,923) (904) (291) 0 (74,559) (30,405) (37,054) (37,903) 524,430 (401,980) 19,534 19,894 30,860 5,111 1,031,909 596,775 72,394 110,948 315,793 (528,251) 20,911 20,931 31,482 5,666 1,044,762 629,261 80,168 129,316 - ----------------------------------------------------------------------------------------------------------------------------------- 2,642,142 3,170,393 25,068 4,137 9,974 4,308 899,122 269,861 674,841 545,525 $2,957,935 $ 2,642,142 $ 45,979 $ 25,068 $ 41,456 $ 9,974 $1,943,884 $ 899,122 $ 755,009 $ 674,841 $ (2,107) $ (1,912) $ 383 $ 382 $ 312 $ 303 $ 65 $ 3,210 $ (885) $ (789)
Statements of Changes in Net Assets (Cont.)
Emerging Markets Bond Amounts in thousands Global Bond Fund Global Bond Fund II Fund --------------------------------------------------------------------------------- Six Months Year Ended Six Months Year Ended Six Months Year Ended Increase (Decrease) in Net Assets from: Ended March 31, Ended March 31, Ended March 31, September 2001 September 2001 September 2001 30, 2001 30, 2001 30, 2001 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 8,178 $ 16,487 $ 1,752 $ 4,454 $ 3,132 $ 4,541 Net realized gain (loss) (1,380) (18,756) 1,267 2,471 4,142 2,700 Net capital gain distributions received from 0 0 0 0 0 0 underlying funds Net change in unrealized appreciation (depreciation) 13,649 (355) 41 1,358 (1,461) (658) Net increase (decrease) resulting from operations 20,447 (2,624) 3,060 8,283 5,813 6,583 - ------------------------------------------------------------------------------------------------------------------------------------ Distributions to Shareholders: From net investment income Institutional Class (8,114) (2,208) (1,494) (3,875) (2,688) (3,335) Administrative Class (58) (16) 0 0 (373) (999) Other Classes 0 0 (260) (570) (220) (211) In excess of net investment income Institutional Class 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 From net realized capital gains Institutional Class 0 0 0 (379) 0 0 Administrative Class 0 0 0 0 0 0 Other Classes 0 0 0 (68) 0 0 In excess of net realized capital gains Institutianal Class 0 0 0 (1,552) 0 (1,807) Administrative Class 0 0 0 0 0 (437) Other Classes 0 0 0 (280) 0 (108) Tax basis return of capital Institutional Class 0 (14,074) 0 0 0 0 Administrative Class 0 (104) 0 0 0 0 Other Classes 0 0 0 0 0 0 Total Distributions (8,172) (16,402) (1,754) (6,724) (3,281) (6,897) - ------------------------------------------------------------------------------------------------------------------------------------ Fund Share Transactions: Receipts for shares sold Institutional Class 36,349 150,687 7 6,935 34,309 34,602 Administrative Class 2,399 2,952 0 0 1,140 1,010 Other Classes 0 0 4,192 3,819 4,439 3,495 Issued as reinvestment of distributions Institutional Class 6,297 11,553 1,418 5,308 2,573 4,821 Administrative Class 57 123 0 0 373 1,434 Other Classes 0 0 177 671 101 154 Cost of shares redeemed Institutional Class (34,675) (107,207) (500) (35,563) (34,678) (5,860) Administrative Class (1,674) (3,030) 0 0 (1,499) (7,791) Other Classes 0 0 (1,454) (3,685) (648) (1,800) Net increase (decrease) resulting from Fund share 8,753 55,078 3,840 (22,515) 6,110 30,065 transactions Total Increase (Decrease) in Net Assets 21,028 36,052 5,146 (20,956) 8,642 29,751 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 309,828 273,776 76,093 97,049 57,598 27,847 End of period * $ 330,856 $ 309,828 $ 81,239 $ 76,093 $ 66,240 $ 57,598 *Including net undistributed (overdistributed) investment income of: $ (9,893) $ (9,899) $ (39) $ (37) $ 1,215 $ 1,525
56 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Strategic Balanced Convertible European StocksPLUS Municipal Bond Fund Fund Convertible Fund Fund Fund - ------------------------------------------------------------------------------------------------------------------------------------ Six Months Year Six Months Year Six Months Period Six Months Year Six Months Year Ended Ended Ended Ended Ended from Ended Ended Ended Ended September March September March September November September March September March 30, 2001 31, 2001 30, 2001 31, 2001 30, 2001 30, 2000 30, 2001 31, 2001 30, 2001 31, 2001 (Unaudited) (Unaudited) (Unaudited) to March (Unaudited) (Unaudited) 31, 2001 $ 1,165 $ 5,108 $ 299 $ (122) $ 47 $ 21 $ (4,101) $ (1,627) $ 2,084 $ 2,679 (586) 1,743 (9,528) (6,725) 53 93 (33,600) (179,612) 957 1,298 0 1,770 0 0 0 0 0 0 0 0 (3,158) (15,730) 3,619 (36,112) (64) (107) (53,081) (108,609) 942 2,568 (2,579) (7,109) (5,610) (42,959) 36 7 (90,782) (289,848) 3,983 6,545 - ------------------------------------------------------------------------------------------------------------------------------------ (710) (2,935) (303) (2,101) (40) (20) (4,533) (11,561) (747) (707) (10) (32) (3) (6) 0 0 (403) (641) (146) (193) (264) (1,267) (177) (261) 0 0 (5,019) (11,931) (1,190) (1,776) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (2,872) 0 (5,661) 0 0 0 (35,157) 0 0 0 (29) 0 (20) 0 0 0 (2,729) 0 0 0 (1,549) 0 (1,354) 0 0 0 (50,829) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (984) (8,684) (483) (9,403) (40) (20) (9,955) (112,848) (2,083) (2,676) - ----------------------------------------------------------------------------------------------------------------------------------- 1,654 3,779 1,297 90,224 0 4,990 45,342 192,570 14,926 23,749 273 151 0 410 0 0 8,363 19,575 2,250 2,528 4,426 9,610 6,735 22,419 0 10 37,387 203,143 26,507 21,007 709 5,725 273 7,572 39 20 4,404 45,695 683 685 10 63 0 1 0 0 400 3,338 143 193 199 2,217 119 1,074 0 0 3,943 49,151 691 1,006 (2,156) (76,927) (42,019) (155,586) 0 0 (60,944) (275,526) (5,880) (7,753) (10) (325) 0 0 0 0 (1,967) (3,869) (807) (1,304) (2,401) (8,994) (8,777) (6,093) 0 0 (73,424) (314,693) (11,425) (16,427) 2,704 (64,701) (42,372) (39,979) 39 5,020 (36,496) (80,616) 27,088 23,684 (859) (80,494) (48,465) (92,341) 35 5,007 (137,233) (483,312) 28,988 27,553 - ----------------------------------------------------------------------------------------------------------------------------------- 74,504 154,998 91,690 184,031 5,007 0 1,015,483 1,498,795 80,136 52,583 $ 73,645 $ 74,504 $ 43,225 $ 91,690 $ 5,042 $ 5,007 $ 878,250 $1,015,483 $ 109,124 $ 80,136 $ 646 $ 465 $ (1,520) $ (1,336) $ 101 $ 94 $ (40,594) $ (26,538) $ 18 $ 17
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 57 Statements of Changes in Net Assets (Cont.)
Short Duration California Intermediate California New York Amounts in thousands Municipal Income Fund Municipal Bond Fund Municipal Bond Fund Municipal Bond Fund -------------------------------------------------------------------------------------------------------- Six Months Year Six Months Year Six Months Period Six Months Year Ended Ended Ended Ended Ended from Ended Ended September March September March September May September March Increase (Decrease) 30, 2001 31, 2001 30, 2001 31, 2001 30, 2001 16, 2000 30, 2001 31, 2001 in Net Assets from: (Unaudited) (Unaudited) (Unaudited) to March (Unaudited) 31, 2001 Operations: Net investment income $ 275 $ 590 $ 2,378 $ 4,235 $ 277 $ 441 $ 99 $ 146 Net realized gain 16 41 1,428 1,278 272 544 110 132 Net change in unrealized appreciation 113 182 71 5,126 134 428 (44) 122 (depreciation) Net increase resulting from operations 404 813 3,877 10,639 683 1,413 165 400 - ------------------------------------------------------------------------------------------------------------------------------------ Distributions to Shareholders: From net investment income Institutional Class (267) (573) (1,543) (2,959) (241) (428) (89) (143) Administrative Class 0 0 (34) (62) 0 0 0 0 Other Classes 0 0 (519) (1,123) (15) (4) (10) (2) In excess of net investment income Institutional Class 0 0 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 0 0 From net realized capital gains Institutional Class 0 0 0 (206) 0 (390) 0 (28) Administrative Class 0 0 0 (5) 0 0 0 0 Other Classes 0 0 0 (100) 0 0 0 0 In excess of net realized capital gains Institutional Class 0 0 0 0 0 0 0 0 Administrative Class 0 0 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 0 0 Total Distributions (267) (573) (2,096) (4,455) (256) (822) (99) (173) - ------------------------------------------------------------------------------------------------------------------------------------ Fund Share Transactions: Receipts for shares sold Institutional Class 2,519 13,744 23,502 112,569 3,994 21,136 350 300 Administrative Class 0 0 0 1,550 0 0 0 0 Other Classes 0 0 8,765 42,117 594 819 1,306 285 Issued as reinvestment of distributions Institutional Class 254 575 1,535 3,049 239 807 81 171 Administrative Class 0 0 34 66 0 0 0 0 Other Classes 0 0 487 1,124 8 4 9 2 Cost of shares redeemed Institutional Class (2,000) (11,638) (44,355) (40,783) (2,366) (10,590) (830) 0 Administrative Class 0 0 0 (10) 0 0 0 0 Other Classes 0 0 (8,974) (17,630) (382) (110) (10) (11) Net increase (decrease) resulting from Fund share transactions 773 2,681 (19,006) 102,052 2,087 12,066 906 747 Total Increase (Decrease) in Net Assets 910 2,921 (17,225) 108,236 2,514 12,657 972 974 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 13,656 10,735 118,464 10,228 12,657 0 4,052 3,078 End of period * $ 14,566 $ 13,656 $ 101,239 $ 118,464 $ 15,171 $ 12,657 $ 5,024 $ 4,052 *Including net undistributed investment income of: $ 39 $ 31 $ 1,397 $ 1,115 $ 173 $ 152 $ 66 $ 66
58 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Statements of Cash Flows For the period ended September 30, 2001 (Unaudited)
Long-Term Amounts in thousands U.S. Government Real Foreign Global Global Fund Return Fund Bond Fund Bond Fund Bond Fund II --------------- ------------ ------------ ---------- ------------ Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 207,122 $ 1,121,207 $ 161,966 $ 38,750 $ 4,144 Redemptions of Fund shares (159,607) (169,365) (102,039) (40,959) (1,963) Cash distributions paid (3,529) (6,946) (2,152) (1,878) (168) Increase (decrease) from financing transactions (121,805) 274,886 (133,696) (104,359) (33,334) Net increase (decrease) from financing activities (77,819) 1,219,782 (75,921) (108,446) (31,321) Operating Activities Purchases of long-term securities and foreign currency (2,195,122) (3,194,825) (1,459,282) (798,080) (166,814) Proceeds from sales of long-term securities and foreign currency 2,299,862 1,847,785 1,520,011 889,727 193,470 Purchases of short-term securities (net) (69,158) 110,697 (21,723) (608) (2,552) Net investment income 15,059 36,458 16,226 8,178 1,752 Change in other receivables/payables (net) 27,087 (21,874) 2,635 (2,938) 2,944 Net increase (decrease) from operating activities 77,728 (1,221,759) 57,867 96,279 28,800 - ------------------------------------------------------------------------------------------------------------------------------------ Net Decrease in Cash and Foreign Currency (91) (1,977) (18,054) (12,167) (2,521) - ------------------------------------------------------------------------------------------------------------------------------------ Cash and Foreign Currency Beginning of period 91 1,977 37,332 18,582 5,419 End of period $ 0 $ 0 $ 19,278 $ 6,415 $ 2,898
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 59 Schedule of Investments Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 33.1% Banking & Finance 21.1% AB Spintab 6.800% due 12/29/2049 $ 250 $ 256 Abbey National Capital Trust I 8.963% due 12/29/2049 18,600 21,027 Abbey National PLC 6.700% due 06/29/2049 5,000 4,877 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 163 Air 2 US 8.027% due 10/01/2020 285 290 Allstate Corp. 4.000% due 07/26/2004 (d) 5,000 4,985 7.875% due 05/01/2005 100 110 6.750% due 05/15/2018 280 268 6.900% due 05/15/2038 87,200 81,907 AMERCO 7.135% due 10/15/2002 15,000 15,358 American Express Co. 5.625% due 01/22/2004 14,700 15,176 7.450% due 08/10/2005 1,000 1,089 American General Finance 6.875% due 12/14/2001 1,600 1,613 7.450% due 07/01/2002 200 207 6.250% due 12/18/2002 1,165 1,208 6.375% due 03/01/2003 350 365 6.170% due 05/06/2003 3,200 3,329 8.125% due 03/15/2046 270 290 American Health Properties, Inc. 7.050% due 01/15/2002 700 704 Aon Capital Trust A 8.205% due 01/01/2027 725 730 Aristar, Inc. 7.375% due 09/01/2004 20,000 21,485 Associates Corp. of North America 6.450% due 10/15/2001 23,600 23,628 7.500% due 04/15/2002 185 190 6.375% due 07/15/2002 175 180 6.500% due 07/15/2002 750 771 6.000% due 12/01/2002 500 516 5.750% due 11/01/2003 5,425 5,637 5.800% due 04/20/2004 450 470 6.625% due 06/15/2005 100 106 AT&T Capital Corp. 6.900% due 01/30/2002 1,000 1,013 6.750% due 02/04/2002 1,925 1,947 Avalonbay Communities 7.375% due 09/15/2002 2,565 2,658 Banco Latinoamericano SA 5.080% due 11/30/2001 10,000 10,087 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 25,676 Banesto Delaware, Inc. 8.250% due 07/28/2002 43,900 45,517 Bank of America Corp. 8.125% due 06/15/2002 350 362 7.750% due 07/15/2002 510 529 7.750% due 08/01/2002 896 899 7.200% due 09/15/2002 1,000 1,038 7.500% due 10/15/2002 1,200 1,254 6.850% due 03/01/2003 65 68 6.875% due 06/01/2003 100 105 6.500% due 08/15/2003 150 158 6.125% due 07/15/2004 600 632 3.763% due 08/26/2005 (d) 32,800 32,822 6.750% due 09/15/2005 200 214 7.400% due 01/15/2011 25,000 27,338 8.570% due 11/15/2024 125 145 Bank One Corp. 3.965% due 09/26/2003 (d) 9,800 9,809 3.920% due 05/07/2004 (d) 8,200 8,213 4.499% due 05/10/2004 (d) 138,600 138,841 BankBoston Corp. 6.125% due 03/15/2002 15,500 15,742 Banponce Financial Corp. 6.463% due 11/13/2001 13,000 13,053 7.125% due 05/02/2002 4,700 4,813 Barclays Bank PLC 8.550% due 09/29/2049 195 222 Bayerische Landesbank NY 6.200% due 02/09/2006 250 257 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 48,900 48,990 6.125% due 02/01/2003 25 26 2.941% due 03/28/2003 (d) 95,440 95,392 6.750% due 04/15/2003 105 110 3.970% due 05/06/2003 (d) 25,000 25,000 3.885% due 05/16/2003 (d) 43,300 43,277 2.864% due 07/22/2003 (d) 19,000 18,922 6.700% due 08/01/2003 100 105 3.850% due 12/01/2003 (d) 100,900 101,043 6.625% due 01/15/2004 200 211 6.150% due 03/02/2004 200 208 8.750% due 03/15/2004 75 82 4.113% due 05/24/2004 (d) 29,300 29,361 3.883% due 06/01/2004 (d) 12,665 12,696 3.173% due 09/21/2004 (d) 5,300 5,302 4.253% due 03/18/2005 (d) 37,300 37,461 4.151% due 09/16/2005 (d) 16,000 15,763 Beaver Valley Funding Corp. 8.250% due 06/01/2003 190 196 Beneficial Corp. 4.190% due 03/01/2002 (d) 13,300 13,325 8.000% due 06/18/2002 400 414 6.030% due 01/14/2003 320 330 Bombardier Capital Trust I 4.440% due 06/09/2032 (d) 16,150 15,796 Bombardier Capital Trust II 3.700% due 06/09/2032 (d) 3,600 3,521 Bombardier Capital, Inc. 7.300% due 12/15/2002 9,000 9,366 Caithness Coso Funding Corp. 6.800% due 12/15/2001 3,316 3,324 Chase Manhanttan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 157 6.000% due 11/01/2005 50 52 6.125% due 11/01/2008 400 406 Chrysler Financial Corp. LLC 5.690% due 11/15/2001 650 652 5.400% due 01/15/2002 15,750 15,832 6.950% due 03/25/2002 50 51 3.509% due 07/17/2002 (d) 20,000 19,886 3.524% due 08/08/2002 (d) 80,500 79,917 3.564% due 02/03/2003 (d) 50,000 49,426 3.554% due 02/10/2003 (d) 8,100 8,005 3.554% due 03/06/2003 (d) 35,000 34,931 3.544% due 03/10/2003 (d) 65,000 64,184 3.504% due 06/18/2003 39,500 38,833 Chubb Capital Corp. 6.875% due 02/01/2003 100 105 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 104,323 CIT Group, Inc. 5.800% due 03/26/2002 1,000 1,015 3.510% due 09/13/2002 (d) 30,900 30,960 7.375% due 03/15/2003 500 526 5.260% due 04/07/2003 (d) 19,277 19,343 5.625% due 10/15/2003 250 258 Citicorp 8.000% due 02/01/2003 250 265 CitiFinancial Credit Co. 8.250% due 11/01/2001 2,500 2,510 6.875% due 05/01/2002 335 343 6.375% due 09/15/2002 115 119 7.750% due 03/01/2005 550 605 60 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Citigroup, Inc. 5.800% due 03/15/2004 $ 200 $ 208 6.500% due 01/18/2011 34,500 36,063 CNA Financial Corp. 6.250% due 11/15/2003 65 65 Comerica Bank 7.250% due 06/15/2007 200 215 Countrywide Home Loans 6.250% due 04/15/2009 600 604 Credit Asset Receivable LLC 6.274% due 10/31/2003 27,927 27,991 Credit Industrial et Commercial (CIC) 5.600% due 02/28/2049 (d) 1,500 1,467 DBS Group Holdings Ltd. 7.875% due 08/10/2009 6,000 6,470 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 5,600 5,621 6.170% due 07/15/2003 20,000 20,839 6.259% due 07/18/2003 (d) 2,000 2,007 Dow Capital BV 7.125% due 01/15/2003 100 105 Duke Capital Corp. 7.250% due 10/01/2004 19,000 20,419 EOP Operating LP 7.000% due 07/15/2011 295 302 Export-Import Bank Korea 6.500% due 02/10/2002 26,641 26,886 6.500% due 11/15/2006 6,445 6,647 7.100% due 03/15/2007 20,100 20,318 Exxon Capital Corp. 6.125% due 09/08/2008 2,000 2,126 Farmers Insurance 8.625% due 05/01/2024 275 280 Finova Capital Corp. 7.500% due 11/15/2009 25,875 10,153 First Chicago Corp. 9.250% due 11/15/2001 250 252 3.190% due 03/11/2002 (d) 10,000 10,017 4.465% due 07/28/2003 (d) 50 50 First National Bank Chicago 8.080% due 01/05/2018 250 276 First Security Corp. 5.875% due 11/01/2003 9,325 9,674 First Union Corp. 8.125% due 06/24/2002 150 155 Ford Credit Canada 3.310% due 12/16/2002 (d) 95,600 95,661 Ford Motor Credit Co. 4.880% due 10/15/2001 (d) 13,000 13,003 4.271% due 11/16/2001 (d) 82,800 82,835 8.240% due 01/15/2002 85 86 8.200% due 02/15/2002 3,000 3,051 6.500% due 02/28/2002 1,710 1,731 8.000% due 06/15/2002 150 155 4.514% due 08/01/2002 (d) 56,000 55,741 6.550% due 09/10/2002 4,000 4,116 7.750% due 11/15/2002 5,730 5,987 6.000% due 01/14/2003 1,100 1,127 7.500% due 01/15/2003 250 261 4.476% due 02/03/2003 (d) 40,000 39,610 3.720% due 02/13/2003 (d) 286,185 282,728 3.340% due 03/17/2003 (d) 48,800 48,179 5.518% due 04/17/2003 (d) 64,600 64,258 6.125% due 04/28/2003 26,130 26,816 3.733% due 06/02/2003 (d) 72,500 71,739 3.255% due 06/20/2003 (d) 20,400 20,156 3.303% due 06/23/2003 (d) 147,150 145,841 6.625% due 06/30/2003 775 804 3.773% due 11/24/2003 (d) 47,000 46,339 5.750% due 02/23/2004 2,516 2,574 4.320% due 03/08/2004 (d) 93,400 93,101 3.950% due 04/26/2004 (d) 63,000 61,877 3.748% due 05/21/2004 (d) 37,200 36,476 3.663% due 06/02/2004 (d) 1,500 1,471 7.500% due 06/15/2004 100 107 4.471% due 06/21/2004 (d) 160,000 157,644 6.700% due 07/16/2004 92,905 96,635 4.110% due 07/19/2004 (d) 174,500 171,432 8.250% due 02/23/2005 2,500 2,721 7.500% due 03/15/2005 17,000 18,067 4.528% due 04/28/2005 (d) 58,000 56,153 3.041% due 06/30/2005 (d) 65,000 63,463 5.219% due 07/18/2005 (d) 230,800 225,259 7.600% due 08/01/2005 5,000 5,312 6.375% due 12/15/2005 100 102 6.875% due 02/01/2006 190 196 7.200% due 06/15/2007 25 26 5.800% due 01/12/2009 155 146 General Electric Capital Corp. 5.500% due 11/01/2001 50 50 5.650% due 03/31/2003 125 129 6.210% due 12/09/2005 400 431 7.875% due 12/01/2006 30 34 General Motors Acceptance Corp. 6.375% due 12/01/2001 765 769 5.500% due 12/15/2001 10,639 10,664 9.625% due 12/15/2001 5,650 5,721 6.625% due 01/10/2002 500 504 6.750% due 02/07/2002 1,590 1,609 7.750% due 03/25/2002 125 128 6.250% due 08/15/2002 100 103 7.000% due 09/15/2002 250 258 6.625% due 10/01/2002 5,000 5,132 3.695% due 11/12/2002 (d) 10,200 10,128 3.720% due 12/09/2002 (d) 64,050 63,510 6.750% due 12/10/2002 500 518 6.200% due 12/15/2002 500 515 5.480% due 12/16/2002 150 153 6.000% due 01/15/2003 990 1,015 5.875% due 01/22/2003 115,500 118,332 3.749% due 02/14/2003 (d) 12,600 12,444 3.670% due 03/10/2003 (d) 7,000 6,912 6.750% due 03/15/2003 49,725 51,537 7.125% due 05/01/2003 36,000 37,652 4.060% due 05/16/2003 (d) 105,575 104,740 4.529% due 07/20/2003 (d) 12,950 12,950 5.924% due 07/21/2003 (d) 33,900 33,336 3.986% due 08/04/2003 (d) 209,695 206,875 3.661% due 08/18/2003 (d) 133,390 131,402 5.550% due 09/15/2003 32,000 32,622 6.625% due 10/20/2003 2,000 2,079 5.750% due 11/10/2003 1,100 1,127 4.480% due 01/20/2004 (d) 399,042 394,447 3.453% due 03/22/2004 (d) 128,600 127,040 4.070% due 04/05/2004 (d) 60,600 59,389 4.338% due 05/10/2004 (d) 149,100 146,598 4.260% due 05/17/2004 (d) 36,300 35,687 4.280% due 05/28/2004 (d) 73,000 72,939 6.850% due 06/17/2004 1,200 1,254 4.190% due 07/20/2004 (d) 6,100 5,968 4.060% due 07/21/2004 (d) 69,600 67,672 4.105% due 07/30/2004 (d) 50,200 49,081 5.163% due 09/20/2004 (d) 19,864 19,839 6.650% due 11/17/2005 500 514 6.750% due 01/15/2006 440 453 6.150% due 04/05/2007 150 149 8.950% due 07/02/2009 14,961 16,320 Golden State Holdings 5.314% due 08/01/2003 (d) 500 492 Goldman Sachs Group, Inc. 4.990% due 01/17/2003 (d) 72,000 72,071 6.625% due 12/01/2004 275 293 7.625% due 08/17/2005 23,000 25,139 6.110% due 02/09/2009 (d) 10,000 10,052 6.500% due 02/25/2009 140 143 Great Western Finance Trust II 8.206% due 02/01/2027 150 152 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 61 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Halyard RE 10.376% due 04/05/2002 (d) $ 1,800 $ 1,803 Hanvit Bank 12.750% due 03/01/2010 36 38 Hartford Life, Inc. 6.900% due 06/15/2004 600 639 Heller Financial, Inc. 4.740% due 10/22/2001 (d) 35,900 35,927 6.500% due 11/01/2001 250 251 5.170% due 11/09/2001 (d) 6,700 6,713 4.090% due 03/13/2002 (d) 43,500 43,590 5.889% due 04/22/2002 (d) 2,100 2,102 4.540% due 04/26/2002 (d) 12,000 12,008 4.469% due 05/07/2002 (d) 25,700 25,747 3.765% due 05/13/2002 (d) 10,000 10,006 7.000% due 05/15/2002 3,300 3,381 6.500% due 07/22/2002 140 144 4.084% due 07/24/2002 (d) 16,200 16,256 4.689% due 08/01/2002 (d) 35,000 35,126 3.935% due 04/28/2003 (d) 26,000 26,010 3.965% due 04/28/2003 (d) 53,500 53,581 Hertz Corp. 7.000% due 07/15/2003 13,300 13,849 Hitachi Credit America 3.858% due 10/15/2003 (d) 11,500 11,505 Household Bank 4.571% due 10/22/2003 (d) 18,000 17,855 Household Capital Trust III 5.253% due 06/26/2004 (d) 23,925 23,528 Household Finance Corp. 4.464% due 11/01/2001 (d) 4,500 4,504 4.424% due 05/07/2002 (d) 43,450 43,452 7.080% due 06/03/2002 15,000 15,424 5.875% due 11/01/2002 200 205 6.125% due 02/27/2003 500 514 2.863% due 06/24/2003 (d) 32,900 32,970 4.420% due 05/28/2004 (d) 293,900 294,177 Household Netherlands BV 6.125% due 03/01/2003 18,100 18,680 HSBC Capital Funding LP 9.547% due 12/31/2049 76,400 89,238 10.176% due 12/31/2049 46,160 54,103 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,294 Inter-American Development Bank 5.375% due 01/18/2006 131,000 136,373 8.875% due 06/01/2009 200 245 7.375% due 01/15/2010 4,200 4,839 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,096 International Lease Finance Corp. 5.930% due 07/15/2003 14,000 14,593 J.P. Morgan & Co., Inc. 6.700% due 11/01/2007 30 32 6.698% due 02/15/2012 (d) 600 585 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 124 John Hancock 7.375% due 02/15/2024 360 362 Juno RE Ltd. 7.930% due 06/26/2002 (d) 27,750 27,706 KBC Bank Fund Trust III 9.860% due 11/02/2049 (d) 5,700 6,587 Kern River Funding Corp. 6.720% due 09/30/2001 1,125 1,125 Key Bank USA NA 7.550% due 09/15/2006 350 383 Kimco Realty Corp. 6.500% due 10/01/2003 200 208 Korea Development Bank 7.900% due 02/01/2002 300 304 8.600% due 03/25/2002 6,600 6,781 7.625% due 10/01/2002 300 312 6.500% due 11/15/2002 440 454 6.625% due 11/21/2003 2,000 2,089 6.750% due 12/01/2005 55 57 7.250% due 05/15/2006 50 53 LB Rheinland - PFALZ 6.875% due 02/23/2028 3,400 3,383 Lehman Brothers Holdings, Inc. 4.305% due 01/30/2002 (d) 2,200 2,203 4.370% due 03/18/2002 (d) 10,000 10,016 6.375% due 05/07/2002 61,290 62,597 8.750% due 05/15/2002 219 226 4.290% due 06/03/2002 (d) 600 601 7.125% due 07/15/2002 100 103 4.380% due 08/12/2002 (d) 6,500 6,490 4.826% due 08/28/2002 (d) 6,500 6,540 4.290% due 09/03/2002 (d) 14,000 14,021 4.466% due 12/12/2002 (d) 60,100 60,386 4.220% due 04/04/2003 (d) 132,550 132,794 4.220% due 07/06/2004 (d) 105,751 105,822 7.625% due 06/01/2006 350 384 8.250% due 06/15/2007 70 78 LG&E Capital Corp. 6.205% due 05/01/2004 1,000 1,032 6.460% due 01/15/2008 3,000 3,004 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 18,666 Limestone Electron Trust 8.625% due 03/15/2003 71,350 74,795 Lion Connecticut Holdings 6.375% due 08/15/2003 200 208 7.250% due 08/15/2023 50 51 Lloyds TSB Bank PLC 4.456% due 08/25/2010 (d) 3,000 3,018 MBNA America Bank NA 4.634% due 04/25/2002 (d) 1,000 999 MCN Investment Corp. 7.120% due 01/16/2004 7,500 7,811 Merrill Lynch & Co. 8.000% due 02/01/2002 400 407 7.375% due 08/17/2002 300 311 8.300% due 11/01/2002 700 739 6.000% due 02/12/2003 500 518 6.875% due 03/01/2003 140 147 2.753% due 06/24/2003 (d) 32,000 32,008 3.959% due 08/01/2003 (d) 22,000 22,067 3.936% due 08/04/2003 (d) 29,000 29,089 8.770% due 05/21/2004 (d) 117,285 117,495 6.550% due 08/01/2004 400 427 7.000% due 04/27/2008 100 107 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 7,102 MIC Financing Trust I 8.375% due 02/01/2027 36,000 33,342 Monumental Global Funding II 5.106% due 09/26/2003 (d) 58,500 58,511 Morgan Stanley Group, Inc. 3.548% due 03/11/2003 (d) 11,500 11,512 6.375% due 12/15/2003 150 157 5.625% due 01/20/2004 1,200 1,242 Morgan Stanley, Dean Witter & Co. 4.910% due 04/15/2002 (d) 550 551 3.850% due 05/05/2003 (d) 43,000 43,033 3.906% due 08/07/2003 (d) 143,400 143,626 4.660% due 04/22/2004 (d) 112,700 113,124 3.889% due 05/14/2004 (d) 179,200 179,272 Nacional Financiera 9.750% due 03/12/2002 10,000 10,238 5.464% due 05/08/2003 (d) 17,680 17,680 National Rural Utilities Cooperative Finance Corp. 3.700% due 05/31/2002 (d) 37,000 37,020 6.250% due 04/15/2003 50,000 51,743 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 12,275 12,306 9.375% due 11/15/2003 200 222 62 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Newcourt Credit Group, Inc. 6.875% due 02/16/2005 $ 7,500 $ 7,877 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 12,143 Nordbanken AB 8.950% due 11/29/2049 4,000 4,506 Nordstom Credit, Inc. 7.250% due 04/30/2002 1,000 1,026 Northern Rock PLC 8.000% due 12/31/2049 260 5,980 Old Kent Bank 4.429% due 11/01/2005 (d) 3,400 3,397 7.750% due 08/15/2010 19,500 20,977 Osprey Trust 8.310% due 01/15/2003 76,155 79,296 Pacific Life Insurance Co. 7.900% due 12/30/2023 8,000 8,338 Paine Webber Group, Inc. 3.480% due 05/20/2002 (d) 1,000 1,001 5.320% due 07/15/2002 (d) 200 201 Parker Retirement Savings Plan 6.340% due 07/15/2008 741 766 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 1,128 Pemex Finance Ltd. 6.125% due 11/15/2003 15,000 15,305 PNC Funding Corp. 6.875% due 03/01/2003 100 105 7.000% due 09/01/2004 20,000 21,465 PNC Institutional Capital Trust 7.950% due 12/15/2026 150 153 Popular, Inc. 6.540% due 11/06/2001 18,705 18,770 6.625% due 01/15/2004 19,500 20,304 Premium Asset Trust 4.381% due 11/27/2004 (d) 48,900 49,035 5.110% due 10/06/2005 (d) 300 300 Prime Property Funding II 7.000% due 08/15/2004 110 115 Protective Life Funding Trust 5.159% due 01/17/2003 (d) 2,000 2,007 Prudential Funding Corp. 6.375% due 07/23/2006 100 104 6.625% due 04/01/2009 17,000 16,699 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 3,400 3,406 PSEG Capital Corp. 6.740% due 10/23/2001 1,400 1,403 Reliance Group Holdings, Inc. 9.750% due 11/15/2003 (e) 10,000 350 9.000% due 11/15/2049 (e) 19,000 760 Reliant Energy Financial Co. 4.156% due 12/10/2001 (d) 53,100 53,191 Residential Reinsurance 8.510% due 06/01/2004 88,200 88,200 Rothmans Holdings 6.500% due 05/06/2003 16,390 16,921 Royal & Sun Alliance Insurance Group PLC 8.950% due 10/15/2029 270 269 Royal Bank of Scotland Group PLC 8.817% due 03/31/2049 41,600 46,154 9.118% due 03/31/2049 66,400 76,451 Salomon, Inc. 7.000% due 03/04/2002 18,850 19,191 6.750% due 02/15/2003 450 471 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (j) 30,556 30,714 6.625% due 07/01/2002 55 56 6.125% due 01/15/2003 290 301 3.815% due 02/11/2003 (d) 44,200 44,292 3.955% due 04/28/2003 (d) 28,000 28,043 4.760% due 01/22/2004 10,000 10,000 7.000% due 03/15/2004 100 107 3.980% due 05/04/2004 (d) 10,020 10,036 3.859% due 05/21/2004 48,000 48,084 Sears Roebuck Acceptance Corp. 6.600% due 10/09/2001 17,000 17,011 6.360% due 12/04/2001 290 292 6.120% due 12/13/2001 260 261 6.950% due 05/15/2002 4,100 4,183 6.000% due 03/20/2003 149,750 153,916 7.260% due 04/21/2003 3,000 3,135 7.140% due 05/02/2003 5,000 5,219 6.560% due 11/20/2003 1,178 1,229 Seismic Ltd. 8.336% due 01/01/2002 (d) 32,500 32,450 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,043 Socgen Real Estate LLC 7.640% due 12/29/2049 20,000 21,091 Spieker Properties, Inc. 6.800% due 12/15/2001 5,500 5,534 6.950% due 12/15/2002 1,600 1,656 6.800% due 05/01/2004 1,000 1,047 Steers 8.049% due 08/07/2002 (d) 20,000 20,388 Sun Life of Canada (U.S.) 8.526% due 05/29/2049 250 257 Textron Financial Corp. 4.610% due 10/26/2001 (d) 11,200 11,209 4.406% due 05/28/2002 (d) 51,900 51,972 5.060% due 09/17/2002 (d) 2,000 2,004 The Money Store, Inc. 8.050% due 04/15/2002 300 308 7.300% due 12/01/2002 100 105 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 40,000 40,158 Transamerica Finance Corp. 6.125% due 11/01/2001 29,000 29,048 3.406% due 12/14/2001 (d) 64,300 64,386 5.920% due 03/29/2002 52,050 52,798 7.250% due 08/15/2002 86,195 89,249 7.500% due 03/15/2004 270 290 Trinom Ltd. 7.150% due 06/18/2004 (d) 48,700 48,700 U.S. Bancorp 4.180% due 03/06/2003 600 603 6.500% due 06/15/2004 600 633 US Bank National Association 5.700% due 12/15/2008 370 371 Wachovia Corp. 6.375% due 04/15/2003 200 209 Washington Mutual, Inc. 4.419% due 05/14/2004 (d) 138,200 138,470 4.403% due 05/17/2004 (d) 191,600 191,985 8.375% due 06/01/2027 235 242 Wells Fargo & Co. 8.750% due 05/01/2002 100 103 6.500% due 09/03/2002 100 103 6.625% due 07/15/2004 6,500 6,956 Wells Fargo Financial, Inc. 6.375% due 07/16/2002 500 513 6.250% due 11/01/2002 100 103 7.000% due 01/15/2003 380 398 6.000% due 02/01/2004 50 52 WestDeutsche Landersbank 6.750% due 06/15/2005 36,400 38,727 6.050% due 01/15/2009 164,600 168,239 Western Capital 8.796% due 01/07/2003 (d) 15,600 15,600 ----------- 10,207,627 ----------- Industrials 6.7% Adelphia Communications Corp. 8.375% due 02/01/2008 25 21 7.875% due 05/01/2009 25 20 AdvancePCS 8.500% due 04/01/2008 25 25 AIC Corp. 3.940% due 10/02/2002 (d) 17,000 16,981 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 63 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Air Products & Chemicals, Inc. 6.250% due 06/15/2003 $ 2,500 $ 2,584 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 33,136 Albertson's, Inc. 6.550% due 08/01/2004 240 252 Allied Waste Industries, Inc. 6.100% due 01/15/2003 6,000 6,003 7.375% due 01/01/2004 18,925 18,736 7.625% due 01/01/2006 25 25 AMERCO 7.230% due 01/21/2027 1,250 1,254 America West Airlines, Inc. 6.870% due 07/02/2018 1,776 1,524 American Airlines, Inc. 10.210% due 01/01/2010 6,500 6,767 10.610% due 03/04/2011 1,895 2,024 6.978% due 04/01/2011 40,200 40,527 7.858% due 10/01/2011 78,700 79,409 American Standard Cos., Inc. 7.375% due 02/01/2008 25 25 Amkor Technology, Inc. 9.250% due 05/01/2006 25 20 Amoco Corp. 6.250% due 10/15/2004 1,000 1,063 AMR Corp. 9.125% due 10/24/2001 750 752 9.130% due 10/25/2001 2,000 2,005 8.470% due 02/20/2002 2,000 1,994 8.500% due 02/26/2002 1,000 997 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 534 AT&T Corp. 8.250% due 01/15/2003 43,125 45,390 Atlas Air, Inc. 7.540% due 04/04/2003 (d) 22,700 22,700 8.540% due 04/04/2003 (d) 3,000 3,000 Avis Group Holdings, Inc. 11.000% due 05/01/2009 25 26 Baxter International, Inc. 9.500% due 06/15/2008 200 240 Bayer Corp. 6.500% due 10/01/2002 250 258 Boeing Co. 6.350% due 06/15/2003 750 781 Buckeye Technologies, Inc. 8.000% due 10/15/2010 25 22 Building Materials Corp. 8.000% due 10/15/2007 15 10 Campbell Soup Co. 4.750% due 10/01/2003 700 711 Canadian National Railway Co. 6.375% due 10/15/2011 4,500 4,532 Cargill, Inc. 4.900% due 01/14/2002 (d) 3,000 3,001 Cemex SA de CV 9.250% due 06/17/2002 5,100 5,279 8.625% due 07/18/2003 48,250 50,301 Charter Communications Holdings LLC 8.250% due 04/01/2007 25 23 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 20,000 20,065 Coastal Corp. 3.913% due 03/06/2002 (d) 149,350 149,586 8.125% due 09/15/2002 250 260 4.914% due 07/21/2003 (d) 7,700 7,726 Coca-Cola Enterprises, Inc. 7.875% due 02/01/2002 100 101 6.000% due 07/15/2003 250 261 5.750% due 11/01/2008 100 102 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 47 Comcast Cable Communications 8.375% due 05/01/2007 145 162 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 20,500 20,538 Continental Airlines, Inc. 6.410% due 04/15/2007 325 325 6.800% due 07/02/2007 25 24 6.954% due 02/02/2011 12,918 12,233 6.900% due 01/02/2018 1,452 1,336 Cox Communications, Inc. 4.999% due 11/07/2002 (d) 16,000 16,072 Cox Enterprises, Inc. 6.625% due 06/14/2002 7,250 7,372 4.579% due 05/01/2033 (d) 1,100 1,108 Crown Castle International Corp. 13.250% due 11/15/2007 25 20 CSC Holdings, Inc. 8.125% due 07/15/2009 25 26 CSX Corp. 4.339% due 06/24/2002 (d) 32,100 32,122 7.900% due 05/01/2017 295 327 DaimlerChrysler North America Holding Corp. 3.885% due 01/18/2002 (d) 41,000 40,998 7.125% due 03/01/2002 46,500 47,126 3.830% due 03/22/2002 (d) 5,000 4,983 3.798% due 08/23/2002 (d) 37,710 37,726 3.270% due 09/16/2002 (d) 23,350 23,213 3.920% due 12/16/2002 (d) 99,100 99,660 7.750% due 05/27/2003 45,000 47,343 4.200% due 08/01/2003 (d) 5,700 5,649 4.270% due 08/21/2003 (d) 18,000 17,716 3.880% due 08/16/2004 (d) 76,600 75,125 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 715 736 10.500% due 01/02/2007 6,627 7,869 10.370% due 01/02/2007 9,629 10,016 10.570% due 01/02/2007 15,881 16,231 9.550% due 01/02/2008 7,773 7,928 10.430% due 01/02/2011 3,755 3,430 10.140% due 08/14/2012 1,000 869 10.000% due 06/05/2013 10,828 9,483 Delta Air Lines, Inc. 6.650% due 03/15/2004 13,500 11,935 7.379% due 05/18/2010 9,794 10,147 7.570% due 05/18/2012 10,000 10,191 9.200% due 09/23/2014 6,000 4,986 10.500% due 04/30/2016 6,050 6,179 Duty Free International, Inc. 7.000% due 01/15/2004 175 182 Eastman Chemical Co. 6.375% due 01/15/2004 5,750 5,894 Echostar Communications Corp. 9.375% due 02/01/2009 25 25 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,405 Eli Lilly & Co. 8.125% due 12/01/2001 500 504 6.250% due 03/15/2003 100 104 Elizabeth Arden, Inc. 11.750% due 02/01/2011 25 24 Enron Corp. 6.450% due 11/15/2001 5,275 5,294 8.000% due 08/15/2005 3,200 3,311 Federal Express Corp. 6.845% due 01/15/2019 805 761 Ferrellgas Partners LP 9.375% due 06/15/2006 25 25 Fisher Scientific International 7.125% due 12/15/2005 50 49 Flag Ltd. 8.250% due 01/30/2008 25 16 Ford Capital BV 9.500% due 06/01/2010 200 229 Ford Motor Co. 7.450% due 07/16/2031 295 279 Forest Oil Corp. 8.000% due 06/15/2008 25 25 64 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Fortune Brands, Inc. 8.500% due 10/01/2003 $ 500 $ 542 Fox Family Worldwide, Inc. 9.250% due 11/01/2007 25 26 Fox/Liberty Networks LLC 0.000% due 08/15/2007 50 48 Fred Meyer, Inc. 7.375% due 03/01/2005 38,100 40,830 General Motors Corp. 6.250% due 05/01/2005 300 307 Gillette Co. 6.250% due 08/15/2003 750 787 5.750% due 10/15/2005 1,500 1,546 Global Crossing Holding Ltd. 9.125% due 11/15/2006 25 11 Grupo Industrial Durango SA 12.625% due 08/01/2003 17 17 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 5,000 4,988 HCA - The Healthcare Co. 8.020% due 08/05/2002 9,000 9,320 4.610% due 09/19/2002 (d) 190,500 190,743 8.130% due 08/04/2003 7,300 7,665 6.910% due 06/15/2005 9,500 9,575 7.250% due 05/20/2008 1,450 1,438 6.630% due 07/15/2045 10,000 10,269 6.730% due 07/15/2045 22,560 23,177 HEALTHSOUTH Corp. 6.875% due 06/15/2005 1,500 1,476 10.750% due 10/01/2008 25 27 Heinz (H.J.) Co. 6.875% due 01/15/2003 100 104 Hilton Hotels Corp. 7.375% due 06/01/2002 1,000 1,007 HMH Properties, Inc. 7.875% due 08/01/2008 25 21 HNA Holdings, Inc. 6.125% due 02/01/2004 200 208 Honeywell, Inc. 6.750% due 03/15/2002 250 254 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 3,011 IBM Corp. 7.250% due 11/01/2002 625 651 7.875% due 12/01/2005 25 7 4.875% due 10/01/2006 15,000 14,929 ICI Wilmington, Inc. 6.750% due 09/15/2002 10,000 10,215 IMEXSA Export Trust 10.125% due 05/31/2003 5,676 5,610 Imperial Tobacco Overseas BV 7.125% due 04/01/2009 21,785 22,683 International Game Technology 7.875% due 05/15/2004 14,525 14,598 International Paper Co. 4.620% due 07/08/2002 (d) 50,200 50,264 Jack In The Box, Inc. 8.375% due 04/15/2008 25 25 Kerr-McGee Corp. 3.341% due 06/28/2004 (d) 85,100 84,901 6.875% due 09/15/2011 10,000 9,962 7.875% due 09/15/2031 25,000 25,136 Kinder Morgan, Inc. 6.450% due 11/30/2001 10,000 10,044 Kmart Corp. 9.875% due 06/15/2008 25 23 Kroger Co. 7.150% due 03/01/2003 13,000 13,616 4.310% due 08/16/2012 (d) 97,600 97,726 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,095 9.250% due 12/01/2005 25 23 Martin Marietta Corp. 6.500% due 04/15/2003 50 52 Mazda Manufacturing Corp. 10.500% due 07/01/2008 1,980 2,577 McLeodUSA, Inc. 0.000% due 03/01/2007 25 8 Mediacom Capital Corp. 8.500% due 04/15/2008 25 24 Meristar Hospitality Corp. 9.125% due 01/15/2011 25 20 MGM Grand, Inc. 9.750% due 06/01/2007 25 25 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 25 25 Nabisco, Inc. 6.700% due 06/15/2002 9,000 9,181 6.125% due 02/01/2033 15,000 15,398 News America Holdings, Inc. 8.625% due 02/01/2003 750 791 Nextel Communications, Inc. 9.375% due 11/15/2009 25 16 Norfolk Southern Corp. 6.950% due 05/01/2002 12,000 12,247 7.875% due 02/15/2004 50 54 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,568 1,554 8.072% due 10/01/2019 398 410 Occidental Petroleum Corp. 8.500% due 11/09/2001 2,500 2,510 6.400% due 04/01/2003 17,710 18,275 Owens-Illinois, Inc. 7.350% due 05/15/2008 25 19 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,779 Petroleos Mexicanos 7.185% due 07/15/2005 (d) 32,250 32,371 6.906% due 07/15/2005 (d) 94,500 94,854 8.850% due 09/15/2007 1,800 1,850 9.375% due 12/02/2008 39,650 41,434 9.500% due 09/15/2027 31,000 32,938 Philip Morris Cos., Inc. 7.500% due 01/15/2002 50 51 7.625% due 05/15/2002 8,300 8,493 6.800% due 12/01/2003 48,345 50,881 7.000% due 07/15/2005 15,125 16,062 6.950% due 06/01/2006 9,540 10,144 7.200% due 02/01/2007 34,000 36,443 Pioneer National Resources Co. 9.625% due 04/01/2010 50 54 Premium Asset Trust 3.895% due 09/08/2007 (d) 25,000 25,000 Procter & Gamble Co. 5.250% due 09/15/2003 35,900 37,111 Qwest Corp. 4.270% due 07/08/2002 (d) 21,100 21,129 7.000% due 08/03/2009 375 376 Racers 3.713% due 03/03/2003 (d) 282,400 282,985 4.960% due 04/01/2003 (d) 20,000 20,000 5.560% due 04/28/2003 (d) 45,000 46,103 3.800% due 09/15/2005 (d) 15,000 15,000 Raytheon Co. 4.630% due 03/01/2002 (d) 8,650 8,654 Rollins Truck Leasing Co. 8.250% due 05/01/2002 13,400 13,717 Safeway, Inc. 5.875% due 11/15/2001 43,060 43,195 7.000% due 09/15/2002 16,125 16,544 6.850% due 09/15/2004 250 267 Saks, Inc. 8.250% due 11/15/2008 25 18 Sara Lee Corp. 6.300% due 11/07/2005 500 517 SCL Terminal Aereo Santiago 6.950% due 07/01/2012 5,000 5,119 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 246 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 65 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Scotts Co. 8.625% due 01/15/2009 $ 25 $ 25 Sears, Roebuck & Co. 8.390% due 02/14/2002 240 244 6.250% due 01/15/2004 300 310 SmithKline Beecham Corp. 7.375% due 04/15/2005 150 164 SR Wind Ltd. 8.888% due 05/18/2005 (d) 12,000 11,960 9.388% due 05/18/2005 (d) 13,000 13,133 Stater Brothers Holdings 10.750% due 08/15/2006 25 25 Station Casinos, Inc. 8.875% due 12/01/2008 25 22 Sun Microsystems, Inc. 7.000% due 08/15/2002 200 204 Systems 2001 Asset Trust 7.156% due 12/15/2011 29,910 31,154 TCI Communications, Inc. 3.750% due 04/03/2002 (d) 19,300 19,357 3.810% due 03/11/2003 (d) 5,000 5,031 6.375% due 05/01/2003 3,280 3,389 8.650% due 09/15/2004 625 691 8.000% due 08/01/2005 450 492 Teleglobe, Inc. 7.200% due 07/20/2009 410 420 7.700% due 07/20/2009 255 249 Telewest Communications PLC 9.250% due 04/15/2009 50 18 Tenet Healthcare Corp. 7.875% due 01/15/2003 10,300 10,712 8.625% due 12/01/2003 6,200 6,634 8.125% due 12/01/2008 25 27 Texaco Capital, Inc. 8.500% due 02/15/2003 700 751 6.000% due 06/15/2005 400 419 Textron, Inc. 6.750% due 09/15/2002 225 231 Time Warner, Inc. 6.100% due 12/30/2001 45,875 46,115 9.625% due 05/01/2002 22,550 23,299 7.975% due 08/15/2004 15,032 16,474 10.150% due 05/01/2012 200 253 Times Mirror Co. 6.650% due 10/15/2001 300 300 Triad Hospitals, Inc. 11.000% due 05/15/2009 25 27 TRW, Inc. 6.625% due 06/01/2004 8,925 9,188 Tyco International Group SA 6.875% due 09/05/2002 3,175 3,255 6.125% due 11/01/2008 305 308 Union Pacific Corp. 5.780% due 10/15/2001 5,000 5,003 7.875% due 02/15/2002 14,055 14,273 5.426% due 07/01/2002 (d) 25,500 25,540 6.930% due 06/01/2003 1,000 1,046 6.120% due 02/01/2004 250 250 Unisys Corp. 9.210% due 01/21/2017 2,000 2,080 United Air Lines, Inc. 3.683% due 12/02/2002 (d) 16,619 16,687 9.200% due 03/22/2008 3,690 3,566 6.932% due 09/01/2011 (d) 10,500 9,917 10.360% due 11/13/2012 7,000 6,731 10.020% due 03/22/2014 6,925 7,067 10.850% due 07/05/2014 34,111 33,144 10.850% due 02/19/2015 2,100 2,155 10.125% due 03/22/2015 14,300 14,699 9.060% due 06/17/2015 5,000 5,170 United Technologies Corp. 7.125% due 11/15/2010 450 482 UnumProvident Corp. 7.625% due 03/01/2011 355 374 US Airways, Inc. 6.850% due 01/30/2018 141 129 UST, Inc. 7.250% due 06/01/2009 15,000 15,034 Viacom, Inc. 8.375% due 06/15/2002 2,800 2,895 6.625% due 05/15/2011 4,500 4,627 VoiceStream Wireless Corp. 10.375% due 11/15/2009 25 28 Wal-Mart Stores, Inc. 6.750% due 05/24/2002 170 174 6.500% due 06/01/2003 200 210 Walt Disney Co. 5.125% due 12/15/2003 500 512 Waste Management, Inc. 6.625% due 07/15/2002 13,153 13,309 6.500% due 12/15/2002 4,800 4,908 6.375% due 12/01/2003 200 206 6.500% due 05/15/2004 94,000 97,272 7.375% due 08/01/2010 525 552 Williams Communications Group, Inc. 10.700% due 10/01/2007 25 11 Winn-Dixie Stores, Inc. 8.875% due 04/01/2008 25 24 Witco Corp. 6.600% due 04/01/2003 100 102 ---------- 3,257,915 ---------- Utilities 5.3% AES Corp. 9.500% due 06/01/2009 25 22 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,643 Allegheny Energy Supply 6.325% due 05/01/2002 (d) 5,800 5,808 Allete, Inc. 4.610% due 10/20/2003 (d) 79,700 79,844 Amerada Hess Corp. 8.590% due 02/06/2002 35,000 35,921 American Tower Corp. 9.375% due 02/01/2009 25 24 Arizona Public Service Co. 4.290% due 11/15/2001 (d) 14,000 14,017 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,029 4.540% due 03/07/2003 (d) 300 300 AT&T Canada, Inc. 0.000% due 11/01/2007 11,000 3,848 0.000% due 06/15/2008 6,030 2,051 AT&T Corp. 7.125% due 01/15/2002 275 277 Azurix Corp. 10.375% due 02/15/2007 25 25 Baltimore Gas & Electric 6.125% due 07/01/2003 150 156 Bell Atlantic Maryland, Inc. 8.000% due 10/15/2029 1,125 1,254 Bell Atlantic Virginia, Inc. 5.625% due 03/01/2007 500 498 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 10,000 10,195 6.250% due 05/15/2003 100 104 British Telecom PLC 4.445% due 12/15/2003 (d) 203,860 207,941 7.625% due 12/15/2005 6,800 7,357 8.125% due 12/15/2010 83,000 92,137 BRL Universal Equipment 8.875% due 02/15/2008 25 25 Calpine Corp. 7.750% due 04/15/2009 50 47 CE Electric Funding 6.853% due 12/30/2004 250 258 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,715 Central Power & Light Co. 4.676% due 11/23/2001 (d) 18,100 18,125 66 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Chesapeake Energy Corp. 8.125% due 04/01/2011 $ 25 $ 24 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 34,017 CMS Energy Corp. 8.375% due 07/01/2003 15,000 15,518 7.000% due 01/15/2005 41,325 41,368 7.500% due 01/15/2009 25 24 Cogentrix Energy, Inc. 8.750% due 10/15/2008 25 27 Columbia Energy Group 6.610% due 11/28/2002 5,000 5,157 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 10,464 Commonwealth Edison Co. 3.091% due 09/30/2002 (d) 10,900 10,911 6.625% due 07/15/2003 1,000 1,048 7.145% due 09/30/2003 (d) 22,700 22,708 9.875% due 06/15/2020 11,700 13,415 Conectiv, Inc. 4.210% due 06/13/2002 (d) 25,000 25,040 Consolidated Edison, Inc. 6.625% due 02/01/2002 100 101 3.950% due 06/15/2002 (d) 11,000 11,024 6.375% due 04/01/2003 1,000 1,037 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 46,998 Constellation Energy Group 4.270% due 04/04/2003 (d) 15,000 15,001 CSW Energy, Inc. 6.875% due 10/01/2001 2,000 2,000 Detroit Edison Co. 7.210% due 08/01/2002 1,000 1,035 4.360% due 07/15/2028 5,900 5,900 Deutsche Telekom AG 7.750% due 06/15/2005 97,100 103,791 8.000% due 06/15/2010 13,000 14,094 8.250% due 06/15/2030 50,000 52,962 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 20,000 20,109 7.600% due 07/15/2003 35,000 37,186 DTE Energy Co. 7.110% due 11/15/2038 90,750 94,283 El Paso Electric Co. 9.400% due 05/01/2011 7,455 8,447 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,161 Entergy Arkansas, Inc. 7.000% due 03/01/2002 3,580 3,626 7.720% due 03/01/2003 1,300 1,363 Entergy Gulf States, Inc. 4.826% due 09/01/2004 (d) 6,400 6,406 Entergy Louisiana, Inc. 5.800% due 03/01/2002 16,500 16,633 7.740% due 07/01/2002 599 601 8.500% due 06/01/2003 3,000 3,202 Entergy Mississippi, Inc. 4.329% due 05/03/2004 (d) 31,000 31,048 Exelon Corp. 5.625% due 11/01/2001 22,350 22,389 Florida Power & Light 6.875% due 12/01/2005 4,000 4,307 France Telecom 5.149% due 03/14/2003 (d) 145,005 146,627 3.396% due 07/16/2003 (d) 138,700 138,787 7.750% due 03/01/2011 14,500 15,427 8.500% due 03/01/2031 50,000 53,674 Georgia Power Co. 2.664% due 02/22/2002 (d) 15,000 15,006 GTE California, Inc. 5.500% due 01/15/2009 100 98 GTE South, Inc. 7.250% due 08/01/2002 150 155 Houston Lighting & Power Co. 8.750% due 03/01/2022 10,000 10,372 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 500 489 Indiana Michigan Power Co. 4.088% due 09/03/2002 (d) 7,800 7,818 Indianapolis Power & Light Co. 7.375% due 08/01/2007 225 240 Kinder Morgan, Inc. 6.450% due 03/01/2003 240 248 Korea Electric Power Corp. 7.000% due 10/01/2002 380 389 6.375% due 12/01/2003 220 229 LIN Television Corp. 8.000% due 01/15/2008 25 24 Mirant Corp. 7.900% due 07/15/2009 175 181 Nevada Power Co. 6.200% due 04/15/2004 20,000 20,014 New England Telephone & Telegraph Co. 6.250% due 03/15/2003 50 52 6.375% due 09/01/2008 1,350 1,345 New York Telephone Co. 6.250% due 02/15/2004 150 157 6.000% due 04/15/2008 45 46 Niagara Mohawk Power Co. 7.250% due 10/01/2002 24,783 25,509 7.375% due 07/01/2003 39,162 41,063 7.375% due 08/01/2003 1,645 1,736 Noram Energy Corp. 6.375% due 11/01/2003 22,250 23,270 Nortel Networks Corp. 6.875% due 10/01/2002 200 193 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,369 NRG Northeast Generating LLC 8.065% due 12/15/2004 352 367 Nuevo Energy Co. 8.875% due 06/01/2008 25 25 Ohio Bell Telephone Co. 5.375% due 03/01/2007 950 928 Ohio Power Co. 7.000% due 07/01/2004 24,000 25,324 Oneok, Inc. 5.068% due 04/24/2002 (d) 8,000 8,012 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(e) 33,700 28,982 5.875% due 10/01/2005 (e) 100 94 7.250% due 08/01/2026 (e) 10,000 9,050 Pacific Northwest Bell Telephone 4.375% due 09/01/2002 50 50 Portland General Electric Co. 7.660% due 01/14/2002 5,000 5,064 PP&L, Inc. 6.550% due 03/01/2006 500 522 Progress Energy, Inc. 7.100% due 03/01/2011 350 375 PSEG Energy Holdings, Inc. 9.125% due 02/10/2004 120 128 PSEG Power LLC 8.625% due 04/15/2031 210 238 Public Service Co. of Colorado 6.000% due 04/15/2003 750 775 Public Service Electric & Gas Co. 6.125% due 08/01/2002 1,000 1,018 6.250% due 01/01/2007 1,500 1,528 Ras Laffan Liquid Natural Gas 8.294% due 03/15/2014 145 153 RCN Corp. 10.125% due 01/15/2010 18 6 Scana Corp. 4.150% due 02/08/2002 (d) 13,900 13,907 4.420% due 07/15/2002 (d) 40,900 40,944 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 67 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Sierra Pacific Resources 5.478% due 04/20/2002 (d) $ 4,500 $ 4,458 5.428% due 04/20/2003 (d) 4,000 3,877 Southern California Edison Co. 6.514% due 05/01/2002 (d) 24,000 20,760 6.500% due 06/01/2049 200 170 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 149,200 149,385 6.500% due 11/15/2001 14,365 14,422 7.625% due 06/10/2002 97,361 100,309 4.268% due 06/10/2002 (d) 14,400 14,438 2.953% due 06/24/2002 (d) 74,500 74,583 8.125% due 07/15/2002 10,378 10,707 6.125% due 11/15/2008 390 380 Telekomunikacja Polska SA 7.125% due 12/10/2003 12,200 12,745 7.750% due 12/10/2008 7,895 8,159 Texas Utilities Corp. 5.940% due 10/15/2001 6,250 6,261 6.500% due 08/16/2002 2,600 2,658 6.750% due 03/01/2003 150 155 3.750% due 06/15/2003 (d) 8,000 8,004 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,450 8.700% due 09/01/2002 24,500 25,263 7.850% due 03/31/2003 7,000 7,300 7.875% due 08/01/2004 500 544 TXU Eastern Funding Co. 6.150% due 05/15/2002 64,800 65,772 6.450% due 05/15/2005 15,270 15,686 Union Electric Co. 8.000% due 12/15/2022 1,000 1,020 Vodafone Group PLC 3.310% due 12/19/2001 (d) 27,800 27,840 7.750% due 02/15/2010 500 548 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 37,600 37,652 6.200% due 08/01/2002 5,000 5,083 7.625% due 07/15/2019 85 83 Wilmington Trust Co. - Tucson Electric 10.732% due 01/01/2013 991 1,126 WorldCom, Inc. 4.302% due 11/26/2001 (d) 10,300 10,311 7.375% due 01/15/2003 21,150 21,885 6.125% due 04/15/2012 39,360 39,901 8.250% due 05/15/2031 310 312 Xcel Energy, Inc. 7.000% due 12/01/2010 130 137 ------------ 2,537,438 ------------ Total Corporate Bonds & Notes 16,002,980 (Cost $15,896,786) ------------ MUNICIPAL BONDS & NOTES 0.7% Alabama 0.0% Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-323 7.620% due 02/01/2029 (d) 4,500 4,438 Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-352 7.992% due 02/01/2036 (d) 625 617 Jefferson County, Alabama Sewer Revenue Bonds, (FGIC Insured), Series 2001 6.940% due 02/01/2039 5,500 5,253 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.410% due 11/15/2029 1,000 913 ------------ 11,221 ------------ California 0.0% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 2,500 2,466 Fairfield California Redevelopment Agency Tax Allocation Bonds, Series 1997 7.700% due 06/01/2002 5 5 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 9,000 2,574 0.000% due 01/01/2030 3,590 830 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 7.870% due 07/01/2023 3,500 3,526 Modesto California Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 09/01/2029 300 300 Orange County School Board, Certificate of Participation, (MBIA Insured), Series 2000 7.370% due 08/01/2024 3,500 3,395 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 1,001 San Francisco, California City & County Common International Airport Revenue Bonds, (MBIA Insured), Series 2000 4.840% due 05/01/2028 3,350 2,822 ------------ 16,919 ------------ Colorado 0.0% Denver Colorado City & County Airport Revenue Bonds, Series 2000 5.980% due 11/15/2025 2,500 2,375 ------------ Florida 0.0% Broward County Florida Airport System Revenue Bonds, (AMBAC Insured), Series 2000 6.870% due 10/01/2023 1,328 1,128 Florida State Board of Education General Obligation Bonds, (FGIC Insured), Series 2000 6.370% due 06/01/2023 3,500 2,874 Florida State Governmental Utility Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.370% due 10/01/2029 (d) 6,453 6,186 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 5,034 Lakeland Florida Electric & Water Revenue Bonds, (MBIA Insured), Series 2000 5.000% due 10/01/2028 2,675 2,575 Modesto Public Financing Authority Lease Revenue Bonds, (AMBAC Insured), Series 2000 7.770% due 09/01/2029 2,500 2,500 ------------ 20,297 ------------ Georgia 0.1% Atlanta, Georgia Water & Wastewater Revenue Bonds, (FGIC Insured), Series 2000 5.440% due 11/01/2036 22,300 20,615 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 (l) 9,950 8,657 ------------ 29,272 ------------ 68 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 6.870% due 07/01/2028 $ 7,200 $ 6,030 ---------- Illinois 0.1% Chicago, Illinois Board Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2027 15,000 3,619 Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 12,000 4,350 Chicago, Illinois General Obligations Bonds, (FGIC Insured), Series 2000 6.980% due 01/01/2040 4,750 4,964 5.500% due 01/01/2040 3,000 3,071 Chicago, Illinois Residual General Obligation Bonds, (MBIA Insured), Series 2000 7.620% due 01/01/2028 (d) 3,100 2,972 Chicago, Illinois Sales Tax Revenue Bonds, (FGIC Insured), Series 1999 5.375% due 01/01/2030 15,000 15,173 Cook County Illinois General Obligation Bonds, (FGIC Insured), Series 2000 5.000% due 11/15/2028 3,220 2,950 ---------- 37,099 ---------- Massachusetts 0.2% Boston Massachussetts Water & Sewer Common Revenue Bonds, (FGIC Insured), Series 2000 5.510% due 11/01/2028 3,500 3,325 E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 7.370% due 09/01/2021 2,590 2,571 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 6.920% due 03/01/2021 5,150 4,706 Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 2001 5.000% due 01/01/2037 (d) 3,000 2,779 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.570% due 01/01/2039 (d) 10,250 9,468 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 7.540% due 01/01/2037 21,950 20,304 Massachusetts State Water Reserve Authority Revenue Bonds, (FSA Insured), Series 2000 6.920% due 08/01/2037 (d) 500 428 Southbridge Associations Limited Liability Corporation Massachussetts, (MBIA-Insured), Series 2000 7.590% due 02/01/2022 31,105 33,788 ---------- 77,369 ---------- Mississippi 0.0% Mississippi Development Bank Special Obligation Bonds, (AMBAC Insured), Series 2000 7.500% due 07/01/2024 2,500 2,459 ---------- Nevada 0.1% Clark County, Nevada General Obligation Ltd. Bonds, (MBIA Insured), Series 2000 8.440% due 07/01/2030 (d) 20,913 21,671 Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 6.690% due 05/15/2028 (d) 10,000 9,363 ---------- 31,034 ---------- New Jersey 0.0% Essex County New Jersey Important Authority Lease Revenue Bonds, (FGIC Insured), Series 2000 7.090% due 10/01/2030 250 290 Mercer County New Jersey Important Authority Revenue Bonds, Series 2000 7.140% due 01/01/2018 3,103 3,793 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,780 ---------- 5,863 ---------- New York 0.1% Long Island Power Authority New York Electric System Revenue Bonds, (FSA Insured), Series 2001 7.040% due 12/01/2022 (d) 4,000 4,000 Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 7.950% due 12/01/2022 4,500 4,494 Long Island Power Authority Revenue Bonds (MBIA Insured), Series 2000 8.200% due 12/01/2026 5,500 5,569 New York City Municipal Bonds, Series 1997 3.898% due 08/01/2002 (d) 1,937 1,937 New York City Municipal Water Finance Authority, Revenue Bonds (MBIA-IBC Insured), Series 2000 6.940% due 06/15/2025 6,565 5,777 New York City, New York General Obligation Bonds, Series 1997-D 4.545% due 08/01/2002 (d) 2,883 2,883 New York City, New York Municipal Water & Sewer System Financial Authority Revenue Bonds, (FSA Insured), Series 2000 5.510% due 06/15/2029 (d) 3,000 2,831 New York City, New York Transitional Financial Authority Revenue Bonds, Series 2000 6.510% due 11/01/2024 (d) 1,250 1,209 New York City, New York Transitional Financing Authority Revenue Bonds, (FGIC-TCRS Insured), Series 2000 4.790% due 11/15/2023 2,500 2,169 New York State Dormitory Authority Lease Revenue Bonds, (MBIA Insured), Series 2001 4.750% due 01/15/2029 (d) 3,650 3,121 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000 7.570% due 02/15/2023 2,550 2,458 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.625% due 04/01/2029 1,000 1,016 Port Authority New York & New Jersey Special Obligation Revenue Bonds, (MBIA Insured), Series 2000 7.600% due 12/01/2022 3,250 3,453 ---------- 40,917 ---------- North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 55 61 ---------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.720% due 12/01/2027 3,250 3,120 ---------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 69 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 $ 1,000 $ 1,126 Allegheny County Pennsylvania Port Authority SPL Revenue Bonds, Series 2001 5.000% due 03/01/2025 1,000 981 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2000 6.870% due 04/01/2027 (d) 3,150 2,681 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2001 0.000% due 04/01/2027 500 426 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 487 ----------- 5,701 ----------- Texas 0.1% Dallas-Fort Worth International Airport Revenue Bonds, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,200 Denton County, Texas Utility System Revenue Bonds, (MBIA Insured), Series 2000 5.680% due 12/01/2029 (d) 3,000 2,906 Grapevine-Colleyville Independent General Obligation Bonds, (PSF-GTD Insured), Series 2000 6.000% due 08/15/2029 10,500 8,754 Houston Independent School District General Obligation Bonds, (PSF Insured), Series 1999 4.750% due 02/15/2026 10,500 9,673 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2000 5.290% due 07/01/2025 2,750 2,506 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2001 7.570% due 07/01/2028 (d) 10,000 8,525 Houston, Texas Independent School District (PSF-GTD Insured), Series 2000 4.790% due 02/15/2026 15,088 12,787 Houston, Texas Water & Sewer System Revenue Bonds, (FGIC Insured), Series 2001 5.250% due 12/01/2030 (d) 500 500 North Texas Towey Authority Dallas North Towey System Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 01/01/2029 4,000 3,665 ----------- 53,516 ----------- Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 472 ----------- Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 5,444 ----------- Total Municipal Bonds & Notes 349,169 (Cost $313,349) ----------- U.S. GOVERNMENT AGENCIES 0.6% A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 770 804 Fannie Mae 5.375% due 03/15/2002 750 760 4.700% due 05/23/2003 815 827 4.750% due 05/23/2003 1,000 1,003 5.450% due 02/12/2004 2,200 2,224 6.500% due 08/15/2004 550 593 6.560% due 12/10/2007 190 197 5.870% due 01/28/2009 200 201 7.250% due 01/15/2010 900 1,032 7.125% due 06/15/2010 21,210 24,135 6.250% due 02/01/2011 1,200 1,264 6.000% due 05/15/2011 2,800 2,955 6.875% due 09/10/2012 1,000 1,085 6.930% due 09/17/2012 1,000 1,095 6.875% due 09/24/2012 2,000 2,183 7.250% due 05/15/2030 125 144 6.625% due 11/15/2030 610 652 Federal Farm Credit Bank 6.400% due 01/16/2002 100 101 6.060% due 05/28/2013 100 105 Federal Home Loan Bank 4.875% due 01/22/2002 115 116 5.805% due 02/15/2002 (d) 17,000 17,083 6.880% due 08/15/2003 1,000 1,068 5.060% due 10/16/2003 1,700 1,702 5.920% due 08/25/2008 500 530 6.026% due 01/22/2009 275 278 5.920% due 03/03/2009 500 529 6.500% due 08/14/2009 1,200 1,314 0.000% due 09/10/2018 15,000 4,577 0.000% due 12/21/2018 4,250 1,313 Freddie Mac 5.500% due 05/15/2002 435 443 4.500% due 03/15/2004 70 65 5.250% due 01/15/2006 165 156 6.000% due 02/21/2006 1,000 1,043 9.000% due 09/15/2008 18 19 10.250% due 03/15/2009 1 1 6.450% due 04/29/2009 100 102 5.750% due 09/15/2010 165 159 SallieMae 6.896% due 10/25/2004 (d) 7,784 7,783 Small Business Administration 7.449% due 08/01/2010 121,780 133,040 7.700% due 07/01/2016 672 729 6.950% due 11/01/2016 4,004 4,231 6.700% due 12/01/2016 15,208 15,922 7.150% due 03/01/2017 7,321 7,795 7.190% due 12/01/2019 470 501 7.630% due 06/01/2020 23,128 25,127 6.900% due 12/01/2020 9,858 10,345 6.340% due 03/01/2021 32,863 33,462 Tennessee Valley Authority 0.000% due 04/15/2042 6,055 3,089 ----------- Total U.S. Government Agencies 313,882 (Cost $297,298) ----------- U.S. TREASURY OBLIGATIONS 7.3% Treasury Inflation Protected Securities (i)(j) 3.625% due 07/15/2002 (b) 1,093,385 1,112,521 3.375% due 01/15/2007 (b) 312,510 321,593 3.625% due 01/15/2008 922,587 957,472 3.875% due 01/15/2009 546,784 575,319 3.500% due 01/15/2011 57,015 58,654 3.625% due 04/15/2028 250,865 257,685 3.875% due 04/15/2029 159,188 170,978 U.S. Treasury Bonds 8.125% due 08/15/2021 900 1,193 8.000% due 11/15/2021 5,000 6,560 6.000% due 02/15/2026 10,100 10,778 5.500% due 08/15/2028 32,900 32,900 6.250% due 05/15/2030 1,215 1,353 70 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) U.S. Treasury Notes 3.875% due 06/30/2003 $ 195 $ 199 5.250% due 05/15/2004 1,310 1,380 7.250% due 05/15/2004 990 1,092 4.625% due 05/15/2006 3,625 3,754 5.500% due 05/15/2009 1,150 1,229 6.500% due 02/15/2010 700 795 U.S. Treasury Strips 0.000% due 11/15/2001 43 43 0.000% due 05/15/2008 750 556 0.000% due 02/15/2012 375 222 0.000% due 11/15/2021 200 63 ----------- Total U.S. Treasury Obligations 3,516,339 (Cost $3,421,861) ----------- MORTGAGE-BACKED SECURITIES 73.5% Collateralized Mortgage Obligations 23.8% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,873 6.750% due 11/25/2028 600 611 6.500% due 06/25/2029 7,093 7,151 American Southwest Financial Securities Corp. 7.400% due 11/17/2004 17,331 18,037 12.500% due 04/01/2015 208 210 7.248% due 11/25/2038 58,229 58,658 Amresco Commercial Mortgage Funding I 7.180% due 06/17/2029 55 59 Aurora Loan Services 4.493% due 05/25/2030 (d) 29,829 29,868 Bank of America Funding Corp. 6.750% due 11/20/2032 17,000 17,537 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 9,592 9,792 6.250% due 08/25/2028 25,000 24,811 6.500% due 05/25/2029 35,243 35,278 7.250% due 10/25/2029 11,015 11,462 7.500% due 04/25/2030 1,862 1,886 7.500% due 01/25/2031 98,600 100,365 7.500% due 02/25/2031 8,804 8,995 7.000% due 03/25/2032 53,400 55,566 Bear Stearns Adjustable Rate Mortgage Trust 7.275% due 11/25/2030 (d) 114,401 116,538 7.491% due 12/25/2030 (d) 103,109 104,540 7.482% due 12/25/2030 (d) 86,375 87,740 6.928% due 02/25/2031 (d) 27,499 27,641 7.013% due 02/25/2031 (d) 17,412 17,502 6.583% due 08/25/2031 (d) 15,900 16,152 6.688% due 09/25/2031 (d) 67,954 70,010 6.792% due 01/25/2032 (d) 62,171 64,049 Bear Stearns Commercial Mortgage Securities, Inc. 5.910% due 05/14/2008 126 131 7.000% due 05/20/2030 45,308 48,519 Bear Stearns Mortgage Securities, Inc. 4.555% due 10/25/2023 (d) 2,171 2,307 10.000% due 08/25/2024 5,000 5,820 7.000% due 03/25/2027 7,000 7,123 8.125% due 09/25/2027 2,422 2,519 7.000% due 02/25/2028 10,000 10,415 7.421% due 06/25/2030 (d) 5,196 5,155 Capco America Securitization Corp. 5.860% due 12/15/2007 43 45 CDC Depositor Trust I 3.918% due 01/15/2003 (d) 6,611 6,611 Cendant Mortgage Corp. 7.250% due 04/18/2013 456 462 6.506% due 11/18/2028 (d) 6,317 6,066 6.502% due 11/18/2028 (d) 13,308 13,379 Chase Commercial Mortgage Securities Corp. 7.631% due 07/15/2032 275 307 Chase Mortgage Finance Corp. 7.000% due 07/25/2024 1,132 1,130 7.000% due 08/25/2024 2,562 2,614 6.750% due 03/25/2025 12,109 12,079 8.257% due 04/25/2025 (d) 3,258 3,321 6.750% due 10/25/2028 39,000 40,325 6.350% due 07/25/2029 54,323 55,801 7.750% due 08/25/2030 10,214 10,738 Chemical Mortgage Securities, Inc. 7.250% due 01/25/2026 10,868 11,268 Citicorp Mortgage Securities, Inc. 7.873% due 10/25/2022 (d) 7,844 8,030 6.250% due 04/25/2024 11,796 11,627 6.250% due 05/25/2024 274 274 7.250% due 10/25/2027 20,462 21,128 6.500% due 11/25/2027 5,354 5,349 6.750% due 09/25/2028 9,282 9,628 7.000% due 09/25/2030 7,419 7,643 7.500% due 10/25/2030 11,873 12,531 7.000% due 02/25/2031 36,610 38,095 CMC Securities Corp. II 7.779% due 04/25/2025 (d) 86 88 CMC Securities Corp. III 6.750% due 05/25/2028 5,000 5,171 CMC Securities Corp. IV 7.250% due 11/25/2027 10,378 10,862 Collateralized Mortgage Obligation Trust 8.000% due 09/20/2021 4,959 5,095 Collateralized Mortgage Obligation Trust I 10.200% due 02/01/2016 1,747 1,797 Collateralized Mortgage Securities Corp. 11.450% due 11/01/2015 (d) 103 104 8.750% due 04/20/2019 309 323 8.800% due 04/20/2019 216 226 COMM 6.145% due 02/15/2008 13,742 14,341 4.300% due 12/16/2011 (d) 9,000 9,016 Commercial Mortgage Acceptance Corp. 7.030% due 05/15/2009 75 81 Commercial Mortgage Asset Trust 7.546% due 01/17/2010 500 555 6.640% due 09/17/2010 455 485 6.975% due 04/17/2013 145 156 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 12,088 12,318 Countrywide Funding Corp. 6.625% due 02/25/2024 33,827 35,032 6.875% due 03/25/2024 9,080 9,382 6.750% due 03/25/2024 12,967 12,829 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,903 6.250% due 08/25/2014 3,625 3,700 6.750% due 11/25/2025 25,567 24,990 7.500% due 04/25/2027 1,514 1,578 7.500% due 06/25/2027 11,980 12,427 7.500% due 09/25/2027 20,000 20,434 7.250% due 12/25/2027 6,224 6,162 7.250% due 02/25/2028 57,846 59,774 6.750% due 06/25/2028 15,103 15,406 6.750% due 08/25/2028 2,511 2,507 6.750% due 10/25/2028 15,567 15,505 6.750% due 11/25/2028 5,000 5,105 6.500% due 01/25/2029 24,978 25,485 6.500% due 03/25/2029 21,744 21,958 6.050% due 04/25/2029 2,654 2,693 7.250% due 08/25/2029 7,200 7,357 7.750% due 04/25/2030 24,455 24,676 7.750% due 10/25/2030 46,309 47,927 7.750% due 01/25/2031 36,577 37,352 7.500% due 01/25/2031 1,051 1,093 6.099% due 07/19/2031 (d) 21,750 22,338 Credit-Based Asset Servicing and Securitization 4.215% due 09/25/2029 (d) 914 918 4.125% due 02/25/2030 (d) 40,811 40,870 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 71 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Crusade Global Trust 3.900% due 02/15/2030 (d) $ 74,167 $ 74,387 CS First Boston Mortgage Securities Corp. 6.520% due 07/17/2007 50 53 6.750% due 12/27/2028 13,409 13,396 6.960% due 06/20/2029 491 505 7.500% due 03/25/2031 39,770 39,979 4.130% due 06/25/2031 (d) 32,077 32,170 4.180% due 06/25/2031 (d) 68,822 69,113 7.290% due 09/15/2041 335 367 Dime Savings 7.317% due 11/01/2018 (d) 114 111 DLJ Commercial Mortgage Corp. 4.235% due 09/05/2001 (d) 426 427 4.095% due 05/05/2003 (d) 28,996 28,996 4.334% due 07/05/2008 (d) 1,314 1,320 7.300% due 06/10/2032 515 565 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 4,000 4,335 6.446% due 08/01/2021 (d) 3,269 3,316 7.793% due 09/01/2021 (d) 36 36 8.000% due 03/25/2022 96 96 8.230% due 12/25/2022 (d) 949 950 7.067% due 03/25/2023 171 173 8.938% due 03/25/2024 (d) 202 205 8.603% due 05/25/2024 (d) 69 71 9.234% due 10/25/2024 (d) 328 361 4.125% due 06/25/2026 (d) 1,146 1,151 6.850% due 12/17/2027 6,605 7,008 Drexel Burnham Lambert CMO Trust 9.500% due 11/20/2017 463 483 DVI Business Credit Receivable Corp. III 4.300% due 10/15/2003 (d) 3,850 3,871 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 26,293 26,737 Fannie Mae 7.500% due 05/25/2005 6,700 6,922 7.500% due 02/25/2006 375 383 7.000% due 05/25/2006 211 216 6.500% due 07/25/2006 16 17 8.000% due 11/25/2006 4 4 6.350% due 12/25/2006 3 3 7.500% due 05/25/2007 656 670 6.250% due 07/25/2007 26 26 6.000% due 07/25/2007 300 305 6.740% due 08/25/2007 145 155 6.270% due 09/25/2007 3,000 3,131 7.000% due 10/25/2007 200 211 6.500% due 05/25/2008 500 520 6.000% due 08/25/2008 27 27 10.500% due 08/25/2008 7,146 7,842 9.483% due 09/25/2008 (d) 1,606 1,602 6.500% due 11/18/2008 1,022 1,024 6.500% due 02/25/2009 51 53 4.000% due 02/25/2009 24 24 6.000% due 02/25/2009 1,400 1,453 6.500% due 03/25/2009 95 99 6.875% due 06/25/2009 60 61 6.500% due 08/25/2010 500 518 6.750% due 11/25/2010 307 308 6.500% due 04/25/2013 75 78 6.000% due 03/18/2015 3,377 3,376 6.450% due 09/25/2016 1,272 1,279 8.000% due 12/25/2016 146 152 6.750% due 07/18/2017 2,240 2,251 11.000% due 11/25/2017 856 951 9.250% due 04/25/2018 123 137 9.300% due 05/25/2018 530 569 4.144% due 06/25/2018 (d) 2 2 9.500% due 06/25/2018 445 481 9.500% due 11/25/2018 4,152 4,265 6.000% due 02/25/2019 1,647 1,659 6.500% due 03/25/2019 605 611 9.500% due 06/25/2019 1,110 1,195 9.300% due 08/25/2019 56 60 6.350% due 08/25/2019 32 32 9.000% due 12/25/2019 4,701 5,089 7.500% due 12/25/2019 5,722 6,073 7.000% due 03/25/2020 1,081 1,138 7.000% due 04/25/2020 18 18 7.500% due 05/25/2020 2,421 2,519 5.000% due 09/25/2020 200 201 7.000% due 09/25/2020 4,138 4,143 9.000% due 09/25/2020 2,552 2,725 8.000% due 12/25/2020 28,173 29,655 8.750% due 01/25/2021 2,529 2,743 9.000% due 01/25/2021 3,869 4,254 5.750% due 02/18/2021 100 101 9.000% due 03/25/2021 354 385 7.000% due 05/25/2021 300 308 6.500% due 06/25/2021 5,887 6,056 6.250% due 06/25/2021 658 665 8.000% due 07/25/2021 11,070 11,828 8.500% due 09/25/2021 4,024 4,351 7.000% due 10/25/2021 8,364 8,575 8.000% due 10/25/2021 17,422 17,739 7.000% due 11/25/2021 14,934 15,189 6.000% due 12/25/2021 11 11 5.000% due 12/25/2021 500 500 4.000% due 01/25/2022 126 127 7.750% due 01/25/2022 16,686 17,814 8.000% due 01/25/2022 18,871 19,228 8.000% due 03/25/2022 22 22 7.000% due 04/25/2022 17,091 17,525 5.000% due 04/25/2022 48 49 7.000% due 04/25/2022 145 157 7.500% due 05/25/2022 2,000 2,143 7.375% due 05/25/2022 9,870 10,438 8.000% due 06/25/2022 4,154 4,419 7.000% due 06/25/2022 1,014 1,062 7.000% due 07/25/2022 4,540 4,750 8.000% due 07/25/2022 56,546 59,732 7.800% due 10/25/2022 2,570 2,733 6.500% due 10/25/2022 4,272 4,393 7.000% due 03/25/2023 30,979 32,966 6.500% due 03/25/2023 2,000 2,061 6.500% due 05/18/2023 6,158 6,200 6.900% due 05/25/2023 169 172 7.000% due 06/25/2023 5,606 5,642 6.000% due 08/25/2023 14,131 12,666 6.500% due 08/25/2023 6 6 6.500% due 09/18/2023 559 566 1.000% due 09/25/2023 135 127 6.750% due 09/25/2023 4,224 4,181 7.000% due 09/25/2023 2,259 2,266 6.750% due 10/25/2023 635 630 6.500% due 10/25/2023 8,895 8,959 7.500% due 10/25/2023 27 28 6.500% due 11/25/2023 20 20 6.500% due 12/25/2023 165 168 5.000% due 01/25/2024 419 427 6.500% due 01/25/2024 48,562 49,126 6.500% due 02/25/2024 5,150 5,274 7.000% due 03/25/2024 10,267 10,658 7.500% due 06/20/2024 53 54 6.500% due 08/17/2024 17,000 17,535 6.000% due 12/25/2024 1,703 1,729 7.000% due 02/18/2025 37 37 6.600% due 05/18/2025 219 228 7.500% due 11/17/2025 289 305 7.500% due 12/25/2025 360 374 7.000% due 02/15/2026 132 136 6.950% due 03/25/2026 156 156 7.000% due 07/18/2026 450 458 6.500% due 09/18/2026 120 124 7.000% due 12/18/2026 17,287 17,912 6.000% due 12/25/2026 170 173 8.500% due 02/17/2027 1,474 1,641 72 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) 6.000% due 03/25/2027 $ 320 $ 325 5.000% due 04/18/2027 1,000 989 6.000% due 05/17/2027 5,470 5,336 7.000% due 06/18/2027 684 719 7.000% due 07/18/2027 460 485 6.500% due 07/18/2027 184 190 7.500% due 08/20/2027 2,697 2,882 7.000% due 12/20/2027 13,188 13,634 4.481% due 04/18/2028 (d) 2,404 2,412 6.500% due 05/20/2028 1,228 1,159 6.500% due 06/25/2028 4,700 4,843 6.500% due 07/18/2028 67,412 67,707 6.000% due 07/18/2028 9,182 8,666 9.113% due 09/25/2028 14,608 16,444 6.500% due 10/25/2028 40,000 40,125 6.250% due 02/25/2029 3,500 3,482 7.500% due 04/25/2029 1,139 1,188 6.000% due 04/25/2029 11,362 9,952 7.500% due 06/19/2030 260 270 4.293% due 08/25/2030 (d) 55,474 55,609 5.506% due 10/18/2030 (d) 41,183 41,276 6.500% due 03/10/2031 54,031 52,073 7.500% due 07/25/2031 1,072 1,111 6.500% due 07/25/2031 12,065 11,228 6.750% due 08/21/2031 141,441 144,702 6.750% due 08/25/2031 148,672 145,901 4.210% due 09/25/2031 18,210 18,245 6.500% due 10/25/2031 10,057 9,693 6.500% due 10/30/2031 20,388 19,566 6.390% due 05/25/2036 32,688 30,773 6.500% due 06/17/2038 5,000 5,195 6.300% due 10/17/2038 16,303 15,677 Federal Housing Administration 6.750% due 10/30/2031 154,200 156,826 FFCA Secured Lending Corp. 7.850% due 10/18/2017 29,600 31,234 First Commonwealth Savings & Loan 10.375% due 04/01/2005 14 15 First Horizon Asset Securities, Inc. 7.000% due 02/25/2031 20,818 21,663 First Interstate Bancorp 8.875% due 01/01/2009 126 136 9.125% due 01/01/2009 (d) 8 8 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,459 7.750% due 07/25/2030 6,000 6,263 First Union Residential Securitization, Inc. 7.000% due 04/25/2025 348 362 6.750% due 08/25/2028 9,048 9,152 First Union-Lehman Brothers Commercial Mortgage 7.150% due 02/18/2004 21 21 Freddie Mac 8.000% due 03/15/2002 36 36 7.000% due 10/15/2003 2,424 2,485 6.750% due 10/15/2003 9,124 9,238 7.000% due 12/15/2003 64 65 6.500% due 04/15/2005 403 405 10.150% due 04/15/2006 4 4 6.500% due 07/15/2006 977 992 6.500% due 08/15/2006 184 186 7.500% due 02/15/2007 581 598 7.750% due 04/01/2007 12 12 7.500% due 04/01/2007 10 11 7.000% due 07/01/2007 2 2 6.500% due 07/15/2007 3,891 3,924 8.000% due 10/01/2007 46 47 5.500% due 10/15/2007 660 660 6.500% due 05/15/2008 981 995 8.550% due 06/15/2008 (d) 99 96 6.000% due 11/15/2008 225 233 6.200% due 12/15/2008 4,748 4,980 8.500% due 03/01/2009 126 134 6.000% due 03/15/2009 265 276 11.250% due 10/01/2009 2 2 7.000% due 06/01/2010 12 13 7.550% due 03/15/2012 180 189 11.875% due 06/15/2013 81 87 8.500% due 08/15/2013 2,000 2,042 8.500% due 09/15/2013 4,745 4,804 6.000% due 11/15/2014 400 396 10.100% due 09/01/2016 233 258 7.500% due 11/15/2016 28,055 29,470 6.250% due 10/15/2017 6,233 6,263 6.350% due 03/25/2018 91 92 5.500% due 05/15/2018 225 227 6.400% due 02/15/2019 5,095 5,142 6.500% due 04/15/2019 1,066 1,083 10.000% due 11/15/2019 72 76 3.950% due 06/15/2020 (d) 66 67 5.250% due 07/15/2020 94 94 5.750% due 08/15/2020 232 235 9.000% due 09/15/2020 44 46 5.000% due 10/15/2020 927 935 5.500% due 10/15/2020 8 8 8.900% due 11/15/2020 8,710 8,978 9.500% due 11/15/2020 2,485 2,531 6.250% due 12/15/2020 145 150 6.000% due 12/15/2020 186 188 8.750% due 12/15/2020 986 1,039 9.000% due 12/15/2020 2,155 2,268 6.250% due 01/15/2021 200 203 9.500% due 01/15/2021 1,532 1,649 7.000% due 01/15/2021 1,634 1,641 7.000% due 02/15/2021 772 780 8.000% due 04/15/2021 66 68 6.500% due 05/15/2021 68 69 6.500% due 05/17/2021 24 24 6.000% due 06/15/2021 1,729 1,732 8.500% due 06/15/2021 18,766 19,788 9.000% due 07/15/2021 1,598 1,694 9.500% due 07/15/2021 687 697 6.950% due 07/15/2021 345 354 8.000% due 07/15/2021 1,553 1,555 6.000% due 07/15/2021 135 138 6.200% due 08/15/2021 596 605 6.950% due 08/15/2021 116 120 9.500% due 08/15/2021 1,329 1,406 8.000% due 08/15/2021 20,925 21,220 6.500% due 09/15/2021 739 754 7.000% due 09/15/2021 96 99 4.500% due 09/15/2021 222 223 6.500% due 09/15/2021 14,613 14,744 7.000% due 10/15/2021 1 2 6.000% due 11/15/2021 360 361 8.000% due 12/15/2021 19,348 20,535 6.850% due 01/15/2022 688 714 8.250% due 06/15/2022 3,911 4,090 7.000% due 07/15/2022 9,959 10,362 8.500% due 10/15/2022 5,700 5,973 6.000% due 11/15/2022 220 223 7.000% due 12/15/2022 21,000 21,916 7.500% due 01/15/2023 18,998 20,402 6.500% due 02/15/2023 1,250 1,305 7.500% due 05/01/2023 802 843 6.500% due 07/15/2023 240 250 7.000% due 07/15/2023 288 297 7.500% due 07/15/2023 395 416 6.500% due 08/15/2023 77,994 78,953 7.410% due 10/25/2023 2,102 2,150 7.400% due 10/25/2023 (d) 10,508 11,007 6.500% due 11/15/2023 145 146 6.500% due 01/15/2024 35 36 7.500% due 01/20/2024 17 17 5.000% due 02/15/2024 116 111 6.500% due 02/15/2024 12 12 7.500% due 03/15/2024 6,793 7,004 6.500% due 03/15/2024 340 343 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 73 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) 8.000% due 04/25/2024 $ 511 $ 561 6.250% due 05/15/2024 14,142 14,257 8.500% due 08/01/2024 1,126 1,203 7.250% due 08/15/2024 132 134 8.000% due 09/15/2024 16,250 17,705 8.500% due 11/01/2024 482 515 5.650% due 11/15/2024 140 142 6.750% due 01/17/2025 3,305 3,335 6.000% due 02/15/2025 3,078 3,126 7.500% due 02/15/2025 1,705 1,729 7.000% due 09/17/2025 40 41 7.000% due 03/01/2026 81 85 6.500% due 03/15/2026 110 110 6.000% due 08/15/2026 2,400 2,438 3.631% due 09/15/2026 (d) 33,850 33,751 7.240% due 10/01/2026 (d) 2,191 2,232 6.000% due 11/15/2026 550 559 7.000% due 01/01/2027 92 96 7.500% due 01/15/2027 27,169 28,372 8.000% due 02/15/2027 37,222 40,623 7.000% due 03/01/2027 115 120 7.500% due 03/17/2027 20,000 21,600 6.890% due 05/01/2027 (d) 289 297 6.500% due 06/15/2027 10,786 10,672 6.000% due 06/15/2027 202 207 7.500% due 06/20/2027 20,956 22,365 6.500% due 08/15/2027 16,600 16,081 6.500% due 09/15/2027 73,000 74,427 6.500% due 10/15/2027 32,300 32,869 6.000% due 11/15/2027 665 670 6.500% due 01/25/2028 8,691 8,590 6.250% due 03/15/2028 10,000 9,963 6.500% due 04/15/2028 162,175 162,978 6.500% due 05/15/2028 57,770 57,758 6.500% due 06/15/2028 64,722 62,288 6.500% due 06/20/2028 24,690 23,188 7.000% due 07/01/2028 606 630 6.500% due 07/15/2028 74,335 70,852 6.500% due 08/15/2028 350,044 347,272 7.000% due 11/15/2028 9,000 9,296 6.000% due 12/01/2028 639 642 6.250% due 12/15/2028 1,762 1,712 6.000% due 12/15/2028 11,672 11,116 6.500% due 12/15/2028 7,449 7,212 6.000% due 12/15/2028 11,995 11,194 6.500% due 01/01/2029 1,877 1,925 6.500% due 01/15/2029 10,411 10,383 6.000% due 01/15/2029 3,484 3,105 6.000% due 02/15/2029 4,071 3,755 6.500% due 03/01/2029 555 569 6.500% due 03/15/2029 26,551 25,384 6.500% due 05/01/2029 814 834 6.500% due 06/01/2029 306 314 6.500% due 07/01/2029 1,549 1,586 7.500% due 02/01/2030 834 868 7.500% due 07/15/2030 1,000 1,081 7.500% due 08/15/2030 2,784 2,947 7.000% due 09/15/2030 (d) 19,184 19,059 4.140% due 09/15/2030 8,833 8,879 7.000% due 10/15/2030 15,966 16,082 7.500% due 10/15/2030 28,927 30,450 4.090% due 11/15/2030 (d) 1,128 1,130 6.303% due 08/15/2032 (d) 28,194 28,692 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 1,813 1,799 Gaston Oaks PLC 6.930% due 01/01/2036 1,292 1,352 General Electric Capital Mortgage Services, Inc. 6.000% due 02/25/2009 292 291 6.750% due 12/25/2012 1,562 1,573 6.500% due 09/25/2023 1,175 1,152 6.500% due 12/25/2023 8,631 8,349 6.500% due 01/25/2024 3,895 3,676 6.500% due 03/25/2024 68,826 69,303 6.500% due 04/25/2024 70,318 69,646 8.625% due 11/25/2024 234 237 7.250% due 05/25/2026 3,628 3,742 7.500% due 06/25/2027 16,396 16,783 7.500% due 07/25/2027 9,830 10,263 7.000% due 10/25/2027 28,496 29,179 7.000% due 11/25/2027 72,500 75,459 6.750% due 05/25/2028 23,934 23,047 6.650% due 05/25/2028 5,102 5,169 6.750% due 06/25/2028 20,517 21,111 6.550% due 06/25/2028 23,450 24,116 6.600% due 06/25/2028 4,361 4,428 6.750% due 06/25/2028 359 358 6.750% due 10/25/2028 12,114 12,457 6.250% due 12/25/2028 54,321 54,339 6.500% due 12/25/2028 19,500 19,786 6.750% due 05/25/2029 20,000 20,350 6.500% due 05/25/2029 9,858 9,964 6.000% due 07/25/2029 23,507 23,695 6.250% due 07/25/2029 132,674 136,366 5.950% due 07/25/2029 13,304 13,297 6.500% due 07/25/2029 95,240 95,969 7.250% due 08/25/2029 8,000 8,301 7.000% due 09/25/2029 16,154 16,739 German American Capital Corp. 4.305% due 07/01/2018 (d) 7,855 7,737 GGP - Homart 4.117% due 06/10/2003 (d) 9,084 9,093 GMAC Commercial Mortgage Asset Corp. 3.358% due 07/20/2002 15,103 15,103 GMAC Commercial Mortgage Securities, Inc. 6.566% due 11/15/2007 85 90 6.150% due 11/15/2007 204 213 6.700% due 03/15/2008 29,732 31,373 6.806% due 04/15/2008 1,000 1,046 6.974% due 05/15/2008 26,539 28,445 8.950% due 08/20/2017 420 462 6.570% due 09/15/2033 44,643 47,061 6.945% due 09/15/2033 25,060 26,715 GMAC Mortgage Corp. Loan Trust 7.500% due 05/25/2030 12,000 12,643 7.750% due 10/25/2030 14,713 14,798 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 7,693 7,991 Government Lease Trust 4.000% due 05/18/2011 3,000 2,487 Government National Mortgage Association 6.250% due 06/20/2022 24,470 24,848 7.250% due 12/16/2023 4,060 4,122 8.000% due 05/16/2024 10 10 7.000% due 02/20/2025 4,793 4,847 7.000% due 10/20/2025 7,000 7,328 7.000% due 03/20/2026 320 333 6.000% due 03/20/2026 1,500 1,524 4.130% due 06/16/2026 (d) 932 933 7.000% due 08/20/2026 77 78 7.500% due 07/16/2027 31,842 33,987 7.000% due 12/20/2027 3,154 3,154 6.500% due 04/20/2028 12,147 12,075 6.750% due 06/20/2028 23,382 22,865 6.500% due 06/20/2028 32,684 32,510 7.250% due 07/16/2028 30 33 6.500% due 07/20/2028 41,299 38,099 6.500% due 09/20/2028 30,040 28,219 6.500% due 01/20/2029 29,398 28,508 7.000% due 02/16/2029 6,815 6,998 8.000% due 03/20/2029 7,151 7,511 6.500% due 03/20/2029 16,259 16,387 6.000% due 05/20/2029 11,385 10,268 7.000% due 01/16/2030 6,843 6,736 7.500% due 01/20/2030 336 350 3.988% due 02/16/2030 (d) 31,776 31,971 4.058% due 02/16/2030 (d) 18,812 18,962 4.088% due 02/16/2030 (d) 34,649 34,784 7.500% due 02/20/2030 18,301 19,072 3.458% due 06/20/2030 (d) 13,537 13,524 74 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) 4.110% due 09/20/2030 (d) $ 7,577 $ 7,575 7.500% due 09/20/2030 5,321 5,722 4.280% due 10/16/2030 (d) 43,495 43,495 Greenwich Capital Acceptance, Inc. 8.305% due 04/25/2022 (d) 160 160 7.795% due 10/25/2022 (d) 11 11 8.153% due 01/25/2023 153 154 7.181% due 04/25/2023 (d) 945 944 8.434% due 04/25/2024 (d) 119 119 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 56 56 G-Wing Ltd. 6.776% due 05/06/2004 (d) 6,200 6,200 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 1,496 1,514 7.155% due 12/25/2012 544 554 7.250% due 11/25/2027 13,143 13,326 7.000% due 02/25/2028 145 145 Home Savings of America 8.464% due 08/01/2006 28 30 5.685% due 05/25/2027 (d) 2,229 2,210 7.042% due 08/20/2029 (d) 19,350 19,537 Housing Securities, Inc. 7.000% due 05/25/2008 1,000 1,021 HVMLT 7.470% due 08/19/2030 22,975 23,554 ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 18,068 18,483 7.750% due 03/25/2028 1,844 1,906 Impac CMB Trust 4.113% due 07/25/2030 (d) 40,083 40,171 3.860% due 11/25/2031 (d) 14,900 14,924 Impac Secured Assets CMN Owner Trust 3.361% due 01/25/2030 (d) 1,863 1,868 4.280% due 10/25/2030 (d) 33,140 33,241 Imperial CMB Trust 6.650% due 11/25/2029 767 791 Imperial Savings Association 8.226% due 01/25/2017 (d) 49 49 8.839% due 07/25/2017 (d) 202 201 Independent National Mortgage Corp. 8.250% due 05/25/2010 110 112 6.650% due 10/25/2024 2,147 2,164 8.750% due 12/25/2024 28 28 8.417% due 01/25/2025 (d) 35 36 6.319% due 07/25/2025 (d) 4,245 4,248 7.500% due 09/25/2025 137 137 6.930% due 05/25/2026 58 58 Indymac Adjustable Rate Mortgage Trust 6.569% due 08/25/2031 (d) 15,628 15,907 6.490% due 09/25/2031 (d) 99,000 103,300 6.490% due 09/28/2031 (d) 25,100 25,587 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 224 262 J.P. Morgan Commercial Mortgage Finance Corp. 8.228% due 02/25/2028 1,615 1,758 7.069% due 09/15/2029 65 69 6.533% due 01/15/2030 20,000 21,134 Kidder Peabody Acceptance Corp. 10.431% due 09/25/2024 (d) 1,731 1,749 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 36 37 Lehman Large Loan Trust 6.790% due 06/12/2004 54 56 Long Beach Mortgage Loan Trust 8.396% due 01/20/2017 (d) 40,699 46,081 LTC Commercial Corp. 7.100% due 11/28/2012 3,096 3,200 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 10,134 6.350% due 06/25/2028 22,000 22,465 5.652% due 06/26/2028 2,289 2,287 6.600% due 06/26/2028 7,660 7,831 6.110% due 01/25/2029 23,900 23,470 6.580% due 07/25/2029 (d) 55,565 58,881 6.460% due 07/25/2029 (d) 1,340 1,339 6.570% due 07/25/2029 (d) 44,000 44,549 Merrill Lynch Mortgage Investors, Inc. 7.598% due 06/15/2021 844 865 7.856% due 06/15/2021 (d) 3,800 3,936 7.596% due 06/15/2021 (d) 4,051 4,190 7.039% due 06/15/2021 1,773 1,846 6.950% due 06/18/2029 26,782 27,961 5.650% due 12/15/2030 7,279 7,503 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 11,321 11,720 MLCC Mortgage Investors, Inc. 3.875% due 09/15/2026 (d) 14,512 14,527 Morgan Stanley Capital I 6.440% due 11/15/2002 17 17 5.990% due 03/15/2005 53 55 6.860% due 05/15/2006 (d) 1,430 1,505 6.190% due 01/15/2007 18,064 18,874 6.160% due 04/03/2009 12,348 12,873 7.460% due 02/15/2020 9,087 9,733 4.035% due 07/25/2027 (d) 306 305 6.220% due 06/01/2030 65 68 6.590% due 10/03/2030 6,400 6,730 Morgan Stanley, Dean Witter & Co. 3.818% due 10/15/2026 (d) 2,601 2,586 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 546 7.008% due 09/20/2006 15,545 16,645 6.001% due 11/18/2031 65 68 Mortgage Obligation Structured Trust 7.700% due 10/25/2018 24,453 24,688 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 10,279 6.500% due 07/25/2028 14,470 14,764 6.750% due 08/25/2028 20,009 20,146 6.250% due 10/25/2028 7,000 6,950 Nationslink Funding Corp. 6.654% due 02/10/2006 19,624 20,777 4.198% due 04/10/2007 (d) 16,763 16,770 Nomura Asset Acceptance Corp. 7.000% due 02/19/2030 2,097 2,225 Nomura Asset Securities Corp. 8.271% due 05/25/2024 (d) 464 475 6.590% due 03/15/2030 335 356 7.120% due 04/13/2039 460 497 Norwest Asset Securities Corp. 6.750% due 12/25/2012 12,829 13,313 6.500% due 04/25/2013 19,078 19,786 6.500% due 06/25/2013 12,313 12,755 7.500% due 03/25/2027 40,048 41,159 6.750% due 09/25/2027 2,055 2,073 6.350% due 04/25/2028 524 525 6.750% due 05/25/2028 40,707 41,417 6.750% due 07/25/2028 12,657 12,449 6.250% due 08/25/2028 2,334 2,352 6.250% due 09/25/2028 378 378 6.750% due 10/25/2028 38,008 39,183 6.500% due 12/25/2028 39,751 40,483 6.500% due 01/25/2029 393 395 6.500% due 02/25/2029 67,541 67,968 5.950% due 04/25/2029 74,651 75,095 6.300% due 04/25/2029 5,734 5,781 6.200% due 04/25/2029 77,385 78,632 6.500% due 04/25/2029 26,751 27,018 6.250% due 05/25/2029 427 434 6.000% due 05/25/2029 19,713 19,884 6.500% due 06/25/2029 46,178 47,002 6.750% due 08/25/2029 855 864 6.500% due 10/25/2029 1,960 1,972 7.000% due 11/25/2029 14,726 15,360 7.250% due 02/25/2030 19,756 20,744 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 75 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Norwest Integrated Structured Assets, Inc. 7.000% due 09/25/2029 $ 3,658 $ 3,752 Paine Webber Mortgage Acceptance Corp. 6.000% due 04/25/2009 11,951 12,158 Patten Mortgage Trust 7.250% due 08/01/2011 (d) 289 292 PHH Mortgage Services Corp. 7.178% due 11/18/2027 941 974 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 5,039 5,107 7.000% due 10/25/2027 35,623 36,175 6.750% due 12/25/2027 7,230 7,199 7.000% due 02/25/2028 25,301 26,303 6.981% due 02/25/2028 9,395 9,660 6.500% due 02/25/2028 90 90 6.625% due 03/25/2028 1,274 1,281 7.000% due 05/25/2028 3,886 3,954 6.750% due 07/25/2028 3,527 3,628 6.550% due 07/25/2028 24,500 24,975 6.750% due 09/25/2028 3,996 4,111 6.750% due 10/25/2028 26,045 26,733 6.750% due 12/25/2028 21,709 22,231 6.500% due 01/25/2029 993 1,008 6.250% due 01/25/2029 9,263 9,290 6.300% due 03/25/2029 9,989 10,036 6.300% due 06/25/2029 30,400 31,378 6.200% due 06/25/2029 42,230 43,359 6.500% due 06/25/2029 48,600 48,822 7.000% due 06/25/2030 11,303 11,672 7.750% due 07/25/2030 36,332 36,760 4.263% due 12/25/2030 (d) 26,036 26,076 7.500% due 02/25/2031 68,468 70,458 7.500% due 05/25/2040 (d) 2,111 2,148 PNC Mortgage Trust 8.250% due 03/25/2030 45,539 46,870 Prudential Home Mortgage Securities 7.400% due 11/25/2007 1,202 1,233 7.000% due 01/25/2008 23,860 24,501 6.750% due 07/25/2008 836 848 6.400% due 04/25/2009 97 97 6.950% due 11/25/2022 222 226 7.000% due 07/25/2023 8,691 8,951 6.750% due 10/25/2023 10,166 10,121 5.900% due 12/25/2023 2,326 2,347 6.500% due 01/25/2024 351 354 6.050% due 04/25/2024 986 985 6.800% due 05/25/2024 11,608 12,158 6.450% due 11/25/2025 5,264 5,212 Prudential Securities Secured Financing Corp. 6.074% due 01/15/2008 11,349 11,841 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 163 163 8.400% due 03/20/2021 4,724 4,970 PSB Financial Corp. II 11.050% due 12/01/2015 335 346 Regal Trust IV 6.926% due 09/29/2031 (d) 915 919 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 29 29 6.750% due 06/19/2028 18,022 18,484 6.500% due 04/19/2029 3,298 3,383 Residential Accredit Loans, Inc. 7.500% due 08/25/2027 15,000 15,395 7.000% due 02/25/2028 41,115 42,803 6.500% due 12/25/2028 400 406 6.500% due 05/25/2029 3,000 3,049 6.750% due 06/25/2029 1,149 1,163 7.000% due 07/25/2029 318 323 7.750% due 03/25/2030 1,218 1,223 Residential Asset Securitization Trust 7.375% due 03/25/2027 5,142 5,282 7.000% due 10/25/2027 19,264 19,928 7.000% due 01/25/2028 20,000 20,869 6.750% due 06/25/2028 11,847 11,905 6.500% due 12/25/2028 1,250 1,281 6.500% due 03/25/2029 22,700 23,416 8.000% due 02/25/2030 35,020 35,984 8.000% due 04/25/2030 5,286 5,344 4.505% due 09/25/2030 (d) 11,878 11,953 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 1,523 1,525 7.500% due 09/25/2011 7,522 7,667 7.000% due 05/25/2012 3,095 3,186 6.500% due 12/25/2012 18,179 18,683 7.143% due 12/01/2018 (d) 1,803 1,807 7.750% due 09/25/2022 265 264 8.000% due 01/25/2023 1,781 1,782 8.000% due 02/25/2023 6,323 6,365 6.500% due 11/25/2023 1,660 1,680 7.500% due 09/25/2025 4,609 4,623 7.500% due 12/25/2025 901 931 7.750% due 11/25/2026 9,000 9,366 7.500% due 04/25/2027 4,579 4,679 7.500% due 06/25/2027 40,537 41,327 7.500% due 07/25/2027 24,748 25,451 7.250% due 08/25/2027 15,349 15,728 7.250% due 10/25/2027 26,561 27,310 7.000% due 11/25/2027 17,000 17,665 6.750% due 02/25/2028 29,709 30,457 6.750% due 05/25/2028 60,741 62,926 6.750% due 06/25/2028 62,987 63,727 6.750% due 07/25/2028 13,292 13,720 6.750% due 08/25/2028 35,000 35,733 6.750% due 09/25/2028 66,493 68,373 6.500% due 10/25/2028 52,000 52,797 6.250% due 11/25/2028 3,000 3,001 6.500% due 12/25/2028 23,400 23,685 6.500% due 01/25/2029 72,314 72,917 6.500% due 03/25/2029 27,960 28,336 6.200% due 05/25/2029 16,322 16,333 6.500% due 06/25/2029 11,964 11,385 6.750% due 07/25/2029 22,600 23,306 7.000% due 10/25/2029 25,260 26,286 7.500% due 11/25/2029 12,338 12,808 7.750% due 10/25/2030 9,637 9,792 7.500% due 11/25/2030 95,303 96,940 6.329% due 06/25/2031 64,784 65,674 Resolution Trust Corp. 5.530% due 10/25/2021 (d) 100 101 11.060% due 10/25/2021 44 46 8.625% due 10/25/2021 98 98 8.127% due 10/25/2021 (d) 108 107 8.784% due 05/25/2022 (d) 1,009 1,037 6.090% due 08/25/2023 (d) 1,442 1,457 8.835% due 12/25/2023 3,094 3,090 8.000% due 04/25/2025 152 151 8.000% due 06/25/2026 245 244 7.200% due 10/25/2028 (d) 10,872 10,856 7.598% due 10/25/2028 (d) 3,861 3,890 7.692% due 05/25/2029 (d) 2,158 2,225 7.582% due 05/25/2029 (d) 2,006 2,086 6.840% due 05/25/2029 (d) 2,558 2,546 RMF Commercial Mortgage Securities, Inc. 6.715% due 01/15/2019 (d) 235 244 Ryan Mortgage Acceptance Corp. IV 9.450% due 10/01/2016 62 68 Ryland Acceptance Corp. 11.500% due 12/25/2016 71 78 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 34 34 8.159% due 08/25/2022 (d) 1,429 1,428 7.899% due 08/25/2029 (d) 1,000 1,034 6.993% due 10/25/2031 (d) 937 938 14.000% due 11/25/2031 617 625 SACO I, Inc. 7.411% due 07/25/2030 136 136 8.072% due 07/25/2030 7,791 7,994 4.010% due 09/25/2040 (d) 383 383 76 PIMCO Funds Semi-Annual Report 17 | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Salomon Brothers Mortgage Securities VII 8.224% due 11/25/2022 (d) $ 275 $ 278 7.295% due 09/25/2023 4,474 4,573 7.591% due 10/25/2023 (d) 107 108 7.932% due 03/25/2024 (d) 216 219 8.449% due 07/01/2024 (d) 3,142 3,193 8.375% due 09/25/2024 (d) 147 147 8.153% due 10/25/2024 (d) 239 243 4.133% due 04/25/2029 (d) 6,109 6,126 4.173% due 04/25/2029 (d) 2,662 2,672 4.093% due 06/25/2029 (d) 19,306 19,293 4.193% due 09/25/2029 (d) 200 200 7.601% due 12/25/2030 60,609 61,576 Santa Barbara Savings & Loan Association 9.500% due 11/20/2018 1,604 1,665 Sasco Floating Rate Commercial Mortgage Trust 6.500% due 10/25/2031 (d) 155,200 157,189 Saxon Mortgage Securities Corp. 6.250% due 04/25/2009 1,401 1,419 7.375% due 09/25/2023 6,372 6,561 6.500% due 02/25/2024 1,066 1,069 Sears Mortgage Securities 12.000% due 02/25/2014 440 462 6.113% due 11/25/2021 (d) 380 394 7.431% due 10/25/2022 (d) 1,460 1,477 9.572% due 12/25/2028 244 243 Securitized Asset Sales, Inc. 8.108% due 06/25/2023 (d) 215 217 7.410% due 09/25/2024 (d) 8,612 8,758 Security Pacific National Bank 6.871% due 03/25/2018 (d) 72 74 7.430% due 09/25/2019 (d) 381 395 Sequoia Mortgage Trust 6.462% due 10/25/2024 (d) 46,944 47,563 6.350% due 09/25/2025 (d) 4,014 4,076 Small Business Investment Cos. 7.540% due 08/10/2009 91,241 100,414 8.017% due 02/10/2010 107,593 121,047 7.640% due 03/10/2010 71,485 78,803 7.452% due 09/01/2010 15,860 17,290 Starwood Asset Receivables Trust 5.350% due 09/25/2022 (d) 922 923 Starwood Commercial Mortgage Trust 6.600% due 02/03/2009 10,507 11,138 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,137 22,420 6.904% due 06/25/2028 (d) 34,281 34,932 6.250% due 11/25/2028 14,878 14,832 6.750% due 01/25/2029 10,000 10,277 6.300% due 05/25/2029 16,147 16,260 6.577% due 06/25/2029 (d) 27,446 28,214 7.250% due 07/25/2029 12,616 12,735 7.205% due 02/25/2030 (d) 740 751 6.750% due 05/02/2030 25,000 24,896 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 (d) 15,126 15,434 Structured Asset Securities Corp. 7.000% due 02/25/2016 24,738 25,321 7.500% due 07/25/2016 53,121 54,718 7.000% due 12/25/2027 51,500 53,447 7.750% due 02/25/2028 3,940 4,147 3.411% due 02/25/2030 (d) 1,167 1,170 4.405% due 11/25/2030 (d) 28,001 27,833 4.243% due 05/25/2031 (d) 18,601 18,536 Structured Mortgage Asset Residential Trust 7.584% due 07/25/2024 178 186 Superannuation Members Home Loans Global Fund 4.140% due 06/15/2026 (d) 20,900 20,920 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 29,285 29,285 Torrens Trust 3.750% due 07/15/2031 (d) 9,833 9,833 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 4,059 6.800% due 01/25/2028 15,000 15,730 United Mortgage Securities Corp. 7.253% due 06/25/2032 16,082 15,869 7.269% due 09/25/2033 (d) 891 874 Vendee Mortgage Trust 7.500% due 08/15/2017 71 71 7.750% due 05/15/2018 387 397 6.500% due 05/15/2020 30,510 31,687 7.750% due 05/15/2022 315 343 6.837% due 01/15/2030 14,880 15,538 Washington Mutual, Inc. 3.954% due 07/26/2003 (d) 43,188 43,188 7.500% due 11/19/2029 600 624 6.014% due 10/19/2039 3,000 3,109 6.394% due 10/19/2039 143,394 148,786 6.604% due 10/19/2039 (d) 90,270 90,982 7.371% due 12/25/2040 (d) 31,514 31,624 7.176% due 01/25/2041 (d) 91,163 91,597 Wells Fargo Mortgage-Backed Securities Trust 7.500% due 01/25/2031 5,223 5,335 6.660% due 10/25/2031 (d) 39,390 40,146 Western Federal Savings & Loan Association 7.997% due 06/25/2021 (d) 1,756 1,762 ----------- 11,451,379 ----------- Fannie Mae 1.7% 5.500% due 01/01/2004-12/01/2030 (k) 22,284 21,714 5.909% due 09/01/2017 (d) 4,169 4,195 6.000% due 11/01/2003-07/01/2031 (d)(k) 151,285 151,258 6.090% due 12/01/2008 48 50 6.199% due 04/01/2027 (d) 72 74 6.206% due 09/01/2024 (d) 1,199 1,227 6.210% due 08/01/2010 50,536 52,699 6.219% due 09/01/2024 (d) 1,382 1,406 6.247% due 09/01/2029 (d) 532 549 6.255% due 09/01/2013 64,000 65,763 6.297% due 10/01/2040 (d) 17,034 17,398 6.320% due 10/01/2013 4,280 4,487 6.420% due 12/01/2007 150 159 6.498% due 10/01/2040 (d) 18,377 18,412 6.500% due 04/01/2003-06/01/2031 (k) 28,305 29,032 6.502% due 10/01/2030 (d) 23,625 24,130 6.550% due 01/01/2008 941 1,004 6.555% due 08/01/2028 2,223 2,240 6.566% due 04/01/2026 (d) 873 901 6.626% due 12/01/2027 (d) 5,533 5,739 6.663% due 01/01/2018 (d) 1,012 1,040 6.671% due 08/01/2027 (d) 25,681 26,239 6.723% due 05/01/2030 (d) 190 195 6.730% due 11/01/2007 1,127 1,212 6.750% due 08/01/2003 101 102 6.847% due 07/01/2003 61 62 6.883% due 06/01/2024 (d) 544 560 6.899% due 07/01/2024 (d) 3,070 3,151 6.925% due 10/01/2027 (d) 3,495 3,593 6.977% due 11/01/2025 (d) 346 357 6.982% due 06/01/2007 458 496 7.000% due 07/01/2003-09/01/2031 (k) 87,987 90,801 7.001% due 05/01/2024 (d) 1,606 1,628 7.103% due 09/01/2022 (d) 703 726 7.107% due 06/01/2023 (d) 1,069 1,099 7.192% due 05/01/2026 (d) 350 357 7.209% due 10/01/2024 (d) 235 241 7.240% due 11/01/2025 (d) 2,458 2,504 7.250% due 05/01/2002-01/01/2023 (k) 9,414 9,643 7.265% due 02/01/2028 (d) 705 727 7.324% due 05/01/2025 (d) 1,999 2,048 7.350% due 09/01/2027 (d) 1,092 1,122 7.370% due 11/01/2025 (d) 894 916 7.385% due 09/01/2022 (d) 594 608 7.425% due 06/01/2030 (d) 30,477 31,683 7.460% due 08/01/2029 3,925 4,297 7.474% due 05/01/2023 (d) 1,886 1,927 7.496% due 08/01/2026 (d) 1,232 1,264 7.500% due 10/01/2002-05/01/2031 (k) 19,333 20,357 7.505% due 04/01/2027 (d) 408 418 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 77 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) 7.598% due 07/01/2019 (d) $ 554 $ 568 7.663% due 09/01/2025 (d) 739 747 7.710% due 11/01/2025 (d) 1,395 1,426 7.717% due 03/01/2025 (d) 2,059 2,109 7.750% due 06/01/2009 135 142 7.780% due 01/01/2018 2,220 2,559 7.791% due 08/01/2027 (d) 705 731 7.850% due 07/01/2018 6,658 7,532 7.886% due 01/01/2026 (d) 712 733 7.900% due 08/01/2023 (d) 351 373 7.903% due 05/01/2022 (d) 419 419 7.920% due 03/01/2018 2,734 3,188 7.980% due 05/01/2030 6,652 7,012 7.995% due 10/01/2024 (d) 896 921 8.000% due 04/01/2002-06/01/2031 (d)(k) 156,767 164,523 8.038% due 10/01/2023 (d) 690 727 8.060% due 04/01/2030 1,847 1,948 8.080% due 04/01/2030 1,011 1,067 8.200% due 12/01/2023 (d) 587 591 8.250% due 10/01/2008-03/01/2030 (k) 2,116 2,404 8.252% due 03/01/2026 (d) 1,001 1,036 8.261% due 01/01/2024 (d) 368 378 8.315% due 01/01/2024 (d) 288 297 8.342% due 02/01/2026 (d) 390 403 8.361% due 01/01/2024 (d) 940 966 8.381% due 11/01/2023 (d) 418 429 8.401% due 12/01/2023 (d) 129 132 8.406% due 10/01/2023 (d) 216 221 8.425% due 09/01/2023 (d) 1,594 1,607 8.429% due 12/01/2023 (d) 717 741 8.490% due 06/01/2025 986 1,054 8.500% due 11/01/2001-09/01/2030 (k) 6,416 6,847 8.585% due 01/01/2024 (d) 61 63 8.664% due 11/01/2023 (d) 130 135 9.000% due 10/01/2004-12/01/2027 (k) 7,750 8,476 9.500% due 12/01/2006-07/01/2026 (k) 7,043 7,644 9.750% due 11/01/2008 40 44 10.000% due 09/01/2003-05/01/2022 (k) 1,337 1,478 10.500% due 11/01/2013-04/01/2022 (k) 491 544 10.750% due 03/01/2014 23 25 11.000% due 11/01/2013-11/01/2020 (k) 224 252 11.500% due 08/20/2016-11/01/2019 (k) 65 74 12.000% due 05/01/2016 7 8 12.500% due 10/01/2015 25 29 13.000% due 09/01/2013 21 25 13.250% due 09/01/2011 10 12 14.500% due 11/01/2011-01/01/2013 (k) 25 30 14.750% due 08/01/2012 129 157 15.000% due 10/01/2012 72 88 15.500% due 10/01/2012-12/01/2012 (k) 14 16 15.750% due 12/01/2011-08/01/2012 (k) 79 97 16.000% due 09/01/2012 89 108 --------- 844,946 --------- Federal Housing Administration 1.0% 6.000% due 03/20/2028 4,195 4,190 6.750% due 07/15/2031 1,444 1,527 6.755% due 03/01/2041 16,168 16,259 6.780% due 07/25/2040 7,619 7,881 6.790% due 05/01/2039 10,781 10,619 6.830% due 12/01/2039 3,497 3,644 6.875% due 11/01/2015 3,153 3,177 6.880% due 10/01/2040-02/01/2041 (k) 21,659 21,766 6.896% due 07/01/2020 21,770 21,732 6.900% due 12/01/2040 22,769 23,861 6.930% due 07/01/2014-01/01/2036 (k) 20,950 21,947 6.961% due 05/01/2016 7,480 7,500 7.050% due 03/25/2040 4,517 4,773 7.110% due 05/01/2019 4,375 4,445 7.125% due 03/01/2034 4,382 4,425 7.150% due 01/25/2029 9,519 9,627 7.211% due 12/01/2021 2,632 2,619 7.250% due 06/01/2040 8,263 9,034 7.310% due 06/01/2041 23,622 25,147 7.315% due 08/01/2019 29,805 30,629 7.350% due 11/01/2020-11/01/2022 (k) 9,908 10,092 7.375% due 02/01/2018-01/01/2024 (k) 16,177 16,590 7.400% due 01/25/2020-02/01/2021 (k) 14,898 15,257 7.430% due 12/01/2016-06/25/2024 (k) 102,117 103,687 7.450% due 12/01/2021-10/01/2023 (k) 15,777 16,047 7.460% due 01/01/2023 2,210 2,251 7.465% due 11/01/2019 27,380 27,971 7.500% due 03/01/2032-03/31/2032 (k) 3,370 3,539 7.580% due 12/01/2040 7,413 7,644 7.630% due 08/01/2041 17,747 18,966 7.650% due 11/01/2018 134 139 7.750% due 11/15/2039 579 641 7.780% due 11/01/2040 7,405 7,737 7.880% due 03/01/2041 13,423 14,293 7.930% due 05/01/2016 1,850 1,937 8.250% due 10/29/2023-01/01/2041 (k) 9,438 10,007 8.378% due 11/07/2012 233 248 --------- 491,848 --------- Freddie Mac 0.9% 5.000% due 12/15/2020 198 200 5.500% due 10/01/2008-10/14/2029 (k) 3,600 3,568 5.625% due 06/01/2017 (d) 14 14 6.000% due 01/01/2011-10/16/2030 (d)(k) 195,713 195,840 6.250% due 04/01/2017 (d) 26 27 6.408% due 06/01/2024 (d) 1,399 1,450 6.500% due 11/01/2002-07/01/2029 (k) 9,151 9,480 6.503% due 08/01/2023 (d) 573 580 6.531% due 11/01/2026 (d) 4,396 4,411 6.545% due 08/01/2024 (d) 166 171 6.571% due 09/01/2023 (d) 1,381 1,391 6.592% due 12/01/2026 (d) 4,644 4,744 6.606% due 07/01/2022 (d) 580 596 6.632% due 07/01/2023 (d) 407 413 6.638% due 08/01/2023 (d) 229 230 6.713% due 08/01/2023 (d) 3,599 3,647 6.755% due 11/01/2028 (d) 15,623 16,166 6.775% due 11/01/2003 46 45 6.834% due 06/01/2022 (d) 869 884 6.886% due 07/01/2025 (d) 4,994 5,082 6.896% due 10/01/2023 (d) 831 858 6.946% due 05/01/2023 (d) 515 530 7.000% due 10/01/2002-12/01/2030 (k) 53,294 55,275 7.233% due 09/01/2023 (d) 6,155 6,258 7.250% due 11/01/2008 125 130 7.252% due 07/01/2024 (d) 1,098 1,126 7.258% due 09/01/2027 (d) 1,898 2,002 7.439% due 08/01/2023 (d) 6 6 7.446% due 07/01/2023 (d) 1,223 1,226 7.481% due 10/01/2023 (d) 77 76 7.500% due 09/01/2003-02/01/2031 (k) 14,173 14,716 7.550% due 01/01/2020 (d) 199 204 7.566% due 05/01/2023 (d) 600 616 7.580% due 05/01/2023 (d) 1,033 1,080 7.598% due 06/01/2024 (d) 2,060 2,113 7.616% due 12/01/2022 (d) 208 213 7.621% due 09/01/2023 (d) 831 829 7.645% due 05/01/2025 2,653 2,920 7.688% due 04/01/2023 (d) 213 223 7.804% due 07/01/2030 (d) 73,771 78,531 7.835% due 08/01/2023 (d) 6,160 6,328 7.853% due 09/01/2023 (d) 849 868 7.856% due 11/01/2023 (d) 252 252 7.875% due 09/01/2018 (d) 478 489 7.980% due 11/01/2023 (d) 38 38 7.983% due 10/01/2023 (d) 856 861 8.000% due 01/01/2002-03/01/2030 (k) 5,682 5,954 8.111% due 11/01/2023 (d) 256 258 8.156% due 06/01/2022 (d) 290 299 8.172% due 04/01/2029 (d) 841 866 8.200% due 04/01/2024 (d) 4,840 4,955 8.243% due 10/01/2023 (d) 1,175 1,201 8.250% due 12/01/2002-01/01/2019 (d)(k) 170 175 8.329% due 10/01/2023 (d) 520 531 8.365% due 11/01/2023 (d) 73 74 78 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompnaying notes Principal Amount Value (000s) (000s) 8.459% due 01/01/2024 (d) $ 311 $ 319 8.465% due 01/01/2024 (d) 267 277 8.500% due 10/01/2001-06/01/2030 (k) 3,771 3,998 8.664% due 12/01/2023 (d) 917 948 8.750% due 01/01/2007-12/01/2010 (k) 44 47 9.000% due 01/01/2002-07/01/2030 (k) 783 838 9.250% due 06/01/2009-11/01/2013 (k) 64 69 9.500% due 06/01/2002-12/01/2022 (k) 1,097 1,196 9.750% due 11/01/2004-05/01/2009 (k) 30 33 10.000% due 06/01/2004-03/01/2021 (k) 648 701 10.250% due 04/01/2009-05/01/2009 (k) 866 946 10.500% due 10/01/2017-01/01/2021 (k) 289 326 10.750% due 09/01/2010 32 35 11.000% due 11/01/2009-05/01/2020 (k) 519 581 11.250% due 10/01/2009-09/01/2015 (k) 17 19 11.500% due 01/01/2018 52 58 12.500% due 12/01/2012 13 15 13.250% due 10/01/2013 77 90 14.000% due 04/01/2016 15 18 15.500% due 08/01/2011-11/01/2011 (k) 10 13 16.250% due 05/01/2011 1 2 ----------- 451,549 ----------- Government National Mortgage Association 46.1% 5.000% due 06/20/2022-06/20/2026 (d)(k) 778 794 5.500% due 05/20/2028-10/23/2030 (d)(k) 28,461 28,127 5.650% due 10/15/2012 10 10 5.875% due 02/20/2016 (d) 157 159 6.000% due 10/15/2008-07/15/2031 (d)(k) 3,039,696 3,056,297 6.375% due 05/20/2017-01/20/2028 (d)(k) 402,597 411,397 6.500% due 10/15/2008-09/15/2040 (d)(k) 11,402,794 11,666,216 6.625% due 01/15/2040 9,563 10,044 6.670% due 08/15/2040 957 1,002 6.750% due 01/15/2002-08/20/2026 (d)(k) 18,237 18,612 6.800% due 05/15/2040 2,981 3,149 6.820% due 04/15/2040 16,890 17,884 6.875% due 04/20/2023-02/15/2040 (d)(k) 1,207 1,275 7.000% due 10/15/2003-01/03/2041 (d)(k) 1,329,966 1,378,337 7.125% due 10/20/2019-11/20/2027 (d)(k) 19,604 20,256 7.250% due 08/20/2024 (d) 279 284 7.375% due 06/20/2021-05/20/2028 (d)(k) 26,028 26,550 7.500% due 01/15/2003-01/15/2041 (k) 2,910,571 3,038,932 7.625% due 12/20/2015-12/20/2027 (d)(k) 239,756 247,371 7.700% due 03/15/2041 6,741 6,888 7.750% due 01/15/2002-09/20/2027 (d)(k) 301,478 310,770 8.000% due 08/15/2005-10/22/2031 (d)(k) 1,857,680 1,952,959 8.125% due 05/15/2041 3,673 4,023 8.250% due 07/15/2002-08/20/2027 (d)(k) 1,023 1,094 8.500% due 03/20/2006-10/22/2031 (d)(k) 73,291 77,574 8.750% due 03/15/2007-07/20/2025 (d)(k) 254 269 9.000% due 12/15/2001-07/20/2022 (k) 5,195 5,666 9.250% due 07/15/2003-12/20/2016 (k) 112 120 9.500% due 12/15/2003-07/15/2025 (k) 4,886 5,414 9.750% due 09/15/2002-07/15/2004 (k) 43 46 10.000% due 08/20/2004-02/15/2025 (k) 4,307 4,832 10.250% due 02/20/2019 22 25 10.500% due 06/15/2004-09/15/2021 (k) 533 603 11.000% due 05/15/2004-04/20/2019 (k) 262 290 11.250% due 12/20/2015 29 33 11.500% due 10/15/2010-10/15/2015 (k) 81 93 12.000% due 11/15/2012-05/15/2016 (k) 438 515 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014 (k) 16 20 13.250% due 10/20/2014 19 23 13.500% due 10/15/2012-09/15/2014 (k) 69 84 15.000% due 02/15/2012-10/15/2012 (k) 89 109 16.000% due 10/15/2011-05/15/2012 (k) 134 162 17.000% due 11/15/2011-12/15/2011 (k) 54 66 ----------- 22,298,375 ----------- Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 152 5 7.500% due 08/25/2024 823 39 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 98 1 Fannie Mae (IO) 6.500% due 05/25/2005 466 34 6.500% due 07/25/2006 102 1 727.220% due 09/25/2006 1 2 6.500% due 02/25/2007 472 12 6.500% due 07/25/2007 68 1 6.500% due 09/25/2007 655 21 6.500% due 10/25/2007 173 5 6.500% due 09/25/2008 818 66 0.950% due 03/25/2009 (d) 22,619 418 6.500% due 07/25/2018 316 9 6.500% due 08/25/2020 1,497 63 7.500% due 04/25/2021 1,108 105 903.213% due 08/25/2021 4 78 0.950% due 11/25/2021 (d) 15,968 233 1000.000% due 04/25/2022 2 44 6.500% due 10/25/2022 69 6 6.500% due 01/25/2023 3,026 394 3.663% due 02/25/2023 (d) 9,344 803 8.000% due 08/18/2027 207 38 Fannie Mae (PO) 0.000% due 09/01/2007 504 470 0.000% due 08/25/2023 266 228 Freddie Mac (IO) 1182.580% due 08/15/2007 7 125 5.750% due 09/15/2007 (d) 3,765 395 6.000% due 10/15/2007 102 5 6.000% due 01/15/2008 30 1 5.428% due 02/15/2008 (d) 397 33 7.000% due 08/15/2008 2,036 196 6.400% due 10/15/2008 34 4 6.500% due 11/15/2008 1,127 152 7.000% due 04/15/2018 65 0 6.500% due 10/15/2018 131 2 884.500% due 01/15/2021 1 15 1007.500% due 02/15/2022 2 45 9.000% due 05/15/2022 72 13 7.000% due 06/15/2023 2,446 266 7.000% due 06/15/2023 3,700 500 6.500% due 09/15/2023 187 21 Paine Webber CMO Trust (IO) 1359.500% due 08/01/2019 1 24 Prudential Home Mortgage Securities (IO) 1007.070% due 10/25/2023 2 17 Vendee Mortgage Trust (IO) 0.542% due 06/15/2023 (d) 130,232 2,383 ----------- 7,273 ----------- Total Mortgage-Backed Securities 35,545,370 (Cost $34,860,503) ----------- ASSET-BACKED SECURITIES 5.7% Aames Mortgage Trust 3.848% due 06/15/2027 437 438 7.589% due 10/15/2029 143 153 4.439% due 11/25/2030 (d) 37,221 37,329 ABFS Equipment Contract Trust 6.100% due 10/15/2005 34 33 ABSC Long Beach Home Equity Loan Trust 4.684% due 07/21/2030 (d) 375 376 4.344% due 08/21/2030 (d) 106,327 106,455 Accredited Mortgage Loan Trust 4.149% due 02/25/2030 (d) 35,942 36,026 Ace Securities Corp. 4.409% due 11/25/2028 (d) 737 739 Advanta Mortgage Loan Trust 4.325% due 05/25/2027 (d) 667 665 4.205% due 08/25/2029 (d) 1,927 1,935 4.464% due 11/25/2029 (d) 1,365 1,366 8.250% due 08/25/2030 7,954 8,649 Advanta Revolving Home Equity Loan Trust 4.175% due 01/25/2024 (d) 17,850 17,913 4.339% due 08/25/2024 (d) 16,659 16,659 4.339% due 02/25/2025 (d) 10,049 10,056 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 79 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Aerco Ltd. 4.573% due 07/15/2025 (d) $ 38,200 $ 38,259 AESOP Funding II LLC 3.308% due 11/20/2006 (d) 15,500 15,418 AFC Home Equity Loan Trust 2.961% due 06/25/2030 (d) 2,316 2,320 4.085% due 01/25/2031 (d) 535 534 American Express Master Trust 7.850% due 08/15/2005 220 243 American Stores Co. 4.625% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 5.780% due 05/12/2003 23,014 23,107 4.340% due 09/05/2006 (d) 15,000 15,039 Ameriquest Mortgage Securities, Inc. 3.788% due 07/15/2003 (d) 29,348 29,415 3.960% due 06/15/2030 (d) 9,213 9,238 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 1 1 Arcadia Automobile Receivables Trust 6.300% due 07/15/2003 10,539 10,613 6.900% due 12/15/2003 13,262 13,478 Argentina Funding Corp. 3.318% due 05/20/2003 (d) 5,000 5,008 Asset Backed Securities Home Equity Corp. 3.748% due 06/15/2031 (d) 26,949 26,994 Bank One Heloc Trust 3.870% due 04/20/2020 (d) 29,708 29,734 Bay View Auto Trust 7.640% due 11/25/2010 310 328 Bayview Financial Acquisition Trust 4.639% due 02/25/2029 (d) 3,663 3,674 4.689% due 11/25/2029 (d) 8,837 8,873 4.469% due 02/25/2030 (d) 18,328 18,343 4.479% due 07/25/2030 (d) 56,031 56,031 4.469% due 11/25/2030 (d) 43,360 43,523 2.941% due 07/25/2031 (d) 35,296 35,236 Bayview Financial Asset Trust 4.193% due 04/25/2031 (d) 95,301 95,376 Bear Stearn Asset Backed Securities 3.900% due 10/25/2034 (d) 2,443 2,449 BMCA Receivables Master Trust 4.304% due 09/20/2002 (d) 15,000 15,000 Brazos Student Loan Finance Co. 4.550% due 06/01/2023 (d) 55,700 55,592 4.030% due 12/01/2025 (d) 32,895 32,754 Capital Asset Research Funding LP 6.400% due 12/15/2004 192 192 5.905% due 12/15/2005 687 685 Captec Franchise Trust 7.892% due 10/15/2010 1,241 1,221 Champion Home Equity Loan Trust 4.095% due 03/25/2029 (d) 3,539 3,540 4.193% due 09/25/2029 20,097 20,134 Charming Shoppes Master Trust 4.280% due 08/15/2008 (d) 250 251 Chase Credit Card Master Trust 6.660% due 01/15/2007 1,390 1,491 Chase Funding Mortgage Loan Asset-Backed Certificates 4.309% due 10/25/2030 (d) 46,432 46,388 Cityscape Home Equity Loan Trust 7.650% due 09/25/2025 180 191 Community Program Loan Trust 4.500% due 10/01/2018 22,076 21,524 4.500% due 04/01/2029 26,000 22,230 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 16,000 15,995 Conseco Finance 7.520% due 05/15/2014 6,468 6,518 7.800% due 05/15/2020 175 190 3.858% due 10/15/2031 (d) 19,187 19,257 Conseco Finance Home Loan Trust 6.980% due 06/15/2011 3,582 3,613 8.080% due 02/15/2022 20,300 21,522 Conseco Finance Lease LLC 7.250% due 04/20/2003 10,820 10,919 Conseco Finance Securitizations Corp. 8.850% due 12/01/2031 20,000 23,825 7.970% due 05/01/2032 25,600 28,171 8.310% due 05/01/2032 48,800 53,162 7.180% due 05/01/2032 11,857 12,033 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 26,209 26,425 6.990% due 03/15/2021 256 263 6.930% due 11/25/2022 36,800 37,885 7.220% due 01/15/2028 80 84 3.780% due 06/15/2028 (d) 1,117 1,116 3.698% due 08/15/2028 (d) 443 444 CPS Auto Trust 6.000% due 08/15/2003 34 34 Cross Country Master Credit Card Trust II 3.988% due 06/15/2006 (d) 4,600 4,635 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 7,164 3.930% due 08/25/2031 (d) 4,700 4,700 Delta Funding Home Equity Loan Trust 5.950% due 10/15/2012 36 36 3.898% due 09/15/2029 (d) 7,647 7,683 3.808% due 06/15/2030 (d) 25,245 25,262 Denver Arena Trust 6.940% due 11/15/2019 2,808 2,928 Discover Card Master Trust I 6.850% due 07/17/2007 960 1,036 4.015% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 801 802 6.450% due 04/15/2004 221 221 7.260% due 05/15/2005 19,653 19,606 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 14,400 14,400 EQCC Home Equity Loan Trust 6.548% due 04/25/2010 47 47 3.648% due 10/15/2027 (d) 549 549 7.448% due 08/25/2030 204 217 Equivantage Home Equity Loan Trust 6.550% due 10/25/2025 61 62 First Alliance Mortgage Loan Trust 4.020% due 01/25/2025 (d) 372 372 3.438% due 03/20/2031 (d) 14,192 14,215 First Security Auto Grantor Trust 5.970% due 04/15/2004 50 50 Firstcity Auto Receivables Trust 7.400% due 12/15/2005 2,359 2,438 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.200% due 09/15/2020 59 60 6.500% due 09/15/2020 192 186 6.830% due 09/15/2020 680 681 Franklin Auto Loan Funding LLC 5.930% due 06/18/2003 247 249 GE Capital Equipment Lease Trust 6.850% due 05/20/2008 (d) 208 216 GMAC Mortgage Corp. Loan Trust 4.471% due 11/18/2025 (d) 33,154 33,298 7.950% due 03/25/2030 23,637 25,326 Green Tree Financial Corp. 6.240% due 11/01/2016 196 201 5.760% due 11/01/2018 145 148 8.300% due 05/15/2026 2,000 2,179 6.490% due 03/15/2028 11,592 11,704 6.420% due 11/15/2028 115 115 6.870% due 02/01/2030 1,620 1,666 6.660% due 06/01/2030 1,405 1,355 6.480% due 12/01/2030 55 58 7.860% due 04/01/2031 400 423 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 56,000 56,078 Green Tree Home Improvement Loan Trust 4.138% due 11/15/2029 (d) 1,914 1,911 80 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 $ 829 $ 836 6.715% due 02/01/2009 33,136 34,976 6.490% due 02/15/2018 10 11 6.180% due 06/15/2019 21,214 21,983 Greenpoint Manufactured Housing 7.270% due 06/15/2029 110 116 Headlands Home Equity Loan Trust 4.138% due 12/15/2024 (d) 261 263 HFC Home Equity Loan 6.830% due 12/20/2016 28 28 Household Consumer Loan Trust 4.543% due 08/15/2006 (d) 15,203 15,027 IMC Home Equity Loan Trust 7.630% due 07/25/2026 (d) 426 442 3.989% due 08/20/2029 113 113 IMPAC Secured Assets CMN Owner Trust 7.770% due 07/25/2025 1,841 1,922 Indymac Home Equity Loan Asset-Backed Trust 3.840% due 10/25/2029 (d) 2,030 2,040 4.379% due 07/25/2030 (d) 8,110 8,128 Indymac Manufactured Housing Contract 6.170% due 12/25/2011 3,817 3,872 Keystone Owner Trust 6.840% due 12/25/2018 2,000 2,070 Long Beach Auto Receivables Trust 6.940% due 09/19/2007 2,421 2,501 Long Beach Mortgage Loan Trust 4.781% due 01/21/2031 (d) 10,295 10,308 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 67,602 66,926 Mellon Bank Home Equity 6.520% due 07/25/2010 64 64 5.900% due 10/25/2010 5,677 5,712 Merit Securities Corp. 6.160% due 07/28/2033 2,234 2,238 7.880% due 12/28/2033 34,400 37,497 Mesa Trust Asset Backed Certificates 3.910% due 05/15/2033 (d) 7,330 7,330 Metris Master Trust 4.734% due 04/20/2006 (d) 20,000 20,091 Metropolitan Asset Funding, Inc. 4.253% due 04/25/2029 (d) 9,924 9,862 Mid-State Trust 8.330% due 04/01/2030 57,377 63,700 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (d) 310 311 Morgan Stanley ABS Capital, Inc. 4.389% due 08/25/2030 (d) 111,226 111,502 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 8,652 9,288 MSDWCC Heloc Trust 4.370% due 09/25/2010 (d) 30,189 30,118 Myra-United Mexican States 4.563% due 10/20/2006 (d) 348 338 4.563% due 12/23/2006 (d) 714 693 6.413% due 12/23/2006 (d) 6,475 6,281 4.563% due 12/23/2006 (d) 6,046 5,918 4.513% due 12/23/2006 (d) 818 794 4.563% due 12/23/2006 (d) 2,432 2,359 National Medical Care 4.438% due 09/30/2003 (d) 28,564 28,278 New Century Home Equity Loan Trust 7.540% due 06/25/2029 168 179 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 855 855 3.930% due 01/25/2031 (d) 6,092 6,101 NPF XII, Inc. 4.355% due 03/01/2003 (d) 2,600 2,597 7.050% due 06/01/2003 (d) 50,750 52,037 5.084% due 11/01/2003 (d) 46,000 46,000 Oakwood Mortgage Investors, Inc. 6.200% due 01/15/2015 319 325 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 36,612 36,695 Provident Bank Equipment Lease Trust 4.105% due 11/25/2011 (d) 25,266 25,151 Provident Bank Home Equity Loan Trust 4.129% due 06/25/2021 (d) 24,789 24,835 Providian Gateway Master Trust 3.708% due 03/15/2007 (d) 28,900 29,002 3.768% due 03/16/2009 (d) 29,500 29,555 3.788% due 04/15/2009 (d) 19,000 19,142 Providian Master Trust 6.250% due 06/15/2007 25 26 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 514 514 Residential Asset Mortgage Products, Inc. 3.870% due 09/25/2030 (d) 28,969 28,391 7.980% due 12/25/2030 24,463 26,532 Residential Asset Securities Corp. 6.600% due 06/25/2020 6,629 6,667 7.075% due 09/25/2020 150 152 7.998% due 10/25/2024 (d) 3,630 3,743 3.880% due 10/25/2027 (d) 1,342 1,345 Residential Asset Securitization Trust 6.750% due 03/25/2028 40,000 40,873 RJR Nabisco 7.500% due 01/01/2002 (d) 19,948 19,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 74 74 SallieMae 4.041% due 07/25/2004 (d) 630 629 4.173% due 10/25/2004 (d) 9,993 9,997 4.203% due 10/25/2005 (d) 13,543 13,565 4.123% due 10/25/2005 (d) 8,356 8,356 4.263% due 04/25/2006 (d) 55,782 55,733 3.900% due 04/25/2011 (d) 20,200 20,253 Salomon Brothers Mortgage Securities VII 3.855% due 12/25/2026 (d) 821 821 3.908% due 11/15/2029 (d) 14,797 14,864 4.068% due 12/15/2029 (d) 7,800 7,829 3.920% due 02/25/2030 (d) 22,291 22,355 Sand Trust 3.860% due 08/25/2032 (d) 18,000 18,000 Saxon Asset Securities Trust 7.585% due 12/25/2014 17 17 2.891% due 05/25/2029 (d) 3,160 3,162 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 520 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 36,846 36,810 Standard Credit Card Master Trust 8.250% due 11/07/2003 80 81 Structured Product Asset Trust 4.795% due 02/12/2003 (d) 4,200 4,200 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 31 The Money Store Home Equity Trust 7.550% due 02/15/2020 46 46 6.490% due 10/15/2026 4,187 4,269 3.668% due 06/15/2029 (d) 755 755 Timber Corp. Term Loan 4.830% due 11/30/2001 65,000 65,000 UCFC Home Equity Loan 6.755% due 11/15/2023 165 170 8.200% due 09/15/2027 70 74 6.870% due 07/15/2029 70 73 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 1,049 1,057 6.100% due 02/15/2006 155 159 WFS Financial Owner Trust 6.920% due 01/20/2004 20,748 21,161 WMC Mortgage Loan 3.938% due 10/15/2029 57,640 57,771 ---------- Total Asset-Backed Securities 2,749,585 (Cost $2,715,989) ---------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 81 Schedule of Investments (Cont.) Total Return Fund Septemeber 30, 2001 Principal Amount Value (000s) (000s) SOVEREIGN ISSUES 1.0% Government of Jamaica 11.750% due 05/15/2011 $ 12 $ 12 Hydro-Quebec 7.375% due 02/01/2003 150 158 3.125% due 09/29/2049 (d) 5,600 4,843 Kingdom of Jordan 6.000% due 12/23/2023 4,100 2,994 Kingdom of Sweden 10.250% due 11/01/2015 500 659 Province of Manitoba 7.750% due 02/01/2002 1,000 1,015 Province of New Brunswick 7.125% due 10/01/2002 1,700 1,765 Province of Newfoundland 9.000% due 06/01/2019 500 637 Province of Nova Scotia 9.375% due 07/15/2002 1,000 1,049 Province of Ontario 7.750% due 06/04/2002 200 207 7.625% due 06/22/2004 1,000 1,097 7.000% due 08/04/2005 1,000 1,087 6.000% due 02/21/2006 1,800 1,899 5.500% due 10/01/2008 12,000 12,369 Province of Quebec 7.500% due 07/15/2002 6,000 6,223 8.800% due 04/15/2003 1,100 1,196 4.068% due 06/11/2004 (d) 15,500 15,524 6.500% due 01/17/2006 2,000 2,153 6.620% due 04/09/2026 25,000 27,533 Republic of Brazil 5.438% due 04/15/2006 232,124 193,143 8.000% due 04/15/2014 42 28 8.875% due 04/15/2024 4,000 2,250 10.125% due 05/15/2027 (j) 20,000 12,600 12.250% due 03/06/2030 45 33 Republic of Bulgaria 7.750% due 07/28/2011 (d) 25 19 3.000% due 07/28/2012 (d) 3,624 2,876 7.750% due 07/28/2024 (d) 320 246 Republic of Croatia 7.000% due 02/27/2002 7,650 7,719 7.750% due 07/31/2006 (d) 2,675 2,621 4.563% due 07/31/2010 (d) 34,534 33,843 Republic of Egypt 7.625% due 07/11/2006 14,000 13,265 8.750% due 07/11/2011 10,000 8,925 Republic of Kazakhstan 8.375% due 10/02/2002 5,000 5,127 Republic of Panama 5.030% due 05/10/2002 (d) 1,009 1,014 9.625% due 02/08/2011 15,000 14,963 4.500% due 07/17/2014 7,391 6,543 Republic of Peru 3.750% due 03/07/2017 11,000 7,016 4.500% due 03/07/2017 (d) 5,760 4,054 Republic of Philippines 10.625% due 03/16/2025 26 21 Republic of Poland 6.000% due 10/27/2014 9,000 8,899 4.250% due 10/27/2024 1,600 1,220 3.750% due 10/27/2024 (d) 53,940 38,837 Republic of South Africa 9.125% due 05/19/2009 15,000 16,500 Republic of Venezuela 9.250% due 09/15/2027 56 38 Resolution Funding Strip 0.000% due 10/15/2018 14,000 5,040 0.000% due 01/15/2020 2,053 683 0.000% due 07/15/2020 32,750 10,552 State of Israel 6.200% due 06/14/2003 25 25 State of Qatar 4.761% due 02/18/2004 (d) 6,308 6,214 United Mexican States 0.000% due 06/30/2003 86,988 687 7.570% due 04/07/2004 (d) 14,436 14,826 8.500% due 02/01/2006 3,781 3,953 10.375% due 02/17/2009 42 47 8.375% due 01/14/2011 4,693 4,646 6.250% due 12/31/2019 3,610 3,221 --------- Total Sovereign Issues 514,114 --------- (Cost $526,400) FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.7% Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,300 2,180 Bundes Obligation 5.000% due 08/19/2005 (j) 307,400 290,632 Commonwealth of Canada 5.750% due 09/01/2006 C$ 120 80 Government of New Zealand 4.500% due 02/15/2016 (j) N$ 78,000 34,218 Halifax Group Euro Finance 7.627% due 12/29/2049 EC 14,700 14,506 Hellenic Finance 2.000% due 07/15/2003 2,250 1,979 Hellenic Republic 6.000% due 05/19/2010 80 77 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 20,645 Korea Electric Power Corp. 3.882% due 10/31/2002 (d) DM 18,900 8,772 Lloyds TSB Capital 7.375% due 02/07/2049 EC 26,000 25,224 Oesterreichische Kontrollbank 1.800% due 03/22/2010 JY 12,000 108 Pfizer, Inc. 0.800% due 03/18/2008 16,000 135 Republic of Austria 5.500% due 01/15/2010 (j) EC 900 852 Republic of Brazil 8.250% due 11/26/2001 2,000 1,820 Republic of Germany 5.000% due 05/20/2005 155 147 6.000% due 02/16/2006 (j) 149,000 146,147 5.000% due 02/17/2006 (j) 440,900 416,168 6.250% due 01/04/2024 450 424 4.750% due 07/04/2028 65 53 Royal Bank of Scotland Group PLC 6.770% due 03/31/2049 107,300 103,806 8.220% due 11/29/2049 87,000 117,031 Treuhandanstalt 6.250% due 03/04/2004 60 58 United Kingdom Gilt 5.000% due 03/07/2012 BP 50 74 6.000% due 12/07/2028 1,210 2,094 United Mexican States 6.000% due 03/28/2002 JY 100,000 852 3.100% due 04/24/2002 2,542,000 21,280 8.750% due 05/30/2002 BP 23,000 34,022 10.375% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,395 7.432% due 04/07/2004 (d) EC 18,181 16,711 6.750% due 06/06/2006 JY 2,000,000 19,734 7.500% due 03/08/2010 EC 5,000 4,550 World Bank 4.750% due 12/20/2004 JY 16,000 154 ---------- Total Foreign Currency-Denominated Issues 1,304,025 (Cost $1,298,395) ---------- 82 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.750 Exp. 12/17/2001 $ 12,500 $ 31 Strike @ 95.250 Exp. 12/17/2001 127,030 1,270 Strike @ 95.000 Exp. 12/17/2001 67,765 339 Strike @ 94.500 Exp. 12/17/2001 58,828 294 Strike @ 94.000 Exp. 12/17/2001 105,383 263 Strike @ 93.750 Exp. 12/17/2001 45,625 228 Strike @ 93.500 Exp. 12/17/2001 25,530 64 Strike @ 93.250 Exp. 12/17/2001 12,500 63 Strike @ 92.500 Exp. 12/17/2001 12,500 31 Strike @ 92.500 Exp. 12/14/2001 5,000 25 Strike @ 93.750 Exp. 12/17/2001 5,375 13 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 55,000 275 Strike @ 92.250 Exp. 06/17/2002 53,468 134 Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.00 Exp. 05/01/2005 22,975 0 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 2,500 0 --------- Total Purchased Put Options 3,030 (Cost $4,721) --------- CONVERTIBLE BONDS & NOTES 0.1% Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,537 --------- Industrial 0.1% Tyco International Ltd. 0.000% due 11/17/2020 17,100 13,124 --------- Utilities 0.0% Cox Communications, Inc. 0.426% due 04/19/2020 25,000 10,844 --------- Total Convertible Bonds & Notes 25,505 (Cost $27,796) --------- PREFERRED SECURITY 0.8% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 35,250 363,075 UBS Preferred Funding Trust I 8.622% due 10/29/2049 38,900 44,095 --------- Total Preferred Security 407,170 (Cost $391,617) --------- PREFERRED STOCK 0.1% Banco Bilbao Vizcaya International 9.750% due 12/31/2049 266,217 6,709 Centaur Funding Corp. 9.080% due 04/21/2020 125 136 CSC Holdings, Inc. 11.125% due 04/01/2008 27,038 2,765 Fortis Amev NV 3.860% due 12/31/2049 (d) 171 23,940 Home Ownership Funding 13.331% due 12/31/2049 4,125 2,966 TCI Communications, Inc. 9.720% due 12/31/2026 622,553 15,751 10.000% due 05/31/2045 49,000 1,229 --------- Total Preferred Stock 53,496 (Cost $52,593) --------- SHORT-TERM INSTRUMENTS 9.3% Principal Amount (000s) Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 29,500 29,956 8.988% due 02/25/2002 6,000 6,207 10.675% due 02/25/2002 8,000 8,280 --------- 44,443 --------- Commercial Paper 8.9% Abbey National North America 3.540% due 10/24/2001 2,000 1,995 3.550% due 10/24/2001 14,700 14,667 3.470% due 10/26/2001 5,800 5,786 3.540% due 10/29/2001 2,800 2,792 3.440% due 10/29/2001 1,700 1,695 3.470% due 10/29/2001 2,500 2,493 3.470% due 10/31/2001 7,400 7,379 American Electric Power, Inc. 4.260% due 02/13/2002 65,000 64,384 American Express Co. 2.420% due 10/12/2001 100 100 Anz, Inc. 3.240% due 11/21/2001 4,100 4,081 AT&T Corp. 4.525% due 08/06/2002 214,900 214,760 Becton Dickinson & Co. 3.090% due 10/02/2001 800 800 3.650% due 10/17/2001 3,420 3,414 BP Amoco PLC 3.450% due 10/01/2001 131,000 131,000 British Telecom PLC 4.854% due 10/09/2001 150,700 150,695 CBA (de) Finance 3.740% due 10/15/2001 2,400 2,397 3.600% due 10/15/2001 600 599 2.500% due 10/15/2001 100 100 3.565% due 10/29/2001 14,000 13,961 3.530% due 10/29/2001 3,100 3,091 4.050% due 11/05/2001 6,000 5,976 CDC 3.380% due 10/01/2001 60,500 60,500 Coca-Cola Co. 3.610% due 10/11/2001 23,900 23,876 3.610% due 10/12/2001 10,000 9,989 Dow Jones & Co., Inc. 3.450% due 11/19/2001 3,400 3,384 E.I. Du Pont 3.190% due 10/05/2001 3,400 3,399 2.950% due 10/11/2001 54,400 54,355 Fannie Mae 3.150% due 10/01/2001 257,800 257,800 2.500% due 10/03/2001 700 700 4.020% due 10/04/2001 1,700 1,699 3.520% due 10/04/2001 13,500 13,496 2.850% due 10/05/2001 5,100 5,098 3.520% due 10/18/2001 8,600 8,586 3.545% due 10/18/2001 2,600 2,596 4.000% due 10/18/2001 21,500 21,459 4.010% due 10/18/2001 13,200 13,175 3.510% due 10/25/2001 1,300 1,297 4.060% due 10/25/2001 1,591 1,587 4.000% due 10/25/2001 58,500 58,344 3.520% due 10/25/2001 20,600 20,552 3.530% due 10/25/2001 500 499 4.000% due 10/25/2001 30,000 29,920 4.000% due 10/31/2001 46,500 46,345 3.520% due 11/01/2001 5,800 5,782 4.005% due 11/01/2001 49,000 48,831 3.520% due 11/08/2001 20,500 20,424 3.520% due 11/15/2001 37,800 37,634 3.480% due 11/21/2001 7,435 7,398 3.630% due 12/20/2001 18,900 18,793 3.630% due 12/27/2001 14,900 14,807 3.540% due 01/03/2002 2,200 2,185 3.250% due 03/15/2002 339 335 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 83 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Federal Farm Credit Bank 3.400% due 11/02/2001 $ 2,475 $ 2,468 Federal Home Loan Bank 3.000% due 10/01/2001 10,240 10,240 3.150% due 10/01/2001 2,000 2,000 4.020% due 10/10/2001 1,954 1,952 3.460% due 10/12/2001 31,800 31,766 4.020% due 10/12/2001 4,315 4,310 3.450% due 10/31/2001 4,300 4,288 3.400% due 11/07/2001 295 294 3.710% due 11/07/2001 1,635 1,629 3.710% due 11/08/2001 605 603 3.520% due 11/09/2001 20,600 20,521 3.690% due 01/31/2002 555 550 3.720% due 03/28/2002 180 178 Freddie Mac 3.150% due 10/01/2001 102,000 102,000 2.650% due 10/02/2001 6,500 6,500 4.090% due 10/11/2001 25,200 25,171 3.520% due 10/11/2001 49,300 49,252 2.740% due 10/12/2001 6,060 6,055 3.530% due 10/19/2001 1,700 1,697 3.540% due 10/19/2001 201,082 200,726 3.540% due 10/25/2001 200 200 3.540% due 10/31/2001 11,900 11,865 3.490% due 11/02/2001 7,900 7,875 3.630% due 11/16/2001 600 597 3.540% due 11/16/2001 35,004 34,846 3.560% due 12/28/2001 13,800 13,713 3.570% due 12/28/2001 900 894 General Electric Capital Corp. 3.500% due 10/02/2001 140 140 3.520% due 10/02/2001 913 913 3.550% due 10/02/2001 2,400 2,400 3.860% due 10/02/2001 2,000 2,000 4.040% due 10/31/2001 145,000 144,512 3.400% due 12/26/2001 3,400 3,379 3.670% due 12/26/2001 10,700 10,635 3.500% due 12/26/2001 600 596 3.100% due 12/26/2001 4,900 4,870 3.520% due 12/26/2001 13,200 13,120 3.100% due 12/27/2001 3,100 3,081 3.520% due 12/27/2001 53,000 52,668 3.560% due 12/27/2001 1,600 1,590 3.520% due 12/28/2001 100,000 99,366 Glaxo Wellcome 3.550% due 10/18/2001 1,500 1,497 Halifax Building Society 4.080% due 10/22/2001 6,800 6,784 4.180% due 10/22/2001 100 100 KFW International Finance, Inc. 3.520% due 10/23/2001 700 698 Merck & Co., Inc. 3.110% due 10/09/2001 300 300 3.050% due 10/09/2001 10,500 10,493 Monsanto Co. 3.720% due 10/15/2001 300 300 Morgan Stanley Group, Inc. 3.690% due 10/01/2001 29,400 29,400 National Rural Utilities Cooperative Finance Corp. 2.720% due 10/24/2001 2,200 2,196 PepsiCo, Inc. 3.250% due 10/01/2001 250 250 Procter & Gamble Co. 3.470% due 10/04/2001 1,700 1,700 Queensland Treasury Corp. 3.560% due 10/23/2001 4,900 4,889 Rabobank Australia Ltd. 3.240% due 10/01/2001 730,000 730,000 SBC Communications, Inc. 3.530% due 10/18/2001 3,050 3,045 3.430% due 11/29/2001 39,000 38,781 3.440% due 11/29/2001 8,800 8,750 Swedbank, Inc. 2.490% due 10/24/2001 1,700 1,697 3.510% due 10/24/2001 3,300 3,293 3.550% due 10/24/2001 32,900 32,825 3.510% due 11/08/2001 25,000 24,907 3.570% due 11/20/2001 52,200 51,941 3.550% due 11/21/2001 20,700 20,596 3.710% due 11/21/2001 1,500 1,492 3.100% due 12/26/2001 700 696 UBS Finance, Inc. 3.450% due 10/01/2001 258,000 258,000 3.870% due 10/02/2001 341,700 341,663 3.550% due 10/25/2001 10,000 9,976 3.240% due 11/19/2001 2,700 2,687 3.510% due 12/18/2001 115,178 114,539 3.420% due 12/19/2001 300 298 3.510% due 12/19/2001 39,400 39,179 3.530% due 12/19/2001 3,900 3,878 3.550% due 12/19/2001 9,800 9,745 3.360% due 12/20/2001 900 894 3.510% due 12/20/2001 2,300 2,287 Verizon Global Funding 3.480% due 10/10/2001 1,640 1,640 3.470% due 10/18/2001 1,300 1,297 3.530% due 10/25/2001 700 697 Wal-Mart Stores, Inc. 2.970% due 10/10/2001 239,000 238,824 Walt Disney Co. 3.610% due 10/05/2001 2,675 2,675 Washington Post Co. 3.590% due 11/14/2001 6,800 6,770 ------------ 4,320,149 ------------ Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 89,087 89,087 (Dated 09/28/2001. Collateralized by Fannie Mae 5.750% due 05/14/2003 valued at $14,369, Freddie Mac 4.700% due 05/14/2003 valued at $25,502, Fannie Mae 5.375% due 03/08/2004 valued at $25,502 and Fannie Mae 4.100% due 09/12/2003 valued at $25,501 Repurchase proceeds are $89,105.) Credit Suisse First Boston 3.180% due 10/01/2001 4,200 4,200 (Dated 09/30/2001. Collaterized by U.S. Treasury Bonds due 11/25/2016 valued at $3,016 and U.S. Treasury Bills due 02/21/2002 valued at $1,223 Repurchase proceeds are $4,201.) ------------ 93,287 U.S. Treasury Bills 0.1% ------------ 3.252% due 10/18/2001-02/07/2002 (b)(k) 47,535 47,438 ------------ Total Short-Term Instruments 4,505,317 (Cost $4,503,472) ------------ Total Investments (a) 134.9% $ 65,289,982 (Cost $64,310,780) Written Options (c) (0.1%) (35,836) (Premiums $160,959) Other Assets and Liabilities (Net) (34.8%) (16,852,576) ------------ Net Assets 100.0% $ 48,401,570 ------------ 84 PIMCO Funds Semi-Annual Report | 9.30.01 | See Accompanying notes Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 1,212,765 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (233,563) ----------- Unrealized appreciation-net $ 979,202 ----------- (b) Securities with an aggregate market value of $465,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar March Futures (03/2002) 762 $ 4,181 Eurodollar June Futures (06/2002) 173 (18) Eurodollar September Futures (09/2002) 2,883 10,301 Eurodollar December Futures (12/2002) 688 151 Eurodollar March Futures (03/2003) 685 (98) Eurodollar September Futures (09/2003) 1,753 4,539 Eurodollar December Futures (12/2003) 1,753 4,168 Eurodollar March Futures (03/2004) 1,753 3,862 Municipal Bond (12/2001) 262 335 EuroBond 10 Year Note (12/2001) 14,582 (4,168) Euro-Bobl 5 Year Note (12/2001) 17,302 19,687 U.S. Treasury 5 Year Note (12/2001) 7,648 (5,887) U.S. Treasury 10 Year Note (12/2001) 174 138 U.S. Treasury 30 Year Note (12/2001) 30,186 34,690 Euribor Futures (06/2002) 294 654 Euribor Futures (09/2002) 125 273 Euribor Futures (12/2002) 294 601 Euribor Futures (03/2003) 294 506 United Kingdom 90 Day LIBOR Futures (03/2002) 275 582 United Kingdom 90 Day LIBOR Futures (06/2002) 10 19 United Kingdom 90 Day LIBOR Futures (09/2002) 543 648 United Kingdom 90 Day LIBOR Futures (12/2002) 2,202 1,980 United Kingdom 90 Day LIBOR Futures (03/2003) 700 520 ----------- $ 77,664 ----------- (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 74,600,000 $ 2,278 $ 9 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 74,600,000 2,106 14 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/22/2001 92,700,000 2,728 12 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 12/03/2001 93,600,000 1,932 23 Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 8,152 3,547 51 Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 4,402 1,554 28 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 36,778 23,226 2,299 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 114,514 76,922 10,735 Call - CBOT U.S. Treasury Note December Futures Strike @ 109.000 Exp. 11/24/2001 8,193 3,376 9,856 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 55,129 35,755 6,882 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 18,268 6,716 114 Call - CME Eurodollar June Futures Strike @ 97.000 Exp. 06/17/2002 5,985 819 5,761 Call - OTC Tyco International Ltd. 0.00% due 11/17/2020 Strike @ 75.282 Exp 11/17/2001 17,100,000 0 52 --------------------------- $160,959 $ 35,836 --------------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Sell C$ 27,294 10/2001 $ 156 Buy EC 753,923 10/2001 (5,258) Sell BP 101,158 10/2001 22 Sell JY 70,045,208 10/2001 (3,694) Sell 70,045,208 12/2001 (3,201) Sell N$ 56,333 10/2001 1,562 ------------ $ (10,413) ------------ (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar DM - German Mark EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (h) Swap agreements outstanding at September, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426% Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 $ 1,818 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600% Broker: Lehman Brothers Exp. 07/15/2003 35,000 (2,340) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305% Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 (141) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 85 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 JY 1,500,000 $ (643) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 (215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.340% Broker: Goldman Sachs Exp. 10/07/2007 24,500,000 (19,740) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.757% Broker: Merrill Lynch Exp. 01/11/2011 10,000,000 (3,215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.771% Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 11,050,000 (3,668) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.777% Broker: Goldman Sachs Exp. 01/12/2011 3,734,100 (1,257) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 96,500 1,265 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 52,200 684 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2006 247,000 261 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 716,100 14,397 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 629,900 (2,327) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 170,300 1,082 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/19/2006 BP 280,500 (1,698) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 197,100 2,740 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 264,500 5,123 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2004 314,700 4,456 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 200,000 2,832 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2003 10,000 140 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2003 721,000 7,798 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2004 167,300 184 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 316,590 3,635 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.06/17/2004 274,920 1,208 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 491,000 5,764 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 06/17/2004 311,000 2,193 86 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 $ 804,000 $ 40,911 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 252,800 9,050 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 2,173,200 108,142 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 09/17/2003 BP 875,700 3,142 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 185,800 (324) Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 $ 50,000 (379) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 (44) Receive a fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 (62) Receive a fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 247 Receive a fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 263 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 8.375% due 05/23/2005. Broker: Morgan Stanley Dean Witter Exp. 03/08/2004 12,000 (102) Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 06/10/2002. Broker: Lehman Brothers Exp. 05/09/2002 20,000 (7) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Lehman Brothers Exp. 06/15/2004 21,500 (29) Receive a fixed rate equal to 0.840% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: GoldmanSachs Exp. 06/15/2004 100,000 (160) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 100,000 (133) Receive a fixed rate equal to 1.650% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.750% due 04/06/2005. Broker: Credit Suisse First Boston Exp. 05/23/2003 50,000 152 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/24/2002 150,000 37 Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Tyco International Group SA. 0.000% due 02/12/2021. Broker: Merrill Lynch Exp. 02/12/2003 25,000 33 Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 50,000 0 Receive a fixed rate equal to 0.625% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.000% due 07/15/2005. Broker: J.P. Morgan Chase & Co. Exp. 07/17/2003 50,000 23 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 87 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.650% due 07/01/2008. Broker: Credit Suisse First Boston Exp. 07/17/2003 $ 100,000 $ 131 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Credit Suisse First Boston Exp. 08/06/2002 20,000 5 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Morgan Stanley Dean Witter Exp. 08/06/2002 20,000 0 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Merrill Lynch Exp. 08/06/2002 20,000 (1) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 01/30/2011. Broker: Lehman Brothers Exp. 08/06/2002 30,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.375% due 05/01/2009.] Broker: Morgan Stanley Dean Witter Exp. 08/15/2002 25,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 30,000 1 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 65,000 (12) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 76,500 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 68,500 0 --------- $181,208 --------- (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. 88 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Total Return Fund II September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 39.6% Banking & Finance 28.1% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 1,100 $ 1,244 Allstate Corp. 6.750% due 06/15/2003 9,300 9,782 7.875% due 05/01/2005 200 219 American Express Travel 5.625% due 01/22/2004 5,000 5,162 Associates Corp. of North America 5.750% due 11/01/2003 600 623 Bank of America Corp. 7.500% due 10/15/2002 400 418 6.500% due 03/15/2006 250 264 Bank of Hawaii 6.875% due 06/01/2003 7,750 8,030 Bank of New York Co., Inc. 6.625% due 06/15/2003 5,000 5,250 Bank One Corp. 4.498% due 05/10/2004 (d) 5,200 5,209 Bear Stearns Co., Inc. 3.850% due 12/01/2003 (d) 17,200 17,224 Bellsouth Savings & Employee Stock Ownership Trust 9.125% due 07/01/2003 12 13 Beneficial Corp. 6.750% due 02/11/2003 10 10 Caterpillar Financial Services Corp. 5.890% due 06/17/2002 840 858 Chase Manhattan Corp. 7.625% due 01/15/2003 5,000 5,278 Chrysler Financial Corp. LLC 6.950% due 03/25/2002 730 743 CIT Group, Inc. 3.510% due 09/13/2002 (d) 10,000 10,019 5.296% due 04/07/2003 (d) 23,400 23,480 Citicorp 7.125% due 06/01/2003 4,000 4,234 Citigroup, Inc. 9.500% due 03/01/2002 200 205 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/2003 (d) 7,000 7,024 6.875% due 11/01/2005 225 241 First Chicago Corp. 6.875% due 06/15/2003 4,000 4,216 First Union Corp. 3.460% due 03/31/2005 (d) 6,300 6,319 Ford Motor Credit Co. 8.200% due 02/15/2002 11,140 11,331 8.000% due 06/15/2002 5,000 5,154 3.810% due 02/03/2003 (d) 10,000 9,903 3.340% due 03/17/2003 (d) 10,000 9,873 3.772% due 11/24/2003 (d) 5,000 4,930 5.750% due 02/23/2004 5,500 5,628 6.700% due 07/16/2004 200 208 7.500% due 03/15/2005 30,000 31,883 General Motors Acceptance Corp. 5.350% due 12/07/2001 600 603 5.500% due 12/15/2001 765 767 5.480% due 12/16/2002 235 240 3.748% due 02/14/2003 (d) 20,000 19,753 3.661% due 08/18/2003 (d) 1,700 1,675 4.480% due 01/20/2004 (d) 24,825 24,539 4.450% due 05/04/2004 (d) 32,700 32,246 Goldman Sachs Group, Inc. 7.800% due 07/15/2002 9,500 9,782 5.900% due 01/15/2003 2,000 2,066 3.633% due 03/19/2003 (d) 5,000 5,009 4.480% due 01/20/2009 (d) 5,000 5,016 Heller Financial, Inc. 3.950% due 04/22/2002 (d) 5,000 5,009 6.500% due 07/22/2002 10,000 10,302 6.440% due 10/06/2002 400 413 3.965% due 04/28/2003 (d) 15,000 15,023 7.875% due 05/15/2003 150 160 Household Finance Corp. 2.862% due 06/24/2003 (d) 15,000 15,032 6.250% due 08/15/2003 50 52 3.862% due 05/28/2004 (d) 6,300 6,306 5.875% due 09/25/2004 15,000 15,603 J.P. Morgan Chase & Co. 7.625% due 09/15/2004 250 273 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 12,000 13,867 Mellon Funding Corp. 5.750% due 11/15/2003 200 209 Merrill Lynch & Co. 2.752% due 06/24/2003 (d) 20,000 20,005 Morgan Stanley, Dean Witter & Co. 7.125% due 01/15/2003 275 288 3.850% due 05/05/2003 (d) 20,000 20,015 3.906% due 08/07/2003 (d) 6,200 6,210 3.888% due 05/14/2004 (d) 6,700 6,703 National Rural Utilities Cooperative Finance Corp. 6.070% due 06/05/2002 25 26 NationsBank Corp. 6.200% due 08/15/2003 10,800 11,260 8.625% due 11/15/2003 1,550 1,697 PNC Funding Corp. 6.125% due 09/01/2003 1,400 1,464 Salomon, Smith Barney Holdings 3.955% due 04/28/2003 (d) 9,000 9,014 Textron Financial Corp. 3.862% due 05/28/2002 (d) 10,000 10,014 4.058% due 09/17/2002 (d) 25,000 25,047 Washington Mutual Capital I 3.908% due 05/14/2004 (d) 4,600 4,609 4.403% due 05/17/2004 (d) 7,200 7,214 WestDeutsche Landersbank 6.050% due 01/15/2009 625 639 -------- 503,125 -------- Industrials 5.3% American Airlines, Inc. 7.858% due 10/01/2011 2,400 2,422 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 17,000 17,031 Conoco, Inc. 5.900% due 04/15/2004 250 258 Continental Cablevision 8.300% due 05/15/2006 100 111 DaimlerChrysler North America Holding Corp. 4.903% due 01/18/2002 (d) 20,000 19,999 4.200% due 08/01/2003 (d) 24,700 24,478 3.777% due 08/21/2003 (d) 2,700 2,657 Dow Chemical Co. 8.040% due 07/02/2005 4,800 5,182 General Motors Corp. 6.250% due 05/01/2005 250 256 Kerr-McGee Corp. 6.414% due 06/28/2004 (d) 3,100 3,093 Kroger Co. 4.310% due 08/16/2012 (d) 4,100 4,105 Mattel, Inc. 6.000% due 07/15/2003 250 252 Norfolk Southern Corp. 6.950% due 05/01/2002 3,000 3,062 Phillips Petroleum Co. 6.650% due 03/01/2003 400 413 Procter & Gamble Co. 5.250% due 09/15/2003 600 619 Sears, Roebuck & Co. 8.300% due 10/26/2004 500 548 Time Warner, Inc. 7.975% due 08/15/2004 3,345 3,666 Times Mirror Co. 6.650% due 10/15/2001 300 300 Transcontinental Gas Pipelines 6.125% due 01/15/2005 300 312 United Air Lines, Inc. 9.190% due 12/24/2013 7,213 6,260 -------- 95,024 -------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 89 Schedule of Investments (Cont.) Total Return Fund II September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Utilities 6.2% Allegheny Energy Supply 4.478% due 05/01/2002 (d) $ 14,500 $ 14,520 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 9,100 9,056 7.875% due 04/15/2004 400 434 Commonwealth Edison Co. 6.625% due 07/15/2003 288 302 Entergy Gulf States, Inc. 4.847% due 09/01/2004 (d) 24,600 24,623 Metropolitan Edison Co. 7.220% due 01/30/2003 2,000 2,096 6.400% due 02/09/2006 2,412 2,568 Oneok, Inc. 4.358% due 04/24/2002 (d) 5,000 5,007 Pacificorp 7.200% due 08/15/2002 11,000 11,425 Philadelphia Electric 7.125% due 09/01/2002 90 93 6.500% due 05/01/2003 1,840 1,912 Reliant Energy, Inc. 7.875% due 07/01/2002 1,375 1,407 Sprint Capital Corp. 5.700% due 11/15/2003 375 382 Texas Utilities Corp. 6.750% due 03/01/2003 5,000 5,176 3.750% due 06/15/2003 (d) 32,000 32,017 -------- 111,018 -------- Total Corporate Bonds & Notes 709,167 (Cost $702,003) -------- MUNICIPAL BONDS & NOTES 0.3% North Carolina 0.3% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 3.650% due 06/01/2009 (d) 4,600 4,566 -------- Total Municipal Bonds & Notes 4,566 (Cost $4,600) -------- U.S. GOVERNMENT AGENCIES 1.1% Fannie Mae 5.375% due 03/15/2002 55 56 5.250% due 01/15/2003 60 62 5.750% due 04/15/2003 4,965 5,179 4.750% due 11/14/2003 730 753 7.400% due 07/01/2004 600 661 7.100% due 10/18/2004 250 251 5.750% due 06/15/2005 250 265 6.000% due 05/15/2008 200 213 6.000% due 09/24/2008 1,000 1,005 6.100% due 02/04/2009 1,000 1,009 6.375% due 06/15/2009 450 489 6.625% due 09/15/2009 1,060 1,169 Federal Farm Credit Bank 7.700% due 04/25/2007 500 515 Federal Home Loan Bank 5.125% due 09/15/2003 200 207 5.135% due 09/22/2003 500 519 5.365% due 12/11/2008 400 410 0.000% due 07/27/2018 2,900 895 Freddie Mac 5.125% due 10/15/2008 640 648 6.000% due 11/24/2008 250 250 6.625% due 09/15/2009 250 275 Small Business Administration 7.449% due 08/01/2010 4,676 5,109 -------- Total U.S. Government Agencies 19,940 (Cost $18,678) -------- U.S. TREASURY OBLIGATIONS 8.3% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) 49,264 50,127 3.375% due 01/15/2007 15,797 16,256 3.625% due 01/15/2008 12,196 12,658 3.875% due 01/15/2009 17,534 18,450 3.500% due 01/15/2011 2,142 2,203 3.625% due 04/15/2028 4,719 4,847 3.875% due 04/15/2029 37,791 40,589 U.S. Treasury Notes 6.375% due 08/15/2002 350 362 6.250% due 02/15/2003 95 100 5.750% due 08/15/2003 285 300 7.250% due 05/15/2004 400 441 6.500% due 05/15/2005 335 368 5.625% due 02/15/2006 370 398 5.625% due 05/15/2008 350 377 5.500% due 05/15/2009 350 374 -------- Total U.S. Treasury Obligations 147,850 (Cost $142,036) -------- MORTGAGE-BACKED SECURITIES 77.3% Collateralized Mortgage Obligations 15.2% Bear Stearns Adjustable Rate Mortgage Trust 7.487% due 12/25/2030 (d) 2,832 2,877 Chase Mortgage Finance Corp. 7.000% due 07/25/2028 3,622 3,670 COMM 6.145% due 02/15/2008 3,972 4,145 Dime Savings 7.317% due 11/01/2018 (d) 36 35 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 101 116 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 (d) 24,483 24,896 Fannie Mae 6.150% due 09/25/2016 303 303 9.000% due 06/25/2018 12 13 6.000% due 09/25/2018 35 36 9.250% due 07/25/2019 1,481 1,614 6.000% due 08/25/2020 1,335 1,335 7.000% due 09/25/2020 31 33 6.500% due 05/18/2023 3,843 3,869 Federal Housing Administration 6.750% due 10/30/2031 5,600 5,695 Freddie Mac 5.950% due 07/15/2003 81 82 11.875% due 06/15/2013 102 110 8.800% due 12/01/2015 181 189 9.250% due 11/15/2019 21 22 9.000% due 12/15/2020 763 802 7.000% due 07/15/2022 18,235 18,968 7.500% due 01/15/2023 19,117 20,529 6.750% due 04/25/2024 9,287 9,285 8.000% due 06/15/2030 8,286 9,080 GMAC Commercial Mortgage Securities, Inc. 3.200% due 09/11/2006 (d) 5,000 4,500 Guaranteed Mortgage Corp. 9.300% due 07/20/2019 291 311 G-Wing Ltd. 6.380% due 05/06/2004 (d) 21,700 21,700 Indymac Adjustable Rate Mortgage Trust 6.490% due 09/25/2031 (d) 3,900 4,069 Mellon Residential Funding Corp. 6.570% due 07/25/2029 (d) 4,000 4,050 Merrill Lynch Mortgage Investors, Inc. 3.357% due 01/20/2030 (d) 18,390 18,402 Morgan Stanley Dean Witter Capital I 3.970% due 07/11/2011 (d) 599 599 Nationslink Funding Corp. 6.654% due 02/10/2006 3,000 3,176 3.926% due 04/10/2007 (d) 2,012 2,012 90 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Norwest Asset Securities Corp. 7.500% due 03/25/2027 $ 17,000 $ 17,546 PNC Mortgage Securities Corp. 7.750% due 08/25/2030 10,088 10,207 Residential Accredit Loans, Inc. 7.250% due 11/25/2027 10,083 10,199 Residential Funding Mortgage Securities, Inc. 7.000% due 11/25/2027 12,115 12,589 Salomon Brothers Mortgage Securities VII 3.041% due 04/25/2029 (d) 5,323 5,344 7.598% due 11/25/2030 2,162 2,196 Sasco Floating Rate Commercial Mortgage Trust 6.500% due 09/25/2031 (d) 5,700 5,773 US Restaurant Properties Funding 4.210% due 08/26/2008 (d) 15,581 15,582 Wells Fargo Mortgage-Backed Securities Trust 6.660% due 10/25/2031 (d) 25,000 25,480 -------- 271,439 -------- Fannie Mae 2.0% 6.000% due 01/01/2011-10/15/2031 (d)(e) 1,299 1,304 6.500% due 02/01/2013 202 210 6.653% due 07/01/2020 (d) 528 541 6.718% due 09/01/2040 (d) 28,846 29,461 6.964% due 02/01/2023 (d) 737 735 7.000% due 08/01/2009-05/01/2030 (e) 683 712 7.500% due 03/01/2030-06/01/2030 (e) 452 470 7.686% due 04/01/2024 (d) 480 487 7.750% due 10/01/2007 82 85 8.000% due 05/01/2002-10/01/2030 (e) 318 332 8.296% due 12/01/2023 (d) 387 397 8.363% due 01/01/2024 (d) 470 483 8.500% due 12/01/2001-04/01/2017 (e) 696 726 9.000% due 12/01/2001-06/01/2010 (e) 75 80 11.000% due 09/01/2010 124 139 13.750% due 10/01/2010-11/01/2013 (e) 80 92 14.500% due 03/01/2013 3 3 14.750% due 10/01/2012 6 7 -------- 36,264 -------- Federal Housing Administration 1.0% 6.000% due 03/20/2028 18,194 18,171 8.828% due 05/01/2019 198 207 -------- 18,378 -------- Freddie Mac 0.7% 6.000% due 09/01/2027-10/18/2031 (d)(e) 3,088 3,083 6.500% due 12/01/2010 285 297 7.000% due 03/01/2007 12 12 7.250% due 03/01/2006 65 67 7.500% due 08/01/2009 6 7 7.813% due 07/01/2030 (d) 5,843 6,220 8.000% due 07/01/2030 53 56 8.147% due 02/01/2023 (d) 343 355 8.250% due 03/01/2008-05/01/2008 (e) 58 60 8.366% due 12/01/2022 (d) 2,866 2,953 9.500% due 02/01/2011-02/01/2018 (e) 81 88 10.000% due 06/01/2011-03/01/2021 (e) 77 85 -------- 13,283 -------- Government National Mortgage Association 58.4% 6.000% due 07/15/2028-08/15/2031 (e) 82,402 82,602 6.375% due 06/20/2023-06/20/2027 (d)(e) 17,104 17,466 6.500% due 01/15/2024-10/22/2031 (d)(e) 362,005 370,326 6.650% due 11/15/2030 (e) 15,873 16,597 7.000% due 12/20/2029-10/22/2031 (d)(e) 492,614 511,187 7.500% due 03/15/2024-05/15/2031 (e) 24,293 25,346 7.750% due 09/20/2024-08/20/2027 (d)(e) 21,176 21,816 8.000% due 06/15/2024-12/15/2030 (e) 1,112 1,176 8.500% due 11/15/2006-04/15/2030 (e) 221 234 9.000% due 09/15/2008-05/15/2009 (e) 24 27 9.500% due 01/20/2019 13 14 12.000% due 01/15/2013-06/15/2015 (e) 15 18 --------- 1,046,809 --------- Total Mortgage-Backed Securities 1,386,173 (Cost $1,367,684) --------- ASSET-BACKED SECURITIES 10.4% Advanta Equipment Receivables 7.560% due 02/15/2007 1,664 1,730 Americredit Automobile Receivable Trust 3.728% due 06/12/2005 (d) 3,594 3,597 Asset Backed Securities Home Equity Corp. 3.747% due 06/15/2031 (d) 21,387 21,422 Bayview Financial Acquisition Trust 3.051% due 07/25/2030 (d) 2,392 2,392 3.500% due 07/25/2031 (d) 21,697 21,649 Bayview Financial Asset Trust 3.061% due 04/25/2031 (d) 3,475 3,478 Conseco Finance 7.890% due 07/15/2018 20,000 21,140 8.170% due 12/15/2025 11,800 12,790 Conseco Finance Lease LLC 7.250% due 04/20/2003 8,232 8,307 Delta Funding Home Equity Loan Trust 7.260% due 08/25/2018 429 434 EMC Mortgage Loan Trust 3.500% due 05/25/2040 (d) 19,102 19,102 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 578 583 NPF XII, Inc. 4.292% due 03/01/2003 (d) 2,600 2,597 Residential Asset Mortgage Products, Inc. 7.610% due 12/25/2027 9,325 9,838 Structured Product Asset Trust 5.086% due 06/20/2004 (d) 22,800 22,686 Summit Acceptance Auto Receivables Trust 7.150% due 02/18/2003 1,926 1,934 Timber Corp. 4.830% due 11/30/2001 5,000 5,000 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 26,700 26,819 --------- Total Asset-Backed Securities 185,498 (Cost $182,681) --------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.000 Exp. 12/17/2001 600,000 4 Strike @ 94.500 Exp. 12/17/2001 175,000 1 Strike @ 93.750 Exp. 12/17/2001 100,000 1 Strike @ 93.500 Exp. 12/17/2001 2,295,000 57 Strike @ 92.500 Exp. 12/14/2001 1,704,000 21 Eurodollar June Futures (CME) Strike @ 94.750 Exp. 06/17/2002 800,000 15 Strike @ 93.750 Exp. 06/17/2002 2,598,000 16 Strike @ 93.500 Exp. 06/17/2002 759,000 5 Strike @ 92.750 Exp. 06/17/2002 5,000,000 63 --------- Total Purchased Put Options 183 (Cost $306) --------- PREFERRED SECURITY 1.2% Shares UBS Preferred Funding Trust I 8.622% due 10/29/2049 19,700 22,331 --------- Total Preferred Security 22,331 (Cost $19,880) --------- PREFERRED STOCK 0.1% Fortis Amev NV 3.870% due 12/31/2049 (d) 6 840 3.860% due 12/31/2049 6 840 --------- Total Preferred Stock 1,680 (Cost $1,450) --------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 91 Schedule of Investments (Cont.) Total Return Fund II September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 8.6% Commercial Paper 8.0% American Electric Power, Inc. 4.260% due 02/13/2002 $ 16,000 $ 15,848 AT&T Corp. 4.525% due 08/06/2002 8,700 8,695 Fannie Mae 3.150% due 10/01/2001 16,000 16,000 4.000% due 10/25/2001 400 399 3.520% due 11/08/2001 27,400 27,298 3.630% due 12/27/2001 3,000 2,981 Federal Home Loan Bank 3.000% due 10/01/2001 10,000 10,000 3.460% due 10/12/2001 800 799 4.000% due 10/31/2001 2,000 1,993 General Electric Capital Corp. 3.520% due 12/26/2001 18,000 17,891 3.100% due 12/26/2001 5,800 5,765 3.420% due 12/26/2001 10,000 9,939 3.580% due 12/27/2001 23,000 22,856 3.530% due 12/27/2001 1,000 994 Walt Disney Co. 3.610% due 10/05/2001 2,300 2,299 ----------- 143,757 ----------- Repurchase Agreement 0.3% State Street Bank 2.600% due 10/01/2001 5,574 5,574 (Dated 09/28/2001. Collateralized by Fannie Mae ----------- 4.000% due 08/15/2003 valued at $5,687. Repurchase proceeds are $5,575.) U.S. Treasury Bills 0.3% 3.107% due 10/18/2001-02/07/2002 (b)(e) 5,355 5,334 ----------- Total Short-Term Instruments 154,665 (Cost $154,433) ----------- Total Investments (a) 146.9% $ 2,632,053 (Cost $2,593,751) Written Options (c) (0.1%) (1,701) (Premiums $9,100) Other Assets and Liabilities (Net) (46.8%) (838,282) ----------- Net Assets 100.0% $ 1,792,070 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 42,275 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (3,973) ----------- Unrealized appreciation-net $ 38,302 ----------- (b) Securities with an aggregate market value of $14,721 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar December Futures (12/2001) 244 $ 24 Eurodollar March Futures (03/2002) 31 170 Eurodollar September Futures (09/2003) 543 1,407 Eurodollar December Futures (12/2003) 543 1,290 Eurodollar March Futures (03/2004) 122 268 U.S. Treasury 5 Year Note (12/2001) 231 (120) U.S. Treasury 10 Year Note (12/2001) 45 (70) U.S. Treasury 30 Year Bond (12/2001) 1,193 1,947 ------- $ 4,916 ------- (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 190 $ 81 $ 1 Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 169 60 1 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 2,308 1,499 144 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 9,427 6,264 884 Call - CBOT U.S. Treasury Note December Futures Strike @ 109.000 Exp. 11/24/2001 288 119 347 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 832 583 104 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 706 261 4 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 619 203 4 Call - CME Eurodollar June Futures Strike @ 97.000 Exp. 06/17/2002 220 30 212 ----------------- $9,100 $1,701 ----------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. 92 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (g) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR Broker: Goldman Sachs Exp. 12/17/2006 $137,300 $ 7,509 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR Broker: Bank of America Exp. 12/17/2006 85,600 4,703 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 154,800 8,752 Receive a fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005 Broker: Goldman Sachs Exp. 11/10/2002 9,000 (4) Receive a fixed rate equal to 0.500% and the Fund will pay to the counterparty at par in the event of default of Williams Companies, Inc. 6.625% due 11/15/2004 Broker: UBS - Warburg Exp. 09/16/2003 20,000 (409) Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 17,000 (3) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008 Broker: Lehman Brothers Exp. 09/01/2003 2,900 0 -------- $ 20,548 -------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 93 Schedule of Investments Total Return Fund III September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 33.4% Banking & Finance 21.2% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 5,500 $ 6,218 ABN AMRO Mortgage Corp. 7.000% due 04/01/2008 1,000 1,075 Allied Irish Banks PLC 4.640% due 10/31/2006 (d) 7,000 7,034 Associates Corp. of North America 7.240% due 05/17/2006 1,000 1,084 Bank One Corp. 4.498% due 05/10/2004 (d) 2,800 2,805 BankBoston Corp. 6.125% due 03/15/2002 15,000 15,235 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 10,000 10,018 Chrysler Financial Corp. LLC 3.553% due 03/06/2003 (d) 5,000 4,938 Export-Import Bank Korea 7.100% due 03/15/2007 50 51 Ford Motor Credit Co. 5.517% due 04/17/2003 (d) 16,000 15,915 3.303% due 06/23/2003 (d) 300 297 5.750% due 02/23/2004 2,000 2,046 7.500% due 03/15/2005 30,000 31,883 6.620% due 02/27/2006 1,000 1,026 General Motors Acceptance Corp. 4.685% due 07/21/2003 (d) 6,500 6,392 4.000% due 08/04/2003 (d) 5,100 5,031 4.070% due 04/05/2004 (d) 3,200 3,131 4.337% due 05/10/2004 (d) 2,900 2,851 4.260% due 05/17/2004 (d) 10,400 10,224 4.760% due 07/21/2004 (d) 6,200 6,028 Household Finance Corp. 3.781% due 05/07/2002 (d) 5,000 5,008 4.406% due 05/28/2004 (d) 500 500 Inter-American Development Bank 5.375% due 01/18/2006 7,600 7,904 International Lease Finance Corp. 5.450% due 01/04/2002 500 503 Korea Development Bank 7.900% due 02/01/2002 1,875 1,900 7.625% due 10/01/2002 2,250 2,337 Morgan Stanley, Dean Witter & Co. 6.375% due 08/01/2002 1,000 1,028 4.370% due 05/14/2004 (d) 3,600 3,601 NationsBank Corp. 8.625% due 11/15/2003 25 27 Residential Reinsurance 8.510% due 06/01/2004 (d) 4,200 4,200 Spieker Properties, Inc. 6.950% due 12/15/2002 2,000 2,070 Textron Financial Corp. 3.862% due 05/28/2002 (d) 5,000 5,007 Trinom Ltd. 7.150% due 12/18/2004 (d) 1,000 1,000 Washington Mutual Capital I 3.908% due 05/14/2004 (d) 2,500 2,505 WestDeutsche Landersbank 6.050% due 01/15/2009 1,800 1,840 Western Capital 9.440% due 01/07/2003 5,800 5,800 -------- 178,512 -------- Industrials 4.4% Cargill, Inc. 3.910% due 01/14/2002 (d) 9,000 9,004 DaimlerChrysler North America Holding Corp. 4.178% due 08/02/2004 (d) 6,000 5,897 International Paper Co. 4.620% due 07/08/2002 (d) 2,200 2,200 Kroger Co. 7.150% due 03/01/2003 50 52 4.310% due 08/16/2012 (d) 2,000 2,003 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 5,000 5,019 SR Wind Ltd. 9.387% due 05/18/2005 (d) 1,000 1,010 8.887% due 05/18/2005 (d) 2,000 1,993 Time Warner, Inc. 6.100% due 12/30/2001 10,000 10,052 -------- 37,230 -------- Utilities 7.8% Arizona Public Service Co. 4.290% due 11/15/2001 (d) 5,300 5,307 Bell Atlantic Pennsylvania, Inc. 7.375% due 07/15/2007 75 82 British Telecom PLC 7.625% due 12/15/2005 8,300 8,980 8.125% due 12/15/2010 1,700 1,887 Cleco Power LLC 6.550% due 05/19/2003 7,000 7,227 Deutsche Telekom AG 7.750% due 06/15/2005 900 962 Entergy Gulf States, Inc. 4.828% due 09/01/2004 (d) 12,000 12,011 Niagara Mohawk Power Co. 7.250% due 10/01/2002 11,341 11,664 7.375% due 07/01/2003 3,024 3,171 Oneok, Inc. 5.067% due 04/24/2002 (d) 13,000 13,019 Texas Utilities Corp. 6.375% due 10/01/2004 1,000 1,045 -------- 65,355 -------- Total Corporate Bonds & Notes 281,097 (Cost $276,243) -------- MUNICIPAL BONDS & NOTES 2.0% New York 1.4% Port Authority New York & New Jersey Special Obligation Revenue Bonds, (MBIA Insured), Series 2000 7.300% due 12/01/2022 10,750 11,739 -------- Texas 0.6% Harris County Health Facilities Development Corporation Revenue Bonds, Series 1999 5.375% due 07/01/2029 5,100 4,977 -------- Total Municipal Bonds & Notes 16,716 (Cost $16,298) -------- U.S. GOVERNMENT AGENCIES 2.1% Federal Home Loan Bank 7.620% due 03/08/2005 15,000 15,335 Freddie Mac 8.000% due 01/01/2012 120 126 Small Business Administration 7.449% due 08/01/2010 2,388 2,610 -------- Total U.S. Government Agencies 18,071 (Cost $17,822) -------- U.S. TREASURY OBLIGATIONS 6.8% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 15,296 15,565 3.375% due 01/15/2007 (b) 1,905 1,960 3.625% due 01/15/2008 10,548 10,948 3.875% due 01/15/2009 (g) 15,154 15,946 3.500% due 01/15/2011 1,020 1,049 3.625% due 04/15/2028 2,524 2,593 3.875% due 04/15/2029 8,207 8,815 -------- Total U.S. Treasury Obligations 56,876 (Cost $54,207) -------- 94 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) MORTGAGE-BACKED SECURITIES 79.4% Collateralized Mortgage Obligations 27.2% ABN AMRO Mortgage Corp. 6.750% due 11/25/2028 $ 9,750 $ 10,022 Bear Stearns Adjustable Rate Mortgage Trust 7.481% due 12/25/2030 (d) 10,356 10,520 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 13,600 14,739 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 (d) 14,671 14,918 Fannie Mae 6.500% due 12/18/2004 2,754 2,824 7.000% due 09/25/2021 6,677 6,899 Freddie Mac 6.500% due 08/15/2023 4,017 4,067 4.290% due 03/15/2025 (d) 6,682 6,710 7.000% due 02/15/2027 15,007 15,590 6.500% due 09/01/2028 54 55 6.500% due 06/01/2029 83 85 6.303% due 08/15/2032 (d) 4,630 4,711 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 1,556 1,567 7.500% due 03/25/2027 15,000 15,464 6.000% due 07/25/2029 10,400 10,483 GMAC Commercial Mortgage Securities, Inc. 4.076% due 09/11/2006 (d) 7,500 6,750 Government National Mortgage Association 4.230% due 02/16/2030 (d) 1,800 1,807 Impac Secured Assets CMN Owner Trust 7.750% due 10/25/2030 12,042 12,724 Indymac Adjustable Rate Mortgage Trust 6.490% due 09/25/2031 (d) 1,900 1,983 Norwest Asset Securities Corp. 6.250% due 12/25/2028 12,951 12,931 PNC Mortgage Securities Corp. 6.500% due 12/25/2028 6,449 6,515 Prudential Securities Secured Financing Corp. 7.193% due 04/15/2009 14,050 15,324 Residential Accredit Loans, Inc. 7.250% due 01/25/2026 3,000 3,125 7.050% due 01/25/2026 784 790 6.500% due 12/25/2028 24,000 24,427 Residential Funding Mortgage Securities I 7.750% due 10/25/2030 5,260 5,337 Resolution Trust Corp. 6.830% due 05/25/2029 (d) 874 870 Structured Asset Mortgage Investments, Inc. 6.576% due 06/25/2029 (d) 8,296 8,528 Wells Fargo Mortgage-Backed Securities Trust 6.776% due 10/25/2031 (d) 8,700 8,849 6.660% due 10/25/2031 (d) 300 306 -------- 228,920 -------- Fannie Mae 1.3% 6.680% due 08/01/2018 (d) 69 70 6.760% due 02/01/2031 (d) 49 49 7.430% due 01/25/2023 7,211 7,443 7.500% due 02/01/2027 3,450 3,621 8.250% due 07/01/2017 39 41 8.500% due 02/01/2007 69 70 9.000% due 07/01/2005-06/01/2025 (e) 18 20 -------- 11,314 -------- Federal Housing Administration 0.9% 7.430% due 11/25/2019-11/25/2022 (e) 7,568 7,812 -------- Freddie Mac 3.1% 6.750% due 10/01/2006 14 14 7.000% due 11/01/2011-01/01/2030 (e) 22,503 23,370 7.500% due 07/01/2011 254 266 7.813% due 07/01/2030 (d) 1,709 1,819 8.000% due 02/01/2006-03/01/2028 (e) 120 126 8.366% due 12/01/2022 (d) 413 425 -------- 26,020 -------- Government National Mortgage Association 46.9% 6.000% due 02/15/2029-08/15/2031 (e) 20,854 20,931 6.380% due 06/20/2022-01/20/2026 (d)(e) 5,028 5,137 6.500% due 09/15/2023-10/22/2031 (d)(e) 223,458 228,567 7.000% due 10/22/2031 (d) 120,000 124,574 7.400% due 12/15/2040 6,989 7,657 7.620% due 10/20/2024-12/20/2026 (d)(e) 3,824 3,952 7.750% due 09/20/2023-08/20/2027 (d)(e) 3,613 3,725 10.250% due 02/15/2017 601 637 12.750% due 02/20/2015 4 5 -------- 395,185 -------- Stripped Mortgage-Backed Securities 0.0% Freddie Mac (IO) 6.500% due 04/15/2022 998 92 -------- Total Mortgage-Backed Securities 669,343 (Cost $655,986) -------- ASSET-BACKED SECURITIES 5.0% Advanta Mortgage Loan Trust 3.061% due 08/25/2029 (d) 10,279 10,322 Amortizing Residential Collateral Trust 2.921% due 09/25/2030 (d) 2,840 2,844 Bayview Financial Asset Trust 3.061% due 04/25/2031 (d) 1,829 1,831 Green Tree Financial Corp. 7.860% due 04/01/2031 600 634 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 502 507 NPF XII, Inc. 7.050% due 06/01/2003 3,000 3,076 PP&L Transition Bond Co. LLC 6.410% due 12/26/2003 1,475 1,489 SallieMae 4.203% due 10/25/2005 (d) 5,966 5,976 4.123% due 10/25/2005 (d) 2,127 2,127 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 13,100 13,158 -------- Total Asset-Backed Securities 41,964 (Cost $41,689) -------- SOVEREIGN ISSUES 2.2% Province of Quebec 8.800% due 04/15/2003 1,000 1,081 Republic of Brazil 5.437% due 04/15/2006 (d) 7,968 6,633 Republic of Croatia 4.528% due 07/31/2010 (d) 2,297 2,252 Republic of Korea 8.750% due 04/15/2003 900 970 Republic of Panama 9.625% due 02/08/2011 4,200 4,190 4.500% due 07/17/2014 1,300 1,151 6.015% due 07/17/2016 3,055 2,345 -------- Total Sovereign Issues 18,622 (Cost $19,272) -------- FOREIGN CURRENCY-DENOMINATED ISSUES (h)(i) 4.4% France Telecom 4.604% due 10/11/2001 (d) EC 10,000 9,098 Halifax Group Euro Finance 7.627% due 12/29/2049 9,700 9,572 Nationwide Building Society 4.674% due 03/27/2003 (d) 10,000 9,100 Republic of Austria 5.500% due 01/15/2010 (g) 1,600 1,509 Royal Bank of Scotland Group PLC 0.000% due 12/01/2003 BP 6,000 8,071 -------- Total Foreign Currency-Denominated Issues 37,350 (Cost $35,803) -------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 95 Schedule of Investments (Cont.) Total Return Fund III September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 $ 135,000 $ 1 Strike @ 95.000 Exp. 12/17/2001 650,000 4 Strike @ 94.250 Exp. 12/17/2001 174,000 2 Strike @ 93.750 Exp. 12/17/2001 820,000 10 Strike @ 93.500 Exp. 12/17/2001 191,000 5 Strike @ 92.500 Exp. 12/14/2001 653,000 8 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 548,000 3 Strike @ 92.750 Exp. 06/17/2002 1,500,000 19 ---------- Total Purchased Put Options 52 (Cost $98) ---------- PREFERRED STOCK 0.4% Shares TCI Communications, Inc. 9.720% due 12/31/2036 132,000 3,340 ---------- Total Preferred Stock 3,340 (Cost $3,676) ---------- SHORT-TERM INSTRUMENTS 5.6% Principal Amount (000s) Commercial Paper 3.3% American Electric Power, Inc. 4.260% due 02/13/2002 $ 8,000 7,924 AT&T Corp. 4.525% due 08/06/2002 3,700 3,699 British Telecom PLC 4.853% due 10/09/2001 2,400 2,400 CDC 3.380% due 10/01/2001 8,000 8,000 General Electric Capital Corp. 3.700% due 10/31/2001 1,150 1,146 3.670% due 12/26/2001 500 497 Swedbank, Inc. 3.570% due 11/20/2001 1,600 1,593 UBS Finance, Inc. 3.550% due 12/19/2001 2,800 2,784 ---------- 28,043 ---------- Repurchase Agreement 1.8% State Street Bank 2.600% due 10/01/2001 15,000 15,000 (Dated 09/28/2001. Collateralized by Fannie Mae ---------- 5.750% due 04/15/2003 valued at $15,305. Repurchase proceeds are $15,003.) U.S. Treasury Bills 0.5% 3.240% due 10/18/2001-02/07/2002 (b)(e) 4,415 4,400 ---------- Total Short-Term Instruments 47,443 (Cost $47,385) ---------- Total Investments (a) 141.3% $1,190,874 (Cost $1,168,479) Written Options (c) (0.1%) (649) (Premiums $2,986) Other Assets and Liabilities (Net) (41.2%) (347,159) ---------- Net Assets 100.0% $ 843,066 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 25,735 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (3,340) ----------- Unrealized appreciation-net $ 22,395 ----------- (b) Securities with an aggregate market value of $8,195 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------ Eurodollar March Futures (03/2003) 457 $ 1,688 Eurodollar September Futures (09/2003) 40 104 Eurodollar December Futures (12/2003) 40 95 Eurodollar March Futures (03/2004) 40 88 U.S. Treasury 10 Year Note (12/2001) 64 (85) U.S. Treasury 30 Year Bond (12/2001) 284 551 ----------- $ 2,441 ----------- (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 1,700,000 $ 52 $ 0 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 1,700,000 49 0 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/22/2001 2,100,000 62 0 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 12/03/2001 2,100,000 43 1 Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 96 41 1 Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 89 32 1 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 152 111 10 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 3,150 1,994 295 Call - CBOT U.S. Treasury Note December Futures Strike @ 109.000 Exp. 11/24/2001 140 58 168 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 525 348 66 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 164 50 1 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 355 131 2 Call - CME Eurodollar June Futures Strike @ 97.000 Exp. 06/17/2002 108 15 104 -------------------- $ 2,986 $ 649 -------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. 96 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes - -------------------------------------------------------------------------------- (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Subject to financing transaction. (h) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Sell BP 5,334 10/2001 $ 0 Sell EC 14,025 10/2001 87 Sell JY 2,521,235 10/2001 (163) -------------- $ (76) -------------- (i) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen (j) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - -------------------------------------------------------------------------------- U.S. Treasury Note 4.625 05/15/2006 44,000 $ 6,009 $ 5,945 U.S. Treasury Note 5.750 10/31/2002 162,000 16,756 16,717 U.S. Treasury Note 3.625 07/15/2002 1,664 1,693 1,696 ----------------------- $ 24,458 $ 24,358 ----------------------- (k) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) - ---------------------------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 JY 283,800 $ (135) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.771%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 212,000 (71) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.777%. Broker: Goldman Sachs Exp. 01/12/2011 308,000 (104) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 21,800 286 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 11,800 72 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2006 6,200 37 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 9,000 178 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 BP 8,200 $ 9 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 12,180 149 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/17/2004 2,460 11 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 3,000 35 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 06/17/2004 4,700 33 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 $ 30,700 861 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 56,300 3,093 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 48,900 2,765 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 09/17/2003 BP 15,300 55 Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 $ 5,000 (22) Receive a fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of CIT Group, Inc. 7.125% due 10/15/2004. Broker: Lehman Brothers Exp. 04/11/2003 25,000 (41) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 5.875% due 05/01/2004. Broker: Merrill Lynch Exp. 08/15/2002 50,000 0 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 1,500 0 ---------- $ 7,211 ----------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 97 Schedule of Investments Moderate Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 27.8% Banking & Finance 13.5% Bank of America Corp. 4.306% due 08/26/2005 (d) $ 8,700 $ 8,706 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 2,900 2,899 Beaver Valley Funding Corp. 8.250% due 06/01/2003 88 91 CIT Group, Inc. 6.375% due 08/01/2002 850 872 Ford Motor Credit Co. 3.303% due 06/23/2003 (d) 5,000 4,956 5.750% due 02/23/2004 5,600 5,730 General Motors Acceptance Corp. 4.000% due 08/04/2003 (d) 19,900 19,631 5.450% due 09/15/2003 1,000 1,018 4.060% due 07/21/2004 (d) 2,000 1,945 6.150% due 04/05/2007 350 348 Goldman Sachs Group 4.192% due 06/02/2004 (d) 5,000 4,967 Household Finance Corp. 6.125% due 02/27/2003 3,000 3,085 Lehman Brothers Holdings, Inc. 6.375% due 05/07/2002 600 613 Merrill Lynch & Co. 3.888% due 06/24/2003 (d) 5,000 5,001 National Rural Utilities Cooperative Finance Corp. 3.998% due 07/17/2003 (d) 10,000 10,006 Nationsbank Corp. 6.078% due 04/15/2003 (d) 5,000 5,018 PSEG Capital Corp. 6.740% due 10/23/2001 1,100 1,102 Royal Bank of Scotland Group PLC 8.817% due 03/31/2049 3,600 3,994 Salomon, Smith Barney Holdings 3.980% due 05/04/2004 (d) 2,000 2,003 Sears Roebuck Acceptance Corp. 6.720% due 10/23/2002 3,000 3,087 Trinom Ltd. 7.150% due 12/18/2004 (d) 1,000 1,000 --------- 86,072 --------- Industrials 4.2% AMERCO 7.230% due 01/21/2027 500 502 Campbell Soup Co. 5.625% due 09/15/2003 1,600 1,609 Cargill, Inc. 3.910% due 01/14/2002 (d) 5,000 5,002 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 6,000 6,011 Eli Lilly & Co. 6.250% due 03/15/2003 100 104 HNA Holdings, Inc. 6.125% due 02/01/2004 150 156 Occidental Petroleum Corp. 6.400% due 04/01/2003 2,600 2,683 Philip Morris Cos., Inc. 7.125% due 08/15/2002 100 103 Safeway, Inc. 7.000% due 09/15/2002 5,000 5,130 SR Wind Ltd. 8.887% due 05/18/2005 (d) 2,000 1,993 9.575% due 05/18/2005 (d) 1,000 1,010 TCI Communications, Inc. 4.426% due 04/03/2002 (d) 250 251 7.550% due 09/02/2003 500 530 Waste Management, Inc. 6.375% due 12/01/2003 2,000 2,063 --------- 27,147 --------- Utilities 10.1% British Telecom PLC 7.625% due 12/15/2005 6,200 6,708 Central Power & Light Co. 4.676% due 11/23/2001 (d) 10,000 10,014 Cincinnati Gas & Electric Co. 6.350% due 06/15/2003 1,200 1,228 Cleveland Electric Illuminating Co. 7.625% due 08/01/2002 7,000 7,180 CMS Energy Corp. 8.125% due 05/15/2002 750 756 DTE Energy Co. 7.110% due 11/15/2038 7,710 8,010 Entergy Gulf States, Inc. 4.847% due 09/01/2004 (d) 8,800 8,808 France Telecom 3.396% due 07/16/2003 (d) 2,200 2,201 GTE Southwest Corp. 6.540% due 12/01/2005 7,050 7,447 New York Telephone Co. 6.250% due 02/15/2004 100 105 Potomac Edison Co. 8.000% due 06/01/2006 1,000 1,017 Reliant Energy Resources 8.125% due 07/15/2005 10,000 10,801 Southern California Edison Co. 6.375% due 01/15/2006 100 83 --------- 64,358 --------- Total Corporate Bonds & Notes 177,577 (Cost $174,326) --------- U.S. GOVERNMENT AGENCIES 7.5% Fannie Mae 6.000% due 03/11/2003 400 417 6.350% due 06/10/2005 200 216 5.750% due 06/15/2005 250 265 5.875% due 02/02/2006 200 213 6.625% due 03/21/2006 50 54 6.625% due 10/15/2007 1,195 1,322 6.625% due 09/15/2009 2,000 2,206 6.625% due 11/15/2010 1,045 1,153 Farmer Mac 5.860% due 03/03/2006 400 423 Federal Farm Credit Bank 5.600% due 01/30/2002 250 253 4.800% due 11/06/2003 250 257 5.750% due 03/05/2004 250 263 5.950% due 05/18/2005 500 530 Federal Home Loan Bank 5.755% due 06/24/2003 250 262 6.070% due 06/30/2003 100 105 6.375% due 11/14/2003 500 532 5.415% due 02/24/2004 400 419 5.485% due 03/23/2004 400 420 6.340% due 06/13/2005 400 432 6.060% due 05/24/2006 350 376 5.890% due 08/11/2008 500 529 5.800% due 09/02/2008 1,300 1,368 6.225% due 04/13/2009 400 420 6.120% due 05/21/2009 350 374 Freddie Mac 5.750% due 04/15/2008 1,450 1,528 Small Business Administration 7.449% due 08/01/2010 14,924 16,304 6.640% due 02/10/2011 16,000 16,690 Tennessee Valley Authority 6.375% due 06/15/2005 250 268 --------- Total U.S. Government Agencies 47,599 (Cost $44,454) 98 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) U.S. TREASURY OBLIGATIONS 7.8% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 $ 6,775 $ 6,893 3.375% due 01/15/2007 (b) 5,726 5,892 3.625% due 01/15/2008 2,532 2,628 3.875% due 01/15/2009 28,308 29,785 U.S. Treasury Notes 6.250% due 01/31/2002 1,650 1,671 5.375% due 06/30/2003 800 836 5.750% due 08/15/2003 2,225 2,344 --------- Total U.S. Treasury Obligations 50,049 (Cost $49,086) --------- MORTGAGE-BACKED SECURITIES 82.3% Collateralized Mortgage Obligations 33.8% Cendant Mortgage Corp. 6.500% due 04/25/2031 6,698 6,868 Chase Mortgage Finance Corp. 7.000% due 04/25/2025 125 126 8.256% due 04/25/2025 (d) 392 399 Criimi Mae Financial Corp. 7.000% due 01/01/2033 9,519 9,897 Fannie Mae 6.250% due 04/25/2007 331 334 6.250% due 06/25/2007 30 31 6.000% due 03/25/2009 1,559 1,555 6.750% due 11/25/2010 881 882 6.500% due 01/18/2019 556 557 6.350% due 03/25/2019 696 698 7.000% due 10/25/2020 87 88 6.850% due 06/25/2021 99 101 6.500% due 08/25/2021 28,509 29,073 7.000% due 09/25/2021 3,287 3,396 6.750% due 11/25/2021 150 156 5.750% due 12/20/2027 10,139 9,923 4.210% due 09/25/2031 27,610 27,664 Freddie Mac 7.000% due 10/15/2001 2 2 5.500% due 06/15/2003 155 157 7.000% due 05/15/2004 7,010 7,171 7.000% due 11/15/2005 400 413 7.000% due 06/15/2006 119 119 6.500% due 10/15/2007 61 62 6.000% due 12/15/2008 3,741 3,788 7.000% due 07/15/2022 75 77 6.000% due 06/15/2023 3 3 6.500% due 08/15/2023 6,930 7,015 6.500% due 10/15/2023 1,245 1,265 8.500% due 04/15/2025 2,565 2,809 8.000% due 02/15/2027 498 544 GMAC Commercial Mortgage Asset Corp. 3.357% due 06/01/2005 13,009 13,008 Government National Mortgage Association 7.500% due 04/20/2027 2,765 2,957 4.087% due 02/16/2030 (d) 9,002 9,037 4.057% due 02/16/2030 (d) 7,037 7,093 3.857% due 10/16/2030 (d) 2,220 2,220 Impac CMB Trust 4.109% due 11/25/2031 (d) 25,000 25,040 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 11,941 12,317 Indymac Home Loan Mortgage 6.490% due 09/28/2031 (d) 10,000 10,194 PNC Mortgage Securities Corp. 6.500% due 12/25/2028 5,000 4,726 Residential Funding Mortgage Securities I 6.981% due 06/25/2008 1,484 1,498 7.000% due 05/25/2012 1,791 1,844 Saco I, Inc. 6.891% due 07/25/2030 (d) 8,387 8,813 Sasco Floating Rate Commercial Mortgage Trust 6.500% due 09/25/2031 (d) 2,000 2,026 --------- 215,946 --------- Fannie Mae 3.5% 4.660% due 09/01/2031 (d) 11,687 11,893 5.500% due 06/01/2007-09/01/2013 (i) 576 581 5.754% due 01/01/2027 (d) 461 467 6.000% due 05/01/2005-02/01/2014 (i) 1,859 1,905 6.500% due 02/01/2031 1,252 1,275 7.000% due 05/01/2012 396 414 7.500% due 08/01/2015-07/01/2029 (i) 3,065 3,219 8.000% due 04/01/2002-10/01/2026 (i) 2,031 2,159 --------- 21,913 --------- Federal Housing Administration 1.5% 7.430% due 04/01/2022-06/01/2023 (i) 9,746 9,811 --------- Freddie Mac 0.0% 7.500% due 07/01/2003 29 30 8.000% due 05/01/2002-08/01/2003 (i) 50 52 --------- 82 --------- Government National Mortgage Association 43.5% 6.000% due 06/15/2028-06/15/2029 (i) 6,062 6,086 6.375% due 03/20/2028 (d) 4,401 4,480 6.500% due 10/22/2031 (d) 93,000 95,150 7.000% due 03/15/2029-10/22/2031 (d)(i) 52,320 54,206 7.375% due 03/20/2020 (d) 51 53 7.500% due 03/15/2008-10/22/2031 (d)(i) 97,069 101,356 7.625% due 11/20/2017-11/20/2025 (d)(i) 392 405 8.000% due 04/15/2017-10/22/2031 (d)(i) 13,570 14,479 8.500% due 02/15/2008 130 138 9.000% due 06/15/2009 784 845 --------- 277,198 --------- Total Mortgage-Backed Securities 524,950 (Cost $517,511) --------- ASSET-BACKED SECURITIES 8.3% AFC Home Equity Loan Trust 2.961% due 06/25/2003 (d) 3,619 3,625 Brazos Student Loan Finance Co. 4.640% due 06/01/2023 (d) 10,000 9,981 Fremont Home Loan Owner Trust 3.056% due 12/25/2029 (d) 6,568 6,595 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 502 507 IMC Home Equity Loan Trust 2.841% due 03/25/2027 (d) 36 36 Option One Mortgage Loan Trust 2.951% due 06/25/2030 (d) 7,126 7,142 Provident Bank Home Equity Loan Trust 3.850% due 08/25/2031 (d) 13,314 13,335 Sovereign Dealer Floor Plan Master LLC 3.737% due 10/15/2007 (d) 3,560 3,566 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 8,000 8,035 --------- Total Asset-Backed Securities 52,822 (Cost $52,667) --------- SOVEREIGN ISSUES 1.0% Hydro-Quebec 3.125% due 09/29/2049 (d) 5,000 4,400 Republic of Brazil 7.625% due 04/15/2006 (d) 2,624 2,272 --------- Total Sovereign Issues 6,672 (Cost $7,016) --------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 99 Schedule of Investments (Cont.) Moderate Duration Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1% Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 6,000 $ 5,686 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 800 351 Republic of Austria 5.500% due 01/15/2010 (j) EC 1,000 943 -------- Total Foreign Currency-Denominated Issues 6,980 (Cost $7,499) -------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 709,000 4 Strike @ 95.000 Exp. 12/17/2001 919,000 6 Strike @ 93.500 Exp. 12/17/2001 671,000 17 Government National Mortgage Association 6.000% due 11/20/2031 Strike @ 93.110 Exp. 11/13/2001 15,000 0 -------- Total Purchased Put Options 27 (Cost $39) -------- PREFERRED SECURITY 0.7% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 410 4,223 -------- Total Preferred Security 4,223 (Cost $4,100) -------- PREFERRED STOCK 0.1% TCI Communications, Inc. 10.000% due 05/31/2045 33,354 837 -------- Total Preferred Stock 837 (Cost $852) -------- SHORT-TERM INSTRUMENTS 6.4% Principal Amount (000s) Commercial Paper 5.2% Abbey National North America 3.470% due 10/31/2001 $ 2,800 2,792 AT&T Corp. 4.525% due 08/06/2002 2,800 2,798 CDC 3.380% due 10/01/2001 20,000 20,000 Fannie Mae 3.480% due 11/21/2001 200 199 General Electric Capital Corp. 3.670% due 12/26/2001 1,300 1,292 3.560% due 12/27/2001 2,000 1,987 3.650% due 12/27/2001 1,000 994 UBS Finance, Inc. 3.510% due 12/20/2001 1,100 1,095 Walt Disney Co. 3.610% due 10/05/2001 2,300 2,299 -------- 33,456 -------- Repurchase Agreement 0.9% State Street Bank 2.600% due 10/01/2001 5,600 5,600 (Dated 09/28/2001. Collateralized by Freddie Mac -------- 5.000% due 04/30/2003 valued at $5,716. Repurchase proceeds are $5,601.) U.S. Treasury Bills 0.3% 3.183% due 10/18/2001 (b) 1,780 1,777 -------- Total Short-Term Instruments 40,833 (Cost $40,821) --------
Value (000s) - ------------------------------------------------------------------------------------------------------ Total Investments (a) 143.0% $ 912,569 (Cost $898,371) Written Options (c) (0.0%) (169) (Premiums $975) Other Assets and Liabilities (Net) (43.0%) (274,251) ---------- Net Assets 100.0% $ 638,149 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 15,856 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (1,658) ---------- Unrealized appreciation-net $ 14,198 ----------
(b) Securities with an aggregate market value of $3,857 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts Depreciation) - ------------------------------------------------------------------------------------------------------ Eurodollar June Futures (06/2002) 32 $ 170 Eurodollar December Futures (12/2002) 19 89 Eurodollar September Futures (09/2003) 4 10 Eurodollar June Futures (06/2003) 2 6 Eurodollar December Futures (12/2003) 4 10 Eurodollar March Futures (03/2004) 4 9 Euro-Bobl 5 Year Note (12/2001) 460 271 U.S. Treasury 5 Year Note (12/2001) 7 21 U.S. Treasury 30 Year Bond (12/2001) 184 (58) United Kingdom 90 Day LIBOR Futures (09/2002) 389 463 United Kingdom 90 Day LIBOR Futures (12/2002) 359 303 -------- $ 1,294 --------
(c) Premiums received on written options:
# of Type Contracts Premium Value - ------------------------------------------------------------------------------------------------------ Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 104 $ 76 $ 6 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 1,155 616 108 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 437 283 55 ------------------------- $ 975 $ 169 -------------------------
(d) Variable rate security. The rate listed is as of September 30, 2001. 100 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (e) Foreign forward currency contracts outstanding at September 30, 2001:
Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------------------------------------- Sell BP 2,932 10/2001 $ 0 Buy EC 10,423 10/2001 (65) Sell JY 1,913,379 10/2001 (123) Sell N$ 827 10/2001 26 ------- $ (162) -------
(f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.805%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 JY 394,000 $ (141) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 BP 5,800 (2) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 50,000 (4) Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 $ 700 44 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 1,500 84 Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 (22) Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 5,000 (1) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 $ 500 $ 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 6,000 0 -------- $ (42) --------
(h) Principal amount of the security is adjusted for inflation. (i) Securities are grouped by coupon or range of coupons and represent a range of securities. (j) Subject to financing transaction. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 101 Schedule of Investments Low Duration Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 37.0% Banking & Finance 18.5% American General Finance 6.875% due 12/14/2001 $ 25,000 $ 25,208 Associates Corp. of North America 6.875% due 06/20/2002 20,000 20,514 6.950% due 08/01/2002 1,000 1,035 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,850 Bank of America Corp. 7.200% due 09/15/2002 100 104 7.875% due 12/01/2002 100 105 6.625% due 06/15/2004 1,000 1,067 Bank One Corp. 7.250% due 08/01/2002 500 518 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 2,800 2,805 6.125% due 02/01/2003 3,000 3,103 2.941% due 03/28/2003 (d) 8,600 8,596 6.200% due 03/30/2003 9,700 10,075 4.113% due 05/24/2004 (d) 2,000 2,004 3.883% due 06/01/2004 (d) 3,000 3,007 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,554 1,607 Beneficial Corp. 3.727% due 01/09/2002 (d) 10,000 10,005 6.650% due 09/12/2002 5,000 5,173 6.575% due 12/16/2002 5,440 5,645 Capital One Bank 3.553% due 06/23/2003 (d) 1,100 1,096 Chrysler Financial Corp. LLC 3.524% due 08/08/2002 (d) 8,000 7,941 CIT Group, Inc. 3.510% due 09/13/2002 (d) 19,900 19,939 7.375% due 03/15/2003 1,000 1,053 5.260% due 04/07/2003 (d) 2,600 2,609 Credit Asset Receivable LLC 6.274% due 10/31/2003 24,972 25,030 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,569 6.500% due 11/15/2006 6,700 6,910 7.100% due 03/15/2007 6,700 6,773 Finova Capital Corp. 7.500% due 11/15/2009 2,100 824 Ford Motor Credit Co. 6.520% due 08/12/2002 13,000 13,354 6.000% due 01/14/2003 15,000 15,374 3.720% due 02/13/2003 (d) 2,000 1,976 3.340% due 03/17/2003 (d) 3,000 2,962 6.125% due 04/28/2003 14,000 14,367 3.303% due 06/23/2003 (d) 9,800 9,713 4.320% due 03/08/2004 (d) 18,900 18,840 3.950% due 04/26/2004 (d) 19,000 18,661 7.500% due 03/15/2005 1,000 1,063 5.219% due 07/18/2005 (d) 400 390 General Motors Acceptance Corp. 3.695% due 11/12/2002 (d) 17,400 17,276 5.875% due 01/22/2003 500 512 6.750% due 03/15/2003 3,700 3,835 4.529% due 07/20/2003 (d) 7,755 7,755 5.924% due 07/21/2003 (d) 200 197 3.986% due 08/04/2003 (d) 98,420 97,095 5.550% due 09/15/2003 3,000 3,058 5.750% due 11/10/2003 5,000 5,121 4.480% due 01/20/2004 (d) 9,400 9,292 3.453% due 03/22/2004 (d) 5,000 4,939 4.070% due 04/05/2004 (d) 700 686 7.625% due 06/15/2004 1,000 1,065 6.850% due 06/17/2004 1,000 1,045 4.060% due 07/21/2004 (d) 600 583 Great Western Financial 8.600% due 02/01/2002 4,000 4,067 Heller Financial, Inc. 4.740% due 10/22/2001 (d) 1,000 1,001 3.920% due 01/22/2002 (d) 13,600 13,615 3.965% due 04/28/2003 (d) 20,000 20,030 Household Finance Corp. 7.625% due 01/15/2003 10,849 11,388 6.125% due 02/27/2003 1,500 1,542 2.863% due 06/24/2003 (d) 1,500 1,503 6.125% due 07/15/2012 11,000 11,217 Industrial Bank of Korea 8.375% due 09/30/2002 5,000 5,225 Key Bank NA 6.052% due 04/24/2003 12,900 13,385 KFW International Finance, Inc. 5.000% due 01/22/2002 7,690 7,739 5.500% due 02/19/2002 7,887 7,965 5.375% due 05/10/2002 12,282 12,463 6.125% due 07/08/2002 18,589 19,035 Korea Development Bank 7.900% due 02/01/2002 6,100 6,181 7.625% due 10/01/2002 21,200 22,033 6.500% due 11/15/2002 5,898 6,085 7.800% due 06/16/2003 (d) 3,500 3,430 6.625% due 11/21/2003 20,300 21,200 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002 (d) 5,000 5,019 4.466% due 12/12/2002 (d) 1,500 1,507 4.220% due 04/04/2003 (d) 7,900 7,915 4.220% due 07/06/2004 (d) 1,500 1,501 Marsh & McLennan Cos., Inc. 6.625% due 06/15/2004 1,000 1,062 Merrill Lynch & Co. 6.130% due 04/07/2003 7,770 8,060 8.770% due 05/21/2004 (d) 110,890 111,088 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 17,850 18,643 Middletown Trust 11.750% due 07/15/2010 865 865 Midland Funding I 10.330% due 07/23/2002 909 924 Morgan Stanley Group, Inc. 3.548% due 03/11/2003 (d) 5,000 5,005 Nacional Financiera 10.625% due 11/22/2001 7,500 7,590 5.464% due 05/08/2003 (d) 7,000 7,005 Pemex Finance Ltd. 6.125% due 11/15/2003 11,400 11,632 PNC Bank NA 2.714% due 01/24/2002 (d) 20,000 20,005 Rothmans Holdings 6.500% due 05/06/2003 14,000 14,453 Salomon Inc. 7.300% due 05/15/2002 15,000 15,407 7.500% due 02/01/2003 3,000 3,164 Salomon Smith Barney Holdings 3.650% due 02/14/2002 (i) 1,119 1,125 3.980% due 05/04/2004 (d) 32,760 32,812 Seismic Ltd. 8.336% due 01/01/2002 (d) 10,000 9,985 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,971 Spieker Properties, Inc. 6.800% due 05/01/2004 2,000 2,095 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 11,600 11,646 Transamerica Finance Corp. 6.125% due 11/01/2001 5,000 5,008 Trinom Ltd. 7.150% due 06/18/2004 (d) 5,700 5,700 Wells Fargo & Co. 6.625% due 07/15/2004 1,000 1,070 ---------- 942,685 ----------
102 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Industrials 9.8% Allied Waste Industries, Inc. 7.375% due 01/01/2004 $ 5,000 $ 4,950 AMR Corp. 9.125% due 10/24/2001 4,250 4,261 Atlas Air, Inc. 8.010% due 01/02/2010 9,778 9,382 Cemex SA de CV 8.625% due 07/18/2003 10,000 10,425 Coastal Corp. 3.913% due 03/06/2002 (d) 32,200 32,251 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,198 Cox Enterprises, Inc. 6.625% due 06/14/2002 3,000 3,051 4.579% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002 (d) 13,400 13,476 3.880% due 08/16/2004 (d) 1,000 981 6.900% due 09/01/2004 1,000 1,057 Delta Air Lines, Inc. 6.650% due 03/15/2004 2,925 2,586 Eastman Chemical Co. 6.375% due 01/15/2004 250 256 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,917 Enron Corp. 8.000% due 08/15/2005 8,300 8,587 Federal-Mogul Corp. 7.500% due 07/01/2004 (j) 28,600 2,360 General Motors Corp. 6.250% due 05/01/2005 7,000 7,174 Georgia-Pacific Group 9.950% due 06/15/2002 11,000 11,401 Global Crossing Holding Ltd. 6.000% due 10/15/2013 7,500 4,538 HCA - The Healthcare Co. 8.130% due 08/04/2003 5,000 5,250 6.630% due 07/15/2045 7,000 7,188 HMH Properties, Inc. 7.875% due 08/01/2005 5,000 4,425 IMEXSA Export Trust 10.125% due 05/31/2003 3,926 3,881 International Game Technology 7.875% due 05/15/2004 500 503 International Paper Co. 8.000% due 07/08/2003 10,000 10,602 Kinder Morgan, Inc. 6.450% due 11/30/2001 440 442 Kroger Co. 7.150% due 03/01/2003 13,500 14,140 Nabisco, Inc. 6.700% due 06/15/2002 21,100 21,524 Occidental Petroleum Corp. 6.400% due 04/01/2003 27,945 28,836 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 16,195 Petroleos Mexicanos 7.185% due 07/15/2005 (d) 10,173 10,396 6.906% due 07/15/2005 (d) 10,400 10,439 9.375% due 12/02/2008 5,500 5,748 Philip Morris Cos., Inc. 7.500% due 01/15/2002 200 202 7.250% due 01/15/2003 4,050 4,221 8.250% due 10/15/2003 1,000 1,080 6.950% due 06/01/2006 25,000 26,582 Phillips Petroleum Co. 8.500% due 05/25/2005 2,000 2,228 Qwest Corp. 6.125% due 07/15/2002 5,250 5,334 5.650% due 11/01/2004 9,250 9,263 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 11,357 Rollins Truck Leasing Co. 8.000% due 02/15/2003 3,000 3,157 Shoppers Food Warehouse Corp. 9.750% due 06/15/2004 10,500 10,962 SR Wind Ltd. 8.888% due 05/18/2005 (d) 6,000 5,980 9.388% due 05/18/2005 (d) 3,000 3,031 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,818 TCI Communications, Inc. 3.810% due 03/11/2003 (d) 3,000 3,018 Tenet Healthcare Corp. 7.875% due 01/15/2003 5,300 5,512 8.625% due 12/01/2003 9,700 10,379 Time Warner, Inc. 6.100% due 12/30/2001 250 251 7.975% due 08/15/2004 1,950 2,137 TTX Co. 7.820% due 07/21/2003 61,000 65,039 Tyco International Group SA 6.875% due 09/05/2002 18,805 19,278 Waste Management, Inc. 6.500% due 05/15/2004 45,000 46,566 -------- 501,829 -------- Utilities 8.7% Arizona Public Service Co. 5.875% due 02/15/2004 5,600 5,755 Arkansas Power & Light 6.000% due 10/01/2003 450 450 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 3,000 3,058 British Telecom PLC 4.445% due 12/15/2003 (d) 9,900 10,098 7.625% due 12/15/2005 73,400 79,410 CenturyTel, Inc. 7.750% due 10/15/2012 32,000 32,990 Cinergy Corp. 6.125% due 04/15/2004 13,000 13,177 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,088 7.850% due 07/30/2002 3,500 3,630 9.500% due 05/15/2005 9,000 9,277 CMS Energy Corp. 8.125% due 05/15/2002 5,000 5,037 8.375% due 07/01/2003 7,750 8,018 7.625% due 11/15/2004 15,400 15,172 DTE Energy Co. 7.110% due 11/15/2038 21,000 21,818 Duke Energy Field Services 7.500% due 08/16/2005 1,000 1,074 Entergy Louisiana, Inc. 7.740% due 07/01/2002 3,308 3,317 8.500% due 06/01/2003 4,000 4,269 Entergy Mississippi, Inc. 7.750% due 02/15/2003 35,000 36,626 France Telecom 3.396% due 07/16/2003 (d) 11,700 11,707 7.200% due 03/01/2006 29,300 31,045 Illinois Power Co. 6.250% due 07/15/2002 10,000 10,173 6.000% due 09/15/2003 12,500 12,913 Kentucky Power Co. 6.650% due 05/01/2003 1,000 1,002 Niagara Mohawk Power Co. 7.250% due 10/01/2002 16,634 17,122 Noram Energy Corp. 6.375% due 11/01/2003 2,000 2,092 Ohio Edison Co. 8.625% due 09/15/2003 5,000 5,394 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(j) 46,700 40,162 Scana Corp. 4.150% due 02/08/2002 (d) 1,000 1,001 Sprint Capital Corp. 9.500% due 04/01/2003 5,800 6,258
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 103 Schedule of Investments (Cont.) Low Duration Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Texas Utilities Corp. 5.940% due 10/15/2001 $ 13,405 $ 13,429 6.500% due 08/16/2002 1,000 1,022 9.700% due 02/28/2003 4,695 5,052 6.750% due 03/01/2003 925 958 6.750% due 04/01/2003 3,875 4,027 6.875% due 08/01/2005 2,000 2,110 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,590 United Illuminating Co. 6.000% due 12/15/2003 13,000 13,398 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 6,200 6,209 WorldCom, Inc. 6.125% due 04/15/2012 4,300 4,359 ----------- 447,287 ----------- Total Corporate Bonds & Notes 1,891,801 (Cost $1,885,673) ----------- U.S. GOVERNMENT AGENCIES 2.2% Fannie Mae 4.625% due 10/15/2001 535 535 6.850% due 11/06/2003 30,000 30,127 5.375% due 03/15/2004 37,000 37,490 7.125% due 09/19/2005 25,000 26,104 7.000% due 11/14/2005 15,085 15,819 Freddie Mac 6.500% due 02/04/2013 1,200 1,209 6.625% due 07/02/2013 1,195 1,198 Small Business Administration 8.250% due 01/25/2013 (d) 244 252 8.250% due 02/25/2014 (d) 461 459 ----------- Total U.S. Government Agencies 113,193 (Cost $111,442) ----------- U.S. TREASURY OBLIGATIONS 8.0% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 141,876 144,360 3.375% due 01/15/2007 (i) 72,999 75,120 3.625% due 01/15/2008 (i) 108,342 112,438 3.875% due 01/15/2009 (i) 65,270 68,676 3.500% due 01/15/2011 (i) 6,120 6,296 ----------- Total U.S. Treasury Obligations 406,890 (Cost $392,019) ----------- MORTGAGE-BACKED SECURITIES 84.8% Collateralized Mortgage Obligations 21.4% Bear Stearns Adjustable Rate Mortgage Trust 7.482% due 12/25/2030 (d) 7,833 7,957 7.491% due 12/25/2030 (d) 10,431 10,576 6.397% due 09/25/2031 (d) 27,269 27,646 Cendant Mortgage Corp. 6.500% due 01/18/2016 345 350 6.750% due 04/25/2031 10,254 10,308 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 111 118 Chase Mortgage Finance Corp. 6.500% due 06/25/2013 4,525 4,612 8.257% due 04/25/2025 (d) 392 399 6.750% due 06/25/2028 11,250 11,583 6.350% due 07/25/2029 3,534 3,630 Citicorp Mortgage Securities, Inc. 6.500% due 12/01/2019 (d) 270 269 6.750% due 05/25/2028 6,266 6,448 CMC Securities Corp. IV 7.250% due 10/25/2027 11,593 11,999 7.250% due 11/25/2027 10,038 10,446 CNL Commercial Loan Trust 3.698% due 10/20/2027 (d) 59,639 59,639 Commercial Trust 6.670% due 12/15/2003 (d) 2,718 2,669 Countrywide Funding Corp. 6.500% due 01/25/2035 (d) 939 941 Countrywide Home Loans 6.900% due 12/25/2027 18,061 18,845 Criimi Mae Financial Corp. 7.000% due 01/01/2033 7,377 7,670 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 82 84 7.500% due 02/25/2031 48,391 50,155 7.500% due 03/25/2031 22,130 22,246 6.400% due 01/17/2035 107 111 Dime Savings 7.317% due 11/01/2018 (d) 744 726 DLJ Commercial Mortgage Corp. 4.334% due 07/05/2008 (d) 740 743 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 549 629 8.603% due 05/25/2024 (d) 667 683 4.125% due 06/25/2026 (d) 6,460 6,483 6.850% due 12/17/2027 165 175 Drexel Burnham Lambert Trust 4.625% due 05/01/2016 (d) 18 18 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 80 81 Fannie Mae 8.950% due 05/25/2003 6 6 9.400% due 07/25/2003 18 18 9.000% due 07/25/2003 62 63 6.875% due 06/25/2009 662 667 7.000% due 09/25/2016 10,368 10,476 9.250% due 10/25/2018 52 56 9.500% due 03/25/2020 4,068 4,542 9.500% due 05/25/2020 906 999 9.000% due 03/25/2021 2,429 2,641 9.000% due 04/25/2021 81 89 8.000% due 12/25/2021 1,945 2,118 8.000% due 03/25/2022 9 9 3.288% due 04/25/2022 (d) 146 147 Federal Housing Administration 6.750% due 10/30/2031 16,200 16,476 First Nationwide Trust 7.750% due 10/25/2030 44,034 45,582 Freddie Mac 8.000% due 07/01/2006 29 31 6.000% due 07/15/2006 134 134 6.500% due 08/15/2006 778 785 8.500% due 01/01/2007 51 54 8.000% due 09/15/2007 621 629 5.750% due 01/15/2008 2,310 2,328 9.500% due 07/01/2010 54 59 6.500% due 08/15/2011 14,086 14,616 8.000% due 01/01/2012 78 79 12.500% due 09/30/2013 425 480 11.750% due 02/01/2014 1 2 10.000% due 07/15/2019 171 185 9.000% due 11/15/2019 102 103 10.000% due 05/15/2020 123 130 9.000% due 12/15/2020 1,938 2,027 7.500% due 12/15/2020 241 242 9.500% due 01/15/2021 710 764 6.500% due 02/15/2021 456 459 8.000% due 04/15/2021 844 879 9.000% due 05/15/2021 142 152 9.500% due 09/01/2021 25 27 8.000% due 04/01/2022 346 370 8.000% due 11/01/2022 237 253 7.500% due 01/20/2024 310 310 8.500% due 08/01/2024 91 98 8.500% due 11/01/2024 756 808 6.250% due 04/15/2028 6,436 6,558 6.500% due 10/01/2028 57 59 6.303% due 08/15/2032 (d) 4,630 4,711
104 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 $ 1,556 $ 1,567 7.500% due 11/25/2030 11,388 11,538 German American Capital Corp. 7.000% due 08/12/2010 (d) 6,800 7,428 Glendale Federal Savings & Loan 11.000% due 03/01/2010 14 15 5.386% due 03/25/2030 (d) 677 685 GMAC Commercial Mortgage Corp. 4.060% due 02/20/2003 (d) 1,160 1,160 3.990% due 09/20/2005 (d) 200 200 Golden Mortgage Loan 7.875% due 02/25/2031 (d) 15,384 15,624 GS Mortgage Securities Corp. 6.044% due 08/15/2018 24,074 24,752 6.526% due 08/15/2018 21,600 22,328 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 20 20 Home Savings of America 5.685% due 05/25/2027 (d) 978 970 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 70,250 72,461 Imperial Savings Association 8.839% due 07/25/2017 (d) 28 28 9.900% due 02/25/2018 229 232 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 80 94 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 101 105 Mellon Residential Funding Corp. 6.400% due 06/25/2028 16,661 17,077 6.580% due 07/25/2029 (d) 17,411 18,450 Morgan Stanley Capital I 7.460% due 02/15/2020 22,300 23,886 7.188% due 08/15/2023 85 91 7.266% due 11/15/2028 197 211 Morgan Stanley Dean Witter Capital I 3.818% due 10/15/2026 (d) 262 260 Mortgage Capital Funding, Inc. 6.325% due 10/18/2007 18,217 19,097 Nationslink Funding Corp. 6.297% due 11/10/2002 5,000 5,197 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,107 1,137 6.500% due 01/25/2029 6,000 6,204 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 252 251 6.750% due 05/25/2028 3,082 3,100 6.300% due 06/25/2029 19,210 19,828 7.750% due 07/25/2030 25,213 25,509 7.500% due 05/25/2040 (d) 160 163 Prudential Home Mortgage Securities 7.500% due 09/25/2007 608 628 7.000% due 01/25/2008 10,000 10,080 6.750% due 11/25/2008 5,405 5,650 7.000% due 08/25/2009 4,000 4,087 7.000% due 06/25/2023 663 668 6.050% due 04/25/2024 25 25 7.300% due 06/25/2024 519 520 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 16 16 8.400% due 03/20/2021 2,553 2,686 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 3,833 3,833 6.500% due 04/19/2029 20,687 21,223 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 (d) 18,018 18,450 7.000% due 07/25/2029 367 373 Residential Asset Securitization Trust 6.500% due 09/25/2014 357 366 Residential Funding Mortgage Securities, Inc. 6.500% due 04/25/2009 8 8 7.500% due 08/25/2023 238 239 7.500% due 12/25/2025 894 924 7.000% due 10/25/2027 10,000 10,427 7.250% due 10/25/2027 2,497 2,491 6.250% due 11/25/2028 6,000 6,003 7.500% due 11/25/2030 34,899 35,683 Resolution Trust Corp. 5.998% due 05/25/2019 (d) 2,231 2,224 4.860% due 08/25/2019 (d) 1,975 1,976 7.017% due 10/25/2021 (d) 42 43 8.625% due 10/25/2021 7,597 7,584 9.332% due 10/25/2021 188 187 6.900% due 02/25/2027 2,506 2,488 6.096% due 10/25/2028 (d) 1,388 1,423 7.263% due 10/25/2028 (d) 619 618 7.414% due 05/25/2029 (d) 1,760 1,836 Ryland Mortgage Securities Corp. 7.049% due 11/25/2021 (d) 127 127 Salomon Brothers Mortgage Securities VII 7.400% due 12/25/2017 (d) 1,197 1,221 7.932% due 03/25/2024 (d) 650 661 8.153% due 10/25/2024 (d) 140 142 7.601% due 12/25/2030 5,908 6,003 Sasco Floating Rate Commercial Mortgage Trust 3.658% due 10/21/2013 (d) 877 878 Sears Mortgage Securities 12.000% due 02/25/2014 46 49 7.431% due 10/25/2022 (d) 1,402 1,418 SLH Mortgage Trust 9.600% due 03/25/2021 176 175 Structured Asset Mortgage Investments, Inc. 6.904% due 06/25/2028 (d) 5,778 5,887 9.081% due 06/25/2029 (d) 5,721 6,173 6.577% due 06/25/2029 (d) 27,071 27,828 6.750% due 05/02/2030 3,072 3,111 Structured Asset Securities Corp. 6.750% due 07/25/2029 12,021 12,460 7.750% due 07/25/2030 17,906 18,163 4.355% due 05/25/2031 (d) 34,401 34,531 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 7,521 7,521 Torrens Trust 3.750% due 07/15/2031 (d) 7,482 7,482 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 6,018 Wells Fargo Mortgage-Backed Securities Trust 7.000% due 02/25/2016 99,281 102,533 6.125% due 07/25/2031 10,000 10,110 ----------- 1,094,378 ----------- Fannie Mae 7.8% 5.500% due 04/01/2009 12,286 12,614 5.740% due 06/01/2017 (d) 63 64 5.990% due 08/01/2017 (d) 32 33 5.995% due 12/01/2017-12/01/2023 (d)(g) 315 318 6.000% due 05/01/2011 104 107 6.027% due 04/01/2018 (d) 5,508 5,570 6.318% due 08/01/2029 16,273 16,843 6.500% due 09/01/2005-07/01/2017 (d)(g) 829 852 6.748% due 11/01/2017 (d) 110 112 6.793% due 11/01/2017 (d) 239 241 6.870% due 01/01/2021 (d) 282 280 7.000% due 04/01/2002-05/01/2012 (g) 207 216 7.240% due 07/25/2017 (d) 1,741 1,768 7.265% due 02/01/2028 (d) 3,150 3,247 7.292% due 11/01/2018 (d) 71 71 7.607% due 07/01/2017 (d) 364 370 7.815% due 04/01/2024 (d) 1,454 1,491 7.917% due 07/01/2023 (d) 724 730 8.000% due 03/01/2004-10/15/2031 (d)(g) 325,033 340,774 8.261% due 01/01/2024 (d) 54 56 8.290% due 10/01/2024 (d) 2,047 2,085 8.476% due 01/01/2024 (d) 1,625 1,683 8.500% due 03/01/2008-01/01/2026 (g) 2,494 2,665
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 105 Schedule of Investments (Cont.) Low Duration Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) 8.585% due 01/01/2024 (d) $ 15 $ 16 9.000% due 01/01/2025 3 3 9.500% due 07/01/2024-11/01/2025 (g) 2,725 2,954 10.000% due 02/01/2004-01/01/2025 (g) 738 804 10.500% due 06/01/2005-12/01/2024 (g) 96 102 11.000% due 11/01/2020 32 36 11.250% due 12/01/2010-10/01/2015 (g) 89 99 11.500% due 12/01/2008-02/01/2020 (g) 47 55 11.750% due 02/01/2016 34 39 12.000% due 01/01/2015-10/01/2015 (g) 6 6 13.000% due 07/01/2015 5 6 13.250% due 09/01/2011 11 13 13.500% due 04/01/2014 3 3 15.500% due 10/01/2012-12/01/2012 (g) 47 56 15.750% due 12/01/2011 19 23 16.000% due 09/01/2012-12/01/2012 (g) 8 10 ----------- 396,415 ----------- Federal Housing Administration 1.1% 6.950% due 04/01/2014 1,981 1,965 7.400% due 02/01/2019 90 92 7.421% due 11/01/2019 398 405 7.430% due 10/01/2019-11/01/2025 (g)(j) 51,302 52,074 ----------- 54,536 ----------- Freddie Mac 0.7% 6.000% due 09/01/2006-10/16/2030 (g) 13,905 14,145 6.375% due 03/01/2017 (d) 160 162 6.500% due 02/01/2005 1 1 6.529% due 07/01/2018 (d) 197 202 6.806% due 12/01/2022 (d) 413 425 6.867% due 10/01/2027 (d) 800 830 6.928% due 02/01/2020 (d) 1,735 1,772 7.001% due 09/01/2023 (d) 182 188 7.500% due 09/01/2006 38 39 7.598% due 06/01/2024 (d) 448 459 7.625% due 01/01/2017 (d) 28 28 8.000% due 03/01/2007-12/01/2024 (g) 3,053 3,246 8.243% due 10/01/2023 (d) 766 784 8.250% due 10/01/2007-11/01/2007 (g) 17 18 8.338% due 11/01/2022 (d) 1,294 1,324 8.365% due 11/01/2023 (d) 327 335 8.369% due 03/01/2024 (d) 38 39 8.459% due 01/01/2024 (d) 1,247 1,281 8.465% due 01/01/2024 (d) 534 552 8.500% due 10/01/2002-11/01/2025 (g) 8,595 9,171 8.750% due 04/01/2002 4 4 9.000% due 05/01/2002-08/01/2022 (g) 2,357 2,542 9.500% due 12/01/2004-02/01/2025 (g) 211 229 9.750% due 08/01/2002-11/01/2008 (g) 442 482 10.000% due 04/01/2015-10/01/2019 (g) 74 83 10.500% due 10/01/2010-02/01/2016 (g) 18 20 10.750% due 09/01/2009-08/01/2011 (g) 243 268 11.500% due 10/01/2015-01/01/2016 (g) 39 44 11.750% due 11/01/2010-08/01/2015 (g) 10 11 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (g) 9 10 14.500% due 12/01/2010 2 3 15.000% due 08/01/2011-12/01/2011 (g) 3 4 ----------- 38,703 ----------- Government National Mortgage Association 53.7% 6.375% due 04/20/2016-06/20/2027 (d)(g) 30,702 31,387 6.500% due 05/15/2023-10/15/2023 (g) 477 492 7.000% due 03/15/2011-01/15/2030 (g) 4,681 4,889 7.125% due 11/20/2026 (d) 183 189 7.375% due 03/20/2017-03/20/2019 (d)(g) 212 216 7.500% due 01/15/2007-10/22/2031 (g) 1,364,094 1,424,342 7.625% due 10/20/2023-12/20/2027 (d)(g) 35,876 37,085 7.750% due 08/20/2022-07/20/2027 (d)(g) 46,902 48,347 8.000% due 11/15/2006-10/22/2031 (d)(g) 1,033,708 1,087,352 8.500% due 12/15/2021-02/15/2031 (g) 78,109 82,675 9.000% due 06/20/2016-12/15/2030 (g) 22,327 23,712 9.500% due 10/15/2016-06/15/2025 (g) 93 102 9.750% due 07/15/2017-10/15/2017 (g) 363 402 10.000% due 10/15/2013-11/15/2025 (g) 81 91 10.500% due 11/15/2019-02/15/2021 (g) 13 16 11.000% due 09/15/2010 5 6 11.500% due 08/15/2018 29 33 11.750% due 08/15/2013-08/15/2015 (g) 45 52 12.000% due 06/20/2015 7 8 13.000% due 10/15/2013 6 7 13.500% due 05/15/2011-11/15/2012 (g) 20 24 16.000% due 12/15/2011-02/15/2012 (g) 20 25 ----------- 2,741,452 ----------- Stripped Mortgage-Backed Securities 0.1% Fannie Mae (IO) 727.220% due 09/25/2006 9 22 6.000% due 02/25/2008 809 22 256.000% due 11/01/2008 16 64 6.500% due 03/25/2009 3,038 291 0.950% due 03/25/2009 (d) 10,825 200 7.500% due 03/25/2019 624 6 6.500% due 05/25/2019 5,056 221 6.500% due 04/25/2020 2,736 114 7.000% due 05/25/2021 1,934 96 859.770% due 02/25/2022 13 153 6.500% due 03/25/2023 1,984 232 4.875% due 03/25/2024 (d) 4,836 251 Fannie Mae (PO) 0.000% due 09/25/2022 17 16 Freddie Mac (IO) 6.000% due 10/15/2007 111 2 6.000% due 02/15/2008 353 9 7.000% due 08/15/2018 2,553 50 6.500% due 05/15/2019 1,839 58 6.500% due 06/15/2019 960 33 1049.620% due 04/15/2021 7 47 6.500% due 04/15/2022 1,654 152 7.000% due 05/15/2023 221 24 4.000% due 01/15/2024 20,919 3,421 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 39,053 177 ----------- 5,661 ----------- Total Mortgage-Backed Securities 4,331,145 (Cost $4,278,725) ----------- ASSET-BACKED SECURITIES 4.1% Advanta Equipment Receivables 6.640% due 09/16/2002 89 89 Advanta Mortgage Loan Trust 7.760% due 05/25/2018 22,700 24,247 Amortizing Residential Collateral Trust 4.053% due 09/25/2030 (d) 12,070 12,088 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 85 85 Bombardier Capital Mortgage 6.605% due 09/15/2010 4,576 4,637 Capital Asset Research Funding LP 6.400% due 12/15/2004 49 49 Cento 6.013% due 03/01/2002 141 143 Circuit City Credit Card Master Trust 3.718% due 02/15/2006 (d) 250 250 CIT Marine Trust 5.800% due 04/15/2010 167 170 Community Program Loan Trust 4.500% due 10/01/2018 14,487 14,125 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 32,000 31,990 Conseco Finance 6.940% due 11/15/2014 119 120 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 517 521 Duck Auto Grantor Trust 5.650% due 03/15/2004 1,001 1,003 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 4,900 4,900 EQCC Home Equity Loan Trust 3.648% due 10/15/2027 (d) 196 196
106 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Equity One ABS, Inc. 7.325% due 03/25/2014 $ 9,400 $ 9,758 GF Funding Corp. 6.890% due 01/20/2006 12,105 12,281 Green Tree Financial Corp. 6.550% due 02/15/2027 6,883 7,100 7.400% due 06/15/2027 12,735 13,568 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 1,000 1,003 Green Tree Home Improvement Loan Trust 3.658% due 08/15/2029 (d) 410 410 IMC Home Equity Loan Trust 3.273% due 10/20/2027 (d) 2,599 2,602 Irwin Home Equity Loan Trust 7.460% due 09/25/2014 18,321 18,935 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 7,220 7,148 Merit Securities Corp. 7.040% due 12/28/2033 10,879 10,961 New York City Tax Lien 6.350% due 07/10/2007 3,336 3,175 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 1,379 1,388 Ocwen Mortgage Loan Trust 3.935% due 10/25/2029 (d) 374 375 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 4,198 4,208 Pacificamerica Home Equity Loan 3.800% due 04/25/2028 (d) 181 180 Providian Gateway Master Trust 3.768% due 03/16/2009 (d) 8,000 8,015 SallieMae 4.041% due 07/25/2004 (d) 14 14 4.263% due 04/25/2006 (d) 5,238 5,233 Saxon Asset Securities Trust 7.205% due 01/25/2019 275 285 2.891% due 05/25/2029 (d) 558 559 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 258 258 The Money Store Home Equity Trust 3.668% due 06/15/2029 (d) 432 432 Timber Corp. Term Loan 4.830% due 11/30/2001 5,000 5,000 ---------- Total Asset-Backed Securities 207,501 (Cost $202,822) ---------- SOVEREIGN ISSUES 0.5% Province of Quebec 6.625% due 10/25/2001 (d) 250 250 Republic of Brazil 5.438% due 04/15/2006 (d) 5,680 4,729 United Mexican States 7.570% due 04/07/2004 (d) 21,530 22,163 ---------- Total Sovereign Issues 27,142 (Cost $27,144) ---------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1% Korea Development Bank 2.700% due 08/16/2002 JY 2,000,000 16,846 Republic of Austria 5.500% due 01/15/2010 (i) EC 8,900 8,388 Republic of Colombia 7.000% due 03/06/2002 IL 36,220,000 16,957 United Mexican States 6.000% due 03/28/2002 JY 960,000 8,250 8.750% due 05/30/2002 3,000 4,438 ---------- Total Foreign Currency-Denominated Issues 54,879 (Cost $60,270) ---------- PURCHASED PUT OPTIONS 0.0% PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 $ 300 0 ---------- Total Purchased Put Options 0 (Cost $0) ---------- PREFERRED STOCK 1.1% Shares Home Ownership Funding 13.330% due 12/31/2049 3,000 2,157 Rhone-Poulenc SA 8.125% due 12/31/2049 13,000 327 TCI Communications, Inc. 9.720% due 224,700 5,685 8.720% due 01/31/2045 1,170,100 28,714 10.000% due 05/31/2045 800,300 20,072 ---------- Total Preferred Stock 56,955 (Cost $61,898) ---------- SHORT-TERM INSTRUMENTS 8.7% Principal Amount (000s) Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 $ 5,000 5,077 ---------- Commercial Paper 8.0% Abbey National North America 3.520% due 10/29/2001 5,000 4,986 3.550% due 10/29/2001 3,200 3,191 BP Amoco PLC 3.450% due 10/01/2001 25,000 25,000 Federal Home Loan Bank 3.000% due 10/01/2001 30,000 30,000 4.000% due 10/31/2001 500 498 General Electric Capital Corp. 3.470% due 10/02/2001 7,400 7,399 3.420% due 12/24/2001 40,000 39,762 3.420% due 12/26/2001 3,800 3,777 3.670% due 12/26/2001 11,500 11,430 3.520% due 12/27/2001 32,000 31,799 3.490% due 12/27/2001 5,400 5,366 KFW International Finance, Inc. 3.420% due 12/20/2001 1,100 1,094 PepsiCo, Inc. 3.410% due 10/01/2001 35,000 35,000 Queensland Treasury Corp. 3.560% due 10/23/2001 3,400 3,393 SBC Communications, Inc. 3.430% due 11/29/2001 1,000 996 UBS Finance, Inc. 3.450% due 10/01/2001 200,000 200,000 3.420% due 12/19/2001 300 298 3.550% due 12/19/2001 100 99 3.360% due 12/20/2001 2,900 2,884 ---------- 406,972 ---------- Repurchase Agreement 0.6% State Street Bank 2.600% due 10/01/2001 31,917 31,917 (Dated 09/28/2001. Collateralized by Fannie Mae ---------- 6.625% due 09/15/2009 valued at $7,055 and Fannie Mae 4.570% due 05/16/2003 valued at $25,501. Repurchase proceeds are $31,923.) U.S. Treasury Bills 0.0% 3.136% due 10/18/2001 (b)(g) 750 749 ---------- Total Short-Term Instruments 444,715 (Cost $444,463) ----------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 107 Schedule of Investments (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Value (000s) Total Investments (a) 147.5% $ 7,534,221 (Cost $7,464,456) Written Options (c) (0.0%) (65) (Premiums $1,783) Other Assets and Liabilities (Net) (47.5%) (2,426,742) ----------- Net Assets 100.0% $ 5,107,414 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 123,646 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (53,881) ----------- Unrealized appreciation-net $ 69,765 ----------- (b) Securities with an aggregate market value of $6,856 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts (Depreciation) - --------------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 15 $ 68 Eurodollar September Futures (09/2002) 13 53 Eurodollar December Futures (12/2002) 20 70 Eurodollar March Futures (03/2003) 20 57 U.S. Treasury 10 Year Note (12/2001) 42 29 U.S. Treasury 30 Year Bond (12/2001) 38 (7) ----------- $ 270 ----------- (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 19,200,000 $ 587 $ 2 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 19,200,000 542 3 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 856 633 56 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 18 11 2 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 14 10 2 ---------------------------- $ 1,783 $ 65 ---------------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------------- Buy EC 54,633 10/2001 $ (366) Sell BP 7,056 10/2001 2 Sell JY 11,104,000 10/2001 (625) ----------- $ (989) ----------- (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro IL - Italian Lira JY - Japanese Yen (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Security is in default. (k) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.805%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 JY 3,285,600 $ (1,174) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 175,100 2,295 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 94,300 1,236 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 77,600 1,559 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 23,300 471 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 $ 2,900 164 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 (8)
108 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003.
Broker: UBS-Warburg Exp. 01/14/2003 $ 43,000 $ (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 (22) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. due 12/19/2001. Broker: Lehman Brothers Exp. 12/19/2001 25,000 (23) Receive a fixed rate equal to 0.810% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Goldman Sachs Exp. 06/15/2004 50,000 (120) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 30,000 (40) ------------ $ 4,326 ------------
(l) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - -------------------------------------------------------------------------------------- U.S. Treasury Notes 5.875 11/15/2004 50,000 $ 53,633 $ 52,303 U.S. Treasury Notes 5.875 11/15/2004 44,080 47,283 46,110 U.S. Treasury Notes 6.000 08/15/2004 50,000 53,729 52,436 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 23,200 23,996 23,941 U.S. Treasury Notes 5.750 11/15/2005 23,000 24,756 24,203 U.S. Treasury Notes 4.250 11/15/2003 50,000 51,408 51,288 U.S. Treasury Notes 4.250 11/15/2003 46,000 47,296 47,185 U.S. Treasury Notes 4.625 05/15/2006 18,600 19,263 19,175 ---------------------------- $ 424,796 $ 419,833 ----------------------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 109 Schedule of Investments Low Duration Fund II September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 23.9% Banking & Finance 21.4% Associates Corp. of North America 5.750% due 11/01/2003 $ 400 $ 417 Bank of America Corp. 3.762% due 08/26/2005 (d) 9,100 9,107 Beneficial Corp. 4.000% due 04/02/2002 (d) 3,000 3,003 Chrysler Financial Corp. LLC 3.503% due 06/17/2003 (d) 1,100 1,078 3.760% due 06/18/2003 (d) 13,000 12,780 Countrywide Home Loans 6.850% due 06/15/2004 1,000 1,068 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/2003 (d) 4,700 4,716 Ford Motor Credit Co. 7.750% due 11/15/2002 1,700 1,776 5.750% due 02/23/2004 1,000 1,023 6.700% due 07/16/2004 900 936 4.200% due 07/18/2005 (d) 12,300 12,005 General Motors Acceptance Corp. 6.625% due 01/10/2002 4,000 4,033 6.625% due 10/01/2002 25 26 7.625% due 05/05/2003 1,100 1,162 3.986% due 08/04/2003 (d) 1,400 1,381 4.060% due 07/21/2004 (d) 1,200 1,167 8.950% due 07/02/2009 8,872 9,822 Goldman Sachs Group, Inc. 6.600% due 07/15/2002 1,500 1,536 3.988% due 01/17/2003 (d) 3,000 3,003 Heller Financial, Inc. 3.920% due 01/22/2002 (d) 4,900 4,906 4.083% due 07/24/2002 (d) 15,000 15,052 Household Finance Corp. 6.700% due 06/15/2002 2,525 2,586 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002 (d) 5,200 5,220 Morgan Stanley, Dean Witter & Co. 3.906% due 08/07/2003 (d) 2,400 2,404 Wells Fargo & Co. 6.625% due 07/15/2004 105 112 ----------- 100,319 ----------- Industrials 1.2% Cargill, Inc. 3.910% due 01/14/2002 (d) 5,000 5,002 Procter & Gamble Co. 5.250% due 09/15/2003 400 413 Times Mirror Co. 6.650% due 10/15/2001 200 200 Wal-Mart Stores, Inc. 6.550% due 08/10/2004 100 107 ----------- 5,722 ----------- Utilities 1.3% DTE Energy Co. 6.170% due 06/15/2038 5,000 5,163 Southern California Gas Co. 5.670% due 01/18/2028 1,000 1,022 ----------- 6,185 ----------- Total Corporate Bonds & Notes 112,226 (Cost $111,059) ----------- U.S. GOVERNMENT AGENCIES 1.5% Fannie Mae 7.500% due 02/11/2002 175 178 6.250% due 11/15/2002 150 156 5.250% due 01/15/2003 935 965 6.500% due 08/15/2004 100 108 6.625% due 09/15/2009 2,000 2,207 Federal Home Loan Bank 5.135% due 09/22/2003 400 415 6.340% due 11/05/2013 1,900 1,905 6.550% due 12/30/2013 1,085 1,085 ----------- Total U.S. Government Agencies 7,019 (Cost $6,430) ----------- U.S. TREASURY OBLIGATIONS 11.6% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 3,436 3,496 3.375% due 01/15/2007 41,564 42,772 3.625% due 01/15/2008 4,065 4,219 3.875% due 01/15/2009 2,165 2,278 3.500% due 01/15/2011 612 630 U.S. Treasury Notes 6.250% due 02/15/2003 315 330 5.750% due 08/15/2003 195 205 ----------- Total U.S. Treasury Obligations 53,930 (Cost $52,162) ----------- MORTGAGE-BACKED SECURITIES 116.8% Collateralized Mortgage Obligations 25.0% Bear Stearns Adjustable Rate Mortgage Trust 7.491% due 12/25/2030 (d) 1,681 1,704 7.481% due 12/25/2030 (d) 1,283 1,304 Criimi Mae Financial Corp. 7.000% due 01/01/2033 9,519 9,897 CS First Boston Mortgage Securities Corp. 7.500% due 02/25/2031 15,626 16,196 DLJ Mortgage Acceptance Corp. 8.563% due 05/25/2024 (d) 337 345 Fannie Mae 6.150% due 09/25/2016 607 606 9.250% due 10/25/2018 52 56 8.000% due 11/25/2023 3,117 3,238 4.030% due 09/25/2030 (d) 4,592 4,599 Federal Housing Administration 6.750% due 10/30/2031 1,500 1,526 First Nationwide Trust 7.750% due 10/25/2030 17,299 17,907 Freddie Mac 12.100% due 01/31/2009 819 883 12.900% due 05/01/2014 100 111 6.500% due 07/15/2017 118 118 6.000% due 05/15/2022 3,238 3,286 8.500% due 06/01/2025 94 101 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 1,556 1,567 Government National Mortgage Association 7.500% due 11/20/2023 999 1,009 7.750% due 01/17/2030 1,000 1,053 4.110% due 09/20/2030 (d) 2,745 2,745 Guardian Savings & Loan Association 8.030% due 07/25/2019 (d) 25 25 Nationslink Funding Corp. 4.056% due 04/10/2007 (d) 782 783 7.030% due 01/20/2008 179 192 Norwest Asset Securities Corp. 6.750% due 12/25/2027 1,720 1,769 6.500% due 04/25/2028 963 989 PNC Mortgage Securities Corp. 7.750% due 07/25/2030 3,389 3,429 Residential Funding Mortgage Securities, Inc. 7.500% due 10/25/2022 589 598 Resolution Trust Corp. 5.998% due 05/25/2019 (d) 485 484 7.263% due 10/25/2028 (d) 2,201 2,196 Ryland Mortgage Securities Corp. 14.000% due 11/25/2031 54 54 Salomon Brothers Mortgage Securities VII 7.466% due 11/25/2022 (d) 435 440 7.600% due 12/25/2030 973 988 Sears Mortgage Securities 7.431% due 10/25/2022 (d) 584 591 Structured Asset Mortgage Investments, Inc. 9.081% due 06/25/2029 (d) 6,145 6,629 6.750% due 05/02/2030 6,159 6,236 Structured Asset Securities Corp. 6.750% due 07/25/2029 3,823 3,890 7.750% due 07/25/2030 6,446 6,539 Union Planters Mortgage Finance Corp. 6.600% due 01/25/2028 13,000 13,306 ----------- 117,389 -----------
110 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Fannie Mae 5.1% 5.748% due 09/01/2028 (d) $ 1,252 $ 1,268 6.297% due 08/01/2030-11/01/2039 (d)(f) 17,278 17,648 7.500% due 08/01/2029-09/01/2029 (f) 3,790 3,951 8.142% due 01/01/2024 (d) 551 556 10.500% due 05/01/2012 558 623 ----------- 24,046 ----------- Federal Housing Administration 5.5% 7.200% due 05/01/2009 1,569 1,611 7.430% due 07/01/2024 23,497 24,255 ----------- 25,866 ----------- Freddie Mac 1.5% 6.581% due 07/01/2023 (d) 483 498 6.000% due 10/18/2031 (d) 6,000 5,989 8.000% due 07/01/2024 211 226 8.500% due 06/01/2009-10/01/2010 (f) 192 199 10.500% due 09/01/2015 7 8 ----------- 6,920 ----------- Government National Mortgage Association 79.7% 6.375% due 04/20/2022-05/20/2027 (d)(f) 8,523 8,717 6.500% due 08/15/2023-07/15/2030 (d)(f) 5,076 5,133 7.000% due 03/15/2022-10/22/2031 (d)(f) 15,184 15,783 7.500% due 02/15/2022-11/20/2023 (d)(f) 148,358 154,963 7.625% due 10/20/2025 (d) 5,238 5,413 7.750% due 07/20/2023-07/20/2025 (d)(f) 5,745 5,924 8.000% due 03/15/2023-09/15/2024 (d)(f) 132,582 138,999 8.500% due 11/15/2029-01/15/2031 (f) 30,837 32,636 9.000% due 07/20/2016-10/15/2030 (f) 6,403 6,801 ----------- 374,369 ----------- Total Mortgage-Backed Securities 548,590 (Cost $542,132) ----------- ASSET-BACKED SECURITIES 5.4% Countrywide Asset-Backed Certificates 4.180% due 03/25/2031 (d) 60 60 Countrywide Home Equity Loan Trust 3.727% due 08/15/2025 (d) 5,366 5,370 Embarcadero Aircraft Securitization Trust 3.967% due 08/15/2025 (d) 2,867 2,866 First Alliance Mortgage Loan Trust 3.990% due 03/20/2031 (d) 7,583 7,595 Novastar Home Equity Loan 3.011% due 01/25/2030 (d) 7,037 7,047 The Money Store Home Equity Trust 6.490% due 10/15/2026 2,463 2,511 ----------- Total Asset-Backed Securities 25,449 (Cost $25,401) ----------- PREFERRED SECURITY 1.1% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 510 5,253 ----------- Total Preferred Security 5,253 (Cost $5,100) ----------- SHORT-TERM INSTRUMENTS 4.9% Principal Amount (000s) Commercial Paper 4.3% Fannie Mae 3.150% due 10/01/2001 $ 19,000 19,000 3.610% due 12/27/2001 500 496 General Electric Capital Corp. 3.550% due 10/02/2001 200 200 3.560% due 12/27/2001 500 496 ----------- 20,192 ----------- Repurchase Agreement 0.6% State Street Bank 2.600% due 10/01/2001 2,974 2,974 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 02/03/2003 valued at $3,037. Repurchase proceeds are $2,975.) ----------- Total Short-Term Instruments 23,166 (Cost $23,166) ----------- Total Investments (a) 165.2% $ 775,633 (Cost $765,450) Other Assets and Liabilities (Net) (65.2%) (306,067) ----------- Net Assets 100.0% $ 469,566 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 10,781 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (598) ----------- Unrealized appreciation-net $ 10,183 ----------- (b) Securities with an aggregate market value of $346 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - ------------------------------------------------------------------------------------------------ U.S. Treasury 5 Year Note (12/2001) 1 $ 3 ----------- (c) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------------------------ Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 $ 100 $ 6 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 4,000 (1) Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 4,000 0 ----------- $ 5 -----------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 111 Schedule of Investments Low Duration Fund III September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 41.1% Banking & Finance 25.7% Bank of America Corp. 8.125% due 02/01/2002 $ 1,000 $ 1,016 2.913% due 08/26/2005 (d) 1,000 1,000 Chrysler Financial Corp. LLC 3.503% due 06/17/2003 (d) 400 392 3.503% due 06/18/2003 1,000 983 CIT Group, Inc. 3.510% due 09/13/2002 (d) 400 401 General Motors Acceptance Corp. 3.986% due 08/04/2003 (d) 400 395 5.547% due 01/20/2004 (d) 1,000 988 4.760% due 07/21/2004 (d) 300 292 Goldman Sachs Group, Inc. 3.961% due 02/18/2002 (d) 665 666 4.110% due 04/08/2005 (d) 300 298 Heller Financial, Inc. 3.920% due 01/22/2002 (d) 1,300 1,301 Korea Development Bank 7.625% due 10/01/2002 1,000 1,039 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 1,000 1,001 Salomon, Smith Barney Holdings 3.980% due 05/04/2004 (d) 325 326 Spieker Properties LP - REITS 7.580% due 12/17/2001 1,000 1,008 ------------- 11,106 ------------- Industrials 2.3% Cargill, Inc. 3.910% due 01/14/2002 (d) 1,000 1,000 ------------- Utilities 13.1% British Telecom PLC 7.625% due 12/15/2005 200 216 Consolidated Edison, Inc. 3.210% due 06/15/2002 (d) 500 501 Florida Power & Light 6.875% due 12/01/2005 1,000 1,073 France Telecom 5.148% due 03/14/2003 (d) 600 607 7.200% due 03/01/2006 300 318 Pacific Gas & Electric Co. 7.057% due 10/31/2001 (d)(g) 400 344 Philadelphia Electric 6.500% due 05/01/2003 1,500 1,559 Telekomunikacja Polska SA 7.125% due 12/10/2003 1,000 1,045 ------------- 5,663 ------------- Total Corporate Bonds & Notes 17,769 (Cost $17,556) ------------- U.S. TREASURY OBLIGATIONS 9.6% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 111 113 3.375% due 01/15/2007 3,137 3,228 3.625% due 01/15/2008 330 342 3.875% due 01/15/2009 325 342 3.500% due 01/15/2011 102 105 ------------- Total U.S. Treasury Obligations 4,130 (Cost $3,986) ------------- MORTGAGE-BACKED SECURITIES 108.7% Collateralized Mortgage Obligations 22.2% Bear Stearns Adjustable Rate Mortgage Trust 7.491% due 12/25/2030 (d) 116 118 7.487% due 12/25/2030 (d) 89 90 Countrywide Home Loans 7.750% due 04/25/2030 33 33 CS First Boston Mortgage Securities Corp. 7.500% due 02/25/2031 1,071 1,110 Federal Housing Administration 6.750% due 10/30/2031 100 102 First Nationwide Trust 7.750% due 10/25/2030 1,311 1,357 Freddie Mac 3.937% due 11/15/2030 (d) 663 663 GMAC Commercial Mortgage Securities, Inc. 6.570% due 09/15/2033 849 895 Independent National Mortgage Corp. 7.250% due 11/25/2010 638 646 PNC Mortgage Securities Corp. 7.750% due 07/25/2030 239 242 Prudential Home Mortgage Securities 7.500% due 08/25/2024 897 930 Residential Funding Mortgage Securities I 7.750% due 11/25/2026 1,000 1,042 Salomon Brothers Mortgage Securities VII 7.600% due 11/25/2030 72 73 Structured Asset Securities Corp. 6.750% due 07/25/2029 1,202 1,223 Washington Mutual, Inc. 6.247% due 01/25/2040 (d) 81 81 Wells Fargo Mortgage-Backed Securities Trust 7.000% due 02/25/2016 946 977 ------------- 9,582 ------------- Fannie Mae 6.4% 5.912% due 08/01/2029 (d) 1,227 1,243 6.009% due 02/01/2031 (d) 626 635 6.297% due 09/01/2040 (d) 868 887 ------------- 2,765 ------------- Freddie Mac 0.1% 8.750% due 10/01/2001 65 65 ------------- Government National Mortgage Association 80.0% 6.000% due 05/20/2030 (d) 1,248 1,274 6.375% due 06/20/2027 (d) 395 403 6.500% due 10/22/2031 1,000 1,023 7.000% due 10/22/2031 (d) 1,000 1,038 7.500% due 10/22/2031 7,500 7,831 8.000% due 10/22/2031 (d) 20,000 21,035 8.500% due 10/20/2026-10/15/2030 (f) 1,871 1,987 ------------- 34,591 ------------- Total Mortgage-Backed Securities 47,003 (Cost $46,559) ------------- ASSET-BACKED SECURITIES 5.9% Bayview Financial Acquisition Trust 3.970% due 11/25/2030 (d) 1,300 1,305 Circuit City Credit Card Master Trust 3.717% due 02/15/2006 (d) 1,000 1,001 SallieMae 4.101% due 10/25/2005 (d) 227 227 ------------- Total Asset-Backed Securities 2,533 (Cost $2,526) ------------- SHORT-TERM INSTRUMENTS 5.3% Commercial Paper 4.6% CDC 3.380% due 10/01/2001 1,300 1,300 Coca-Cola Co. 3.610% due 10/11/2001 100 100 Fannie Mae 4.030% due 10/18/2001 200 200 UBS Finance, Inc. 3.530% due 12/19/2001 100 99 3.360% due 12/20/2001 300 297 ------------- 1,996 -------------
112 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Repurchase Agreement 0.7% State Street Bank 2.600% due 10/01/2001 $ 316 $ 316 (Dated 09/28/2001. Collateralized by Federal Home ------------- Loan Bank 6.105% due 05/15/2003 valued at $327. Repurchase proceeds are $316.) U.S. Treasury Bills 0.0% 2.310% due 02/07/2002 (b)(f) 10 10 ------------- Total Short-Term Instruments 2,322 (Cost $2,322) ------------- Total Investments (a) 170.6% $ 73,757 (Cost $72,949) Written Options (c) 0.0% 0 (Premium $14) Other Assets and Liabilities (Net) (70.6%) (30,516) ------------- Net Assets 100.0% $ 43,241 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 907 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (99) ------------- Unrealized appreciation net $ 808 ------------- (b) Securities with an aggregate market value of $123 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ----------------------------------------------------------------------------------------- U.S. Treasury 5 Year Note (12/2001) 5 $ (5) U.S. Treasury 30 Year Bond (12/2001) 1 0 ------------- $ (5) ------------- (c) Premiums received on written options: # of Type Contracts Premium Value - ----------------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 200,000 $ 6 $ 0 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 200,000 6 0 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 12/03/2001 100,000 2 0 -------------------------- $ 14 $ 0 -------------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. (g) Security is in default. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.805%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 JY 28,400 $ (10) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs & Co. Exp. 03/02/2004 BP 1,700 22 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 900 12 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 800 8 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 200 2 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 $ 500 0 ------------- $ 34 ------------- (i) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ----------------------------------------------------------------------------------------- Buy EC 1,131 10/2001 $ (7) Sell JY 6,124 10/2001 0 ------------- $ (7) ------------- (j) Principal amount denoted in indicated currency: BP - British Pound EC - Euro JY - Japanese Yen
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 113 Schedule of Investments Short-Term Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 33.0% Banking & Finance 16.6% ABN AMRO Bank 6.625% due 10/31/2001 $ 2,000 $ 2,006 Banco Nacional Obra Services 9.625% due 11/15/2003 3,900 4,183 Bank One Corp. 4.517% due 01/24/2002 (d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 1,016 Bankunited FSB 5.400% due 02/02/2004 4,000 4,135 Bear Stearns Co., Inc. 5.125% due 02/22/2004 (d) 4,200 4,330 5.270% due 09/21/2004 (d) 3,900 3,901 Chrysler Financial Corp. LLC 5.250% due 10/22/2001 2,800 2,803 5.690% due 11/15/2001 1,200 1,204 CIT Group, Inc. 3.510% due 09/13/2002 (d) 6,300 6,312 Citigroup, Inc. 5.500% due 08/19/2003 (d) 11,040 11,529 Countrywide Funding Corp. 8.760% due 03/05/2002 500 512 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/2003 (d) 8,000 8,028 DQE Capital Corp. 5.260% due 01/15/2002 (d) 2,000 2,001 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 1,014 First Union Corp. 8.125% due 06/24/2002 1,350 1,398 First USA Bank 4.140% due 05/15/2002 (d) 6,000 6,010 Ford Credit Canada 3.310% due 12/16/2002 (d) 10,000 10,006 Ford Motor Credit Co. 3.732% due 06/02/2003 (d) 2,500 2,474 4.320% due 03/08/2004 (d) 4,300 4,286 3.747% due 05/21/2004 (d) 3,300 3,236 4.200% due 07/18/2005 (d) 10,000 9,760 General Motors Acceptance Corp. 5.800% due 03/12/2003 1,500 1,542 5.950% due 03/14/2003 1,700 1,743 4.130% due 08/18/2003 (d) 16,575 16,329 3.956% due 11/07/2003 (d) 8,700 8,548 5.547% due 01/20/2004 (d) 3,900 3,855 4.450% due 05/04/2004 (d) 4,000 3,945 Golden West Financial Corp. 7.875% due 01/15/2002 3,450 3,498 6.700% due 07/01/2002 6,870 7,053 Goldman Sachs Group, Inc. 3.988% due 01/17/2003 (d) 5,000 5,005 Heller Financial, Inc. 3.950% due 04/22/2002 (d) 12,900 12,923 6.500% due 07/22/2002 1,000 1,030 Korea Development Bank 7.900% due 02/01/2002 900 912 7.625% due 10/01/2002 2,500 2,598 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002 (d) 3,000 3,012 4.220% due 04/04/2003 (d) 3,000 3,006 3.712% due 06/03/2003 (d) 2,800 2,788 Meridian Bancorp, Inc. 7.875% due 07/15/2002 1,500 1,551 Merrill Lynch & Co. 4.593% due 08/01/2003 (d) 4,000 4,012 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 8,600 8,611 National Consumer Coop Bank 4.500% due 10/26/2001 (d) 10,000 10,008 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 17,200 17,210 Paine Webber Group, Inc. 4.330% due 07/15/2002 (d) 10,000 10,035 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 2,000 2,007 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 2,000 2,004 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,358 3,375 4.040% due 07/18/2007 (d) 5,000 5,013 Transamerica Finance Corp. 3.406% due 12/14/2001 (d) 4,000 4,005 U.S. Bancorp 4.543% due 02/03/2003 (d) 3,700 3,715 USAA Capital Corp. 7.050% due 11/08/2006 445 486 Verizon Global Funding Corp. 6.750% due 12/01/2005 3,000 3,198 ------------- 245,164 ------------- Industrials 6.9% Air Canada 6.037% due 07/31/2005 (d) 1,455 1,389 AOL Time Warner, Inc. 6.125% due 04/15/2006 3,000 3,100 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 900 903 Coastal Corp. 4.913% due 07/21/2003 (d) 5,000 5,017 Conagra Foods, Inc. 5.500% due 10/15/2002 3,300 3,366 4.220% due 09/10/2003 (d) 11,800 11,822 DaimlerChrysler North America Holding Corp. 6.670% due 02/15/2002 5,900 5,972 6.590% due 06/18/2002 5,000 5,113 3.797% due 08/23/2002 (d) 5,800 5,802 3.270% due 09/16/2002 (d) 7,000 6,959 3.920% due 12/16/2002 (d) 2,100 2,112 1.000% due 08/01/2003 (d) 2,800 2,775 3.880% due 08/16/2004 (d) 2,800 2,746 HCA - The Healthcare Co. 4.610% due 09/19/2002 (d) 10,000 10,013 Kroger Co. 4.310% due 08/16/2012 (d) 5,000 5,006 McDonald's Corp. 6.000% due 06/23/2002 475 486 Racers 3.712% due 03/03/2003 (d) 10,000 10,021 Safeway, Inc. 5.875% due 11/15/2001 1,900 1,906 7.000% due 09/15/2002 9,300 9,541 Staples, Inc. 4.925% due 11/26/2001 (d) 1,400 1,402 Time Warner, Inc. 6.100% due 12/30/2001 3,000 3,016 9.625% due 05/01/2002 3,000 3,100 ------------- 101,567 ------------- Utilities 9.5% Allete 4.610% due 10/20/2003 (d) 8,800 8,817 British Telecom PLC 4.445% due 12/15/2003 (d) 16,000 16,320 Central Power & Light Co. 3.978% due 02/22/2002 (d) 2,000 2,003 CenturyTel, Inc. 7.750% due 10/15/2002 2,000 2,062 Commonwealth Edison Co. 5.527% due 09/30/2003 (d) 2,000 2,001 Deutsche Telekom AG 7.750% due 06/15/2005 8,000 8,551 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 6,500 6,535 Entergy Gulf States, Inc. 4.847% due 09/01/2004 (d) 10,000 10,009 Exelon Corp. 5.625% due 11/01/2001 2,000 2,003
114 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) France Telecom 5.148% due 03/14/2003 (d) $ 1,500 $ 1,517 3.207% due 07/16/2003 (d) 6,600 6,604 Indiana Michigan Power Co. 4.087% due 09/03/2002 (d) 1,000 1,002 Oneok, Inc. 4.358% due 04/24/2002 (d) 5,000 5,007 Pacific Gas & Electric Co. 7.057% due 10/31/2001 (c)(d) 1,900 1,634 Sierra Pacific Resources 5.477% due 04/20/2002 (d) 3,000 2,972 5.427% due 04/20/2003 (d) 5,000 4,846 Sprint Capital Corp. 7.625% due 06/10/2002 8,865 9,133 8.125% due 07/15/2002 1,000 1,032 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 3,090 3,094 6.750% due 04/01/2003 (d) 1,665 1,730 3.750% due 06/15/2003 (d) 15,800 15,810 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 7,500 7,510 4.571% due 07/31/2002 (d) 15,000 15,023 WorldCom, Inc. 5.575% due 11/26/2001 (d) 3,700 3,704 7.375% due 01/15/2003 1,500 1,552 ------------- 140,471 ------------- Total Corporate Bonds & Notes 487,202 (Cost $485,001) ------------- MUNICIPAL BONDS & NOTES 1.2% Connecticut 0.8% Bridgeport Connecticut General Obligation Bonds, Series 2001 4.350% due 07/18/2002 11,000 11,092 ------------- North Carolina 0.4% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 5.263% due 06/01/2009 (d) 6,300 6,253 ------------- Total Municipal Bonds & Notes 17,345 (Cost $17,300) ------------- U.S. GOVERNMENT AGENCIES 0.1% Fannie Mae 5.750% due 04/15/2003 850 887 6.000% due 03/12/2004 520 527 ------------- Total U.S. Government Agencies 1,414 (Cost $1,363) ------------- U.S. TREASURY OBLIGATIONS 8.7% Treasury Inflation Protected Securities (g) 3.375% due 01/15/2007 (b) 112 115 3.625% due 01/15/2008 37,249 38,658 U.S. Treasury Notes 5.750% due 10/31/2002 87,500 89,102 ------------- Total U.S. Treasury Obligations 127,875 (Cost $127,614) ------------- MORTGAGE-BACKED SECURITIES 12.2% Collateralized Mortgage Obligations 7.6% ABN AMRO Mortgage Corp. 6.500% due 04/25/2028 644 646 CDC Depositor Trust I 4.110% due 12/14/2001 (d) 336 337 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 861 875 Countrywide Home Loans 6.900% due 10/02/2001 2,300 2,300 Dime Savings 7.317% due 11/01/2018 (d) 111 108 DLJ Acceptance Trust 8.430% due 10/17/2020 (d) 362 372 DLJ Mortgage Acceptance Corp. 7.813% due 09/01/2021 (d) 18 18 Donaldson, Lufkin & Jenrette, Inc. 4.875% due 05/01/2026 (d) 9 9 Fannie Mae 7.250% due 04/25/2007 26 26 6.000% due 02/25/2008 677 687 5.248% due 07/25/2008 (d) 457 460 6.250% due 06/18/2015 160 160 6.000% due 08/18/2016 14,931 15,121 6.150% due 09/25/2016 910 909 7.000% due 09/18/2017 380 380 3.261% due 10/25/2017 (d) 3,757 3,790 6.350% due 03/25/2019 348 349 6.250% due 05/25/2019 471 479 7.000% due 12/25/2019 4,592 4,606 6.000% due 08/25/2020 890 890 5.000% due 04/25/2021 449 449 6.500% due 09/18/2023 932 943 8.907% due 06/25/2032 6,736 7,285 Freddie Mac 7.000% due 08/15/2006 2,480 2,512 6.750% due 03/15/2007 272 275 6.250% due 07/15/2007 270 273 6.500% due 10/25/2014 3,100 3,127 6.000% due 01/15/2019 462 467 6.000% due 07/15/2019 1,316 1,318 6.350% due 11/15/2019 764 766 5.500% due 02/15/2020 883 892 3.750% due 06/15/2023 (d) 207 207 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 3,111 3,135 Greenwich Capital Acceptance, Inc. 7.709% due 04/25/2022 (d) 36 36 7.122% due 10/25/2022 (d) 6 6 Impac CMB Trust 3.860% due 11/25/2031 (d) 4,700 4,707 Independent National Mortgage Corp. 7.250% due 11/25/2010 2,551 2,585 Mellon Residential Funding Corp. 4.550% due 10/20/2029 (d) 10,000 9,690 Norwest Asset Securities Corp. 6.750% due 09/25/2027 4,392 4,430 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 237 6.800% due 05/25/2024 658 658 Prudential-Bache Trust 6.448% due 09/01/2018 (d) 16 16 Resolution Trust Corp. 6.745% due 05/25/2029 (d) 424 412 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 6,440 6,440 Washington Mutual, Inc. 3.740% due 07/26/2003 (d) 360 360 6.247% due 01/25/2041 (d) 2,431 2,443 Wells Fargo Mortgage-Backed Securities Trust 6.776% due 10/25/2031 (d) 25,000 25,427 ------------- 111,618 ------------- Fannie Mae 0.4% 6.000% due 01/01/2004 140 143 6.375% due 09/25/2031 (d) 2,000 2,034 7.000% due 06/01/2003 1,484 1,528 8.500% due 01/01/2026 1,362 1,456 ------------- 5,161 ------------- Freddie Mac 0.0% 7.500% due 11/01/2001 79 82
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 115 Schedule of Investments (Cont.) Short-Term Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Government National Mortgage Association 4.2% 5.250% due 04/20/2030-05/20/2030 (d)(i) $ 18,297 $ 18,522 6.250% due 03/20/2030 (d) 15,356 15,580 6.375% due 02/20/2024-04/20/2025 (d)(i) 8,103 8,272 7.625% due 11/20/2026 (d) 7,079 7,313 7.750% due 09/20/2023-08/20/2027 (d)(i) 4,469 4,605 8.000% due 10/22/2031 (d) 4,000 4,209 8.500% due 06/20/2027 3,386 3,600 ------------- 62,101 ------------- Stripped Mortgage-Backed Securities 0.0% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 473 33 Fannie Mae (IO) 7.000% due 07/25/2006 541 6 6.500% due 10/25/2023 972 110 Freddie Mac (IO) 6.500% due 11/15/2007 3,200 237 7.000% due 06/15/2019 2,413 77 ------------- 463 ------------- Total Mortgage-Backed Securities 179,425 (Cost $178,294) ------------- ASSET-BACKED SECURITIES 14.6% Advanta Mortgage Loan Trust 6.320% due 05/25/2029 (d) 3,034 3,081 Advanta Revolving Home Equity Loan Trust 3.031% due 01/25/2024 (d) 143 144 AFC Home Equity Loan Trust 3.880% due 06/25/2030 (d) 724 725 American Residential Eagle Trust 3.001% due 07/25/2029 (d) 931 933 Brazos Student Loan Finance Co. 4.659% due 06/01/2023 (d) 20,000 19,961 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,284 1,289 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 3,190 3,194 3.930% due 08/25/2031 (d) 1,962 1,962 Delta Funding Home Equity Loan Trust 3.897% due 09/15/2029 (d) 1,228 1,234 GMAC Mortgage Corp. Loan Trust 3.786% due 06/18/2027 (d) 1,404 1,406 Green Tree Home Improvement Loan Trust 3.657% due 08/15/2029 (d) 1,026 1,025 IMC Home Equity Loan Trust 6.360% due 08/20/2022 14,000 14,263 Metris Master Trust 7.110% due 10/20/2005 2,500 2,548 4.531% due 04/20/2006 (d) 6,000 6,027 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 2,358 2,367 New York City Tax Lien 5.590% due 09/10/2014 4,536 4,658 Novastar Home Equity Loan 3.011% due 01/25/2031 (d) 2,932 2,936 Onyx Acceptance Auto Trust 7.160% due 09/15/2004 32,309 33,537 Premier Auto Trust 6.430% due 03/08/2004 750 778 6.060% due 07/06/2004 15,375 15,577 5.920% due 10/06/2004 10,000 10,014 Residential Asset Securities Corp. 4.035% due 09/25/2031 (d) 9,422 9,425 SallieMae 3.900% due 04/25/2011 (d) 7,300 7,319 Salomon Brothers Mortgage Securities VII 3.011% due 07/25/2029 (d) 1,283 1,286 3.907% due 11/15/2029 (d) 990 994 4.067% due 12/15/2029 (d) 2,000 2,007 4.428% due 12/25/2029 (d) 12,074 12,109 Saxon Asset Securities Trust 7.585% due 12/25/2014 828 831 6.170% due 08/25/2021 3,530 3,611 Structured Product Asset Trust 1.000% due 06/20/2004 (d) 7,200 7,164 The Money Store Home Equity Trust 6.635% due 09/15/2014 938 941 UAF Auto Grantor Trust 6.100% due 06/15/2004 451 456 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 126 127 WFS Financial Owner Trust 5.750% due 08/20/2003 308 312 5.700% due 11/20/2003 12,990 13,254 6.420% due 07/20/2004 260 271 7.750% due 11/20/2004 10,000 10,432 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 17,000 17,075 ------------- Total Asset-Backed Securities 215,273 (Cost $214,251) ------------- SOVEREIGN ISSUES 0.3% Republic of Brazil 5.437% due 04/15/2006 (d) 1,600 1,332 Republic of Croatia 7.000% due 02/27/2002 2,350 2,371 United Mexican States 0.000% due 06/30/2003 3,076 24 ------------- Total Sovereign Issues 3,727 (Cost $3,878) ------------- SHORT-TERM INSTRUMENTS 37.8% Commercial Paper 37.6% Abbey National North America 3.550% due 10/24/2001 11,200 11,175 3.520% due 10/29/2001 8,300 8,277 3.550% due 10/29/2001 19,000 18,948 American Express Credit Corp. 3.450% due 10/01/2001 65,800 65,800 AT&T Corp. 4.525% due 08/06/2002 13,600 13,600 CBA (de) Finance 3.500% due 10/02/2001 66,000 65,994 CDC 3.380% due 10/01/2001 70,000 70,000 Fannie Mae 3.545% due 10/18/2001 2,300 2,296 4.030% due 10/18/2001 6,500 6,488 3.520% due 10/25/2001 19,300 19,255 3.550% due 12/20/2001 1,200 1,193 3.630% due 12/27/2001 3,000 2,981 Federal Home Loan Bank 3.000% due 10/01/2001 8,000 8,000 3.460% due 10/12/2001 5,300 5,294 4.030% due 10/26/2001 15,000 14,958 Freddie Mac 4.090% due 10/11/2001 17,800 17,780 3.570% due 12/28/2001 11,100 11,030 3.560% due 12/28/2001 16,500 16,396 General Electric Capital Corp. 3.420% due 12/26/2001 10,600 10,536 3.520% due 12/26/2001 4,000 3,976 3.670% due 12/26/2001 3,900 3,876 3.530% due 12/27/2001 10,000 9,937 3.650% due 12/27/2001 4,200 4,174 3.600% due 12/28/2001 12,400 12,321 Monsanto Co. 3.520% due 12/03/2001 8,200 8,162 PepsiCo, Inc. 3.410% due 10/01/2001 66,000 66,000 Queensland Treasury Corp. 3.560% due 10/23/2001 10,000 9,978 UBS Finance, Inc. 3.450% due 10/01/2001 56,200 56,200 3.870% due 10/02/2001 1,700 1,700 3.510% due 12/20/2001 6,800 6,761 ------------- 553,086 -------------
116 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 $ 3,080 $ 3,080 (Dated 09/28/2001. Collateralized by Federal Farm ------------- Credit Bank 4.450% due 05/16/2003 valued at $3,143. Repurchase proceeds are $3,081.) U.S. Treasury Bills 0.0% 3.495% due 10/18/2001 (b) 390 389 ------------- Total Short-Term Instruments 556,555 (Cost $556,345) ------------- Total Investments (a) 107.9% $ 1,588,816 (Cost $1,584,046) Other Assets and Liabilities (Net) (7.9%) (115,777) ------------- Net Assets 100.0% $ 1,473,039 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,888 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,118) ------------- Unrealized appreciation-net $ 4,770 -------------
(b) Securities with an aggregate market value of $504 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
# of Unrealized Type Contracts Appreciation - ----------------------------------------------------------------------------------------- United Kingdom 90 Day LIBOR Futures (03/2002) 30 $ 62 United Kingdom 90 Day LIBOR Futures (06/2002) 30 59 United Kingdom 90 Day LIBOR Futures (09/2002) 30 46 United Kingdom 90 Day LIBOR Futures (12/2002) 30 33 ------------- $ 200 -------------
(c) Security is in default. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001:
Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ----------------------------------------------------------------------------------------- Sell BP 619 10/2001 $ 0 --------------
(f) Principal amount denoted in indicated currency: BP - British Pound (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------------------ Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 5,000 $ (531) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 7,900 (368) Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 (2) Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS - Warburg Exp. 01/14/2003 4,000 (1) Receive a fixed rate equal to 1.450% and the Fund will pay to the couterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 1,600 0 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 11,800 (2) Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 13,300 0 -------------- $ (904) --------------
(i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------------------ U.S. Treasury Notes 5.750 10/31/2002 87,500 $ 89,613 $ 87,412 ------------------------- (k) Reverse repurchase agreements were entered into on September 25, 2001 paying interest at 2.440%. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value - ------------------------------------------------------------------------------------------ Government National Mortgage Assn. 6.375% 02/20/2024 $ 7,922 Government National Mortgage Assn. 7.625% 11/20/2026 7,313 Government National Mortgage Assn. 5.250% 05/20/2030 8,943 Government National Mortgage Assn. 5.250% 04/20/2030 9,579 -------------- $ 33,757 --------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 117 Schedule of Investments Money Market Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 15.8% Banking & Finance 13.5% Bank of America Corp. 4.560% due 10/26/2001 (a) $ 1,550 $ 1,550 4.181% due 02/19/2002 (a) 3,000 3,002 Bear Stearns Co., Inc. 6.450% due 08/01/2002 3,500 3,570 Citigroup, Inc. 7.450% due 06/06/2002 (a) 5,000 5,129 General Motors Acceptance Corp. 3.870% due 01/15/2002 (a) 5,000 5,000 Goldman Sachs Group, Inc. 4.520% due 01/28/2002 (a) 2,000 2,001 Lloyds TSB Bank PLC 3.460% due 12/11/2001 1,000 993 Merrill Lynch & Co. 7.360% due 07/24/2002 600 615 Morgan Stanley, Dean Witter, Discover & Co. 3.700% due 08/15/2005 (a) 6,000 6,000 National Rural Utilities Cooperative Finance Corp. 5.100% due 02/05/2002 3,200 3,215 Paine Webber Group, Inc. 4.186% due 05/14/2002 (a) 5,000 5,012 Rabobank Nederland NV 3.240% due 10/01/2001 20,000 20,000 ------------- 56,087 ------------- Industrials 0.2% Wal-Mart Stores, Inc. 6.750% due 05/24/2002 1,000 1,018 ------------- Utilities 2.1% Southwestern Bell Communication Capital Corp. 7.430% due 01/15/2002 5,000 5,052 Virginia Electric & Power Co. 7.375% due 07/01/2002 3,400 3,486 ------------- 8,538 ------------- Total Corporate Bonds & Notes 65,643 (Cost $65,643) ------------- SOVEREIGN ISSUES 0.2% Republic of Ireland 7.875% due 12/01/2001 1,000 1,005 ------------- Total Sovereign Issues 1,005 (Cost $1,005) ------------- SHORT-TERM INSTRUMENTS 82.5% Commercial Paper 82.2% Abbey National North America 3.450% due 10/24/2001 6,300 6,286 Archer Daniels Midland Co. 3.880% due 10/05/2001 2,500 2,499 CBA (de) Finance 3.700% due 10/15/2001 2,600 2,596 Dupont De Nemours & Co. 2.950% due 10/11/2001 20,000 19,984 Fannie Mae 4.000% due 10/25/2001 700 698 3.490% due 12/14/2001 5,100 5,063 3.610% due 12/20/2001 2,800 2,778 Federal Home Loan Bank 3.000% due 10/01/2001 250,000 250,000 4.000% due 10/31/2001 6,000 5,980 7.000% due 03/15/2002 156 157 General Electric Capital Corp. 3.400% due 12/26/2001 3,600 3,571 KFW International Finance, Inc. 3.420% due 12/20/2001 3,900 3,870 3.630% due 12/27/2001 8,500 8,425 Queensland Treasury Corp. 3.560% due 10/23/2001 2,600 2,594 SBC Communications, Inc. 3.530% due 10/18/2001 12,300 12,279 Swedbank, Inc. 2.990% due 10/24/2001 5,400 5,390 3.580% due 12/12/2001 5,500 5,461 UBS Finance, Inc. 3.630% due 12/27/2001 3,400 3,370 USAA Capital Corp. 6.680% due 11/01/2001 1,000 1,002 ------------- 342,003 ------------- Repurchase Agreement 0.3% State Street Bank 2.600% due 10/01/2001 1,119 1,119 (Dated 09/28/2001. Collateralized by Fannie Mae 4.500% due 05/16/2003 valued at $1,143 Repurchase proceeds are $1,119.) ------------- Total Short-Term Instruments 343,122 (Cost $343,122) ------------- Total Investments (a) 98.5% $ 409,770 (Cost $409,770) Other Assets and Liabilities (Net) 1.5% 6,054 ------------- Net Assets 100.0% $ 415,824 ------------- (a) Variable rate security. The rate listed is as of September 30, 2001.
118 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Long-Term U.S. Government Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 7.4% Banking & Finance 5.0% Associates Corp. of North America 5.800% due 04/20/2004 $ 2,500 $ 2,609 Bank One Corp. 3.750% due 05/07/2002 (d) 2,400 2,401 Bankunited FSB 5.400% due 02/02/2004 2,000 2,067 Countrywide Home Loans 6.850% due 06/15/2004 1,500 1,603 Ford Motor Credit Co. 4.260% due 06/02/2003 (d) 1,900 1,880 Goldman Sachs Group, Inc. 4.310% due 01/14/2002 (d) 3,000 3,006 Morgan Stanley, Dean Witter & Co. 3.960% due 04/22/2004 (d) 2,500 2,509 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 5,000 5,003 Postal Square LP 6.500% due 06/15/2022 1,863 2,055 Washington Mutual Capital I 4.380% due 05/14/2004 (d) 5,000 5,010 ------------- 28,143 ------------- Industrials 1.9% DaimlerChrysler North America Holding Corp. 7.750% due 05/27/2003 5,000 5,260 4.441% due 08/16/2004 (d) 3,000 2,942 Ford Motor Co. 7.450% due 07/16/2031 2,800 2,644 ------------- 10,846 ------------- Utilities 0.5% Scana Corp. 4.420% due 07/15/2002 (d) 2,000 2,002 WorldCom, Inc. 4.305% due 11/26/2001 (d) 700 701 ------------- 2,703 ------------- Total Corporate Bonds & Notes 41,692 (Cost $41,020) ------------- MUNICIPAL BONDS & NOTES 0.8% California 0.8% Kern County California Pension Obligation Revenue Bonds, (MBIA Insured), Series 1995 7.260% due 08/15/2014 3,900 4,350 ------------- Total Municipal Bonds & Notes 4,350 (Cost $4,068) ------------- U.S. GOVERNMENT AGENCIES 22.6% Fannie Mae 6.850% due 11/06/2003 4,000 4,017 5.375% due 03/08/2004 20,000 20,254 6.130% due 06/03/2004 300 306 6.470% due 04/15/2009 1,000 1,017 7.250% due 01/15/2010 3,800 4,359 7.125% due 01/15/2030 580 658 Federal Farm Credit Bank 5.750% due 01/18/2011 9,300 9,646 6.000% due 03/07/2011 20,000 21,107 Federal Home Loan Bank 6.750% due 02/01/2002 8,100 8,212 5.950% due 12/10/2008 250 252 6.410% due 09/30/2013 500 504 6.650% due 10/21/2013 300 301 Resolution Funding Strip 0.000% due 10/15/2020 124,900 39,773 0.000% due 01/15/2030 5,000 987 Tennessee Valley Authority 7.140% due 05/23/2012 4,000 4,455 7.125% due 05/01/2030 10,000 11,167 ------------- Total U.S. Government Agencies 127,015 (Cost $123,535) ------------- U.S. TREASURY OBLIGATIONS 18.5% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) 7,315 7,443 3.625% due 01/15/2008 16,481 17,104 3.625% due 04/15/2028 3,292 3,382 3.875% due 04/15/2029 2,159 2,319 U.S. Treasury Bonds 14.000% due 11/15/2011 (g) 10,000 14,580 6.250% due 08/15/2023 (g) 41,950 46,034 6.000% due 02/15/2026 (g) 7,700 8,217 U.S. Treasury Strips 0.000% due 11/15/2016 11,800 5,070 ------------- Total U.S. Treasury Obligations 104,149 (Cost $101,090) ------------- MORTGAGE-BACKED SECURITIES 43.0% Collateralized Mortgage Obligations 23.5% Bank of America Mortgage Securities, Inc. 7.250% due 02/25/2031 2,086 2,163 Bear Stearns Mortgage Securities, Inc. 7.100% due 06/25/2024 385 380 6.887% due 06/25/2030 (d) 673 668 California Federal Bank 6.672% due 08/25/2030 (d) 446 458 Chase Mortgage Finance Corp. 8.256% due 04/25/2025 (d) 255 260 Countrywide Funding Corp. 6.500% due 01/25/2009 349 355 7.000% due 05/25/2024 8,000 8,026 Discover Card Master Trust I 6.792% due 04/16/2010 351 363 Fannie Mae 6.250% due 12/25/2013 84 86 3.261% due 10/25/2017 (d) 2,459 2,480 7.000% due 02/25/2020 895 905 6.950% due 07/25/2020 1,028 1,061 8.000% due 03/25/2022 2 2 7.000% due 04/25/2022 942 1,020 7.000% due 06/25/2022 454 474 7.800% due 10/25/2022 330 351 7.000% due 10/25/2022 1,757 1,829 7.000% due 05/25/2023 72 73 6.900% due 05/25/2023 704 716 7.000% due 05/25/2023 1,433 1,507 7.000% due 06/25/2023 605 632 7.000% due 07/25/2023 60 62 6.500% due 08/25/2023 866 883 6.000% due 08/25/2023 150 130 4.500% due 10/25/2023 291 193 6.500% due 11/25/2023 2,000 2,014 6.500% due 12/25/2023 4,108 3,844 7.000% due 12/25/2023 1,718 1,829 6.500% due 01/25/2024 1,583 1,599 6.500% due 02/25/2024 325 321 6.000% due 05/17/2027 2,500 2,439 7.000% due 05/18/2027 1,716 1,733 First Boston Mortgage Securities Corp. 7.300% due 07/25/2023 1,607 1,658 Freddie Mac 9.500% due 01/15/2005 14 14 8.000% due 02/15/2015 461 498 6.000% due 01/15/2019 4,600 4,631 4.250% due 12/15/2021 317 318 7.000% due 07/15/2022 1,189 1,237 7.000% due 05/15/2023 290 301 7.000% due 08/15/2023 360 375 7.000% due 09/15/2023 874 907 6.250% due 09/15/2023 5,000 5,159 7.410% due 10/25/2023 999 1,022 6.500% due 11/15/2023 5,700 5,373 6.000% due 11/15/2023 1,039 1,011 6.500% due 11/25/2023 645 637 6.250% due 12/15/2023 545 531 6.500% due 12/15/2023 1,121 1,120 7.000% due 01/15/2024 108 111
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 119 Schedule of Investments (Cont.) Long-Term U.S. Government Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) 7.500% due 01/20/2024 $ 131 $ 131 6.500% due 02/15/2024 209 210 6.500% due 03/15/2024 1,242 1,256 6.500% due 12/15/2024 695 697 7.500% due 02/15/2025 853 860 6.500% due 11/15/2027 1,265 1,154 6.500% due 01/15/2028 5,073 5,070 6.500% due 03/15/2029 281 292 6.000% due 05/15/2029 115 101 7.000% due 10/15/2030 9,000 9,470 General Electric Capital Mortgage Services, Inc. 9.000% due 10/25/2023 100 104 6.500% due 11/25/2023 3,000 2,991 6.500% due 01/25/2024 4,921 4,765 6.500% due 03/25/2024 965 978 7.000% due 10/25/2027 162 162 6.650% due 05/25/2028 3,818 3,868 German American Capital Corp. 7.000% due 08/12/2010 (d) 3,000 3,277 Government National Mortgage Association 7.000% due 03/16/2029 298 280 Independent National Mortgage Corp. 9.329% due 01/25/2025 (d) 15 15 6.930% due 05/25/2026 12 12 Mellon Residential Funding Corp. 6.459% due 07/25/2029 (d) 35 35 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 2,004 2,038 Norwest Asset Securities Corp. 6.750% due 07/25/2028 3,000 2,951 6.750% due 10/25/2028 967 1,000 PNC Mortgage Securities Corp. 7.500% due 01/25/2015 1,662 1,747 7.500% due 02/25/2027 1,754 1,825 6.750% due 04/25/2028 3,000 3,077 4.075% due 12/25/2030 (d) 4,172 4,178 Prudential Home Mortgage Securities 6.950% due 09/25/2023 75 72 6.500% due 11/25/2023 102 96 6.500% due 01/25/2024 1,480 1,473 8.000% due 06/25/2024 468 489 Residential Accredit Loans, Inc. 7.000% due 02/25/2028 2,000 2,082 Residential Funding Mortgage Securities I 8.204% due 03/25/2025 (d) 29 29 7.750% due 09/25/2026 1,100 1,113 7.500% due 04/25/2027 2,395 2,447 7.500% due 11/25/2030 4,253 4,351 Resolution Trust Corp. 6.745% due 05/25/2029 (d) 565 549 4.625% due 09/25/2029 (d) 602 603 Vendee Mortgage Trust 6.500% due 06/15/2024 2,400 2,392 ----------- 131,999 ----------- Fannie Mae 5.4% 6.470% due 08/01/2026 (d) 153 154 6.500% due 05/01/2003-07/01/2005 (e) 4,572 4,688 6.590% due 08/01/2026 (d) 79 79 6.626% due 12/01/2027 (d) 1,573 1,632 6.969% due 11/01/2023 (d) 1,956 2,010 7.000% due 03/01/2004-03/01/2009 (e) 11,453 11,889 7.249% due 10/01/2024 (d) 1,270 1,303 7.326% due 02/01/2028 (d) 235 242 7.383% due 01/01/2026 (d) 611 641 7.477% due 05/01/2025 (d) 1,053 1,105 7.500% due 02/01/2004-10/01/2004 (e) 2,083 2,152 7.600% due 10/01/2024 (d) 45 45 8.057% due 04/01/2028 (d) 1,816 1,872 8.500% due 04/01/2028 1,328 1,423 9.000% due 08/01/2021-06/01/2027 (e) 1,240 1,354 ----------- 30,589 ----------- Federal Housing Administration 4.8% 6.896% due 07/01/2020 3,354 3,348 7.000% due 11/25/2019 3,811 3,739 7.400% due 12/18/2018 1,518 1,563 7.421% due 11/01/2019 91 92 7.430% due 08/01/2019-06/01/2024 (e) 18,260 18,520 ----------- 27,262 ----------- Freddie Mac 2.6% 6.368% due 01/01/2028 (d) 1,952 2,007 6.733% due 09/01/2027 (d) 2,770 2,868 6.941% due 01/01/2028 (d) 1,277 1,325 7.000% due 07/01/2002 478 488 7.444% due 10/01/2026 (d) 350 355 7.450% due 03/25/2022 1,429 1,452 7.453% due 02/01/2028 (d) 1,317 1,381 7.468% due 12/01/2024 (d) 895 929 7.500% due 06/01/2004-10/01/2004 (e) 1,736 1,768 8.000% due 05/01/2004 1,749 1,790 8.156% due 05/01/2022 (d) 80 82 8.279% due 06/01/2022 (d) 44 45 ----------- 14,490 ----------- Government National Mortgage Association 5.9% 6.375% due 02/20/2017-01/20/2028 (d)(e) 6,396 6,525 6.500% due 05/20/2030 (d) 11,203 11,363 6.800% due 10/15/2030 1,987 2,100 7.125% due 10/20/2026 (d) 38 39 7.375% due 04/20/2017-04/20/2027 (d)(e) 3,352 3,431 7.625% due 12/20/2017-11/20/2027 (d)(e) 4,649 4,804 7.750% due 09/20/2017-09/20/2026 (d)(e) 4,745 4,891 ----------- 33,153 ----------- Stripped Mortgage-Backed Securities 0.8% Fannie Mae (IO) 6.500% due 02/25/2007 27 1 6.500% due 07/25/2007 166 3 1197.96% due 08/25/2007 4 92 1014.600% due 09/25/2007 3 49 6.500% due 08/25/2020 88 4 6.750% due 06/25/2021 1,247 30 6.500% due 09/25/2021 277 24 7.000% due 12/25/2021 110 10 Fannie Mae (PO) 0.000% due 03/25/2009 2,944 2,560 0.000% due 09/25/2023 1,438 1,318 Freddie Mac (IO) 7.000% due 03/15/2003 572 25 6.500% due 11/15/2003 1,124 72 6.500% due 10/15/2006 52 1 819.100% due 02/15/2007 3 36 7.500% due 06/15/2007 177 9 6.500% due 10/15/2007 412 27 6.000% due 10/15/2007 45 2 6.500% due 11/15/2008 564 76 7.000% due 12/15/2023 1,094 129 Norwest Asset Securities Corp. (IO) 7.250% due 02/25/2012 417 30 ----------- 4,498 ----------- Total Mortgage-Backed Securities 241,991 (Cost $232,660) -----------
120 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) ASSET-BACKED SECURITIES 3.9% Chase Mortgage Finance Corp. 6.750% due 08/25/2028 $ 1,850 $ 1,832 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 3,190 3,194 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 3,000 3,004 HPSC Equipment Receivables LLC 4.128% due 11/22/2007 (d) 7,956 7,956 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 3,315 3,300 SallieMae 4.143% due 07/25/2004 (d) 490 489 4.373% due 01/25/2007 (d) 416 417 5.224% due 10/27/2025 (d) 1,885 1,864 ----------- Total Asset-Backed Securities 22,056 (Cost $22,023) ----------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 2,000,000 50 Strike @ 92.500 Exp. 12/14/2001 390,000 5 ----------- Total Purchased Put Options 55 (Cost $38) ----------- SHORT-TERM INSTRUMENTS 14.5% Commercial Paper 11.6% Fannie Mae 3.150% due 10/01/2001 65,000 65,000 ----------- Repurchase Agreement 1.6% State Street Bank 2.600% due 10/01/2001 9,031 9,031 (Dated 09/28/2001. Collateralized by Federal Home ----------- Loan Bank 5.000% due 02/14/2003 valued at $9,214 Repurchase proceeds are $9,033.) U.S. Treasury Bills 1.3% 3.204% due 10/18/2001 (b)(e) 7,160 7,149 ----------- Total Short-Term Instruments 81,180 (Cost $81,180) ----------- Total Investments (a) 110.7% $ 622,488 (Cost $605,614) Written Options (c) (0.0%) (172) (Premiums $513) Other Assets and Liabilities (Net) (10.7%) (60,066) ----------- Net Assets 100.0% $ 562,250 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 17,499 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (625) ----------- Unrealized appreciation-net $ 16,874 ----------- (b) Securities with an aggregate market value of $14,342 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - ----------------------------------------------------------------------------------------- Municipal Bond (12/2001) 7 $ 10 U.S. Treasury 10 Year Note (12/2001) 270 244 U.S. Treasury 30 Year Bond (12/2001) 2,381 2,430 ----------- $ 2,684 ----------- (c) Premiums received on written options: # of Type Contracts Premium Value - ----------------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 500 $ 279 $ 47 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.140 Exp. 05/23/2002 4,000,000 70 10 Call - CME Eurodollar June Futures Strike @ 97.500 Exp. 06/17/2002 260 64 113 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 290 100 2 --------------------------- $ 513 $ 172 --------------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Subject to financing transaction. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ----------------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.826%. Broker: Morgan Stanley Dean Witter Exp. 10/26/2030 $ 4,110 $ (541) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.778%. Broker: Goldman Sachs Exp. 02/15/2021 3,900 (461) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 06/15/2011 4,300 (359) Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 17,500 1,096 Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS-Warburg Exp. 01/14/2003 3,000 (1) ------------- $ (266) -------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 121 Schedule of Investments (Cont.) Long-Term U.S. Government Fund September 30, 2001 (Unaudited)
Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.310 $ 53,750 $ (2,276) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 06/29/2015 1.337 30,000 (1,099) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Goldman Sachs Exp. 11/15/2001 1.102 10,000 144 ------------- $ (3,231) -------------
122 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Investment Grade Corporate Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 86.1% Banking & Finance 13.3% Bank of America Corp. 7.400% due 01/15/2011 $ 100 $ 109 Barclays Bank PLC 8.550% due 09/29/2049 100 114 Dime Bancorp, Inc. 9.000% due 12/19/2002 50 53 Ford Motor Credit Co. 7.375% due 02/01/2011 200 205 General Motors Acceptance Corp. 7.250% due 03/02/2011 100 101 Morgan Stanley Group, Inc. 6.750% due 04/15/2011 100 103 PP&L Capital Funding, Inc. 7.750% due 04/15/2005 100 108 ------------- 793 ------------- Industrials 48.6% Allied Waste North America, Inc. 7.375% due 01/01/2004 100 99 American Airlines, Inc. 7.858% due 10/01/2011 100 100 10.180% due 01/02/2013 150 164 AOL Time Warner, Inc. 6.750% due 04/15/2011 100 102 Canadian National Railway Co. 6.375% due 10/15/2011 100 101 Cox Communications, Inc. 6.150% due 08/01/2003 100 103 DaimlerChrysler North America Holding Corp. 8.500% due 01/18/2031 100 106 Delta Air Lines, Inc. 6.299% due 09/18/2006 100 96 10.500% due 04/30/2016 200 204 Deutsche Telekom AG 8.000% due 06/15/2010 100 108 Harrahs Operating Co., Inc. 7.500% due 01/15/2009 100 96 HCA - The Healthcare Co. 5.351% due 09/19/2002 (d) 100 100 Jupiters Ltd. 8.500% due 03/01/2006 100 98 Koninklijke KPN NV 8.000% due 10/01/2010 100 77 MGM Grand, Inc. 6.950% due 02/01/2005 240 242 Mirage Resorts, Inc. 6.625% due 02/01/2005 100 100 Northwest Airlines, Inc. 8.520% due 04/07/2004 200 146 Park Place Entertainment Corp. 7.950% due 08/01/2003 215 218 RJ Reynolds Tobacco Holdings, Inc. 7.625% due 09/15/2003 100 105 Starwood Hotels & Resorts 6.750% due 11/15/2005 100 91 United Air Lines, Inc. 10.125% due 03/22/2015 100 103 Waste Management, Inc. 6.625% due 07/15/2002 100 101 7.700% due 10/01/2002 100 103 7.100% due 08/01/2026 40 42 WCG Corp. 8.250% due 03/15/2004 100 102 ------------- 2,907 ------------- Utilities 24.2% British Telecom PLC 8.125% due 12/15/2010 100 111 8.875% due 12/15/2030 100 113 CenturyTel, Inc. 7.750% due 10/15/2002 100 103 CMS Panhandle Holding Co. 6.125% due 03/15/2004 100 102 Deutsche Telekom 8.000% due 06/15/2010 100 112 El Paso Energy Corp. 7.800% due 08/01/2031 200 198 France Telecom 7.750% due 03/01/2011 100 106 8.500% due 03/01/2031 100 107 Mirant Americas Generation, Inc. 8.300% due 05/01/2011 100 106 Niagara Mohawk Power Co. 7.750% due 05/15/2006 100 109 Texas Utilities Corp. 5.940% due 10/15/2001 125 125 WorldCom, Inc. 7.375% due 01/15/2003 50 52 7.550% due 04/01/2004 100 106 ------------- 1,450 ------------- Total Corporate Bonds & Notes 5,150 (Cost $5,087) ------------- U.S. TREASURY OBLIGATIONS 3.8% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 222 226 ------------- Total U.S. Treasury Obligations 226 (Cost $223) ------------- SOVEREIGN ISSUES 3.4% Republic of Egypt 7.625% due 07/11/2006 100 96 United Mexican States 9.750% due 04/06/2005 100 110 ------------- Total Sovereign Issues 206 (Cost $203) ------------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 4,000 0 Strike @ 95.500 Exp. 12/17/2001 4,000 0 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 6,000 0 ------------- Total Purchased Put Options 0 (Cost $0) ------------- PURCHASED CALL OPTIONS 0.2% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2002 2,000 2 Interest Rate Swap 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 400 7 ------------- Total Purchased Call Options 9 (Cost $5) ------------- SHORT-TERM INSTRUMENTS 2.6% Repurchase Agreement 2.1% State Street Bank 2.600% due 10/01/2001 128 128 (Dated 09/28/2001. Collateralized by Fannie Mae ------------- 4.100% due 09/12/2003 valued at $131. Repurchase proceeds are $128.) U.S. Treasury Bills 0.5% 3.342% due 10/18/2001 (f) 30 30 ------------- Total Short-Term Instruments 158 (Cost $158) -------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 123 Schedule of Investments (Cont.) Investment Grade Corporate Bond Fund September 30, 2001 (Unaudited)
Value (000s) Total Investments (a) 96.1% $ 5,749 (Cost $5,675) ------------- Written Options(C)0.2% (9) (Premiums $18) Other Assets and Liabilities (Net) 4.0% 242 ------------- Net Assets 100.0% $ 5,982 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 161 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (87) ------------- Unrealized appreciation-net $ 74 ------------- (b) Securities with an aggregate market value of $256 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - ----------------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2001) 5 $ (16) ------------- (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------------------ Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 1 $ 0 $ 0 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 22 13 3 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 100,000 3 5 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 2 2 1 ------------------------- $ 18 $ 9 ------------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. (g) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ----------------------------------------------------------------------------------------- Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.200%. Broker: Goldman Sachs Exp. 06/16/2002 BP 200 $ (1) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 100 2 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.000%. Broker: Morgan Stanley Dean Witter Exp. 12/15/2002 800 (4) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/15/2004 800 9 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2011 $ 800 43 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 BP 100 (1) ------------- $ 48 ------------- (h) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ----------------------------------------------------------------------------------------- Buy EC 240 10/2001 $ (1) Sell 240 10/2001 3 ------------- $ 2 ------------- (i) Principal amount denoted in indicated currency: BP - British Pound EC - Euro
124 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments High Yield Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 74.5% Banking & Finance 3.8% Americo Life, Inc. 9.250% due 06/01/2005 $ 198 $ 195 Arvin Capital 9.500% due 02/01/2027 17,500 12,662 Beaver Valley Funding Corp. 8.625% due 06/01/2007 14,197 15,290 9.000% due 06/01/2017 9,432 10,480 Caithness Coso Funding Corp. 6.800% due 12/15/2001 72 72 Choctaw Resort Development Enterprise 9.250% due 04/01/2009 6,675 6,642 Finova Group, Inc. 7.500% due 11/15/2009 37,175 14,587 Forest City Enterprises, Inc. 8.500% due 03/15/2008 12,869 11,646 General Motors Acceptance Corp. 4.530% due 05/16/2003 (d) 631 626 Golden State Holdings 7.000% due 08/01/2003 4,573 4,688 7.125% due 08/01/2005 5,137 5,234 Hollinger Participation Trust 12.125% due 11/15/2010 10,850 8,843 Presidential Life Insurance Corp. 7.875% due 02/15/2009 7,451 7,406 Reliance Group Holdings, Inc. 0.000% due 11/15/2049 (e) 3,769 151 Trizec Finance Ltd. 10.875% due 10/15/2005 13,772 14,202 ------------- 112,724 ------------- Industrials 58.6% 360 Networks, Inc. 0.000% due 05/01/2008 (e) 5,740 43 0.000% due 08/01/2009 (e) 5,969 45 Adelphia Business Solutions, Inc. 12.250% due 09/01/2004 6,379 3,604 Adelphia Communications Corp. 7.875% due 05/01/2009 50 41 9.375% due 11/15/2009 300 258 10.875% due 10/01/2010 15 13 10.250% due 06/15/2011 5,000 4,375 Airgas, Inc. 9.125% due 10/01/2011 9,650 9,795 Alliant Techsystems Inc. 8.500% due 05/15/2011 10,400 10,712 Allied Waste Industries, Inc. 6.100% due 01/15/2003 3,234 3,236 7.375% due 01/01/2004 13,910 13,771 7.875% due 03/15/2005 1,578 1,628 7.625% due 01/01/2006 8,204 8,040 6.375% due 01/15/2008 1,100 1,032 8.875% due 04/01/2008 8,000 8,200 7.875% due 01/01/2009 19,910 19,412 American Airlines, Inc. 10.610% due 03/04/2010 650 691 6.978% due 04/01/2011 2,000 2,016 7.858% due 10/01/2011 3,100 3,128 American Cellular Corp. 9.500% due 10/15/2009 8,000 7,480 American Media Operation, Inc. 10.250% due 05/01/2009 2,489 2,452 American Standard Cos., Inc. 7.375% due 04/15/2005 2,735 2,749 7.375% due 02/01/2008 2,150 2,139 9.250% due 12/01/2016 1,177 1,160 AmeriGas Partners LP 10.000% due 04/15/2006 9,000 9,803 10.125% due 04/15/2007 5,167 5,341 8.875% due 05/20/2011 1,400 1,414 AmerisourceBergen Corp. 8.125% due 09/01/2008 14,200 14,733 AM-FM, Inc. 8.750% due 06/15/2007 4,457 4,658 8.125% due 12/15/2007 1,500 1,556 8.000% due 11/01/2008 5,244 5,467 Amphenol Corp. 9.875% due 05/15/2007 7,276 7,676 Archibald Candy Corp. 10.250% due 07/01/2004 3,250 1,966 Arco Chemical Co. 9.375% due 12/15/2005 7,375 7,619 10.250% due 11/01/2010 5,400 5,716 Argosy Gaming Co. 9.000% due 09/01/2011 4,800 4,800 Armkel LLC 9.500% due 08/15/2009 4,300 4,375 Ball Corp. 7.750% due 08/01/2006 7,854 7,893 8.250% due 08/01/2008 5,500 5,528 Beckman Coulter, Inc. 7.100% due 03/04/2003 9,923 10,150 7.450% due 03/04/2008 12,717 13,133 7.050% due 06/01/2026 275 293 Bergen Brunswig Corp. 7.375% due 01/15/2003 11,125 11,327 7.250% due 06/01/2005 500 510 Beverly Enterprises, Inc. 9.000% due 02/15/2006 15,320 15,588 9.625% due 04/15/2009 4,900 5,096 Briggs & Stratton Corp. 8.875% due 03/15/2011 4,100 3,998 British Sky Broadcasting Group PLC 7.300% due 10/15/2006 6,733 6,774 8.200% due 07/15/2009 21,949 22,136 British Sky Broadcasting PLC 6.875% due 02/23/2009 10,000 9,382 Building Materials Corp. 7.750% due 07/15/2005 971 675 8.000% due 10/15/2007 1,007 650 8.000% due 12/01/2008 9,851 6,255 Cadmus Communications Corp. 9.750% due 06/01/2009 2,250 2,194 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 6,172 6,018 Canwest Media, Inc. 10.625% due 05/15/2011 4,000 3,960 Century Aluminum Co. 11.750% due 04/15/2008 5,350 5,270 Century Communications Corp. 9.750% due 02/15/2002 513 501 0.000% due 03/15/2003 14,993 12,144 9.500% due 03/01/2005 10,500 9,818 8.750% due 10/01/2007 5,800 5,104 CF Cable TV, Inc. 9.125% due 07/15/2007 9,149 9,484 Charter Communications Holdings LLC 8.250% due 04/01/2007 11,995 10,796 10.000% due 04/01/2009 5,347 5,173 8.625% due 04/01/2009 4,594 4,123 9.625% due 11/15/2009 6,900 6,590 0.000% due 04/01/2011 (c) 8,000 5,180 10.000% due 05/15/2011 2,000 1,920 Columbus McKinnon 8.500% due 04/01/2008 5,256 4,809 Consolidated Container 10.125% due 07/15/2009 6,778 6,270 Constellation Brands, Inc. 8.000% due 02/15/2008 6,000 6,000 8.500% due 03/01/2009 10,500 10,658 Container Corp. of America 9.750% due 04/01/2003 789 805 Continental Airlines, Inc. 7.033% due 06/15/2011 7,900 7,148 Continental Cablevision 9.500% due 08/01/2013 7,900 8,936
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 125 Schedule of Investments (Cont.) High Yield Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Crown Castle International Corp. 0.000% due 11/15/2007 (c) $ 1,775 $ 1,385 10.750% due 08/01/2011 12,755 11,766 CSC Holdings, Inc. 9.250% due 11/01/2005 789 809 9.875% due 05/15/2006 1,021 1,058 7.875% due 12/15/2007 79 81 7.250% due 07/15/2008 100 98 8.125% due 07/15/2009 300 308 7.625% due 04/01/2011 34,900 34,585 9.875% due 02/15/2013 2,595 2,803 9.875% due 04/01/2023 3,155 3,407 DaVita, Inc. 9.250% due 04/15/2011 850 880 Delta Air Lines, Inc. 9.300% due 01/02/2010 1,800 1,500 10.790% due 03/26/2014 2,264 2,071 Diamond Cable Communication Co. 13.250% due 09/30/2004 1,184 539 11.750% due 12/15/2005 6,887 2,858 Dresser, Inc. 9.375% due 04/15/2011 10,000 10,000 Echostar Broadband Corp. 10.375% due 10/01/2007 500 508 Echostar Communications Corp. 9.250% due 02/01/2006 19,727 19,480 9.375% due 02/01/2009 7,454 7,324 Electric Lightwave, Inc. 6.050% due 05/15/2004 1,450 1,410 Equistar Chemicals LP 10.125% due 09/01/2008 9,845 9,131 8.750% due 02/15/2009 5,800 5,128 Extended Stay America, Inc. 9.875% due 06/15/2011 5,700 5,073 Extendicare Health Services 9.350% due 12/15/2007 1,150 1,024 Fairpoint Communications, Inc. 9.500% due 05/01/2008 4,912 3,266 10.908% due 05/01/2008 (d) 3,550 2,250 Ferrellgas Partners LP 9.375% due 06/15/2006 14,331 14,403 Fisher Scientific International 7.125% due 12/15/2005 10,845 10,720 9.000% due 02/01/2008 12,949 12,917 Flag Ltd. 8.250% due 01/30/2008 16,991 10,449 Forest Oil Corp. 10.500% due 01/15/2006 2,828 2,976 8.000% due 06/15/2008 3,850 3,792 Fox/Liberty Networks LLC 0.000% due 08/15/2007 (c) 7,690 7,382 8.875% due 08/15/2007 9,075 9,438 Garden State Newspapers 8.750% due 10/01/2009 9,560 8,222 8.625% due 07/01/2011 4,626 3,886 Golden Northwest Aluminum 12.000% due 12/15/2006 2,450 1,103 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 25,606 25,542 7.125% due 06/01/2007 500 484 7.500% due 01/15/2009 20,207 19,401 HCA - The Healthcare Co. 6.870% due 09/15/2003 1,026 1,055 6.910% due 06/15/2005 2,986 3,010 7.125% due 06/01/2006 12,525 12,854 8.850% due 01/01/2007 16,485 18,223 7.000% due 07/01/2007 18,893 18,974 8.700% due 02/10/2010 13,980 15,182 8.750% due 09/01/2010 3,950 4,271 7.875% due 02/01/2011 1,500 1,545 8.360% due 04/15/2024 4,733 4,652 6.730% due 07/15/2045 3,944 4,052 HEALTHSOUTH Corp. 8.500% due 02/01/2008 2,630 2,729 7.000% due 06/15/2008 1,000 955 10.750% due 10/01/2008 900 981 8.375% due 10/01/2011 12,500 12,703 Hercules, Inc. 11.125% due 11/15/2007 7,454 7,193 HMH Properties, Inc. 7.875% due 08/01/2005 26,184 23,173 8.450% due 12/01/2008 250 215 Hollinger International Publishing 8.625% due 03/15/2005 1,948 1,824 9.250% due 02/01/2006 7,879 7,377 9.250% due 03/15/2007 1,737 1,626 Horseshoe Gaming Holding 8.625% due 05/15/2009 15,775 15,538 Host Marriott LP 8.375% due 02/15/2006 10,697 9,574 9.250% due 10/01/2007 5,100 4,565 HS Resources, Inc. 9.250% due 11/15/2006 16,465 17,247 Huntsman Corp. 6.562% due 06/30/2007 538 423 9.500% due 07/01/2007 10,218 2,504 Huntsman ICI Chemicals LLC 7.437% due 06/30/2007 1,252 1,206 10.125% due 07/01/2009 2,196 1,900 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 1,173 International Game Technology 7.875% due 05/15/2004 12,394 12,456 8.375% due 05/15/2009 18,876 19,111 ISP Holdings, Inc. 9.750% due 02/15/2002 5,100 5,126 9.000% due 10/15/2003 18,374 17,823 10.250% due 07/01/2011 9,550 9,216 John Q. Hammons Hotels 8.875% due 02/15/2004 2,784 2,464 9.750% due 10/01/2005 1,633 1,462 Jones Intercable, Inc. 8.875% due 04/01/2007 3,991 4,360 Jupiters Ltd. 8.500% due 03/01/2006 12,400 12,090 Kmart Corp. 12.350% due 01/01/2008 (b) 3,680 4,215 8.800% due 07/01/2010 811 798 9.350% due 01/02/2020 10,203 8,672 9.780% due 01/05/2020 7,552 6,325 Koninklijke KPN NV 8.000% due 10/01/2010 14,200 10,966 KPNQWest BV 8.125% due 06/01/2009 19,560 8,313 L-3 Communications Corp. 10.375% due 05/01/2007 5,938 6,265 8.500% due 05/15/2008 466 480 Lamar Media Corp. 9.625% due 12/01/2006 100 101 Lear Corp. 7.960% due 05/15/2005 13,015 12,848 Lenfest Communications 8.375% due 11/01/2005 8,400 9,238 10.500% due 06/15/2006 415 490 Level 3 Communications, Inc. 11.000% due 03/15/2008 6,438 2,897 9.125% due 05/01/2008 18,405 7,776 0.000% due 12/01/2008 (c) 5,375 1,424 0.000% due 03/15/2010 (c) 18,000 3,690 11.250% due 03/15/2010 789 343 Leviathan Gas Corp. 10.375% due 06/01/2009 4,373 4,657 Lin Television Corp. 8.375% due 03/01/2008 100 90
126 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Lyondell Chemical Co. 9.625% due 05/01/2007 $ 5,674 $ 5,234 9.875% due 05/01/2007 900 830 Macdermid, Inc. 9.125% due 07/15/2011 9,470 8,712 Mail-Well Corp. 8.750% due 12/15/2008 1,000 735 Mandalay Resort Group 6.750% due 07/15/2003 18,177 16,541 9.250% due 12/01/2005 4,812 4,403 6.450% due 02/01/2006 79 76 10.250% due 08/01/2007 198 183 6.700% due 11/15/2096 1,500 1,497 Manor Care, Inc. 8.000% due 03/01/2008 7,655 7,913 Marsh Supermarkets, Inc. 8.875% due 08/01/2007 5,916 5,709 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 17,064 5,290 8.375% due 03/15/2008 4,023 1,026 9.500% due 11/01/2008 14,997 3,974 11.375% due 01/01/2009 250 74 8.125% due 02/15/2009 2,715 686 11.500% due 05/01/2009 789 225 Mediacom LLC 9.500% due 01/15/2013 575 574 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 18,051 2,256 10.000% due 12/15/2009 6,910 864 MGM Mirage, Inc. 6.950% due 02/01/2005 27,393 27,656 8.500% due 09/15/2010 15,500 14,975 8.375% due 02/01/2011 1,500 1,358 Midwest Generation LLC 8.300% due 07/02/2009 1,750 1,705 Millenium America, Inc. 9.250% due 06/15/2008 875 827 Mirage Resorts, Inc. 6.625% due 02/01/2005 2,761 2,758 7.250% due 10/15/2006 3,556 3,246 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 2,650 2,677 Netia Holdings SA SP - ADR 10.250% due 11/01/2007 3,400 289 Newpark Resources, Inc. 8.625% due 12/15/2007 8,870 8,183 Nextel Communications, Inc. 0.000% due 09/15/2007 (c) 6,950 4,187 9.375% due 11/15/2009 4,083 2,542 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,013 5,424 11.000% due 03/15/2010 2,958 1,960 Nextlink Communications, Inc. 9.625% due 10/01/2007 7,099 1,313 10.500% due 12/01/2009 6,837 1,265 NL Industries, Inc. 11.750% due 10/15/2003 1,135 1,146 NTL, Inc. 12.750% due 04/15/2005 553 307 Octel Developments PLC 10.000% due 05/01/2006 1,499 1,536 Omnicare, Inc. 8.125% due 03/15/2011 16,840 17,472 Orion Network Systems, Inc. 11.250% due 01/15/2007 10,335 3,824 Owens & Minor, Inc. 8.500% due 07/15/2011 3,700 3,839 P&L Coal Holdings 8.875% due 05/15/2008 12,074 12,496 Park Place Entertainment Corp. 7.875% due 12/15/2005 1,000 953 8.875% due 09/15/2008 4,883 4,651 8.125% due 05/15/2011 8,000 7,360 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 10,000 10,038 Piedmont Aviation, Inc. 10.200% due 01/15/2005 1,163 874 10.250% due 03/28/2005 571 421 9.900% due 11/08/2006 1,216 833 Pioneer National Resources Co. 8.875% due 04/15/2005 15,853 17,249 8.250% due 08/15/2007 8,577 8,875 6.500% due 01/15/2008 5,482 5,138 Price Communications Wireless, Inc. 9.125% due 12/15/2006 15,467 15,854 Pride International, Inc. 9.375% due 05/01/2007 14,586 15,060 Primedia, Inc. 10.250% due 06/01/2004 3,155 2,855 8.500% due 02/01/2006 6,671 5,504 7.625% due 04/01/2008 6,507 4,913 8.875% due 05/15/2011 8,050 6,078 PSS World Medical, Inc. 8.500% due 10/01/2007 9,425 8,624 Quebecor Media, Inc. 11.125% due 07/15/2011 18,350 18,258 R & B Falcon Corp. 9.125% due 12/15/2003 1,250 1,306 R.H. Donnelly, Inc. 9.125% due 06/01/2008 5,455 5,482 Racers 8.375% due 10/01/2007 21,206 17,894 Renaissance Media Group 0.000% due 04/15/2008 (c) 16,960 13,314 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,280 Rogers Cantel, Inc. 8.300% due 10/01/2007 3,524 3,339 8.800% due 10/01/2007 2,315 2,147 9.375% due 06/01/2008 30,824 30,208 Rural Cellular Corp. 9.625% due 05/15/2008 9,502 9,264 Safety-Kleen Corp. 0.000% due 06/01/2008 (e) 22,459 2 0.000% due 05/15/2009 (e) 11,042 1 SC International Services, Inc. 9.250% due 09/01/2007 15,020 11,791 Scotia Pacific Co. LLC 7.710% due 01/20/2014 142 114 Select Medical Corp. 9.500% due 06/15/2009 2,000 1,890 Silgan Holdings, Inc. 9.000% due 06/01/2009 7,556 7,480 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 222 246 Starwood Hotels & Resorts 6.330% due 02/23/2003 10,250 9,968 6.750% due 11/15/2005 1,900 1,727 Station Casinos, Inc. 9.750% due 04/15/2007 5,403 4,998 8.375% due 02/15/2008 3,200 3,024 8.875% due 12/01/2008 2,071 1,812 9.875% due 07/01/2010 789 718 Stone Container Corp. 7.312% due 10/01/2005 1,116 1,116 11.500% due 08/15/2006 2,476 2,612 Synder Oil Corp. 8.750% due 06/15/2007 3,250 3,413 Telecorp PCS, Inc. 10.625% due 07/15/2010 11,338 10,034 Telewest Communications PLC 11.000% due 10/01/2007 7,999 5,119 0.000% due 04/15/2009 (c) 3,546 1,268 Tembec Industries, Inc. 8.625% due 06/30/2009 1,300 1,320 8.500% due 02/01/2011 9,550 9,693
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 127 Schedule of Investments (Cont.) High Yield Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Tenet Healthcare Corp. 8.625% due 01/15/2007 $ 10,385 $ 10,930 8.125% due 12/01/2008 15,400 16,517 Time Warner Telecom, Inc. 10.125% due 02/01/2011 5,450 3,570 Triad Hospitals, Inc. 8.750% due 05/01/2009 2,700 2,781 11.000% due 05/15/2009 3,213 3,478 Tritel PCS, Inc. 10.375% due 01/15/2011 14,750 12,611 U.S. Airways, Inc. 9.625% due 09/01/2003 21,663 22,251 9.330% due 01/01/2006 3,785 3,806 United Pan-Europe Communications NV 10.875% due 11/01/2007 1,750 245 0.000% due 02/01/2009 (c) 6,502 878 10.875% due 08/01/2009 0 0 0.000% due 11/01/2009 (c) 5,000 325 Univision Communications, Inc. 7.850% due 07/15/2011 16,450 17,029 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,311 9,497 9.750% due 06/30/2009 2,009 2,114 7.875% due 05/15/2011 5,400 5,373 VoiceStream Wireless Corp. 10.375% due 11/15/2009 3,155 3,565 Waste Management, Inc. 6.375% due 12/01/2003 2,925 3,016 7.000% due 05/15/2005 513 539 7.375% due 08/01/2010 3,925 4,124 WCG Corp. 8.250% due 03/15/2004 17,625 18,006 Western Gas Resources, Inc. 10.000% due 06/15/2009 5,700 5,843 Williams Communications Group, Inc. 10.700% due 10/01/2007 7,493 3,147 10.875% due 10/01/2009 3,092 1,299 11.875% due 08/01/2010 4,000 1,680 World Color Press, Inc. 8.375% due 11/15/2008 513 538 7.750% due 02/15/2009 7,546 7,664 XO Communications, Inc. 0.000% due 06/01/2009 (c) 800 68 0.000% due 12/01/2009 (c) 5,000 425 XTO Energy Inc. 9.250% due 04/01/2007 1,136 1,176 8.750% due 11/01/2009 3,800 3,895 Young Broadcasting, Inc. 9.000% due 01/15/2006 11,440 9,552 8.750% due 06/15/2007 127 105 10.000% due 03/01/2011 10,425 8,340 ------------- 1,734,602 ------------- Utilities 12.1% AES Corp. 8.750% due 12/15/2002 3,000 2,955 8.750% due 06/15/2008 1,800 1,562 9.500% due 06/01/2009 17,194 15,131 9.375% due 09/15/2010 14,815 12,815 8.875% due 02/15/2011 8,200 6,970 AT&T Canada, Inc. 0.000% due 06/15/2008 (c) 25,094 8,536 10.625% due 11/01/2008 4,572 2,512 AT&T Wireless Services, Inc. 7.875% due 03/01/2011 14,750 15,837 Azurix Corp. 10.375% due 02/15/2007 7,544 7,506 Calpine Corp. 7.625% due 04/15/2006 4,925 4,856 8.750% due 07/15/2007 19,441 19,414 7.875% due 04/01/2008 7,248 6,955 8.500% due 05/01/2008 28,500 27,863 7.750% due 04/15/2009 789 744 8.625% due 08/15/2010 150 147 8.500% due 02/15/2011 2,200 2,136 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 2,288 2,277 Citizens Communications Co. 8.500% due 05/15/2006 9,400 10,138 7.625% due 08/15/2008 4,170 4,264 9.250% due 05/15/2011 4,000 4,429 CMS Energy Corp. 8.125% due 05/15/2002 3,579 3,605 6.750% due 01/15/2004 4,492 4,362 7.000% due 01/15/2005 10,637 10,647 9.875% due 10/15/2007 6,113 6,327 8.900% due 07/15/2008 5,000 5,004 7.500% due 01/15/2009 3,800 3,598 8.500% due 04/15/2011 7,750 7,586 Commonwealth Edison Co. 6.625% due 12/31/2004 2,000 1,995 El Paso Energy Corp. 8.500% due 06/01/2011 8,950 9,040 France Telecom 7.750% due 03/01/2011 16,700 17,775 Hanover Equipment Trust 8.500% due 09/01/2008 7,525 7,581 Insight Midwest LP 10.500% due 11/01/2010 3,000 3,150 Key Energy Services, Inc. 8.375% due 03/01/2008 4,620 4,528 LIN Television Corp. 8.000% due 01/15/2008 18,300 17,568 Mastec, Inc. 7.750% due 02/01/2008 6,150 5,012 Mediacom Broadband LLC 11.000% due 07/15/2013 16,020 16,421 Mission Energy Holding Co. 13.500% due 07/15/2008 6,750 6,851 Niagara Mohawk Power Co. 0.000% due 07/01/2010 16,700 15,696 NRG Northeast Generating LLC 8.842% due 12/15/2015 1,400 1,543 Pogo Producing Co. 8.250% due 04/15/2011 5,950 5,905 Rocky River Realty 8.810% due 04/14/2007 (b) 2,620 2,939 Rogers Communications 9.125% due 01/15/2006 4,000 3,990 SESI, LLC 8.875% due 05/15/2011 10,100 9,292 Telewest Credit Links 10.875% due 02/07/2005 16,000 15,543 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 4,812 4,819 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 566 10.732% due 01/01/2013 (b) 7,015 8,227 ------------- 356,617 ------------- Total Corporate Bonds & Notes 2,203,943 (Cost $2,489,701) ------------- MORTGAGE-BACKED SECURITIES 4.0% Collateralized Mortgage Obligations 2.2% LTC Commercial Corp. 9.200% due 08/04/2023 2,235 2,017 7.970% due 04/15/2028 3,993 3,818 NationsBanc Mortgage Capital Corp. 8.035% due 05/25/2028 3,035 2,750 Red Mountain Funding Corp. 9.150% due 11/28/2027 4,517 3,045 Resolution Trust Corp. 6.900% due 02/25/2027 3,215 3,191 Sasco Floating Rate Commercial Mortgage Trust 4.130% due 04/25/2003 (d) 23,504 23,521 Washington Mutual, Inc. 6.398% due 10/25/2039 25,000 25,940 ------------- 64,282 -------------
128 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Fannie Mae 1.8% 6.000% due 10/18/2016 $ 52,000 $ 52,861 ------------- Stripped Mortgage-Backed Securities 0.0% Fannie Mae (IO) 7.000% due 07/25/2008 1,082 133 7.000% due 04/25/2019 3,558 93 7.000% due 12/25/2021 1,729 165 ------------- 391 ------------- Total Mortgage-Backed Securities 117,534 (Cost $116,594) ------------- ASSET-BACKED SECURITIES 7.5% Acterna LLC 5.841% due 09/01/2007 1,465 1,304 Adelphia Communications Corp. 6.790% due 10/01/2002 4,500 4,402 Airplanes Pass Through Trust 10.875% due 03/15/2019 21,515 11,138 Airtrust 0.000% due 06/01/2013 8,777 3,160 Allied Waste Industries, Inc. 5.562% due 07/30/2006 1,824 1,805 6.125% due 07/30/2006 8,056 7,972 6.375% due 07/21/2007 912 902 5.812% due 07/30/2007 (d) 913 904 6.187% due 07/30/2007 (d) 4,559 4,511 6.375% due 07/30/2007 (d) 3,191 3,158 6.625% due 07/30/2007 (d) 2,280 2,256 Charter Commercial Holdings LLC 6.210% due 03/31/2008 23,000 22,336 Conseco Finance 9.300% due 10/15/2030 8,000 8,742 Continental Airlines, Inc. 4.038% due 07/30/2004 9,930 9,541 Da Vita 7.000% due 04/30/2006 1,975 1,986 Emmis Communications Corp. 6.562% due 08/31/2009 8,233 8,018 Flag Ltd. 5.625% due 03/31/2006 2,292 2,188 Global Crossing Holding Ltd. 6.460% due 08/15/2006 3,000 2,549 Green Tree Financial Corp. 8.000% due 07/15/2018 6,000 5,213 Greif 6.950% due 03/15/2008 4 4 Huntsman Corp. 9.500% due 07/31/2004 787 627 9.500% due 06/30/2005 3,049 2,302 9.571% due 06/30/2005 102 77 9.500% due 06/30/2005 1,052 794 5.750% due 06/30/2007 659 635 10.250% due 07/01/2007 5,000 4,959 Impress Metal 6.961% due 12/01/2006 1,010 929 Insight Midwest 6.562% due 12/15/2009 7,000 6,995 Island Inland Co. 9.508% due 07/09/2003 3,000 2,325 Kinetic Concepts, Inc. 5.960% due 12/31/2004 3,028 3,015 Lyondell Petroleum 10.495% due 05/17/2006 2,000 2,032 Mission Energy 11.290% due 07/25/2006 1,000 995 Nextel Communications, Inc. 6.562% due 03/31/2008 12,169 10,668 OM Group 6.570% due 03/31/2007 2,000 1,980 SPX Corp. 9.400% due 06/14/2005 15,400 16,044 Stone Container Corp. 7.125% due 04/01/2003 (d) 1,466 1,467 7.125% due 10/01/2003 (d) 9,652 9,655 7.125% due 10/01/2005 (d) 1,114 1,111 Suiza Foods 7.875% due 07/15/2008 5,000 5,022 Timber Corp. 4.830% due 11/30/2001 47,300 47,300 Triad Hospitals, Inc. 6.530% due 04/30/2003 1,054 1,055 ------------- Total Asset-Backed Securities 222,076 (Cost $235,851) ------------- SOVEREIGN ISSUES 0.6% Republic of Egypt 8.750% due 07/11/2011 11,250 10,041 United Mexican States 10.375% due 02/17/2009 6,500 7,187 ------------- Total Sovereign Issues 17,228 (Cost $18,564) ------------- CONVERTIBLE BONDS & NOTES 2.7% Health Care 0.9% Omnicare, Inc. 5.000% due 12/01/2007 8,200 7,288 Tenet Healthcare Corp. 6.000% due 12/01/2005 3,664 3,328 Total Renal Care Holdings 7.000% due 05/15/2009 15,953 15,155 ------------- 25,771 ------------- Industrial 1.6% American Tower Corp. 5.000% due 02/15/2010 15,100 10,966 Mail-Well, Inc. 5.000% due 11/01/2002 6,650 5,952 Pride International, Inc. 0.000% due 04/24/2018 14,000 6,020 Waste Management, Inc. 4.000% due 02/01/2002 24,338 24,338 ------------- 47,276 ------------- Utilities 0.2% Nextel Communications, Inc. 5.250% due 01/15/2010 5,500 2,812 Rogers Communication, Inc. 2.000% due 11/26/2005 4,500 3,443 ------------- 6,255 ------------- Total Convertible Bonds & Notes 79,302 (Cost $79,081) ------------- PREFERRED STOCK 2.9% Shares Adelphia Communications Corp. 13.000% due 07/15/2009 9,000 767 CSC Holdings, Inc. 11.125% due 04/01/2008 161,572 16,521 Fresenius Medical Care 7.875% due 02/01/2008 27,675 27,467 9.000% due 12/01/2006 34,025 34,791 7.875% due 06/15/2011 1,000,000 995 Newscorp Overseas Ltd. 8.625% due 12/31/2049 105,100 2,533 Primedia, Inc. 4.200% due 11/01/2009 55,300 2,226 8.625% due 04/01/2010 39,500 1,590 ------------- Total Preferred Stock 86,890 (Cost $94,251) -------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 129 Schedule of Investments (Cont.) High Yield Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 7.8% Commercial Paper 7.6% CDC 3.380% due 10/01/2001 $ 95,000 $ 95,000 Fannie Mae 4.005% due 11/01/2001 20,000 19,931 3.630% due 12/27/2001 7,500 7,453 3.540% due 01/03/2002 5,200 5,165 Federal Home Loan Bank 4.000% due 10/31/2001 10,000 9,966 General Electric Capital Corp. 3.860% due 10/02/2001 13,500 13,499 3.500% due 12/27/2001 26,300 26,135 3.600% due 12/28/2001 5,400 5,366 Swedbank, Inc. 3.550% due 10/24/2001 10,500 10,476 UBS Finance, Inc. 3.870% due 10/02/2001 7,800 7,799 3.510% due 12/20/2001 24,300 24,162 ------------- 224,952 ------------- Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 7,000 7,000 (Dated 09/28/2001. Collateralized by Federal Farm Credit Bank 5.450% due 01/23/2003 valued at $7,145 Repurchase proceeds are $7,002.) ------------- Total Short-Term Instruments 231,952 (Cost $231,798) ------------- Total Investments (a) 100.0% $ 2,958,925 (Cost $3,265,840) Other Assets and Liabilities (Net) (0.0%) (990) ------------- Net Assets 100.0% $ 2,957,935 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 40,532 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (347,447) ------------- Unrealized depreciation-net $ (306,915) ------------- (b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ----- --------- ---------- ---------- ------------- Sell EC 2,270 10/2001 $ 14 ------------- (g) Principal amount denoted in indicated currency: EC - Euro 130 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Schedule of Investments Total Return Mortgage Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) MORTGAGE-BACKED SECURITIES 138.5% Collateralized Mortgage Obligations 31.9% Bank Trust Mortgage 5.700% due 12/01/2023 $ 982 $ 990 Chase Mortgage Finance Corp 7.000% due 07/25/2024 261 261 6.550% due 08/25/2028 425 432 Citicorp Mortgage Securities, Inc. 6.500% due 05/25/2030 295 301 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 67 68 Countrywide Home Loans 6.500% due 03/25/2029 100 101 7.750% due 01/25/2031 156 160 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 142 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 1,905 1,937 Fannie Mae 6.900% due 08/25/2011 100 103 4.453% due 10/31/2011 1,000 1,002 6.500% due 02/25/2019 261 261 7.750% due 08/25/2022 69 75 3.687% due 04/25/2023 (b) 25 26 4.843% due 05/25/2023 (b) 2,481 2,493 6.500% due 09/25/2023 39 39 7.000% due 09/25/2023 17 18 6.500% due 09/25/2023 182 169 6.750% due 09/25/2023 57 56 6.500% due 10/25/2023 217 218 6.500% due 12/25/2023 182 175 3.896% due 04/18/2028 (b) 89 90 Freddie Mac 6.000% due 06/15/2008 371 380 4.500% due 03/15/2021 36 36 3.500% due 12/15/2022 10 8 6.500% due 12/15/2023 50 50 6.500% due 03/15/2024 114 115 8.000% due 06/15/2026 76 84 6.500% due 05/15/2027 73 73 6.000% due 10/15/2028 153 152 General Electric Capital Mortgage Services, Inc. 5.250% due 11/25/2008 273 273 7.000% due 01/25/2028 100 102 6.750% due 06/25/2028 200 206 Government National Mortgage Association 7.600% due 04/20/2026 2,309 2,340 7.000% due 07/16/2026 186 194 Mellon Residential Funding Corp. 6.580% due 07/25/2029 (b) 410 434 Norwest Asset Securities Corp. 6.250% due 09/25/2028 454 455 6.250% due 01/25/2029 152 154 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 155 155 Superannuation Members Home Loans Global Fund 4.145% due 06/15/2026 (b) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 41 45 ------- 14,673 ------- Fannie Mae 54.2% 4.510% due 10/30/2011 3,000 3,007 4.900% due 04/01/2007 1,720 1,720 4.980% due 07/01/2008 4,990 5,006 5.817% due 10/01/2028 (b) 431 442 6.000% due 10/18/2016 (b) 8,000 8,074 6.483% due 11/01/2018 (b) 37 38 7.000% due 04/01/2026 (b) 19 19 7.169% due 08/01/2026 (b) 103 105 7.378% due 05/01/2023 (b) 142 146 7.500% due 10/15/2031 6,000 6,238 9.000% due 01/01/2020 108 119 ------- 24,914 ------- Federal Housing Administration 3.8% 7.430% due 06/01/2019 1,685 1,725 ------- Freddie Mac 20.6% 6.000% due 10/01/2024-10/15/2031 (c) 3,136 3,132 6.448% due 02/01/2018 (b) 142 144 6.500% due 10/15/2031 2,000 2,036 7.094% due 07/01/2030 (b) 3,800 3,973 7.808% due 11/01/2028 (b) 78 80 7.995% due 08/01/2025 (b) 120 124 ------- 9,489 ------- Government National Mortgage Association 27.6% 7.000% due 10/22/2031 (b) 6,500 6,750 7.125% due 10/20/2022 (b) 110 114 7.375% due 03/20/2016-03/20/2027 (b)(c) 1,008 1,027 7.500% due 05/15/2027-08/15/2027 (c) 99 104 7.625% due 12/20/2021-11/20/2026 (b)(c) 74 76 7.750% due 07/20/2022-07/20/2025 (b)(c) 370 381 8.500% due 10/22/2031 (d) 4,000 4,246 ------- 12,698 ------- Stripped Mortgage-Backed Securities 0.4% Fannie Mae (IO) 6.500% due 07/25/2007 18 0 Fannie Mae (PO) 0.000% due 07/25/2022 243 201 ------- Total Mortgage-Backed Securities 63,700 ------- (Cost $62,653) ASSET-BACKED SECURITIES 4.2% Bayview Financial Acquisition Trust 3.051% due 07/25/2030 (b) 154 154 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (b) 189 190 Novastar Home Equity Loan 3.011% due 01/25/2031 (b) 922 923 Option One Mortgage Loan Trust 3.910% due 04/25/2030 665 667 ------- Total Asset-Backed Securities (b) 1,934 ------- (Cost $1,930) CONVERTIBLE BONDS & NOTES 0.0% Industrial 0.0% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 10 ------- Total Convertible Bonds & Notes 10 ------- (Cost $10) SHORT-TERM INSTRUMENTS 30.3% Commercial Paper 24.6% Abbey National North America 3.550% due 10/24/2001 200 200 3.470% due 10/31/2001 1,100 1,097 Fannie Mae 3.150% due 10/01/2001 7,500 7,500 0.010% due 10/04/2001 200 200 3.545% due 10/18/2001 200 200 3.630% due 12/20/2001 1,600 1,590 Swedbank, Inc. 3.100% due 12/26/2001 500 497 ------- 11,284 -------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 131 Schedule of Investments (Cont.) Total Return Mortgage Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Repurchase Agreement 5.7% State Street Bank 2.600% due 10/01/2001 $ 2,617 $ 2,617 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $2,674. Repurchase proceeds are $2,618.) -------- Total Short-Term Instruments 13,901 (Cost $13,897) -------- Total Investments (a) 173.0% $ 79,545 (Cost $78,490) Other Assets and Liabilities (Net) (73.0%) (33,566) -------- Net Assets 100.0% $ 45,979 -------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,064 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (9) -------- Unrealized appreciation-net $ 1,055 --------
(b) Variable rate security. The rate listed is as of September 30, 2001. (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. 132 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments GNMA Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) U.S. GOVERNMENT AGENCIES 3.8% Federal Farm Credit Bank 5.750% due 01/18/2011 $ 1,000 $ 1,036 Small Business Administration 7.449% due 08/01/2010 497 543 ------- Total U.S. Government Agencies 1,579 (Cost $1,495) ------- U.S. TREASURY OBLIGATIONS 1.3% Treasury Inflation Protected Securities 3.625% due 01/15/2008 (b)(c) 110 114 U.S. Treasury Strips 0.000% due 11/15/2016 1,000 429 ------- Total U.S. Treasury Obligations 543 (Cost $534) ------- MORTGAGE-BACKED SECURITIES 67.8% Collateralized Mortgage Obligations 11.0% ABN AMRO Mortgage Corp. 6.750% due 04/25/2029 235 213 Fannie Mae 7.000% due 05/25/2006 18 18 6.000% due 11/18/2017 100 101 6.500% due 02/25/2019 261 261 6.500% due 09/25/2023 299 297 Freddie Mac 6.500% due 11/25/2023 132 122 General Electric Capital Mortgage Services, Inc. 6.750% due 06/25/2028 50 51 Government National Mortgage Association 7.300% due 09/20/2028 2,106 2,159 3.940% due 08/16/2031 967 966 Hilton Hotel Pool Trust 1.000% due 10/01/2016 2,972 125 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 240 241 ------- 4,554 ------- Fannie Mae 0.1% 8.271% due 03/01/2018 (d) 36 36 9.000% due 07/01/2018 23 26 ------- 62 ------- Federal Housing Administration 1.6% 7.430% due 03/01/2022 161 163 8.137% due 09/01/2040 475 495 ------- 658 ------- Freddie Mac 0.4% 6.598% due 06/01/2030 (d) 91 93 7.050% due 05/01/2019 (d) 53 54 ------- 147 ------- Government National Mortgage Association 53.8% 6.375% due 02/20/2018-02/20/2026 (d)(e) 563 574 6.500% due 02/25/2018 (d) 4,000 4,092 7.000% due 02/22/2031 (d) 11,000 11,423 7.375% due 05/20/2016-06/20/2025 (d)(e) 190 195 7.500% due 10/20/2031-10/22/2031 (d)(e) 5,371 5,608 7.625% due 12/20/2017 (d) 70 73 7.750% due 07/20/2018-08/20/2025 (d)(e) 201 208 11.250% due 07/20/2015 116 131 ------- 22,304 ------- Stripped Mortgage-Backed Securities 0.9% Fannie Mae (IO) 7.000% due 09/25/2021 1,607 111 Freddie Mac (IO) 3.975% due 07/15/2020 (d) 3,117 111 7.500% due 08/15/2029 792 133 ------- 355 ------- Total Mortgage-Backed Securities 28,080 (Cost $27,851) ------- ASSET-BACKED SECURITIES 5.6% Advanta Business Card Master Trust 5.533% due 04/20/2008 (d) 100 101 Chase Funding Mortgage Loan Asset-Backed Certificates 4.461% due 10/25/2030 (d) 200 198 Conseco Finance 9.290% due 12/15/2029 500 545 CS First Boston Mortgage Securities Corp. 4.580% due 08/25/2031 (d) 700 700 General Electric Capital Mortgage Services, Inc. 7.200% due 04/25/2029 290 296 Indymac Home Equity Loan Asset-Backed Trust 5.158% due 12/25/2031 (d) 200 200 NPF XII, Inc. 4.303% due 10/01/2003 (d) 300 301 ------- Total Asset-Backed Securities 2,341 (Cost $2,270) ------- SHORT-TERM INSTRUMENTS 66.0% Commercial Paper 61.4% Abbey National North America 3.470% due 10/31/2001 500 499 Anz, Inc. 3.240% due 11/21/2001 1,000 995 CBA (de) Finance 3.470% due 10/29/2001 600 598 Fannie Mae 3.150% due 10/01/2001 19,000 19,000 4.020% due 10/04/2001 100 100 3.540% due 10/18/2001 600 599 3.520% due 10/25/2001 600 599 Federal Home Loan Bank 3.460% due 10/12/2001 600 599 General Electric Capital Corp. 3.560% due 12/26/2001 500 497 Swedbank, Inc. 3.510% due 10/24/2001 500 499 3.570% due 11/20/2001 300 299 UBS Finance, Inc. 3.240% due 11/19/2001 400 398 3.420% due 12/19/2001 200 199 3.550% due 12/19/2001 200 199 3.360% due 12/20/2001 400 397 ------- 25,477 ------- Repurchase Agreement 4.6% State Street Bank 2.600% due 10/01/2001 1,895 1,895 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $1,933. Repurchase proceeds are $1,895.) ------- Total Short-Term Instruments 27,372 (Cost $27,369) ------- Total Investments (a) 144.5% $ 59,915 (Cost $59,519) Other Assets and Liabilities (Net) (44.5%) (18,459) ------- Net Assets 100.0% $ 41,456 -------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 133 Schedule of Investments (Cont.) GNMA Fund September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 466 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (70) ----- Unrealized appreciation-net $ 396 ----- (b) Subject to financing transaction. (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. 134 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Real Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 20.2% Banking & Finance 12.9% Allstate Financial Global Funding 7.125% due 09/26/2005 $ 2,500 $ 2,693 Associates Corp. of North America 3.900% due 05/08/2003 (d) 1,500 1,506 Atlas Reinsurance PLC 6.520% due 04/04/2003 (d) 6,700 6,700 7.520% due 10/04/2004 (d) 4,400 4,400 Bear Stearns Co., Inc. 3.850% due 12/01/2003 (d) 500 501 4.147% due 09/21/2004 (d) 1,000 1,000 Boeing Capital Corp. 5.650% due 05/15/2006 5,000 5,025 Chase Manhanttan Corp. 3.820% due 12/10/2001 (d) 500 501 CIT Group, Inc. 4.270% due 04/07/2003 (d) 300 301 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 7,500 7,528 DQE Capital Corp. 4.270% due 01/15/2002 (d) 1,000 1,001 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,578 Finova Group, Inc. 7.500% due 11/15/2009 840 330 First Union Corp. 7.550% due 08/18/2005 10,000 10,945 Florida Windstorm Underwriting Association 6.700% due 08/25/2004 500 528 Ford Motor Credit Co. 3.720% due 02/13/2003 (d) 350 346 4.076% due 06/20/2003 (d) 18,500 18,278 3.303% due 06/23/2003 (d) 1,000 991 4.120% due 01/26/2004 (d) 8,200 8,100 General Motors Acceptance Corp. 3.720% due 12/09/2002 (d) 2,000 1,983 3.985% due 07/21/2003 (d) 3,500 3,442 3.986% due 08/04/2003 (d) 5,000 4,934 Halyard RE 10.376% due 04/05/2002 (d) 800 801 Heller Financial, Inc. 3.880% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 1,030 7.500% due 08/23/2002 10,200 10,591 3.965% due 04/28/2003 (d) 3,000 3,005 Household Finance Corp. 4.025% due 08/06/2002 (d) 2,000 2,007 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 6,370 6,213 Juno RE Ltd. 10.367% due 06/26/2002 (d) 9,050 9,036 Korea Development Bank 6.118% due 03/01/2002 (d) 500 496 8.294% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 4.290% due 06/03/2002 (d) 2,500 2,505 4.570% due 07/15/2002 (d) 600 603 4.290% due 09/03/2002 (d) 2,000 2,003 MBNA America Bank NA 3.950% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 3.850% due 02/04/2003 (d) 2,000 2,001 3.958% due 08/01/2003 (d) 4,000 4,012 3.847% due 05/21/2004 (d) 2,100 2,104 Monumental Global Funding II 3.980% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter & Co. 3.920% due 04/15/2002 (d) 1,000 1,001 3.747% due 02/21/2003 (d) 1,500 1,502 4.097% due 03/11/2003 (d) 2,000 2,002 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 1,500 1,504 National Rural Utilities Cooperative Finance Corp. 5.393% due 05/31/2002 (d) 1,900 1,903 3.790% due 07/17/2003 (d) 10,000 10,006 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 3,500 3,509 NeHi, Inc. 7.600% due 06/09/2003 (d) 3,000 3,015 Old Kent Bank 4.428% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.125% due 11/15/2003 300 306 Premium Asset Trust 3.837% due 11/27/2004 (d) 5,000 5,014 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 1,000 1,003 Prudential Funding Corp. 3.990% due 10/18/2001 (d) 3,000 3,002 6.375% due 07/23/2006 7,000 7,312 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 1,300 1,302 Residential Reinsurance 8.510% due 06/01/2004 5,500 5,500 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (g) 22,218 22,332 3.955% due 04/28/2003 (d) 3,000 3,005 Seismic Ltd. 8.336% due 01/01/2002 (d) 2,500 2,496 Textron Financial Corp. 3.950% due 10/26/2001 (d) 2,500 2,502 4.058% due 09/17/2002 (d) 5,000 5,009 3.870% due 12/09/2002 (d) 1,000 1,004 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 400 402 Trinom Ltd. 7.910% due 12/18/2004 (d) 6,500 6,500 Washington Mutual Capital I 3.860% due 05/17/2004 (d) 20,000 20,040 Western Capital 9.440% due 01/07/2003 (d) 5,000 5,000 -------- 250,427 -------- Industrials 4.8% AIC Corp. 5.026% due 10/02/2002 (d) 250 251 American Airlines, Inc. 6.978% due 04/01/2011 3,000 3,024 Coastal Corp. 4.278% due 07/21/2003 (d) 8,000 8,027 Cox Enterprises, Inc. 4.578% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002 (d) 2,000 2,011 3.880% due 08/16/2004 (d) 5,000 4,904 8.500% due 01/18/2031 16,900 17,879 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,734 3,578 Enron Corp. 8.000% due 08/15/2005 4,000 4,139 Fred Meyer, Inc. 7.375% due 03/01/2005 2,000 2,143 Global Crossing Holding Ltd. 6.000% due 10/15/2013 1,250 756 HCA - The Healthcare Co. 5.351% due 09/19/2002 (d) 8,000 8,011 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 5,047 Qwest Capital Funding, Inc. 4.270% due 07/08/2002 (d) 2,500 2,503 SR Wind Ltd. 8.887% due 05/18/2005 (d) 6,000 5,980 9.387% due 05/18/2005 (d) 2,500 2,526 Staples, Inc. 4.362% due 11/26/2001 (d) 2,000 2,003
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 135 Schedule of Investments (Cont.) Real Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) United Air Lines, Inc. 3.682% due 12/02/2002 (d) $ 1,149 $ 1,154 Walt Disney Co. 4.500% due 09/15/2004 15,000 15,064 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,564 -------- 92,578 -------- Utilities 2.5% Allete 4.610% due 10/20/2003 (d) 2,500 2,506 Commonwealth Edison Co. 4.210% due 09/30/2002 (d) 1,000 1,001 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,689 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 3,500 3,519 7.600% due 07/15/2003 5,000 5,312 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 4,500 4,514 Hawaiian Electric Industries, Inc. 4.820% due 04/15/2003 (d) 2,000 2,004 Oneok, Inc. 4.358% due 04/24/2002 (d) 2,000 2,003 Scana Corp. 4.150% due 02/08/2002 (d) 1,900 1,901 4.420% due 07/15/2002 (d) 3,900 3,904 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 1,000 1,001 3.870% due 06/10/2002 (d) 3,000 3,008 Vodafone Group PLC 3.957% due 12/19/2001 (d) 6,500 6,509 WorldCom, Inc. 7.375% due 01/15/2003 1,000 1,035 -------- 48,906 -------- Total Corporate Bonds & Notes 391,911 (Cost $389,246) -------- MUNICIPAL BONDS & NOTES 0.0% New Mexico 0.0% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA,FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 140 153 -------- New York 0.0% New York City General Obligation Bonds, Series 1997 3.897% due 08/01/2002 (d) 24 24 -------- Total Municipal Bonds & Notes 177 (Cost $164) -------- U.S. GOVERNMENT AGENCIES 0.6% Fannie Mae 5.440% due 03/13/2002 (d) 7,600 7,642 Federal Farm Credit Bank 3.654% due 02/14/2002 (d) 600 603 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 2,485 2,497 SallieMae 4.373% due 01/25/2007 (d) 208 208 -------- Total U.S. Government Agencies 10,950 (Cost $10,872) -------- U.S. TREASURY OBLIGATIONS 121.5% Treasury Inflation Protected Securities (g)(h) 3.625% due 07/15/2002 (b) 466,208 474,367 3.375% due 01/15/2007 265,757 273,481 3.625% due 01/15/2008 248,006 257,384 3.875% due 01/15/2009 582,284 612,672 4.250% due 01/15/2010 197,177 212,890 3.500% due 01/15/2011 16,325 16,795 3.625% due 04/15/2028 228,233 234,439 3.875% due 04/15/2029 260,239 279,514 --------- Total U.S. Treasury Obligations 2,361,542 (Cost $2,321,841) --------- MORTGAGE-BACKED SECURITIES 0.8% Collateralized Mortgage Obligations 0.8% Bear Stearns Adjustable Rate Mortgage Trust 6.820% due 11/25/2030 (d) $ 3,837 $ 3,909 Freddie Mac 7.000% due 07/15/2022 204 204 6.500% due 01/25/2028 100 99 7.000% due 10/15/2030 3,000 3,157 GMAC Commercial Mortgage Asset Corp. 3.357% due 07/20/2002 7,304 7,304 -------- 14,673 -------- Fannie Mae 0.0% 8.054% due 10/01/2024 (d) 254 272 -------- Federal Housing Administration 0.0% 7.430% due 12/01/2020 293 302 -------- Total Mortgage-Backed Securities 15,247 (Cost $15,011) -------- ASSET-BACKED SECURITIES 1.3% AESOP Funding II LLC 3.860% due 11/20/2006 (d) 14,000 13,925 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 140 140 American Residential Eagle Trust 4.132% due 07/25/2029 (d) 3,490 3,499 Asset Backed Securities Corp. Home Equity 3.155% due 06/21/2029 (d) 2,164 2,172 Conseco Finance 7.890% due 07/15/2018 2,000 2,114 8.170% due 12/15/2025 2,000 2,169 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 819 EQCC Home Equity Loan Trust 3.307% due 03/20/2029 (d) 138 138 SallieMae 4.143% due 07/25/2004 (d) 35 35 4.173% due 10/25/2004 (d) 33 33 5.261% due 04/25/2006 (d) 999 998 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 105 106 -------- Total Asset-Backed Securities 26,148 (Cost $25,851) -------- SOVEREIGN ISSUES 0.0% United Mexican States 0.000% due 06/30/2003 (d) 718 6 -------- Total Sovereign Issues 6 (Cost $0) -------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3% Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,169 4,807 Commonwealth of Canada 4.000% due 12/01/2031 C$ 22 14 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 33,500 14,695 Republic of France 3.000% due 07/25/2009 EC 28,552 25,282 -------- Total Foreign Currency-Denominated Issues 44,798 (Cost $44,430) -------- CONVERTIBLE BONDS & NOTES 0.2% Utilities 0.2% Nabors Industries, Inc. 0.000% due 06/20/2020 $ 5,000 3,106 -------- Total Convertible Bonds & Notes 3,106 (Cost $3,136) --------
136 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 3.8% Commercial Paper 2.9% CDC 3.380% due 10/01/2001 $ 40,000 $ 40,000 General Electric Capital Corp. 3.530% due 12/27/2001 100 99 UBS Finance, Inc. 3.450% due 10/01/2001 15,000 15,000 3.870% due 10/02/2001 100 100 3.740% due 12/19/2001 1,900 1,889 -------- 57,088 -------- Repurchase Agreement 0.9% State Street Bank 2.600% due 10/01/2001 17,000 17,000 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 02/03/2003 valued at $17,343. Repurchase proceeds are $17,004.) U.S. Treasury Bills 0.0% 3.518% due 10/18/2001 (b)(i) 800 799 ----------- Total Short-Term Instruments 74,887 (Cost $74,882) ----------- Total Investments (a) 150.7% $ 2,928,772 (Cost $2,885,433) Other Assets and Liabilities (Net) (50.7%) (984,888) ----------- Net Assets 100.0% $ 1,943,884 -----------
Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 46,027 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,688) -------- Unrealized appreciation-net $ 43,339 -------- (b) Securities with an aggregate market value of $911 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------------ Eurodollar June Futures (06/2003) 378 $ 902 Eurodollar September Futures (09/2002) 300 0 U.S. Treasury 5 Year Note (12/2001) 24 (23) -------------- $ 879 --------------
(c) Swap agreements outstanding at September 30, 2001:
Notional Unrealized Type Amount (Depreciation) - ------------------------------------------------------------------------------------------------------------ Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 10,000 $ (1,062) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (334) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Dean Witter Exp. 06/20/2003 3,042 (20) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Bank of America Exp. 06/15/2003 15,900 (345) Receive a fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002s 1,000 (1) --------- $ (1,762) ---------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001:
Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------- Buy C$ 28,552 10/2001 $ (29) Sell 57,380 10/2001 126 Sell EC 24,613 10/2001 153 Sell JY 78,994 10/2001 (5) Sell N$ 36,053 10/2001 1,149 ------------- $ 1,394 -------------
(f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Subject to financing transaction. (i) Securities are grouped together by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 137 Schedule of Investments Foreign Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) AUSTRALIA (e)(f) 2.7% General Electric Capital Australia Funding 6.750% due 09/15/2007 A$ 750 $ 392 General Motors Acceptance Corp. 4.633% due 03/25/2002 (d) EC 10,300 9,368 Homeside Mortgage Securities Trust 3.950% due 01/20/2027 (d) $ 2,420 2,417 Medallion Trust 4.020% due 07/12/2031 (d) 4,232 4,238 Rams Mortgage Corporation Ltd. 4.680% due 09/26/2032 (d) EC 1,518 1,381 Torrens Trust 3.750% due 07/15/2031 (d) $ 2,292 2,292 ------- Total Australia 20,088 (Cost $20,809) ------- AUSTRIA (e)(f) 0.1% Republic of Austria 5.500% due 01/15/2010 (i) EC 1,200 1,132 ------- Total Austria 1,132 (Cost $1,041) ------- BELGIUM (e)(f) 2.1% Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004 (d) BF 183,200 4,478 7.500% due 07/29/2008 (i) EC 10,500 11,082 ------- Total Belgium 15,565 (Cost $17,257) ------- BRAZIL 0.7% Republic of Brazil 5.437% due 04/15/2006 (d) $ 6,400 5,328 ------- Total Brazil 5,328 (Cost $5,588) ------- CANADA (e)(f) 8.4% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,211 Commonwealth of Canada 5.250% due 09/01/2003 640 418 6.000% due 09/01/2005 (i) 52,500 35,114 7.250% due 06/01/2007 (i) 34,500 24,490 5.500% due 06/01/2010 1,800 1,158 ------- Total Canada 63,391 (Cost $63,533) ------- CAYMAN ISLANDS (e)(f) 1.7% International Credit Recovery-Japan 0.370% due 08/25/2005 (d) JY 71,996 604 0.475% due 08/25/2005 (d) 50,000 418 0.351% due 05/22/2006 (d) 378,827 3,178 MBNA Master Credit Card Trust 4.486% due 05/19/2004 (d) EC 8,100 7,372 SHL Corp. Ltd. 0.470% due 12/25/2024 (d) JY 47,201 396 0.770% due 12/25/2024 (d) 76,000 638 ------- Total Cayman Islands 12,606 (Cost $13,850) ------- DENMARK (e)(f) 0.9% Nykredit 6.000% due 10/01/2029 DK 29,562 3,551 Unikredit Realkredit 6.000% due 07/01/2029 26,729 3,210 ------- Total Denmark 6,761 (Cost $6,223) ------- EGYPT 0.3% Republic of Egypt 8.750% due 07/11/2011 $ 2,300 $ 2,053 ------- Total Egypt 2,053 (Cost $2,300) ------- FRANCE (e)(f) 9.3% Republic of France 5.500% due 04/25/2007 (i) EC 7,890 7,590 4.000% due 04/25/2009 (i) 8,250 7,170 3.000% due 07/25/2009 3,166 2,803 4.000% due 10/25/2009 (i) 46,070 39,788 5.500% due 04/25/2010 13,960 13,295 ------- Total France 70,646 (Cost $70,330) ------- GERMANY (e)(f) 15.3% Commerzbank AG 5.204% due 10/25/2032 (d) EC 6,200 5,648 Depfa Pfandbriefbank 4.750% due 07/15/2008 3,590 3,257 5.750% due 03/04/2009 3,560 3,408 DT Hypothekenbank 3.500% due 07/03/2006 7,000 6,131 Hypothekenbank in Essen AG 5.500% due 02/20/2007 1,690 1,605 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 3,240 3,085 Landesbank Rheinland-Pfalz 4.750% due 04/04/2008 5,330 4,851 Republic of Germany 5.250% due 01/04/2008 4,830 4,600 4.125% due 07/04/2008 (i) 21,500 19,185 4.500% due 07/04/2009 (i) 17,500 15,759 4.000% due 07/04/2009 1,600 1,395 5.375% due 01/04/2010 2,790 2,652 6.250% due 01/04/2024 (i) 1,880 1,858 6.500% due 07/04/2027 (i) 20,800 21,234 6.250% due 01/04/2030 1,700 1,695 5.500% due 01/04/2031 (i) 14,100 12,742 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 5,280 4,637 WestDeutsche Landersbank 4.750% due 09/28/2007 1,630 1,494 ------- Total Germany 115,236 (Cost $112,522) ------- GREECE (e)(f) 0.2% Hellenic Republic 7.850% due 05/19/2003 (d) EC 293 270 5.580% due 06/17/2003 (d) 315 293 7.080% due 10/23/2003 (d) 1,103 1,038 ------- Total Greece 1,601 (Cost $2,233) ------- IRELAND (e)(f) 0.5% Emerald Mortgages PLC 4.557% due 04/30/2028 (d) EC 4,314 3,927 ------- Total Ireland 3,927 (Cost $3,793) ------- ITALY (e)(f) 14.0% First Italian Auto Transaction 4.690% due 07/01/2008 (d) EC 10,030 9,087 International Credit Recovery 4.514% due 03/30/2010 (d) 1,800 1,639 Island Finance 5.109% due 01/15/2015 (d) 2,532 2,311
138 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Republic of Italy 5.750% due 09/15/2002 (i) EC 26,400 $ 24,536 7.750% due 11/01/2006 (i) 5,700 5,954 4.500% due 05/01/2009 (i) 64,110 57,217 4.250% due 11/01/2009 (i) 5,560 4,837 -------- Total Italy 105,581 (Cost $104,353) -------- MEXICO (e)(f) 0.9% Bancomext Trust 8.000% due 08/05/2003 $ 390 400 Petroleos Mexicanos 8.850% due 09/15/2007 1,040 1,069 9.375% due 12/02/2008 1,290 1,348 United Mexican States 8.750% due 05/30/2002 BP 960 1,420 10.375% due 01/29/2003 DM 2,575 1,253 4.000% due 03/11/2004 JY 130,000 1,128 -------- Total Mexico 6,618 (Cost $6,816) -------- NEW ZEALAND (e)(f) 0.8% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 13,430 5,892 -------- Total New Zealand 5,892 (Cost $7,507) -------- PANAMA 0.2% Republic of Panama 9.625% due 02/08/2011 $ 1,600 1,598 -------- Total Panama 1,598 (Cost $1,630) -------- PERU 0.2% Republic of Peru 4.500% due 03/07/2017 (d) $ 2,100 1,478 -------- Total Peru 1,478 (Cost $1,472) -------- SOUTH KOREA (e)(f) 1.0% Export-Import Bank Korea 6.500% due 02/10/2002 $ 800 807 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,784 Korea Development Bank 1.875% due 02/13/2002 JY 466,000 3,917 -------- Total South Korea 7,508 (Cost $7,391) -------- SPAIN (e)(f) 4.4% Hipotebansa V. Hipotecaria 4.755% due 01/18/2018 (d) SP 587,964 3,222 4.670% due 07/18/2022 (d) 723,126 3,942 Kingdom of Spain 5.150% due 07/30/2009 (i) EC 28,430 26,385 -------- Total Spain 33,549 (Cost $35,191) -------- SUPRANATIONAL (e)(f) 2.1% Eurofima 4.750% due 07/07/2004 (i) SK 60,900 5,680 European Investment Bank 6.000% due 05/07/2003 BP 3,250 4,863 8.000% due 06/10/2003 3,250 5,026 -------- Total Supranational 15,569 (Cost $16,433) -------- SWEDEN (e)(f) 0.3% Kingdom of Sweden 5.000% due 01/28/2009 SK 27,000 $ 2,502 -------- Total Sweden 2,502 (Cost $2,673) -------- UNITED KINGDOM (e)(f) 10.1% Abbey National Treasury Service PLC 5.250% due 01/21/2004 BP 2,670 3,936 Bauhaus Securities Ltd. 5.099% due 10/30/2052 (d) EC 6,000 5,455 British Telecom PLC 4.445% due 12/15/2003 (d) $ 20,380 20,788 Core 3.345% due 03/17/2009 (d) 2,679 2,668 Haus Ltd. 4.836% due 12/14/2037 (d) EC 8,500 7,749 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 5,540 5,541 4.727% due 07/15/2040 (d) EC 1,100 1,002 Lloyds TSB Capital 7.375% due 02/07/2049 500 485 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 1,021 932 Royal Bank of Scotland Group PLC 6.070% due 09/30/2031 $ 4,500 4,549 United Kingdom Gilt 7.500% due 12/07/2006 BP 4,800 7,889 7.250% due 12/07/2007 4,800 7,925 5.750% due 12/07/2009 (i) 4,690 7,264 -------- Total United Kingdom 76,183 (Cost $75,821) -------- UNITED STATES (e)(f) 77.0% Asset-Backed Securities 18.6% Advanta Mortgage Loan Trust 3.945% due 07/25/2026 (d) $ 176 176 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 561 561 2.961% due 07/25/2030 (d) 5,919 5,930 2.941% due 01/25/2031 (d) 11,247 11,225 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 100 101 Amresco Residential Securities Mortgage Loan Trust 4.050% due 06/25/2029 (d) 7,988 8,010 Bank One Auto Grantor Trust 6.290% due 07/20/2004 192 194 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 252 253 4.182% due 11/25/2030 (d) 9,400 9,435 Chase Funding Loan Acquisition Trust 3.970% due 04/25/2031 (d) 14,238 14,151 Conseco Finance 3.857% due 10/15/2031 (d) 831 835 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 12,279 7,666 3.930% due 08/25/2031 (d) 491 491 Delta Funding Home Equity Loan Trust 7.380% due 12/15/2017 71 72 EQCC Home Equity Loan Trust 3.307% due 03/20/2030 277 277 First Alliance Mortgage Loan Trust 3.287% due 12/20/2027 (d) 167 167 GMAC Mortgage Corp. Loan Trust 3.696% due 11/18/2015 (d) 3,320 3,325 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 2,500 2,503
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 139 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Home Loan Trust 5.074% due 01/25/2014 $ 4,743 $ 4,791 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 4,068 4,118 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 7,730 7,730 Long Beach Mortgage Loan Trust 3.860% due 01/21/2031 (d) 6,680 6,689 2.863% due 09/25/2031 (d) 800 800 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 2,979 2,990 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 639 642 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 1,326 1,320 Providian Gateway Master Trust 3.707% due 03/15/2007 (d) 13,300 13,347 Providian Home Equity Loan Trust 3.870% due 06/25/2025 (d) 2,513 2,517 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 33 33 Residential Asset Securities Corp. 3.806% due 09/25/2031 (d) 5,500 5,500 2.901% due 01/25/2032 (d) 9,116 9,128 Salomon Brothers Mortgage Securities VII 3.907% due 11/15/2029 (d) 1,712 0 3.001% due 02/25/2030 (d) 13,277 5,921 2.921% due 02/25/2031 (d) 3,853 3,851 United Panama Mortgage Loan 3.111% due 10/25/2029 (d) 5,601 5,606 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 283 285 -------- 140,640 -------- Convertible Bonds & Notes 0.3% Axa 2.500% due 01/01/2014 EC 835 684 Finmeccanica SpA 2.000% due 06/08/2005 544 489 Hellenic Finance 2.000% due 07/15/2003 1,600 1,459 -------- 2,632 -------- Corporate Bonds & Notes 14.3% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 2,000 2,261 Allegheny Energy Supply 5.113% due 05/01/2002 (d) 2,900 2,904 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 2,670 2,669 Beckman Coulter, Inc. 7.100% due 03/04/2003 344 352 Capital One Bank 4.415% due 07/28/2003 (d) 12,000 11,867 CIT Group, Inc. 4.270% due 04/07/2003 (d) 138 138 DaimlerChrysler North America Holding Corp. 3.797% due 08/23/2002 (d) 3,900 3,902 DQE Capital Corp. 4.270% due 01/15/2002 (d) 800 801 Finova Group, Inc. 7.500% due 11/15/2009 1,710 671 Ford Motor Credit Co. 3.255% due 06/20/2003 (d) 5,200 5,138 1.000% due 12/22/2003 JY 107,000 904 4.110% due 07/19/2004 (d) $ 2,800 2,751 1.200% due 02/07/2005 JY 619,000 5,238 General Electric Finance Assurance 1.600% due 06/20/2011 520,000 4,285 General Motors Acceptance Corp. 3.661% due 08/18/2003 (d) $ 4,790 4,719 General Motors Corp. 1.250% due 12/20/2004 JY 208,000 1,770 Goldman Sachs Group, Inc. 3.790% due 12/07/2001 (d) $ 8,000 8,016 International Game Technology 7.875% due 05/15/2004 1,600 1,608 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) $ 4,670 $ 4,555 Jones Intercable, Inc. 8.875% due 04/01/2007 427 466 MGM Mirage, Inc. 6.950% due 02/01/2005 180 182 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 7,300 7,309 NeHi, Inc. 7.600% due 06/09/2003 (d) 2,000 2,010 Pfizer, Inc. 0.800% due 03/18/2008 JY 637,000 5,344 Protective Life Funding Trust 4.110% due 01/17/2003 (d) $ 1,200 1,204 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 13,564 13,634 3.815% due 02/11/2003 (d) 400 401 Sprint Capital Corp. 5.875% due 05/01/2004 690 706 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 1,500 1,502 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 7,600 7,610 WorldCom, Inc. 7.375% due 01/15/2003 3,100 3,208 -------- 108,125 -------- Mortgage-Backed Securities 19.3% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 283 281 Bear Stearns Adjustable Rate Mortgage Trust 5.920% due 02/25/2031 (d) 6,800 6,883 7.007% due 02/25/2031 (d) 3,757 3,776 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,406 1,429 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,227 1,235 6.500% due 03/25/2029 140 142 Crusade Global Trust 3.900% due 05/15/2021 (d) 10,680 10,712 Fannie Mae 6.527% due 07/01/2021 (d) 457 471 8.374% due 11/01/2022 (d) 411 423 8.209% due 01/01/2023 (d) 839 865 7.040% due 08/01/2023 (d) 816 840 6.768% due 12/01/2030 (d) 3,487 3,632 Freddie Mac 6.000% due 03/15/2008 244 244 5.750% due 09/15/2010 EC 1,600 1,521 5.000% due 01/15/2012 1,700 1,538 9.050% due 06/15/2019 $ 44 47 6.595% due 06/01/2022 (d) 964 968 8.146% due 08/01/2022 (d) 336 347 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 514 Government National Mortgage Association 7.625% due 11/20/2021 (d) 379 392 7.375% due 05/20/2022 (d) 38 38 7.750% due 07/20/2022 (d) 387 399 7.750% due 09/20/2022 (d) 243 251 6.375% due 05/20/2023 (d) 416 427 7.750% due 07/20/2023 (d) 396 408 7.750% due 07/20/2023 (d) 197 203 7.750% due 08/20/2023 (d) 178 184 7.750% due 09/20/2023 (d) 1,060 1,093 7.750% due 09/20/2023 (d) 469 484 7.625% due 10/20/2023 (d) 1,938 2,004 7.625% due 10/20/2024 (d) 162 167 6.375% due 04/20/2025 (d) 126 129 7.750% due 07/20/2025 (d) 2,360 2,433 7.750% due 09/20/2025 (d) 488 503 7.625% due 12/20/2025 (d) 199 206 6.375% due 05/20/2026 (d) 1,148 1,174
140 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) 7.750% due 09/20/2026 (d) $ 382 $ 394 6.375% due 04/20/2027 (d) 981 1,003 7.750% due 08/20/2027 (d) 1,270 1,309 6.375% due 04/20/2028 (d) 801 817 6.000% due 10/15/2028-05/20/2030 (d)(g) 19,920 11,335 5.250% due 04/20/2030-05/20/2030 (d)(g) 14,207 10,701 6.500% due 10/22/2031 (d) 43,060 44,055 8.500% due 10/22/2031 (d) 2,000 2,123 Prudential Home Mortgage Securities 6.800% due 05/25/2024 493 517 Residential Funding Mortgage Securities, Inc. 6.500% due 05/25/2029 1,361 1,308 4.430% due 05/12/2032 (d) 9,450 9,465 Small Business Investment Cos. 6.640% due 02/10/2011 4,400 4,590 6.334% due 08/10/2011 6,000 6,150 Structured Asset Mortgage Investments, Inc. 6.576% due 06/25/2029 (d) 2,738 2,814 Washington Mutual, Inc. 6.818% due 12/25/2040 (d) 2,966 2,976 ------- 145,920 ------- Municipal Bonds & Notes 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 20 7.180% due 01/01/2037 (d) 500 463 ------- U.S. Government Agencies 4.7% Fannie Mae 5.375% due 03/08/2004 10,100 10,228 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 14,000 14,067 5.665% due 03/22/2006 3,200 3,383 5.660% due 04/26/2006 1,200 1,269 5.375% due 05/15/2006 6,200 6,481 ------- 35,428 ------- U.S. Treasury Obligations 18.8% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 5,209 5,300 3.875% due 01/15/2009 2,381 2,505 3.625% due 04/15/2028 4,829 4,960 3.875% due 04/15/2029 216 233 U.S. Treasury Bonds 6.250% due 08/15/2023 8,700 9,547 6.250% due 05/15/2030 4,500 4,992 U.S. Treasury Notes 5.625% due 05/15/2008 50,700 54,688 6.000% due 08/15/2009 54,300 59,817 ------- 142,042 ------- Shares Preferred Security 0.9% DG Funding Trust 5.960% due 12/29/2049 (d) 640 6,592 ------- Total United States 581,842 (Cost $578,482) ------- PURCHASED CALL OPTIONS 0.4% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2002 $ 595,000 662 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 127,900 2,128 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 113.750 Exp. 11/01/2001 51,000 0 ------- Total Purchased Call Options 2,790 (Cost $1,357) ------- PURCHASED PUT OPTIONS 0.8% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/17/2001 $ 80,000 $ 10 Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 173,000 4 Interest Rate Swap (OTC) 7.500% due 05/01/2031 Strike @ 7.500 Exp. 04/29/2002 11,200 32 Japanese Government Bond (OTC) 6.000% due 12/31/2001 Strike @ 129.000 Exp. 12/03/2001 2,000,000 2 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 116.470 Exp. 10/01/2001 88,300 5,800 ---------- Total Purchased Put Options 5,848 (Cost $11,548) ---------- SHORT-TERM INSTRUMENTS 11.9% Commercial Paper 11.4% Abbey National North America 2.550% due 10/24/2001-10/29/2001 (g) 19,000 9,774 American Electric Power, Inc. 4.260% due 02/13/2002 5,310 5,260 CBA (de) Finance 3.560% due 10/26/2001 34,000 33,915 3.530% due 10/29/2001 5,000 4,986 Fannie Mae 2.450% due 11/01/2001 700 698 General Electric Capital Corp. 3.550% due 10/02/2001 5,500 5,498 3.670% due 12/26/2001 1,600 1,590 3.650% due 12/27/2001 15,000 14,906 General Motors Acceptance Corp. 3.550% due 11/21/2001 2,200 2,189 Swedbank, Inc. 3.570% due 11/20/2001 1,700 1,692 UBS Finance, Inc. 3.240% due 11/19/2001 2,000 1,991 3.550% due 12/19/2001 3,300 3,281 -------- 85,780 -------- Repurchase Agreement 0.0% State Street Bank 2.600% due 10/01/2001 137 137 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $141. Repurchase proceeds are $137.) U.S. Treasury Bills 0.5% 2.600% due 10/18/2001 (b)(g) 4,150 4,145 -------- Total Short-Term Instruments 90,062 (Cost $89,978) -------- Total Investments (a) 166.3% $1,255,354 (Cost $1,260,131) Written Options (c) (0.4%) (2,854) (Premiums $2,279) Other Assets and Liabilities (Net) (65.9%) (497,491) -------- Net Assets 100.0% $755,009 --------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 141 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 15,185 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (19,962) -------- Unrealized depreciation-net $ (4,777) -------- (b) Securities with an aggregate market value of $9,145 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts (Depreciation) - --------------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2001) 119 $ 28 Government of Japan 10 Year Note (12/2001) 174 (980) ----------- $ (952) -----------
(c) Premiums received on written options:
# of Type Contracts Premium Value - ---------------------------------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 88 $ 31 $ 1 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 555 353 954 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 266 98 2 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 619 250 4 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 5,700,000 129 263 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 595 447 394 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 26,500,000 609 1,222 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 16,000,000 362 14 ------------------- $ 2,279 $ 2,854 -------------------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------- Sell A$ 984 10/2001 $ 34 Sell BP 24,219 10/2001 7 Sell C$ 7,582 10/2001 46 Sell DK 57,839 12/2001 96 Buy EC 10,301 10/2001 (86) Sell 156,398 10/2001 881 Buy H$ 33,776 11/2001 (1) Buy JY 231,000 10/2001 27 Sell 5,390,597 10/2001 (348) Sell N$ 14,985 10/2001 476 Buy SF 20,702 11/2001 (370) Sell 46,561 11/2001 286 Buy SK 8,900 10/2001 (30) Sell 44,746 10/2001 125 ------- $ 1,143 ------- (f) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgium Franc BP - British Pound C$ - Canadian Dollar DK - Danish Krone EC - Euro DM - German Mark H$ - Hong Kong Dollar JY - Japanese Yen N$ - New Zealand Dollar SP - Spanish Peseta SF - Swiss Franc SK - Swedish Krona (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 6,290,000 $ (70) Receive a fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 236 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 293,000 (3,956) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 101,600 (745)
142 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 24,330 $ (317) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 (997) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 EC 47,500 (108) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 46,760 (250) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2031 14,100 (235) Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 37,200 3,573 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 419,000 (3,339) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 53,700 2,896 Receive a fixed rate equal to 5.440% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 9,500 402 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 73,800 (478) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 30,200 78 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 145,900 704 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 BP 25,900 $ (28) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 11,000 167 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 11,000 (120) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 53,370 481 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 13,030 648 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 152,400 8,146 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 16,800 916 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 6,600 373 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 38,400 (1,960) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2031 EC 4,000 (76) Pay total return on Lehman Intermediate Government Index and receive floating rate based on 1-month LIBOR less 0.250%. Broker: Lehman Brothers Exp. 10/01/2002 $ 34,400 (201) Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 5,300 1
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 143 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 $ 5,000 $ 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 6,700 0 ---------- $ 5,741 ----------
Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - ------------------------------------------------------------------------------------------------------------ Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.787 $110,400 $ 182 Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.675 19,500 (603) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.896 61,000 325 ---------- $ (96) ----------
(k) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ----------------------------------------------------------------------------------------------- U.S. Treasury Note 6.000 08/15/2009 54,300 $59,818 $57,463 U.S. Treasury Note 5.625 05/15/2008 50,700 54,689 52,847 Republic of Argentina 1.000 03/31/2005 6,328 4,458 4,206 U.S. Treasury Bonds 6.250 05/15/2030 4,500 4,993 4,955 --------------------- $123,958 $119,471 ---------------------
144 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Global Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) AUSTRALIA (i)(j) 2.0% General Motors Acceptance Corp. 4.633% due 03/25/2002 (d) EC 1,000 $ 909 Medallion Trust 4.020% due 07/12/2031 (d) $ 2,367 2,370 Rams Mortgage Corporation Ltd. 3.910% due 09/26/2032 (d) EC 484 441 Superannuation Members Home Loans Global Fund 3.410% due 06/15/2026 (d) $ 1,600 1,602 Torrens Trust 3.750% due 07/15/2031 (d) 1,146 1,146 ------------- Total Australia 6,468 (Cost $6,525) ------------- AUSTRIA (i)(j) 0.2% Republic of Austria 5.500% due 01/15/2010 EC 600 567 ------------- Total Austria 567 (Cost $520) ------------- BELGIUM (i)(j) 1.0% Kingdom of Belgium 5.100% due 11/21/2004 (d) BF 95,900 2,345 7.500% due 07/29/2008 (f) EC 900 950 ------------- Total Belgium 3,295 (Cost $4,111) ------------- BRAZIL 1.0% Republic of Brazil 5.437% due 04/15/2006 (d)(f) $ 3,896 3,244 ------------- Total Brazil 3,244 (Cost $3,546) ------------- CANADA (i)(j) 7.8% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 1,460 938 Commonwealth of Canada 6.000% due 09/01/2005 (d) 16,000 10,704 7.000% due 12/01/2006 (d) 7,900 5,520 7.250% due 06/01/2007 (d) 11,000 7,808 5.500% due 06/01/2010 1,100 708 ------------- Total Canada 25,678 (Cost $25,861) ------------- CAYMAN ISLANDS (i)(j) 2.3% Geldilux Ltd. 4.610% due 02/12/2002 EC 3,500 3,188 International Credit Recovery-Japan 0.370% due 08/25/2005 (d) JY 34,433 289 0.470% due 08/25/2005 (d) 20,000 167 0.821% due 05/10/2006 (d) 300,000 2,517 SHL Corp. Ltd. 0.461% due 12/25/2024 (d) 61,271 514 0.761% due 12/25/2024 (d) 103,000 864 ------------- Total Cayman Islands 7,539 (Cost $7,334) ------------- DENMARK (i)(j) 0.7% Nykredit 6.000% due 10/01/2029 DK 14,811 1,779 Unikredit Realkredit 6.000% due 07/01/2029 3,462 416 ------------- Total Denmark 2,195 (Cost $1,993) ------------- EGYPT 0.4% Republic of Egypt 8.750% due 07/11/2011 1,500 1,339 ------------- Total Egypt 1,339 (Cost $1,500) ------------- FRANCE (i)(j) 12.4% France Telecom 5.148% due 03/14/2003 (d) $ 600 603 Republic of France 5.500% due 04/25/2007 EC 6,170 5,935 4.000% due 04/25/2009 (f) 2,260 1,964 3.000% due 07/25/2009 (e) 1,896 1,679 4.000% due 10/25/2009 (f) 16,080 13,887 5.500% due 04/25/2010 17,860 17,009 ------------- Total France 41,077 (Cost $38,983) ------------- GERMANY (i)(j) 7.9% Commerzbank AG 4.924% due 10/25/2032 (d) EC 3,700 3,372 Depfa Pfandbriefbank 4.750% due 07/15/2008 860 780 5.750% due 03/04/2009 (f) 860 823 DT Hypothekenbank 3.500% due 07/03/2006 4,000 3,503 Hypothekenbank in Essen AG 5.500% due 02/20/2007 (f) 1,350 1,282 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 1,720 1,638 Landesbank Rheinland Pfalz 4.750% due 04/04/2008 (f) 2,130 1,938 Republic of Germany 4.000% due 07/04/2009 (f) 900 785 5.375% due 01/04/2010 500 475 6.500% due 07/04/2027 (f) 1,830 1,868 6.250% due 01/04/2030 (f) 900 897 5.500% due 01/04/2031 (f) 7,200 6,506 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 1,750 1,537 WestDeutsche Landersbank 4.750% due 09/28/2007 860 788 ------------- Total Germany 26,192 (Cost $25,308) ------------- GREECE (i)(j) 0.7% Hellenic Republic 7.850% due 05/19/2003 (d) EC 440 405 7.890% due 06/17/2003 (d) 346 322 7.080% due 10/23/2003 (d) 1,595 1,500 ------------- Total Greece 2,227 (Cost $2,803) ------------- IRELAND (i)(j) 0.9% Diageo Enterprises PLC 3.829% due 12/19/2002 (d) EC 3,100 2,820 ------------- Total Ireland 2,820 (Cost $2,634) ------------- ITALY (i)(j) 12.4% First Italian Auto Transaction 4.598% due 07/01/2008 (d) EC 4,600 4,168 4.762% due 07/01/2010 (d) 3,200 2,911 International Credit Recovery 4.514% due 03/30/2010 (d) 800 729 Island Finance 5.109% due 01/15/2015 (d) 1,484 1,355
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 145 Schedule of Investments (Cont.) Global Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Republic of Italy 5.750% due 09/15/2002 (f) $ 7,200 $ 6,692 4.750% due 07/01/2005 6,690 6,240 7.750% due 11/01/2006 (f) 3,100 3,238 4.500% due 05/01/2009 (f) 13,100 11,692 4.250% due 11/01/2009 (f) 2,470 2,149 5.500% due 11/01/2010 (f) 2,350 2,212 ------------- Total Italy 41,386 (Cost $40,143) ------------- MEXICO (i)(j) 1.2% Bancomext Trust 8.000% due 08/05/2003 $ 180 185 Petroleos Mexicanos 8.850% due 09/15/2007 480 493 9.375% due 12/02/2008 650 679 United Mexican States 8.750% due 05/30/2002 BP 150 222 10.375% due 01/29/2003 DM 3,654 1,778 4.000% due 03/11/2004 JY 73,000 634 ------------- Total Mexico 3,991 (Cost $4,278) ------------- NEW ZEALAND (i)(j) 1.7% Commonwealth of New Zealand 5.500% due 04/15/2003 N$ 1,900 777 4.500% due 02/15/2016 11,421 5,010 ------------- Total New Zealand 5,787 (Cost $7,018) ------------- PERU 0.4% Republic of Peru 4.500% due 03/07/2017 (d) $ 1,700 1,196 ------------- Total Peru 1,196 (Cost $1,197) ------------- SOUTH KOREA (i)(j) 1.3% Export-Import Bank Korea 6.500% due 02/10/2002 $ 500 505 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 500 497 Korea Development Bank 1.875% due 02/13/2002 JY 380,000 3,194 ------------- Total South Korea 4,196 (Cost $4,203) ------------- SPAIN (i)(j) 4.9% Hipotebansa V. Hipotecaria 4.660% due 01/18/2018 (d) SP 648,793 3,556 Kingdom of Spain 4.950% due 07/30/2005 (f) EC 6,480 6,074 5.150% due 07/30/2009 (f) 6,140 5,698 4.000% due 01/31/2010 (f) 980 834 ------------- Total Spain 16,162 (Cost $15,659) ------------- SUPRANATIONAL (i)(j) 1.7% Asian Development Bank 5.375% due 09/15/2003 A$ 2,300 1,154 Eurofima 4.750% due 07/07/2004 SK 4,700 438 European Investment Bank 6.000% due 05/07/2003 BP 1,600 2,394 8.000% due 06/10/2003 (d) 1,000 1,546 ------------- Total Supranational 5,532 (Cost $5,788) ------------- SWEDEN (i)(j) 0.6% Kingdom of Sweden 5.000% due 01/28/2009 SK 20,200 $ 1,872 ------------- Total Sweden 1,872 (Cost $2,003) ------------- UNITED KINGDOM (i)(j) 11.4% Abbey National Treasury Service PLC 7.625% due 12/30/2002 BP 250 379 5.250% due 01/21/2004 150 221 Bauhaus Securities Ltd. 4.784% due 10/30/2052 (d) EC 5,500 5,000 BG Transco Holdings PLC 7.057% due 12/14/2009 (d) BP 1,060 1,552 British Telecom PLC 4.445% due 12/15/2003 (d) $ 2,600 2,652 Core 3.345% due 03/17/2009 (d) 263 262 4.597% due 01/16/2006 (d) DM 2,516 1,159 Haus Ltd. 4.424% due 12/10/2015 (d) EC 241 219 4.824% due 12/14/2037 (d) 4,200 3,829 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 3,200 3,201 4.727% due 07/15/2040 (d) EC 3,100 2,822 4.365% due 12/15/2025 (d) 2,681 2,440 Lloyds TSB Bank PLC 5.625% due 07/15/2049 (d) 2,410 2,099 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 1,106 1,010 RMAC PLC 4.951% due 12/09/2032 (d) BP 1,459 2,144 Royal Bank of Scotland Group PLC 7.648% due 09/30/2031 $ 2,000 2,022 United Kingdom Gilt 7.500% due 12/07/2006 (f) BP 1,850 3,041 7.250% due 12/07/2007 (f) 1,850 3,054 Vodafone Group PLC 3.986% due 12/19/2001 (d) 500 501 Westlb Finance Curacao NV 8.500% due 06/02/2003 110 170 ------------- Total United Kingdom 37,777 (Cost $37,750) ------------- UNITED STATES (i)(j) 83.5% Asset-Backed Securities 14.3% AFC Home Equity Loan Trust 2.971% due 12/22/2027 (d) $ 533 522 2.961% due 07/25/2030 (d) 3,055 3,061 2.941% due 01/25/2031 (d) 2,616 2,611 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 100 101 Amresco Residential Securities Mortgage Loan Trust 4.262% due 06/25/2029 (d) 1,943 1,948 Argentina Funding Corp. 3.317% due 05/20/2003 (d) 300 300 Auto Asset-Backed Securities Compartiment 4.599% due 10/28/2011 3,000 2,730 Bank One Auto Grantor Trust 6.290% due 07/20/2004 96 97 Bayview Financial Acquisition Trust 3.970% due 11/25/2030 (d) 3,200 3,212 Chase Funding Loan Acquisition Trust 3.980% due 04/25/2031 (d) 4,000 3,976 Conseco Finance 3.857% due 10/15/2031 (d) 640 642 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 2,552 2,555 GMAC Mortgage Corp. Loan Trust 5.000% due 01/18/2005 EC 800 709 3.696% due 11/18/2015 (d) $ 934 935
146 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Home Loan Trust 5.074% due 01/25/2014 $ 2,237 $ 2,260 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 1,617 1,637 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 3,300 3,300 Marriott Vacation Club Owner Trust 3.407% due 09/20/2017 (d) 2,434 2,412 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 291 292 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 2,043 2,043 2.841% due 08/25/2028 (d) 917 918 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 663 660 Provident Bank Home Equity Loan Trust 2.881% due 04/25/2029 (d) 423 421 Providian Gateway Master Trust 3.707% due 03/15/2007 (d) 3,000 3,011 Providian Home Equity Loan Trust 3.870% due 06/25/2025 (d) 250 251 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 15 15 Residential Asset Securities Corp. 3.806% due 09/25/2031 (d) 3,300 3,300 SallieMae 4.173% due 10/25/2004 (d) 47 47 Salomon Brothers Mortgage Securities VII 3.840% due 02/25/2031 (d) 1,957 1,956 Sand Trust 3.860% due 08/25/2032 (d) 1,300 1,300 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 168 169 -------------- 47,391 -------------- Convertible Bonds & Notes 0.7% Axa 2.500% due 01/01/2014 EC 405 331 Finmeccanica SpA 2.000% due 06/08/2005 1,538 1,382 Hellenic Finance 2.000% due 07/15/2003 500 456 -------------- 2,169 -------------- Corporate Bonds & Notes 12.8% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 1,000 1,130 Allegheny Energy Supply 4.478% due 05/01/2002 (d) 1,400 1,402 Associates Corp. of North America 4.496% due 06/30/2003 (d) EC 800 731 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) $ 1,390 1,389 Beckman Coulter, Inc. 7.100% due 03/04/2003 138 141 Capital One Bank 4.415% due 07/28/2003 (d) 500 494 CIT Group, Inc. 4.270% due 04/07/2003 (d) 500 502 DaimlerChrysler North America Holding Corp. 3.797% due 08/23/2002 (d) 960 960 DQE Capital Corp. 4.270% due 01/15/2002 (d) 400 400 Finova Group, Inc. 7.500% due 11/15/2009 906 356 Ford Motor Credit Co. 1.000% due 12/22/2003 JY 55,000 465 4.110% due 07/19/2004 (d) $ 300 295 1.200% due 02/07/2005 JY 326,000 2,759 4.200% due 07/18/2005 (d) $ 2,400 2,342 General Motors Acceptance Corp. 9.000% due 10/15/2002 1,140 1,197 5.096% due 04/05/2004 (d) 1,200 1,176 6.875% due 09/09/2004 BP 730 1,111 5.500% due 02/02/2005 EC 2,500 2,289 7.430% due 12/01/2021 $ 245 247 Household Finance Corp. 4.025% due 08/06/2002 (d) 850 853 International Game Technology 7.875% due 05/15/2004 700 704 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 760 741 Jones Intercable, Inc. 8.875% due 04/01/2007 164 179 Lehman Brothers Holdings, Inc. 4.570% due 07/15/2002 (d) 500 502 Merrill Lynch & Co. 3.847% due 05/21/2004 (d) 700 701 MGM Mirage, Inc. 6.950% due 02/01/2005 80 81 Morgan Stanley Dean Witter & Co. 3.830% due 01/28/2002 (d) 1,000 1,001 Pfizer, Inc. 0.800% due 03/18/2008 171,000 1,434 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 600 602 Rollins Truck Leasing Co. 8.250% due 05/01/2002 1,000 1,024 Salomon Smith Barney Holdings 3.650% due 02/14/2002 (d) 8,953 9,000 5.620% due 10/21/2002 (d) BP 90 132 Sprint Capital Corp. 5.875% due 05/01/2004 $ 280 287 TCI Communications, Inc. 4.461% due 04/01/2002 (d) 2,600 2,608 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 2,200 2,203 WorldCom, Inc. 7.375% due 01/15/2003 1,000 1,035 ------------- 42,473 ------------- Mortgage-Backed Securities 16.6% Bear Stearns Adjustable Rate Mortgage Trust 5.913% due 02/25/2031 (d) 3,100 3,138 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 929 944 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,721 1,732 6.500% due 03/25/2029 60 61 7.430% due 01/01/2024 248 256 Crusade Global Trust 3.900% due 05/15/2021 (d) 5,192 5,207 Fannie Mae 7.000% due 01/01/2005 458 472 6.500% due 04/01/2009 311 325 7.500% due 10/15/2031 1,000 1,040 7.500% due 11/01/2001 37 37 7.500% due 01/01/2002 190 194 15.750% due 12/01/2011 5 6 13.000% due 09/01/2013 16 18 9.000% due 04/01/2016 181 196 8.516% due 11/01/2023 (d) 110 114 7.804% due 03/01/2024 (d) 77 79 Freddie Mac 6.000% due 03/15/2008 162 163 5.000% due 01/15/2012 3,700 2,553 7.400% due 02/01/2021 1,119 1,133 7.179% due 05/01/2023 (d) 308 315 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 450 463 Government National Mortgage Association 6.375% due 05/20/2023 (d) 246 252 6.375% due 06/20/2023 (d) 195 200 6.375% due 02/20/2024 (d) 1,136 1,159 6.375% due 04/20/2028 744 760 4.230% due 02/16/2030 (d) 3,477 3,490 6.000% due 04/20/2030-05/20/2030 (d)(g) 2,631 1,569 5.250% due 05/20/2030 (d) 778 787 6.500% due 10/22/2031 (d) 14,000 14,324 7.750% due 07/20/2022 (d) 188 194 7.750% due 09/20/2022 (d) 116 119
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 147 Schedule of Investments (Cont.) Global Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) 7.750% due 09/20/2022 (d) $ 266 $ 275 7.750% due 07/20/2023 (d) 219 226 7.750% due 07/20/2023 (d) 190 195 7.750% due 09/20/2023 (d) 137 141 7.750% due 09/20/2023 (d) 376 387 7.625% due 12/20/2023 (d) 225 232 7.625% due 10/20/2024 (d) 142 146 7.625% due 12/20/2025 (d) 99 103 7.750% due 09/20/2026 (d) 153 157 7.625% due 11/20/2026 (d) 226 232 7.625% due 12/20/2026 (d) 284 293 8.500% due 10/22/2031 (d) 6,000 6,369 13.500% due 02/15/2011 10 12 Homeside Mortgage Securities Trust 3.950% due 01/20/2027 (d) 1,252 1,250 Independent National Mortgage Corp. 5.475% due 07/25/2025 (d) 186 186 J.P. Morgan Commercial Mortgage Finance Corp. 3.767% due 04/15/2010 (d) 385 385 Residential Funding Mortgage Securities I 8.278% due 03/25/2025 (d) 289 289 Small Business Investment Cos. 7.640% due 03/10/2010 990 1,092 Structured Asset Mortgage Investments, Inc. 6.578% due 06/25/2029 (d) 1,435 1,475 Washington Mutual, Inc. 3.953% due 07/26/2003 (d) 82 82 --------------- 54,827 --------------- Municipal Bonds & Notes 0.0% Chicago, Illinois General Obligation Bonds, (FGIC Insured), Series 2001 7.770% due 01/01/2029 (d) 125 121 --------------- U.S. Government Agencies 0.7% Small Business Administration 6.640% due 02/01/2011 2,300 2,399 --------------- U.S. Treasury Obligations 37.7% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (b) 2,327 2,368 3.625% due 04/15/2028 549 564 3.875% due 04/15/2029 2,159 2,319 U.S. Treasury Bonds 7.500% due 11/15/2016 (f) 23,900 29,386 6.250% due 08/15/2023 1,600 1,756 6.250% due 05/15/2030 (f) 2,000 2,176 U.S. Treasury Notes 5.625% due 05/15/2008 52,600 56,738 6.000% due 08/15/2009 (f) 5,800 6,389 U.S. Treasury Strips 0.000% due 11/15/2016 (f) 53,800 23,116 --------------- 124,812 ---------------- Shares Preferred Security 0.7% DG Funding Trust 5.960% due 12/29/2049 (d) 130 1,339 Pinto Totta International Finance 7.770% due 12/31/2049 1,000 1,024 --------------- 2,363 --------------- Total United States 276,555 (Cost $273,942) --------------- PURCHASED CALL OPTIONS (f) 0.3% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2002 $ 258,000 287 Interest Rate Swap (OTC) 4.750% 4.750% due 05/1/2004 Strike @ 4.750 Exp. 04/29/2002 45,500 757 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 113.750 Exp. 11/01/2001 53,000 0 --------------- Total Purchased Call Options 1,044 (Cost $545) --------------- PURCHASED PUT OPTIONS (e)(f) 0.1% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/14/2001 200,000 3 Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 73,000 2 Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 298,000 1 Government National Mortgage Association (OTC) 8.500% due 11/20/2031 Strike @ 94.500 Exp. 11/13/2001 6,000 6 Government National Mortgage Association (OTC) 6.500% due 11/20/2031 Strike @ 90.630 Exp. 11/13/2001 14,000 12 Interest Rate Swap (OTC) 7.500% due 05/01/2012 Strike @ 7.500 Exp. 04/29/2002 4,900 14 Republic of France 4.000% due 10/25/2009 Strike @ 88.000 Exp. 10/03/2001 35,000 0 U.S. Treasury Note 6.000% due 08/15/2009 Strike @ 116.470 Exp. 10/03/2001 2,700 177 --------------- Total Purchased Put Options 215 (Cost $538) --------------- SHORT-TERM INSTRUMENTS 4.0% Commercial Paper 2.5% CDC 3.380% due 10/01/2001 6,000 6,000 UBS Finance, Inc. 3.240% due 11/19/2001 2,400 2,389 --------------- 8,389 --------------- Repurchase Agreement 0.6% State Street Bank 2.600% due 10/01/2001 2,060 2,060 (Dated 09/28/2001. Collateralized by Fannie Mae 4.890% due 05/07/2003 valued at $2,105. Repurchase proceeds are $2,060.) U.S. Treasury Bills 0.9% 2.600% due 10/18/2001 (b) 2,900 2,896 --------------- Total Short-Term Instruments 13,345 (Cost $13,345) --------------- Total Investments (a) 160.7% $ 531,699 (Cost $527,527) Written Options (c) (0.4%) (1,314) (Premiums $1,044) Other Assets and Liabilities (Net) (60.3%) (199,529) --------------- Net Assets 100.0% $ 330,856 --------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 11,306 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (7,134) --------------- Unrealized appreciation-net $ 4,172 ---------------
148 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (b) Securities with an aggregate market value of $5,264 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts (Depreciation) - --------------------------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2001) 20 $ 5 Government of Japan 10 Year Note (12/2001) 64 (379) ------------- $ (374) -------------
(c) Premiums received on written options:
# of Type Contracts Premium Value - --------------------------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 41 $ 15 $ 0 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 201 128 345 Call - CBOT U.S. Treasury Note December Futures Strike @ 105.000 Exp. 11/24/2001 65 116 258 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 134 49 1 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 298 119 2 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 258 194 171 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 11,500,000 264 531 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 7,000,000 159 6 ------------------- $ 1,044 $ 1,314 -------------------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Subject to financing transaction. (g) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (h) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ---------------------------------------------------------------------------------------------- U.S. Treasury Note 5.625 05/15/2008 52,600 $56,739 $54,828 U.S. Treasury Note 6.000 08/15/2009 5,800 6,389 6,156 Republic of Argentina 5.562 03/31/2005 3,752 2,643 2,494 U.S. Treasury Bond 6.250 05/15/2030 2,000 2,178 2,202 --------------------- $67,949 $65,680 ---------------------
(i) Foreign forward currency contracts outstanding at September 30, 2001:
Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ---------------------------------------------------------------------------- Buy A$ 2,506 10/2001 $ (87) Sell 1,906 10/2001 65 Buy BP 1,594 10/2001 0 Sell C$ 37 09/2001 2 Buy 10,748 10/2001 (66) Buy DK 7,123 12/2001 (12) Buy EC 37 09/2001 10 Buy 51,794 10/2001 (326) Sell 9,167 10/2001 (1) Buy H$ 16,568 11/2001 0 Buy JY 8,583,492 10/2001 572 Sell 134,800 10/2001 (13) Sell N$ 14,666 10/2001 467 Buy SF 9,437 11/2001 (169) Sell 21,766 11/2001 133 Buy SK 3,903 10/2001 (11) ------------ $ 564 ------------
(j) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgian Franc BP - British Pound C$ - Canadian Dollar DK - Danish Krone DM - German Mark EC - Euro H$ - Hong Kong Dollar JY - Japanese Yen N$ - New Zealand Dollar SF - Swiss Franc SK - Swedish Krona SP - Spanish Peseta (k) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 2,950,000 $ (33) Receive floating rate based on 3-month H$ HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 157,000 (2,120) Receive floating rate based on 3-month H$ HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 23,500 (172) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 11,910 (155) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.035%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,160,000 (663)
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 149 Schedule of Investments (Cont.) Global Bond Fund September 30, 2001 (Unaudited) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 JY 693,000 $ (213) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers EC 23,600 (54) Exp. 03/15/2016 Receive a fixed rate equal to 4.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 36,000 94 Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter 19,980 (121) Exp. 03/15/2016 Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter 7,200 (120) Exp. 03/15/2031 Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 19,900 1,911 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 221,000 (1,761) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 28,300 1,526 Receive a fixed rate equal to 5.900% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 01/26/2004 BP 7,500 168 Receive a fixed rate equal to 5.440% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 $ 800 34 Receive floating rate based on 3-month H$ HIBOR and pay a fixed rate equal to 5.550% Broker: Goldman Sachs Exp. 03/16/2006 H$ 6,000 (39) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 15,000 39 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 BP 64,200 $ 310 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 10,940 (5) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 18,900 150 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 5,400 82 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 5,400 (59) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 2,300 15 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 03/15/2004 7,300 217 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 3,010 150 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 99,900 5,354 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2031 5,500 (379) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 13,500 (834) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Bank of America Exp. 12/17/2011 44,300 0
150 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2031 EC 5,400 $ (103) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Goldman Sachs Exp. 12/17/2031 $ 13,400 (405) Receive a fixed rate equal to 1.450% and the Fund will pay to the couterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 2,400 1 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 2,300 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 3,300 0 ------------ $ 2,815 ------------
Fixed Spread Notional Unrealized Type (%) Amount Appreciation - -------------------------------------------------------------------------------------------------- Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.787 $ 46,700 $ 84 -------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 151 Schedule of Investments Global Bond Fund II September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) AUSTRALIA (i)(j) 3.4% General Motors Acceptance Corp. 3.890% due 03/25/2002 (d) EC 1,200 $ 1,090 Medallion Trust 4.020% due 07/12/2031 (d) $ 717 718 Rams Mortgage Corporation Ltd. 4.683% due 09/26/2032 213 194 Superannuation Members Home Loans Global Fund 4.145% due 06/15/2026 (d) 400 400 Torrens Trust 3.750% due 07/15/2031 (d) 337 337 ------------- Total Australia 2,739 (Cost $2,816) ------------- AUSTRIA (i)(j) 0.7% Republic of Austria 5.500% due 01/15/2010 EC 600 566 ------------- Total Austria 566 (Cost $512) ------------- BELGIUM (i)(j) 1.3% Kingdom of Belgium 5.100% due 11/21/2004 (d) BF 5,800 142 7.500% due 07/29/2008 (f) EC 900 950 ------------- Total Belgium 1,092 (Cost $1,151) ------------- BRAZIL (i)(j) 0.9% Republic of Brazil 5.437% due 04/15/2006 (d) EC 920 766 ------------- Total Brazil 766 (Cost $809) ------------- CANADA (i)(j) 8.5% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 330 212 Commonwealth of Canada 7.000% due 12/01/2006 (f) 8,900 6,219 5.500% due 06/01/2010 800 515 ------------- Total Canada 6,946 (Cost $7,085) ------------- CAYMAN ISLANDS (i)(j) 0.6% International Credit Recovery-Japan 0.370% due 08/25/2005 (d) JY 9,391 79 0.470% due 08/25/2005 (d) 10,000 84 MBNA American Euro 4.486% due 05/19/2004 (d) $ 280 255 SHL Corp. Ltd. 0.461% due 12/25/2024 (d) JY 6,808 57 ------------- Total Cayman Islands 475 (Cost $534) ------------- DENMARK (i)(j) 0.7% Nykredit 6.000% due 10/01/2029 DK 3,942 473 Unikredit Realkredit 6.000% due 07/01/2029 986 118 ------------- Total Denmark 591 (Cost $537) ------------- EGYPT 0.4% Republic of Egypt 8.750% due 07/11/2011 $ 400 357 ------------- Total Egypt 357 (Cost $400) ------------- FRANCE (i)(j) 10.0% Axa 2.500% due 01/01/2014 $ 62 $ 50 Compagnie Financiere de CIC-UE 4.470% due 10/29/2049 (d) 300 294 Republic of France 5.500% due 04/25/2007 (f) EC 470 452 4.000% due 04/25/2009 (f) 1,170 1,017 3.000% due 07/25/2009 (e) 315 279 4.000% due 10/25/2009 (f) 4,460 3,852 5.500% due 04/25/2010 2,330 2,219 ------------- Total France 8,163 (Cost $7,952) ------------- GERMANY (i)(j) 8.1% Commerzbank AG 4.920% due 10/25/2032 (d) EC 800 728 Depfa Pfandbriefbank 4.750% due 07/15/2008 130 118 5.750% due 03/04/2009 (f) 130 124 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 390 371 Landesbank Rheinland Pfalz 4.750% due 04/04/2008 810 737 Republic of Germany 4.125% due 07/04/2008 1,200 1,071 6.500% due 07/04/2027 (f) 1,300 1,327 6.250% due 01/04/2030 (f) 200 199 5.500% due 01/04/2031 (f) 1,500 1,356 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 390 343 WestDeutsche Landersbank 4.750% due 09/28/2007 190 174 ------------- Total Germany 6,548 (Cost $6,348) ------------- GREECE 0.1% Republic of Greece 5.580% due 06/17/2003 (d) $ 22 20 7.080% due 10/23/2003 (d) 99 93 ------------- Total Greece 113 (Cost $158) ------------- ITALY (i)(j) 14.0% Findomestic 4.764% due 12/20/2008 (d) IL 900 818 First Italian Auto Transaction 4.690% due 07/01/2008 (d) EC 1,090 987 International Credit Recovery 4.514% due 03/15/2010 (d) $ 300 273 Island Finance 5.109% due 01/15/2015 (d) EC 349 319 Republic of Italy 5.750% due 09/15/2002 (f) 2,700 2,509 4.750% due 07/01/2005 IL 1,680 1,567 7.750% due 11/01/2006 (f) EC 700 731 4.500% due 05/01/2009 3,980 3,539 4.250% due 11/01/2009 IL 720 626 ------------- Total Italy 11,369 (Cost $11,109) ------------- JAPAN (i)(j) 0.4% International Credit Recovery-Japan 0.351% due 05/22/2006 (d) JY 37,883 318 ------------- Total Japan 318 (Cost $311) -------------
152 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) MEXICO (i)(j) 1.6% Bancomext Trust 8.000% due 08/05/2003 $ 70 $ 72 Petroleos Mexicanos 8.850% due 09/15/2007 140 144 9.375% due 12/02/2008 190 199 United Mexican States 6.000% due 03/28/2002 JY 25,000 213 8.750% due 05/30/2002 BP 250 370 10.375% due 01/29/2003 DM 200 97 4.000% due 03/11/2004 JY 20,000 173 -------------- Total Mexico 1,268 (Cost $1,337) -------------- NEW ZEALAND (i)(j) 0.6% Commonwealth of New Zealand 4.500% due 02/15/2016 (f) N$ 1,130 496 -------------- Total New Zealand 496 (Cost $637) -------------- PERU 0.5% Republic of Peru 3.750% due 03/07/2017 (d) $ 250 160 4.500% due 03/07/2017 (d) 300 211 -------------- Total Peru 371 (Cost $378) -------------- SOUTH KOREA (i)(j) 1.2% Korea Development Bank 1.875% due 02/13/2002 JY 114,000 958 -------------- Total South Korea 958 (Cost $978) -------------- SPAIN (i)(j) 5.5% Hipotebansa V. Hipotecaria 4.660% due 01/18/2018 (d) SP 60,824 333 4.670% due 07/18/2022 133,912 730 Kingdom of Spain 4.950% due 07/30/2005 (f) EC 1,620 1,519 5.150% due 07/30/2009 (f) 1,990 1,848 -------------- Total Spain 4,430 (Cost $4,272) -------------- SUPRANATIONAL (i)(j) 2.5% Asian Development Bank 5.375% due 09/15/2003 A$ 600 301 5.250% due 09/15/2004 600 301 Eurofima 4.750% due 07/07/2004 (f) SK 7,200 672 European Investment Bank 6.000% due 05/07/2003 BP 250 374 8.000% due 06/10/2003 (d) 250 387 -------------- Total Supranational 2,035 (Cost $2,294) -------------- SWEDEN (i)(j) 0.3% Kingdom of Sweden 5.000% due 01/28/2009 SK 2,300 213 -------------- Total Sweden 213 (Cost $227) -------------- UNITED KINGDOM (i)(j) 10.3% Abbey National Treasury Service PLC 7.625% due 12/30/2002 BP 280 $ 424 Bauhaus Securities Ltd. 4.784% due 10/30/2052 (d) EC 750 682 British Telecom PLC 4.445% due 12/15/2003 (d) $ 1,200 1,224 Core 3.345% due 03/17/2009 (d) 368 366 Haus Ltd. 4.824% due 12/14/2037 (d) EC 1,500 1,368 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 700 700 4.727% due 07/15/2040 (d) 700 637 Lloyds TSB Bank PLC 5.625% due 07/15/2049 EC 590 514 United Kingdom Gilt 7.500% due 12/07/2006 (f) BP 750 1,233 7.250% due 12/07/2007 750 1,238 -------------- Total United Kingdom 8,386 (Cost $8,392) -------------- UNITED STATES (i)(j) 60.0% Asset-Backed Securities 11.7% AFC Home Equity Loan Trust 2.971% due 12/22/2027 (d) $ 261 255 2.941% due 01/25/2031 (d) 1,221 1,219 Amresco Residential Securities Mortgage Loan Trust 4.262% due 06/25/2029 (d) 315 316 Bayview Financial Acquisition Trust 4.182% due 11/25/2030 (d) 1,200 1,205 Citibank Credit Card Master Trust 4.875% due 04/07/2005 EC 800 379 Conseco Finance 3.857% due 10/15/2031 (d) $ 448 450 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 558 559 First Alliance Mortgage Loan Trust 3.287% due 12/20/2027 (d) 449 449 Home Loan Trust 5.074% due 01/25/2014 523 528 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 392 397 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 800 800 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 310 311 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 23 23 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 85 78 Providian Gateway Master Trust 3.707% due 03/15/2007 1,600 1,606 Providian Home Equity Loan Trust 2.951% due 06/25/2025 (d) 359 360 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 2 2 Salomon Brothers Mortgage Securities VII 3.907% due 11/15/2029 (d) 99 99 United Panama Mortgage Loan Asset Backed 3.111% due 10/25/2029 (d) 390 390 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 67 68 -------------- 9,494 -------------- Convertible Bonds & Notes 0.2% Finmeccanica SpA 2.000% due 06/08/2005 EC 188 $ 169 -------------- 169 --------------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 153 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Corporate Bonds & Notes 10.9% Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) $ 380 $ 379 Beckman Coulter, Inc. 7.100% due 03/04/2003 22 23 Capital One Bank 4.415% due 07/28/2003 (d) 500 494 Coastal Corp. 3.912% due 03/06/2002 (d) 800 801 Finova Group, Inc. 7.500% due 11/15/2009 (l) 585 230 Ford Motor Credit Co. 1.000% due 12/22/2003 JY 14,000 118 1.200% due 02/07/2005 98,000 829 General Electric Finance Assurance 1.600% due 06/20/2011 90,000 742 General Motors Acceptance Corp. 3.661% due 08/18/2003 (d) $ 340 335 Household Finance Corp. 4.025% due 08/06/2002 (d) 230 231 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 100 98 Jones Intercable, Inc. 8.875% due 04/01/2007 26 28 Lehman Brothers Holdings, Inc. 4.570% due 07/15/2002 (d) 400 402 MGM Mirage, Inc. 6.950% due 02/01/2005 10 10 Pfizer, Inc. 0.800% due 03/18/2008 JY 69,000 579 Salomon, Inc. 5.620% due 10/21/2002 (d) BP 200 294 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d)(e) $ 2,070 2,082 Sprint Capital Corp. 5.875% due 05/01/2004 50 51 TCI Communications, Inc. 3.785% due 04/01/2002 (d) 300 301 Walt Disney Co. 3.900% due 09/15/2003 800 798 -------------- 8,825 -------------- Mortgage-Backed Securities 20.6% Bear Stearns Adjustable Rate Mortgage Trust 5.930% due 02/25/2031 (d) 700 709 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 310 315 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 177 178 6.500% due 03/25/2029 10 10 Crusade Global Trust 3.900% due 05/15/2021 (d) 1,142 1,146 Fannie Mae 7.000% due 02/25/2020 58 59 Freddie Mac 5.000% due 01/15/2012 300 271 Government National Mortgage Association 1.000% due 04/20/2028 (d) 174 177 4.230% due 02/16/2030 (d) 993 997 4.280% due 02/16/2030 (d) 1,115 1,124 5.250% due 06/20/2030 (d) 830 840 6.000% due 08/15/2028-05/20/2030 (d)(g) 2,627 1,366 6.500% due 10/22/2031 (d) 4,000 4,093 7.625% due 11/20/2021 (d) 28 29 7.750% due 07/20/2022 (d) 448 462 7.750% due 09/20/2023 (d) 263 271 7.750% due 07/20/2025 (d) 203 210 7.750% due 09/20/2025 (d) 25 26 7.625% due 12/20/2025 (d) 14 15 7.750% due 09/20/2026 (d) 15 16 7.625% due 11/20/2026 (d) 339 347 7.625% due 11/20/2026 (d) 168 173 7.625% due 12/20/2026 (d) 33 35 8.500% due 10/22/2031 (d) 1,000 1,062 Homeside Mortgage Securities Trust 3.950% due 01/20/2027 (d) 250 250 Puma Finance Ltd. 4.010% due 04/15/2031 (d)(h) 253 254 Residential Funding Mortgage Securities, Inc. 3.965% due 05/12/2032 (d) 1,657 1,659 SHL Corp. Ltd. 0.761% due 12/25/2024 (d) 5,000 42 Structured Asset Mortgage Investments, Inc. 6.578% due 06/25/2029 (d) 191 196 Structured Asset Securities Corp. 3.411% due 02/25/2030 (d) 422 422 -------------- 16,754 -------------- Municipal Bonds & Notes 0.3% California State General Obligation Bonds, (FGIC Insured), Series 1997 4.750% due 12/01/2028 300 288 -------------- U.S. Government Agencies 2.8% Fannie Mae 5.375% due 03/08/2004 1,100 1,114 Federal Farm Credit Bank 7.010% due 05/02/2003 500 513 Small Business Administration 6.640% due 02/10/2011 600 626 -------------- 2,253 -------------- U.S. Treasury Obligations 12.6% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 111 113 3.375% due 01/15/2007 (b) 448 461 3.875% due 04/15/2029 324 348 U.S. Treasury Bonds 7.500% due 11/15/2016 1,500 1,844 7.125% due 02/15/2023 600 725 6.250% due 08/15/2023 4,400 4,829 U.S. Treasury Strips 0.000% due 11/15/2016 (f) 4,400 1,891 -------------- 10,211 -------------- Shares Preferred Security 0.9% DG Funding Trust 5.960% due 12/29/2049 (d) 70 721 -------------- Total United States 48,715 (Cost $48,482) -------------- PURCHASED CALL OPTIONS 0.4% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2003 $ 62,000 69 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 11,800 196 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 2,500 42 -------------- Total Purchased Call Options 307 (Cost $145) -------------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 43,000 1 Eurodollar December Futures (CME) Strike @ 92.250 Exp. 12/17/2001 60,000 0 Interest Rate Swap (OTC) 7.500% due 05/01/2032 Strike @ 7.500 Exp. 04/29/2002 700 2 -------------- Total Purchased Put Options 3 (Cost $28) --------------
154 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 6.7% Commercial Paper 5.8% Becton Dickinson & Co. 3.090% due 10/02/2001 $ 1,400 $ 1,400 CDC 3.380% due 10/01/2001 900 900 Fannie Mae 3.545% due 10/18/2001 700 699 4.060% due 10/25/2001 600 598 Federal Home Loan Bank 4.000% due 10/31/2001 300 299 General Electric Capital Corp. 3.560% due 12/27/2001 200 199 UBS Finance, Inc. 3.550% due 12/19/2001 600 597 ------------ 4,692 ------------ Repurchase Agreement 0.3% State Street Bank 2.600% due 10/01/2001 237 237 (Dated 09/28/2001. Collateralized by Fannie Mae ------------ 4.450% due 06/25/2003 valued at $246. Repurchase proceeds are $237.) U.S. Treasury Bills 0.6% 2.600% due 10/18/2001 (g) 550 549 ------------ Total Short-Term Instruments 5,478 (Cost $5,475) ------------ Total Investments (a) 138.7% $ 112,703 (Cost $112,367) Written Options (c)(0.4%) (309) (Premiums $226) Other Assets and Liabilities (Net) (38.3%) (31,155) ------------ Net Assets 100.0% $ 81,239 ------------ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,061 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1,725) ------------ Unrealized appreciation-net $ 336 ------------ (b) Securities with an aggregate market value of $461 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - ------------------------------------------------------------------------------------------------------------ Government of Japan 10 Year Note (12/2001) 14 $ (86) United Kingdom 90 Day LIBOR Futures (03/2003) 5 (5) ------------ $ (91) ------------ (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 10 $ 4 $ 0 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 61 36 105 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 26 10 0 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 67 27 0 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 600,000 14 28 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 62 46 41 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 2,900,000 66 134 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 1,000,000 23 1 ------------------ $ 226 $ 309 ------------------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Subject to financing transaction. (g) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (h) Restricted security. (i) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Sell A$ 1,117 10/2001 $ 39 Sell BP 3,388 10/2001 0 Sell C$ 1,467 10/2001 9 Sell DK 6,468 12/2001 11 Buy EC 1,701 10/2001 (21) Sell 19,343 10/2001 119 Buy H$ 3,998 11/2001 1 Buy JY 37,000 10/2001 4 Sell 756,335 10/2001 (49) Sell N$ 1,352 10/2001 43 Buy SF 2,263 11/2001 (40) Sell 5,302 11/2001 33 Sell SK 2,907 10/2001 8 ------------ $ 157 ------------ (j) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgian Franc BP - British Pound C$ - Canadian Dollar DK - Danish Krone DM - German Mark EC - Euro H$ - Hong Kong Dollar IL - Italian Lira JY - Japanese Yen N$ - New Zealand Dollar SF - Swiss Franc SK - Swedish Krona SP - Spanish Peseta See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 155 Schedule of Investments (Cont.) Global Bond Fund II September 30, 2001 (Unaudited) (k) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 720,000 $ (8) Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 36,000 (486) Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 8,500 (62) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 3,400 (44) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 226,000 (127) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 232,000 (71) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 EC 5,500 (13) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 4,910 (29) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2031 1,500 (25) Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 4,600 442 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 50,000 (399) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 6,400 $ 318 Receive a fixed rate equal to 5.440% and pay a floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 600 25 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 4,300 (28) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 3,500 9 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 19,200 93 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 2,680 (2) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 1,300 20 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 1,300 (14) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 400 3 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 03/15/2004 1,700 51 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 1,090 54 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 5,600 294
156 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 $ 3,500 $ 184 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 10,000 (297) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 600 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 800 0 ---------- $ (112) ----------
Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - --------------------------------------------------------------------------------------------------------------- Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.787 $ 16,600 $ 12 Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.675 1,500 (46) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.896 4,000 21 ---------- $ (13) ---------- (l) Security is in default.
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 157 Schedule of Investments Emerging Markets Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) ARGENTINA 4.0% Republic of Argentina 5.562% due 03/31/2005 (d) $ 3,520 $ 2,481 7.000% due 12/19/2008 (d) 250 150 ------------- Total Argentina 2,631 (Cost $2,600) ------------- BERMUDA 0.1% IMEXA Export Trust 10.125% due 05/31/2003 $ 63 62 ------------- Total Bermuda 62 (Cost $62) ------------- BRAZIL 26.2% Republic of Brazil 9.625% due 07/15/2005 $ 1,000 863 5.437% due 04/15/2006 (d) 3,472 2,890 5.500% due 04/15/2009 (d) 2,059 1,527 14.500% due 10/15/2009 500 472 8.000% due 04/15/2014 4,428 2,998 6.000% due 04/15/2024 750 474 8.875% due 04/15/2024 (c) 3,350 1,884 7.625% due 04/15/2024 (d) 1,100 709 8.875% due 04/15/2025 500 289 12.250% due 03/06/2030 (c) 5,100 3,710 11.000% due 08/17/2040 (c) 2,400 1,560 ------------- Total Brazil 17,376 (Cost $19,311) ------------- BULGARIA 3.1% Republic of Bulgaria 6.312% due 07/28/2011 (d) $ 198 154 3.000% due 07/28/2012 1,250 984 6.312% due 07/28/2024 (d) 1,150 883 ------------- Total Bulgaria 2,021 (Cost $2,057) ------------- CROATIA 0.6% Republic of Croatia 7.000% due 02/27/2002 $ 410 414 ------------- Total Croatia 414 (Cost $413) ------------- ECUADOR 3.3% Republic of Ecuador 12.000% due 11/15/2012 $ 500 325 4.000% due 08/15/2030 4,700 1,875 ------------- Total Ecuador 2,200 (Cost $2,266) ------------- EGYPT 3.1% Republic of Egypt 8.750% due 07/11/2011 $ 2,250 2,030 ------------- Total Egypt 2,030 (Cost $2,006) ------------- MEXICO 16.0% Telefonos De Mexico, S.A. 8.250% due 01/26/2006 $ 1,000 1,010 United Mexican States 10.375% due 02/17/2009 835 925 9.875% due 02/01/2010 100 107 8.375% due 01/14/2011 1,700 1,688 11.375% due 09/15/2016 450 520 8.125% due 12/30/2019 (c) 1,500 1,352 6.250% due 12/31/2019 (c) 1,100 1,023 7.532% due 12/31/2019 1,150 1,153 6.250% due 12/31/2019 2,475 2,252 11.500% due 05/15/2026 425 504 United Mexican States - Recovery Rights 0.000% due 06/30/2003 9,459 75 ------------- Total Mexico 10,609 (Cost $10,501) ------------- MOROCCO 1.1% Kingdom of Morocco 5.093% due 01/05/2009 (d) $ 250 216 Morroco Restructured 7.562% due 01/01/2009 617 534 ------------- Total Morocco 750 (Cost $781) ------------- NIGERIA 2.2% Central Bank of Nigeria 6.250% due 11/15/2020 $ 2,250 1,438 Central Bank of Nigeria - Warrant 0.000% due 11/15/2022 1 0 ------------- Total Nigeria 1,438 (Cost $1,394) ------------- PANAMA 4.9% Republic of Panama 7.733% due 05/10/2002 (d) $ 200 201 9.625% due 02/08/2011 250 250 4.500% due 07/17/2014 2,258 1,999 6.015% due 07/17/2016 (d) 181 139 8.875% due 09/30/2027 500 441 9.375% due 04/01/2029 175 179 ------------- Total Panama 3,209 (Cost $3,106) ------------- PERU 2.3% Republic of Peru 4.500% due 03/07/2017 (b) $ 250 175 4.000% due 03/07/2017 2,100 1,347 ------------- Total Peru 1,522 (Cost $1,485) ------------- PHILIPPINES 0.6% Republic of Philippines 6.500% due 12/01/2017 $ 500 425 ------------- Total Philippines 425 (Cost $392) ------------- POLAND 2.4% Republic of Poland 6.000% due 10/27/2014 (b) $ 1,315 1,300 3.750% due 10/27/2024 (b) 400 288 ------------- Total Poland 1,588 (Cost $1,510) ------------- QATAR 2.3% State of Qatar 9.750% due 06/15/2030 $ 1,425 1,539 ------------- Total Qatar 1,539 (Cost $1,524) ------------- 158 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) RUSSIA 15.4% Russian Federation 11.750% due 06/10/2003 (c) $ 1,380 $ 1,440 8.250% due 03/31/2010 1,053 799 11.000% due 07/24/2018 1,450 1,288 12.750% due 06/24/2028 (c) 1,600 1,571 2.250% due 03/31/2030 (b) 1,397 639 5.000% due 03/31/2030 (c)(d) 9,704 4,428 ------------- Total Russia 10,165 (Cost $9,391) ------------- SOUTH AFRICA 0.8% Republic of South Africa 9.125% due 05/19/2009 $ 500 546 ------------- Total South Africa 546 (Cost $546) ------------- SOUTH KOREA 3.1% Korea Development Bank 7.625% due 10/01/2002 $ 750 779 Republic of Korea 8.875% due 04/15/2008 1,100 1,273 ------------- Total South Korea 2,052 (Cost $1,921) ------------- UKRAINE 0.6% Republic of Ukraine 11.000% due 03/15/2007 $ 485 404 ------------- Total Ukraine 404 (Cost $393) ------------- VENEZUELA 4.3% Republic of Venezuela 7.375% due 12/18/2007 (d) $ 2,167 1,717 6.750% due 03/31/2020 700 532 9.250% due 09/15/2027 1,360 624 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 ------------- Total Venezuela 2,873 (Cost $2,975) ------------- SHORT-TERM INSTRUMENTS 17.3% Commercial Paper 17.3% Abbey National North America 3.470% due 10/26/2001 $ 4,000 3,990 Anz, Inc. 3.240% due 11/21/2001 4,000 3,982 Fannie Mae 3.150% due 10/01/2001 2,000 2,000 4.060% due 10/25/2001 100 100 General Electric Capital Corp. 3.700% due 10/31/2001 400 399 Swedbank, Inc. 3.570% due 11/20/2001 1,000 995 ------------- Total Short-Term Instruments 11,466 (Cost $11,466) ------------- Total Investments (a) 113.7% $ 75,320 (Cost $76,100) Other Assets and Liabilities (Net) (13.7%) (9,080) ------------- Net Assets 100.0% $ 66,240 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,553 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,333) ------------- Unrealized depreciation-net $ (780) ------------- (b) Step-up bond. (c) Subject to financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount Appreciation - -------------------------------------------------------------------------------- Pay a fixed rate equal to 5.000% and the Fund will receive from the counterparty at par in the event of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2002 $ 2,000 $ 0 Receive a fixed rate equal to 9.050% and the Fund will pay to the counterparty at par in the vent of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2003 2,000 0 ------------- $ 0 ------------- (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ------------------------------------------------------------------------------- Buy EC 1,900 10/2001 $ 39 Buy HF 359,150 11/2001 92 ------------- $ 131 ------------- (g) Principal amount denoted in indicated currency: EC - Euro HF - Hungarian Forint See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 159 Schedule of Investments Strategic Balanced Fund September 30, 2001 (Unaudited) Value Shares (000s) PIMCO FUNDS (b) 99.9% StocksPLUS 4,611,013 $ 42,283 Total Return 2,881,434 31,321 ----------- Total Investments (a) 99.9% $ 73,604 (Cost $87,566) Other Assets and Liabilities (Net) 0.1% 41 ----------- Net Assets 100.0% $ 73,645 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 1,912 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (15,874) ----------- Unrealized depreciation-net $ (13,962) ----------- (b) Institutional Class shares of each PIMCO fund. 160 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CONVERTIBLE BONDS & NOTES (c) 67.9% Banking & Finance 14.8% CIBA Specialty Chemical Investments Ltd. 1.250% due 07/24/2003 $ 500 $ 474 Hellenic Finance 2.000% due 07/15/2003 EC 500 456 JMH Finance Ltd. 4.750% due 09/06/2007 $ 800 767 Merrill Lynch & Co. 0.000% due 05/23/2031 1,900 903 PMI Group, Inc. 2.500% due 07/15/2021 150 151 Swiss Life Finance Ltd. 2.000% due 05/20/2003 EC 1,300 1,248 2.000% due 05/20/2005 $ 800 824 Verizon Global Funding 4.250% due 09/15/2005 900 908 0.000% due 05/15/2021 1,200 672 ------------- 6,403 ------------- Energy 2.7% Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020 1,000 488 1.500% due 04/15/2031 800 679 ------------- 1,167 ------------- Health Care 9.0% Allergan, Inc. 0.000% due 11/01/2020 450 275 ALZA Corp. 0.000% due 07/28/2020 900 709 Baxter International, Inc. 1.250% due 06/01/2021 900 942 Roche Holdings, Inc. 0.000% due 01/19/2015 1,150 812 Total Renal Care Holdings 7.000% due 05/15/2009 500 475 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 800 662 ------------- 3,875 ------------- Industrial 21.5% Burr-Brown Corp. 4.250% due 02/15/2007 500 518 Cendant Corp. 0.000% due 05/04/2021 800 772 Clear Channel Communications, Inc. 2.625% due 04/01/2003 1,000 1,005 Comverse Technology, Inc. 1.500% due 12/01/2005 500 363 Exchangeable Certificates Corp. 1.500% due 04/11/2006 500 549 Lowe's Cos., Inc. 0.000% due 02/16/2021 1,500 1,014 Omnicom Group 2.250% due 01/06/2013 500 679 Sanmina Corp. 4.250% due 05/01/2004 500 466 Siemens Nederland NV 1.000% due 08/10/2005 EC 1,100 903 Solectron Corp. 0.000% due 05/08/2020 $ 1,500 761 Universal Health Services 0.426% due 06/23/2020 2,000 1,260 Waste Management, Inc. 4.000% due 02/01/2002 1,000 1,004 ------------- 9,294 ------------- Technology 8.6% Affiliated Computer Services, Inc. 3.500% due 02/15/2006 600 701 Analog Devices, Inc. 4.750% due 10/01/2005 300 277 First Data Corp. 2.000% due 03/01/2008 700 716 Lam Research Corp. 4.000% due 06/01/2006 300 232 Lattice Semiconductor Co. 4.750% due 11/01/2006 600 609 Nvidia Corp. 4.750% due 10/15/2007 500 456 STMicroelectronics NV 0.000% due 09/22/2009 400 335 Veritas Software Corp. 1.856% due 08/13/2006 500 403 ------------- 3,729 ------------- Utilities 11.3% AES Corp. 4.500% due 08/15/2005 250 198 AT&T - Liberty Media Group 4.000% due 11/15/2029 1,000 775 Charter Communications, Inc. 4.750% due 06/01/2006 850 645 Cienna Corp. 3.750% due 02/01/2008 1,000 603 Comcast Corp. 0.000% due 12/19/2020 1,000 785 Fullerton Global Corp. 0.000% due 04/02/2003 1,000 1,172 Nabors Industries, Inc. 0.000% due 06/20/2020 400 249 NTL Communications Corp. 6.750% due 05/15/2008 1,100 459 ------------- 4,886 ------------- Total Convertible Bonds & Notes 29,354 (Cost $32,658) ------------- CONVERTIBLE PREFERRED STOCK 22.4% Shares Banking & Finance 4.3% Equity Residentials Properties Trust 7.250% due 12/31/2049 15,200 387 Metlife Capital Trust I Cvt. Pfd. 8.000% due 05/15/2003 13,200 1,230 Washington Mutual, Inc. Cvt. Pfd. 5.375% due 05/01/2041 4,300 241 ------------- 1,858 ------------- Energy 9.7% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 27,000 991 Calpine Capital Trust II Cvt. Pfd. 5.500% due 02/01/2005 10,000 450 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 28,900 979 PPL Capital Funding Trust Cvt. Pfd. 7.750% due 05/18/2004 50,000 908 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 28,500 845 ------------- 4,173 ------------- Industrial 7.3% Cox Communications Inc. Cvt. Pfd. 7.000% due 08/16/2002 11,000 600 Electronic Data Systems Corp. Cvt Pfd 7.625% due 08/17/2004 8,400 427 Express Scripts Exchange Trust Cvt. Pfd. 7.000% due 11/15/2003 8,000 808 Kmart Financing Cvt. Pfd. 7.750% due 06/15/2016 20,000 744 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 6,600 595 ------------- 3,174 ------------- Utilities 1.1% Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 18,000 478 ------------- Total Convertible Preferred Stock 9,683 (Cost $11,085) ------------- COMMON STOCKS 1.1% Health Care 1.1% Elan Corp. PLC SP - ADR (b) 10,114 490 ------------- Total Common Stocks 490 (Cost $374) ------------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 161 Schedule of Investments (Cont.) Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 6.7% Commercial Paper 6.3% Abbey National North America 3.470% due 10/31/2001 $ 1,000 $ 997 Fannie Mae 3.150% due 10/01/2001 1,700 1,700 ---------- 2,697 ---------- Repurchase Agreement 0.4% State Street Bank 2.600% due 10/01/2001 183 183 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $191. Repurchase proceeds are $183.) ---------- Total Short-Term Instruments 2,880 (Cost $2,880) ---------- Total Investments (a) 98.1% $ 42,407 (Cost $46,997) Other Assets and Liabilities (Net) 1.9% 818 ---------- Net Assets 100.0% $ 43,225 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,409 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (5,999) ---------- Unrealized depreciation-net $ (4,590) ---------- (b) Non-income producing security. (c) Principal amount denoted in indicated currency: EC - Euro 162 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments European Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CONVERTIBLE BONDS & NOTES (b)(c) 76.7% Banking & Finance 32.4% Axa 2.500% due 01/01/2014 EC 165 $ 135 CIBA Specialty Chemical Investments Ltd. 1.250% due 07/24/2003 $ 200 190 Fortis (NL) NV 1.500% due 07/29/2004 EC 200 188 Swiss Life Finance Ltd. 2.000% due 05/20/2003 $ 200 208 0.750% due 05/20/2005 SF 250 150 2.000% due 05/20/2005 $ 200 206 Swiss Re America 2.250% due 06/10/2004 150 149 Verizon Global Funding 5.750% due 04/01/2003 200 205 4.250% due 09/15/2005 200 202 ------------- 1,633 ------------- Consumer Discretionary 3.0% Koninklijke Ahold NV 4.000% due 05/19/2005 EC 150 150 ------------- Health Care 5.8% Roche Holdings, Inc. 0.000% due 04/20/2010 $ 200 116 0.000% due 01/19/2015 250 177 ------------- 293 ------------- Industrial 32.2% Finmeccanica SpA 2.000% due 06/08/2005 EC 200 180 France Telecom 4.125% due 11/29/2004 250 215 Hutchison Whampoa International 2.875% due 09/15/2003 $ 200 193 Nestle Australia Ltd. 1.250% due 04/27/2005 200 203 Siemens Nederland NV 1.000% due 08/10/2005 EC 200 164 Sol Media Europe BV 1.000% due 09/15/2004 100 89 Tecnost International NV 1.000% due 11/03/2005 200 172 Usinor 3.875% due 01/01/2005 248 216 Vivendi Universal 1.250% due 01/01/2004 226 194 ------------- 1,626 ------------- Technology 3.3% STMicroelectronics NV 0.000% due 11/16/2010 $ 250 165 ------------- Total Convertible Bonds & Notes 3,867 (Cost $4,002) ------------- COMMON STOCKS 4.3% Shares Communications 2.6% Vodafone Group PLC SP- ADR 6,032 132 ------------- Health Care 1.7% Elan Corp. PLC SP - ADR 1,815 88 ------------- Total Common Stocks 220 (Cost $270) ------------- SHORT-TERM INSTRUMENTS 18.0% Commercial Paper 13.9% Fannie Mae 3.150% due 10/01/2001 600 600 Swedbank, Inc. 3.570% due 11/20/2001 100 99 ------------- 699 ------------- Repurchase Agreement 4.1% State Street Bank 2.600% due 10/01/2001 207 207 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 4.750% due 06/04/2003 valued at $214. Repurchase proceeds are $207.) ------------- Total Short-Term Instruments 906 (Cost $906) ------------- Total Investments (a) 99.0% $ 4,993 (Cost $5,178) Other Assets and Liabilities (Net) 1.0% 49 ------------- Net Assets 100.0% $ 5,042 ------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 31 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (216) ------------- Unrealized depreciation-net $ (185) ------------- (b) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - -------------------------------------------------------------------------------- Sell EC 1,967 10/2001 $ 11 Sell SF 242 11/2001 1 -------------- 12 -------------- (c) Principal amount denoted in indicated currency: EC - Euro SF - Swiss Franc See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 163 Schedule of Investments StocksPLUS Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 28.3% Banking & Finance 11.5% Atlas Reinsurance PLC 8.540% due 10/04/2004 (d) $ 7,000 $ 7,000 Bear Stearns Co., Inc. 6.125% due 02/01/2003 1,100 1,138 4.655% due 05/24/2004 (d) 21,600 21,646 Beaver Valley Funding Corp. 8.250% due 06/01/2003 560 579 Capital One Bank 3.552% due 06/23/2003 (d) 5,400 5,381 Chrysler Financial Corp. LLC 4.321% due 02/10/2003 (d) 9,600 9,487 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 6,900 6,926 Golden State Holdings 4.678% due 08/01/2003 (d) 6,000 5,901 Lehman Brothers Holdings, Inc. 3.762% due 06/03/2002 (d) 600 601 4.230% due 07/06/2004 (d) 3,005 3,007 Nacional Financiera 5.463% due 05/08/2003 (d) 6,000 6,096 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 11,700 11,731 NationsBank Corp. 3.733% due 02/18/2002 (d) 100 100 Old Kent Bank 4.428% due 11/01/2005 (d) 4,500 4,496 Republic New York Corp. 5.000% due 10/28/2002 (d) 100 102 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,454 3,472 4.305% due 02/11/2003 (d) 5,000 5,010 Trinom Ltd. 7.910% due 12/18/2004 (d) 1,200 1,200 Western Capital 9.440% due 01/07/2003 7,300 7,300 ---------- 101,173 ---------- Industrials 11.2% Air Canada 6.037% due 07/31/2005 (d) 8,727 8,332 Cemex SA de CV 9.250% due 06/17/2002 300 311 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 600 602 CSX Corp. 3.202% due 06/24/2002 (d) 6,900 6,905 Enron Corp. 8.000% due 08/15/2005 1,100 1,138 Kroger Co. 7.150% due 03/01/2003 12,115 12,689 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 20,000 20,076 Philip Morris Cos., Inc. 4.240% due 12/04/2001 (d) 8,800 8,813 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 30,608 TCI Communications, Inc. 4.486% due 03/11/2003 (d) 4,000 4,025 Walt Disney Co. 3.900% due 09/15/2003 4,700 4,691 ---------- 98,190 ---------- Utilities 5.6% Central Power & Light Co. 4.676% due 11/23/2001 (d) 3,600 3,605 Entergy Arkansas, Inc. 7.720% due 03/01/2003 3,700 3,878 Georgia Power Co. 5.250% due 05/08/2003 3,800 3,882 Sprint Capital Corp. 4.268% due 06/10/2002 (d) 1,100 1,103 Texas Utilities Corp. 5.940% due 10/15/2001 28,725 28,777 6.410% due 11/21/2001 1,000 1,004 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 6,900 6,910 ---------- 49,159 ---------- Total Corporate Bonds & Notes 248,522 (Cost $246,279) ---------- U.S. TREASURY OBLIGATIONS 15.8% Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (b) 108,287 110,183 3.625% due 01/15/2008 20,038 20,796 3.875% due 01/15/2009 1,518 1,598 U.S. Treasury Notes 5.625% due 11/30/2002 5,800 6,002 ---------- Total U.S. Treasury Obligations 138,579 (Cost $135,374) ---------- MORTGAGE-BACKED SECURITIES 60.1% Collateralized Mortgage Obligations 7.8% Bank Mart 6.883% due 03/01/2019 (d)(j) 3,749 3,799 Countrywide Home Loans 6.050% due 04/25/2029 3,355 3,406 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 1,091 1,123 DLJ Acceptance Trust 7.620% due 10/17/2020 (d) 103 105 Fannie Mae 6.728% due 04/25/2020 (d) 17 17 6.500% due 05/18/2024 2,015 2,043 Freddie Mac 6.500% due 08/15/2023 4,017 4,067 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 78 77 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 803 812 6.250% due 10/25/2028 429 433 6.250% due 12/25/2028 1,454 1,454 Government National Mortgage Association 4.010% due 09/20/2030 (d) 188 188 Greenwich Capital Acceptance, Inc. 7.084% due 04/25/2022 (d) 77 77 7.122% due 10/25/2022 (d) 2 2 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 352 352 Norwest Asset Securities Corp. 6.750% due 08/25/2029 5,345 5,401 PNC Mortgage Securities Corp. 6.625% due 03/25/2028 4,845 4,873 7.500% due 10/25/2030 (d) 3,306 3,364 Resecuritization Mortgage Trust 4.040% due 04/26/2021 (d) 121 121 Residential Funding Mortgage Securities, Inc. 6.664% due 03/25/2018 (d) 1,249 1,246 Resolution Trust Corp. 8.000% due 06/25/2026 185 186 Salomon Brothers Mortgage Securities VII 1.000% due 12/25/2030 (d) 18,025 18,457 Structured Asset Mortgage Investments, Inc. 9.081% due 06/25/2029 (d) 12,503 13,489 Structured Asset Securities Corp. 7.209% due 09/25/2036 (d) 595 606 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 3,243 3,243 ---------- 68,941 ---------- 164 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Fannie Mae 14.2% 6.252% due 12/01/2023 (d) $ 17 $ 17 6.328% due 11/01/2027-04/01/2028 (d)(i) 405 410 6.446% due 07/01/2018-08/01/2029 (d)(i) 1,450 1,468 6.500% due 09/01/2005 3,827 3,937 6.764% due 02/01/2027 (d) 29 29 6.867% due 04/01/2018 (d) 89 90 7.500% due 10/15/2031 80,000 83,174 7.900% due 05/01/2022 (d) 139 139 8.000% due 10/15/2031 (d) 34,000 35,647 ---------- 124,911 ---------- Freddie Mac 0.6% 6.000% due 10/15/2031 (d) 2,000 1,996 6.768% due 07/01/2019 (d) 2,142 2,179 7.616% due 12/01/2022 (d) 422 432 8.161% due 06/01/2022 (d) 218 224 8.500% due 04/01/2025-06/01/2025 (i) 98 106 ---------- 4,937 ---------- Government National Mortgage Association 37.4% 6.750% due 07/20/2018-08/20/2026 (d)(i) 11,321 11,672 7.000% due 10/22/2031 (d) 8,000 8,307 7.125% due 12/20/2022-12/20/2027 (d)(i) 4,636 4,792 7.375% due 02/20/2026-02/20/2028 (d)(i) 10,978 11,201 7.500% due 08/15/2028-10/22/2031 (i) 141,950 148,229 8.000% due 04/15/2030-10/22/2031 (i) 130,000 136,501 8.500% due 10/22/2031 (d) 7,000 7,431 ---------- 328,133 ---------- Stripped Mortgage-Backed Securities 0.1% California Federal Bank (IO) 7.276% due 07/25/2018 (d) 16 16 Fannie Mae (IO) 7.000% due 07/25/2006 60 1 6.500% due 09/25/2008 116 9 6.500% due 02/25/2021 873 27 7.000% due 07/25/2021 446 43 6.500% due 03/25/2023 1,926 225 Freddie Mac (IO) 6.500% due 08/15/2006 362 6 J.P. Morgan & Co., Inc. (IO) 7.664% due 01/25/2018 (d) 122 119 ---------- 446 ---------- Total Mortgage-Backed Securities 527,368 (Cost $522,768) ---------- ASSET-BACKED SECURITIES 7.7% AFC Home Equity Loan Trust 2.811% due 06/25/2028 (d) 4,624 4,612 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 15 15 Argentina Funding Corp. 3.317% due 05/20/2003 (d) 16,000 16,027 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 3,680 3,691 Cross Country Master Credit Card Trust II 3.987% due 06/15/2006 (d) 15,400 15,517 Green Tree Home Improvement Loan Trust 3.707% due 11/15/2029 (d) 4,386 4,391 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 502 507 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 1,863 1,864 SallieMae 5.141% due 07/25/2004 (d) 126 126 4.203% due 10/25/2005 (d) 4,328 4,335 4.263% due 04/25/2006 (d) 1,931 1,929 Starwood Hotel 7.241% due 02/23/2003 7,735 7,397 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 6,676 6,852 ---------- Total Asset-Backed Securities 67,263 (Cost $67,081) ---------- SOVEREIGN ISSUES 3.8% Hydro-Quebec 5.187% due 09/29/2049 (d) 1,200 1,056 Republic of Brazil 7.375% due 04/15/2006 (d) 23,960 19,947 Republic of Croatia 7.000% due 02/27/2002 3,000 3,027 Republic of Panama 7.930% due 05/10/2002 549 548 United Mexican States 7.570% due 04/07/2004 (d) 9,000 9,203 ---------- Total Sovereign Issues 33,781 (Cost $35,983) ---------- FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.4% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 9,750 4,277 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,438 7.000% due 06/02/2003 C$ 6,000 3,833 ---------- Total Foreign Currency-Denominated Issues 12,548 (Cost $15,271) ---------- PURCHASED CALL OPTIONS 0.0% U.S. Treasury Note (OTC) 6.000% due 12/31/2001 Strike @ 116.000 Exp. 11/26/2001 95,000 15 ---------- Total Purchased Call Options 15 (Cost $20) ---------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/14/2001 108,000 1 Strike @ 95.250 Exp. 12/17/2001 49,000 0 Strike @ 93.500 Exp. 12/17/2001 58,000 1 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 94,000 1 Fannie Mae (OTC) 7.500% due 12/13/2031 Strike @ 92.625 Exp. 12/06/2001 80,000 6 Government National Mortgage Association 8.000% due 10/22/2031 Strike @ 93.970 Exp. 10/22/2001 40,000 0 Government National Mortgage Association 8.000% due 12/20/2031 Strike @ 93.940 Exp. 12/13/2001 135,000 16 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 6,200 0 ---------- Total Purchased Put Options 25 (Cost $38) ---------- PREFERRED SECURITY 0.1% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 110 1,133 ---------- Total Preferred Security 1,133 (Cost $1,102) ---------- PREFERRED STOCK 0.9% TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,680 ---------- Total Preferred Stock 7,680 (Cost $7,995) ---------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 165 Schedule of Investments (Cont.) StocksPLUS Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 27.3% Commercial Paper 25.8% CDC 3.380% due 10/01/2001 $ 42,000 $ 42,000 Fannie Mae 3.150% due 10/01/2001 121,000 121,000 Federal Home Loan Bank 3.000% due 10/01/2001 22,000 22,000 UBS Finance, Inc. 3.450% due 10/01/2001 42,000 42,000 ----------- 227,000 ----------- U.S. Treasury Bills 1.5% 2.869% due 10/18/2001-02/07/2002 (b)(i) 13,135 13,066 ----------- Total Short-Term Instruments 240,066 (Cost $240,072) ----------- Total Investments (a) 145.4% $ 1,276,980 (Cost $1,271,983) Written Options (c) (0.0%) (28) (Premiums $236) Other Assets and Liabilities (Net) (45.4%) (398,702) ------------ Net Assets 100.0% $ 878,250 ------------ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 11,156 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (6,159) ------------ Unrealized appreciation-net $ 4,997 ------------ (b) Securities with an aggregate market value of $98,839 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 47 $ 236 Eurodollar September Futures (09/2002) 52 247 Eurodollar December Futures (12/2002) 82 358 Eurodollar March Futures (03/2003) 82 321 S&P 500 Index (12/2001) 2,573 (80,155) U.S. Treasury 5 Year Note (12/2001) 977 (508) --------- $(79,501) --------- (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 184 $ 134 $ 11 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 94 57 9 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 60 45 8 ---------------------- $ 236 $ 28 ---------------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Sell BP 3,902 10/2001 $ 0 Sell C$ 6,736 10/2001 41 Sell EC 2,737 10/2001 17 Sell JY 436,697 10/2001 (28) Sell N$ 10,942 10/2001 349 ------------- $ 379 ------------- (f) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.160%. Broker: J.P. Morgan Chase & Co. Exp. 09/24/2002 $ 33 $ 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.180%. Broker: J.P. Morgan Chase & Co. Exp. 10/03/2002 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.280%. Broker: J.P. Morgan Chase & Co. Exp. 04/30/2002 12 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.320%. Broker: J.P. Morgan Chase & Co. Exp. 03/20/2002 55 0 Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty at par in the event of default of the United Mexican States 9.750% due 04/06/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/19/2002 15,500 14 Receive a fixed rate equal to 0.200% and the Fund will pay to the counterparty at par in the event of default of the Bank One Corp. 6.500% due 02/01/2006. Broker: Merrill Lynch Exp. 08/12/2002 17,000 (6) -------- $ 8 -------- 166 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Restricted security. (k) Reverse repurchase agreements were entered into on September 21, 2001 paying interest at 2.500%. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value - -------------------------------------------------------------------------------- Government National Mortgage Assn. 6.375% 03/20/2026 $ 2,450 Government National Mortgage Assn. 6.375% 02/20/2026 513 Government National Mortgage Assn. 6.375% 06/20/2027 219 Government National Mortgage Assn. 7.750% 08/20/2026 191 Government National Mortgage Assn. 7.750% 09/20/2022 2,920 Government National Mortgage Assn. 6.375% 04/20/2027 3,799 Government National Mortgage Assn. 6.375% 05/20/2026 1,857 Government National Mortgage Assn. 6.375% 01/20/2028 1,934 Government National Mortgage Assn. 7.500% 08/15/2029 819 Fannie Mae 6.500% 09/01/2005 3,937 ---------- $ 18,639 ---------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 167 Schedule of Investments Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 105.5% Arizona 2.8% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 780 $ 822 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,293 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997-A 6.500% due 09/01/2004 880 969 --------- 3,084 --------- California 7.9% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 368 Capistrano, California Unified School District Special Tax Bonds, Series 1999 5.000% due 09/01/2008 350 358 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 1,500 1,023 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2026 1,565 1,071 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Irvine, California Special Assessment Bonds, (MBIA-IBC Insured), Series 1998 4.800% due 09/02/2004 150 154 4.900% due 09/02/2005 310 320 5.000% due 09/02/2006 150 155 Irvine, California Special Assessment Bonds, Series 1999 5.000% due 09/02/2005 350 362 5.100% due 09/02/2006 535 553 5.200% due 09/02/2007 255 263 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 366 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,075 1,193 Orange County, California Improvement Bonds, Series 1998-A 4.900% due 09/02/2005 245 252 Pittsburg, California Infrastructure Refunding Bonds, Series 1998-A 4.900% due 09/02/2003 150 156 5.000% due 09/02/2004 150 158 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.700% due 09/01/2005 170 173 Roseville, California Special Tax Bonds, Series 1999 5.000% due 09/01/2004 345 350 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 304 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 350 364 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 355 --------- 8,582 --------- Colorado 4.2% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000-C3 5.700% due 10/01/2022 1,000 1,049 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-B3 6.700% due 10/01/2016 250 280 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 286 Colorado Housing & Financial Authority Revenue Bonds, Series 2000 5.150% due 08/01/2007 500 513 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2009 1,390 1,378 Meridian Metro District of Colorado General Obligation Bonds, (Asset Guaranty), Series 2001 4.125% due 12/01/2009 1,075 1,068 --------- 4,574 --------- Connecticut 5.7% Connecticut State General Obligation Bonds, Series 2001 7.010% due 12/15/2012 5,000 6,224 --------- Florida 1.0% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 210 214 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 338 Orlando, Florida Waste Water System Revenue Bonds, Series 1997-A 6.043% due 10/01/2015 500 500 --------- 1,052 --------- Georgia 0.2% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 231 --------- Hawaii 2.4% Hawaii State Housing Financial & Development Corporation Single Family Mortgage Pure Revenue Bonds, Series 1998 4.850% due 07/01/2029 1,470 1,485 Honolulu Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993 5.450% due 09/11/2008 1,000 1,097 --------- 2,582 --------- Illinois 5.2% Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 1,000 361 Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001 0.000% due 01/01/2020 (c) 1,290 812 Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996 5.750% due 05/01/2013 1,135 1,221 Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 2,000 2,242 Palatine Illinois Tax Increment Revenue Bonds, (AMBAC Insured), Series 1998 5.250% due 01/01/2017 1,000 1,031 --------- 5,667 --------- 168 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Indiana 5.7% Danville, Indiana Multi-School Building General Obligation Bonds, (FSA Insured), Series 2001 3.900% due 07/15/2008 $ 485 $ 487 4.750% due 07/15/2009 200 210 5.000% due 07/15/2010 180 192 4.250% due 07/15/2011 290 291 4.400% due 01/15/2012 170 170 4.500% due 01/15/2013 190 190 4.650% due 01/15/2014 210 210 4.750% due 01/15/2015 235 235 4.850% due 01/15/2016 295 295 Hamilton Southeastern Indiana Construction School Building Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001 5.000% due 07/15/2010 760 808 Indianapolis, Indiana Local Public Improvement Bonds Bank Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,198 La Porte Indiana Multi School Building Revenue Bonds, (MBIA Insured), Series 2001 5.250% due 01/15/2013 1,000 1,067 South Bend, Indiana Redevelopment Authority Lease Revenue Bonds, Series 2000 5.100% due 02/01/2011 405 425 5.200% due 02/01/2012 230 242 5.500% due 02/01/2015 180 188 -------- 6,208 -------- Kentucky 5.3% Kentucky State Turnpike Authority Economic Development Road Revenue Bonds, Series 1993 8.440% due 06/06/2012 (d) 5,000 5,750 -------- Louisiana 0.2% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 270 -------- Massachusetts 3.8% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,580 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 400 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 217 4.800% due 11/01/2008 90 93 Massachusetts State General Obligation Ltd. Bonds, (MBIA-IBC Insured), Series 1993 5.500% due 02/01/2011 1,000 1,053 Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001 6.000% due 07/01/2014 500 550 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 270 269 -------- 4,162 -------- Michigan 3.0% Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,290 Michigan State Strategic Fund Ltd. Obligation Revenue Bonds, Series 2001 5.450% due 09/01/2029 2,000 2,002 -------- 3,292 -------- Minnesota 1.0% New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 1,000 1,039 -------- Missouri 0.9% Missouri State Housing Development Community Revenue Bonds, (FHA Insured), Series 2001 5.250% due 12/01/2016 1,000 1,029 -------- Nevada 0.4% Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 7.580% due 05/15/2028 (d) 500 480 -------- New Hampshire 2.8% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.125% due 07/01/2016 2,980 3,031 -------- New Jersey 21.6% New Jersey Economic Development Authority Revenue Bonds, (GTY AGMT Insured), Series 1998 6.000% due 11/01/2028 4,000 3,845 New Jersey Economic Development Authority Revenue Bonds, Series 1998 5.600% due 01/01/2012 1,000 943 6.375% due 04/01/2018 1,500 1,572 6.375% due 04/01/2031 8,000 8,356 6.500% due 04/01/2031 2,115 2,244 0.000% due 04/01/2013 1,595 836 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 3,500 3,118 New Jersey State Highway Authority Garden Street Parkway General Revenue Bonds, (FGIC Insured), Series 2001 5.500% due 01/01/2015 2,500 2,721 -------- 23,635 -------- New Mexico 0.3% Santa Fe County, New Mexico El Castillo Retirement Nursing Home Bonds, Series 1998-A 5.250% due 05/15/2007 315 300 -------- New York 1.9% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,070 New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,060 -------- 2,130 -------- North Dakota 1.9% Mercer County, North Dakota Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,045 -------- Oklahoma 0.9% Oklahoma Housing Finance Agency Single Family Revenue Bonds, Series 2001 0.000% due 09/01/2032 6,750 1,025 -------- Pennsylvania 2.9% Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 98 Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997 6.500% due 01/01/2008 725 786 Pennsylvania Convention Center Revenue Bonds, (MBIA-IBC Insured), Series 1994 6.750% due 09/01/2019 2,000 2,234 -------- 3,118 -------- See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 169 Schedule of Investments (Cont.) Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Puerto Rico 0.9% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2010 $ 750 $ 829 6.000% due 07/01/2026 150 161 ----------- 990 ----------- South Carolina 2.6% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 1,033 South Carolina State Public Service Authority Revenue Bonds, Series 1993 6.838% due 06/28/2013 (d) 1,700 1,842 ----------- 2,875 ----------- Tennessee 1.7% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 1,031 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 803 ----------- 1,834 ----------- Texas 13.1% Bexar County, Texas Housing Finance Corporate Multi-Family Revenue Bonds, (FNMA Insured), Series 2001 4.875% due 06/15/2011 900 928 Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 338 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,531 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 967 Del Rio Texas Waterworks & Sewer System Revenue Bonds, (MBIA Insured), Series 1993 5.500% due 06/01/2015 2,400 2,476 Houston, Texas Airport System Revenue Bonds, Series 2001 6.750% due 07/01/2029 1,000 782 Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001 5.500% due 12/01/2017 1,000 1,049 Katy, Texas Independent School District General Obligation Ltd. Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2024 1,500 1,399 Lamar, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2020 1,750 1,671 Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999 0.000% due 02/15/2018 1,000 382 Red River, Texas Educational Finance Revenue Bonds, Series 2000 5.750% due 05/15/2017 750 800 Rio Grande City, Texas Construction Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000 5.875% due 08/15/2018 1,825 1,970 ----------- 14,293 ----------- Virginia 1.1% Roanoke, Virginia Industrial Development Authority Hospital Revenue Bonds, Series 1995 2.750% due 07/01/2019 (d) 1,200 1,200 ----------- Washington State 2.9% Washington State General Obligation Bonds, Series 1998 5.250% due 07/01/2012 3,000 3,168 ----------- West Virginia 1.2% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 8.995% due 05/16/2019 (d) 1,200 1,308 ----------- Total Municipal Bonds & Notes 115,178 (Cost $111,647) ----------- U.S. TREASURY OBLIGATIONS 0.3% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (b)(e) 280 288 ----------- Total U.S. Treasury Obligations 288 (Cost $285) ----------- SHORT-TERM INSTRUMENTS 0.3% Money Market Fund 0.3% SSgA Tax Free Money Market 1.940% due 10/01/2001 334 334 ----------- Total Short-Term Instruments 334 (Cost $334) ----------- Total Investments (a) 106.1% $ 115,800 (Cost $112,266) Other Assets and Liabilities (Net) (6.1%) (6,676) ----------- Net Assets 100.0% $ 109,124 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 4,316 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (782) ----------- Unrealized appreciation-net $ 3,534 -----------
(b) Securities with an aggregate market value of $288 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
# of Unrealized Type Contracts (Depreciation) - ----------------------------------------------------------------------------------------------- Municipal Bond (12/2001) 45 $ (21) U.S. Treasury 30 Year Bond (12/2001) 75 (143) ----------- $(164) -----------
(c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. 170 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Short Duration Municipal Income Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 98.2% Alaska 0.7% Valdez, Alaska Marine Term Ref-Exxon Pipeline Co. Revenue Bonds, Series 1993 2.650% due 12/01/2033 (b) $ 100 $ 100 -------- Arizona 3.4% Maricopa County, Arizona Pollution Control Revenue Bonds, Series 1994 2.650% due 05/01/2029 (b) 500 500 -------- California 7.2% East Bay, California Municipal Utility District Water System Revenue Bonds, (MBIA Insured), Series 1993 5.200% due 06/01/2008 1,000 1,056 -------- Colorado 3.5% Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2002 500 506 -------- Florida 16.8% Atlantic Beach, Florida Health Care Revenue Bonds, (ACA Insured), Series 1999 5.000% due 10/01/2001 500 500 Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997 4.840% due 12/01/2017 (b) 500 465 Orange County, Florida School Board Certificate of Participation Bonds, (AMBAC Insured), Series 2000 2.650% due 08/01/2025 (b) 195 195 Orlando, Florida Waste Water System Revenue Bonds, Series 1997-A 4.143% due 10/01/2015 (b) 750 750 Palm Beach County, Florida Health Facilities Authority Revenue Bonds, (MBIA-IBC Insured), Series 1993 6.300% due 10/01/2022 500 542 -------- 2,452 -------- Illinois 6.6% Illinois Educational Facilities Authority Revenue Bonds, Series 1993 6.520% due 07/01/2012 (b) 300 336 Illinois Health Facilities Authority Revenue Bonds, Series 1977 6.700% due 10/01/2005 580 624 -------- 960 -------- Kansas 3.5% Burlington, Kansas Pollution Control Revenue Bonds, (MBIA Insured), Series 1991 7.000% due 06/01/2031 500 512 -------- Louisiana 2.1% Louisiana State Offshore Terminal Authority Deepwater Port Revenue Bonds, Series 1992 2.650% due 09/01/2008 (b) 300 300 -------- Maine 3.9% Eastport, Maine Industrial Development Revenue Bonds, (Wachovia Bank Insured), Series 1989 4.750% due 11/15/2001 250 251 5.100% due 11/15/2003 300 312 -------- 563 -------- Massachusetts 2.5% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 250 263 Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 1985 2.650% due 01/01/2035 (b) 100 100 -------- 363 -------- Michigan 4.1% University of Michigan Revenue Bonds, Series 1992 1.000% due 12/01/2019 (b) 300 300 University of Michigan Revenue Bonds, Series 1998 2.700% due 12/01/2024 (b) 300 300 -------- 600 -------- Missouri 5.8% Kansas City, Missouri Industrial Development Authority Hospital Revenue Bonds, (MBIA Insured), Series 1985 2.650% due 04/15/2015 (b) 100 100 Missouri State Development Finance Board Infrastructure Facility Revenue Bonds, (Canadian Imperial Bank Insured), Series 1997 2.650% due 12/01/2003 (b) 100 100 Missouri State Housing Development Community Mortgage Revenue Bonds, (GNMA/FNMA Insured), Series 1996 7.100% due 09/01/2027 140 145 St. Louis, Missouri Airport Revenue Bonds, Series 2000 6.250% due 01/01/2002 500 503 -------- 848 -------- New Jersey 10.8% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2018 500 524 6.375% due 04/01/2031 1,000 1,045 -------- 1,569 -------- New York 4.2% New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1992 5.900% due 07/01/2005 100 102 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.300% due 07/01/2002 500 508 -------- 610 -------- Ohio 4.8% Ohio State Air Quality Development Authority Revenue Bonds, (Barclays Bank PLC Insured), Series 1995 2.600% due 09/01/2030 (b) 300 300 Ohio State Air Quality Development Authority Revenue Bonds, (Morgan Guaranty Trust Insured), Series 1985 2.700% due 12/01/2015 (b) 400 400 -------- 700 -------- Pennsylvania 0.7% Pennsylvania State Higher Educational Facilities Authority College & University Revenue Bonds, Series 1986 7.200% due 10/01/2001 100 100 -------- Puerto Rico 6.4% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2010 250 276 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (b) 600 651 -------- 927 -------- Texas 3.3% Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 500 484 -------- Virginia 2.1% Roanoke, Virginia Industrial Development Authority Hospital Revenue Bonds, (First Union National Bank Insured), Series 1995 2.750% due 07/01/2019 (b) 300 300 -------- Washington State 4.8% Washington State Health Care Facilities Authority Revenue Bonds, (Morgan Guaranty Trust Insured), Series 1991 2.650% due 01/01/2018 (b) 700 700 --------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 171 Schedule of Investments (Cont.) Short Duration Municipal Income Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Wisconsin 1.0% Oshkosh, Wisconsin Water Revenue Bonds, Series 1999 4.700% due 01/01/2002 $ 150 $ 150 ---------- Total Municipal Bonds & Notes 14,300 (Cost $13,999) ---------- SHORT-TERM INSTRUMENTS 0.3% Money Market Fund 0.3% SSgA Tax Free Money Market 1.940% due 10/01/2001 47 47 ---------- Total Short-Term Instruments 47 (Cost $47) ---------- Total Investments (a) 98.5% $ 14,347 (Cost $14,046) Other Assets and Liabilities (Net) 1.5% 219 ---------- Net Assets 100.0% $ 14,566 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 328 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (27) ---------- Unrealized appreciation-net $ 301 ----------
(b) Variable rate security. The rate listed is as of September 30, 2001. 172 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 101.3% California 66.7% A B C California Unified School District General Obligation Bonds, (FGIC Insured), Series 2001 0.000% due 08/01/2030 $1,850 $ 397 0.000% due 08/01/2031 1,285 262 0.000% due 08/01/2032 1,965 378 0.000% due 08/01/2033 1,670 304 0.000% due 08/01/2034 1,755 302 Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.500% due 09/02/2012 3,500 3,572 Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 150 160 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 490 506 Bay Area, California Toll Bridge Authority Revenue Bonds, (AMBAC Insured), Series 2001 2.600% due 04/01/2036 (d) 1,300 1,300 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 149 California Health Facilities Financing Authority Revenue Bonds, (CA MTG Insured), Series 2000 5.000% due 09/01/2010 350 376 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 2.550% due 09/01/2028 (d) 1,700 1,700 California Housing Finance Agency Revenue Bonds, (Gov. of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) 700 700 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/2011 100 108 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/2003 150 153 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 347 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,204 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 486 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 2,054 California State General Obligation Bonds, Series 1997-BL 5.300% due 12/01/2012 400 419 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 107 5.250% due 03/01/2013 300 323 5.000% due 03/01/2009 750 807 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 566 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 2,048 California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1994 6.500% due 07/01/2015 1,000 1,124 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,401 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,500 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 514 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 239 6.400% due 09/01/2018 120 124 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 1,010 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 7.970% due 06/01/2020 (d) 6,000 6,570 7.870% due 06/01/2013 (d) 3,450 3,809 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 582 10.000% due 09/01/2006 380 494 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 5.875% due 01/15/2027 2,500 1,706 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Fresno, California Special Tax Bonds, Series 1998 4.750% due 09/01/2005 935 940 Irvine, California Improvement Bond Act 1915 Special Assessment Revenue Bonds, (Canadian Imperial Bank Insured), Series 1994 2.500% due 09/02/2020 (d) 1,000 1,000 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 245 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 157 Los Altos, California School District General Obligation Bonds, Series 2001 5.000% due 08/01/2016 200 208 Los Angeles County, California Transportation Commission Certificates of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Bonds, Series 1984 7.550% due 11/01/2008 390 433
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 173 Schedule of Investments (Cont.) California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 $ 150 $ 159 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 32 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 178 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (d) 600 694 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 580 592 6.400% due 09/01/2031 700 708 Orange County, California Community Facilities District Special Tax Bonds, Series 2000 5.600% due 08/15/2011 455 461 5.700% due 08/15/2012 485 490 5.800% due 08/15/2013 600 605 6.200% due 08/15/2018 1,025 1,039 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 3,250 3,835 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,159 Oxnard, California Improvement Bond Act 1915 Special Assessment Bonds, Series 1997 5.500% due 09/02/2004 1,190 1,221 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 260 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 1,015 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 556 Rancho, California Water District Financing Authority Revenue Bonds, (FGIC Insured), Series 1995 5.875% due 11/01/2010 900 985 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 518 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 276 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,087 5.100% due 12/01/2009 1,000 1,101 5.100% due 12/01/2010 1,000 1,099 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,282 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FGIC Insured), Series 1996-12-A 5.625% due 05/01/2005 400 434 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 316 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 500 581 San Jose, California Multifamily Housing Revenue Bonds, (Bay View Bank & Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,051 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 697 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 135 161 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 177 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 156 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 128 Tustin, California Import Bridge Act 1915 Special Assessment Bonds, (LOC- KBC Bank Insured), Series 1996 2.500% due 09/02/2013 200 200 West Sacramento California Import Bridge Act 1915, Series 1998 4.800% due 09/02/2002 1,160 1,177 --------- 67,528 --------- Illinois 1.6% Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 (d) 1,400 1,569 --------- New Hampshire 2.7% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.250% due 07/01/2014 2,690 2,784 --------- Puerto Rico 25.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 4,715 5,034 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 4,330 5,119 Puerto Rico Commonwealth General Obligation Bonds, (MBIA Insured), Series 1995 5.200% due 07/01/2006 410 446 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 525 5.350% due 07/01/2005 5,000 5,254 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 164 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) 3,000 3,255
174 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Puerto Rico Electric Power Authority Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 $ 500 $ 570 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 267 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 159 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 1,000 1,066 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 543 University of Puerto Rico Revenue Bonds, (MBIA Insured), Series 1995 6.250% due 06/01/2006 3,000 3,413 ----------- 25,815 ----------- Virgin Islands 4.8% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,221 5.500% due 10/01/2007 1,500 1,614 ----------- 4,835 ----------- Total Municipal Bonds & Notes 102,531 (Cost $97,106) ----------- SHORT-TERM INSTRUMENTS 0.4% Commercial Paper 0.3% Reich & Tang California Money Market 1.660% due 10/01/2001 (b) 348 348 ----------- U.S. Treasury Bills 0.1% 3.380% due 10/18/2001 (c) 95 95 ----------- Total Short-Term Instruments 443 (Cost $443) ----------- Total Investments (a) 101.7% $ 102,974 (Cost $97,549) Other Assets and Liabilities (Net) (1.7%) (1,735) ----------- Net Assets 100.0% $ 101,239 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 5,425 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value 0 ----------- Unrealized appreciation-net $ 5,425 ----------- (b) Securities with an aggregate market value of $347 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - --------------------------------------------------------------------------------------------- Municipal Bond (12/2001) 44 $ (22) U.S. Treasury 30 Year Bond (12/2001) 75 (143) ----------- $ (165) ----------- (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2001.
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 175 Schedule of Investments California Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 97.6% California 78.6% California Housing Finance Agency Revenue Bonds, (Gov. of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) $ 800 $ 800 California Housing Finance Agency Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 2001 2.400% due 02/01/2033 (d) 800 800 California Pollution Control Financing Authority Revenue Bonds, Series 1991 2.450% due 10/01/2011 (d) 300 300 California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 168 California State General Obligation Bonds, (FGIC Insured), Series 2000 2.650% due 09/01/2030 (d) 200 200 California State General Obligation Bonds, Series 2001 5.125% due 03/01/2031 625 630 California Statewide Communities Development Authority Certificates of Participation Bonds, (AMBAC Insured), Series 1995 2.500% due 07/01/2015 (d) 300 300 California Statewide Communities Development Authority Certificates of Participation, (Bank of Scotland Insured), Series 1998 2.500% due 11/15/2028 (d) 300 300 California Statewide Communities Development Authority Revenue Bonds, Series 2001 5.125% due 10/01/2030 400 396 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 400 400 Chula Vista, California Special Tax Bonds, Series 2000-1 6.400% due 09/01/2018 125 129 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 150 152 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.620% due 06/01/2013 (d) 400 442 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 341 Irvine Ranch California Water District General Obligation Bonds, (Helaba Insured), Series 1985 2.400% due 10/01/2009 (d) 300 300 Irvine Ranch, California Water District Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 1985 2.500% due 10/01/2010 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (Bank of America N.A. Insured), Series 2000 2.450% due 09/02/2025 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (KBC Bank N.V. Insured), Series 1999 2.500% due 09/02/2024 (d) 91 91 Livermore-Amador Water Management Agency California Revenue Bonds, (AMBAC Insured), Series 2001 5.000% due 08/01/2031 200 200 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue Bonds, Series 1999 4.750% due 07/01/2026 500 487 Los Angeles County, California Transportation Commission Certificate of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 389 Metropolitan Water District Southern California Revenue Bonds, Series 1993 7.267% due 10/30/2020 (d) 200 231 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 55 56 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 885 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 400 464 Orange County, California Sanitation Districts Certificates of Participation Bonds, (AMBAC Gov. of Dist Insured), Series 1993 2.500% due 08/01/2016 (d) 200 200 Orange County, California Sanitation Districts Certificates of Participation Bonds, (Dexia Public Finance Bank Insured), Series 2000 2.500% due 08/01/2004 (d) 300 300 Orange County, California Santa Ana District Certificate Participation Bonds, (SPA-DEXIA Public Finance Insured), Series 2000 2.500% due 08/01/2030 (d) 300 300 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 400 405 San Francisco, California City & County Airport Common International Airport Revenue Bonds, Series 1998 4.500% due 05/01/2026 500 467 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 349 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 113 Tustin, California Import Bridge Act 1915 Special Assessment Bonds, (KBC Bank Insured), Series 1996 2.500% due 09/02/2013 (d) 300 300 Western Riverside County, California Regional Wastewater Authority Revenue Bonds, (Dexia Credit Local France Insured), Series 1996 2.500% due 04/01/2028 (d) 100 100 --------- 11,920 --------- New Jersey 3.8% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 555 580 --------- Puerto Rico 12.3% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 470 502 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 230 272
176 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) $ 1,000 $ 1,085 --------- 1,859 --------- Virgin Islands 2.9% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 435 --------- Total Municipal Bonds & Notes 14,794 (Cost $14,252) --------- U.S. TREASURY OBLIGATIONS 0.7% Treasury Inflation Protected Securities 3.625% due 07/15/2002 (b)(c) 111 113 --------- Total U.S. Treasury Obligations 113 (Cost $113) --------- SHORT-TERM INSTRUMENTS 0.8% Money Market Fund 0.8% Reich & Tang California Money Market 1.660% due 10/01/2001 118 118 --------- Total Short-Term Instruments 118 (Cost $118) --------- Total Investments (a) 99.1% $15,025 (Cost $14,483) Other Assets and Liabilities (Net) 0.9% 146 --------- Net Assets 100.0% $15,171 --------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 542 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value 0 --------- Unrealized appreciation-net $ 542 --------- (b) Securities with an aggregate market value of $113 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ---------------------------------------------------------------------------------------- Municipal Bond CBT (12/2001) 5 $ (3) U.S Treasury 30 Year Bond (12/2001) 20 23 --------- $ 20 --------- (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001.
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 177 Schedule of Investments New York Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 96.8% New Jersey 17.7% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 $ 850 $ 888 -------- New York 71.6% Amherst, New York General Obligation Bonds, (FGIC Insured), Series 1999-A 5.500% due 12/01/2008 150 167 Edmeston, New York Central School District General Obligation Bonds, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 163 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 160 New York City, New York Individual Development Agency Special Facilities Revenue Bonds, Series 1998 5.250% due 12/01/2032 400 302 New York City, New York Individual Development Revenue Bonds, Series 1997 5.650% due 10/01/2028 150 148 New York City, New York Industrial Development Agency Pipeline Airport Facility Revenue Bonds, Series 2001 5.500% due 07/01/2028 1,000 925 New York City, New York Trust Cultural Reserve Revenue Bonds, Series 1990 2.550% due 12/01/2015 (c) 147 147 New York State General Obligation Bonds, Series 1997-D 5.250% due 08/01/2021 100 100 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 153 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 158 New York State Dormitory Authority Revenue Bonds, Series 2000 6.000% due 07/01/2010 150 163 New York State Dormitory Authority Revenue Bonds, Series 2001 5.500% due 07/01/2030 200 203 New York State Energy Research & Development Authority Pollution Control Revenue Bonds, Series 1985 2.650% due 07/01/2015 (c) 100 100 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 158 New York State Power Authority Revenue & General Purpose Bonds, Series 1972-E 5.500% due 01/01/2010 125 137 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 158 Rockland County, New York Solid Waste Management Authority Revenue Bonds, Series 1999-A 4.800% due 12/15/2005 145 153 Suffolk County, New York Individual Development Agency Research Facility Revenue Bonds, (LOC-Morgan Guaranty Trust), Series 1993 2.750% due 07/01/2023 (c) 100 100 -------- 3,595 -------- Puerto Rico 7.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 6.000% due 07/01/2026 100 107 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (c) 250 271 -------- 378 -------- Total Municipal Bonds & Notes 4,861 (Cost $4,790) -------- SHORT-TERM INSTRUMENTS 1.7% Money Market Fund 1.7% Reich & Tang New York Money Market 1.890% due 10/01/2001 (b) 86 86 -------- Total Short-Term Instruments 86 (Cost $86) -------- Total Investments (a) 98.5% $ 4,947 (Cost $4,876) Other Assets and Liabilities (Net) 1.5% 77 -------- Net Assets 100.0% $ 5,024 -------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 163 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (92) -------- Unrealized appreciation-net $ 71 -------- (b) Securities with an aggregate market value of $11 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - ------------------------------------------------------------------------------------------- Municipal Bond (12/2001) 5 $ (3) -------- (c) Variable rate security. The rate listed is as of September 30, 2001.
178 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Notes to Financial Statements September 30, 2001 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 45 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Real Return II and Real Return Asset Funds had not commenced operations as of September 30, 2001. Information presented in these financial statements pertains to the Institutional and Administrative Classes (the "Institutional Classes") of the Trust. Certain detailed financial information for the A, B, C and D Classes (the "Other Classes") is provided separately and is available upon request. 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. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined at the close of regular trading (normally, 4:00 p.m., Eastern Time) on the New York Stock Exchange on each day the New York Stock Exchange is open, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Effective April 1, 2001, the Funds changed accounting methods relating to the amortization of premiums and discounts by adopting the interest method. The Fund with significant adjustments to beginning balances for the cumulative effect is as follows (amount in thousands): Emerging Markets Fund $161 Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the Strategic Balanced, Convertible, European Convertible and StocksPLUS Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the Strategic Balanced, Convertible, European Convertible and StocksPLUS Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividends and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of each Fund, except the Strategic Balanced, Convertible, European Convertible and StocksPLUS Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the Strategic Balanced, Convertible and StocksPLUS Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. 9.30.01 | PIMCO Funds Semi-Annual Report 179 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) Federal Income Taxes. Each Fund intends to qualify as a regulated investment company 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. Financing Transactions. Certain Funds may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options 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 and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. The Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Short Sales. Certain Funds have entered into short sales transactions during the fiscal year. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. Delayed Delivery Transactions. Certain Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to 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 in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive their principal until maturity. Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed- 180 PIMCO Funds Semi-Annual Report | 9.30.01 upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company LLC (PIMCO) is a wholly owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.15% for the Money Market Fund, 0.20% for the Short Duration Municipal Income Fund, 0.40% for the Convertible and StocksPLUS Funds, 0.45% for the Emerging Markets Bond Fund, 0.50% for the European Convertible Fund and 0.25% for all other Funds. Administration Fee. PIMCO serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for the Institutional Classes is charged at the annual rate of 0.18% for the Total Return and Low Duration Funds; 0.19% for the Short Duration Municipal Income Fund; 0.20% for the Moderate Duration, Short-Term and Money Market Funds; 0.24% for the California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds; 0.30% for the Global Bond and Global Bond II Funds; 0.40% for the Emerging Markets Bond Fund; and 0.25% for all other Funds. The Administration Fee for the A, B and C Classes is charged at an annual rate of 0.35% for the Short-Term, Money Market, Municipal Bond, California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds; 0.45% for the Foreign Bond and Global Bond II Funds; 0.50% for the GNMA Fund; 0.55% for the Emerging Markets Bond Fund; and 0.40% for all other Funds. The Administration Fee for Class D is charged at the annual rate of 0.25% for the Short-Term, Total Return, and Low Duration Funds; 0.35% for the California Intermediate Municipal Bond, California Municipal Bond, New York Municipal Bond, Municipal Bond, and Short Duration Municipal Income Funds; 0.45% for the Foreign Bond Fund; 0.50% for the GNMA Fund; 0.55% for the Emerging Markets Bond Fund; and 0.40% for all other Funds. Strategic Balanced Fund Fees. Effective September 29, 2000, the Strategic Balanced Fund changed investment objectives to a "fund of funds" and as such does not pay any fees to PIMCO under the Trust's investment advisory agreement in return for the advisory and asset allocation services provided by PIMCO. The Fund does, however, indirectly pay its proportionate share of the advisory fees paid to PIMCO by the Underlying Funds in which the Fund invests. The Fund pays administrative fees to PIMCO at an annual rate of 0.05% based on the average daily net assets attributable in the aggregate to the Fund's Institutional Class and Administrative Class shares. The Fund also indirectly pays its proportionate share of the administrative fees charged by PIMCO to the Underlying Funds in which the Fund invests. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during current fiscal year. Pursuant to the Distribution and Servicing Plans adopted by the A, B, C and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the A, B, C and D Classes. The Trust paid PFD distribution and servicing fees at an effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class):
Distribution Fee (%) Servicing Fee (%) - -------------------------------------------------------------------------------------- Class A Money Market Fund -- 0.10 All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Low Duration, Real Return, StocksPLUS and Municipal Bond Funds 0.50 0.25 Short-Term Fund 0.30 0.25 Money Market Fund -- 0.10 All other Funds 0.75 0.25 Class D All Funds -- 0.25
PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of A, B and C Class shares. For the period ended September 30, 2001, PFD received $12,261,460 representing commissions (sales charges) and contingent deferred sales charges. 9.30.01 | PIMCO Funds Semi-Annual Report 181 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expense; (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 expenses, including costs of litigation and indemnification expenses; (vii) organization expenses and (viii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Investment Grade Corporate Bond, Convertible, European Convertible, Short Duration Municipal Income, California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds administrative fees to the extent that the payment of each Fund's pro rate share of Trustee fees and organizational expenses cause the actual expense ratios to rise above the rates disclosed in the then-current prospectus plus 0.49 basis points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class):
Inst'l Class Admn. Class Class A Class B Class C Class D - -------------------------------------------------------------------------------------------------------------------------------- Investment Grade Corporate Bond Fund 0.50% 0.75% -- -- -- -- Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05% European Convertible Fund 0.75% 1.00% 1.15% -- -- 1.05% Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80% California Intermediate Municipal Bond Fund 0.49% 0.75% 0.85% -- -- 0.85% California Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.89% -- -- 0.87%
PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $60,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 4. Federal Income Tax Matters As of March 31, 2001, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the California Intermediate Municipal Bond, Convertible, Foreign Bond, Global Bond, Global Bond II, GNMA, High Yield, Investment Grade Corporate, Low Duration, Low Duration II, Low Duration III, Moderate Duration, Real Return, Short-Term, StocksPLUS, and Total Return Funds realized capital losses and/or foreign currency losses during the period November 1, 2000 through March 31, 2001 which the Funds elected to deter to the following fiscal year pursuant to income tax regulations. The amounts are $75,517, $5,480,569, $7,607,826, $20,939,942, $1,281,094, $4,945, $57,057,816, $1,251, $11,492,366, $99,011, $91,234, $258,567, $243,361, $721,218, $214,462,097, $17,936,702, respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards.
Capital Loss Carryforwards --------------------------------------- Realized Losses Acquired Losses Expiration - --------------------------------------------------------------------------------------- Total Return Fund III $ 7,950,236 $ 0 3/31/2008 Moderate Duration 920,418 0 3/31/2008 Low Duration Fund 36,222,381 0 3/31/2008 Low Duration Fund II 2,514,750 0 3/31/2008 Low Duration Fund III 151,000 0 3/31/2009 Low Duration Fund III 336,265 0 3/31/2008 Short-Term Fund 326,974 0 3/31/2009 Short-Term Fund 412,413 0 3/31/2008 Short-Term Fund 109,956 0 3/31/2007 Long-Term U.S. Government Fund 4,671,320 0 3/31/2008 High Yield Fund 150,615,064 0 3/31/2009 High Yield Fund 39,492,722 0 3/31/2008 High Yield Fund 0 48,559,227 3/31/2003 Strategic Balanced Fund 1,711,676 0 3/31/2009 StocksPLUS Fund 86,222,244 0 3/31/2009 Convertible Fund 3,488,828 0 3/31/2009
182 PIMCO Funds Semi-Annual Report | 9.30.01 5. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2001, were as follows (amounts in thousands):
U.S. Government/Agency All Other ----------------------------------------------------------------------- Purchases Sales Purchases Sales - ------------------------------------------------------------------------------------------------------------------------- Total Return Fund $127,013,164 $125,305,486 $ 10,074,991 $ 8,274,677 Total Return Fund II 5,674,499 5,733,448 421,376 137,969 Total Return Fund III 2,431,025 2,496,010 215,398 157,085 Moderate Duration Fund 1,781,325 1,775,849 192,046 167,520 Low Duration Fund 19,659,132 20,119,567 633,385 687,025 Low Duration Fund II 2,625,921 2,809,744 22,383 128,476 Low Duration Fund III 188,557 186,588 6,519 6,281 Short-Term Fund 427,930 743,257 423,572 115,066 Money Market Fund 0 0 0 0 Long-Term U.S. Government Fund 2,126,791 2,202,329 61,508 53,551 Investment Grade Corporate Bond Fund 5,715 5,717 6,664 6,451 High Yield Fund 146,328 180,389 1,458,240 919,149 Total Return Mortgage Fund 278,349 325,261 89,179 3,467 GNMA Fund 125,967 108,042 700 298 Real Return Fund 3,048,287 1,672,504 182,851 102,025 Foreign Bond Fund 1,300,915 1,337,723 437,900 296,594 Global Bond Fund 714,102 646,569 201,848 231,699 Global Bond Fund II 119,644 98,108 53,221 88,830 Emerging Markets Bond Fund 0 0 363,119 357,349 Strategic Balanced Fund 0 0 16,122 8,452 Convertible Fund 0 0 65,208 76,801 European Convertible Fund 0 0 4,988 4,481 StocksPLUS Fund 2,721,803 2,928,618 90,431 221,079 Municipal Bond Fund 565 395 78,534 49,058 Short Duration Municipal Bond Fund 0 0 9,414 8,249 California Intermediate Municipal Bond Fund 0 226 37,395 55,037 California Municipal Bond Fund 0 113 8,148 5,463 New York Municipal Bond Fund 113 112.87539 5,765 4,526
6. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
Moderate Total Return Total Return Total Return Duration Low Duration Low Duration Fund Fund II Fund III Fund Fund Fund III --------------------------------------------------------------------------------------------------- Premium --------------------------------------------------------------------------------------------------- Balance at 03/31/2001 $ 35,755 $ 762 $ 790 $ 0 $ 1,822 $ 21 Sales 196,798 10,236 3,437 975 645 0 Closing Buys (2,294) (410) (270) 0 0 0 Expirations (69,300) (1,488) (971) 0 (684) (7) Exercised 0 0 0 0 0 0 --------------------------------------------------------------------------------------------------- Balance at 09/30/2001 $ 160,959 $ 9,100 $ 2,986 $ 975 $ 1,783 $ 14 --------------------------------------------------------------------------------------------------- Long-Term Investment U.S. Gov't Grade Corporate Foreign Global Global StocksPLUS Fund Bond Fund Bond Fund Bond Fund Bond Fund II Fund --------------------------------------------------------------------------------------------------- Premium --------------------------------------------------------------------------------------------------- Balance at 03/31/2001 $ 631 $ 0 $ 696 $ 328 $ 56 $ 756 Sales 1,425 21 3,492 1,593 374 1,752 Closing Buys (1,123) (3) (1,631) (747) (177) (189) Expirations (420) 0 (278) (130) (27) (2,083) Exercised 0 0 0 0 0 0 --------------------------------------------------------------------------------------------------- Balance at 09/30/2001 $ 513 $ 18 $ 2,279 $ 1,044 $ 226 $ 236 ---------------------------------------------------------------------------------------------------
9.30.01 | PIMCO Funds Semi-Annual Report 183 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) 7. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Total Return Fund -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 484,484 $ 5,105,547 1,049,394 $ 10,686,192 Administrative Class 215,926 2,276,371 272,618 2,801,443 Other Classes 225,166 2,375,332 278,473 2,858,874 Issued as reinvestment of distributions Institutional Class 71,956 758,260 150,080 1,529,088 Administrative Class 12,754 134,521 19,472 198,869 Other Classes 7,853 82,851 12,054 123,077 Cost of shares redeemed Institutional Class (443,684) (4,675,438) (681,617) (6,936,468) Administrative Class (85,279) (900,312) (107,873) (1,104,430) Other Classes (78,634) (829,228) (118,243) (1,205,155) Net increase (decrease) resulting from Fund share transactions 410,542 $ 4,327,904 874,358 $ 8,951,490 - ----------------------------------------------------------------------------------------------------------------------- Total Return Fund II -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 17,864 $ 184,664 57,731 $ 570,675 Administrative Class 2,692 27,747 6,262 62,044 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 3,131 32,321 7,254 71,901 Administrative Class 203 2,094 381 3,782 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (18,656) (191,393) (39,185) (389,100) Administrative Class (1,601) (16,543) (5,002) (49,423) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 3,633 $ 38,890 27,441 $ 269,879 - ----------------------------------------------------------------------------------------------------------------------- Total Return Fund III -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 4,110 $ 37,881 25,145 $ 221,365 Administrative Class 52 486 19 163 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 2,316 21,350 5,186 46,166 Administrative Class 31 281 71 637 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (13,559) (124,889) (8,505) (75,805) Administrative Class (218) (2,023) (29) (259) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions (7,268) $ (66,914) 21,887 $ 192,267 - ---------------------------------------------------------------------------------------------------------------------- Short-Term Fund -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 46,740 $ 469,052 55,902 $ 557,919 Administrative Class 5,540 55,579 760 7,559 Other Classes 66,011 662,571 11,858 118,255 Issued as reinvestment of distributions Institutional Class 1,203 12,070 2,860 28,548 Administrative Class 45 456 27 271 Other Classes 453 4,545 457 4,561 Cost of shares redeemed Institutional Class (22,455) (225,249) (65,673) (655,344) Administrative Class (443) (4,445) (1,849) (18,406) Other Classes (15,600) (156,705) (10,683) (106,536) Net increase (decrease) resulting from Fund share transactions 81,494 $ 817,874 (6,341) $ (63,173) - ----------------------------------------------------------------------------------------------------------------------- Money Market Fund -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 80,673 $ 80,673 145,605 $ 145,605 Administrative Class 23,706 23,705 16,511 16,510 Other Classes 432,326 432,326 2,312,652 2,312,653 Issued as reinvestment of distributions Institutional Class 2,898 2,898 12,820 12,820 Administrative Class 209 209 485 485 Other Classes 2,891 2,891 7,633 7,633 Cost of shares redeemed Institutional Class (49,655) (49,655) (327,450) (327,450) Administrative Class (12,474) (12,474) (19,622) (19,622) Other Classes (413,677) (413,677) (2,341,229) (2,341,229) Net increase (decrease) resulting from Fund share transactions 66,897 $ 66,896 (192,595) $ (192,595) - ----------------------------------------------------------------------------------------------------------------------- Long-Term U.S. Government Fund -------------------------------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------------------------------- Receipts for shares sold Institutional Class 6,783 $ 71,793 18,130 $ 185,685 Administrative Class 3,137 33,389 5,916 61,908 Other Classes 10,411 109,723 11,785 122,155 Issued as reinvestment of distributions Institutional Class 559 5,894 1,175 11,990 Administrative Class 212 2,234 268 2,736 Other Classes 341 3,610 372 3,801 Cost of shares redeemed Institutional Class (5,922) (62,324) (19,535) (204,230) Administrative Class (2,580) (26,895) (2,979) (30,338) Other Classes (6,655) (69,972) (6,251) (63,811) Net increase (decrease) resulting from Fund share transactions 6,286 $ 67,452 8,881 $ 89,896 - -----------------------------------------------------------------------------------------------------------------------
184 PIMCO Funds Semi-Annual Report | 9.30.01
Moderate Duration Fund Low Duration Fund ----------------------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------------------------------------------------------------------------------------- 9,972 $ 99,982 27,897 $ 271,662 116,479 $ 1,173,831 247,498 $ 2,441,784 0 0 0 0 12,554 126,797 9,991 98,789 0 0 0 0 38,751 391,772 32,296 318,860 1,451 14,578 3,123 30,441 10,909 109,994 22,292 220,160 0 0 0 0 458 4,616 902 8,907 0 0 0 0 1,019 10,278 1,911 18,884 (7,409) (74,010) (13,959) (135,840) (122,000) (1,229,294) (226,741) (2,235,908) 0 0 0 0 (3,243) (32,661) (7,883) (78,115) 0 0 0 0 (13,266) (133,786) (28,214) (278,280) 4,014 $ 40,550 17,061 $ 166,263 41,661 $ 421,547 52,052 $ 515,081 ----------------------------------------------------------------------------------------------------------------------------- Low Duration Fund II Low Duration Fund III ----------------------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------------------------------------------------------------------------------------- 6,249 $ 62,616 40,536 $ 394,918 241 $ 2,393 2,567 $ 25,072 0 1 8 82 0 0 0 0 0 0 0 0 0 0 0 0 1,393 13,997 3,649 35,794 122 1,212 269 2,621 0 1 0 1 0 0 0 1 0 0 0 0 0 0 0 0 (25,465) (254,680) (28,675) (280,932) (424) (4,232) (1,841) (18,040) (2) (26) (7) (73) 0 0 0 0 0 0 0 00 0 0 0 0 (17,825) $ (178,091) 15,511 $ 149,790 (61) $ (627) 995 $ 9,654 ----------------------------------------------------------------------------------------------------------------------------- Investment Grade Corporate Bond Fund High Yield Fund ----------------------------------------------------------------------------------------------------------------------------- Period Ended Period from 04/28/2000 Period Ended Year Ended 09/30/2001 to 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------------------------------------------------------------------------------------- 0 $ 0 500 $ 5,000 49,099 $ 473,509 79,092 $ 792,834 0 0 0 0 15,171 147,511 22,374 224,073 0 0 0 0 33,010 318,963 52,126 522,135 20 206 38 397 4,400 42,212 11,673 116,900 0 0 0 0 2,162 20,733 3,726 37,198 0 0 0 0 2,160 20,718 3,496 34,732 0 0 0 0 (22,604) (216,745) (162,673) (1,605,873) 0 0 0 0 (11,303) (108,610) (13,874) (138,474) 0 0 0 0 (18,061) (173,861) (38,440) (385,505) 20 $ 206 538 $ 5,397 54,034 $ 524,430 (42,500) $ (401,980) ----------------------------------------------------------------------------------------------------------------------------- Total Return Mortgage Fund GNMA Fund ----------------------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------------------------------------------------------------------------------------- 309 $ 3,223 1,923 $ 19,192 1,759 $ 18,809 908 $ 9,067 0 0 0 0 0 0 0 0 2,318 24,477 516 5,324 1,323 14,106 1 10 49 517 124 1,270 29 306 53 530 0 0 0 0 0 0 0 0 23 236 10 104 4 39 0 0 (563) (5,996) (496) (5,092) (201) (2,109) (441) (4,496) 0 0 0 0 0 0 0 0 (276) (2,923) (88) (904) (28) (291) 0 0 1,860 $ 19,534 1,989 $ 19,894 2,886 $ 30,860 521 $ 5,111 -----------------------------------------------------------------------------------------------------------------------------
9.30.01 | PIMCO Funds Semi-Annual Report 185 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) 7. Shares of Beneficial Interest (Cont.) The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Real Return Fund ------------------------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 30,240 $ 316,487 41,127 $ 412,572 Administrative Class 2,262 23,646 6,218 62,788 Other Classes 79,413 831,443 23,900 242,511 Issued as reinvestment of distributions Institutional Class 1,946 20,337 3,032 30,496 Administrative Class 186 1,940 120 1,223 Other Classes 1,083 11,322 743 7,495 Cost of shares redeemed Institutional Class (8,417) (88,013) (11,491) (115,763) Administrative Class (1,023) (10,694) (1,400) (14,142) Other Classes (7,127) (74,559) (3,027) (30,405) Net increase (decrease) resulting from Fund share transactions 98,563 $ 1,031,909 59,222 $ 596,775 - ------------------------------------------------------------------------------------------------------------ Foreign Bond Fund ------------------------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 8,709 $ 89,741 17,028 $ 172,052 Administrative Class 402 4,137 1,466 14,864 Other Classes 6,651 68,419 8,035 81,245 Issued as reinvestment of distributions Institutional Class 1,025 10,527 3,087 31,126 Administrative Class 39 398 53 540 Other Classes 324 3,330 842 8,494 Cost of shares redeemed Institutional Class (6,138) (63,008) (15,445) (155,946) Administrative Class (399) (4,096) (348) (3,524) Other Classes (3,601) (37,054) (3,749) (37,903) Net increase (decrease) resulting from Fund share transactions 7,012 $ 72,394 10,969 $ 110,948 - ------------------------------------------------------------------------------------------------------------ Global Bond Fund ------------------------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 4,302 $ 36,349 17,392 $ 150,687 Administrative Class 279 2,399 340 2,952 Other Classes 0 0 0 0 Issued as reinvestment of distributions Institutional Class 745 6,297 1,336 11,553 Administrative Class 7 57 14 123 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class (4,103) (34,675) (12,471) (107,207) Administrative Class (195) (1,674) (350) (3,030) Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 1,035 $ 8,753 6,261 $ 55,078 - ------------------------------------------------------------------------------------------------------------ European Convertible Fund ------------------------------------------------------------ Period Ended Period from 11/30/2000 09/30/2001 to 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 0 $ 0 499 $ 4,990 Administrative Class 0 0 0 0 Other Classes 0 0 1 10 Issued as reinvestment of distributions Institutional Class 4 39 2 20 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Cost of shares redeemed Institutional Class 0 0 0 0 Administrative Class 0 0 0 0 Other Classes 0 0 0 0 Net increase (decrease) resulting from Fund share transactions 4 $ 39 502 $ 5,020 - ------------------------------------------------------------------------------------------------------------ StocksPLUS Fund ------------------------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 4,276 $ 45,342 15,120 $ 192,570 Administrative Class 812 8,363 1,533 19,575 Other Classes 3,638 37,387 15,643 203,143 Issued as reinvestment of distributions Institutional Class 409 4,404 3,690 45,695 Administrative Class 38 400 274 3,338 Other Classes 373 3,943 4,049 49,151 Cost of shares redeemed Institutional Class (5,662) (60,944) (21,472) (275,526) Administrative Class (187) (1,967) (317) (3,869) Other Classes (7,215) (73,424) (24,600) (314,693) Net increase (decrease) resulting from Fund share transactions (3,518) $ (36,496) (6,080) $ (80,616) - ------------------------------------------------------------------------------------------------------------ Municipal Bond Fund ------------------------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------------------------ Receipts for shares sold Institutional Class 1,485 $ 14,926 2,478 $ 23,749 Administrative Class 225 2,250 262 2,528 Other Classes 2,619 26,507 2,162 21,007 Issued as reinvestment of distributions Institutional Class 67 683 71 685 Administrative Class 14 143 20 193 Other Classes 68 691 104 1,006 Cost of shares redeemed Institutional Class (581) (5,880) (806) (7,753) Administrative Class (80) (807) (134) (1,304) Other Classes (1,139) (11,425) (1,711) (16,427) Net increase (decrease) resulting from Fund share transactions 2,678 $ 27,088 2,446 $ 23,684 - ------------------------------------------------------------------------------------------------------------
186 PIMCO Funds Semi-Annual Report | 9.30.01
Global Bond Fund II Emerging Markets Bond Fund ---------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------- 1 $ 7 737 $ 6,935 3,940 $ 34,309 4,173 $ 34,602 0 0 0 0 134 1,140 120 1,010 434 4,192 406 3,819 507 4,439 413 3,495 148 1,418 567 5,308 296 2,573 579 4,821 0 0 0 0 43 373 172 1,434 18 177 71 671 12 101 18 154 (53) (500) (3,782) (35,563) (3,904) (34,678) (720) (5,860) 0 0 0 0 (173) (1,499) (932) (7,791) (152) (1,454) (391) (3,685) (74) (648) (210) (1,800) 396 $ 3,840 (2,392) $ (22,515) 781 $ 6,110 3,613 $ 30,065 ---------------------------------------------------------------------------------------------------------------- Strategic Balanced Fund Convertible Fund ---------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------------------------------------------------------------------------- 154 $ 1,654 315 $ 3,779 113 $ 1,297 6,602 $ 90,224 24 273 14 15 0 0 28 410 418 4,426 823 9,610 581 6,735 1,596 22,419 70 709 493 5,725 26 273 563 7,572 1 10 5 63 0 0 0 1 19 199 197 2,217 11 119 81 1,074 (201) (2,156) (6,058) (76,927) (3,825) (42,019) (12,009) (155,586) 0 (10) (27) (325) 0 0 0 0 (227) (2,401) (751) (8,994) (763) (8,777) (450) (6,093) 258 $ 2,704 (4,989) $ (64,701) (3,857) $ (42,372) (3,589) $ (39,979) ---------------------------------------------------------------------------------------------------------------- Short Duration California Intermediate Municipal Income Fund Municipal Bond Fund ----------------------------------------------------------------------------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------------------------------------------------------------------------- 248 2,519 1,361 $ 13,744 2,205 $ 23,502 11,124 $ 112,569 0 0 0 0 0 0 156 1,550 0 0 0 0 822 8,765 4,161 42,117 25 254 57 575 145 1,535 294 3,049 0 0 0 0 3 34 6 66 0 0 0 0 46 487 108 1,124 (196) (2,000) (1,149) (11,638) (4,171) (44,355) (3,996) (40,783) 0 0 0 0 0 0 (1) (10) 0 0 0 0 (846) (8,974) (1,691) (17,630) 77 $ 773 269 $ 2,681 (1,796) $ (19,006) 10,161 $ 102,052 ----------------------------------------------------------------------------------------------------------------- California Municipal Bond Fund New York Municipal Bond Fund ------------------------------------------------------------------------------------------------------------------ Period Ended Period from 05/16/2000 Period Ended Year Ended 09/30/2001 to 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ------------------------------------------------------------------------------------------------------------------ 380 $ 3,994 2,106 $ 21,136 32 $ 350 28 $ 300 0 0 0 0 0 0 0 0 57 594 80 819 118 1,306 27 285 23 239 79 807 7 81 17 171 0 0 0 0 0 0 0 0 1 8 0 4 1 9 0 2 (225) (2,366) (1,031) (10,590) (74) (830) 0 0 0 0 0 0 0 0 0 0 (36) (382) (11) (110) (1) (10) (1) (11) 200 $ 2,087 1,223 $ 12,066 83 $ 906 71 $ 747 ------------------------------------------------------------------------------------------------------------------
9.30.01 | PIMCO Funds Semi-Annual Report 187 (This Page Intentionally Left Blank) Pacific Investment Management Company LLC (PIMCO) is responsible for the management and administration of the PIMCO Funds: Pacific Investment Management Series. Founded in 1971, PIMCO currently manages assets in excess of $234 billion on behalf of mutual fund and institutional clients located around the world. Renowned for its fixed income management expertise, PIMCO manages assets for many of the largest corporations, foundations, endowments, and governmental bodies in the United States and the world. Trustees and Officers Brent R. Harris Chairman and Trustee R. Wesley Burns President and Trustee Guilford C. Babcock Trustee E. Philip Cannon Trustee Vern O. Curtis Trustee J. Michael Hagan Trustee Thomas P. Kemp Trustee William J. Popejoy Trustee Garlin G. Flynn Secretary John P. Hardaway Treasurer Investment Adviser and Administrator Pacific Investment Management Company LLC 840 Newport Center Drive, Suite 300 Newport Beach, CA 92660 Custodian State Street Bank & Trust Company 801 Pennsylvania Kansas City, MO 64105 Transfer Agent National Financial Data Services 330 W. 9th Street, 4th Floor Kansas City, MO 64105 Counsel Dechert 1775 Eye Street, N.W. Washington, D.C. 20006-2401 Independent Accountants PricewaterhouseCoopers LLP 203 North LaSalle Street Chicago, IL 60601 This report is submitted for the general information of the shareholders of the PIMCO Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by an effective prospectus for the PIMCO Funds, which contains information covering its investment policies as well as other pertinent information. [LOGO] PIMCO FUNDS PIMCO Funds Distributors LLC 840 NEWPORT CENTER DRIVE NEWPORT BEACH, CA 92660 800.927.4648 www.pimco.com A Quarterly Publication from PIMCO Funds FALL/WINTER 2001 [Graphic] Energize your cash Short-term bond funds can add power to your savings. Page 2 5PIMCO's economic|6Gross & McCulley |8Is there value in |Inside: PIMCO Funds think tank | give their perspectives| today's stock market?|9.30.01 Semi-Annual Report A B C
[LOGO]PIMCO FUNDS Plugging Into Short-Term Bond Funds [PHOTO] While the Federal Reserve's aggressive easing campaign may have sparked hope for an economic recovery, it's done no favors for cash investments. Ten Fed cuts in eleven months have brought interest rates down to levels not seen since the early '60s. As great as that's been for borrowers, it's been disheartening for savers. The average money market fund, which yielded 6.1% at the beginning of the year, was yielding a meager 2.88% as of September 30, 2001/1/. And other traditional cash vehicles, such as CDs and money market accounts, have been earning even less. A SERIES OF SHOCKS All this comes at a time when Americans have more than $2.5 trillion sitting in cash./2/ Consider what has happened: The NASDAQ and S&P 500 are off 70.31% and 31.85% from their 1999 highs/3/, consumer spending has dropped and unemployment has risen. What's more, the events of September 11th had a profound impact on the American mindset and served to exacerbate an already weak U.S. economy. The sum of these factors has caused investors to develop an understandable aversion to risk and driven them to park capital in "safe" investments. The majority of this cash resides in money market funds, CDs and bank accounts, considered beacons of safety in the financial world. However, there's a price to pay for their relative security. "Investors' devotion to perfect safety is costing them even better returns," says Paul McCulley, renowned Fed-watcher and head of short-term securities at PIMCO. His solution: "Short-term bond funds cushion interest rate cuts and allow investors to maximize current income." POWER SURGE Short-term bond funds don't guarantee the return of your principal the way that FDIC-insured CDs and bank deposits do. And unlike money market funds, they don't assure investors of an unwavering $1 share price. Yet by taking a slight step up in risk, short-term bond funds can produce a substantial uptick in return. Over the past five years, the average short-term bond fund has produced an annualized total return of 5.77% compared to 4.89% for the average money market fund/4/. That extra return can really add up when compounded over time. GOOD INSULATION Meanwhile, the volatility of short-term bond funds is generally very low. That's because they typically invest in fixed-income securities with maturities of three years or less. Accordingly, their short average maturities make them less susceptible to interest rate changes than funds that invest in longer-term More for Your Money Short-term bond funds, such as PIMCO Low Duration Fund, can offer higher yields than other cash investments with little additional risk. Current Yields (as of 9/30/01) Bank Money 6-Mo. CDs Money Market PIMCO Low Market Accts Funds Duration Fund 1.94% 2.38% 2.88% 4.96% 2 access | Fall/Winter 2001 Low interest rates don't have to mean low-wattage returns on your cash. bonds. And funds that focus on high credit quality issues can be even more stable. For example, the net asset value of the McCulley-managed PIMCO Short-Term Bond Fund, which carries an average credit quality of A+ (9/30/01), has fluctuated only 3% in the 14 years since its inception. "In the grand scheme of things, it shouldn't really matter to investors if their liquid reserves were to fluctuate between, say, 98 and 102 cents on the dollar," McCulley points out, "as long as they averaged 100 cents on the dollar." WIRED FOR RETURN That said, short-term bond funds probably aren't the right investment choice for the cash you need to pay the bills. But they can be a smart alternative for the money you're tucking away for a longer length of time. Good examples are an emergency fund or the savings you've earmarked for a major purchase in the next year or so. They can also be a good way to invest any money you've been keeping on the sidelines. "Money market funds are safe but they don't provide returns," states Bill Gross, PIMCO "...money fund investors can engineer a nice increase in yield without taking on huge added risks. Among the best options to consider: 'ultra-short' and short- term bond funds." --The Wall Street Journal, June 29, 2001 co-founder and manager of PIMCO Low Duration Fund. A short-term bond fund, on the other hand, is a bonafide investment--it provides the potential for incremental return while still offering substantial principal protection. The bottom line--given today's low interest rate environment, it's a smart idea to take a look at your cash investments as a whole. Determine what portion of those assets requires absolute safety. For the balance, you might want to consider a short-term bond fund. Your financial advisor can help you choose a fund that meets your investment objectives and that fits into your overall financial plan. History of Low Volatility Short-term bond funds that focus on high credit quality securities, such as PIMCO Short-Term and Low Duration Funds, are relatively stable investments. PIMCO PIMCO Date Short-Term Fund Low Duration Fund ==== =============== ================= 9/30/98 $10.04 $10.29 10/30/98 $10.03 $10.22 11/30/98 $10.02 $10.23 12/31/98 $10.00 $10.17 1/29/99 $10.00 $10.17 2/26/99 $10.00 $10.07 3/31/99 $10.03 $10.10 4/30/99 $10.03 $10.10 5/31/99 $ 9.99 $10.02 6/30/99 $ 9.98 $ 9.97 7/30/99 $ 9.97 $ 9.92 8/31/99 $ 9.96 $ 9.88 9/30/99 $ 9.96 $ 9.90 10/29/99 $ 9.96 $ 9.89 11/30/99 $ 9.96 $ 9.88 12/31/99 $ 9.95 $ 9.84 1/31/00 $ 9.93 $ 9.78 2/29/00 $ 9.94 $ 9.80 3/31/00 $ 9.95 $ 9.81 4/28/00 $ 9.94 $ 9.78 5/31/00 $ 9.94 $ 9.75 6/30/00 $ 9.95 $ 9.81 7/31/00 $ 9.96 $ 9.82 8/31/00 $ 9.97 $ 9.87 9/29/00 $ 9.97 $ 9.86 10/31/00 $ 9.96 $ 9.81 11/30/00 $ 9.99 $ 9.83 12/29/00 $10.00 $ 9.90 1/31/01 $10.02 $10.01 2/28/01 $10.05 $10.01 3/31/01 $10.03 $10.03 4/30/01 $10.01 $10.01 5/30/01 $10.04 $10.04 6/30/01 $10.01 $10.01 7/30/01 $10.04 $10.13 8/30/01 $10.04 $10.14 9/30/01 $10.06 $10.20 Fall/Winter 2001 | access 3 online update At pimcofunds.com, keeping up with our managers is virtually possible. [PHOTO] MANAGERS IN THE MEDIA PIMCO Funds portfolio managers--like Bill Gross and Paul McCulley, pictured above--are frequently sought after by the media to help sort out what's happening in the financial markets. Our managers are regular guests on networks like CNBC, CNN, CNNfn and public television. You'll find listings of upcoming guest spots on our Web site, and now you can view TV appearances online too. Look for the latest video clips on the PIMCO Funds Home page, www.pimcofunds.com. Or check for recent appearances listed under specific funds by following these directions: . click on "Fund Information" on our Home page . select a PIMCO Fund . click on "Media Highlights." PIMCO Funds Online offers plenty of other ways to find out what PIMCO portfolio managers have to say: DAILY MANAGER COMMENTARY End-of-day reports from our managers covering everything from economic outlooks, to investment strategies to breaking news analysis. MONTHLY NEWSLETTERS Whether it's the global financial markets or the Fed, PIMCO's fund managers analyze what's moving Wall Street, through a range of newsletters--available by e-mail (see our Web site for details)--including: Investment Outlook Bill Gross, PIMCO's renowned bond chief and manager of PIMCO Total Return Fund, offers his insights on the bond market and the economy. Fed Focus PIMCO Short-Term Fund manager and veteran Fed-watcher Paul McCulley dissects the Fed and gives the big economic picture. Emerging Markets Watch Mohamed El-Erian, manager of PIMCO Emerging Markets Bond Fund and a former Deputy Director with the IMF, offers a regular look at the emerging market economies and the implications for foreign bond investors. Appearances and other manager commentary contain the current opinions of the manager and do not represent a recommendation of any particular security, strategy or investment product. Such opinions are subject to change without notice. These articles are distributed for educational purposes and should not be considered investment advice. Go Paperless with eDelivery PIMCO Funds Online is proud to introduce eDelivery. This new service allows you to access shareholder communications, eliminating the paper mailings you've received from us in the past. HERE'S HOW IT WORKS Once you sign up for eDelivery, and materials become available, we'll send you an e-mail notification containing the Internet address where you can view, save and print the material. BENEFITS TO SHAREHOLDERS There are several compelling reasons to sign up for eDelivery. For example, the service is a faster and more convenient way to receive your shareholder communications. It's also environmentally sound. And of course, it helps eliminate mailbox clutter! SIGNING UP Just point your browser to www.pimcofunds.com/ede-livery and complete the short enrollment form. You should note that a number of brokerage firms offer a separate electronic delivery service, so don't be discouraged if you don't find your firm's name listed. If that's the case, check with your financial advisor, who can tell you if electronic delivery is available for your account. 4 access | Fall/Winter 2001 Secular Outlook: A Bond Manager's Perspective At PIMCO, we believe that long-term, or secular, trends in demographics, politics and the global economy exert the most powerful influences on the fixed-income markets. While the events of September 11th may have exacerbated some of these trends--to the upside as well as the downside--we'd like to reassure you that our secular outlook remains unchanged. In fact, it is precisely at times like these, marked by near-term uncertainty and volatility, that our long-term view becomes most critical. We thought it would be timely to share this perspective with you now. Each May more than 100 PIMCO investment professionals from around the globe gather together with leading outside experts for our annual Secular Forum. We use this meeting to formulate a three- to five-year outlook for bond markets worldwide, which determines how we structure our bond portfolios. The following conclusions comprise PIMCO's 2001 Secular Outlook. U.S. GROWTH TO SLOW Over the next three to four years, growth in the U.S. will be slower than the robust pace of over four percent experienced since 1997. Productivity gains in the U.S. have peaked and will revert closer to historical averages, producing a chain reaction of lower corporate profits, reduced investment, pressure on equity valuations and weaker growth. Anxious and overleveraged consumers will respond by reversing their negative savings rate, creating more of a drag on the economy. EUROPE TO MATCH U.S.; JAPAN TO REMAIN WEAK Growth in the Eurozone will at least match that of the U.S. Europe's economies are not burdened with U.S.-style investment and consumption bubbles. European growth will be supported by strong Information Tecnology (IT) spending as the region plays catch up to the U.S. Weighed down by weak banks, low consumer confidence and mounting public debt, Japan will contribute little to global growth over the next several years. GLOBAL INFLATION AT 1-3 PERCENT Weaker growth worldwide will prolong a disinflationary environment that will leave global inflation in a range of 1-3 percent. The euro will strengthen against the dollar, helping keep European inflation below that of the U.S., as more European capital stays home amid lower returns and slower growth in the U.S. Temporary productivity gains from increased IT spending will also restrain European inflation. RANGE-BOUND INTEREST RATES Ten-year Treasuries will range between 41/2 and 61/2 percent from now until 2005. PIMCO will use rallies--periods when rates approach the lower end of our range--to reduce the duration, or interest rate sensitivity, of our portfolios. Since bond prices move inversely to interest rates, this will allow us to harvest capital gains. Eurozone rates could average 50 to 100 basis points less than U.S. rates because of lower inflation, a stronger currency and the European Central Bank's focus on inflation as opposed to growth. BIAS TOWARD QUALITY PIMCO remains committed to higher quality investments, especially mortgages, which offer attractive yields with minimal credit risk. Prices of corporate bonds will remain under pressure early in our secular period as weak economic growth translates into subdued corporate profit growth. Opportunities for high yield and corporates will be better in 2002 and beyond. MODEST STOCK AND BOND RETURNS Stock and bond returns will be fortunate to reach six percent annually over the next several years. Sub-par growth and still lofty valuations will crimp equity performance, while relatively low interest rates will cap the upside from bonds. The balance of risks favors bonds, though, because equities stand a greater chance of producing negative returns. Past performance is no guarantee of future results Fall/Winter 2001 | access 5 TOP DOWN Buying and Selling Hope The September 11th attacks dealt a blow to the U.S. economy, causing many investors to wonder what's next for the financial markets--and their portfolios. In this excerpt from the October issue of his Investment Outlook, Bill Gross asks then answers three fundamental questions that shed some light on the current investment climate. [PHOTO] Bill Gross All the interest of my reason comes together in the following three questions: 1. What can I know? 2. What ought I to do? 3. What may I hope? --Immanuel Kant, Critique of Pure Reason Any investor, anytime must ask the question, "What am I buying?" Am I buying hope or am I buying value? That question is especially important in the wake of the September 11th attacks, because it's only natural to combine patriotism with hope for a better tomorrow and come to incorrect conclusions about valuations. But when it comes to investing, it pays to use one's head instead of one's heart. The heart should be responsible for writing a check to the Red Cross to assist surviving families in NYC, Washington D.C. and those killed in Pennsylvania. The head should be in charge of deciding whether bonds or stocks make sense at today's prices in an increasingly risky global economic and sociopolitical environment. Eighteenth century philosopher Immanuel Kant wrote in his Critique of Pure Reason some sage advice for any investor, quoted at the beginning of this piece. His questions, at least for today will be my questions, beginning with... 1. WHAT CAN I KNOW? I know several things. I know that in the early part of September, the U.S. economy was already in recession, and in the aftermath of September 11th, recovery could be postponed deep into 2002. I know President Bush and other government officials believe this war will be a long lasting one requiring sacrifices from all Americans. I know that the monetary spigot has been opened wide and that the fiscal lock box has been broken into. I know that since September 11th the financial environment has become increasingly risky. And finally, I know that significant secular trends involving globalization and privatization are at risk of slowing down or even reversing. 2. WHAT OUGHT I TO DO? In an environment of increasing economic/financial risk, PIMCO's stance will focus first on protection of principal and secondarily on increasing return. We are in the culminating phase of a 20-year Treasury bond bull market with 2-year yields at 23/4% and 10-year yields at 41/2%. Should an investor risk principal loss for such paltry returns? Hardly. Should a risk-averse investor grab for Baa and junk bond yields in an environment where corporate profits are at risk? Hardly. For now, PIMCO will stress high quality, close to market durations, and a healthy dose of European sovereign credits. 3. WHAT MAY I HOPE? Yours truly and PIMCO are not in the business of selling hope nor in paying too high a price for it on your behalf. I hope that America comes back from its current recession quicker than ever. I hope our current war against terrorism is won and won decisively. I hope the American initiatives promoting globalization and privatization are not halted or reversed. But I have serious questions about all of these hopes and more. "All the interest of my reason" suggests the ascendancy of caution, not hope, and the protection of principal at the expense of return. Bill Gross is a founder and the Chief Investment Officer of PIMCO. He also manages PIMCO Total Return and Low Duration Funds. [GRAPHIC] Read These Newsletters in Full To read the full text of these newsletters, visit the PIMCO Funds Bond Center at www.pimcofunds.com/bondcenter. Make sure you don't miss a single installment by signing up for electronic delivery. Simply go to www.pimcofunds.com and click on "Preferences." 6 access | Fall/Winter 2001 PIMCO'S LEADING BOND EXPERTS ASSESS THE ECONOMIC LANDSCAPE [PHOTO] Paul McCulley The Right Way All year, investors have been looking to the Fed to cut interest rates in an attempt to put the economy back on track. The Fed has delivered. And in the aftermath of September 11, it has intensified its efforts. But, as Paul McCulley explains in this excerpt from his October Fed Focus newsletter, cutting interest rates simply isn't enough. The nation is in recession. When it began exactly, I don't know. The precise dating of recessions is not a science but an art, practiced by the National Bureau of Economic Research (NBER). And the NBER only dates them long after the fact. That's because the NBER is not in the forecasting business, but rather the history business. And in writing history, it is more important to be right than quick. BETTER RIGHT AND QUICK In Congressional testimony since the tragedies of September 11, Mr. Greenspan has evoked precisely the same dictum with respect to enacting additional fiscal stimulus: it is more important to be right than quick. I worry, however, that Mr. Greenspan's plea to avoid undue haste in crafting a fiscal stimulus package arises from the fact that he has only accepted the inevitability of a fiscal stimulus package, but has not embraced either its efficacy or desirability. More bluntly, I believe that Mr. Greenspan still believes that monetary policy should be the dominant and dominating counter-cyclical policy tool, aided and abetted by the "bond market vigilantes" policing fiscal policy authorities. AND THE RIGHT WAY IS... There is, as Mr. Greenspan argues, a "right" way to construct a fiscal stimulus package. And one that is expected to "work" will, by definition, offend the "bond market vigilantes." Put differently, long-term Treasury yields will naturally rise if/when credible prospects for recovery diminish the "safe" haven bid for long-term Treasuries. How much they rise will depend, in large part, on whether the Fed is expected to jack short-term rates when recovery is at hand. Thus, the "right" way for Congress to construct a fiscal stimulus is to (1) start with the presumption that, if successful, the vaunted "bond market vigilantes" will not like it; and (2) demand a pledge from the Fed to resist any urge to tighten in "solidarity" with the "bond market vigilantes." A PRE-HOLIDAY TAX HOLIDAY I'd like to offer my proposal for a fiscal stimulus package: a 3-6 month "holiday" in all payroll (social security) taxes. A payroll tax holiday has five key features I think make it the "right" way to go. It is large. The tax will raise almost $700 billion this year, about 7% of GDP. Thus, a 3-6 month holiday from the tax would boost private sector cash flow by 1%-3% of GDP, well above the 1% of GDP that conventional econometric models--and Greenspan--suggest is appropriate. It has a "sunset" provision, by definition: the length of the holiday. Payroll tax is a regressive tax on the household sector, with only 1.45% of both employee and employer levies applying to incomes above $80,400 (for Medicare). Thus, a holiday from the tax would put hard cold take-home cash into the hands of those who have a high marginal propensity to consume. Since the business sector pays half the tax "on behalf" of their employees, a three-month holiday from the tax would be an immediate boon to business cash flow--potentially over $75 billion. It's exceedingly easy to administer and fast-acting. The bottom line: a payroll tax holiday can deliver what's needed--fiscal stimulus that's both right and quick. Paul McCulley is a Managing Director at PIMCO and is manager of PIMCO Short-Term Fund. Fall/Winter 2001 | access 7 The Case for Value Stocks Today Despite a slower U.S. economy, not every stock or stock fund has suffered. In fact, PIMCO's value funds --Renaissance, Value and Small-Cap Value--have been thriving. That's because value funds invest in stocks that are underpriced relative to fundamental measures, such as earnings or book value. So for value investors, the market correction has opened up many new opportunities. Importantly, value funds remain a sensible investment--both today and for the long term. Here are five historical and fundamental reasons why. 1. VALUE HAS OUTPERFORMED FOLLOWING PAST U.S. RECESSIONS While we may not know for some time if the U.S. has officially slipped into recession, many economists believe that is the case. In the 12 months following each of the past three U.S. recessions, value outperformed the overall stock market by a substantial margin (see chart below). 2. VALUE OPPORTUNITIES ABOUND While many value stocks have recovered, a large playing field remains. "There's no shortage of value opportunities in the current market," states John Schneider, manager of PIMCO Renaissance and Value Funds. The ongoing volatility continues to yield stocks that are undeservedly cheap. 3. LONG-TERM, VALUE STOCKS HAVE OUTPERFORMED According to Ibbotson, value stocks have generally fared better than the broader stock market over the long term. For the 1928-2000 period, value stocks generated an average annual return of 13.1% compared to 10.0% for the S&P 500. Value Tends to Outperform in a Post-Recessionary Environment Value stocks significantly outperformed the S&P 500 in the 12-month period following the trough of each of the last three U.S. recessions. [CHART] 4. THEY'VE ALSO BEEN LESS VOLATILE Importantly, value stocks have achieved their outperformance with relatively less volatility. Over the past five years, value stocks have been about 35% less volatile than growth stocks.* 5. VALUE STOCKS OFFER DIVERSIFICATION Research has shown that value and growth stocks tend to outperform at different times. So investing in a value fund can help balance a portfolio's growth holdings. Recent Accolades for PIMCO's Value Funds PIMCO Small-Cap Value Fund "As the market has rotated toward cheap small caps in the wake of the tech and tele-com debacle, this buttoned-down fund has been partying big-time." --Morningstar, August 2001 PIMCO Renaissance Fund "While value funds have outperfomred the market during the last two years, PIMCO Renaissance has done even better, besting most of its mid-cap value peers." --Barron's, November 2001 PIMCO Value Fund "With a respectable long-term record, this offering is a fine choice for conservative investors." --Morningstar, July 2001 Past performance is no guarantee of future results 8 access | Fall/Winter 2001 quick takes What's happening at PIMCO Funds? Read on for the latest news, including media highlights, fund updates, company announcements and more. MR. BOND Bill Gross, PIMCO's Chief Investment Officer, was highly visible during the past six months. [GRAPHIC] Money magazine (October 2001) once again named him to its Ultimate Investment Club, labeling him "the most influential bond investor in the world." In a personal profile, Investors Business Daily (August 10) called him the "pre-eminent bond manager in accolades." The strong performance of Gross's flagship portfolio, PIMCO Total Return Fund, was featured in numerous media, including The Washington Post (August 26), Bloomberg (August 24), CNNfn (August 7) and The New York Times (August 3). During a time when Bill's guidance was in high demand, he appeared on CNBC and CNN over 10 times, giving his insight on the economy, interest rates and the Federal Reserve. KUDOS IN HIGH YIELD During a difficult market for high yield bond funds, PIMCO High Yield Fund continued to stand out among its peers, gaining accolades from some of the most respected names in the industry. In particular, Morningstar, in their August 2001 newsletter, picked PIMCO High Yield Fund as one of their favorite high yield offerings, stating the Fund's "conservative approach has paid off over the long term...as it has posted solid returns with far less volatility than its average peer." And, a Barron's article regarding bond market allocations (August 13) recommended an investment in PIMCO High Yield Fund for investors seeking yield with relatively low volatility. PIMCO GNMA FUND GETS A NEW MANAGER Effective October 1, 2001, Scott Simon will become the portfolio manager of PIMCO GNMA Fund. Currently the manager of PIMCO Total Return Mortgage Fund, Mr. Simon is head of mortgage-backed securities at PIMCO and is a senior member of the firm's portfolio management and strategy groups. He has more than 17 years of experience in the sector. The expansion of Mr. Simon's responsibilities comes at an important time. Because of their high credit quality and attractive yields, mortgage-backed securities have lately been favored by Bill Gross and the PIMCO bond team. For more information on PIMCO's mortgage funds, speak with your financial advisor. Or call PIMCO Funds at 1-800-426-0107. . Keep current at www.pimcofunds.com To get the latest updates from PIMCO, be sure to check out the News column on our Home page. There, we'll post breaking PIMCO news, including any important announcements related to your investment. STRENGTH IN VALUE PIMCO Renaissance Fund, a multi-cap value offering, and PIMCO Value Fund, a large-cap value investment, both received exceptional media coverage during the third quarter. The Washington Post (August 12) highlighted PIMCO Renaissance Fund and manager John Schneider's investment approach in a lengthy fund profile. Standard & Poors performed a similar type of analysis on PIMCO Value Fund, focusing on the product's concentration within the smaller-capitalization portion of large-cap value stocks. Fall/Winter 2001 | access 9 [PHOTO] Bill Gross and the PIMCO bond team. Morningstar's only two-time Manager of the Year. Morningstar named Bill Gross and the PIMCO bond team Fixed Income Fund Manager of the Year for 2000--the second time PIMCO has won the honor. In fact, Gross and his colleagues are the only manager in any category to earn the award twice. You can access this expertise through PIMCO's acclaimed bond funds, including PIMCO Total Return Fund--America's largest bond fund. Contact your financial advisor for details. [LOGO] PIMCO FUNDS September 30, 2001 Semi-Annual Report Pacific Investment Management Series Share Classes A B C SHORT DURATION BOND FUNDS Money Market Fund Short-Term Fund Low Duration Fund INTERMEDIATE DURATION BOND FUNDS Total Return Fund LONG DURATION BOND FUNDS Long-Term U.S. Government Fund INTERNATIONAL BOND FUNDS Global Bond Fund II Foreign Bond Fund Emerging Markets Bond Fund HIGH YIELD BOND FUNDS High Yield Fund MORTGAGE - BACKED BOND FUNDS GNMA Fund Total Return Mortgage Fund INFLATION - INDEXED BOND FUNDS Real Return Fund CONVERTIBLE FUNDS Convertible Fund TAX - EXEMPT BOND FUNDS Municipal Bond Fund California Interm. Municipal Bond Fund California Municipal Bond Fund New York Municipal Bond Fund STOCK AND BOND FUNDS Strategic Balanced Fund ENHANCED INDEX STOCK FUNDS StocksPLUS Fund [LOGO]PIMCO FUNDS Table of Contents Chairman's Letter...................................................................................... 3 Fund Summaries......................................................................................... 4-41 Schedules of Investments............................................................................... 43-131
Schedule of Fund Fund Summary Investments California Inter. Muni. Bond Fund....................... 4 ...................................... 43 California Municipal Bond Fund.......................... 6 ...................................... 46 Convertible Fund........................................ 8 ...................................... 48 Emerging Markets Bond Fund.............................. 10 ...................................... 50 Foreign Bond Fund....................................... 12 ...................................... 52 Global Bond Fund II..................................... 14 ...................................... 59 GNMA Fund............................................... 16 ...................................... 65 High Yield Fund......................................... 18 ...................................... 67 Long-Term U.S. Government Fund.......................... 20 ...................................... 73 Low Duration Fund....................................... 22 ...................................... 76 Money Market Fund....................................... 24 ...................................... 84 Municipal Bond Fund..................................... 26 ...................................... 85 New York Municipal Bond Fund............................ 28 ...................................... 88 Real Return Fund........................................ 30 ...................................... 89 Short-Term Fund......................................... 32 ...................................... 92 StocksPLUS Fund......................................... 34 ...................................... 96 Strategic Balanced Fund................................. 36 ...................................... 100 Total Return Fund....................................... 38 ...................................... 101 Total Return Mortgage Fund.............................. 40 ...................................... 130 Financial Highlights................................................................................. 132-143 Statements of Assets and Liabilities................................................................. 144-146 Statements of Operations............................................................................. 147-149 Statements of Changes in Net Assets ................................................................. 150-154 Statements of Cash Flows............................................................................. 155 Notes to Financial Statements........................................................................ 156-163
[PHOTO] Dear Fellow Shareholder: It is impossible to look back at the past six months without reflecting on the events that took place on September 11, 2001. These unthinkable acts of terrorism had a profound impact on all Americans, including every employee at PIMCO. Though we cannot predict how the markets will react to any particular development, there are a few things that we're sure of. First, the U.S. capital markets remain the largest and most efficient in the world. Second, they will eventually recover. And finally, those who remain invested and properly diversified will participate when they do. History has shown that a well-diversified portfolio, allocated to both stocks and bonds, is an excellent investment strategy for the long term. Please remember that your financial advisor can be a valuable resource in times like these. We encourage you to work with him or her to keep current market conditions in perspective and to make sure that your investment strategy remains in sync with your long-term financial goals. In terms of our Funds' performance this period, I'm pleased to report that they once again delivered solid relative returns. In fact, the vast majority posted double-digit gains in the past year, providing investors with a much-needed stronghold. As always, I thank you for the trust you've placed in PIMCO. If you have questions concerning this report or your investment, please contact your financial advisor. You can also call PIMCO Funds at 1-800-426-0107 or visit our Web site at www.pimcofunds.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2001 Pimco Funds Semi-Annual Report 3 PIMCO CA Intermediate Municipal Bond Fund OBJECTIVE: Seek high current income exempt from Federal and California income tax. PORTFOLIO: Intermediate maturity municipal securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: PORTFOLIO: 8/31/99 TOTAL NET ASSETS: $101.2 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund posted solid results in the past six-month, one-year periods. The Fund's Class A shares returned 3.72% for the six-month period ended September 30, 2001, slightly ahead of the Lehman Brothers Intermediate California Insured Municipal Bond Index and the Lipper California Intermediate Municipal Debt Fund Average. Yet over the past year, the Fund's outperformance was more pronounced. For the one-year period, the Fund returned a solid 9.41% compared to returns of 8.83% and 8.32% for its index and average, respectively. California municipal bonds outperformed the national market. Early in the six-month period, California municipal yields rose as aggressive Fed rate cuts fueled investor optimism for an economic recovery. However, yields fell across most maturities during the third quarter as the economy slowed further, layoffs mounted and confidence fell. The September 11 attacks exacerbated these trends, heightening uncertainty in the financial markets. After the attacks, longer-term CA yields rose while short-term yields fell in response to Fed easing and anticipated fiscal stimulus. California municipals outperformed the national market as CA yields fell in response to stabilized energy costs, modest new issuance and investors' flight to safety. Above-benchmark duration contributed the most to Fund returns. Above-benchmark duration added to the Fund's performance in the past six months as California yields fell sharply across all maturities. In addition, a modest allocation to non-California debt that qualifies for California tax-exemption enhanced returns as these bonds outperformed the California market. Issue selection involving insured CA revenue bonds further boosted relative performance as investors sought higher quality paper with attractive yields. The Fund's maturity mix, which combined short-and long-term issues, detracted from results, as long-term California yields declined the least during the period. California municipals remain attractive relative to other bond sectors. After weighing the potential impact of the terrorist attacks, PIMCO's long-term forecast for weak global growth remains intact. However, we now anticipate a sharper, V-shaped U.S. economic recovery. Further near-term economic contraction should be followed by a strong snap back sometime next year, driven by aggressive fiscal and monetary stimulus. Given this outlook, California municipal bonds remain compelling, even under recessionary conditions, as they offer competitive risk and tax-adjusted yields. For now, we intend to keep duration close to the benchmark and to target longer-term municipals with high average credit quality (AA), as California credit risk premiums could increase amid substantial new issuance and potential budget deficits. 4 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO CA Interm. Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (8/31/99) PIMCO CA Interm. Municipal Bond Fund A Shares 9.41% -- -- -- 8.12% PIMCO CA Interm. Municipal Bond Fund A Shares (adjusted) 6.13% -- -- -- 6.55% Lipper CA Intermediate Municipal Debt Fund Average 8.32% -- -- -- -- Lehman Brothers Intermediate CA Insured Municipal Bond Index 8.83% -- -- -- --
MATURITY PROFILE Less than 1 year 18% 1-5 years 24% 5-10 years 53% 10-20 years 5% Duration 5.5 years SECTOR BREAKDOWN Municipal Bonds & Notes 99.6% Other 0.4% QUALITY BREAKDOWN AAA 55.5% AA 18.0% A 6.6% BBB 12.6% BB 7.3% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO Intern. CA CA Interm. Insured Muni. Muni. Bond A Bond Index ============ ========== 08/31/1999 9,700 10,000 09/30/1999 9,766 10,064 10/31/1999 9,691 9,998 11/30/1999 9,770 10,080 12/31/1999 9,724 9,987 01/31/2000 9,753 10,044 02/29/2000 9,831 10,099 03/31/2000 9,986 10,247 04/30/2000 9,959 10,170 05/31/2000 10,003 10,197 06/30/2000 10,189 10,426 07/31/2000 10,320 10,569 08/31/2000 10,466 10,734 09/30/2000 10,431 10,673 10/31/2000 10,495 10,737 11/30/2000 10,543 10,784 12/31/2000 10,761 10,957 01/31/2001 10,888 11,152 02/28/2001 10,904 11,150 03/31/2001 11,004 11,200 04/30/2001 10,825 10,996 05/31/2001 11,010 11,187 06/30/2001 11,072 11,253 07/31/2001 11,203 11,438 08/31/2001 11,426 11,648 09/30/2001 11,412 11,616
The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the CA municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest at least 65% of its assets in bond issuers of California exempt from regular federal income tax and California income tax. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 5 A TAX-EXEMPT BOND FUND PIMCO CA Municipal Bond Fund OBJECTIVE: Seek high current income exempt from Federal and California income tax. PORTFOLIO: Intermediate to long-term maturity municipal securities. DURATION RANGE: 3-12 years FUND INCEPTION DATE: 5/16/00 TOTAL NET ASSETS: $15.2 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co-Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund outperformed its benchmark and peers by a substantial margin. For the six-month period ended September 30, 2001, the Fund's Class A shares returned 4.79%, besting the Lehman California Insured Municipal Index, which returned 3.72%, and the Lipper California Municipal Debt Fund Average, which returned 3.46%. Notably, this strong outperformance was even more pronounced in the past year. The Fund's one year-return of 11.20% far outpaced the index and average, which returned 8.52% and 9.26%, respectively, for the same time period. California municipal bonds outperformed the national market. Early in the six-month period, California municipal yields rose as aggressive Fed rate cuts fueled investor optimism for an economic recovery. However, yields fell across most maturities during the third quarter as the economy slowed further, layoffs mounted and confidence fell. The September 11 attacks exacerbated these trends, heightening uncertainty in the financial markets. After the attacks, longer-term CA yields rose while short-term yields fell in response to Fed easing and anticipated fiscal stimulus. California municipals outperformed the national market as CA yields fell and prices rose in response to stabilized energy costs, modest new issuance and investors' flight to safety. Strong security and issue selection had a large impact on results. The Fund's underweight in uninsured California state general obligation bonds improved returns during the period, as investors--concerned that the slowing economy would diminish tax revenue--shunned these issues. In addition, exposure to non-California debt that qualifies for California tax exemption enhanced performance as these issues outperformed the California market. Individual security selection of longer-term revenue bonds, such as healthcare and water & sewer, also added to results. However, the Fund's below-benchmark duration detracted from relative performance as California municipal yields fell across all maturities. California municipals remain attractive relative to other sectors. After weighing the potential impact of the terrorist attacks, PIMCO's long-term forecast for weak global growth remains intact. However, we now anticipate a sharper, V-shaped U.S. economic recovery. Further near-term economic contraction should be followed by a strong snap back sometime next year, driven by aggressive fiscal and monetary stimulus. Given this outlook, California municipal bonds remain compelling even under recessionary conditions, as they offer attractive tax-adjusted yields relative to Treasury and agency debt. For now, we intend to keep duration close to the benchmark and to target longer-term municipals with high average credit quality (AA), as California credit risk premiums could increase amid substantial new issuance and potential budget deficits. 6 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO CA Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/16/00) PIMCO CA Municipal Bond Fund A Shares 11.20% -- -- -- 12.41% PIMCO CA Municipal Bond Fund A Shares (adjusted) 7.88% -- -- -- 9.94% Lipper CA Municipal Debt Fund Average 9.26% -- -- -- -- Lehman CA Insured Municipal Index 8.52% -- -- -- --
MATURITY PROFILE Less than 1 year 24% 1-5 years 8% 5-10 years 28% 10-20 years 13% 20-30 years 27% Duration 7.0 years SECTOR BREAKDOWN Municipal Bonds & Notes 98.5% Other 1.5% QUALITY BREAKDOWN AAA 50.8% AA 34.0% A 3.5% BBB 6.8% BB 4.9% CHANGE IN VALUE For periods ended 9/30/01 [CHART] Lehman PIMCO CA CA Insured Municipal Municipal Month Bond A Index ===== ========= ========== 05/31/2000 9,700 10,000 06/30/2000 9,901 10,321 07/31/2000 10,036 10,475 08/31/2000 10,175 10,715 09/30/2000 10,147 10,658 10/31/2000 10,204 10,579 11/30/2000 10,261 10,662 12/31/2000 10,470 10,940 01/31/2001 10,626 11,042 02/28/2001 10,699 11,061 03/31/2001 10,768 11,151 04/30/2001 10,491 10,939 05/31/2001 10,743 11,101 06/30/2001 10,839 11,150 07/31/2001 11,073 11,338 08/31/2001 11,282 11,626 09/30/2001 11,284 11,566 The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the CA municipal marketplace change. Past performance is no guarantee of future results. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. The Fund may invest up to 10% in high-yield lower-rated securities, which generally involves greater risk to principal than higher-rated bonds. The Fund may also invest in derivative instruments and mortgage-backed securities. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 7 A CONVERTIBLE FUND PIMCO Convertible Fund OBJECTIVE: Seeks maximum total return, consistent with prudent investment management. PORTFOLIO Convertible securities. DURATION RANGE: N/A FUND INCEPTION DATE: 3/31/99 TOTAL NET ASSETS: $43.2 million PORTFOLIO MANAGER: Sandra Durn [PHOTO] Sandra Durn Fund Manager Ms. Durn is head of convertible bond strategies at PIMCO. Previously the lead convertible securities portfolio manager at Nicholas-Applegate Capital Management, she has seven years of investment experience. Fund returns reflected convertible market weakness. PIMCO Convertible Fund's Class A shares returned -8.95% for the six-month period ended September 30, 2001--results that reflected the overall weakness in the convertible market. The Fund performed in line with its Lipper peer group, which returned -8.79%, but trailed its benchmark, the First Boston Convertible Bond Index, which returned -7.34%. Over the longer term, the Fund maintains a relatively strong performance record, returning 4.96% annually since inception. These results remain well ahead of its benchmark and average, which returned 3.76% and 3.44%, respectively, over the same time period. Convertibles fared better than stocks but lagged conventional bonds. Early in the six-month period, investors remained optimistic that the economy would recover in response to aggressive Fed rate cuts. Nonetheless, bond yields fell and stocks floundered as eroding corporate profits, mounting layoffs and falling consumer confidence all plagued the economy. The September 11 attacks amplified these trends, causing a flight to safety in the financial markets. Because they are more closely tied to the business environment, convertibles lagged high-quality bond sectors such as Treasuries and mortgages. They outperformed equities, however, as convertibles' lower degree of principal risk offered some downside protection. High-quality bias aided performance. Given the deteriorating credit fundamentals in the convertible market, the Fund's high-quality focus was positive for performance. An underweight exposure to telecom and technology issues also helped returns as these sectors suffered from weak corporate profits and reduced investment. Still, the Fund's above- index delta, or sensitivity to underlying equities, hurt performance as the weakening global economy took its toll on stock markets worldwide. An underweight position in zero coupon convertible bonds also detracted from relative returns as these defensively structured issues outperformed. Focus on fundamentally strong companies should be key to future results. Having measured the potential impact of the September 11 attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, as further economic contraction should be followed by a snap back later next year. In the near term, we believe that higher-quality convertibles should do well, as their downside protection should help mitigate the impact of a slowing economy. We intend to maintain our focus on companies with strong balance sheets that are well positioned to weather the slowdown, concentrating on investment-grade convertible securities. 8 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Convertible Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (3/31/99) PIMCO Convertible Fund A Shares -28.09% -- -- -- 4.96% PIMCO Convertible Fund A Shares (adjusted) -31.32% -- -- -- 3.05% PIMCO Convertible Fund B Shares -28.81% -- -- -- 4.10% PIMCO Convertible Fund B Shares (adjusted) -32.15% -- -- -- 2.96% PIMCO Convertible Fund C Shares (adjusted) -29.45% -- -- -- 4.15% Lipper Convertible Securities Fund Average -23.34% -- -- -- -- First Boston Convertible Bond Index -23.81% -- -- -- --
MATURITY PROFILE Less than 1 year 14% 1-5 years 29% 5-10 years 4% 10-20 years 50% 20-30 years 1% Over 30 years 2% Duration 1.4 years SECTOR BREAKDOWN Convertible Bonds & Notes 69.2% Convertible Preferred Stock 22.8% Short-Term Instruments 6.8% Other 1.2% QUALITY BREAKDOWN AAA 13.9% AA 9.9% A 28.2% BBB 35.0% BB 8.8% B 4.2% CHANGE IN VALUE For periods ended 9/30/01 First Boston PIMCO PIMCO PIMCO Convertible Bond Month Convertible A Convertible B Convertible C Index ===== ============= ============= ============= ================ 03/31/1999 9,550 10,000 10,000 10,000 04/30/1999 10,006 10,471 10,471 10,405 05/31/1999 10,184 10,650 10,650 10,309 06/30/1999 10,727 11,219 11,229 10,754 07/31/1999 10,747 11,239 11,240 10,612 08/31/1999 10,727 11,199 11,209 10,643 09/30/1999 10,833 11,308 11,319 10,671 10/31/1999 11,263 11,747 11,758 11,040 11/30/1999 12,084 12,595 12,607 11,888 12/31/1999 13,523 14,083 14,105 13,695 01/31/2000 13,814 14,346 14,357 13,489 02/29/2000 15,285 15,871 15,882 14,905 03/31/2000 15,314 15,885 15,904 14,584 04/30/2000 14,283 14,811 14,831 13,873 05/31/2000 13,836 14,334 14,355 13,129 06/30/2000 14,585 15,107 15,117 13,982 07/31/2000 14,156 14,661 14,671 13,560 08/31/2000 15,246 15,765 15,785 14,603 09/30/2000 14,991 15,531 15,545 14,396 10/31/2000 14,297 14,799 14,812 13,734 11/30/2000 12,497 12,937 12,943 12,071 12/31/2000 13,421 13,882 13,897 12,623 01/31/2001 13,825 14,258 14,272 13,363 02/28/2001 12,325 12,700 12,717 12,325 03/31/2001 11,840 12,194 12,212 12,339 04/30/2001 12,733 13,109 13,114 11,837 05/31/2001 12,422 12,776 12,792 12,634 06/30/2001 11,906 12,243 12,245 12,562 07/31/2001 11,529 11,844 11,857 12,324 08/31/2001 11,383 11,692 11,707 11,772 09/30/2001 10,781 10,758 11,070 10,968 The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The portfolio's risk/reward profile is then dynamically managed in order to modestly participate with rising equity prices while protecting again declines. Disciplined company/credit analysis maximizes the portfolio's capital appreciation potential. Past performance is no guarantee of future results. The Fund may invest up to 35% of assets in high yield securities which are lower rated securities, 20% in foreign currencies which can involve special risks due to foreign economic and political developments, emerging markets, and investing in smaller companies. The Fund may have to convert securities before it would otherwise choose to, which may have an adverse effect on the Fund's ability to achieve its investment objective. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 9 AN INTERNATIONAL BOND FUND Emerging Markets Bond Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Emerging market fixed income securities. DURATION RANGE: 0-8 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $66.2 million PORTFOLIO MANAGER: Mohamed El-Erian [PHOTO] Mohamed El-Erian Fund Manager Dr. El-Erian is a managing director and head of the firm's emerging markets portfolio management team. His past experience includes 15 years with the IMF leading policy work on debt and country issues. Fund's performance trounced index and peer group. For the six-month period ended September 30, 2001, the Fund's Class A shares posted an 8.03% gain, solidly beating the J.P. Morgan Emerging Markets Bond Index Plus and Lipper Emerging Markets Debt Fund Average, which returned -1.91% and -0.02% respectively. In addition, the Fund's one-year return of 15.50% strongly outperformed the index and average, exceeding their returns by 13.72% and 12.66%, respectively. Emerging markets bonds held up relatively well amid the slowdown. The synchronized global slowdown, which was advanced by the events of September 11, proved detrimental to emerging markets bonds in the past six months. Still, the area fared better than many other fixed-income and equity markets in the wake of the attacks, reflecting the defensive positioning that had already been adopted by many investors in the sector. The J.P. Morgan Emerging Markets Index shed 5.77% for the month of September. Generally, higher quality issues outperformed during the period, while weaker economies (i.e., Argentina) posted the worst results. Low Argentine exposure greatly enhanced Fund performance. A significant underweight to Argentina was the primary source of the Fund's outperformance, as the country's problems mounted and investor confidence in the current policy regime deteriorated. Slight overweight positions in Russia and Mexico enhanced returns as both economies showed signs of fundamental strength. At the same time, an underweight position in Turkey detracted from returns as geopolitical considerations garnered international community support despite deteriorating country fundamentals. Defensive positioning should be key to near-term results. In the short-term, we expect emerging markets bonds to be subject to higher-than-normal uncertainty due to the fluid international environment. Market sentiment will likely be determined by the outlook for developed countries, the progress of the U.S.-led response to terrorism and the outcome of the Argentine situation. In light of these variables, we intend to retain a defensive posture for the Fund in terms of cash holdings, average credit quality and duration exposure. We anticipate maintaining our underweight positions in Argentina and Turkey and our overweight position in Brazil, which serves as a higher-quality substitute for regional Latin America exposure. Looking ahead, we remain confident that our long-term strategy, which favors quality and liquidity, will reward investors as the global economy begins to rebound. 10 PIMCO Funds Semi-Annual Report | 9.30.01 Emerging Markets Bond Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO Emerging Markets Bond Fund A Shares 15.50% 22.17% -- -- 8.15% PIMCO Emerging Markets Bond Fund A Shares (adjusted) 10.30% 20.30% -- -- 6.97% PIMCO Emerging Markets Bond Fund B Shares 14.67% 21.24% -- -- 7.32% PIMCO Emerging Markets Bond Fund B Shares (adjusted) 9.67% 20.56% -- -- 6.99% PIMCO Emerging Markets Bond Fund C Shares (adjusted) 13.67% 21.31% -- -- 7.37% Lipper Emerging Markets Debt Fund Average 2.84% 16.53% -- -- -- J.P. Morgan Emerging Markets Bond Index Plus 1.78% 17.03% -- -- --
MATURITY PROFILE Less than 1 year 30% 1-5 years 4% 5-10 years 33% 10-20 years 17% 20-30 years 14% Over 30 years 2% Duration 4.9 years COUNTRY ALLOCATION Brazil 23.1% Short-Term Instruments 15.2% Mexico 14.1% Russia 13.5% Other 34.1% QUALITY BREAKDOWN AAA 14.5% AA 4.7% BBB 25.8% BB 32.2% B 22.8% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
J.P. Morgan Emerging PIMCO PIMCO PIMCO Markets Bond Month Emerging Markets A Emerging Markets B Emerging Markets C Index Plus ===== ================== ================== ================== ============ 07/31/1997 9,550 10,000 10,000 10,000 08/31/1997 9,434 9,870 9,872 9,960 09/30/1997 9,693 10,134 10,135 10,264 10/31/1997 8,587 8,970 8,971 9,082 11/30/1997 9,038 9,436 9,437 9,513 12/31/1997 9,266 9,668 9,669 9,841 01/31/1998 9,277 9,673 9,674 9,822 02/28/1998 9,538 9,940 9,941 10,103 03/31/1998 9,822 10,228 10,229 10,354 04/30/1998 9,844 10,245 10,245 10,379 05/31/1998 9,524 9,905 9,905 10,025 06/30/1998 9,209 9,571 9,571 9,735 07/31/1998 9,347 9,706 9,706 9,802 08/31/1998 6,741 6,994 6,994 6,985 09/30/1998 7,263 7,531 7,532 7,668 10/31/1998 7,641 7,916 7,919 8,165 11/30/1998 8,250 8,542 8,544 8,645 12/31/1998 8,147 8,430 8,432 8,429 01/31/1999 7,862 8,130 8,133 8,117 02/28/1999 8,016 8,285 8,288 8,233 03/31/1999 8,556 8,838 8,840 8,857 04/30/1999 9,267 9,565 9,569 9,462 05/31/1999 8,684 8,959 8,961 8,922 06/30/1999 8,943 9,221 9,224 9,321 07/31/1999 8,883 9,153 9,155 9,128 08/31/1999 8,867 9,129 9,133 9,115 09/30/1999 9,260 9,529 9,533 9,434 10/31/1999 9,557 9,828 9,832 9,798 11/30/1999 9,814 10,087 10,090 10,075 12/31/1999 10,273 10,552 10,556 10,620 01/31/2000 10,044 10,310 10,314 10,410 02/29/2000 10,635 10,911 10,915 11,080 03/31/2000 10,899 11,175 11,184 11,429 04/30/2000 10,690 10,947 10,970 11,211 05/31/2000 10,479 10,724 10,746 10,925 06/30/2000 10,969 11,218 11,242 11,479 07/31/2000 11,232 11,481 11,505 11,826 08/31/2000 11,621 11,872 11,897 12,243 09/30/2000 11,465 11,705 11,729 12,077 10/31/2000 11,270 11,499 11,523 11,805 11/30/2000 11,325 11,548 11,572 11,745 12/31/2000 11,723 11,945 11,971 12,284 01/31/2001 12,217 12,441 12,467 12,911 02/28/2001 12,159 12,378 12,405 12,706 03/31/2001 12,259 12,468 12,497 12,532 04/30/2001 12,328 12,532 12,560 12,458 05/31/2001 12,602 12,802 12,832 12,766 06/30/2001 12,981 13,180 13,209 12,962 07/31/2001 13,076 13,268 13,298 12,159 08/31/2001 13,743 13,936 13,966 12,760 09/30/2001 13,241 13,250 13,450 12,292
- -------------------------------------------------------------------------------- The top-down invesment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager is guided by risk- adjusted real yields. His goal is to identify not only which countries to overweight or underweight, but where on each country's yield curve the Fund should take an exposure. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in issuers that economically are tied to countries with emerging securities markets. Investing in foreign securities may entail greater risk due to foreign economic and political developments, this risk may be enhanced when investing in emerging markets. The Fund may also invest in high yield securities, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 33 AN INTERNATIONAL BOND FUND Foreign Bond Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Intermediate maturity hedged non-U.S. fixed income securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 12/02/92 TOTAL NET ASSETS: $755.0 million PORTFOLIO MANAGER: Sudi Mariappa [PHOTO] Sudi Mariappa Fund Manager Mr. Mariappa is lead portfolio manager of PIMCO Foreign Bond and Global Bond II Funds and oversees the firm's Asian trading and portfolio management group in Japan. He has 12 years of investment experience. Fund outpaced its benchmark for the six-month period. For the six-month period ended September 30, 2001, PIMCO Foreign Bond Fund's Class A shares returned 3.34%, handily outpacing the portfolio's benchmark, the J.P. Morgan Non-U.S. Index (Hedged), which returned 2.57%. The Fund also outperformed the index over the one-year period, posting a gain of 10.55% versus 9.41% for the index. While the Fund slightly trailed its average Lipper peer in the past six-months, it remains well ahead of the pack over longer time periods, beating its average by 3.88% and 4.95% over the past one and three years, respectively. Plunging short-term rates, steepening yield curves dominated foreign markets. Given an environment of flagging global growth, most economies faced significant challenges prior to the events of September 11 and were further weakened in wake of the attacks. As result, the global economy is most likely suffering from its most severe slowdown since the 1974 oil price shock. In a coordinated effort, central banks worldwide cut interest rates, attempting to instill confidence, provide liquidity and revive growth. Short-term rates plunged and yield curves steepened in response, as heightened uncertainty raised expectations for further monetary easing. Duration posture and yield curve positioning added to Fund returns. The Fund's strategy of extending duration through exposure to longer-term European bonds added to relative returns during the past six months, as these yields fell amid the global slow down. In addition, our yield curve strategy, which focused on shorter-dated securities in Europe and the U.K., enhanced returns over the course of the period. While a focus on global mortgages and an underweight position in Japan were positive for performance, the Fund's allocation to real return bonds detracted from results, as these issues rallied less than conventional securities with similar maturities. Economic conditions bode well for core european bonds. PIMCO's long-term forecast of sluggish global growth remains intact after weighing the potential impact of the terrorist attacks. However, we believe that over the next year, a V-shaped U.S. recovery will lead a global economic turnaround. Moving forward, we expect to keep duration close to the benchmark and to move to a more neutral yield curve stance. We are likely to overweight core European bonds, as slow global growth and the European Central Bank (ECB)'s mandate to fight inflation should create a positive bond environment. 12 PIMCO Funds Semi-Annual Report | 9.30.01 Foreign Bond Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/2/92) PIMCO Foreign Bond Fund A Shares 10.55% 6.07% 8.26% -- 9.28% PIMCO Foreign Bond Fund A Shares (adjusted) 5.58% 4.45% 7.26% -- 8.71% PIMCO Foreign Bond Fund B Shares 9.73% 5.25% 7.45% -- 8.65% PIMCO Foreign Bond Fund B Shares (adjusted) 4.73% 4.38% 7.18% -- 8.65% PIMCO Foreign Bond Fund C Shares (adjusted) 8.73% 5.26% 7.45% -- 8.47% Lipper International Income Fund Average 6.67% 1.12% 3.08% -- -- J.P. Morgan Non-U.S. Index (Hedged) 9.41% 6.13% 8.97% -- --
MATURITY PROFILE 1-5 years 17% 5-10 years 44% 10-20 years 31% 20-30 years 8% Duration 5.0 years COUNTRY ALLOCATION United States 46.3% Germany 9.2% Italy 8.4% Short-Term Instruments 7.2% United Kingdom 6.1% France 5.6% Canada 5.1% Other 12.1% QUALITY BREAKDOWN AAA 68.8% AA 18.6% A 7.7% BBB 3.8% BB 1.0% B 0.1% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
JP Morgan PIMCO PIMCO PIMCO Non-US Month Foreign A Foreign B Foreign C Index (Hedged) ===== ========= ========= ========= ============== 12/31/1992 9,550 10,000 10,000 10,000 01/31/1993 9,625 10,073 10,073 10,091 02/28/1993 9,833 10,286 10,286 10,274 03/31/1993 9,867 10,314 10,314 10,280 04/30/1993 9,863 10,304 10,304 10,281 05/31/1993 9,949 10,387 10,387 10,338 06/30/1993 10,180 10,623 10,623 10,549 07/31/1993 10,337 10,781 10,781 10,667 08/31/1993 10,584 11,033 11,033 10,889 09/30/1993 10,622 11,067 11,067 10,936 10/31/1993 10,776 11,221 11,221 11,082 11/30/1993 10,803 11,242 11,242 11,159 12/31/1993 11,068 11,511 11,511 11,390 01/31/1994 11,079 11,515 11,515 11,333 02/28/1994 10,782 11,200 11,200 11,078 03/31/1994 10,590 10,994 10,994 10,977 04/30/1994 10,486 10,879 10,879 10,899 05/31/1994 10,329 10,709 10,709 10,779 06/30/1994 10,135 10,501 10,501 10,669 07/31/1994 10,195 10,557 10,557 10,739 08/31/1994 10,091 10,442 10,442 10,636 09/30/1994 10,104 10,448 10,448 10,645 10/31/1994 10,139 10,477 10,477 10,687 11/30/1994 10,285 10,622 10,622 10,838 12/31/1994 10,214 10,541 10,541 10,813 01/31/1995 10,280 10,601 10,601 10,931 02/28/1995 10,343 10,660 10,660 11,072 03/31/1995 10,347 10,656 10,656 11,297 04/30/1995 10,596 10,905 10,905 11,477 05/31/1995 11,008 11,322 11,322 11,854 06/30/1995 10,938 11,243 11,243 11,814 07/31/1995 11,142 11,445 11,445 11,963 08/31/1995 11,351 11,651 11,651 12,067 09/30/1995 11,508 11,806 11,806 12,258 10/31/1995 11,697 11,991 11,991 12,395 11/30/1995 12,152 12,450 12,450 12,667 12/31/1995 12,328 12,623 12,623 12,785 01/31/1996 12,627 12,919 12,919 12,939 02/29/1996 12,354 12,632 12,632 12,787 03/31/1996 12,550 12,826 12,826 12,893 04/30/1996 12,850 13,125 13,125 13,047 05/31/1996 12,895 13,163 13,163 13,136 06/30/1996 13,037 13,299 13,299 13,245 07/31/1996 13,160 13,417 13,417 13,345 08/31/1996 13,478 13,733 13,733 13,522 09/30/1996 13,851 14,107 14,107 13,810 10/31/1996 14,189 14,442 14,442 14,038 11/30/1996 14,528 14,780 14,780 14,319 12/31/1996 14,601 14,845 14,845 14,339 01/31/1997 14,826 15,067 15,070 14,518 02/28/1997 14,900 15,133 15,136 14,611 03/31/1997 14,708 14,929 14,932 14,533 04/30/1997 14,840 15,054 15,057 14,690 05/31/1997 14,912 15,117 15,120 14,767 06/30/1997 15,205 15,406 15,409 15,018 07/31/1997 15,424 15,619 15,622 15,257 08/31/1997 15,356 15,539 15,542 15,275 09/30/1997 15,683 15,859 15,862 15,545 10/31/1997 15,495 15,658 15,661 15,645 11/30/1997 15,700 15,856 15,860 15,757 12/31/1997 15,924 16,072 16,075 15,962 01/31/1998 16,149 16,289 16,292 16,174 02/28/1998 16,293 16,424 16,428 16,318 03/31/1998 16,491 16,615 16,618 16,464 04/30/1998 16,542 16,666 16,660 16,548 05/31/1998 16,680 16,793 16,786 16,774 06/30/1998 16,756 16,860 16,853 16,847 07/31/1998 17,016 17,111 17,104 17,003 08/31/1998 16,875 16,959 16,952 17,338 09/30/1998 17,256 17,332 17,325 17,749 10/31/1998 16,894 16,956 16,949 17,722 11/30/1998 17,205 17,258 17,251 17,914 12/31/1998 17,441 17,482 17,475 17,892 01/31/1999 17,793 17,825 17,818 18,114 02/28/1999 17,613 17,634 17,627 17,993 03/31/1999 17,715 17,726 17,719 18,207 04/30/1999 17,938 17,937 17,930 18,438 05/31/1999 17,651 17,639 17,632 18,363 06/30/1999 17,431 17,406 17,399 18,078 07/31/1999 17,433 17,397 17,391 18,031 08/31/1999 17,302 17,257 17,250 18,063 09/30/1999 17,388 17,333 17,326 18,132 10/31/1999 17,461 17,395 17,388 18,176 11/30/1999 17,489 17,412 17,405 18,281 12/31/1999 17,636 17,546 17,539 18,336 01/31/2000 17,539 17,450 17,432 18,338 02/29/2000 17,734 17,644 17,615 18,473 03/31/2000 17,982 17,891 17,848 18,743 04/30/2000 18,038 17,946 17,885 18,844 05/31/2000 18,141 18,048 17,975 18,995 06/30/2000 18,271 18,178 18,092 19,086 07/31/2000 18,419 18,326 18,227 19,224 08/31/2000 18,395 18,302 18,191 19,227 09/30/2000 18,631 18,536 18,413 19,393 10/31/2000 18,672 18,577 18,442 19,550 11/30/2000 18,943 18,846 18,699 19,896 12/31/2000 19,289 19,191 19,028 20,117 01/31/2001 19,569 19,469 19,292 20,355 02/28/2001 19,675 19,574 19,387 20,530 03/31/2001 19,932 19,831 19,627 20,685 04/30/2001 19,805 19,704 19,490 20,545 05/31/2001 19,844 19,743 19,517 20,652 06/30/2001 19,827 19,726 19,488 20,765 07/31/2001 20,286 20,183 19,928 20,954 08/31/2001 20,461 20,357 20,086 21,130 09/30/2001 20,598 20,493 20,208 21,217
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then uses a top-down country bond allocation model to determine the countries with the best risk-adjusted yields. Bottom-up strategies, including sector rotation and credit research, aid in issue selection. Past performance is no guarantee of future results. The Fund may invest at least 85% of its assets in foreign securities, which may entail greater risk due to foreign economic and political developments, may at times invest in derivatives and mortage related securities. The Fund may invest up to 10% in high yield securities, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 13 AN INTERNATIONAL BOND FUND Global Bond Fund II OBJECTIVE: Maximum total return, consistent with preservation of capital. PORTFOLIO: U.S. and hedged foreign intermediate maturity fixed income securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 10/02/95 TOTAL NET ASSETS: $81.2 million PORTFOLIO MANAGER: Sudi Mariappa [PHOTO] Sudi Mariappa Fund Manager Mr. Mariappa is lead portfolio manager of PIMCO Foreign Bond and Global Bond II Funds and oversees the firm's Asian trading and portfolio management group in Japan. He has 12 years of investment experience. Fund posted a solid 3.89% gain for the six-month period. For the six-month period ended September 30, 2001, the Fund's Class A shares returned 3.89%, outpacing the J.P. Morgan Global (Hedged) Index by 0.63%. The Fund also remained ahead of its benchmark for the one-year period, returning 11.54% versus 10.44% for the index. Notably, these results far exceeded those of the Fund's peer group. The Fund outperformed the Lipper Global Income Fund Average by 1.42% and 5.72% for the six-month and one-year periods, respectively. U.S. bond market performed best amid global flight to safety. Given an environment of slowing global growth, most economies faced significant challenges prior to the events of September 11 and were further weakened in the wake of the attacks. World trade, tourism, commodity prices and investor risk appetite fell, causing the most severe global slowdown since the 1974 oil price shock. In response, central banks worldwide cut interest rates to instill confidence, provide liquidity and revive growth. The U.S. was the best performing bond market during the period, as investors fled to the safety and liquidity of Treasuries following the turmoil. Several strategic moves contributed to fund's outperformance. In light of these events, the Fund's large weight in the U.S. was positive for returns, particularly towards the end of the six-month period. The Fund's strategy of extending duration through exposure to longer-term European bonds also added to relative returns, as these yields fell amid the global slowdown. Effective yield curve positioning also enhanced returns over the course of the period. While a focus on global mortgages was positive for performance, the Fund's allocation to real return bonds detracted from results, as these issues rallied less than conventional securities with similar maturities. Economic conditions bode well for core European bonds. PIMCO's long-term forecast of sluggish global growth remains intact after weighing the potential impact of the terrorist attacks. However, we believe that over the next year, a V-shaped U.S. recovery will lead a global economic turnaround. Moving forward, we expect to keep duration close to the benchmark and to move to a more neutral yield curve stance. We anticipate overweighting core European bonds, as slow global growth and the European Central Bank's mandate to fight inflation should create a positive bond environment. 14 PIMCO Funds Semi-Annual Report | 9.30.01 GLOBAL BOND FUND II AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (10/2/95) PIMCO Global Bond Fund II A Shares 11.54% 5.86% 7.45% -- 8.65% PIMCO Global Bond Fund II A Shares (adjusted) 6.52% 4.25% 6.46% -- 7.82% PIMCO Global Bond Fund II B Shares 10.71% 5.07% 6.65% -- 7.83% PIMCO Global Bond Fund II B Shares (adjusted) 5.71% 4.18% 6.37% -- 7.72% PIMCO Global Bond Fund II C Shares (adjusted) 9.71% 5.07% 6.64% -- 7.82% Lipper Global Income Fund Average 5.82% 2.23% 3.72% -- -- J.P. Morgan Global Index (Hedged) 10.44% 5.99% 8.65% -- --
MATURITY PROFILE Less than 1 year 2% 1-5 years 20% 5-10 years 40% 10-20 years 27% 20-30 years 11% Duration 5.3 years COUNTRY ALLOCATION United States 43.2% Italy 10.1% United Kingdom 7.4% France 7.2% Canada 6.2% Germany 5.8% Short-Term Instruments 4.9% Other 15.2% QUALITY BREAKDOWN AAA 71.8% AA 18.1% A 5.3% BBB 3.6% BB 1.0% B 0.2% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO PIMCO PIMCO JP Morgan Global Global Global Global Index Month Bond II A Bond II B Bond II C (Hedged) ===== ========= ========= ========= ============ 10/31/1995 9,550 10,000 10,000 10,000 11/30/1995 9,869 10,334 10,334 10,191 12/31/1995 10,030 10,502 10,502 10,302 01/31/1996 10,220 10,702 10,702 10,406 02/29/1996 10,026 10,499 10,499 10,257 03/31/1996 10,045 10,512 10,512 10,279 04/30/1996 10,170 10,625 10,625 10,334 05/31/1996 10,162 10,606 10,596 10,373 06/30/1996 10,256 10,677 10,677 10,471 07/31/1996 10,299 10,718 10,718 10,530 08/31/1996 10,552 10,964 10,964 10,614 09/30/1996 10,799 11,214 11,214 10,814 10/31/1996 11,031 11,458 11,448 11,009 11/30/1996 11,303 11,724 11,724 11,215 12/31/1996 11,274 11,697 11,686 11,188 01/31/1997 11,370 11,778 11,778 11,283 02/28/1997 11,448 11,852 11,852 11,334 03/31/1997 11,290 11,681 11,681 11,255 04/30/1997 11,424 11,812 11,812 11,392 05/31/1997 11,514 11,896 11,896 11,468 06/30/1997 11,710 12,092 12,092 11,638 07/31/1997 11,954 12,335 12,335 11,886 08/31/1997 11,910 12,282 12,282 11,844 09/30/1997 12,131 12,502 12,503 12,043 10/31/1997 11,989 12,347 12,348 12,176 11/30/1997 12,074 12,427 12,428 12,254 12/31/1997 12,208 12,558 12,559 12,405 01/31/1998 12,318 12,665 12,664 12,581 02/28/1998 12,389 12,729 12,729 12,632 03/31/1998 12,556 12,893 12,893 12,714 04/30/1998 12,610 12,941 12,941 12,777 05/31/1998 12,677 13,002 13,002 12,936 06/30/1998 12,734 13,053 13,049 13,030 07/31/1998 12,888 13,201 13,197 13,113 08/31/1998 12,750 13,052 13,048 13,412 09/30/1998 13,034 13,337 13,333 13,754 10/31/1998 12,818 13,106 13,102 13,724 11/30/1998 12,986 13,269 13,264 13,821 12/31/1998 13,097 13,373 13,369 13,821 01/31/1999 13,388 13,662 13,658 13,961 02/28/1999 13,182 13,445 13,441 13,774 03/31/1999 13,264 13,520 13,516 13,900 04/30/1999 13,390 13,641 13,636 14,031 05/31/1999 13,184 13,422 13,418 13,947 06/30/1999 13,021 13,249 13,245 13,789 07/31/1999 13,008 13,227 13,223 13,760 08/31/1999 12,948 13,158 13,154 13,775 09/30/1999 13,012 13,215 13,210 13,846 10/31/1999 13,046 13,241 13,237 13,873 11/30/1999 13,025 13,212 13,208 13,921 12/31/1999 13,080 13,259 13,255 13,922 01/31/2000 13,021 13,192 13,188 13,933 02/29/2000 13,173 13,338 13,334 14,074 03/31/2000 13,354 13,513 13,509 14,307 04/30/2000 13,372 13,524 13,519 14,343 05/31/2000 13,418 13,560 13,556 14,428 06/30/2000 13,563 13,697 13,693 14,553 07/31/2000 13,672 13,800 13,796 14,671 08/31/2000 13,707 13,826 13,822 14,739 09/30/2000 13,862 13,974 13,970 14,829 10/31/2000 13,900 14,004 13,999 14,958 11/30/2000 14,063 14,159 14,154 15,240 12/31/2000 14,229 14,316 14,312 15,448 01/31/2001 14,529 14,610 14,605 15,609 02/28/2001 14,657 14,729 14,725 15,762 03/31/2001 14,881 14,946 14,941 15,859 04/30/2001 14,788 14,843 14,838 15,719 05/31/2001 14,842 14,887 14,883 15,791 06/30/2001 14,789 14,825 14,820 15,879 07/31/2001 15,216 15,244 15,239 16,100 08/31/2001 15,361 15,378 15,374 16,261 09/30/2001 15,461 15,373 15,464 16,377
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then uses a top-down country bond allocation model to determine the countries with the best risk-adjusted yields. Bottom-up strategies, including sector rotation and credit research, aid in issue selection. Past performance is no guarantee of future results. The Fund may invest at least 65% of its assets in three countries (one of which may be the U.S.), which may entail greater risk due to foreign economic and political developments. The Fund may invest up to 10% in high yield securities, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 15 A MORTGAGE-BACKED BOND FUND GNMA Fund OBJECTIVE: Seeks maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Mortgage-related fixed income securities with a short to intermediate maturity. DURATION RANGE: 1-7 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $41.5 million PORTFOLIO MANAGER: Scott Mather (Note: W. Scott Simon--head of PIMCO's Mortgage-backed Securities area--has assumed portfolio management responsibilities as of 10/1/01.) [PHOTO] Scott Mather Fund Manager Mr. Mather is an Executive Vice President and a senior member of PIMCO's portfolio management and strategy groups. He has over 7 years of investment experience specializing in mortgage-backed securities. Superior performance earned #1 Lipper ranking over multiple time periods. For the six-month period ended September 30, 2001, the Fund's Class A shares returned 6.60%, strongly outperforming the Lehman GNMA Index and Lipper GNMA Fund Average, which returned 5.19% and 4.83%, respectively. In addition, the Fund achieved similar results over the one-year period, returning 16.19% compared to 11.93% and 11.35% for the index and average, respectively. This strong performance ranked the Fund #1 in its Lipper category over the past one-, three-year and since-inception time periods (1/59, 1/48, 1/42). High quality sectors rallied as economic uncertainty intensified. The economy slowed significantly over the past six months as layoffs mounted, corporate profits deteriorated, and confidence fell. The September 11 attacks magnified these trends, heightening economic uncertainty and fueling a flight to quality in the financial markets. In response, the Fed injected liquidity into the markets, slashing interest rates to their lowest levels since the early 1960s. High-quality assets rallied in this environment. Treasury and mortgage yields fell sharply, causing their prices to rise, as investors sought the high credit quality and safety offered by these sectors. Strong security and issue selection greatly enhanced Fund returns. While the Fund benefited from the overall strength in the mortgage sector in the past six months, we attribute its outperformance to a number of successful management strategies. In particular, strong security selection enhanced returns. The Fund's holdings of GNMA II adjustable-rate mortgages boosted performance as they provided attractive relative yields. Exposure to Collateralized Mortgage Obligations (CMOs) also enhanced returns, as they augmented portfolio yield and provided protection against increasing prepayment activity. Finally, issue selection contributed positively to performance, as the Fund's higher-coupon exposure proved to be an effective relative value strategy. Outlook for GNMAs remains favorable. After weighing the impact of the September 11 attacks, PIMCO is maintaining its secular outlook for weak global growth. However, we now foresee a sharper, V- shaped U.S. recovery. Near-term economic contraction should be followed by a strong snap-back later next year as increased fiscal and monetary stimulus takes effect. Given this environment, GNMAs should continue to perform strongly, as investors are likely to remain drawn to their relatively high yields and top credit quality. Moving forward, we will look to protect the portfolio from potential refinancing activity and rising interest rates, largely through ongoing security and issue selection. 16 PIMCO Funds Semi-Annual Report | 9.30.01 GNMA Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO GNMA Fund A Shares 16.19% 8.19% -- -- 8.37% PIMCO GNMA Fund A Shares (adjusted) 10.94% 6.56% -- -- 7.18% PIMCO GNMA Fund B Shares 15.17% 7.34% -- -- 7.52% PIMCO GNMA Fund B Shares (adjusted) 10.17% 6.46% -- -- 7.14% PIMCO GNMA Fund C Shares (adjusted) 14.21% 7.35% -- -- 7.53% Lipper GNMA Fund Average 11.35% 6.17% -- -- -- Lehman Brothers GNMA Index 11.93% 7.27% -- -- --
MATURITY PROFILE Less than 1 year 35% 1-5 years 59% 5-10 years 4% 10-20 years 1% 20-30 years 1% Duration 1.7 years SECTOR BREAKDOWN Mortgage-Backed Securities 46.9% Short-Term Instruments 45.7% Other 7.4% QUALITY BREAKDOWN AAA 89.3% AA 8.5% A 1.7% BBB 0.5% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO PIMCO PIMCO Lehman Month GNMA A GNMA B GNMA C GNMA Index ===== ====== ====== ====== ========== 07/31/1997 9,700 10,000 10,000 10,000 08/31/1997 9,732 10,027 10,027 9,979 09/30/1997 9,910 10,204 10,204 10,111 10/31/1997 10,000 10,290 10,290 10,217 11/30/1997 10,021 10,306 10,306 10,248 12/31/1997 10,107 10,387 10,387 10,340 01/31/1998 10,185 10,461 10,461 10,440 02/28/1998 10,231 10,503 10,503 10,464 03/31/1998 10,241 10,507 10,507 10,508 04/30/1998 10,274 10,534 10,534 10,569 05/31/1998 10,348 10,604 10,604 10,641 06/30/1998 10,423 10,674 10,674 10,686 07/31/1998 10,451 10,696 10,696 10,746 08/31/1998 10,580 10,821 10,821 10,831 09/30/1998 10,705 10,942 10,942 10,959 10/31/1998 10,655 10,883 10,883 10,949 11/30/1998 10,611 10,832 10,832 11,011 12/31/1998 10,680 10,896 10,896 11,057 01/31/1999 10,757 10,968 10,968 11,135 02/28/1999 10,658 10,861 10,861 11,100 03/31/1999 10,783 10,981 10,981 11,167 04/30/1999 10,832 11,024 11,024 11,221 05/31/1999 10,905 11,091 11,091 11,164 06/30/1999 10,884 11,063 11,063 11,120 07/31/1999 10,892 11,065 11,065 11,047 08/31/1999 10,888 11,052 11,052 11,043 09/30/1999 11,005 11,165 11,165 11,221 10/31/1999 11,036 11,190 11,190 11,287 11/30/1999 11,026 11,172 11,172 11,292 12/31/1999 10,942 11,080 11,080 11,270 01/31/2000 11,040 11,172 11,172 11,168 02/29/2000 11,122 11,249 11,249 11,311 03/31/2000 11,295 11,416 11,416 11,489 04/30/2000 11,270 11,384 11,384 11,479 05/31/2000 11,283 11,389 11,389 11,521 06/30/2000 11,411 11,511 11,511 11,733 07/31/2000 11,485 11,579 11,579 11,795 08/31/2000 11,588 11,675 11,675 11,974 09/30/2000 11,668 11,749 11,749 12,085 10/31/2000 11,772 11,846 11,846 12,174 11/30/2000 12,036 12,103 12,103 12,346 12/31/2000 12,166 12,223 12,223 12,521 01/31/2001 12,361 12,408 12,408 12,725 02/28/2001 12,586 12,624 12,624 12,783 03/31/2001 12,720 12,749 12,749 12,859 04/30/2001 12,719 12,736 12,736 12,881 05/31/2001 12,853 12,859 12,859 12,988 06/30/2001 12,971 12,961 12,968 13,026 07/31/2001 13,270 13,266 13,272 13,249 08/31/2001 13,373 13,349 13,356 13,345 09/30/2001 13,560 13,330 13,533 13,527
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. While the Fund invests primarily in Government National Mortgage Association insured bonds, the manager takes advantage of opportunities throughout the mortgage market to add diversification and spread risk. Interest rate strategies and PIMCO's advanced proprietary analytics are also emphasized to add value. Past performance is no guarantee of future results. The Fund invests at least 65% of its assets in GNMA securities. The Fund can invest a small portion of its assets in foreign securities, which can entail special risks due to foreign economic and political developments and may at times invest in derivatives. Even though government bond funds may invest their assets in U.S. government securities, the government does not guarantee the fund's shares and they will fluctuate in value as market conditions change. The guarantee is to timely repayment of interest and does nor eliminate market risk. GNMAs are a type of mortgage-backed security and may be sensitive to changes in prevailing interest rates and therefore may entail risk. See page 42 for Footnotes, which include additional details. 9.30.01 | PIMCO Funds Semi-Annual Report 17 A HIGH YIELD BOND FUND High Yield Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Higher yielding fixed income securities. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 12/15/92 TOTAL NET ASSETS: $3.0 billion PORTFOLIO MANAGER: Ben Trosky [PHOTO] Ben Trosky Fund Manager Mr. Trosky is Managing Director and a senior member of PIMCO's portfolio management and investment strategy groups. He has over 20 years of investment experience. Fund solidly outperformed average high yield fund. For the six-month period ended September 30, 2001, PIMCO High Yield Fund Class A shares returned -3.01%, outperforming the Lipper Current High Yield Fund Average, which fell -7.04%, but underperforming the Fund's benchmark, the Lehman Brothers BB U.S. High Yield Index, which dropped 0.66%. Over the longer term, the Fund continues to deliver superior performance, returning 8.09% annually since inception, outpacing both its Lipper peer group and its benchmark, which have returned 4.71% and 8.05% respectively, over the same time periods. A slumping economy caused high yield to reverse course. Early in the period, high yield issues continued their solid performance as the Federal Reserve extended its aggressive easing campaign, fueling optimism for an economic recovery. However, as evidence mounted that recovery would be significantly delayed and corporate profits eroded further, high yield spreads widened. The attacks of September 11 amplified these concerns, and heightened risk aversion among investors. As a result, high yield bonds suffered as investors sought the safety of Treasuries amid the turmoil. Higher quality bias, solid issue selection, contributed to returns. The Fund's emphasis on the upper credit quality tiers of the high-yield sector was positive for returns as these issues significantly outperformed lower-rated, more speculative debt. The Fund's underexposure to consumer cyclical sectors, such as retail and basic materials, enhanced returns as these credit did poorly as the economy slowed and consumer confidence declined. An overweight in telecom issues detracted from returns, as it was the worst performing high-yield sector. However, strong issue selection mitigated its impact. The Fund's avoidance of "fallen angels" such as Lucent and Xerox also hurt returns as these issues rebounded strongly from distressed pricing levels. High quality focus should continue as we watch for a recovery. After weighing the potential impact of the September 11 attacks, our secular outlook for slower global growth remains intact. In the near term, heightened uncertainty among businesses and consumers should lead to further economic weakness followed by a stronger, V-shaped recovery fueled by aggressive fiscal and monetary stimulus. In this environment, we expect to continue to focus on higher-quality high-yield bonds, while selectively adding lower quality issues that offer compelling values. We intend to maintain our emphasis on conservative industries with stable cash flows such has health-care and utilities. 18 PIMCO Funds Semi-Annual Report | 9.30.01 High Yield Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/15/92) PIMCO High Yield Fund A Shares -1.11% 1.95% 4.99% -- 8.09% PIMCO High Yield Fund A Shares (adjusted) -5.56% 0.40% 4.02% -- 7.53% PIMCO High Yield Fund B Shares -1.85% 1.19% 4.20% -- 7.46% PIMCO High Yield Fund B Shares (adjusted) -6.39% 0.38% 3.92% -- 7.46% PIMCO High Yield Fund C Shares (adjusted) -2.76% 1.19% 4.21% -- 7.31% Lipper Current High Yield Fund Average -9.22% -2.12% 0.90% -- -- Lehman Bros. BB U.S. High Yield Index 4.76% 4.17% 6.27% -- --
MATURITY PROFILE Less than 1 year 13% 1-5 years 31% 5-10 years 50% 10-20 years 5% 20-30 years 1% Duration 3.8 years SECTOR BREAKDOWN Corporate Bonds & Notes 74.5% Short-Term Instruments 7.8% Asset-Backed Securities 7.5% Other 10.2% QUALITY BREAKDOWN AAA 10.3% AA 1.8% A 0.8% BBB 21.0% BB 46.3% B 19.8% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
Lehman Brothers PIMCO PIMCO PIMCO BB U.S. High Month High Yield A High Yield B High Yield C Yield Index ===== ============ ============ ============ ============ 12/31/1992 9,550 10,000 10,000 10,000 01/31/1993 9,764 10,218 10,218 10,211 02/28/1993 9,941 10,398 10,398 10,361 03/31/1993 10,138 10,597 10,597 10,478 04/30/1993 10,243 10,700 10,700 10,566 05/31/1993 10,315 10,769 10,769 10,644 06/30/1993 10,592 11,052 11,052 10,870 07/31/1993 10,664 11,120 11,120 10,980 08/31/1993 10,780 11,235 11,235 11,107 09/30/1993 10,831 11,281 11,281 11,188 10/31/1993 11,118 11,573 11,573 11,338 11/30/1993 11,200 11,652 11,652 11,368 12/31/1993 11,293 11,742 11,742 11,465 01/31/1994 11,530 11,981 11,981 11,657 02/28/1994 11,525 11,969 11,969 11,644 03/31/1994 11,177 11,601 11,601 11,288 04/30/1994 11,076 11,489 11,489 11,221 05/31/1994 11,154 11,562 11,562 11,231 06/30/1994 11,166 11,567 11,567 11,265 07/31/1994 11,267 11,666 11,666 11,402 08/31/1994 11,359 11,753 11,753 11,523 09/30/1994 11,434 11,824 11,824 11,544 10/31/1994 11,436 11,819 11,819 11,571 11/30/1994 11,387 11,761 11,761 11,492 12/31/1994 11,520 11,892 11,892 11,563 01/31/1995 11,629 11,997 11,997 11,749 02/28/1995 11,945 12,315 12,315 12,106 03/31/1995 12,115 12,484 12,484 12,220 04/30/1995 12,376 12,746 12,746 12,465 05/31/1995 12,731 13,104 13,104 12,831 06/30/1995 12,832 13,200 13,200 12,944 07/31/1995 13,000 13,365 13,365 13,062 08/31/1995 13,096 13,456 13,456 13,138 09/30/1995 13,275 13,634 13,634 13,280 10/31/1995 13,465 13,822 13,822 13,384 11/30/1995 13,625 13,978 13,978 13,553 12/31/1995 13,852 14,202 14,202 13,767 01/31/1996 14,072 14,419 14,419 13,990 02/29/1996 14,083 14,422 14,422 13,940 03/31/1996 13,968 14,295 14,295 13,867 04/30/1996 14,025 14,345 14,345 13,862 05/31/1996 14,068 14,381 14,381 13,881 06/30/1996 14,122 14,427 14,427 14,031 07/31/1996 14,243 14,542 14,542 14,107 08/31/1996 14,471 14,766 14,766 14,221 09/30/1996 14,804 15,097 15,097 14,527 10/31/1996 14,948 15,236 15,236 14,729 11/30/1996 15,267 15,554 15,554 15,026 12/31/1996 15,416 15,696 15,696 15,059 01/31/1997 15,570 15,837 15,842 15,203 02/28/1997 15,805 16,067 16,071 15,386 03/31/1997 15,593 15,842 15,846 15,203 04/30/1997 15,755 15,997 16,002 15,392 05/31/1997 16,110 16,346 16,351 15,655 06/30/1997 16,343 16,573 16,578 15,857 07/31/1997 16,760 16,984 16,989 16,330 08/31/1997 16,750 16,962 16,967 16,174 09/30/1997 17,026 17,232 17,237 16,428 10/31/1997 17,038 17,232 17,237 16,484 11/30/1997 17,197 17,381 17,387 16,600 12/31/1997 17,386 17,562 17,567 16,752 01/31/1998 17,680 17,847 17,852 16,953 02/28/1998 17,770 17,927 17,932 17,031 03/31/1998 17,903 18,051 18,056 17,140 04/30/1998 17,943 18,080 18,085 17,228 05/31/1998 18,029 18,156 18,161 17,340 06/30/1998 18,157 18,272 18,279 17,446 07/31/1998 18,344 18,447 18,454 17,536 08/31/1998 17,603 17,691 17,698 17,052 09/30/1998 17,821 17,898 17,905 17,414 10/31/1998 17,639 17,705 17,712 17,191 11/30/1998 18,378 18,436 18,443 17,603 12/31/1998 18,452 18,497 18,504 17,714 01/31/1999 18,690 18,724 18,731 17,897 02/28/1999 18,531 18,554 18,561 17,764 03/31/1999 18,679 18,689 18,697 17,892 04/30/1999 18,985 18,984 18,992 18,075 05/31/1999 18,617 18,605 18,612 17,856 06/30/1999 18,608 18,584 18,592 17,815 07/31/1999 18,652 18,618 18,625 17,883 08/31/1999 18,574 18,528 18,536 17,770 09/30/1999 18,580 18,523 18,530 17,843 10/31/1999 18,552 18,484 18,491 17,782 11/30/1999 18,802 18,722 18,730 17,933 12/31/1999 18,894 18,803 18,810 18,104 01/31/2000 18,804 18,713 18,709 17,975 02/29/2000 18,843 18,752 18,739 18,009 03/31/2000 18,463 18,373 18,347 17,838 04/30/2000 18,498 18,408 18,371 17,899 05/31/2000 18,400 18,310 18,262 17,906 06/30/2000 18,746 18,655 18,595 18,293 07/31/2000 18,888 18,796 18,725 18,597 08/31/2000 19,154 19,061 18,978 18,883 09/30/2000 19,091 18,999 18,902 18,790 10/31/2000 18,696 18,605 18,499 18,507 11/30/2000 18,337 18,248 18,133 18,410 12/31/2000 18,733 18,642 18,514 18,779 01/31/2001 19,499 19,405 19,260 19,470 02/28/2001 19,700 19,605 19,447 19,748 03/31/2001 19,464 19,369 19,200 19,815 04/30/2001 19,314 19,220 19,040 20,017 05/31/2001 19,528 19,433 19,240 20,308 06/30/2001 19,218 19,125 18,921 20,157 07/31/2001 19,512 19,417 19,197 20,480 08/31/2001 19,674 19,578 19,343 20,699 09/30/2001 18,879 18,787 18,552 19,685
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The Fund focuses on upper-tier credits of the high yield market because historically they have delivered the best risk-return profile. Importantly, income, capital appreciation and capital preservation are all considered in structuring the portfolio. Past performance is no guarantee for future results. This Fund may invest at least 65% of its assets in high yield securities rated below investment grade but rated at least B by Moody's or S&P. This Fund may also invest in foreign securities, which may entail greater risk due to foreign economic and political developments, and may at times invest in derivatives and mortgage-related securities. An investment in high yield securities, lower rated securities generally involves greater risk to principal than an investment in higher-rated bonds. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 19 A LONG DURATION BOND FUND Long-Term U.S. Government Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Long-term maturity fixed income securities. DURATION RANGE: (Greater than or equal to) 8 years FUND INCEPTION DATE: 7/01/91 TOTAL NET ASSETS: $562.3 million PORTFOLIO MANAGER: Jim Keller [PHOTO] Jim Keller Fund Manager Mr. Keller is the Treasury/futures specialist at PIMCO. He currently serves on the U.S. Treasury Borrowing Advisory Committee and has 14 years of investment experience. 16.19% one-year performance earned #1 Lipper ranking. For the six-month period ended September 30, the Fund's Class A shares returned 5.67%, outperforming the Lehman Long-Term U.S. Treasury Index, which returned 4.86%, and its Lipper category average, which returned 4.68%. Notably, the Fund achieved standout performance in the past year. It's one-year return of 16.15% far exceeded that of the index and average, ranking it as the #1 performing Lipper General U.S. Government Fund (out of 156 funds) over that time period. Treasury yields fell sharply amid increased economic weakness. Yields fell over the past six months as the U.S. economy slowed significantly. Declining corporate profits, surging unemployment and falling confidence all contributed to the weakness, which was exacerbated by the September 11 attacks. Treasury securities became the bond investment of choice as investors rushed to high quality assets in a flight to safety. Short- and intermediate maturities fared especially well during the period as the yield curve steepened in response to the attacks and anticipated further Fed easing. Successful positioning on several fronts contributed to outperformance. While the Fund's returns were supported by overall strength in the Treasury market, its outperformance was the result of successful positioning on a number of fronts. Specifically, exposure to short- and intermediate-maturity issues relative to the index boosted returns as these yields fell the furthest during the period. An emphasis on mortgages was also positive as they provided attractive yield premiums with minimal credit risk. Also, modest exposure to real return bonds enhanced returns as real yields fell. A small corporate position detracted from relative performance as credit-sensitive issues lost ground in the face of a slumping economy. Duration posture, sector exposure may add value in the months ahead. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, over the near-term, we foresee a V-shaped U.S. economic recovery in the next year. In our view, this will likely entail at least two quarters of contraction followed by a snap-back driven by fiscal and monetary stimulus. For now, we intend to target duration below the benchmark, as we feel that U.S. bonds are fairly valued following their strong rally. In addition, we plan to continue to add value to the portfolio through incremental exposure to selective bond market sectors. 20 PIMCO Funds Semi-Annual Report | 9.30.01 Long-Term U.S. Gov't. Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/1/91) PIMCO Long-Term U.S. Gov't. Fund A Shares 16.15% 5.08% 10.11% 10.27% 10.91% PIMCO Long-Term U.S. Gov't. Fund A Shares (adjusted) 10.93% 3.49% 9.10% 9.76% 10.41% PIMCO Long-Term U.S. Gov't. Fund B Shares 15.30% 4.30% 9.27% 9.71% 10.35% PIMCO Long-Term U.S. Gov't. Fund B Shares (adjusted) 10.30% 3.43% 8.98% 9.71% 10.35% PIMCO Long-Term U.S. Gov't. Fund C Shares (adjusted) 14.31% 4.31% 9.29% 9.47% 10.11% Lipper General U.S. Gov't. Fund Average 11.98% 5.02% 7.13% 6.91% -- Lehman Long-Term U.S. Treasury Index 13.99% 4.94% 9.82% 9.44% --
MATURITY PROFILE 1-5 years 3% 5-10 years 20% 10-20 years 16% 20-30 years 61% Duration 10.4 years SECTOR BREAKDOWN Mortgage-Backed Securities 38.9% U.S. Government Agencies 20.4% U.S. Treasury Obligations 16.7% Short-Term Instruments 13.0% Corporate Bonds & Notes 6.7% Other 4.3% QUALITY BREAKDOWN AAA 91.2% AA 3.8% A 5.0% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
PIMCO PIMCO PIMCO Lehman Long-Term U.S. Long-Term U.S. Long-Term U.S. Long-Term U.S. Month Gov. A Gov. B Gov. C Treas. Index ===== ============== ============== ============== ============== 06/30/1991 9,550 10,000 10,000 10,000 07/31/1991 9,678 10,128 10,128 10,149 08/31/1991 10,051 10,511 10,511 10,499 09/30/1991 10,385 10,855 10,855 10,830 10/31/1991 10,435 10,900 10,900 10,854 11/30/1991 10,572 11,037 11,037 10,914 12/31/1991 11,265 11,755 11,755 11,565 01/31/1992 10,944 11,413 11,413 11,202 02/29/1992 10,997 11,462 11,462 11,268 03/31/1992 10,958 11,416 11,416 11,144 04/30/1992 10,901 11,350 11,350 11,133 05/31/1992 11,287 11,745 11,745 11,442 06/30/1992 11,447 11,906 11,906 11,608 07/31/1992 11,986 12,458 12,458 12,091 08/31/1992 12,223 12,697 12,697 12,175 09/30/1992 12,436 12,911 12,911 12,367 10/31/1992 12,123 12,579 12,579 12,107 11/30/1992 12,247 12,701 12,701 12,153 12/31/1992 12,567 13,025 13,025 12,486 01/31/1993 12,898 13,361 13,361 12,842 02/28/1993 13,413 13,886 13,886 13,271 03/31/1993 13,482 13,948 13,948 13,304 04/30/1993 13,583 14,046 14,046 13,407 05/31/1993 13,632 14,088 14,088 13,451 06/30/1993 14,304 14,776 14,776 14,020 07/31/1993 14,508 14,978 14,978 14,246 08/31/1993 15,058 15,538 15,538 14,818 09/30/1993 15,103 15,577 15,577 14,870 10/31/1993 15,177 15,644 15,644 14,977 11/30/1993 14,761 15,208 15,208 14,594 12/31/1993 14,856 15,296 15,296 14,640 01/31/1994 15,191 15,632 15,632 14,992 02/28/1994 14,593 15,009 15,009 14,377 03/31/1994 13,995 14,383 14,383 13,746 04/30/1994 13,751 14,124 14,124 13,584 05/31/1994 13,703 14,066 14,066 13,494 06/30/1994 13,619 13,972 13,972 13,366 07/31/1994 13,953 14,304 14,304 13,819 08/31/1994 13,980 14,321 14,321 13,717 09/30/1994 13,539 13,860 13,860 13,285 10/31/1994 13,446 13,755 13,755 13,238 11/30/1994 13,400 13,700 13,700 13,316 12/31/1994 13,702 13,999 13,999 13,521 01/31/1995 14,055 14,350 14,350 13,869 02/28/1995 14,537 14,833 14,833 14,263 03/31/1995 14,701 14,992 14,992 14,385 04/30/1995 14,948 15,235 15,235 14,641 05/31/1995 16,089 16,387 16,387 15,764 06/30/1995 16,268 16,561 16,561 15,947 07/31/1995 15,981 16,259 16,259 15,692 08/31/1995 16,338 16,612 16,612 16,041 09/30/1995 16,686 16,956 16,956 16,336 10/31/1995 17,091 17,359 17,359 16,793 11/30/1995 17,506 17,771 17,771 17,213 12/31/1995 17,960 18,220 18,220 17,671 01/31/1996 17,983 18,233 18,233 17,671 02/29/1996 17,140 17,369 17,369 16,817 03/31/1996 16,819 17,034 17,034 16,483 04/30/1996 16,441 16,640 16,640 16,207 05/31/1996 16,457 16,645 16,645 16,123 06/30/1996 16,783 16,963 16,963 16,467 07/31/1996 16,723 16,892 16,892 16,473 08/31/1996 16,601 16,758 16,758 16,267 09/30/1996 17,057 17,208 17,208 16,716 10/31/1996 17,784 17,929 17,929 17,373 11/30/1996 18,447 18,587 18,587 17,953 12/31/1996 18,017 18,142 18,142 17,517 01/31/1997 17,924 18,026 18,043 17,393 02/28/1997 17,959 18,050 18,068 17,400 03/31/1997 17,507 17,586 17,602 16,954 04/30/1997 17,897 17,966 17,980 17,363 05/31/1997 18,103 18,161 18,176 17,557 06/30/1997 18,454 18,503 18,518 17,896 07/31/1997 19,473 19,513 19,527 18,947 08/31/1997 18,976 19,002 19,017 18,420 09/30/1997 19,466 19,481 19,497 18,927 10/31/1997 20,122 20,124 20,140 19,564 11/30/1997 20,307 20,295 20,313 19,825 12/31/1997 20,648 20,621 20,640 20,158 01/31/1998 21,026 20,984 21,003 20,567 02/28/1998 20,877 20,823 20,842 20,419 03/31/1998 20,971 20,904 20,923 20,462 04/30/1998 21,084 21,004 21,023 20,537 05/31/1998 21,487 21,393 21,412 20,930 06/30/1998 21,983 21,874 21,892 21,415 07/31/1998 21,961 21,852 21,855 21,325 08/31/1998 22,881 22,768 22,757 22,287 09/30/1998 23,801 23,683 23,643 23,103 10/31/1998 23,149 23,034 22,981 22,754 11/30/1998 23,230 23,115 23,043 22,929 12/31/1998 23,337 23,221 23,133 22,881 01/31/1999 23,507 23,391 23,290 23,087 02/28/1999 22,435 22,324 22,214 21,951 03/31/1999 22,521 22,409 22,285 21,900 04/30/1999 22,548 22,436 22,296 21,931 05/31/1999 22,135 22,025 21,875 21,587 06/30/1999 21,922 21,814 21,652 21,358 07/31/1999 21,789 21,681 21,504 21,255 08/31/1999 21,612 21,505 21,317 21,173 09/30/1999 21,828 21,720 21,518 21,329 10/31/1999 21,868 21,759 21,544 21,342 11/30/1999 21,721 21,614 21,386 21,197 12/31/1999 21,389 21,283 21,044 20,881 01/31/2000 21,479 21,372 21,122 21,180 02/29/2000 22,121 22,011 21,741 21,819 03/31/2000 22,712 22,599 22,306 22,566 04/30/2000 22,578 22,466 22,161 22,385 05/31/2000 22,449 22,338 22,021 22,304 06/30/2000 23,129 23,014 22,675 22,788 07/31/2000 23,538 23,422 23,063 23,180 08/31/2000 24,059 23,939 23,559 23,709 09/30/2000 23,772 23,655 23,265 23,422 10/31/2000 24,184 24,064 23,653 23,787 11/30/2000 24,977 24,853 24,412 24,539 12/31/2000 25,641 25,514 25,045 25,116 01/31/2001 25,782 25,654 25,165 25,158 02/28/2001 26,282 26,152 25,638 25,589 03/31/2001 26,133 26,003 25,479 25,461 04/30/2001 25,346 25,220 24,697 24,768 05/31/2001 25,480 25,354 24,810 24,800 06/30/2001 25,692 25,564 25,001 25,014 07/31/2001 26,781 26,648 26,047 25,944 08/31/2001 27,365 27,229 26,596 26,499 09/30/2001 27,617 27,480 26,828 26,698
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than react to short-term events with extreme duration shifts, the Fund operates within a moderate duration range in accordance with the firm's long-term outlook. PIMCO's interest rate volatility forecast is key and guides sector and security decisions. Past performance is no guarantee of future results. The Fund may invest at least 65% of its assets in securities that are issued or guaranteed by the U.S. Government or agencies. The Fund is not guaranteed by the U.S. Government, the guarantee is to timely repayment of principal and interest of the securities held by the Fund. The Fund's net asset value and yield are not guaranteed by the U.S. Government nor its agencies. Guarantee does not eliminate market risk. The Fund may at times invest in derivatives and mortgage related securities. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 21 A SHORT DURATION BOND FUND Low Duration Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Short maturity fixed income securities. DURATION RANGE: 1-3 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $5.1 billion PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund returned a solid 4.53% for the six-month period. PIMCO Low Duration Fund's Class A shares returned 4.53% for the six-month period ended September 30, 2001, outperforming its Lipper category average, which returned 4.08%. The Fund's performance was generally in line with that of its benchmark, the Merrill Lynch 1-3 Year Treasury Index, which returned 4.59% for the same time period. Weakening economic picture prompted a rally in high-quality sectors. Worldwide, interest rates plunged and yield curves steepened as the events of September 11 exacerbated weakness in the global economy and heightened uncertainty among investors. The U.S. Federal Reserve, already well into its easing campaign, responded by injecting further liquidity into the banking system, leading central banks around the globe in cutting interest rates. Within this environment, Treasuries and mortgages were the best performing bond market sectors, as higher quality assets rallied amid a flight to safety in the financial markets. Conservative positioning benefited Fund performance. Based on PIMCO's long-term outlook for sluggish global growth, we had positioned the portfolio for weak corporate profits and easy monetary policy going into the period. This conservative posture helped the Fund's performance during the past six months, as poor corporate earnings and uncertainty after the September 11 attacks altered any expectations for a quick economic recovery. In addition, prescient duration positioning boosted returns throughout the period. Initially, above-benchmark duration was a moderate positive as short-dated yields fell. Later, our decision to move the duration closer to the benchmark worked to the Fund's advantage as lower yields fully reflected the economic weakness. Exposure to high-quality issues, including mortgages and asset-backed bonds, was also beneficial. However, our relatively broad maturity structure hindered returns as shorter yields fell the most during the period. High-quality bias should continue in the months ahead. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, over the near-term, we foresee a V-shaped U.S. economic recovery in the next year. In our view, this will likely entail at least two quarters of contraction followed by a snap-back driven by fiscal and monetary stimulus. After the strong rally in the U.S. bond markets, we expect to remain neutral regarding duration positioning in the coming months. In addition, we intend to remain focused on high quality assets while we assess the changing economic landscape. 22 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Low Duration Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/11/87) PIMCO Low Duration Fund A Shares 9.71% 6.04% 6.82% 6.66% 7.45% PIMCO Low Duration Fund A Shares (adjusted) 6.42% 4.97% 6.17% 6.34% 7.22% PIMCO Low Duration Fund B Shares 8.89% 5.25% 6.02% 6.11% 7.06% PIMCO Low Duration Fund B Shares (adjusted) 3.89% 4.35% 5.70% 6.11% 7.06% PIMCO Low Duration Fund C Shares (adjusted) 8.16% 5.52% 6.30% 6.14% 6.92% Lipper Short Inv. Grade Debt Fund Average 9.38% 5.93% 6.28% 6.14% -- Merrill Lynch 1-3 Year Treasury Index 10.38% 6.42% 6.83% 6.39% --
MATURITY PROFILE Less than one year 41% 1-5 years 52% 5-10 years 5% 10-20 years 1% Over 30 years 1% Duration 1.5 years SECTOR BREAKDOWN Mortgage-Backed Securities 57.5% Corporate Bonds & Notes 25.1% Short-Term Instruments 5.9% U.S. Treasury Obligations 5.4% Other 6.1% QUALITY BREAKDOWN AAA 71.8% AA 4.0% A 12.6% BBB 9.8% BB 1.8% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Merrill Lynch PIMCO PIMCO PIMCO 1-3 yr. Treas. Month Low Duration A Low Duration B Low Duration C Index ===== ============== ============== ============== ============== 05/31/1987 9,700 10,000 10,000 10,000 06/30/1987 9,786 10,083 10,085 10,109 07/31/1987 9,819 10,109 10,114 10,158 08/31/1987 9,813 10,097 10,104 10,167 09/30/1987 9,785 10,063 10,072 10,127 10/31/1987 9,940 10,215 10,227 10,351 11/30/1987 10,048 10,320 10,334 10,414 12/31/1987 10,103 10,370 10,387 10,480 01/31/1988 10,266 10,531 10,550 10,648 02/29/1988 10,337 10,598 10,619 10,735 03/31/1988 10,398 10,653 10,677 10,756 04/30/1988 10,437 10,687 10,713 10,772 05/31/1988 10,457 10,700 10,728 10,756 06/30/1988 10,551 10,788 10,821 10,868 07/31/1988 10,603 10,835 10,869 10,876 08/31/1988 10,641 10,867 10,904 10,899 09/30/1988 10,735 10,956 10,996 11,026 10/31/1988 10,830 11,046 11,088 11,136 11/30/1988 10,840 11,050 11,094 11,106 12/31/1988 10,884 11,087 11,134 11,132 01/31/1989 10,970 11,168 11,217 11,219 02/28/1989 10,983 11,175 11,226 11,219 03/31/1989 11,021 11,206 11,260 11,270 04/30/1989 11,147 11,327 11,384 11,443 05/31/1989 11,372 11,548 11,608 11,614 06/30/1989 11,615 11,788 11,852 11,831 07/31/1989 11,781 11,948 12,015 12,006 08/31/1989 11,723 11,882 11,950 11,932 09/30/1989 11,778 11,929 12,000 12,003 10/31/1989 11,928 12,075 12,149 12,184 11/30/1989 12,032 12,172 12,250 12,299 12/31/1989 12,089 12,222 12,303 12,348 01/31/1990 12,077 12,202 12,284 12,358 02/28/1990 12,155 12,274 12,359 12,416 03/31/1990 12,216 12,328 12,416 12,457 04/30/1990 12,204 12,308 12,399 12,482 05/31/1990 12,405 12,502 12,597 12,673 06/30/1990 12,534 12,625 12,723 12,806 07/31/1990 12,667 12,750 12,853 12,966 08/31/1990 12,687 12,761 12,867 13,005 09/30/1990 12,752 12,819 12,927 13,111 10/31/1990 12,840 12,898 13,010 13,255 11/30/1990 12,988 13,039 13,155 13,386 12/31/1990 13,123 13,167 13,286 13,548 01/31/1991 13,238 13,275 13,398 13,672 02/28/1991 13,339 13,367 13,494 13,754 03/31/1991 13,447 13,468 13,598 13,846 04/30/1991 13,605 13,619 13,753 13,977 05/31/1991 13,706 13,711 13,849 14,062 06/30/1991 13,788 13,785 13,927 14,119 07/31/1991 13,936 13,924 14,070 14,242 08/31/1991 14,130 14,110 14,260 14,437 09/30/1991 14,309 14,280 14,436 14,593 10/31/1991 14,428 14,390 14,550 14,750 11/30/1991 14,578 14,531 14,695 14,903 12/31/1991 14,817 14,761 14,930 15,131 01/31/1992 14,824 14,759 14,932 15,107 02/29/1992 14,893 14,818 14,995 15,160 03/31/1992 14,895 14,813 14,992 15,154 04/30/1992 14,995 14,903 15,086 15,293 05/31/1992 15,142 15,040 15,228 15,432 06/30/1992 15,279 15,166 15,359 15,590 07/31/1992 15,476 15,353 15,551 15,765 08/31/1992 15,573 15,440 15,643 15,903 09/30/1992 15,723 15,579 15,786 16,055 10/31/1992 15,723 15,568 15,780 15,959 11/30/1992 15,726 15,562 15,777 15,933 12/31/1992 15,885 15,710 15,930 16,084 01/31/1993 16,029 15,842 16,067 16,251 02/28/1993 16,213 16,015 16,245 16,390 03/31/1993 16,299 16,090 16,325 16,439 04/30/1993 16,371 16,151 16,390 16,541 05/31/1993 16,384 16,154 16,397 16,495 06/30/1993 16,541 16,300 16,548 16,616 07/31/1993 16,593 16,339 16,591 16,655 08/31/1993 16,749 16,483 16,740 16,800 09/30/1993 16,807 16,530 16,792 16,855 10/31/1993 16,917 16,628 16,894 16,888 11/30/1993 16,927 16,628 16,898 16,892 12/31/1993 17,040 16,728 17,002 16,954 01/31/1994 17,127 16,801 17,081 17,063 02/28/1994 17,047 16,714 16,995 16,954 03/31/1994 16,966 16,624 16,907 16,870 04/30/1994 16,904 16,552 16,838 16,810 05/31/1994 16,878 16,517 16,806 16,834 06/30/1994 16,907 16,546 16,827 16,884 07/31/1994 17,057 16,693 16,970 17,029 08/31/1994 17,124 16,758 17,028 17,089 09/30/1994 17,091 16,726 16,989 17,050 10/31/1994 17,083 16,718 16,974 17,088 11/30/1994 17,080 16,714 16,964 17,012 12/31/1994 17,064 16,699 16,942 17,050 01/31/1995 17,216 16,848 17,086 17,288 02/28/1995 17,426 17,053 17,287 17,525 03/31/1995 17,491 17,117 17,344 17,623 04/30/1995 17,704 17,325 17,547 17,780 05/31/1995 18,019 17,634 17,852 18,091 06/30/1995 18,106 17,718 17,931 18,188 07/31/1995 18,106 17,718 17,924 18,263 08/31/1995 18,296 17,904 18,105 18,372 09/30/1995 18,453 18,058 18,253 18,461 10/31/1995 18,584 18,187 18,376 18,617 11/30/1995 18,794 18,392 18,576 18,782 12/31/1995 19,010 18,604 18,782 18,926 01/31/1996 19,143 18,734 18,906 19,087 02/29/1996 19,013 18,607 18,770 19,006 03/31/1996 18,998 18,592 18,747 18,989 04/30/1996 18,998 18,592 18,740 19,005 05/31/1996 19,009 18,603 18,744 19,044 06/30/1996 19,196 18,785 18,920 19,181 07/31/1996 19,253 18,841 18,969 19,256 08/31/1996 19,342 18,928 19,047 19,323 09/30/1996 19,609 19,189 19,302 19,498 10/31/1996 19,883 19,458 19,565 19,717 11/30/1996 20,144 19,713 19,813 19,868 12/31/1996 20,081 19,652 19,744 19,868 01/31/1997 20,242 19,809 19,896 19,962 02/28/1997 20,317 19,882 19,961 20,007 03/31/1997 20,227 19,795 19,866 20,000 04/30/1997 20,466 20,028 20,092 20,163 05/31/1997 20,630 20,189 20,245 20,301 06/30/1997 20,784 20,340 20,388 20,440 07/31/1997 21,113 20,661 20,700 20,665 08/31/1997 21,094 20,643 20,671 20,684 09/30/1997 21,271 20,816 20,837 20,841 10/31/1997 21,420 20,962 20,976 20,996 11/30/1997 21,476 21,016 21,029 21,047 12/31/1997 21,632 21,170 21,176 21,191 01/31/1998 21,790 21,324 21,320 21,396 02/28/1998 21,858 21,390 21,378 21,415 03/31/1998 21,943 21,474 21,452 21,502 04/30/1998 22,055 21,583 21,553 21,603 05/31/1998 22,187 21,713 21,674 21,718 06/30/1998 22,234 21,759 21,709 21,831 07/31/1998 22,332 21,854 21,793 21,933 08/31/1998 22,412 21,933 21,863 22,209 09/30/1998 22,860 22,372 22,291 22,503 10/31/1998 22,817 22,329 22,240 22,613 11/30/1998 22,942 22,452 22,354 22,594 12/31/1998 23,075 22,582 22,472 22,673 01/31/1999 23,170 22,675 22,555 22,763 02/28/1999 23,040 22,548 22,420 22,652 03/31/1999 23,229 22,733 22,595 22,810 04/30/1999 23,343 22,844 22,694 22,883 05/31/1999 23,261 22,764 22,606 22,868 06/30/1999 23,266 22,769 22,599 22,940 07/31/1999 23,259 22,762 22,583 23,012 08/31/1999 23,266 22,769 22,581 23,079 09/30/1999 23,431 22,930 22,732 23,229 10/31/1999 23,520 23,017 22,809 23,291 11/30/1999 23,612 23,107 22,889 23,335 12/31/1999 23,647 23,142 22,914 23,368 01/31/2000 23,610 23,105 22,871 23,359 02/29/2000 23,772 23,264 23,020 23,515 03/31/2000 23,939 23,427 23,169 23,661 04/30/2000 23,984 23,472 23,204 23,722 05/31/2000 24,049 23,535 23,257 23,820 06/30/2000 24,331 23,810 23,520 24,067 07/31/2000 24,469 23,946 23,645 24,219 08/31/2000 24,733 24,205 23,891 24,398 09/30/2000 24,850 24,318 23,993 24,573 10/31/2000 24,842 24,311 23,977 24,705 11/30/2000 25,029 24,493 24,147 24,939 12/31/2000 25,351 24,809 24,449 25,236 01/31/2001 25,755 25,204 24,828 25,552 02/28/2001 25,873 25,320 24,934 25,718 03/31/2001 26,077 25,520 25,121 25,933 04/30/2001 26,145 25,586 25,177 26,002 05/31/2001 26,347 25,783 25,360 26,149 06/30/2001 26,404 25,840 25,406 26,238 07/31/2001 26,845 26,271 25,820 26,532 08/31/2001 26,998 26,421 25,957 26,685 09/30/2001 27,258 26,675 26,196 27,124
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then employs a number of value-adding strategies, including duration management, sector allocation and liquidity management. Investment in a wide range of short-term instruments further enhances total return potential. Past performance is no guarantee for future results. The fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. The Fund may invest up to 10% in high yield securities, lower rated securities generally involves greater risk to principal than investment in higher rates securities, may at times invest in derivatives and mortgage related securities. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 23 A SHORT DURATION BOND FUND Money Market Fund OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Money market instruments. DURATION RANGE: (Less than or equal to) 90 days dollar-weighted average maturity. FUND INCEPTION DATE: 3/01/91 TOTAL NET ASSETS: $416.0 million PORTFOLIO MANAGER: Paul McCulley [PHOTO] Paul McCulley Fund Manager Mr. McCulley is Managing Director responsible for supervising short-term investment strategies at PIMCO. He has 19 years of investment experience. Fund continued to generate above-average returns. For the six-month period ended September 30, the Fund's Class A shares returned 1.81%, outperforming the Lipper Money Market Fund Average, which returned 1.71%, but slightly underperforming its benchmark, the Salomon 3-Month Treasury Bill Index, which returned 2.00%. The Fund also beat its peer group over the past 12 months, returning 4.77% compared to 4.50% for the average Lipper fund. Economic weakness brought interest rates to new lows. The economy slowed significantly over the past six months as layoffs mounted, corporate profits deteriorated, and confidence fell. The September 11 attacks magnified these trends, heightening economic uncertainty and fueling a flight to quality in the financial markets. In response, the Fed injected liquidity into the markets, slashing interest rates to their lowest levels since the early 1960s. Yields on high quality commercial paper fell sharply in the wake of the attacks, as investors anticipated further Fed easing. Security selection was neutral for performance. The Fund, which has an Aaa money market fund rating by Moody's Investors Service, emphasizes high-quality commercial paper, shorter-term agency debt and high-quality corporate issues. During the period, these holdings performed near similar-maturity Treasuries, as their yield advantages were offset by adverse price performance after the September 11 attacks. A low interest rate environment on a relative basis also impacted overall returns as the portfolio was inevitably reinvested in lower-yielding securities. We expect to favor high-quality commercial paper in the months ahead. After weighing the potential impact of the terrorist attacks, we believe that our long-term outlook for weak global growth remains on target. However, in the short-term, we are now expecting a sharper, V-shaped recovery for the U.S. economy. Heightened uncertainty over the next few quarters should be followed by a snapback driven by accelerated fiscal and monetary stimulus. Given this outlook, we intend to concentrate on high-quality commercial paper, as these issues offer better potential returns than Treasury bills. As always, we expect to maintain an average portfolio maturity of about 30 days to ensure liquidity. 24 PIMCO Funds Semi-Annual Report | 9.30.01 Money Market Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception 7-Day Yield (3/1/91) PIMCO Money Market Fund A Shares 4.77% 4.97% 4.99% 4.52% 4.57% 2.75% PIMCO Money Market Fund B Shares 3.84% 4.10% 4.11% 3.61% 3.67% 1.85% PIMCO Money Market Fund C Shares 4.77% 5.00% 5.03% 4.53% 4.59% 2.75% Lipper Money Market Fund Averge 4.50% 4.80% 4.89% 4.87% -- -- Salomon 3-Month T-Bill Index 5.05% 5.10% 5.15% 4.75% -- --
MATURITY PROFILE Less than 1 year 100% Duration 25.2 days SECTOR BREAKDOWN Short-Term Instruments 83.7% Corporate Bonds & Notes 16.0% Other 0.3% QUALITY BREAKDOWN AAA 83.7% AA 12.2% A 4.1% CHANGE IN VALUE For periods ended 9/30/01
Salomon PIMCO PIMCO PIMCO 3 Mo. T-Bill Month Money Market A Money Market B Money Market C Index ===== ============== ============== ============== ============ 02/28/1991 10,000 10,000 10,000 10,000 03/31/1991 10,048 10,041 10,048 10,052 04/30/1991 10,096 10,081 10,096 10,100 05/31/1991 10,146 10,122 10,146 10,149 06/30/1991 10,189 10,158 10,189 10,195 07/31/1991 10,234 10,196 10,234 10,244 08/31/1991 10,280 10,233 10,280 10,293 09/30/1991 10,322 10,267 10,322 10,338 10/31/1991 10,363 10,299 10,363 10,383 11/30/1991 10,402 10,330 10,402 10,425 12/31/1991 10,451 10,370 10,451 10,463 01/31/1992 10,485 10,396 10,485 10,500 02/29/1992 10,515 10,418 10,515 10,533 03/31/1992 10,546 10,441 10,546 10,568 04/30/1992 10,577 10,463 10,577 10,602 05/31/1992 10,606 10,484 10,606 10,637 06/30/1992 10,635 10,503 10,635 10,669 07/31/1992 10,664 10,523 10,664 10,701 08/31/1992 10,688 10,539 10,688 10,731 09/30/1992 10,712 10,554 10,712 10,758 10/31/1992 10,735 10,570 10,735 10,785 11/30/1992 10,758 10,584 10,758 10,812 12/31/1992 10,785 10,602 10,785 10,841 01/31/1993 10,806 10,615 10,806 10,870 02/28/1993 10,827 10,629 10,827 10,895 03/31/1993 10,852 10,645 10,852 10,922 04/30/1993 10,874 10,659 10,874 10,949 05/31/1993 10,893 10,671 10,893 10,976 06/30/1993 10,917 10,687 10,917 11,003 07/31/1993 10,940 10,701 10,940 11,032 08/31/1993 10,964 10,717 10,964 11,061 09/30/1993 10,987 10,730 10,987 11,088 10/31/1993 11,011 10,746 11,011 11,117 11/30/1993 11,036 10,762 11,036 11,145 12/31/1993 11,059 10,776 11,059 11,174 01/31/1994 11,083 10,791 11,083 11,203 02/28/1994 11,104 10,805 11,104 11,230 03/31/1994 11,130 10,821 11,130 11,261 04/30/1994 11,155 10,838 11,155 11,295 05/31/1994 11,186 10,860 11,186 11,332 06/30/1994 11,219 10,884 11,219 11,371 07/31/1994 11,253 10,908 11,253 11,412 08/31/1994 11,293 10,938 11,293 11,454 09/30/1994 11,330 10,966 11,330 11,497 10/31/1994 11,372 10,997 11,372 11,544 11/30/1994 11,417 11,032 11,417 11,592 12/31/1994 11,466 11,070 11,466 11,645 01/31/1995 11,520 11,113 11,520 11,699 02/28/1995 11,568 11,152 11,568 11,750 03/31/1995 11,620 11,195 11,620 11,808 04/30/1995 11,669 11,234 11,669 11,865 05/31/1995 11,726 11,281 11,726 11,923 06/30/1995 11,779 11,324 11,779 11,979 07/31/1995 11,832 11,366 11,832 12,036 08/31/1995 11,884 11,408 11,884 12,093 09/30/1995 11,933 11,445 11,933 12,147 10/31/1995 11,986 11,489 11,986 12,203 11/30/1995 12,073 11,562 12,073 12,257 12/31/1995 12,131 11,609 12,131 12,313 01/31/1996 12,184 11,650 12,184 12,369 02/29/1996 12,234 11,690 12,234 12,419 03/31/1996 12,283 11,729 12,283 12,472 04/30/1996 12,333 11,769 12,333 12,523 05/31/1996 12,389 11,812 12,389 12,577 06/30/1996 12,433 11,846 12,433 12,629 07/31/1996 12,484 11,885 12,484 12,684 08/31/1996 12,540 11,931 12,540 12,740 09/30/1996 12,588 11,966 12,588 12,794 10/31/1996 12,638 12,006 12,638 12,851 11/30/1996 12,689 12,044 12,689 12,905 12/31/1996 12,738 12,083 12,738 12,960 01/31/1997 12,791 12,124 12,791 13,016 02/28/1997 12,837 12,160 12,838 13,067 03/31/1997 12,885 12,199 12,887 13,124 04/30/1997 12,938 12,241 12,940 13,181 05/31/1997 12,995 12,286 12,998 13,239 06/30/1997 13,046 12,327 13,050 13,294 07/31/1997 13,101 12,368 13,105 13,351 08/31/1997 13,160 12,414 13,162 13,409 09/30/1997 13,211 12,455 13,215 13,465 10/31/1997 13,270 12,500 13,274 13,524 11/30/1997 13,321 12,540 13,326 13,581 12/31/1997 13,381 12,586 13,386 13,639 01/31/1998 13,438 12,632 13,444 13,699 02/28/1998 13,489 12,671 13,496 13,754 03/31/1998 13,543 12,722 13,551 13,815 04/30/1998 13,599 12,774 13,607 13,873 05/31/1998 13,656 12,827 13,666 13,932 06/30/1998 13,712 12,880 13,722 13,990 07/31/1998 13,770 12,934 13,782 14,048 08/31/1998 13,825 12,986 13,837 14,109 09/30/1998 13,881 13,039 13,894 14,167 10/31/1998 13,934 13,089 13,952 14,223 11/30/1998 13,987 13,138 14,004 14,276 12/31/1998 14,046 13,194 14,064 14,329 01/31/1999 14,094 13,238 14,112 14,382 02/28/1999 14,139 13,281 14,158 14,431 03/31/1999 14,188 13,327 14,209 14,485 04/30/1999 14,242 13,378 14,263 14,539 05/31/1999 14,290 13,423 14,312 14,594 06/30/1999 14,341 13,470 14,362 14,648 07/31/1999 14,396 13,523 14,418 14,705 08/31/1999 14,450 13,573 14,473 14,764 09/30/1999 14,506 13,626 14,529 14,822 10/31/1999 14,566 13,682 14,589 14,883 11/30/1999 14,624 13,736 14,647 14,942 12/31/1999 14,694 13,802 14,717 15,006 01/31/2000 14,754 13,859 14,779 15,072 02/29/2000 14,815 13,916 14,841 15,137 03/31/2000 14,886 13,983 14,914 15,208 04/30/2000 14,947 14,040 14,975 15,280 05/31/2000 15,017 14,106 15,046 15,355 06/30/2000 15,095 14,179 15,124 15,427 07/31/2000 15,168 14,247 15,196 15,501 08/31/2000 15,247 14,321 15,277 15,578 09/30/2000 15,324 14,394 15,355 15,656 10/31/2000 15,401 14,466 15,432 15,738 11/30/2000 15,478 14,539 15,509 15,818 12/31/2000 15,562 14,617 15,593 15,902 01/31/2001 15,635 14,686 15,666 15,984 02/28/2001 15,703 14,751 15,733 16,053 03/31/2001 15,771 14,814 15,801 16,124 04/30/2001 15,829 14,869 15,859 16,186 05/31/2001 15,883 14,919 15,913 16,246 06/30/2001 15,932 14,966 15,963 16,298 07/31/2001 15,977 15,007 16,007 16,348 08/31/2001 16,025 15,053 16,055 16,398 09/30/2001 16,059 15,084 16,089 16,445
- -------------------------------------------------------------------------------- The Fund emphasizes current income and preservation of capital by applying PIMCO's analytical, research and trading skills. Although the Fund is largely restricted to investing in traditional money market instruments of the highest quality, there is some scope for performance enhancement through modest shifts in duration, yield curve and sector exposure as well as through intensive bottom-up credit and quantitative research. Past performance is no guarantee of future results. Money market funds are neither insured nor guaranteed by FDIC or any other government agency and there can be no assurance that any money market fund will be able to maintain a net asset value of $1.00 per share. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 25 A TAX-EXEMPT BOND FUND Municipal Bond Fund OBJECTIVE: High current income exempt from Federal income tax, consistent with preservation of capital. PORTFOLIO: Intermediate to long-term maturity municipal securities, exempt from Federal income tax. DURATION RANGE: 3-10 years FUND INCEPTION DATE: 12/31/97 TOTAL NET ASSETS: $109.1 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Six-month, one-year results beat index and peer group. For the six-month period ended September 30, 2001, the Fund's Class A shares returned 4.32% outperforming the Lehman General Municipal Bond Index, which returned 3.48%, and the Lipper General Municipal Debt Fund Average, which returned 3.07%. The Fund also posted strong results over the one-year period, gaining 11.10% versus 10.41% and 9.54% for the index and average, respectively. Municipals trailed taxable debt amid a flight to safety. The economy experienced a significant slowdown over the past six months as corporate profits weakened, layoffs mounted and confidence declined. The September 11 attacks exacerbated these weaknesses, causing heightened uncertainty among investors and businesses. Generally, municipal yields fell throughout the period. However, longer-term yields rose and short-term yields fell further after the attacks in response to Fed easing and an anticipated increase in fiscal stimulus. Municipal bonds underperformed taxable debt in this environment, as investors favored Treasuries and agencies in a flight to safety. Above-benchmark duration contributed the most to Fund returns. The Fund's above-benchmark duration contributed strongly to performance as municipal yields fell across all maturities. In addition, yield curve positioning boosted returns as our overweight in intermediate maturities proved successful; these yields fell further than long-term issues. The Fund's high- quality focus also aided results as lower-tier credit premiums increased. However, the portfolio's exposure to transportation bonds, specifically airport issues, lowered relative returns, as revenues and debt servicing ability were impaired by the September 11 attacks. Municipal bonds should continue to offer strong relative values. After weighing the impact of the September 11 terrorist attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, with near-term economic contraction followed by a snapback later next year. Given this environment, municipal bonds should continue to provide strong relative values as they offer high credit quality and attractive tax-adjusted yields. For now, we intend to target duration near the benchmark and retain our high-quality focus, as we believe that long-term yields are unlikely to fall much further and premiums on lower-rated municipals are likely to widen. 26 PIMCO Funds Semi-Annual Report | 9.30.01 Municipal Bond Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/31/97) PIMCO Municipal Bond Fund A Shares 11.10% 4.44% -- -- 5.05% PIMCO Municipal Bond Fund A Shares (adjusted) 7.76% 3.38% -- -- 4.20% PIMCO Municipal Bond Fund B Shares 10.28% 3.66% -- -- 4.27% PIMCO Municipal Bond Fund B Shares (adjusted) 5.28% 2.72% -- -- 3.55% PIMCO Municipal Bond Fund C Shares (adjusted) 9.55% 3.92% -- -- 4.53% Lipper General Municipal Debt Fund Average 9.54% 3.63% -- -- -- Lehman Brothers General Municipal Bond Index 10.41% 5.19% -- -- --
MATURITY PROFILE 1-5 years 18% 5-10 years 49% 10-20 years 31% 20-30 years 1% Over 30 years 1% Duration 7.0 years SECTOR BREAKDOWN Municipal Bonds & Notes 99.5% Other 0.5% QUALITY BREAKDOWN AAA 46.8% AA 19.6% A 6.9% BBB 17.5% BB 9.2% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO PIMCO PIMCO General Municipal Month Municipal Bond A Municipal Bond B Municipal Bond C Bond Index ===== ================ ================ ================ ================= 12/31/1997 9,700 10,000 10,000 10,000 01/31/1998 9,812 10,108 10,110 10,103 02/28/1998 9,763 10,052 10,056 10,106 03/31/1998 9,768 10,051 10,057 10,115 04/30/1998 9,700 9,976 9,984 10,070 05/31/1998 9,890 10,164 10,174 10,229 06/30/1998 9,921 10,188 10,201 10,269 07/31/1998 9,928 10,189 10,205 10,294 08/31/1998 10,109 10,369 10,388 10,454 09/30/1998 10,242 10,499 10,520 10,585 10/31/1998 10,218 10,467 10,491 10,585 11/30/1998 10,242 10,485 10,511 10,622 12/31/1998 10,251 10,487 10,516 10,648 01/31/1999 10,384 10,617 10,648 10,775 02/28/1999 10,316 10,541 10,572 10,727 03/31/1999 10,322 10,541 10,575 10,742 04/30/1999 10,338 10,551 10,587 10,769 05/31/1999 10,260 10,465 10,503 10,707 06/30/1999 10,070 10,264 10,303 10,553 07/31/1999 10,088 10,275 10,316 10,591 08/31/1999 9,979 10,158 10,201 10,506 09/30/1999 9,963 10,136 10,180 10,510 10/31/1999 9,833 9,997 10,043 10,397 11/30/1999 9,932 10,092 10,140 10,507 12/31/1999 9,837 9,988 10,039 10,428 01/31/2000 9,778 9,922 9,975 10,383 02/29/2000 9,878 10,018 10,074 10,504 03/31/2000 10,101 10,237 10,295 10,734 04/30/2000 10,049 10,178 10,239 10,670 05/31/2000 10,002 10,124 10,186 10,615 06/30/2000 10,227 10,345 10,411 10,896 07/31/2000 10,351 10,464 10,533 11,048 08/31/2000 10,512 10,621 10,693 11,218 09/30/2000 10,503 10,605 10,679 11,159 10/31/2000 10,599 10,697 10,773 11,281 11/30/2000 10,572 10,662 10,741 11,367 12/31/2000 10,812 10,898 10,981 11,647 01/31/2001 10,908 10,988 11,074 11,763 02/28/2001 11,067 11,141 11,231 11,800 03/31/2001 11,187 11,253 11,347 11,907 04/30/2001 11,036 11,095 11,189 11,778 05/31/2001 11,248 11,300 11,400 11,905 06/30/2001 11,358 11,404 11,507 11,985 07/31/2001 11,550 11,589 11,695 12,162 08/31/2001 11,814 11,846 11,957 12,363 09/30/2001 11,670 11,396 11,807 12,321
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the overall municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest more than 25% of its assets in bond issuers of California and New York. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 27 A TAX-EXEMPT BOND FUND NY Municipal Bond Fund OBJECTIVE: Seek high current income exempt from Federal and New York income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate to long-term maturity municipal securities (exempt from federal and New York income tax). FUND INCEPTION DATE: 8/31/99 DURATION RANGE: 3-12 years TOTAL NET ASSETS: $5.0 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co-Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund generated solid returns for the six-month and one-year periods. For the six-month period ended September 30, PIMCO New York Municipal Bond Fund delivered strong results for its shareholders, with the Fund's Class A shares returning 3.74%. These results compared favorably to the Lehman Brothers New York Insured Municipal Bond Index, which returned 3.09%, and the Fund's Lipper category average, which returned 2.90%. In addition, the Fund continued its strong track record over the past year, posting a solid 11.27% gain for the one-year period and once again and beating its benchmark and peers. NY municipals underperformed the national market amid investor uncertainty. The economy slowed drastically during the period as corporate profits eroded, layoffs mounted and confidence declined. The September 11 attacks exacerbated these weaknesses, causing heightened uncertainty among investors and businesses. Generally, municipal yields fell throughout the period. However, longer-term yields rose and short-term yields fell further after the attacks in response to Fed easing and an anticipated increase in fiscal stimulus. New York underperformed the national market during this time as concerns surfaced over the financial impact of the terrorist attacks on the local economy. Duration posture, issue selection bolstered Fund returns. Although the New York municipal market softened in the wake of the September 11 attacks, the Fund was able to achieve above-average results through yield curve positioning and overall strong issue selection. Specifically, an overweight in intermediate maturity issues added to returns as these yields fell further than longer-term issues, resulting in significant price appreciation. Issue selection in revenue and healthcare bonds also boosted returns as the Fund's individual holdings outperformed these segments as a whole. A below-benchmark duration was negative for performance as New York municipal yields fell across all maturities. Also, modest exposure to transportation issues, especially airport revenue bonds, detracted from results as investors demanded higher credit premiums for these issues. NY municipals remain attractive moving forward. After weighing the impact of the September 11 terrorist attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, with near-term economic contraction followed by a snapback later next year. Given this outlook, New York municipals remain attractive--regardless of recessionary conditions--as they offer favorable tax- adjusted yields relative to Treasury and agency bonds. For now, we intend to keep duration close to the benchmark and to target high credit quality issues, as New York credit risk premiums could increase amid substantial new issuance and potential budget deficits. 28 PIMCO Funds Semi-Annual Report | 9.30.01 NY Municipal Bond Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (8/31/99) PIMCO NY Municipal Bond Fund A Shares 11.27% -- -- -- 8.53% PIMCO NY Municipal Bond Fund A Shares (adjusted) 7.93% -- -- -- 6.95% Lipper New York Intermediate Municipal Debt Fund Average 9.74% -- -- -- -- Lehman Brothers NY Ins. Municipal Bond Index 10.85% -- -- -- --
MATURITY PROFILE Less than 1 year 5% 1-5 years 9% 5-10 years 53% 10-20 years 6% 20-30 years 21% Over 30 years 6% Duration 6.9 years SECTOR BREAKDOWN Municipal Bonds & Notes 98.3% Other 1.7% QUALITY BREAKDOWN AAA 26.1% AA 15.4% A 15.4% BBB 43.1% CHANGE IN VALUE For periods ended 9/30/01 [CHART] Lehman Bros. PIMCO NY Ins. NY Interm. Municipal Bond Month Municipal Bond A Index ===== ================ ============== 08/31/1999 9,700 10,000 09/30/1999 9,735 9,987 10/31/1999 9,655 9,848 11/30/1999 9,740 9,986 12/31/1999 9,701 9,883 01/31/2000 9,653 9,826 02/29/2000 9,712 9,973 03/31/2000 9,866 10,227 04/30/2000 9,807 10,128 05/31/2000 9,770 9,923 06/30/2000 10,006 10,245 07/31/2000 10,117 10,381 08/31/2000 10,321 10,564 09/30/2000 10,337 10,499 10/31/2000 10,461 10,632 11/30/2000 10,524 10,725 12/31/2000 10,731 11,060 01/31/2001 10,875 11,156 02/28/2001 10,952 11,166 03/31/2001 11,087 11,288 04/30/2001 10,998 11,178 05/31/2001 11,296 11,309 06/30/2001 11,385 11,373 07/31/2001 11,600 11,549 08/31/2001 11,897 11,743 09/30/2001 11,501 11,638 - -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the NY municipal 8/994/00 marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest at least 65% of its assets in bond issuers of New York exempt from regular federal income tax and New York income tax. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It's important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. This fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 29 AN INFLATION-INDEXED BOND FUND Real Return Fund OBJECTIVE: Maximum real return, consistent with preservation of real capital and prudent investment management. PORTFOLIO: Primarily inflation-indexed fixed income securities. DURATION RANGE: N/A FUND INCEPTION DATE: 1/29/97 TOTAL NET ASSETS: $1.9 billion PORTFOLIO MANAGER: John Brynjolfsson [PHOTO] John Brynjolfsson Fund Manager A renowned expert in his field, Mr. Brynjolfsson is co-author of Inflation-Protection Bonds and co-editor of The Handbook of Inflation-Indexed Bonds. He has 15 years of investment experience. Fund delivered a strong 13.49% return for the past year. As of September 30, 2001, PIMCO Real Return Class A shares posted solid results for shareholders, returning 4.34% and 13.49% for the six-month and one-year periods, respectively. These returns compared favorably to the Fund's benchmark, the Lehman Brothers Global Real: U.S. TIPS Index, which returned 4.07% and 13.20%, respectively, for the same time periods. Shifting economic picture stole Treasury Inflation-Protected Securities' momentum. Early in the six-month period, short maturity real yields fell in response to Fed easing while intermediate real yields rose amid anticipation that economic growth would rebound quickly, TIPS, in general, outperformed at this time as large inflation increases worked to the asset class' advantage. However, TIPS trailed conventional Treasuries later in the period as it became clear that the economic recovery would be delayed. The September 11 attacks served to exacerbate weakness in the global economy, causing investors to favor conventional Treasuries over other fixed-income assets. Exposure to shorter maturities was beneficial. The Fund's overweight position in short- and intermediate-maturity TIPS was strongly positive for performance as intermediate real yields dropped substantially more than long-term real yields. In addition, limited exposure to high-quality non-U.S. securities, including French OATi and Swedish linkers, added to returns as non-U.S. real return bonds appreciated during the period. Allocations to short-duration conventional corporates modestly reduced returns--the result of increasing credit premiums as economic growth slowed and corporate profits declined. Below-benchmark duration hindered performance later in the period as the yield curve shifted in parallel. Inflation outlook bodes well for real return bonds. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, in the near-term, we are now expecting a sharper, V-shaped U.S. recovery, as heightened uncertainty should be followed by a snapback driven by accelerated fiscal and monetary stimulus. We believe TIPS should perform in line with high-quality, conventional debt while inflation remains muted, but should outperform further out on the horizon as positive growth returns and inflation expectations increase. For now, we expect to keep duration near the benchmark as mild inflation rates will keep potential real yields in check. In addition, we intend to focus on intermediate-maturity TIPS, which offer attractive real yields and could benefit substantially when inflation begins to rise. 30 PIMCO Funds Semi-Annual Report | 9.30.01 Real Return Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (1/29/97) PIMCO Real Return Fund A Shares 13.49% 9.25% -- -- 7.78% PIMCO Real Return Fund A Shares (adjusted) 10.09% 8.15% -- -- 7.08% PIMCO Real Return Fund B Shares 12.63% 8.45% -- -- 6.99% PIMCO Real Return Fund B Shares (adjusted) 7.63% 7.59% -- -- 6.65% PIMCO Real Return Fund C Shares (adjusted) 11.93% 8.71% -- -- 7.24% Lipper Intermediate U.S. Treasury Fund Average 13.16% 6.98% -- -- -- Lehman Brothers Global Real: U.S. TIPS Index 13.20% 7.94% -- -- --
MATURITY PROFILE 5-10 years 72% 10-20 years 1% 20-30 years 27% Duration 2.8 years SECTOR BREAKDOWN U.S. Treasury Obligations 80.6% Corporate Bonds & Notes 13.4% Other 6.0% QUALITY BREAKDOWN AAA 85.0% AA 3.6% A 7.2% BBB 2.4% BB 1.8% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
Lehman Brothers Global PIMCO PIMCO PIMCO Real: U.S. TIPS Month Real Return A Real Return B Real Return C Index ===== ============= ============= ============= =============== 01/31/1997 9,700 10,000 10,000 10,000 02/28/1997 9,735 10,029 10,032 10,033 03/31/1997 9,651 9,927 9,928 9,896 04/30/1997 9,698 9,978 9,977 9,956 05/31/1997 9,750 10,028 10,027 10,010 06/30/1997 9,726 9,997 9,996 9,978 07/31/1997 9,841 10,110 10,108 10,072 08/31/1997 9,858 10,121 10,124 10,103 09/30/1997 9,874 10,131 10,142 10,123 10/31/1997 9,995 10,249 10,263 10,227 11/30/1997 10,044 10,293 10,309 10,284 12/31/1997 9,989 10,230 10,249 10,241 01/31/1998 10,044 10,280 10,301 10,291 02/28/1998 10,030 10,260 10,282 10,282 03/31/1998 10,047 10,274 10,298 10,277 04/30/1998 10,097 10,318 10,344 10,315 05/31/1998 10,135 10,350 10,379 10,388 06/30/1998 10,167 10,376 10,407 10,414 07/31/1998 10,242 10,446 10,479 10,463 08/31/1998 10,246 10,444 10,479 10,486 09/30/1998 10,481 10,676 10,715 10,697 10/31/1998 10,533 10,722 10,763 10,721 11/30/1998 10,514 10,697 10,739 10,710 12/31/1998 10,466 10,640 10,685 10,646 01/31/1999 10,617 10,787 10,834 10,769 02/28/1999 10,589 10,752 10,802 10,693 03/31/1999 10,649 10,806 10,859 10,689 04/30/1999 10,822 10,973 11,029 10,760 05/31/1999 10,897 11,043 11,101 10,834 06/30/1999 10,879 11,018 11,079 10,841 07/31/1999 10,894 11,029 11,090 10,835 08/31/1999 10,947 11,075 11,139 10,854 09/30/1999 10,989 11,111 11,178 10,896 10/31/1999 11,007 11,122 11,191 10,918 11/30/1999 11,088 11,198 11,269 10,984 12/31/1999 11,021 11,122 11,195 10,896 01/31/2000 11,084 11,178 11,254 10,945 02/29/2000 11,161 11,250 11,329 11,047 03/31/2000 11,494 11,578 11,662 11,369 04/30/2000 11,636 11,715 11,802 11,520 05/31/2000 11,600 11,672 11,760 11,490 06/30/2000 11,751 11,816 11,909 11,635 07/31/2000 11,840 11,899 11,994 11,734 08/31/2000 11,949 12,000 12,099 11,821 09/30/2000 12,044 12,088 12,189 11,883 10/31/2000 12,169 12,205 12,311 12,026 11/30/2000 12,344 12,372 12,484 12,201 12/31/2000 12,456 12,476 12,591 12,332 01/31/2001 12,772 12,783 12,905 12,590 02/28/2001 13,005 13,008 13,136 12,803 03/31/2001 13,102 13,097 13,229 12,926 04/30/2001 13,197 13,184 13,320 12,998 05/31/2001 13,367 13,345 13,485 13,152 06/30/2001 13,349 13,317 13,460 13,136 07/31/2001 13,562 13,522 13,670 13,355 08/31/2001 13,596 13,547 13,697 13,374 09/30/2001 13,670 13,417 13,767 13,451
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager focuses on duration management and manages yield curve exposure based on the firm's outlook for real yields. Although the Fund is mainly invested in U.S. Treasury-Inflation Protection Securities (TIPS), sector rotation allows the manager to invest in other areas where he finds value on an inflation-adjusted basis. Past performance is no guarantee of future results. The Fund may invest up to 35% in foreign securities, which may entail greater risk due to foreign economic and political developments. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 31 A SHORT DURATION BOND FUND Short-Term Fund OBJECTIVE: Maximum current income, consistentwith preservation of capital and daily liquidity. PORTFOLIO: Money market instruments and short maturity fixed income securities. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 10/07/87 TOTAL NET ASSETS: $1.5 billion PORTFOLIO MANAGER: Paul McCulley [PHOTO] Paul McCulley Fund Manager Mr. McCulley is Managing Director responsible for supervising short-term investment strategies at PIMCO. He has 19 years of investment experience. Fund continued its record of outperformance. In keeping with its long-term track record, PIMCO Short-Term Fund outperformed its benchmark, the Salomon 3-Month T-Bill Index, for the six-month period ended September 30, 2001. Class A shares returned 2.70% compared to 2.00% for the Index. While the Fund slightly trailed the Lipper Ultra-Short Obligations Fund Average for the same period, it remained ahead of its category for the past year, returning a solid 6.67%. Heightened uncertainty sparked further global weakening. The events of September 11 had a meaningful impact on the reporting period as a whole, as the attacks accentuated weakness in the global economy and heightened risk aversion among investors, consumers and businesses. To counter the economic turmoil, a number of central banks joined an already accommodative U.S. Federal Reserve in cutting interest rates and injecting liquidity into the markets. Bonds performed relatively well in this environment, with shorter-maturity, higher-quality assets, such as Treasuries and mortgages, performing the best. Positioning paid off as short-term interest rates fell. Strategies that focused on the short end of the yield curve were strongly positive for Fund performance, as this part of the curve benefited the most from the flight to quality. The Fund's above-benchmark duration, which had been its emphasis for some time, enhanced performance as short-term interest rates fell. In addition, a focus on high-quality, mortgage-related securities boosted returns as they provided a relatively safe source of incremental yield. However, exposure to real return bonds detracted from relative performance as an exacerbated U.S. slow-down diminished inflation expectations. Long-term outlook remains intact. After weighing the potential impact of the terrorist attacks, we believe that our long-term outlook for weak global growth remains on target. However, in the short-term, we are now expecting a sharper, V-shaped recovery for the U.S. economy. Heightened uncertainty over the next few quarters should be followed by a snapback driven by accelerated fiscal and monetary stimulus. To capitalize on these trends, we plan to target a near-benchmark duration and to maintain our focus on high quality assets, including mortgages, in the coming months. In addition, we anticipate retaining short-maturity corporates to benefit from wide yield premiums in this sector, and will look to build out this position if markets decline to even more attractive levels. 32 PIMCO Funds Semi-Annual Report | 9.30.01 Short-Term Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (10/7/87) PIMCO Short-Term Fund A Shares 6.67% 5.79% 5.95% 5.39% 6.06% PIMCO Short-Term Fund A Shares (adjusted) 4.54% 5.08% 5.52% 5.18% 5.91% PIMCO Short-Term Fund B Shares 5.89% 5.01% 5.20% 4.86% 5.66% PIMCO Short-Term Fund B Shares (adjusted) 0.89% 4.10% 4.88% 4.86% 5.66% PIMCO Short-Term Fund C Shares (adjusted) 5.34% 5.47% 5.64% 5.08% 5.74% Lipper Ultra-Short Obligations Fund Average 6.59% 5.63% 5.77% 5.28% -- Salomon 3-Mo. T-Bill Index 5.05% 5.10% 5.15% 4.75% --
MATURITY PROFILE Less than 1 year 90% 1-5 years 7% 5-10 years 3% Duration 0.3 years SECTOR BREAKDOWN Short-Term Instruments 35.0% Corporate Bonds & Notes 30.7% Asset-Backed Securities 13.5% Mortgage-Backed Securities 11.3% U.S. Treasury Obligations 8.0% Other 1.5% QUALITY BREAKDOWN AAA 56.0% AA 13.9% A 18.2% BBB 11.0% BB 0.8% B 0.1% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Salomon PIMCO PIMCO PIMCO 3-month T-Bill Month Short-Term A Short-Term B Short-Term C Index ===== ============ ============ ============ ============== 10/31/1987 9,800 10,000 10,000 10,000 11/30/1987 9,855 10,049 10,053 10,051 12/31/1987 9,912 10,100 10,108 10,099 01/31/1988 9,976 10,160 10,172 10,148 02/29/1988 10,015 10,193 10,209 10,194 03/31/1988 10,067 10,240 10,260 10,244 04/30/1988 10,120 10,287 10,311 10,294 05/31/1988 10,173 10,336 10,364 10,347 06/30/1988 10,228 10,385 10,416 10,401 07/31/1988 10,277 10,429 10,464 10,460 08/31/1988 10,340 10,486 10,526 10,520 09/30/1988 10,405 10,546 10,589 10,583 10/31/1988 10,494 10,628 10,676 10,648 11/30/1988 10,561 10,690 10,742 10,715 12/31/1988 10,620 10,743 10,799 10,785 01/31/1989 10,693 10,811 10,871 10,858 02/28/1989 10,766 10,878 10,943 10,934 03/31/1989 10,858 10,963 11,033 11,013 04/30/1989 10,937 11,036 11,111 11,095 05/31/1989 11,033 11,127 11,207 11,179 06/30/1989 11,114 11,201 11,285 11,257 07/31/1989 11,205 11,286 11,374 11,336 08/31/1989 11,262 11,335 11,429 11,413 09/30/1989 11,336 11,403 11,502 11,487 10/31/1989 11,439 11,500 11,603 11,565 11/30/1989 11,513 11,567 11,675 11,640 12/31/1989 11,576 11,623 11,737 11,717 01/31/1990 11,629 11,670 11,789 11,794 02/28/1990 11,698 11,732 11,855 11,865 03/31/1990 11,773 11,800 11,927 11,945 04/30/1990 11,819 11,839 11,970 12,022 05/31/1990 11,927 11,941 12,078 12,104 06/30/1990 12,002 12,009 12,150 12,183 07/31/1990 12,083 12,082 12,228 12,263 08/31/1990 12,144 12,136 12,288 12,343 09/30/1990 12,223 12,207 12,364 12,418 10/31/1990 12,314 12,288 12,452 12,495 11/30/1990 12,410 12,377 12,545 12,569 12/31/1990 12,507 12,466 12,641 12,650 01/31/1991 12,594 12,545 12,725 12,723 02/28/1991 12,660 12,604 12,789 12,785 03/31/1991 12,715 12,651 12,842 12,851 04/30/1991 12,792 12,720 12,915 12,913 05/31/1991 12,861 12,781 12,982 12,975 06/30/1991 12,906 12,818 13,025 13,035 07/31/1991 12,979 12,883 13,096 13,097 08/31/1991 13,060 12,955 13,174 13,159 09/30/1991 13,129 13,016 13,239 13,217 10/31/1991 13,203 13,081 13,311 13,275 11/30/1991 13,233 13,104 13,339 13,328 12/31/1991 13,285 13,147 13,388 13,377 01/31/1992 13,332 13,186 13,432 13,424 02/29/1992 13,358 13,203 13,454 13,466 03/31/1992 13,380 13,218 13,474 13,512 04/30/1992 13,434 13,263 13,525 13,555 05/31/1992 13,473 13,293 13,562 13,600 06/30/1992 13,524 13,336 13,611 13,640 07/31/1992 13,578 13,380 13,661 13,681 08/31/1992 13,611 13,404 13,690 13,720 09/30/1992 13,645 13,430 13,720 13,754 10/31/1992 13,657 13,434 13,729 13,788 11/30/1992 13,672 13,440 13,740 13,823 12/31/1992 13,710 13,470 13,775 13,860 01/31/1993 13,754 13,505 13,816 13,897 02/28/1993 13,789 13,531 13,848 13,929 03/31/1993 13,851 13,582 13,906 13,964 04/30/1993 13,896 13,619 13,949 13,998 05/31/1993 13,949 13,662 13,999 14,033 06/30/1993 14,004 13,706 14,050 14,068 07/31/1993 14,053 13,746 14,095 14,104 08/31/1993 14,088 13,772 14,126 14,141 09/30/1993 14,122 13,797 14,157 14,176 10/31/1993 14,170 13,835 14,201 14,213 11/30/1993 14,221 13,877 14,249 14,249 12/31/1993 14,286 13,932 14,310 14,286 01/31/1994 14,309 13,946 14,330 14,323 02/28/1994 14,323 13,953 14,342 14,357 03/31/1994 14,299 13,920 14,313 14,398 04/30/1994 14,320 13,932 14,332 14,441 05/31/1994 14,329 13,931 14,336 14,488 06/30/1994 14,393 13,985 14,398 14,538 07/31/1994 14,460 14,041 14,461 14,590 08/31/1994 14,515 14,086 14,513 14,644 09/30/1994 14,529 14,092 14,525 14,698 10/31/1994 14,565 14,127 14,558 14,758 11/30/1994 14,576 14,137 14,565 14,820 12/31/1994 14,637 14,196 14,624 14,889 01/31/1995 14,708 14,266 14,691 14,957 02/28/1995 14,842 14,395 14,822 15,023 03/31/1995 14,873 14,426 14,848 15,097 04/30/1995 15,031 14,579 15,003 15,169 05/31/1995 15,181 14,724 15,148 15,243 06/30/1995 15,230 14,771 15,194 15,315 07/31/1995 15,321 14,860 15,280 15,388 08/31/1995 15,390 14,927 15,346 15,461 09/30/1995 15,533 15,066 15,484 15,530 10/31/1995 15,644 15,173 15,589 15,602 11/30/1995 15,788 15,312 15,728 15,670 12/31/1995 15,920 15,441 15,857 15,743 01/31/1996 15,995 15,514 15,927 15,813 02/29/1996 16,022 15,540 15,951 15,878 03/31/1996 16,072 15,588 15,997 15,945 04/30/1996 16,146 15,660 16,067 16,010 05/31/1996 16,228 15,740 16,146 16,079 06/30/1996 16,316 15,825 16,230 16,147 07/31/1996 16,362 15,869 16,271 16,216 08/31/1996 16,463 15,967 16,368 16,287 09/30/1996 16,619 16,119 16,521 16,357 10/31/1996 16,751 16,246 16,648 16,429 11/30/1996 16,900 16,391 16,793 16,498 12/31/1996 16,964 16,453 16,851 16,569 01/31/1997 17,064 16,550 16,946 16,641 02/28/1997 17,138 16,622 17,015 16,706 03/31/1997 17,144 16,628 17,020 16,779 04/30/1997 17,240 16,721 17,112 16,851 05/31/1997 17,363 16,840 17,230 16,925 06/30/1997 17,477 16,951 17,337 16,996 07/31/1997 17,612 17,082 17,467 17,070 08/31/1997 17,663 17,131 17,514 17,143 09/30/1997 17,780 17,244 17,626 17,215 10/31/1997 17,819 17,282 17,662 17,291 11/30/1997 17,895 17,357 17,736 17,363 12/31/1997 17,994 17,452 17,828 17,438 01/31/1998 18,098 17,553 17,928 17,515 02/28/1998 18,160 17,613 17,985 17,585 03/31/1998 18,280 17,729 18,100 17,662 04/30/1998 18,362 17,809 18,178 17,736 05/31/1998 18,443 17,887 18,255 17,813 06/30/1998 18,505 17,948 18,311 17,886 07/31/1998 18,614 18,054 18,414 17,961 08/31/1998 18,620 18,059 18,416 18,038 09/30/1998 18,743 18,179 18,532 18,112 10/31/1998 18,812 18,246 18,595 18,184 11/30/1998 18,874 18,306 18,652 18,252 12/31/1998 18,952 18,381 18,725 18,319 01/31/1999 19,024 18,451 18,792 18,387 02/28/1999 19,100 18,525 18,862 18,449 03/31/1999 19,234 18,654 18,990 18,520 04/30/1999 19,320 18,738 19,072 18,588 05/31/1999 19,322 18,740 19,070 18,659 06/30/1999 19,388 18,804 19,131 18,728 07/31/1999 19,454 18,868 19,190 18,801 08/31/1999 19,516 18,928 19,246 18,876 09/30/1999 19,602 19,012 19,325 18,950 10/31/1999 19,694 19,101 19,410 19,027 11/30/1999 19,786 19,191 19,495 19,103 12/31/1999 19,864 19,266 19,567 19,186 01/31/2000 19,917 19,318 19,620 19,270 02/29/2000 20,021 19,418 19,712 19,353 03/31/2000 20,149 19,542 19,833 19,444 04/30/2000 20,221 19,613 19,900 19,535 05/31/2000 20,329 19,717 20,002 19,631 06/30/2000 20,453 19,837 20,118 19,723 07/31/2000 20,557 19,938 20,216 19,818 08/31/2000 20,684 20,062 20,335 19,916 09/30/2000 20,802 20,176 20,447 20,016 10/31/2000 20,892 20,263 20,531 20,120 11/30/2000 21,059 20,425 20,691 20,223 12/31/2000 21,225 20,586 20,848 20,330 01/31/2001 21,370 20,726 20,984 20,436 02/28/2001 21,511 20,863 21,118 20,524 03/31/2001 21,605 20,955 21,205 20,614 04/30/2001 21,666 21,013 21,260 20,693 05/31/2001 21,833 21,175 21,417 20,770 06/30/2001 21,868 21,209 21,445 20,836 07/31/2001 22,016 21,353 21,587 20,901 08/31/2001 22,089 21,424 21,654 20,965 09/30/2001 22,188 21,520 21,745 21,025
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The Fund then employs a variety of value-added strategies geared to enhance yield, including duration extension, credit quality positioning, cost-effective trading and investment in an expanded set of financial instruments. Past performance is no guarantee of future results. The Fund may invest up to 5% in foreign securities, which may entail greater risk due to foreign economic and political developments. Investments in high yield, lower rated securities generally involves greater risk to principal than investment in higher rated securities. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 33 AN ENHANCED INDEX STOCK FUND StocksPLUS Fund OBJECTIVE: Total return which exceeds that of the S&P 500. PORTFOLIO: S&P 500 Stock Index futures backed by short-term fixed income securities. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 5/13/93 TOTAL NET ASSETS: $878.3 million PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund outpaced the S&P 500 Index over the six-month period. For the six-month period ended September 30, 2001, the Fund's Class A shares returned -9.62%, slightly outperforming the S&P 500 Index, which returned - -9.68%. These results were consistent with the Fund's objective of providing incremental returns above the performance of the Index. In addition, the Fund continued its record of outperformance over the long term, returning 13.07% since inception compared to 12.71% for the S&P 500 Index over the same period. Weakening economic picture erased equity gains. Early in the six-month period, U.S. equity markets performed well as investor optimism was boosted by the Federal Reserve's aggressive easing campaign. However, the events of September 11 further weakened an already flagging U.S. economy, heightening risk aversion among investors and causing a flight to quality in the financial markets. The Fed responded by injecting liquidity into the markets, slashing its key federal funds rate to 2.5%--its lowest level since the early 1960s. Nonetheless, stocks took back these gains and more later in the period as it became evident that an economic recovery would be substantially delayed. Extended duration, quality focus aided performance. The Fund's extended duration enhanced performance as short-term yields fell sharply in response to the pronounced economic weakness. In addition, an emphasis on mortgages aided results as they offered attractive relative yields with minimal credit risk. The Fund's exposure to short-maturity, investment grade corporates was also positive as these issues benefited from increased optimism early in the period and relatively high yields later in the period, which more than offset falling prices. Yet these successful bond management efforts were overshadowed by the equity market's sharp decline, a reality that was reflected in the Fund's overall performance. High quality bias should continue in the months ahead. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, we now anticipate a sharper, V- shaped U.S. economic recovery in the next year, as near-term contraction should be followed by a snapback driven by aggressive fiscal and monetary stimulus. In the months ahead, we plan to watch business and consumer spending closely, as these trends will be critical indicators of a recovery. We expect to maintain duration near six months to capture additional yield and limit overall interest rate sensitivity. 34 PIMCO Funds Semi-Annual Report | 9.30.01 StocksPLUS Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/13/93) PIMCO StockPLUS Fund A Shares -26.39% 1.69% 9.71% -- 13.07% PIMCO StockPLUS Fund A Shares (adjusted) -28.60% 0.67% 9.04% -- 12.66% PIMCO StockPLUS Fund B Shares -26.89% 0.98% 8.91% -- 12.37% PIMCO StockPLUS Fund B Shares (adjusted) -30.26% 0.29% 8.69% -- 12.37% PIMCO StockPLUS Fund C Shares (adjusted) -27.41% 1.22% 9.19% -- 12.52% Lipper Large-Cap Core Fund Avg. -27.39% 1.48% 7.52% -- -- S&P 500 Index -26.62% 2.04% 10.23% -- --
MATURITY PROFILE Less than 1 year 71% 1-5 years 29% Duration 0.5 years SECTOR BREAKDOWN Mortgage-Backed Securities 41.3% Corporate Bonds & Notes 19.5% Short-Term Instruments 18.8% U.S. Treasury Obligations 10.9% Asset-Backed Securities 5.3% Other 4.2% QUALITY BREAKDOWN AAA 78.1% AA 2.9% A 5.0% BBB 10.0% BB 3.3% B 0.7% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO PIMCO PIMCO S&P 500 Month StocksPLUS A StocksPLUS B StocksPLUS C Index ===== ============ ============ ============ ======= 05/31/1993 9,700 10,000 10,000 10,000 06/30/1993 9,749 10,043 10,044 10,029 07/31/1993 9,727 10,015 10,016 9,989 08/31/1993 10,094 10,383 10,397 10,368 09/30/1993 9,993 10,276 10,289 10,288 10/31/1993 10,211 10,487 10,501 10,501 11/30/1993 10,092 10,362 10,376 10,401 12/31/1993 10,271 10,544 10,560 10,527 01/31/1994 10,605 10,880 10,899 10,885 02/28/1994 10,275 10,534 10,550 10,589 03/31/1994 9,818 10,052 10,084 10,128 04/30/1994 9,938 10,175 10,198 10,258 05/31/1994 10,120 10,350 10,384 10,426 06/30/1994 9,902 10,126 10,158 10,170 07/31/1994 10,284 10,510 10,546 10,504 08/31/1994 10,750 10,978 11,018 10,935 09/30/1994 10,563 10,784 10,823 10,668 10/31/1994 10,729 10,942 10,983 10,907 11/30/1994 10,397 10,593 10,642 10,510 12/31/1994 10,529 10,729 10,768 10,666 01/31/1995 10,816 11,009 11,061 10,943 02/28/1995 11,299 11,493 11,550 11,369 03/31/1995 11,603 11,800 11,849 11,705 04/30/1995 11,975 12,165 12,228 12,049 05/31/1995 12,513 12,706 12,774 12,531 06/30/1995 12,783 12,969 13,039 12,822 07/31/1995 13,185 13,375 13,448 13,247 08/31/1995 13,270 13,454 13,528 13,280 09/30/1995 13,829 14,006 14,096 13,841 10/31/1995 13,801 13,971 14,061 13,791 11/30/1995 14,461 14,624 14,720 14,397 12/31/1995 14,736 14,892 15,003 14,674 01/31/1996 15,259 15,421 15,522 15,174 02/29/1996 15,296 15,448 15,550 15,314 03/31/1996 15,494 15,638 15,755 15,462 04/30/1996 15,683 15,818 15,938 15,690 05/31/1996 16,039 16,165 16,288 16,094 06/30/1996 16,187 16,304 16,428 16,156 07/31/1996 15,429 15,537 15,655 15,442 08/31/1996 15,750 15,850 15,985 15,768 09/30/1996 16,667 16,760 16,902 16,655 10/31/1996 17,194 17,277 17,426 17,114 11/30/1996 18,466 18,544 18,706 18,408 12/31/1996 18,067 18,134 18,292 18,043 01/31/1997 19,177 19,218 19,402 19,171 02/28/1997 19,303 19,345 19,548 19,321 03/31/1997 18,446 18,461 18,657 18,527 04/30/1997 19,573 19,591 19,797 19,633 05/31/1997 20,812 20,817 21,036 20,828 06/30/1997 21,667 21,667 21,886 21,761 07/31/1997 23,438 23,407 23,661 23,493 08/31/1997 22,170 22,122 22,378 22,177 09/30/1997 23,311 23,261 23,519 23,392 10/31/1997 22,554 22,505 22,755 22,610 11/30/1997 23,474 23,394 23,670 23,657 12/31/1997 23,908 23,810 24,101 24,063 01/31/1998 24,214 24,115 24,409 24,329 02/28/1998 25,842 25,702 26,032 26,084 03/31/1998 27,128 26,971 27,305 27,420 04/30/1998 27,457 27,279 27,617 27,695 05/31/1998 26,897 26,701 27,053 27,219 06/30/1998 27,943 27,723 28,097 28,325 07/31/1998 27,633 27,393 27,763 28,023 08/31/1998 23,394 23,188 23,513 23,972 09/30/1998 25,186 24,932 25,288 25,507 10/31/1998 27,178 26,912 27,273 27,582 11/30/1998 28,722 28,408 28,806 29,254 12/31/1998 30,537 30,167 30,623 30,940 01/31/1999 31,560 31,159 31,631 32,233 02/28/1999 30,493 30,100 30,558 31,232 03/31/1999 31,765 31,340 31,808 32,481 04/30/1999 33,013 32,556 33,062 33,739 05/31/1999 32,145 31,670 32,166 32,943 06/30/1999 34,003 33,479 34,015 34,771 07/31/1999 32,881 32,344 32,865 33,685 08/31/1999 32,700 32,143 32,685 33,519 09/30/1999 31,954 31,407 31,939 32,600 10/31/1999 33,990 33,398 33,958 34,663 11/30/1999 34,534 33,889 34,481 35,367 12/31/1999 36,488 35,807 36,422 37,451 01/31/2000 34,620 33,935 34,525 35,570 02/29/2000 34,066 33,361 33,972 34,896 03/31/2000 37,248 36,470 37,115 38,310 04/30/2000 36,082 35,322 35,949 37,157 05/31/2000 35,339 34,537 35,180 36,394 06/30/2000 36,187 35,370 36,042 37,292 07/31/2000 35,706 34,899 35,534 36,708 08/31/2000 38,084 37,224 37,882 38,988 09/30/2000 35,989 35,176 35,795 36,930 10/31/2000 35,802 34,993 35,580 36,774 11/30/2000 33,106 32,358 32,862 33,875 12/31/2000 33,374 32,621 33,128 34,040 01/31/2001 34,652 33,870 34,374 35,248 02/28/2001 31,430 30,720 31,156 32,034 03/31/2001 29,311 28,650 29,069 30,005 04/30/2001 31,574 30,861 31,272 32,336 05/31/2001 31,865 31,145 31,591 32,553 06/30/2001 31,151 30,448 30,843 31,761 07/31/2001 30,886 30,189 30,580 31,448 08/31/2001 28,953 28,299 28,651 29,479 09/30/2001 26,492 25,894 26,224 27,099
Taking an innovative approach, the Fund combines a non-leveraged position in S&P 500 Index futures with an actively managed, short duration fixed-income portfolio. In doing so, the Fund seeks to capture the performance of the S&P 500 Index plus an incremental return based on the fixed income component. The manager adds value primarily through duration management, credit risk management and investment in a variety of high quality, short-term securities. Past performance is no guarantee of future results. The Fund may invest substantially all of its assets in S&P 500 derivatives, backed by a portfolio of Fixed Income Instruments. The Fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. The Fund may invest up to 10% in high yield securities, lower rated securities generally involves greater risk to principal than investment in higher rated securities, may at times invest in derivatives and mortgage related securities. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 35 A STOCK AND BOND FUND Strategic Balanced Fund OBJECTIVE: Maximum total return consistent with preservation of capital and prudent investment management. PORTFOLIO: 45-75% PIMCO StocksPLUS Fund; 25-55% PIMCO Total Return Fund. DURATION RANGE (OF UNDERLYING FUNDS): 0-6 years FUND INCEPTION DATE: 6/28/96 TOTAL NET ASSETS: $73.6 million PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely re garded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund outpaced its benchmark and peer group. Class A shares returned -3.40% for the six month period ended September 30, 2001, slightly outperforming the Fund's benchmark--a blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index (LBAG)--which returned -3.73%. In addition, the Fund substantially outperformed the Lipper Balanced Fund Average, which returned -4.91%. Importantly, the Fund's one-year performance of -10.88% also bested both its benchmark and peer group, which returned -12.28% and - -11.76%, respectively. Bonds outperformed stocks amid flight to quality. Early in the six-month period, U.S. equity markets performed well as investor optimism was boosted by the Fed's aggressive easing campaign. However, the events of September 11 further weakened an already flagging U.S. economy, heightening risk aversion among investors and causing a flight to quality in the financial markets. The Fed responded by injecting liquidity into the markets, slashing rates to their lowest levels since the early 1960s. Nonetheless, stocks took back these gains and more as it became evident that an economic recovery would be delayed. Bonds performed relatively well in this environment, led by high quality assets such as Treasuries and mortgages. Fixed income returns helped offset equity losses. Asset allocation had only a minor impact on returns over the period, since the Fund remained near a standard 60/40 mix of equities and fixed income. The equity portfolio, consisting of PIMCO's StocksPLUS Fund, performed in line with its stated objective, modestly outpacing the S&P 500 Index. On the bond side, PIMCO Total Return Fund provided a relative stronghold, solidly outperforming the LBAG. These results were largely due to the Fund's overweight position in short- maturity securities, which rallied as investors anticipated further Fed easing. In addition, the Fund's emphasis on mortgages boosted returns. Nonetheless, the bond portfolio's strong results were overshadowed by equity weakness, resulting in negative net performance. Neutral allocation should continue pending an economic recovery. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, we now anticipate a sharper, V- shaped U.S. economic recovery in the next year, as near-term contraction should be followed by a snap-back driven by fiscal and monetary stimulus. For now, we plan to target a neutral mix of 60% stocks/40% bonds in light of the full valuation of the short and intermediate portion of the yield curve, continuing uncertainty for corporate profits and still lofty equity valuations. 36 PIMCO Funds Semi-Annual Report | 9.30.01 Strategic Balanced Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (6/28/96) PIMCO Strategic Balanced Fund A Shares -10.88% 3.38% 9.14% -- 9.36% PIMCO Strategic Balanced Fund A Shares (adjusted) -14.89% 1.80% 8.14% -- 8.41% PIMCO Strategic Balanced Fund B Shares -11.60% 2.59% 8.32% -- 8.55% PIMCO Strategic Balanced Fund B Shares (adjusted) -15.66% 1.82% 8.05% -- 8.42% PIMCO Strategic Balanced Fund C Shares (adjusted) -12.36% 2.57% 8.31% -- 8.53% Lipper Balanced Fund Average -11.76% 3.51% 7.35% -- -- 60% S&P 500 and 40% LBAG -12.28% 4.16% 9.77% -- -- S&P 500 Index -26.62% 2.04% 10.23% -- --
SECTOR BREAKDOWN StocksPLUS 57.4% Total Return 42.6% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
PIMCO PIMCO PIMCO Strategic Strategic Strategic 60% S&P 500 S&P 500 Month Balanced A Balanced B Balanced C 40% LBAG Index ===== ========== ========== ========== =========== ======= 06/30/1996 9,550 10,000 10,000 10,000 10,000 07/31/1996 9,289 9,720 9,720 9,746 9,558 08/31/1996 9,430 9,860 9,860 9,863 9,760 09/30/1996 9,875 10,319 10,319 10,264 10,309 10/31/1996 10,148 10,598 10,598 10,525 10,593 11/30/1996 10,707 11,176 11,176 11,075 11,394 12/31/1996 10,506 10,959 10,959 10,902 11,168 01/31/1997 10,944 11,409 11,409 11,324 11,866 02/28/1997 11,002 11,463 11,463 11,388 11,959 03/31/1997 10,648 11,087 11,087 11,057 11,468 04/30/1997 11,129 11,581 11,581 11,520 12,152 05/31/1997 11,589 12,053 12,053 11,984 12,892 06/30/1997 11,939 12,410 12,410 12,363 13,470 07/31/1997 12,666 13,157 13,157 13,086 14,542 08/31/1997 12,212 12,678 12,678 12,602 13,727 09/30/1997 12,657 13,130 13,130 13,090 14,479 10/31/1997 12,473 12,932 12,932 12,904 13,995 11/30/1997 12,795 13,258 13,258 13,286 14,643 12/31/1997 12,995 13,457 13,457 13,477 14,895 01/31/1998 13,169 13,628 13,628 13,635 15,059 02/28/1998 13,688 14,158 14,158 14,221 16,145 03/31/1998 14,150 14,626 14,626 14,678 16,972 04/30/1998 14,269 14,740 14,740 14,797 17,143 05/31/1998 14,118 14,575 14,575 14,700 16,848 06/30/1998 14,522 14,983 14,983 15,109 17,533 07/31/1998 14,438 14,888 14,888 15,025 17,346 08/31/1998 13,075 13,473 13,473 13,819 14,838 09/30/1998 13,840 14,253 14,253 14,480 15,789 10/31/1998 14,458 14,882 14,882 15,156 17,073 11/30/1998 14,918 15,346 15,346 15,742 18,108 12/31/1998 15,486 15,922 15,922 16,305 19,151 01/31/1999 15,852 16,288 16,288 16,760 19,952 02/28/1999 15,340 15,754 15,754 16,331 19,332 03/31/1999 15,834 16,250 16,250 16,759 20,105 04/30/1999 16,214 16,630 16,630 17,170 20,884 05/31/1999 15,873 16,271 16,271 16,866 20,391 06/30/1999 16,465 16,871 16,871 17,406 21,522 07/31/1999 16,103 16,487 16,461 17,051 20,851 08/31/1999 16,040 16,422 16,397 16,996 20,747 09/30/1999 15,840 16,215 16,189 16,796 20,179 10/31/1999 16,472 16,850 16,824 17,459 21,456 11/30/1999 16,623 16,991 16,967 17,671 21,892 12/31/1999 17,165 17,543 17,518 18,261 23,181 01/31/2000 16,424 16,771 16,745 17,687 22,017 02/29/2000 16,289 16,634 16,608 17,572 21,600 03/31/2000 17,314 17,650 17,628 18,696 23,713 04/30/2000 16,919 17,248 17,212 18,337 22,999 05/31/2000 16,811 17,110 17,086 18,108 22,527 06/30/2000 17,046 17,363 17,325 18,526 23,083 07/31/2000 16,990 17,292 17,268 18,420 22,722 08/31/2000 17,785 18,060 18,037 19,213 24,133 09/30/2000 17,155 17,413 17,393 18,653 22,859 10/31/2000 17,142 17,385 17,365 18,655 22,762 11/30/2000 16,622 16,857 16,821 17,894 20,968 12/31/2000 16,818 17,050 17,017 18,079 21,070 01/31/2001 17,271 17,494 17,476 18,583 21,818 02/28/2001 16,426 16,621 16,602 17,631 19,828 03/31/2001 15,828 16,013 15,986 16,996 18,572 04/30/2001 16,466 16,643 16,634 17,760 20,016 05/31/2001 16,588 16,752 16,742 17,874 20,150 06/30/2001 16,382 16,530 16,521 17,640 19,659 07/31/2001 16,520 16,654 16,645 17,694 19,466 08/31/2001 15,970 16,083 16,072 17,110 18,247 09/30/2001 15,291 15,293 15,384 16,361 16,774
- -------------------------------------------------------------------------------- The Strategic Balanced Fund seeks to provide broad exposure to both equity and fixed income classes. The Fund's equity exposure is achieved by investment in the PIMCO StocksPLUS Fund and the fixed income exposure is obtained by investment in the PIMCO Total Return Fund. Allocation decisions are based on PIMCO's consensus economic forecasts of business cycle phases. Past performance is no guarantee of future results. The Portfolio's investment performance depends on how its assets are allocated and reallocated among particular underlying Funds. The portfolio's allocation among the underlying Funds will vary, the investment may be subject to any and all of the following risks at different times and to different degrees. See page 42 for Footnotes, which include additional details. 9.30.01 | PIMCO Funds Semi-Annual Report 37 AN INTERMEDIATE DURATION BOND FUND Total Return Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Intermediate maturity fixed income securities. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $48.4 billion PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund solidly outperformed the LBAG in the past year. For the six-month period ended September 30, 2001, PIMCO Total Return Class A shares returned 5.97%, outperforming the Lehman Brothers Aggregate Bond Index (LBAG), which returned 5.20% over the same time period. For the last twelve months, the Fund has also delivered superior performance versus its benchmark, returning 13.85%, compared to 12.95% for the LBAG. Aggressive Fed, deteriorating economy, flight to quality fueled bond returns. The U.S economy slowed significantly over the last six months, despite a supportive Federal Reserve, which lowered short-term rates by four percentage points since the beginning of the year. Eroding profits, mounting layoffs and lower consumer confidence all contributed to the weakening of the economy and were exacerbated by the terrorist attacks on September 11th. High quality assets, such as Treasuries and mortgages, outperformed other fixed income assets--as well as stocks--as investors sought safety amid the turmoil. Short-term focus drove returns. The Fund's overweight position in short-maturity securities significantly enhanced returns during the six-month period. These yields were driven sharply lower by investor flight-to-quality in anticipation of further Fed easing. An emphasis on mortgage-backed securities also helped returns as they offered attractive yield premiums with minimal credit risk. In addition, the Fund benefited from duration positioning, taking advantage of falling yields early in the period. A modest underweight in corporate issues detracted slightly from returns as investors grew confident that growth and profits would continue to improve. Stronger rebound could follow near-term weakness. While our secular outlook for weaker global growth remains intact, we do anticipate that sometime next year economic growth could rebound sharply due to the convergence of aggressive monetary easing and increased fiscal stimulus. In the near-term however, the risks remain weighted towards continued economic weakness. As a result, we intend to maintain our focus on high-quality issues. We expect to maintain duration at or near the benchmark as we feel that U.S. bonds, especially short-term bonds, are fully valued after the strong rally in September. Renewed confidence and risk taking among consumers and businesses will be vital for a recovery to take place. We will be closely watching these trends as indicators of a recovery, and will look to build positions in credit-sensitive sectors as a turning point becomes evident. 38 PIMCO Funds Semi-Annual Report | 9.30.01 Total Return Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/11/87) PIMCO Total Return Fund A Shares 13.85% 6.50% 8.39% 8.30% 8.94% PIMCO Total Return Fund A Shares (adjusted) 8.73% 4.88% 7.40% 7.80% 8.59% PIMCO Total Return Fund B Shares 13.01% 5.71% 7.59% 7.76% 8.55% PIMCO Total Return Fund B Shares (adjusted) 8.01% 4.82% 7.29% 7.76% 8.55% PIMCO Total Return Fund C Shares (adjusted) 12.00% 5.71% 7.60% 7.52% 8.14% Lipper Intermediate Investment Grade Debt Fund Avg. 11.71% 5.44% 7.06% 7.31% -- Lehman Bros. Aggregate Bond Index 12.95% 6.39% 8.06% 7.76% --
MATURITY PROFILE Less than 1 year 16% 1-5 years 59% 5-10 years 5% 10-20 years 9% 20-30 years 11% Duration 4.4 years SECTOR BREAKDOWN Mortgage-Backed Securities 54.4% Corporate Bonds & Notes 24.5% Short-Term Instruments 6.9% U.S. Treasury Obligations 5.4% Other 8.8% QUALITY BREAKDOWN AAA 72.1% AA 4.9% A 15.3% BBB 6.1% BB 1.6% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
Lehman Bros. PIMCO PIMCO PIMCO Agg. Bond Month Total Return A Total Return B Total Return C Index ===== ============== ============== ============== ============ 05/31/1987 9,550 10,000 10,000 10,000 06/30/1987 9,668 10,117 10,117 10,138 07/31/1987 9,641 10,082 10,082 10,130 08/31/1987 9,615 10,048 10,048 10,076 09/30/1987 9,371 9,787 9,787 9,861 10/31/1987 9,666 10,089 10,089 10,212 11/30/1987 9,733 10,152 10,152 10,294 12/31/1987 9,818 10,233 10,233 10,434 01/31/1988 10,215 10,642 10,642 10,801 02/29/1988 10,329 10,753 10,753 10,929 03/31/1988 10,233 10,646 10,646 10,827 04/30/1988 10,176 10,581 10,581 10,768 05/31/1988 10,122 10,518 10,518 10,696 06/30/1988 10,360 10,759 10,759 10,954 07/31/1988 10,343 10,735 10,735 10,897 08/31/1988 10,388 10,775 10,775 10,925 09/30/1988 10,581 10,969 10,969 11,172 10/31/1988 10,744 11,132 11,132 11,383 11/30/1988 10,644 11,021 11,021 11,244 12/31/1988 10,688 11,059 11,059 11,257 01/31/1989 10,816 11,184 11,184 11,419 02/28/1989 10,744 11,102 11,102 11,336 03/31/1989 10,790 11,143 11,143 11,385 04/30/1989 11,027 11,382 11,382 11,624 05/31/1989 11,291 11,647 11,647 11,929 06/30/1989 11,667 12,028 12,028 12,292 07/31/1989 11,910 12,271 12,271 12,554 08/31/1989 11,700 12,047 12,047 12,368 09/30/1989 11,754 12,096 12,096 12,431 10/31/1989 12,031 12,374 12,374 12,737 11/30/1989 12,132 12,470 12,470 12,858 12/31/1989 12,152 12,483 12,483 12,893 01/31/1990 11,944 12,262 12,262 12,740 02/28/1990 11,971 12,283 12,283 12,781 03/31/1990 11,957 12,261 12,261 12,790 04/30/1990 11,784 12,074 12,074 12,673 05/31/1990 12,165 12,457 12,457 13,048 06/30/1990 12,366 12,655 12,655 13,258 07/31/1990 12,563 12,847 12,847 13,441 08/31/1990 12,361 12,632 12,632 13,261 09/30/1990 12,368 12,632 12,632 13,371 10/31/1990 12,535 12,793 12,793 13,541 11/30/1990 12,846 13,103 13,103 13,832 12/31/1990 13,067 13,320 13,320 14,048 01/31/1991 13,192 13,440 13,440 14,222 02/28/1991 13,372 13,615 13,615 14,343 03/31/1991 13,536 13,774 13,774 14,442 04/30/1991 13,753 13,986 13,986 14,598 05/31/1991 13,850 14,077 14,077 14,684 06/30/1991 13,867 14,086 14,086 14,676 07/31/1991 14,061 14,275 14,275 14,880 08/31/1991 14,436 14,647 14,647 15,202 09/30/1991 14,773 14,980 14,980 15,510 10/31/1991 14,919 15,119 15,119 15,682 11/30/1991 15,043 15,235 15,235 15,826 12/31/1991 15,550 15,740 15,740 16,296 01/31/1992 15,418 15,596 15,596 16,074 02/29/1992 15,547 15,720 15,720 16,179 03/31/1992 15,482 15,644 15,644 16,088 04/30/1992 15,558 15,711 15,711 16,204 05/31/1992 15,874 16,021 16,021 16,510 06/30/1992 16,069 16,210 16,210 16,737 07/31/1992 16,456 16,591 16,591 17,078 08/31/1992 16,591 16,717 16,717 17,251 09/30/1992 16,848 16,966 16,966 17,456 10/31/1992 16,695 16,802 16,802 17,224 11/30/1992 16,703 16,800 16,800 17,228 12/31/1992 16,990 17,079 17,079 17,502 01/31/1993 17,298 17,378 17,378 17,838 02/28/1993 17,677 17,749 17,749 18,150 03/31/1993 17,772 17,836 17,836 18,226 04/30/1993 17,922 17,976 17,976 18,353 05/31/1993 17,957 18,001 18,001 18,376 06/30/1993 18,342 18,375 18,375 18,709 07/31/1993 18,448 18,471 18,471 18,815 08/31/1993 18,861 18,873 18,873 19,145 09/30/1993 18,931 18,934 18,934 19,197 10/31/1993 19,060 19,051 19,051 19,269 11/30/1993 18,886 18,868 18,868 19,105 12/31/1993 19,038 19,008 19,008 19,209 01/31/1994 19,262 19,221 19,221 19,468 02/28/1994 18,912 18,861 18,861 19,130 03/31/1994 18,505 18,444 18,444 18,658 04/30/1994 18,316 18,245 18,245 18,509 05/31/1994 18,223 18,141 18,141 18,507 06/30/1994 18,148 18,067 18,056 18,466 07/31/1994 18,513 18,430 18,408 18,832 08/31/1994 18,559 18,476 18,443 18,856 09/30/1994 18,318 18,236 18,192 18,578 10/31/1994 18,289 18,207 18,152 18,562 11/30/1994 18,283 18,201 18,136 18,521 12/31/1994 18,270 18,189 18,111 18,648 01/31/1995 18,590 18,507 18,417 19,017 02/28/1995 19,019 18,934 18,831 19,470 03/31/1995 19,193 19,107 18,991 19,589 04/30/1995 19,523 19,435 19,306 19,863 05/31/1995 20,134 20,044 19,897 20,631 06/30/1995 20,114 20,024 19,865 20,783 07/31/1995 20,118 20,028 19,857 20,736 08/31/1995 20,419 20,328 20,143 20,986 09/30/1995 20,668 20,576 20,377 21,191 10/31/1995 20,974 20,881 20,666 21,466 11/30/1995 21,421 21,325 21,094 21,788 12/31/1995 21,781 21,684 21,436 22,094 01/31/1996 21,951 21,853 21,590 22,240 02/29/1996 21,409 21,313 21,044 21,854 03/31/1996 21,235 21,140 20,861 21,702 04/30/1996 21,140 21,045 20,754 21,580 05/31/1996 21,074 20,980 20,678 21,536 06/30/1996 21,403 21,307 20,988 21,825 07/31/1996 21,450 21,354 21,021 21,885 08/31/1996 21,424 21,328 20,981 21,848 09/30/1996 21,908 21,810 21,443 22,229 10/31/1996 22,469 22,369 21,979 22,721 11/30/1996 22,993 22,890 22,478 23,111 12/31/1996 22,699 22,597 22,177 22,896 01/31/1997 22,771 22,669 22,241 22,966 02/28/1997 22,814 22,712 22,270 23,023 03/31/1997 22,532 22,431 21,980 22,768 04/30/1997 22,930 22,828 22,354 23,109 05/31/1997 23,157 23,054 22,560 23,327 06/30/1997 23,421 23,317 22,803 23,604 07/31/1997 24,068 23,960 23,417 24,240 08/31/1997 23,851 23,745 23,190 24,034 09/30/1997 24,230 24,122 23,545 24,388 10/31/1997 24,512 24,402 23,801 24,742 11/30/1997 24,614 24,504 23,889 24,856 12/31/1997 24,893 24,781 24,142 25,106 01/31/1998 25,268 25,155 24,493 25,428 02/28/1998 25,190 25,077 24,402 25,408 03/31/1998 25,266 25,153 24,460 25,497 04/30/1998 25,354 25,241 24,534 25,630 05/31/1998 25,641 25,526 24,794 25,873 06/30/1998 25,882 25,766 25,012 26,092 07/31/1998 25,957 25,841 25,070 26,148 08/31/1998 26,359 26,241 25,443 26,573 09/30/1998 27,139 27,018 26,181 27,196 10/31/1998 26,949 26,829 25,979 27,052 11/30/1998 27,041 26,920 26,052 27,205 12/31/1998 27,195 27,073 26,182 27,287 01/31/1999 27,347 27,225 26,316 27,482 02/28/1999 26,833 26,713 25,808 27,002 03/31/1999 27,053 26,932 26,004 27,152 04/30/1999 27,178 27,056 26,106 27,238 05/31/1999 26,873 26,753 25,798 26,999 06/30/1999 26,820 26,700 25,730 26,913 07/31/1999 26,710 26,590 25,607 26,799 08/31/1999 26,723 26,603 25,602 26,785 09/30/1999 27,012 26,891 25,863 27,096 10/31/1999 27,093 26,971 25,925 27,196 11/30/1999 27,147 27,025 25,961 27,194 12/31/1999 26,995 26,874 25,798 27,063 01/31/2000 26,846 26,726 25,640 26,974 02/29/2000 27,166 27,044 25,930 27,300 03/31/2000 27,557 27,434 26,285 27,660 04/30/2000 27,472 27,349 26,188 27,581 05/31/2000 27,458 27,335 26,157 27,568 06/30/2000 28,029 27,904 26,682 28,142 07/31/2000 28,276 28,149 26,901 28,397 08/31/2000 28,711 28,583 27,297 28,809 09/30/2000 28,800 28,671 27,365 28,990 10/31/2000 28,973 28,843 27,510 29,182 11/30/2000 29,529 29,397 28,022 29,659 12/31/2000 30,120 29,985 28,563 30,209 01/31/2001 30,547 30,411 28,951 30,703 02/28/2001 30,831 30,694 29,203 30,971 03/31/2001 30,942 30,804 29,290 31,126 04/30/2001 30,645 30,508 28,992 30,997 05/31/2001 30,753 30,615 29,073 31,184 06/30/2001 30,826 30,689 29,125 31,302 07/31/2001 31,884 31,741 30,104 32,001 08/31/2001 32,266 32,122 30,444 32,368 09/30/2001 32,792 32,646 30,922 32,745
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO investment professionals develop a 3- to 5-year outlook for the global economy and interest rates. Quarterly meetings are then held to forecast specific influencing factors, including interest rate volatility, yield curve movements and credit trends. Taken together, these sessions set the basic portfolio parameters. Bottom-up strategies are then meshed with the top-down strategies to create value. Past performance is no guarantee of future results. The fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. Investments in high yield, lower rated securities generally involves greater risk to principal than investment in higher rated securities. Mortgage-backed securities may be sensitive to changes in prevailing interest rates, when they rise the value generally declines. There is no assurance that the private guarantors or insurers will meet their obligations. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 39 A MORTGAGE-BACKED BOND FUND Total Return Mortgage Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily mortgage-backed securities of intermediate maturities. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $46.0 million PORTFOLIO MANAGER: Scott Simon [PHOTO] Scott Simon Fund Manager An acclaimed expert in his field, Mr. Simon is head of mortgage securities at PIMCO and is a senior member of its portfolio management and investment strategy groups. He has 18 years of investment experience. Fund returned 13.53% in the past year, ahead of its index and peers. PIMCO Total Return Mortgage Fund Class A shares outpaced its benchmark over the past six months, returning 5.83% compared to 5.27% for the Lehman Brothers Mortgage Index. In addition, the Fund solidly outperformed its Lipper category average, which returned 4.95% for the same time period. The Fund's Class A 13.53% gain for the one-year period also remained ahead of the index and average, which returned 12.34% and 11.72%, respectively. High-quality sectors rallied amid a weakening economic outlook. The economy slowed significantly over the past six months as layoffs mounted, corporate profits deteriorated, and confidence fell. The September 11 attacks magnified these trends, heightening economic uncertainty and fueling a flight to quality in the financial markets. In response, the Fed injected liquidity into the markets, slashing interest rates to their lowest levels since the early 1960s. High-quality assets rallied in this environment. Treasury and mortgage yields fell sharply as investors sought the high credit quality and safety offered by these sectors. Security selection contributed strongly to outperformance. The Fund benefited from the overall strength in the mortgage sector in the past six months. Yet we attribute its outperformance to a number of successful management strategies. Broader-than-index security selection enhanced returns, particularly exposure to CMOs, which augmented portfolio yield while providing prepayment protection, and Fannie Mae/Freddie Mac issues, which outperformed Ginnie Maes. The Fund's modest holdings of asset-backed securities also performed well as their stable cash flows sparked investor demand. Finally, agency debt issues added value as these securities were not subject to refinancing risk and enjoyed positive price performance. Outlook for mortgages remains favorable. After weighing the impact of the September 11 attacks, PIMCO is maintaining its secular outlook for weak global growth. However, we now foresee a sharper, V- shaped U.S. recovery. Near-term economic contraction should be followed by a strong snapback later next year as increased fiscal and monetary stimulus takes effect. Given this environment, mortgages should remain solid performers, as investors will likely continue to find their attractive yields and high credit quality appealing. Moving forward, we will look to protect the portfolio from potential refinancing activity and rising interest rates, largely through security selection. 40 PIMCO Funds Semi-Annual Report | 9.30.01 Total Return Mortgage Fund AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO Total Return Mortgage Fund A Shares 13.53% 7.60% -- -- 8.22% PIMCO Total Return Mortgage Fund A Shares (adjusted) 8.42% 5.97% -- -- 7.04% PIMCO Total Return Mortgage Fund B Shares 12.65% 6.79% -- -- 7.41% PIMCO Total Return Mortgage Fund B Shares (adjusted) 7.65% 5.90% -- -- 7.03% PIMCO Total Return Mortgage Fund C Shares (adjusted) 11.64% 6.79% -- -- 7.41% Lipper U.S. Mortgage Fund Avg. 11.72% 6.32% -- -- -- Lehman Brothers Mortgage Index 12.34% 7.27% -- -- --
MATURITY PROFILE Less than 1 year 33% 1-5 years 64% 5-10 years 2% 10-20 years 1% Duration 2.1 years SECTOR BREAKDOWN Mortgage-Backed Securities 80.1% Short-Term Instruments 17.5% Other 2.4% QUALITY BREAKDOWN AAA 96.1% AA 3.9% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
PIMCO PIMCO PIMCO Lehman Bros. Total Return Mort. Total Return Mort. Total Return Mort. Mortgage Month Fund A Fund B Fund C Index - ---------------------------------------------------------------------------------------------------------------- 07/31/1997 9,550 10,000 10,000 10,000 08/31/1997 9,557 10,000 10,000 9,976 09/30/1997 9,705 10,149 10,149 10,103 10/31/1997 9,847 10,290 10,290 10,215 11/30/1997 9,890 10,329 10,329 10,248 12/31/1997 10,004 10,442 10,442 10,342 01/31/1998 10,111 10,547 10,547 10,445 02/28/1998 10,127 10,559 10,559 10,467 03/31/1998 10,162 10,588 10,588 10,511 04/30/1998 10,228 10,651 10,651 10,570 05/31/1998 10,314 10,733 10,733 10,641 06/30/1998 10,379 10,794 10,794 10,691 07/31/1998 10,418 10,828 10,828 10,746 08/31/1998 10,541 10,949 10,949 10,843 09/30/1998 10,656 11,063 11,063 10,974 10/31/1998 10,612 11,010 11,010 10,960 11/30/1998 10,656 11,049 11,049 11,015 12/31/1998 10,684 11,070 11,070 11,061 01/31/1999 10,747 11,128 11,128 11,140 02/28/1999 10,688 11,061 11,061 11,096 03/31/1999 10,755 11,124 11,124 11,170 04/30/1999 10,806 11,170 11,170 11,222 05/31/1999 10,744 11,099 11,099 11,159 06/30/1999 10,730 11,078 11,078 11,120 07/31/1999 10,688 11,028 11,028 11,045 08/31/1999 10,680 11,013 11,013 11,044 09/30/1999 10,824 11,155 11,155 11,223 10/31/1999 10,874 11,200 11,200 11,288 11/30/1999 10,924 11,244 11,244 11,294 12/31/1999 10,899 11,211 11,211 11,267 01/31/2000 10,825 11,128 11,128 11,169 02/29/2000 10,986 11,287 11,287 11,298 03/31/2000 11,131 11,428 11,428 11,422 04/30/2000 11,090 11,379 11,379 11,430 05/31/2000 11,082 11,363 11,363 11,435 06/30/2000 11,286 11,565 11,565 11,680 07/31/2000 11,394 11,669 11,669 11,755 08/31/2000 11,578 11,851 11,851 11,933 09/30/2000 11,691 11,960 11,960 12,056 10/31/2000 11,769 12,033 12,032 12,143 11/30/2000 11,957 12,216 12,215 12,326 12/31/2000 12,181 12,438 12,437 12,524 01/31/2001 12,369 12,623 12,621 12,719 02/28/2001 12,484 12,729 12,729 12,792 03/31/2001 12,543 12,779 12,778 12,866 04/30/2001 12,535 12,764 12,763 12,884 05/31/2001 12,655 12,878 12,876 12,970 06/30/2001 12,695 12,910 12,909 12,997 07/31/2001 12,974 13,186 13,185 13,228 08/31/2001 13,088 13,293 13,292 13,345 09/30/2001 13,274 13,273 13,472 13,545
The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then seeks to add value primarily through interest rate strategies and by exploiting many areas of the mortgage market. PIMCO's advanced proprietary analytics are critical to issue selection and risk management. Past performance is no guarantee of future results. This Fund concentrates on investments in mortgage securities, which may entail greater risk than a fully diversified fund. The Fund may invest in U.S. dollar-denominated securities of foreign issuers, securities less than AAA ratings but not lower than BBB ratings and may invest in derivative instruments. See page 42 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 41 Footnotes A few footnotes and definitions are needed for a complete understanding of the performance figures. Past performance is no guarantee of future results. Investment return will fluctuate and the value of an investor's shares will fluctuate and may be worth more or less than original cost when redeemed. The average annual total return measures performance assuming that all dividend and capital gain distributions were reinvested. Returns shown do not reflect the deduction of taxes that a shareholder would pay (i) on fund distributions or (ii) the redemption of fund shares. Emerging Markets Bond, Global Bond II & Real Return Bond Fund Instl. shares and retail shares commenced operations on the same day but for the rest of the PIMS Funds the returns represent the blended performance of the Fund's retail shares (Class A, B or C) and the prior performance of the Fund's Institutional shares, adjusted, as necessary, to reflect retail share current sales charges and different operating expenses. The retail shares were first offered in January 1997 for the PIMS Funds except CA Int. Muni Bond A on 10/99, CA Muni A on 7/00, Convertible A on 5/99, Emerging Markets A on 7/97, Global II A on 10/95, GNMA A on 11/00, Municipal Bond A on 9/98, NY Muni Bond A on 10/99, Strategic Balanced A on 5/99 and Total Return Mortgage A on 7/00. Returns for Class A shares adjusted include the effect of the 4.5% maximum initial sales charge for the PIMS Funds except for CA Intermediate Municipal, CA Municipal, Low Duration, Municipal, NY Municipal, Real Return & StocksPLUS are all 3% and Short-Term Bond Fund is 2%, respectively. Returns for Class B shares include the effect of paying the contingent deferred sales charge (CDSC), which declines from 5% in the first year to 0% at the beginning of the seventh year. Returns are for Class C shares. Returns for Class C shares have a 1% CDSC, which may apply in the first year of ownership. The credit quality of the investment in the portfolio does not apply to the stability or safety of the fund. Duration is a measure of the Fund's price sensitivity expressed in years. The Growth of $10,000 does include the effect of the maximum initial sales charge only associated with class A shares. Money market funds are neither insured nor guaranteed by FDIC or any other government agency and there can be no assurance that any money market fund will be able to maintain a net asset value of $1.00 per share. Savings accounts & CDs are guaranteed as to repayment of principal and interest by an agency of the U.S. government. However, the investment return and principal value of bonds and bond funds will fluctuate. The Lipper Averages are calculated by Lipper, Inc. It is the total return performance average of funds that are tracked by Lipper that have the same Fund Classification. Lipper does not take into account sales charges. Lehman CA Intermediate Index is an unmanaged index comprised of California Municipal Bond issues with a maturity range of 5-10 Years. Lehman CA Insured Muni. is an unmanaged index comprised of insured California Municipal Bond Issues. First Boston Convertible Bond Index is an unmanaged market index comprised of convertible bonds. J.P. Morgan Emerging Markets Bond Index tracks total returns for Brady Bonds. Countries covered are Argentina, Brazil, Bulgaria, Ecuador, Mexico, Nigeria, Panama, Peru, Poland and Venezuela. J.P. Morgan Non-U.S. (Hedged) is an unmanaged market index representative of the total return performance in U.S. dollars of major non-U.S. bond markets. J.P. Morgan Global (Hedged) is an unmanaged market index representative of the total return performance in U.S. dollars on a hedged basis of major world bond markets. Lehman Intermediate BB U.S. High Yield is an unmanaged market index comprised of various fixed income securities rated BB. Lehman Long-Term Treasury is an unmanaged index comprised of various fixed income maturities greater than 10 years. Merrill Lynch 1-3 Yr. Treasury is an unmanaged market index made up of U.S. Treasury issues with maturities from 1-3 years. Salomon 3-month T-Bill is an unmanaged index representing monthly return equivalents of yield averages of the last 3-month Treasury Bill issues. Lehman General Municipal is an unmanaged index representative of the tax-exempt bond market. The index is made up of all investment grade municipal bonds issued after 12/31/90 having a remaining maturity of at least one-year. Lehman NY Insured Muni is an unmanaged index comprised of insured New York Municipal Bond issues. Lehman Inflation Linked Treasury is an unmanaged market index comprised of all U.S. Inflation Linked Treasuries. S&P 500 Index is an unmanaged market index generally considered to be representative of the stock market as a whole. 60% S&P/ 40% LBAG is an unmanaged index comprised of 60% of the return of the S&P 500 Index and 40% of the Lehman Brothers Aggregate Bond Index. Lehman Aggregate Bond is an unmanaged market index representative of the U.S. Taxable fixed income universe. Lehman Mortgage is an unmanaged market index representing fixed rate mortgage issued by GNMA, FNMA and FHLMC. It is not possible to invest directly in an unmanaged index. The funds also offer other share classes, which are subject to different fees and expenses (which may affect performance), have different minimum investment requirements and are entitled to different services. Information regarding such classes may be obtained by calling 1-888-87-PIMCO. For additional details on the Funds, contact your financial advisor to receive a current prospectus that contains more complete information, including charges and expenses. Please read the prospectus carefully before you invest or send money. PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT, 06902, www.pimcofunds.com, 1-888-87-PIMCO. An investment in a (the) Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. In addition, it is possible to lose money on investments in a (the) Fund. 42 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Schedule of Investments A, B and C Classes California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 101.3% California 66.7% A B C California Unified School District General Obligation Bonds, (FGIC Insured), Series 2001 0.000% due 08/01/2030 $ 1,850 $ 397 0.000% due 08/01/2031 1,285 262 0.000% due 08/01/2032 1,965 378 0.000% due 08/01/2033 1,670 304 0.000% due 08/01/2034 1,755 302 Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.500% due 09/02/2012 3,500 3,572 Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 150 160 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 490 506 Bay Area, California Toll Bridge Authority Revenue Bonds, (AMBAC Insured), Series 2001 2.600% due 04/01/2036 (d) 1,300 1,300 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 149 California Health Facilities Financing Authority Revenue Bonds, (CA MTG Insured), Series 2000 5.000% due 09/01/2010 350 376 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 2.550% due 09/01/2028 (d) 1,700 1,700 California Housing Finance Agency Revenue Bonds, (Gov of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) 700 700 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/2011 100 108 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/2003 150 153 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 347 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,204 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 486 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 2,054 California State General Obligation Bonds, Series 1997-BL 5.300% due 12/01/2012 400 419 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 107 5.250% due 03/01/2013 300 323 5.000% due 03/01/2009 750 807 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 566 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 2,048 California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1994 6.500% due 07/01/2015 1,000 1,124 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,401 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,500 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 514 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 239 6.400% due 09/01/2018 120 124 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 1,010 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 7.970% due 06/01/2020 (d) 6,000 6,570 7.870% due 06/01/2013 (d) 3,450 3,809 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 582 10.000% due 09/01/2006 380 494 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 5.875% due 01/15/2027 2,500 1,706 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Fresno, California Special Tax Bonds, Series 1998 4.750% due 09/01/2005 935 940 Irvine, California Improvement Bond Act 1915 Special Assessment Revenue Bonds, (Canadian Imperial BankInsured), Series 1994 2.500% due 09/02/2020 (d) 1,000 1,000 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 245 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 157 Los Altos, California School District General Obligation Bonds, Series 2001 5.000% due 08/01/2016 200 208 Los Angeles County, California Transportation Commission Certificates of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Bonds, Series 1984 7.550% due 11/01/2008 390 433 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 43 PIMCO Schedule of Investments A, B and C Classes (Cont.) California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------ Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 $ 150 $ 159 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 32 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 178 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (d) 600 694 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 580 592 6.400% due 09/01/2031 700 708 Orange County, California Community Facilities District Special Tax Bonds, Series 2000 5.600% due 08/15/2011 455 461 5.700% due 08/15/2012 485 490 5.800% due 08/15/2013 600 605 6.200% due 08/15/2018 1,025 1,039 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 3,250 3,835 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,159 Oxnard, California Improvement Bond Act 1915 Special Assessment Bonds, Series 1997 5.500% due 09/02/2004 1,190 1,221 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 260 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 1,015 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 556 Rancho, California Water District Financing Authority Revenue Bonds, (FGIC Insured), Series 1995 5.875% due 11/01/2010 900 985 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 518 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 276 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,087 5.100% due 12/01/2009 1,000 1,101 5.100% due 12/01/2010 1,000 1,099 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,282 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FGIC Insured), Series 1996-12-A 5.625% due 05/01/2005 400 434 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 316 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 500 581 San Jose, California Multifamily Housing Revenue Bonds, (Bay View Bank & Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,051 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 697 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 135 161 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 177 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 156 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 128 Tustin, California Import Bridge Act 1915 Special Assessment Bond, (LOC- KBC Bank Insured), Series 1996 2.500% due 09/02/2013 200 200 West Sacramento California Import Bridge Act 1915, Series 1998 4.800% due 09/02/2002 1,160 1,177 ------- 67,528 ======= Illinois 1.6% Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 (d) 1,400 1,569 ------- New Hampshire 2.7% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.250% due 07/01/2014 2,690 2,784 ------- Puerto Rico 25.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 4,715 5,034 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 4,330 5,119 Puerto Rico Commonwealth General Obligation Bonds, (MBIA Insured), Series 1995 5.200% due 07/01/2006 410 446 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 525 5.350% due 07/01/2005 5,000 5,254 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 164 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) 3,000 3,255 44 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Puerto Rico Electric Power Authority Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 $ 500 $ 570 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 267 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 159 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 1,000 1,066 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 543 University of Puerto Rico Revenue Bonds, (MBIA Insured), Series 1995 6.250% due 06/01/2006 3,000 3,413 ------- 25,815 ======= Virgin Islands 4.8% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,221 5.500% due 10/01/2007 1,500 1,614 ------- 4,835 ------- Total Municipal Bonds & Notes 102,531 (Cost $97,106) ======= SHORT-TERM INSTRUMENTS 0.4% Commercial Paper 0.3% Reich & Tang California Money Market 1.660% due 10/01/2001 (b) 348 348 ------- U.S. Treasury Bills 0.1% 3.380% due 10/18/2001 (c) 95 95 ------- Total Short-Term Instruments 443 ======= (Cost $443) Total Investments (a) 101.7% $ 102,974 (Cost $97,549) Other Assets and Liabilities (Net) (1.7%) (1,735) ------- Net Assets 100.0% $ 101,239 ======= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 5,425 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax 0 cost over value ------- Unrealized appreciation-net $ 5,425 ======= (b) Securities with an aggregate market value of $347 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - -------------------------------------------------------------------- Municipal Bond (12/2001) 44 $ (22) U.S. Treasury 30 Year Bond (12/2001) 75 (143) ------- $ (165) ======= (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2001. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 45 PIMCO Schedule of Investments A, B and C Classes California Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 97.6% California 78.6% California Housing Finance Agency Revenue Bonds, (Gov of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) $ 800 $ 800 California Housing Finance Agency Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 2001 2.400% due 02/01/2033 (d) 800 800 California Pollution Control Financing Authority Revenue Bonds, Series 1991 2.450% due 10/01/2011 (d) 300 300 California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 168 California State General Obligation Bonds, (FGIC Insured) 2.650% due 09/01/2030 (d) 200 200 California State General Obligation Bonds, Series 2001 5.125% due 03/01/2031 625 630 California Statewide Communities Development Authority Certificates of Participation Bonds, (AMBAC Insured), Series 1995 2.500% due 07/01/2015 (d) 300 300 California Statewide Communities Development Authority Certificates of Participation, (Bank of Scotland Insured), Series 1998 2.500% due 11/15/2028 (d) 300 300 California Statewide Communities Development Authority Revenue Bonds, Series 2001 5.125% due 10/01/2030 400 396 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 400 400 Chula Vista, California Special Tax Bonds, Series 2000-1 6.400% due 09/01/2018 125 129 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 150 152 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.620% due 06/01/2013 (d) 400 442 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 341 Irvine Ranch California Water District General Obligation Bonds, (Helaba Insured), Series 1985 2.400% due 10/01/2009 (d) 300 300 Irvine Ranch, California Water District Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 1985 2.500% due 10/01/2010 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (Bank of America N.A. Insured), Series 2000 2.450% due 09/02/2025 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (KBC Bank N.V. Insured), Series 1999 2.500% due 09/02/2024 (d) 91 91 Livermore-Amador Water Management Agency California Revenue Bonds, (AMBAC Insured), Series 2001 5.000% due 08/01/2031 200 200 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue Bonds, Series 1999 4.750% due 07/01/2026 500 487 Los Angeles County, California Transportation Commission Certificate of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 389 Metropolitan Water District Southern California Revenue Bonds, Series 1993 7.267% due 10/30/2020 (d) 200 231 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 55 56 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 885 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 400 464 Orange County, California Sanitation Districts Certificates of Participation Bonds, (AMBAC Gov of Dist Insured), Series 1993 2.500% due 08/01/2016 (d) 200 200 Orange County, California Sanitation Districts Certificates of Participation Bonds, (Dexia Public Finance Bank Insured), Series 2000 2.500% due 08/01/2004 (d) 300 300 Orange County, California Santa Ana District Certificate Participation Bonds, (SPA-DEXIA Public Finance Insured), Series 2000 2.500% due 08/01/2030 (d) 300 300 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 400 405 San Francisco, California City & County Airport Common International Airport Revenue Bonds, Series 1998 4.500% due 05/01/2026 500 467 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 349 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 113 Tustin, California Import Bridge Act 1915 Special Assessment Bonds, (KBC Bank Insured), Series 1996 2.500% due 09/02/2013 (d) 300 300 Western Riverside County, California Regional Wastewater Authority Revenue Bonds, (Dexia Credit Local France Insured), Series 1996 2.500% due 04/01/2028 (d) 100 100 --------- 11,920 ========= New Jersey 3.8% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 555 580 --------- Puerto Rico 12.3% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 470 502 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 230 272 46 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) $ 1,000 $ 1,085 ---------- 1,859 ========== Virgin Islands 2.9% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 435 ---------- Total Municipal Bonds & Notes 14,794 ========== (Cost $14,252) U.S. TREASURY OBLIGATIONS 0.7% Treasury Inflation Protected Securities 3.625% due 07/15/2002 (b)(c) 111 113 ---------- Total U.S. Treasury Obligations 113 ========== (Cost $113) SHORT-TERM INSTRUMENTS 0.8% Money Market Fund 0.8% Reich & Tang California Money Market 1.660% due 10/01/2001 118 118 ---------- Total Short-Term Instruments 118 ========== (Cost $118) Total Investments (a) 99.1% $ 15,025 (Cost $14,483) Other Assets and Liabilities (Net) 0.9% 146 ---------- Net Assets 100.0% $ 15,171 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 542 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. 0 ---------- Unrealized appreciation-net $ 542 ========== (b) Securities with an aggregate market value of $113 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Municipal Bond CBT (12/2001) 5 $ (3) U.S Treasury 30 Year Bond (12/2001) 20 23 ------------- $ 20 ============= (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. See accompanying notes | 9.30.01 | PIMCO Funds Semi-annual Report 47 PIMCO Schedule of Investments A, B, and C Classes Schedule of Investments Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------- CONVERTIBLE BONDS & NOTES (c) 67.9% Banking & Finance 14.8% CIBA Specialty Chemical Investments Ltd. 1.250% due 07/24/2003 $ 500 $ 474 Hellenic Finance 2.000% due 07/15/2003 EC 500 456 JMH Finance Ltd. 4.750% due 09/06/2007 $ 800 767 Merrill Lynch & Co. 0.000% due 05/23/2031 1,900 903 PMI Group, Inc. 2.500% due 07/15/2021 150 151 Swiss Life Finance Ltd. 2.000% due 05/20/2003 EC 1,300 1,248 2.000% due 05/20/2005 $ 800 824 Verizon Global Funding 4.250% due 09/15/2005 900 908 0.000% due 05/15/2021 1,200 672 --------- 6,403 ========= Energy 2.7% Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020 1,000 488 1.500% due 04/15/2031 800 679 --------- 1,167 Health Care 9.0% ========= Allergan, Inc. 0.000% due 11/01/2020 450 275 ALZA Corp. 0.000% due 07/28/2020 900 709 Baxter International, Inc. 1.250% due 06/01/2021 900 942 Roche Holdings, Inc. 0.000% due 01/19/2015 1,150 812 Total Renal Care Holdings 7.000% due 05/15/2009 500 475 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 800 662 --------- 3,875 ========= Industrial 21.5% Burr-Brown Corp. 4.250% due 02/15/2007 500 518 Cendant Corp. 0.000% due 05/04/2021 800 772 Clear Channel Communications, Inc. 2.625% due 04/01/2003 1,000 1,005 Comverse Technology, Inc. 1.500% due 12/01/2005 500 363 Exchangeable Certificates Corp. 1.500% due 04/11/2006 500 549 Lowe's Cos., Inc. 0.000% due 02/16/2021 1,500 1,014 Omnicom Group 2.250% due 01/06/2013 500 679 Sanmina Corp. 4.250% due 05/01/2004 500 466 Siemens Nederland NV 1.000% due 08/10/2005 EC 1,100 903 Solectron Corp. 0.000% due 05/08/2020 $ 1,500 761 Universal Health Services 0.426% due 06/23/2020 2,000 1,260 Waste Management, Inc. 4.000% due 02/01/2002 1,000 1,004 --------- 9,294 ========= Technology 8.6% Affiliated Computer Services, Inc. 3.500% due 02/15/2006 600 701 Analog Devices, Inc. 4.750% due 10/01/2005 300 277 First Data Corp. 2.000% due 03/01/2008 700 716 Lam Research Corp. 4.000% due 06/01/2006 300 232 Lattice Semiconductor Co. 4.750% due 11/01/2006 600 609 Nvidia Corp. 4.750% due 10/15/2007 500 456 STMicroelectronics NV 0.000% due 09/22/2009 400 335 Veritas Software Corp. 1.856% due 08/13/2006 500 403 --------- 3,729 ========= Utilities 11.3% AES Corp. 4.500% due 08/15/2005 250 198 AT&T - Liberty Media Group 4.000% due 11/15/2029 1,000 775 Charter Communications, Inc. 4.750% due 06/01/2006 850 645 Cienna Corp. 3.750% due 02/01/2008 1,000 603 Comcast Corp. 0.000% due 12/19/2020 1,000 785 Fullerton Global Corp. 0.000% due 04/02/2003 1,000 1,172 Nabors Industries, Inc. 0.000% due 06/20/2020 400 249 NTL Communications Corp. 6.750% due 05/15/2008 1,100 459 --------- 4,886 --------- Total Convertible Bonds & Notes 29,354 ========= (Cost $32,658) CONVERTIBLE PREFERRED STOCK 22.4% Shares Banking & Finance 4.3% Equity Residentials Properties Trust 7.250% due 12/31/2049 15,200 387 Metlife Capital Trust I Cvt. Pfd. 8.000% due 05/15/2003 13,200 1,230 Washington Mutual, Inc. Cvt. Pfd. 5.375% due 05/01/2041 4,300 241 --------- 1,858 ========= Energy 9.7% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 27,000 991 Calpine Capital Trust II Cvt. Pfd. 5.500% due 02/01/2005 10,000 450 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 28,900 979 PPL Capital Funding Trust Cvt. Pfd. 7.750% due 05/18/2004 50,000 908 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 28,500 845 --------- 4,173 ========= Industrial 7.3% Cox Communications Inc. Cvt. Pfd. 7.000% due 08/16/2002 11,000 600 Electronic Data Systems Corp. Cvt. Pfd 7.625% due 08/17/2004 8,400 427 Express Scripts Exchange Trust Cvt. Pfd. 7.000% due 11/15/2003 8,000 808 Kmart Financing Cvt. Pfd. 7.750% due 06/15/2016 20,000 744 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 6,600 595 --------- 3,174 ========= Utilities 1.1% Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 18,000 478 --------- Total Convertible Preferred Stock 9,683 ========= (Cost $11,085) COMMON STOCKS 1.1% Health Care 1.1% Elan Corp. PLC SP - ADR (b) 10,114 490 --------- Total Common Stocks 490 ========= (Cost $374) 48 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 6.7% Commercial Paper 6.3% Abbey National North America 3.470% due 10/31/2001 $ 1,000 $ 997 Fannie Mae 3.150% due 10/01/2001 1,700 1,700 --------- 2,697 ========= Repurchase Agreement 0.4% State Street Bank 2.600% due 10/01/2001 183 183 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $191. Repurchase proceeds are $183.) --------- Total Short-Term Instruments 2,880 ========= (Cost $2,880) Total Investments (a) 98.1% $ 42,407 (Cost $46,997) Other Assets and Liabilities (Net) 1.9% 818 --------- Net Assets 100.0% $ 43,225 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,409 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (5,999) --------- Unrealized depreciation-net $ (4,590) ========= (b) Non-income producing security. (c) Principal amount denoted in indicated currency: EC - Euro See accompanying notes | 9.30.01 | PIMCO Funds Semi-annual Report 49 PIMCO Schedule of Investments A, B, and C Classes Emerging Markets Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- ARGENTINA 4.0% Republic of Argentina 5.562% due 03/31/2005 (d) $ 3,520 $ 2,481 7.000% due 12/19/2008 (d) 250 150 --------- Total Argentina 2,631 ========= (Cost $2,600) BERMUDA 0.1% IMEXA Export Trust 10.125% due 05/31/2003 $ 63 62 --------- Total Bermuda 62 ========= (Cost $62) BRAZIL 26.2% Republic of Brazil 9.625% due 07/15/2005 $ 1,000 863 5.437% due 04/15/2006 (d) 3,472 2,890 5.500% due 04/15/2009 (d) 2,059 1,527 14.500% due 10/15/2009 500 472 8.000% due 04/15/2014 4,428 2,998 6.000% due 04/15/2024 750 474 8.875% due 04/15/2024 (c) 3,350 1,884 7.625% due 04/15/2024 (d) 1,100 709 8.875% due 04/15/2025 500 289 12.250% due 03/06/2030 (c) 5,100 3,710 11.000% due 08/17/2040 (c) 2,400 1,560 --------- Total Brazil 17,376 ========= (Cost $19,311) BULGARIA 3.1% Republic of Bulgaria 6.312% due 07/28/2011 (d) $ 198 154 3.000% due 07/28/2012 1,250 984 6.312% due 07/28/2024 (d) 1,150 883 --------- Total Bulgaria 2,021 ========= (Cost $2,057) CROATIA 0.6% Republic of Croatia 7.000% due 02/27/2002 $ 410 414 --------- Total Croatia 414 ========= (Cost $413) ECUADOR 3.3% Republic of Ecuador 12.000% due 11/15/2012 $ 500 325 4.000% due 08/15/2030 4,700 1,875 --------- Total Ecuador 2,200 ========= (Cost $2,266) EGYPT 3.1% Republic of Egypt 8.750% due 07/11/2011 $ 2,250 2,030 --------- Total Egypt 2,030 ========= (Cost $2,006) MEXICO 16.0% Telefonos De Mexico, S.A. 8.250% due 01/26/2006 $ 1,000 1,010 United Mexican States 10.375% due 02/17/2009 835 925 9.875% due 02/01/2010 100 107 8.375% due 01/14/2011 1,700 1,688 11.375% due 09/15/2016 450 520 8.125% due 12/30/2019 (c) 1,500 1,352 6.250% due 12/31/2019 (c) $ 1,100 $ 1,023 7.532% due 12/31/2019 1,150 1,153 6.250% due 12/31/2019 2,475 2,252 11.500% due 05/15/2026 425 504 United Mexican States - Recovery Rights 0.000% due 06/30/2003 9,459 75 --------- Total Mexico 10,609 ========= (Cost $10,501) MOROCCO 1.1% Kingdom of Morocco 5.093% due 01/05/2009 (d) $ 250 216 Morroco Restructured 7.562% due 01/01/2009 617 534 --------- Total Morocco 750 ========= (Cost $781) NIGERIA 2.2% Central Bank of Nigeria 6.250% due 11/15/2020 $ 2,250 1,438 Central Bank of Nigeria - Warrant 0.000% due 11/15/2022 1 0 --------- Total Nigeria 1,438 ========= (Cost $1,394) PANAMA 4.9% Republic of Panama 7.733% due 05/10/2002 (d) $ 200 201 9.625% due 02/08/2011 250 250 4.500% due 07/17/2014 2,258 1,999 6.015% due 07/17/2016 (d) 181 139 8.875% due 09/30/2027 500 441 9.375% due 04/01/2029 175 179 --------- Total Panama 3,209 ========= (Cost $3,106) PERU 2.3% Republic of Peru 4.500% due 03/07/2017 (b) $ 250 175 4.000% due 03/07/2017 2,100 1,347 --------- Total Peru 1,522 ========= (Cost $1,485) PHILIPPINES 0.6% Republic of Philippines 6.500% due 12/01/2017 $ 500 425 --------- Total Philippines 425 ========= (Cost $392) POLAND 2.4% Republic of Poland 6.000% due 10/27/2014 (b) $ 1,315 1,300 3.750% due 10/27/2024 (b) 400 288 --------- Total Poland 1,588 ========= (Cost $1,510) QATAR 2.3% State of Qatar 9.750% due 06/15/2030 $ 1,425 1,539 --------- Total Qatar 1,539 ========= (Cost $1,524) 50 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- RUSSIA 15.4% Russian Federation 11.750% due 06/10/2003 (c) $ 1,380 $ 1,440 8.250% due 03/31/2010 1,053 799 11.000% due 07/24/2018 1,450 1,288 12.750% due 06/24/2028 (c) 1,600 1,571 2.250% due 03/31/2030 (b) 1,397 639 5.000% due 03/31/2030 (c)(d) 9,704 4,428 --------- Total Russia 10,165 ========= (Cost $9,391) SOUTH AFRICA 0.8% Republic of South Africa 9.125% due 05/19/2009 $ 500 546 --------- Total South Africa 546 ========= (Cost $546) SOUTH KOREA 3.1% Korea Development Bank 7.625% due 10/01/2002 $ 750 779 Republic of Korea 8.875% due 04/15/2008 1,100 1,273 --------- Total South Korea 2,052 ========= (Cost $1,921) UKRAINE 0.6% Republic of Ukraine 11.000% due 03/15/2007 $ 485 404 --------- Total Ukraine 404 ========= (Cost $393) VENEZUELA 4.3% Republic of Venezuela 7.375% due 12/18/2007 (d) $ 2,167 1,717 6.750% due 03/31/2020 700 532 9.250% due 09/15/2027 1,360 624 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 --------- Total Venezuela 2,873 ========= (Cost $2,975) SHORT-TERM INSTRUMENTS 17.3% Commercial Paper 17.3% Abbey National North America 3.470% due 10/26/2001 $ 4,000 3,990 Anz, Inc. 3.240% due 11/21/2001 4,000 3,982 Fannie Mae 3.150% due 10/01/2001 2,000 2,000 4.060% due 10/25/2001 100 100 General Electric Capital Corp. 3.700% due 10/31/2001 400 399 Swedbank, Inc. 3.570% due 11/20/2001 1,000 995 --------- Total Short-Term Instruments 11,466 ========= (Cost $11,466) Total Investments (a) 113.7% $ 75,320 (Cost $76,100) Other Assets and Liabilities (Net) (13.7%) (9,080) --------- Net Assets 100.0% $ 66,240 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,553 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,333) --------- Unrealized depreciation-net $ (780) ========= (b) Step-up bond. (c) Subject to financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount Appreciation - ------------------------------------------------------------------------------- Pay a fixed rate equal to 5.000% and the Fund will receive from the counterparty at par in the event of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2002 $ 2,000 $ 0 Receive a fixed rate equal to 9.050% and the Fund will pay to the counterparty at par in the vent of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2003 2,000 0 --------- $ 0 ========= (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ------------------------------------------------------------------------------- Buy EC 1,900 10/2001 $ 39 Buy HF 359,150 11/2001 92 --------- $ 131 ========= (g) Principal amount denoted in indicated currency: EC - Euro HF - Hungarian Forint See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 51 PIMCO Schedule of Investments A, B, and C Classes Foreign Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- AUSTRALIA (e)(f) 2.7% General Electric Capital Australia Funding 6.750% due 09/15/2007 A$ 750 $ 392 General Motors Acceptance Corp. 4.633% due 03/25/2002 (d) EC 10,300 9,368 Homeside Mortgage Securities Trust 3.950% due 01/20/2027 (d) $ 2,420 2,417 Medallion Trust 4.020% due 07/12/2031 (d) 4,232 4,238 Rams Mortgage Corporation Ltd. 4.680% due 09/26/2032 (d) EC 1,518 1,381 Torrens Trust 3.750% due 07/15/2031 (d) $ 2,292 2,292 ------------ Total Australia 20,088 ============ (Cost $20,809) AUSTRIA (e)(f) 0.1% Republic of Austria 5.500% due 01/15/2010 (i) EC 1,200 1,132 ------------ Total Austria 1,132 ============ (Cost $1,041) BELGIUM (e)(f) 2.1% Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004 (d) BF 183,200 4,478 7.500% due 07/29/2008 (i) EC 10,500 11,082 ------------ Total Belgium 15,565 ============ (Cost $17,257) BRAZIL 0.7% Republic of Brazil 5.437% due 04/15/2006 (d) $ 6,400 5,328 ------------ Total Brazil 5,328 ============ (Cost $5,588) CANADA (e)(f) 8.4% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,211 Commonwealth of Canada 5.250% due 09/01/2003 640 418 6.000% due 09/01/2005 (i) 52,500 35,114 7.250% due 06/01/2007 (i) 34,500 24,490 5.500% due 06/01/2010 1,800 1,158 ------------ Total Canada 63,391 ============ (Cost $63,533) CAYMAN ISLANDS (e)(f) 1.7% International Credit Recovery-Japan 0.370% due 08/25/2005 (d) JY 71,996 604 0.475% due 08/25/2005 (d) 50,000 418 0.351% due 05/22/2006 (d) 378,827 3,178 MBNA Master Credit Card Trust 4.486% due 05/19/2004 (d) EC 8,100 7,372 SHL Corp. Ltd. 0.470% due 12/25/2024 (d) JY 47,201 396 0.770% due 12/25/2024 (d) 76,000 638 ------------ Total Cayman Islands 12,606 ============ (Cost $13,850) DENMARK (e)(f) 0.9% Nykredit 6.000% due 10/01/2029 DK 29,562 3,551 Unikredit Realkredit 6.000% due 07/01/2029 26,729 3,210 ------------ Total Denmark 6,761 ============ (Cost $6,223) EGYPT 0.3% Republic of Egypt 8.750% due 07/11/2011 $ 2,300 $ 2,053 ------------ Total Egypt 2,053 ============ (Cost $2,300) FRANCE (e)(f) 9.3% Republic of France 5.500% due 04/25/2007 (i) EC 7,890 7,590 4.000% due 04/25/2009 (i) 8,250 7,170 3.000% due 07/25/2009 3,166 2,803 4.000% due 10/25/2009 (i) 46,070 39,788 5.500% due 04/25/2010 13,960 13,295 ------------ Total France 70,646 ============ (Cost $70,330) GERMANY (e)(f) 15.3% Commerzbank AG 5.204% due 10/25/2032 (d) EC 6,200 5,648 Depfa Pfandbriefbank 4.750% due 07/15/2008 3,590 3,257 5.750% due 03/04/2009 3,560 3,408 DT Hypothekenbank 3.500% due 07/03/2006 7,000 6,131 Hypothekenbank in Essen AG 5.500% due 02/20/2007 1,690 1,605 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 3,240 3,085 Landesbank Rheinland-Pfalz 4.750% due 04/04/2008 5,330 4,851 Republic of Germany 5.250% due 01/04/2008 4,830 4,600 4.125% due 07/04/2008 (i) 21,500 19,185 4.500% due 07/04/2009 (i) 17,500 15,759 4.000% due 07/04/2009 1,600 1,395 5.375% due 01/04/2010 2,790 2,652 6.250% due 01/04/2024 (i) 1,880 1,858 6.500% due 07/04/2027 (i) 20,800 21,234 6.250% due 01/04/2030 1,700 1,695 5.500% due 01/04/2031 (i) 14,100 12,742 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 5,280 4,637 WestDeutsche Landersbank 4.750% due 09/28/2007 1,630 1,494 ------------ Total Germany 115,236 ============ (Cost $112,522) GREECE (e)(f) 0.2% Hellenic Republic 7.850% due 05/19/2003 (d) EC 293 270 5.580% due 06/17/2003 (d) 315 293 7.080% due 10/23/2003 (d) 1,103 1,038 ------------ Total Greece 1,601 ============ (Cost $2,233) IRELAND (e)(f) 0.5% Emerald Mortgages PLC 4.557% due 04/30/2028 (d) EC 4,314 3,927 ------------ Total Ireland 3,927 ============ (Cost $3,793) ITALY (e)(f) 14.0% First Italian Auto Transaction 4.690% due 07/01/2008 (d) EC 10,030 9,087 International Credit Recovery 4.514% due 03/30/2010 (d) 1,800 1,639 Island Finance 5.109% due 01/15/2015 (d) 2,532 2,311 52 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Republic of Italy 5.750% due 09/15/2002 (i) EC 26,400 $ 24,536 7.750% due 11/01/2006 (i) 5,700 5,954 4.500% due 05/01/2009 (i) 64,110 57,217 4.250% due 11/01/2009 (i) 5,560 4,837 ------------ Total Italy 105,581 ============ (Cost $104,353) MEXICO (e)(f) 0.9% Bancomext Trust 8.000% due 08/05/2003 $ 390 400 Petroleos Mexicanos 8.850% due 09/15/2007 1,040 1,069 9.375% due 12/02/2008 1,290 1,348 United Mexican States 8.750% due 05/30/2002 BP 960 1,420 10.375% due 01/29/2003 DM 2,575 1,253 4.000% due 03/11/2004 JY 130,000 1,128 ------------ Total Mexico 6,618 ============ (Cost $6,816) NEW ZEALAND (e)(f) 0.8% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 13,430 5,892 ------------ Total New Zealand 5,892 ============ (Cost $7,507) PANAMA 0.2% Republic of Panama 9.625% due 02/08/2011 $ 1,600 1,598 ------------ Total Panama 1,598 ============ (Cost $1,630) PERU 0.2% Republic of Peru 4.500% due 03/07/2017 (d) $ 2,100 1,478 ------------ Total Peru 1,478 ============ (Cost $1,472) SOUTH KOREA (e)(f) 1.0% Export-Import Bank Korea 6.500% due 02/10/2002 $ 800 807 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,784 Korea Development Bank 1.875% due 02/13/2002 JY 466,000 3,917 ------------ Total South Korea 7,508 ============ (Cost $7,391) SPAIN (e)(f) 4.4% Hipotebansa V. Hipotecaria 4.755% due 01/18/2018 (d) SP 587,964 3,222 4.670% due 07/18/2022 (d) 723,126 3,942 Kingdom of Spain 5.150% due 07/30/2009 (i) EC 28,430 26,385 ------------ Total Spain 33,549 ============ (Cost $35,191) SUPRANATIONAL (e)(f) 2.1% Eurofima 4.750% due 07/07/2004 (i) SK 60,900 5,680 European Investment Bank 6.000% due 05/07/2003 BP 3,250 4,863 8.000% due 06/10/2003 3,250 5,026 ------------ Total Supranational 15,569 ============ (Cost $16,433) SWEDEN (e)(f) 0.3% Kingdom of Sweden 5.000% due 01/28/2009 SK 27,000 $ 2,502 ------------ Total Sweden 2,502 ============ (Cost $2,673) UNITED KINGDOM (e)(f) 10.1% Abbey National Treasury Service PLC 5.250% due 01/21/2004 BP 2,670 3,936 Bauhaus Securities Ltd. 5.099% due 10/30/2052 (d) EC 6,000 5,455 British Telecom PLC 4.445% due 12/15/2003 (d) $ 20,380 20,788 Core 3.345% due 03/17/2009 (d) 2,679 2,668 Haus Ltd. 4.836% due 12/14/2037 (d) EC 8,500 7,749 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 5,540 5,541 4.727% due 07/15/2040 (d) EC 1,100 1,002 Lloyds TSB Capital 7.375% due 02/07/2049 500 485 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 1,021 932 Royal Bank of Scotland Group PLC 6.070% due 09/30/2031 $ 4,500 4,549 United Kingdom Gilt 7.500% due 12/07/2006 BP 4,800 7,889 7.250% due 12/07/2007 4,800 7,925 5.750% due 12/07/2009 (i) 4,690 7,264 ------------ Total United Kingdom 76,183 ============ (Cost $75,821) UNITED STATES (e)(f) 77.0% Asset-Backed Securities 18.6% Advanta Mortgage Loan Trust 3.945% due 07/25/2026 (d) $ 176 176 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 561 561 2.961% due 07/25/2030 (d) 5,919 5,930 2.941% due 01/25/2031 (d) 11,247 11,225 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 100 101 Amresco Residential Securities Mortgage Loan Trust 4.050% due 06/25/2029 (d) 7,988 8,010 Bank One Auto Grantor Trust 6.290% due 07/20/2004 192 194 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 252 253 4.182% due 11/25/2030 (d) 9,400 9,435 Chase Funding Loan Acquisition Trust 3.970% due 04/25/2031 (d) 14,238 14,151 Conseco Finance 3.857% due 10/15/2031 (d) 831 835 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 12,279 7,666 3.930% due 08/25/2031 (d) 491 491 Delta Funding Home Equity Loan Trust 7.380% due 12/15/2017 71 72 EQCC Home Equity Loan Trust 3.307% due 03/20/2030 277 277 First Alliance Mortgage Loan Trust 3.287% due 12/20/2027 (d) 167 167 GMAC Mortgage Corp. Loan Trust 3.696% due 11/18/2015 (d) 3,320 3,325 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 2,500 2,503 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 53 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Home Loan Trust 5.074% due 01/25/2014 $ 4,743 $ 4,791 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 4,068 4,118 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 7,730 7,730 Long Beach Mortgage Loan Trust Co. 3.860% due 01/21/2031 (d) 6,680 6,689 2.863% due 09/25/2031 (d) 800 800 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 2,979 2,990 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 639 642 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 1,326 1,320 Providian Gateway Master Trust 3.707% due 03/15/2007 (d) 13,300 13,347 Providian Home Equity Loan Trust 3.870% due 06/25/2025 (d) 2,513 2,517 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 33 33 Residential Asset Securities Corp. 3.806% due 09/25/2031 (d) 5,500 5,500 2.901% due 01/25/2032 (d) 9,116 9,128 Salomon Brothers Mortgage Securities VII 3.907% due 11/15/2029 (d) 1,712 0 3.001% due 02/25/2030 (d) 13,277 5,921 2.921% due 02/25/2031 (d) 3,853 3,851 United Panama Mortgage Loan 3.111% due 10/25/2029 (d) 5,601 5,606 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 283 285 ------------ 140,640 ============ Convertible Bonds & Notes 0.3% Axa 2.500% due 01/01/2014 EC 835 684 Finmeccanica SpA 2.000% due 06/08/2005 544 489 Hellenic Finance 2.000% due 07/15/2003 1,600 1,459 ------------ 2,632 ============ Corporate Bonds & Notes 14.3% Abbey National Capital Trust I 8.963% due 12/29/2049 $ 2,000 2,261 Allegheny Energy Supply 5.113% due 05/01/2002 (d) 2,900 2,904 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 2,670 2,669 Beckman Coulter, Inc. 7.100% due 03/04/2003 344 352 Capital One Bank 4.415% due 07/28/2003 (d) 12,000 11,867 CIT Group, Inc. 4.270% due 04/07/2003 (d) 138 138 DaimlerChrysler North America Holding Corp. 3.797% due 08/23/2002 (d) 3,900 3,902 DQE Capital Corp. 4.270% due 01/15/2002 (d) 800 801 Finova Group, Inc. 7.500% due 11/15/2009 1,710 671 Ford Motor Credit Co. 3.255% due 06/20/2003 (d) 5,200 5,138 1.000% due 12/22/2003 JY 107,000 904 4.110% due 07/19/2004 (d) $ 2,800 2,751 1.200% due 02/07/2005 JY 619,000 5,238 General Electric Finance Assurance 1.600% due 06/20/2011 520,000 4,285 General Motors Acceptance Corp. 3.661% due 08/18/2003 (d) $ 4,790 4,719 General Motors Corp. 1.250% due 12/20/2004 JY 208,000 1,770 Goldman Sachs Group, Inc. 3.790% due 12/07/2001 (d) $ 8,000 8,016 International Game Technology 7.875% due 05/15/2004 1,600 1,608 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) $ 4,670 $ 4,555 Jones Intercable, Inc. 8.875% due 04/01/2007 427 466 MGM Mirage, Inc. 6.950% due 02/01/2005 180 182 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 7,300 7,309 NeHi, Inc. 7.600% due 06/09/2003 (d) 2,000 2,010 Pfizer, Inc. 0.800% due 03/18/2008 JY 637,000 5,344 Protective Life Funding Trust 4.110% due 01/17/2003 (d) $ 1,200 1,204 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 13,564 13,634 3.815% due 02/11/2003 (d) 400 401 Sprint Capital Corp. 5.875% due 05/01/2004 690 706 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 1,500 1,502 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 7,600 7,610 WorldCom, Inc. 7.375% due 01/15/2003 3,100 3,208 ------------ 108,125 ============ Mortgage-Backed Securities 19.3% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 283 281 Bear Stearns Adjustable Rate Mortgage Trust 5.920% due 02/25/2031 (d) 6,800 6,883 7.007% due 02/25/2031 (d) 3,757 3,776 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,406 1,429 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,227 1,235 6.500% due 03/25/2029 140 142 Crusade Global Trust 3.900% due 05/15/2021 (d) 10,680 10,712 Fannie Mae 6.527% due 07/01/2021 (d) 457 471 8.374% due 11/01/2022 (d) 411 423 8.209% due 01/01/2023 (d) 839 865 7.040% due 08/01/2023 (d) 816 840 6.768% due 12/01/2030 (d) 3,487 3,632 Freddie Mac 6.000% due 03/15/2008 244 244 5.750% due 09/15/2010 EC 1,600 1,521 5.000% due 01/15/2012 1,700 1,538 9.050% due 06/15/2019 $ 44 47 6.595% due 06/01/2022 (d) 964 968 8.146% due 08/01/2022 (d) 336 347 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 514 Government National Mortgage Association 7.625% due 11/20/2021 (d) 379 392 7.375% due 05/20/2022 (d) 38 38 7.750% due 07/20/2022 (d) 387 399 7.750% due 09/20/2022 (d) 243 251 6.375% due 05/20/2023 (d) 416 427 7.750% due 07/20/2023 (d) 396 408 7.750% due 07/20/2023 (d) 197 203 7.750% due 08/20/2023 (d) 178 184 7.750% due 09/20/2023 (d) 1,060 1,093 7.750% due 09/20/2023 (d) 469 484 7.625% due 10/20/2023 (d) 1,938 2,004 7.625% due 10/20/2024 (d) 162 167 6.375% due 04/20/2025 (d) 126 129 7.750% due 07/20/2025 (d) 2,360 2,433 7.750% due 09/20/2025 (d) 488 503 7.625% due 12/20/2025 (d) 199 206 6.375% due 05/20/2026 (d) 1,148 1,174 54 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- 7.750% due 09/20/2026 (d) $ 382 $ 394 6.375% due 04/20/2027 (d) 981 1,003 7.750% due 08/20/2027 (d) 1,270 1,309 6.375% due 04/20/2028 (d) 801 817 6.000% due 10/15/2028-05/20/2030 (d)(g) 19,920 11,335 5.250% due 04/20/2030-05/20/2030 (d)(g) 14,207 10,701 6.500% due 10/22/2031 (d) 43,060 44,055 8.500% due 10/22/2031 (d) 2,000 2,123 Prudential Home Mortgage Securities 6.800% due 05/25/2024 493 517 Residential Funding Mortgage Securities, Inc. 6.500% due 05/25/2029 1,361 1,308 4.430% due 05/12/2032 (d) 9,450 9,465 Small Business Investment Cos. 6.640% due 02/10/2011 4,400 4,590 6.334% due 08/10/2011 6,000 6,150 Structured Asset Mortgage Investments, Inc. 6.576% due 06/25/2029 (d) 2,738 2,814 Washington Mutual, Inc. 6.818% due 12/25/2040 (d) 2,966 2,976 ------------ 145,920 ============ Municipal Bonds & Notes 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 20 7.180% due 01/01/2037 (d) 500 463 ------------ U.S. Government Agencies 4.7% Fannie Mae 5.375% due 03/08/2004 10,100 10,228 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 14,000 14,067 5.665% due 03/22/2006 3,200 3,383 5.660% due 04/26/2006 1,200 1,269 5.375% due 05/15/2006 6,200 6,481 ------------ 35,428 ============ U.S. Treasury Obligations 18.8% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 5,209 5,300 3.875% due 01/15/2009 2,381 2,505 3.625% due 04/15/2028 4,829 4,960 3.875% due 04/15/2029 216 233 U.S. Treasury Bonds 6.250% due 08/15/2023 8,700 9,547 6.250% due 05/15/2030 4,500 4,992 U.S. Treasury Notes 5.625% due 05/15/2008 50,700 54,688 6.000% due 08/15/2009 54,300 59,817 ------------ 142,042 ============ Shares Preferred Security 0.9% DG Funding Trust 5.960% due 12/29/2049 (d) 640 6,592 ------------ Total United States 581,842 ============ (Cost $578,482) PURCHASED CALL OPTIONS 0.4% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2002 $ 595,000 662 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 127,900 2,128 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 113.750 Exp. 11/01/2001 51,000 0 ------------ Total Purchased Call Options 2,790 ============ (Cost $1,357) PURCHASED PUT OPTIONS 0.8% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/17/2001 $ 80,000 $ 10 Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 173,000 4 Interest Rate Swap (OTC) 7.500% due 05/01/2031 Strike @ 7.500 Exp. 04/29/2002 11,200 32 Japanese Government Bond (OTC) 6.000% due 12/31/2001 Strike @ 129.000 Exp. 12/03/2001 2,000,000 2 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 116.470 Exp. 10/01/2001 88,300 5,800 ------------ Total Purchased Put Options 5,848 ============ (Cost $11,548) SHORT-TERM INSTRUMENTS 11.9% Commercial Paper 11.4% Abbey National North America 2.550% due 10/24/2001-10/29/2001 (g) 19,000 9,774 American Electric Power, Inc. 4.260% due 02/13/2002 5,310 5,260 CBA (de) Finance 3.560% due 10/26/2001 34,000 33,915 3.530% due 10/29/2001 5,000 4,986 Fannie Mae 2.450% due 11/01/2001 700 698 General Electric Capital Corp. 3.550% due 10/02/2001 5,500 5,498 3.670% due 12/26/2001 1,600 1,590 3.650% due 12/27/2001 15,000 14,906 General Motors Acceptance Corp. 3.550% due 11/21/2001 2,200 2,189 Swedbank, Inc. 3.570% due 11/20/2001 1,700 1,692 UBS Finance, Inc. 3.240% due 11/19/2001 2,000 1,991 3.550% due 12/19/2001 3,300 3,281 ------------ 85,780 ============ Repurchase Agreement 0.0% State Street Bank 2.600% due 10/01/2001 137 137 ------------ (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $141. Repurchase proceeds are $137.) U.S. Treasury Bills 0.5% 2.600% due 10/18/2001 (b)(g) 4,150 4,145 ------------ Total Short-Term Instruments 90,062 ============ (Cost $89,978) Total Investments (a) 166.3% $ 1,255,354 (Cost $1,260,131) Written Options (c) (0.4%) (2,854) (Premiums $2,279) Other Assets and Liabilities (Net) (65.9%) (497,491) ------------ Net Assets 100.0% $ 755,009 ============ See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 55 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) - -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 15,185 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (19,962) ---------- Unrealized depreciation-net $ (4,777) ==========
(b) Securities with an aggregate market value of $9,145 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001:
Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2001) 119 $ 28 Government of Japan 10 Year Note 174 (980) --------- (12/2001) $ (952) =========
(c) Premiums received on written options:
# of Type Contracts Premium Value - ----------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 88 $ 31 $ 1 12/17/2001 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 555 353 954 11/24/2001 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 266 98 2 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 619 250 4 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 5,700,000 129 263 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 595 447 394 06/17/2002 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 26,500,000 609 1,222 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 16,000,000 362 14 ------- --------- $ 2,279 $ 2,854 ======= =========
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------- Sell A 984 10/2001 $ 34 Sell BP 24,219 10/2001 7 Sell C$ 7,582 10/2001 46 Sell DK 57,839 12/2001 96 Buy EC 10,301 10/2001 (86) Sell 156,398 10/2001 881 Buy H$ 33,776 11/2001 (1) Buy JY 231,000 10/2001 27 Sell 5,390,597 10/2001 (348) Sell N$ 14,985 10/2001 476 Buy SF 20,702 11/2001 (370) Sell 46,561 11/2001 286 Buy SK 8,900 10/2001 (30) Sell 44,746 10/2001 125 ---------- $ 1,143 ========== (f) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgium Franc BP - British Pound C$ - Canadian Dollar DK - Danish Krone EC - Euro DM - German Mark H$ - Hong Kong Dollar JY - Japanese Yen N$ - New Zealand Dollar SP - Spanish Peseta SF - Swiss Franc SK - Swedish Krona (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------ Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 6,290,000 $ (70) Receive a fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 236 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 293,000 (3,956) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 101,600 (745) 56 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive floating rate based on 3-month Canadian Bank Bill pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 24,330 $ (317) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 (997) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 EC 47,500 (108) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 46,760 (250) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2031 14,100 (235) Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 37,200 3,573 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 419,000 (3,339) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 53,700 2,896 Receive a fixed rate equal to 5.440% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 9,500 402 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 73,800 (478) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 30,200 78 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 145,900 704 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 BP 25,900 $ (28) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 11,000 167 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250% Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 11,000 (120) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 53,370 481 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 13,030 648 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 152,400 8,146 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 16,800 916 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 6,600 373 Receive floating rate based on 3-month LIBOR and pay a-fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 38,400 (1,960) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2031 EC 4,000 (76) Pay total return on Lehman Intermediate Government Index and receive floating rate based on 1-month LIBOR less 0.250%. Broker: Lehman Brothers Exp. 10/01/2002 $ 34,400 (201) Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 5,300 1 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 57 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 $ 5,000 $ 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Merrill Lynch Exp. 09/10/2003 6,700 0 ------------ $ 5,741 ============ Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - ------------------------------------------------------------------------------- Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp: 11/15/2001 0.787 $ 110,400 $ 182 Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp: 11/15/2001 0.675 19,500 (603) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp: 11/15/2001 0.896 61,000 325 -------------- $ (96) ============== (k) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury Note 6.000 08/15/2009 54,300 $ 59,818 $ 57,463 U.S. Treasury Note 5.625 05/15/2008 50,700 54,689 52,847 Republic of Argentina 1.000 03/31/2005 6,328 4,458 4,206 U.S. Treasury Bonds 6.250 05/15/2030 4,500 4,993 4,955 ----------------------- $ 123,958 $ 119,471 ======================= 58 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments A, B, and C Classes Global Bond Fund II September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- AUSTRALIA (i)(j) 3.4% General Motors Acceptance Corp. 3.890% due 03/25/2002 (d) EC 1,200 $ 1,090 Medallion Trust 4.020% due 07/12/2031 (d) $ 717 718 Rams Mortgage Corporation Ltd. 4.683% due 09/26/2032 213 194 Superannuation Members Home Loans Global Fund 4.145% due 06/15/2026 (d) 400 400 Torrens Trust 3.750% due 07/15/2031 (d) 337 337 ----------- Total Australia 2,739 =========== (Cost $2,816) AUSTRIA (i)(j) 0.7% Republic of Austria 5.500% due 01/15/2010 EC 600 566 ----------- Total Austria 566 =========== (Cost $512) BELGIUM (i)(j) 1.3% Kingdom of Belgium 5.100% due 11/21/2004 (d) BF 5,800 142 7.500% due 07/29/2008 (f) EC 900 950 ----------- Total Belgium 1,092 =========== (Cost $1,151) BRAZIL (i)(j) 0.9% Republic of Brazil 5.437% due 04/15/2006 (d) EC 920 766 ----------- Total Brazil 766 (Cost $809) =========== CANADA (i)(j) 8.5% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 330 212 Commonwealth of Canada 7.000% due 12/01/2006 (f) 8,900 6,219 5.500% due 06/01/2010 800 515 ----------- Total Canada 6,946 =========== (Cost $7,085) CAYMAN ISLANDS (i)(j) 0.6% International Credit Recovery-Japan 0.370% due 08/25/2005 (d) JY 9,391 79 0.470% due 08/25/2005 (d) 10,000 84 MBNA American Euro 4.486% due 05/19/2004 (d) $ 280 255 SHL Corp. Ltd. 0.461% due 12/25/2024 (d) JY 6,808 57 ----------- Total Cayman Islands 475 =========== (Cost $534) DENMARK (i)(j) 0.7% Nykredit 6.000% due 10/01/2029 DK 3,942 473 Unikredit Realkredit 6.000% due 07/01/2029 986 118 ----------- Total Denmark 591 =========== (Cost $537) EGYPT 0.4% Republic of Egypt 8.750% due 07/11/2011 $ 400 357 ----------- Total Egypt 357 (Cost $400) =========== FRANCE (i)(j) 10.0% Axa 2.500% due 01/01/2014 $ 62 50 Compagnie Financiere de CIC-UE 4.470% due 10/29/2049 (d) 300 294 Republic of France 5.500% due 04/25/2007 (f) EC 470 452 4.000% due 04/25/2009 (f) 1,170 1,017 3.000% due 07/25/2009 (e) 315 279 4.000% due 10/25/2009 (f) 4,460 3,852 5.500% due 04/25/2010 2,330 2,219 ----------- Total France 8,163 (Cost $7,952) =========== GERMANY (i)(j) 8.1% Commerzbank AG 4.920% due 10/25/2032 (d) EC 800 728 Depfa Pfandbriefbank 4.750% due 07/15/2008 130 118 5.750% due 03/04/2009 (f) 130 124 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 390 371 Landesbank Rheinland Pfalz 4.750% due 04/04/2008 810 737 Republic of Germany 4.125% due 07/04/2008 1,200 1,071 6.500% due 07/04/2027 (f) 1,300 1,327 6.250% due 01/04/2030 (f) 200 199 5.500% due 01/04/2031 (f) 1,500 1,356 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 390 343 WestDeutsche Landersbank 4.750% due 09/28/2007 190 174 ----------- Total Germany 6,548 =========== (Cost $6,348) GREECE 0.1% Republic of Greece 5.580% due 06/17/2003 (d) $ 22 20 7.080% due 10/23/2003 (d) 99 93 ----------- Total Greece 113 =========== (Cost $158) ITALY (i)(j) 14.0% Findomestic 4.764% due 12/20/2008 (d) IL 900 818 First Italian Auto Transaction 4.690% due 07/01/2008 (d) EC 1,090 987 International Credit Recovery 4.514% due 03/15/2010 (d) $ 300 273 Island Finance 5.109% due 01/15/2015 (d) EC 349 319 Republic of Italy 5.750% due 09/15/2002 (f) 2,700 2,509 4.750% due 07/01/2005 IL 1,680 1,567 7.750% due 11/01/2006 (f) EC 700 731 4.500% due 05/01/2009 3,980 3,539 4.250% due 11/01/2009 IL 720 626 ----------- Total Italy 11,369 =========== (Cost $11,109) JAPAN (i)(j) 0.4% International Credit Recovery-Japan 0.351% due 05/22/2006 (d) JY 37,883 318 ----------- Total Japan 318 =========== (Cost $311) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 59 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Global Bond Fund II September 30, 2001 (Unaudited) Principal Value Amount (000s) - -------------------------------------------------------------------------------- MEXICO (i)(j) 1.6% Bancomext Trust 8.000% due 08/05/2003 $ 70 $ 72 Petroleos Mexicanos 8.850% due 09/15/2007 140 144 9.375% due 12/02/2008 190 199 United Mexican States 6.000% due 03/28/2002 JY 25,000 213 8.750% due 05/30/2002 BP 250 370 10.375% due 01/29/2003 DM 200 97 4.000% due 03/11/2004 JY 20,000 173 ---------- Total Mexico 1,268 ========== (Cost $1,337) NEW ZEALAND (i)(j) 0.6% Commonwealth of New Zealand 4.500% due 02/15/2016 (f) N$ 1,130 496 ---------- Total New Zealand 496 ========== (Cost $637) PERU 0.5% Republic of Peru 3.750% due 03/07/2017 (d) $ 250 160 4.500% due 03/07/2017 (d) 300 211 ---------- Total Peru 371 ========== (Cost $378) SOUTH KOREA (i)(j) 1.2% Korea Development Bank 1.875% due 02/13/2002 JY 114,000 958 ---------- Total South Korea 958 ========== (Cost $978) SPAIN (i)(j) 5.5% Hipotebansa V. Hipotecaria 4.660% due 01/18/2018 (d) SP 60,824 333 4.670% due 07/18/2022 133,912 730 Kingdom of Spain 4.950% due 07/30/2005 (f) EC 1,620 1,519 5.150% due 07/30/2009 (f) 1,990 1,848 ---------- Total Spain 4,430 ========== (Cost $4,272) SUPRANATIONAL (i)(j) 2.5% Asian Development Bank 5.375% due 09/15/2003 A$ 600 301 5.250% due 09/15/2004 600 301 Eurofima 4.750% due 07/07/2004 (f) SK 7,200 672 European Investment Bank 6.000% due 05/07/2003 BP 250 374 8.000% due 06/10/2003 (d) 250 387 ---------- Total Supranational 2,035 ========== (Cost $2,294) SWEDEN (i)(j) 0.3% Kingdom of Sweden 5.000% due 01/28/2009 SK 2,300 213 ---------- Total Sweden 213 ========== (Cost $227) UNITED KINGDOM (i)(j) 10.3% Abbey National Treasury Service PLC 7.625% due 12/30/2002 BP 280 424 Bauhaus Securities Ltd. 4.784% due 10/30/2052 (d) EC 750 682 British Telecom PLC 4.445% due 12/15/2003 (d) $ 1,200 1,224 Core 3.345% due 03/17/2009 (d) 368 366 Haus Ltd. 4.824% due 12/14/2037 (d) EC 1,500 1,368 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 700 700 4.727% due 07/15/2040 (d) 700 637 Lloyds TSB Bank PLC 5.625% due 07/15/2049 EC 590 514 United Kingdom Gilt 7.500% due 12/07/2006 (f) BP 750 1,233 7.250% due 12/07/2007 750 1,238 ---------- Total United Kingdom 8,386 ========== (Cost $8,392) UNITED STATES (i)(j) 60.0% Asset-Backed Securities 11.7% AFC Home Equity Loan Trust 2.971% due 12/22/2027 (d) $ 261 255 2.941% due 01/25/2031 (d) 1,221 1,219 Amresco Residential Securities Mortgage Loan Trust 4.262% due 06/25/2029 (d) 315 316 Bayview Financial Acquisition Trust 4.182% due 11/25/2030 (d) 1,200 1,205 Citibank Credit Card Master Trust 4.875% due 04/07/2005 EC 800 379 Conseco Finance 3.857% due 10/15/2031 (d) $ 448 450 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 558 559 First Alliance Mortgage Loan Trust 3.287% due 12/20/2027 (d) 449 449 Home Loan Trust 5.074% due 01/25/2014 523 528 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 392 397 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 800 800 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 310 311 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 23 23 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 85 78 Providian Gateway Master Trust 3.707% due 03/15/2007 1,600 1,606 Providian Home Equity Loan Trust 2.951% due 06/25/2025 (d) 359 360 PSB Lending Home Loan Owner Trust 2,0356.830% due 05/20/2018 2 2 Salomon Brothers Mortgage Securities VII 3.907% due 11/15/2029 (d) 99 99 United Panama Mortgage Loan Asset Backed 3.111% due 10/25/2029 (d) 390 390 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 67 68 ---------- 9,494 ========== Convertible Bonds & Notes 0.2% Finmeccanica SpA 2.000% due 06/08/2005 EC 188 $ 169 ---------- 169 ========== 69 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Corporate Bonds & Notes 10.9% Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) $ 380 $ 379 Beckman Coulter, Inc. 7.100% due 03/04/2003 22 23 Capital One Bank 4.415% due 07/28/2003 (d) 500 494 Coastal Corp. 3.912% due 03/06/2002 (d) 800 801 Finova Group, Inc. 7.500% due 11/15/2009 (l) 585 230 Ford Motor Credit Co. 1.000% due 12/22/2003 JY 14,000 118 1.200% due 02/07/2005 98,000 829 General Electric Finance Assurance 1.600% due 06/20/2011 90,000 742 General Motors Acceptance Corp. 3.661% due 08/18/2003 (d) $ 340 335 Household Finance Corp. 4.025% due 08/06/2002 (d) 230 231 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 100 98 Jones Intercable, Inc. 8.875% due 04/01/2007 26 28 Lehman Brothers Holdings, Inc. 4.570% due 07/15/2002 (d) 400 402 MGM Mirage, Inc. 6.950% due 02/01/2005 10 10 Pfizer, Inc. 0.800% due 03/18/2008 JY 69,000 579 Salomon, Inc. 5.620% due 10/21/2002 (d) BP 200 294 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d)(e) $ 2,070 2,082 Sprint Capital Corp. 5.875% due 05/01/2004 50 51 TCI Communications, Inc. 3.785% due 04/01/2002 (d) 300 301 Walt Disney Co. 3.900% due 09/15/2003 800 798 -------- 8,825 ======== Mortgage-Backed Securities 20.6% Bear Stearns Adjustable Rate Mortgage Trust 5.930% due 02/25/2031 (d) 700 709 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 310 315 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 177 178 6.500% due 03/25/2029 10 10 Crusade Global Trust 3.900% due 05/15/2021 (d) 1,142 1,146 Fannie Mae 7.000% due 02/25/2020 58 59 Freddie Mac 5.000% due 01/15/2012 300 271 Government National Mortgage Association 1.000% due 04/20/2028 (d) 174 177 4.230% due 02/16/2030 (d) 993 997 4.280% due 02/16/2030 (d) 1,115 1,124 5.250% due 06/20/2030 (d) 830 840 6.000% due 08/15/2028-05/20/2030 (d)(g) 2,627 1,366 6.500% due 10/22/2031 (d) 4,000 4,093 7.625% due 11/20/2021 (d) 28 29 7.750% due 07/20/2022 (d) 448 462 7.750% due 09/20/2023 (d) 263 271 7.750% due 07/20/2025 (d) 203 210 7.750% due 09/20/2025 (d) 25 26 7.625% due 12/20/2025 (d) 14 15 7.750% due 09/20/2026 (d) 15 16 7.625% due 11/20/2026 (d) 339 347 7.625% due 11/20/2026 (d) 168 173 7.625% due 12/20/2026 (d) 33 35 8.500% due 10/22/2031 (d) 1,000 1,062 Homeside Mortgage Securities Trust 3.950% due 01/20/2027 (d) $ 250 $ 250 Puma Finance Ltd. 4.010% due 04/15/2031 (d)(h) 253 254 Residential Funding Mortgage Securities, Inc. 3.965% due 05/12/2032 (d) 1,657 1,659 SHL Corp. Ltd. 0.761% due 12/25/2024 (d) 5,000 42 Structured Asset Mortgage Investments, Inc. 6.578% due 06/25/2029 (d) 191 196 Structured Asset Securities Corp. 3.411% due 02/25/2030 (d) 422 422 -------- 16,754 ======== Municipal Bonds & Notes 0.3% California State General Obligation Bonds,(FGIC Insured), Series 1997 4.750% due 12/01/2028 300 288 U.S. Government Agencies 2.8% Fannie Mae 5.375% due 03/08/2004 1,100 1,114 Federal Farm Credit Bank 7.010% due 05/02/2003 500 513 Small Business Administration 6.640% due 02/10/2011 600 626 -------- 2,253 ======== U.S. Treasury Obligations 12.6% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 111 113 3.375% due 01/15/2007 (b) 448 461 3.875% due 04/15/2029 324 348 U.S. Treasury Bonds 7.500% due 11/15/2016 1,500 1,844 7.125% due 02/15/2023 600 725 6.250% due 08/15/2023 4,400 4,829 U.S. Treasury Strips 0.000% due 11/15/2016 (f) 4,400 1,891 -------- 10,211 ======== Shares Preferred Security 0.9% DG Funding Trust 5.960% due 12/29/2049 (d) 70 721 ------- Total United States 48,715 (Cost $48,482) ======= PURCHASED CALL OPTIONS 0.4% Principal Amount (000s) Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2003 $ 62,000 69 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 11,800 196 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 2,500 42 ------- Total Purchased Call Options 307 (Cost $145) ======= PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 43,000 1 Eurodollar December Futures (CME) Strike @ 92.250 Exp. 12/17/2001 60,000 0 Interest Rate Swap (OTC) 7.500% due 05/01/2032 Strike @ 7.500 Exp. 04/29/2002 700 2 ------- Total Purchased Put Options 3 (Cost $28) ======= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 61 61 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Global Bond Fund II September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 6.7% Commercial Paper 5.8% Becton Dickinson & Co. 3.090% due 10/02/2001 $ 1,400 $ 1,400 CDC 3.380% due 10/01/2001 900 900 Fannie Mae 3.545% due 10/18/2001 700 699 4.060% due 10/25/2001 600 598 Federal Home Loan Bank 4.000% due 10/31/2001 300 299 General Electric Capital Corp. 3.560% due 12/27/2001 200 199 UBS Finance, Inc. 3.550% due 12/19/2001 600 597 ------ 4,692 ====== Repurchase Agreement 0.3% State Street Bank 2.600% due 10/01/2001 237 237 ------ (Dated 09/28/2001. Collateralized by Fannie Mae 4.450% due 06/25/2003 valued at $246. Repurchase proceeds are $237.) U.S. Treasury Bills 0.6% 2.600% due 10/18/2001 (g) 550 549 ------ Total Short-Term Instruments 5,478 (Cost $5,475) ====== Total Investments (a) 138.7% $ 112,703 (Cost $112,367) Written Options (c) (0.4%) (309) (Premiums $226) Other Assets and Liabilities (Net) (31,155) (38.3%) --------- Net Assets 100.0% $ 81,239 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,061 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1,725) --------- Unrealized appreciation-net $ 336 ========= (b) Securities with an aggregate market value of $461 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) ------------------------------------------------------------------- Government of Japan 10 Year Note 14 $ (86) (12/2001) United Kingdom 90 Day LIBOR Futures 5 (5) -------------- (03/2003) $ (91) ============== (c) Premiums received on written options: # of Type Contract Premium Value - -------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 10 $ 4 $ 0 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 61 36 105 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 26 10 0 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 67 27 0 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 600,000 14 28 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 62 46 41 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 2,900,000 66 134 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 1,000,000 23 ----------------------- $ 226 $ 309 ======================= (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. (f) Subject to financing transaction. (g) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (h) Restricted security. (i) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------- Sell A$ 1,117 10/2001 $ 39 Sell BP 3,388 10/2001 0 Sell C$ 1,467 10/2001 9 Sell DK 6,468 12/2001 11 Buy EC 1,701 10/2001 (21) Sell 19,343 10/2001 119 Buy H$ 3,998 11/2001 1 Buy JY 37,000 10/2001 4 Sell 756,335 10/2001 (49) Sell N$ 1,352 10/2001 43 Buy SF 2,263 11/2001 (40) Sell 5,302 11/2001 33 Sell SK 2,907 10/2001 8 ------------ $ 157 ============ (j) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgian Franc BP - British Pound C$ - Canadian Dollar DK - Danish Krone DM - German Mark EC - Euro H$ - Hong Kong Dollar IL - Italian Lira JY - Japanese Yen N$ - New Zealand Dollar SF - Swiss Franc SK - Swedish Krona SP - Spanish Peseta 6 2PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes 62 (k) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - --------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 720,000 $ (8) Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 36,000 (486) Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 8,500 (62) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 3,400 (44) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 226,000 (127) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.310%. Broker: Goldman Sachs Exp. 07/14/2005 232,000 (71) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 EC 5,500 (13) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 4,910 (29) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2031 1,500 (25) Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 4,600 442 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 50,000 (399) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 6,400 $ 318 Receive a fixed rate equal to 5.440% and pay a floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 600 25 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 4,300 (28) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 3,500 9 Receive a fixed rate equal to 5.250 % and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 19,200 93 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 2,680 (2) Receive a fixed rate equal to 5.250 % and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 1,300 20 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 1,300 (14) Receive a fixed rate equal to 5.250 % and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 400 3 Receive a fixed rate equal to 5.500 % and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 03/15/2004 1,700 51 Receive a fixed rate equal to 5.640 % and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 1,090 54 Receive a fixed rate equal to 6.000 % and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 5,600 294 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 63 63 PIMCO Schedule of Investments A, B, C Classes (Cont.) Global Bond Fund II September 30, 2001 (Unaudited) Receive a fixed rate equal to 6.000 % and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 $ 3,500 $ 184 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 10,000 (297) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 600 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 800 0 ----------- $ (112) ===========
Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - ------------------------------------------------------------------------- Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.787 $ 16,600 $ 12 Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.675 1,500 (46) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.896 4,000 21 ----------- $ (13) ===========
(I) Security is in default. 64 PIMCO Funds Semi-Annual Report |9.30.01| See accompanying notes PIMCO Schedule of Investments A, B, and C Classes GNMA Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ---------------------------------------------------------------------------- U.S. GOVERNMENT AGENCIES 3.8% Federal Farm Credit Bank 5.750% due 01/18/2011 $ 1,000 $ 1,036 Small Business Administration 7.449% due 08/01/2010 497 543 -------- Total U.S. Government Agencies 1,579 (Cost $1,495) ======== U.S. TREASURY OBLIGATIONS 1.3% Treasury Inflation Protected Securities 3.625% due 01/15/2008 (b)(c) 110 114 U.S. Treasury Strips 0.000% due 11/15/2016 1,000 429 -------- Total U.S. Treasury Obligations 543 ======== (Cost $534) MORTGAGE-BACKED SECURITIES 67.8% Collateralized Mortgage Obligations 11.0% ABN AMRO Mortgage Corp. 6.750% due 04/25/2029 235 213 Fannie Mae 7.000% due 05/25/2006 18 18 6.000% due 11/18/2017 100 101 6.500% due 02/25/2019 261 261 6.500% due 09/25/2023 299 297 Freddie Mac 6.500% due 11/25/2023 132 122 General Electric Capital Mortgage Services, Inc. 6.750% due 06/25/2028 50 51 Government National Mortgage Association 7.300% due 09/20/2028 2,106 2,159 3.940% due 08/16/2031 967 966 Hilton Hotel Pool Trust 1.000% due 10/01/2016 2,972 125 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 240 241 -------- 4,554 ======== Fannie Mae 0.1% 8.271% due 03/01/2018 (d) 36 36 9.000% due 07/01/2018 23 26 -------- 62 ======== Federal Housing Administration 1.6% 7.430% due 03/01/2022 161 163 8.137% due 09/01/2040 475 495 -------- 658 ======== Freddie Mac 0.4% 6.598% due 06/01/2030 (d) 91 93 7.050% due 05/01/2019 (d) 53 54 -------- 147 ======== Government National Mortgage Association 53.8% 6.375% due 02/20/2018-02/20/2026 (d)(e) 563 574 6.500% due 02/25/2018 (d) 4,000 4,092 7.000% due 02/22/2031 (d) 11,000 11,423 7.375% due 05/20/2016-06/20/2025 (d)(e) 190 195 7.500% due 10/20/2031-10/22/2031 (d)(e) 5,371 5,608 7.625% due 12/20/2017 (d) 70 73 7.750% due 07/20/2018-08/20/2025 (d)(e) 201 208 11.250% due 07/20/2015 116 131 -------- 22,304 ======== Stripped Mortgage-Backed Securities 0.9% Fannie Mae (IO) 7.000% due 09/25/2021 1,607 111 Freddie Mac (IO) 3.975% due 07/15/2020 (d) 3,117 111 7.500% due 08/15/2029 792 133 -------- 355 -------- Total Mortgage-Backed Securities 28,080 ======== (Cost $27,851) Principal Amount Value (000s) (000s) ASSET-BACKED SECURITIES 5.6% Advanta Business Card Master Trust 5.533% due 04/20/2008 (d) $ 100 $ 101 Chase Funding Mortgage Loan Asset-Backed Certificates 4.461% due 10/25/2030 (d) 200 198 Conseco Finance 9.290% due 12/15/2029 500 545 CS First Boston Mortgage Securities Corp. 4.580% due 08/25/2031 (d) 700 700 General Electric Capital Mortgage Services, Inc. 7.200% due 04/25/2029 290 296 Indymac Home Equity Loan Asset-Backed Trust 5.158% due 12/25/2031 (d) 200 200 NPF XII, Inc. 4.303% due 10/01/2003 (d) 300 301 ----------- Total Asset-Backed Securities 2,341 =========== (Cost $2,270) SHORT-TERM INSTRUMENTS 66.0% Commercial Paper 61.4% Abbey National North America 3.470% due 10/31/2001 500 499 Anz, Inc. 3.240% due 11/21/2001 1,000 995 CBA (de) Finance 3.470% due 10/29/2001 600 598 Fannie Mae 3.150% due 10/01/2001 19,000 19,000 4.020% due 10/04/2001 100 100 3.540% due 10/18/2001 600 599 3.520% due 10/25/2001 600 599 Federal Home Loan Bank 3.460% due 10/12/2001 600 599 General Electric Capital Corp. 3.560% due 12/26/2001 500 497 Swedbank, Inc. 3.510% due 10/24/2001 500 499 3.570% due 11/20/2001 300 299 UBS Finance, Inc. 3.240% due 11/19/2001 400 398 3.420% due 12/19/2001 200 199 3.550% due 12/19/2001 200 199 3.360% due 12/20/2001 400 397 ----------- 25,477 =========== Repurchase Agreement 4.6% State Street Bank 2.600% due 10/01/2001 1,895 1,895 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $1,933. Repurchase proceeds are $1,895.) ----------- Total Short-Term Instruments 27,372 =========== (Cost $27,369) Total Investments (a) 144.5% $ 59,915 (Cost $59,519) Other Assets and Liabilities (Net) (44.5%) (18,459) ----------- Net Assets 100.0% $ 41,456 =========== See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 65 PIMCO Schedule of Investments A, B, and C Classes (Cont.) GNMA Fund September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 466 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (70) ------- Unrealized appreciation-net $ 396 ======= (b) Subject to financing transaction. (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. 66 PIMCO Funds Semi-Annual Report |9.30.01| See accompanying notes PIMCO Schedule of Investments A, B, and C Classes High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ CORPORATE BONDS & NOTES 74.5% Banking & Finance 3.8% Americo Life, Inc. 9.250% due 06/01/2005 $ 198 $ 195 Arvin Capital 9.500% due 02/01/2027 17,500 12,662 Beaver Valley Funding Corp. 8.625% due 06/01/2007 14,197 15,290 9.000% due 06/01/2017 9,432 10,480 Caithness Coso Funding Corp. 6.800% due 12/15/2001 72 72 Choctaw Resort Development Enterprise 9.250% due 04/01/2009 6,675 6,642 Finova Group, Inc. 7.500% due 11/15/2009 37,175 14,587 Forest City Enterprises, Inc. 8.500% due 03/15/2008 12,869 11,646 General Motors Acceptance Corp. 4.530% due 05/16/2003 (d) 631 626 Golden State Holdings 7.000% due 08/01/2003 4,573 4,688 7.125% due 08/01/2005 5,137 5,234 Hollinger Participation Trust 12.125% due 11/15/2010 10,850 8,843 Presidential Life Insurance Corp. 7.875% due 02/15/2009 7,451 7,406 Reliance Group Holdings, Inc. 9.000% due 11/15/2049 (e) 3,769 151 Trizec Finance Ltd. 10.875% due 10/15/2005 13,772 14,202 --------- 112,724 ========= Industrials 58.6% 360 Networks, Inc. 13.000% due 05/01/2008 (e) 5,740 43 12.000% due 08/01/2009 (e) 5,969 45 Adelphia Business Solutions, Inc. 12.250% due 09/01/2004 6,379 3,604 Adelphia Communications Corp. 7.875% due 05/01/2009 50 41 9.375% due 11/15/2009 300 258 10.875% due 10/01/2010 15 13 10.250% due 06/15/2011 5,000 4,375 Airgas, Inc. 9.125% due 10/01/2011 9,650 9,795 Alliant Techsystems Inc. 8.500% due 05/15/2011 10,400 10,712 Allied Waste Industries, Inc. 6.100% due 01/15/2003 3,234 3,236 7.375% due 01/01/2004 13,910 13,771 7.875% due 03/15/2005 1,578 1,628 7.625% due 01/01/2006 8,204 8,040 6.375% due 01/15/2008 1,100 1,032 8.875% due 04/01/2008 8,000 8,200 7.875% due 01/01/2009 19,910 19,412 American Airlines, Inc. 10.610% due 03/04/2010 650 691 6.978% due 04/01/2011 2,000 2,016 7.858% due 10/01/2011 3,100 3,128 American Cellular Corp. 9.500% due 10/15/2009 8,000 7,480 American Media Operation, Inc. 10.250% due 05/01/2009 2,489 2,452 American Standard Cos., Inc. 7.375% due 04/15/2005 2,735 2,749 7.375% due 02/01/2008 2,150 2,139 9.250% due 12/01/2016 1,177 1,160 AmeriGas Partners LP 10.000% due 04/15/2006 9,000 9,803 10.125% due 04/15/2007 5,167 5,341 8.875% due 05/20/2011 1,400 1,414 AmerisourceBergen Corp. 8.125% due 09/01/2008 14,200 14,733 AM-FM, Inc. 8.750% due 06/15/2007 4,457 4,658 8.125% due 12/15/2007 1,500 1,556 8.000% due 11/01/2008 5,244 5,467 Amphenol Corp. 9.875% due 05/15/2007 7,276 7,676 Archibald Candy Corp. 10.250% due 07/01/2004 3,250 1,966 Arco Chemical Co. 9.375% due 12/15/2005 7,375 7,619 10.250% due 11/01/2010 5,400 5,716 Argosy Gaming Co. 9.000% due 09/01/2011 4,800 4,800 Armkel LLC 9.500% due 08/15/2009 4,300 4,375 Ball Corp. 7.750% due 08/01/2006 7,854 7,893 8.250% due 08/01/2008 5,500 5,528 Beckman Coulter, Inc. 7.100% due 03/04/2003 9,923 10,150 7.450% due 03/04/2008 12,717 13,133 7.050% due 06/01/2026 275 293 Bergen Brunswig Corp. 7.375% due 01/15/2003 11,125 11,327 7.250% due 06/01/2005 500 510 Beverly Enterprises, Inc. 9.000% due 02/15/2006 15,320 15,588 9.625% due 04/15/2009 4,900 5,096 Briggs & Stratton Corp. 8.875% due 03/15/2011 4,100 3,998 British Sky Broadcasting Group PLC 7.300% due 10/15/2006 6,733 6,774 8.200% due 07/15/2009 21,949 22,136 British Sky Broadcasting PLC 6.875% due 02/23/2009 10,000 9,382 Building Materials Corp. 7.750% due 07/15/2005 971 675 8.000% due 10/15/2007 1,007 650 8.000% due 12/01/2008 9,851 6,255 Cadmus Communications Corp. 9.750% due 06/01/2009 2,250 2,194 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 6,172 6,018 Canwest Media, Inc. 10.625% due 05/15/2011 4,000 3,960 Century Aluminum Co. 11.750% due 04/15/2008 5,350 5,270 Century Communications Corp. 9.750% due 02/15/2002 513 501 0.000% due 03/15/2003 14,993 12,144 9.500% due 03/01/2005 10,500 9,818 8.750% due 10/01/2007 5,800 5,104 CF Cable TV, Inc. 9.125% due 07/15/2007 9,149 9,484 Charter Communications Holdings LLC 8.250% due 04/01/2007 11,995 10,796 10.000% due 04/01/2009 5,347 5,173 8.625% due 04/01/2009 4,594 4,123 9.625% due 11/15/2009 6,900 6,590 0.000% due 04/01/2011 (c) 8,000 5,180 10.000% due 05/15/2011 2,000 1,920 Columbus McKinnon 8.500% due 04/01/2008 5,256 4,809 Consolidated Container 10.125% due 07/15/2009 6,778 6,270 Constellation Brands, Inc. 8.000% due 02/15/2008 6,000 6,000 8.500% due 03/01/2009 10,500 10,658 Container Corp. of America 9.750% due 04/01/2003 789 805 Continental Airlines, Inc. 7.033% due 06/15/2011 7,900 7,148 Continental Cablevision 9.500% due 08/01/2013 7,900 8,936 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 67 PIMCO Schedule of Investments A, B, and C Classes (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Crown Castle International Corp. 0.000% due 11/15/2007 (c) $ 1,775 $ 1,385 10.750% due 08/01/2011 12,755 11,766 CSC Holdings, Inc. 9.250% due 11/01/2005 789 809 9.875% due 05/15/2006 1,021 1,058 7.875% due 12/15/2007 79 81 7.250% due 07/15/2008 100 98 8.125% due 07/15/2009 300 308 7.625% due 04/01/2011 34,900 34,585 9.875% due 02/15/2013 2,595 2,803 9.875% due 04/01/2023 3,155 3,407 DaVita, Inc. 9.250% due 04/15/2011 850 880 Delta Air Lines, Inc. 9.300% due 01/02/2010 1,800 1,500 10.790% due 03/26/2014 2,264 2,071 Diamond Cable Communication Co. 13.250% due 09/30/2004 1,184 539 11.750% due 12/15/2005 6,887 2,858 Dresser, Inc. 9.375% due 04/15/2011 10,000 10,000 Echostar Broadband Corp. 10.375% due 10/01/2007 500 508 Echostar Communications Corp. 9.250% due 02/01/2006 19,727 19,480 9.375% due 02/01/2009 7,454 7,324 Electric Lightwave, Inc. 6.050% due 05/15/2004 1,450 1,410 Equistar Chemicals LP 10.125% due 09/01/2008 9,845 9,131 8.750% due 02/15/2009 5,800 5,128 Extended Stay America, Inc. 9.875% due 06/15/2011 5,700 5,073 Extendicare Health Services 9.350% due 12/15/2007 1,150 1,024 Fairpoint Communications, Inc. 9.500% due 05/01/2008 4,912 3,266 10.908% due 05/01/2008 (d) 3,550 2,250 Ferrellgas Partners LP 9.375% due 06/15/2006 14,331 14,403 Fisher Scientific International 7.125% due 12/15/2005 10,845 10,720 9.000% due 02/01/2008 12,949 12,917 Flag Ltd. 8.250% due 01/30/2008 16,991 10,449 Forest Oil Corp. 10.500% due 01/15/2006 2,828 2,976 8.000% due 06/15/2008 3,850 3,792 Fox/Liberty Networks LLC 0.000% due 08/15/2007 (c) 7,690 7,382 8.875% due 08/15/2007 9,075 9,438 Garden State Newspapers 8.750% due 10/01/2009 9,560 8,222 8.625% due 07/01/2011 4,626 3,886 Golden Northwest Aluminum 12.000% due 12/15/2006 2,450 1,103 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 25,606 25,542 7.125% due 06/01/2007 500 484 7.500% due 01/15/2009 20,207 19,401 HCA - The Healthcare Co. 6.870% due 09/15/2003 1,026 1,055 6.910% due 06/15/2005 2,986 3,010 7.125% due 06/01/2006 12,525 12,854 8.850% due 01/01/2007 16,485 18,223 7.000% due 07/01/2007 18,893 18,974 8.700% due 02/10/2010 13,980 15,182 8.750% due 09/01/2010 3,950 4,271 7.875% due 02/01/2011 1,500 1,545 8.360% due 04/15/2024 4,733 4,652 6.730% due 07/15/2045 3,944 4,052 HEALTHSOUTH Corp. 8.500% due 02/01/2008 2,630 2,729 7.000% due 06/15/2008 1,000 955 10.750% due 10/01/2008 900 981 8.375% due 10/01/2011 12,500 12,703 Hercules, Inc. 11.125% due 11/15/2007 7,454 7,193 HMH Properties, Inc. 7.875% due 08/01/2005 26,184 23,173 8.450% due 12/01/2008 250 215 Hollinger International Publishing 8.625% due 03/15/2005 1,948 1,824 9.250% due 02/01/2006 7,879 7,377 9.250% due 03/15/2007 1,737 1,626 Horseshoe Gaming Holding 8.625% due 05/15/2009 15,775 15,538 Host Marriott LP 8.375% due 02/15/2006 10,697 9,574 9.250% due 10/01/2007 5,100 4,565 HS Resources, Inc. 9.250% due 11/15/2006 16,465 17,247 Huntsman Corp. 6.562% due 06/30/2007 538 423 9.500% due 07/01/2007 10,218 2,504 Huntsman ICI Chemicals LLC 7.437% due 06/30/2007 1,252 1,206 10.125% due 07/01/2009 2,196 1,900 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 1,173 International Game Technology 7.875% due 05/15/2004 12,394 12,456 8.375% due 05/15/2009 18,876 19,111 ISP Holdings, Inc. 9.750% due 02/15/2002 5,100 5,126 9.000% due 10/15/2003 18,374 17,823 10.250% due 07/01/2011 9,550 9,216 John Q. Hammons Hotels 8.875% due 02/15/2004 2,784 2,464 9.750% due 10/01/2005 1,633 1,462 Jones Intercable, Inc. 8.875% due 04/01/2007 3,991 4,360 Jupiters Ltd. 8.500% due 03/01/2006 12,400 12,090 Kmart Corp. 12.350% due 01/01/2008 (b) 3,680 4,215 8.800% due 07/01/2010 811 798 9.350% due 01/02/2020 10,203 8,672 9.780% due 01/05/2020 7,552 6,325 Koninklijke KPN NV 8.000% due 10/01/2010 14,200 10,966 KPNQWest BV 8.125% due 06/01/2009 19,560 8,313 L-3 Communications Corp. 10.375% due 05/01/2007 5,938 6,265 8.500% due 05/15/2008 466 480 Lamar Media Corp. 9.625% due 12/01/2006 100 101 Lear Corp. 7.960% due 05/15/2005 13,015 12,848 Lenfest Communications 8.375% due 11/01/2005 8,400 9,238 10.500% due 06/15/2006 415 490 Level 3 Communications, Inc. 11.000% due 03/15/2008 6,438 2,897 9.125% due 05/01/2008 18,405 7,776 0.000% due 12/01/2008 (c) 5,375 1,424 0.000% due 03/15/2010 (c) 18,000 3,690 11.250% due 03/15/2010 789 343 Leviathan Gas Corp. 10.375% due 06/01/2009 4,373 4,657 Lin Television Corp. 8.375% due 03/01/2008 100 90 68 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Lyondell Chemical Co. 9.625% due 05/01/2007 $ 5,674 $ 5,234 9.875% due 05/01/2007 900 830 Macdermid, Inc. 9.125% due 07/15/2011 9,470 8,712 Mail-Well Corp. 8.750% due 12/15/2008 1,000 735 Mandalay Resort Group 6.750% due 07/15/2003 18,177 16,541 9.250% due 12/01/2005 4,812 4,403 6.450% due 02/01/2006 79 76 10.250% due 08/01/2007 198 183 6.700% due 11/15/2096 1,500 1,497 Manor Care, Inc. 8.000% due 03/01/2008 7,655 7,913 Marsh Supermarkets, Inc. 8.875% due 08/01/2007 5,916 5,709 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 17,064 5,290 8.375% due 03/15/2008 4,023 1,026 9.500% due 11/01/2008 14,997 3,974 11.375% due 01/01/2009 250 74 8.125% due 02/15/2009 2,715 686 11.500% due 05/01/2009 789 225 Mediacom LLC 9.500% due 01/15/2013 575 574 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 18,051 2,256 10.000% due 12/15/2009 6,910 864 MGM Mirage, Inc. 6.950% due 02/01/2005 27,393 27,656 8.500% due 09/15/2010 15,500 14,975 8.375% due 02/01/2011 1,500 1,358 Midwest Generation LLC 8.300% due 07/02/2009 1,750 1,705 Millenium America, Inc. 9.250% due 06/15/2008 875 827 Mirage Resorts, Inc. 6.625% due 02/01/2005 2,761 2,758 7.250% due 10/15/2006 3,556 3,246 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 2,650 2,677 Netia Holdings SA SP - ADR 10.250% due 11/01/2007 3,400 289 Newpark Resources, Inc. 8.625% due 12/15/2007 8,870 8,183 Nextel Communications, Inc. 0.000% due 09/15/2007 (c) 6,950 4,187 9.375% due 11/15/2009 4,083 2,542 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,013 5,424 11.000% due 03/15/2010 2,958 1,960 Nextlink Communications, Inc. 9.625% due 10/01/2007 7,099 1,313 10.500% due 12/01/2009 6,837 1,265 NL Industries, Inc. 11.750% due 10/15/2003 1,135 1,146 NTL, Inc. 12.750% due 04/15/2005 553 307 Octel Developments PLC 10.000% due 05/01/2006 1,499 1,536 Omnicare, Inc. 8.125% due 03/15/2011 16,840 17,472 Orion Network Systems, Inc. 11.250% due 01/15/2007 10,335 3,824 Owens & Minor, Inc. 8.500% due 07/15/2011 3,700 3,839 P&L Coal Holdings 8.875% due 05/15/2008 12,074 12,496 Park Place Entertainment Corp. 7.875% due 12/15/2005 1,000 953 8.875% due 09/15/2008 4,883 4,651 8.125% due 05/15/2011 8,000 7,360 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 10,000 10,038 Piedmont Aviation, Inc. 10.200% due 01/15/2005 1,163 874 10.250% due 03/28/2005 571 421 9.900% due 11/08/2006 1,216 833 Pioneer National Resources Co. 8.875% due 04/15/2005 15,853 17,249 8.250% due 08/15/2007 8,577 8,875 6.500% due 01/15/2008 5,482 5,138 Price Communications Wireless, Inc. 9.125% due 12/15/2006 15,467 15,854 Pride International, Inc. 9.375% due 05/01/2007 14,586 15,060 Primedia, Inc. 10.250% due 06/01/2004 3,155 2,855 8.500% due 02/01/2006 6,671 5,504 7.625% due 04/01/2008 6,507 4,913 8.875% due 05/15/2011 8,050 6,078 PSS World Medical, Inc. 8.500% due 10/01/2007 9,425 8,624 Quebecor Media, Inc. 11.125% due 07/15/2011 18,350 18,258 R & B Falcon Corp. 9.125% due 12/15/2003 1,250 1,306 R.H. Donnelly, Inc. 9.125% due 06/01/2008 5,455 5,482 Racers 8.375% due 10/01/2007 21,206 17,894 Renaissance Media Group 0.000% due 04/15/2008 (c) 16,960 13,314 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,280 Rogers Cantel, Inc. 8.300% due 10/01/2007 3,524 3,339 8.800% due 10/01/2007 2,315 2,147 9.375% due 06/01/2008 30,824 30,208 Rural Cellular Corp. 9.625% due 05/15/2008 9,502 9,264 Safety-Kleen Corp. 9.250% due 06/01/2008 (e) 22,459 2 9.250% due 05/15/2009 (e) 11,042 1 SC International Services, Inc. 9.250% due 09/01/2007 15,020 11,791 Scotia Pacific Co. LLC 7.710% due 01/20/2014 142 114 Select Medical Corp. 9.500% due 06/15/2009 2,000 1,890 Silgan Holdings, Inc. 9.000% due 06/01/2009 7,556 7,480 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 222 246 Starwood Hotels & Resorts 6.330% due 02/23/2003 10,250 9,968 6.750% due 11/15/2005 1,900 1,727 Station Casinos, Inc. 9.750% due 04/15/2007 5,403 4,998 8.375% due 02/15/2008 3,200 3,024 8.875% due 12/01/2008 2,071 1,812 9.875% due 07/01/2010 789 718 Stone Container Corp. 7.312% due 10/01/2005 1,116 1,116 11.500% due 08/15/2006 2,476 2,612 Synder Oil Corp. 8.750% due 06/15/2007 3,250 3,413 Telecorp PCS, Inc. 10.625% due 07/15/2010 11,338 10,034 Telewest Communications PLC 11.000% due 10/01/2007 7,999 5,119 0.000% due 04/15/2009 (c) 3,546 1,268 Tembec Industries, Inc. 8.625% due 06/30/2009 1,300 1,320 8.500% due 02/01/2011 9,550 9,693 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 69 PIMCO Schedule of Investments A, B, and C Classes (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Tenet Healthcare Corp. 8.625% due 01/15/2007 $ 10,385 $ 10,930 8.125% due 12/01/2008 15,400 16,517 Time Warner Telecom, Inc. 10.125% due 02/01/2011 5,450 3,570 Triad Hospitals, Inc. 8.750% due 05/01/2009 2,700 2,781 11.000% due 05/15/2009 3,213 3,478 Tritel PCS, Inc. 10.375% due 01/15/2011 14,750 12,611 U.S. Airways, Inc. 9.625% due 09/01/2003 21,663 22,251 9.330% due 01/01/2006 3,785 3,806 United Pan-Europe Communications NV 10.875% due 11/01/2007 1,750 245 0.000% due 02/01/2009 (c) 6,502 878 10.875% due 08/01/2009 0 0 0.000% due 11/01/2009 (c) 5,000 325 Univision Communications, Inc. 7.850% due 07/15/2011 16,450 17,029 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,311 9,497 9.750% due 06/30/2009 2,009 2,114 7.875% due 05/15/2011 5,400 5,373 VoiceStream Wireless Corp. 10.375% due 11/15/2009 3,155 3,565 Waste Management, Inc. 6.375% due 12/01/2003 2,925 3,016 7.000% due 05/15/2005 513 539 7.375% due 08/01/2010 3,925 4,124 WCG Corp. 8.250% due 03/15/2004 17,625 18,006 Western Gas Resources, Inc. 10.000% due 06/15/2009 5,700 5,843 Williams Communications Group, Inc. 10.700% due 10/01/2007 7,493 3,147 10.875% due 10/01/2009 3,092 1,299 11.875% due 08/01/2010 4,000 1,680 World Color Press, Inc. 8.375% due 11/15/2008 513 538 7.750% due 02/15/2009 7,546 7,664 XO Communications, Inc. 0.000% due 06/01/2009 (c) 800 68 0.000% due 12/01/2009 (c) 5,000 425 XTO Energy Inc. 9.250% due 04/01/2007 1,136 1,176 8.750% due 11/01/2009 3,800 3,895 Young Broadcasting, Inc. 9.000% due 01/15/2006 11,440 9,552 8.750% due 06/15/2007 127 105 10.000% due 03/01/2011 10,425 8,340 ----------- 1,734,602 =========== Utilities 12.1% AES Corp. 8.750% due 12/15/2002 3,000 2,955 8.750% due 06/15/2008 1,800 1,562 9.500% due 06/01/2009 17,194 15,131 9.375% due 09/15/2010 14,815 12,815 8.875% due 02/15/2011 8,200 6,970 AT&T Canada, Inc. 0.000% due 06/15/2008 (c) 25,094 8,536 10.625% due 11/01/2008 4,572 2,512 AT&T Wireless Services, Inc. 7.875% due 03/01/2011 14,750 15,837 Azurix Corp. 10.375% due 02/15/2007 7,544 7,506 Calpine Corp. 7.625% due 04/15/2006 4,925 4,856 8.750% due 07/15/2007 19,441 19,414 7.875% due 04/01/2008 7,248 6,955 8.500% due 05/01/2008 28,500 27,863 7.750% due 04/15/2009 789 744 8.625% due 08/15/2010 150 147 8.500% due 02/15/2011 2,200 2,136 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 2,288 2,277 Citizens Communications Co. 8.500% due 05/15/2006 9,400 10,138 7.625% due 08/15/2008 4,170 4,264 9.250% due 05/15/2011 4,000 4,429 CMS Energy Corp. 8.125% due 05/15/2002 3,579 3,605 6.750% due 01/15/2004 4,492 4,362 7.000% due 01/15/2005 10,637 10,647 9.875% due 10/15/2007 6,113 6,327 8.900% due 07/15/2008 5,000 5,004 7.500% due 01/15/2009 3,800 3,598 8.500% due 04/15/2011 7,750 7,586 Commonwealth Edison Co. 6.625% due 12/31/2004 2,000 1,995 El Paso Energy Corp. 8.500% due 06/01/2011 8,950 9,040 France Telecom 7.750% due 03/01/2011 16,700 17,775 Hanover Equipment Trust 8.500% due 09/01/2008 7,525 7,581 Insight Midwest LP 10.500% due 11/01/2010 3,000 3,150 Key Energy Services, Inc. 8.375% due 03/01/2008 4,620 4,528 LIN Television Corp. 8.000% due 01/15/2008 18,300 17,568 Mastec, Inc. 7.750% due 02/01/2008 6,150 5,012 Mediacom Broadband LLC 11.000% due 07/15/2013 16,020 16,421 Mission Energy Holding Co. 13.500% due 07/15/2008 6,750 6,851 Niagara Mohawk Power Co. 0.000% due 07/01/2010 16,700 15,696 NRG Northeast Generating LLC 8.842% due 12/15/2015 1,400 1,543 Pogo Producing Co. 8.250% due 04/15/2011 5,950 5,905 Rocky River Realty 8.810% due 04/14/2007 (b) 2,620 2,939 Rogers Communications 9.125% due 01/15/2006 4,000 3,990 SESI, LLC 8.875% due 05/15/2011 10,100 9,292 Telewest Credit Links 10.875% due 02/07/2005 16,000 15,543 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 4,812 4,819 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 566 10.732% due 01/01/2013 (b) 7,015 8,227 ----------- 356,617 ----------- Total Corporate Bonds & Notes 2,203,943 =========== (Cost $2,489,701) MORTGAGE-BACKED SECURITIES 4.0% Collateralized Mortgage Obligations 2.2% LTC Commercial Corp. 9.200% due 08/04/2023 2,235 2,017 7.970% due 04/15/2028 3,993 3,818 NationsBanc Mortgage Capital Corp. 8.035% due 05/25/2028 3,035 2,750 Red Mountain Funding Corp. 9.150% due 11/28/2027 4,517 3,045 Resolution Trust Corp. 6.900% due 02/25/2027 3,215 3,191 Sasco Floating Rate Commercial Mortgage Trust 4.130% due 04/25/2003 (d) 23,504 23,521 Washington Mutual, Inc. 6.398% due 10/25/2039 25,000 25,940 ----------- 64,282 =========== 70 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Fannie Mae 1.8% 6.000% due 10/18/2016 $ 52,000 $ 52,861 -------- Stripped Mortgage-Backed Securities 0.0% Fannie Mae (IO) 7.000% due 07/25/2008 1,082 133 7.000% due 04/25/2019 3,558 93 7.000% due 12/25/2021 1,729 165 -------- 391 -------- Total Mortgage-Backed Securities 117,534 ======== (Cost $116,594) ASSET-BACKED SECURITIES 7.5% Acterna LLC 5.841% due 09/01/2007 1,465 1,304 Adelphia Communications Corp. 6.790% due 10/01/2002 4,500 4,402 Airplanes Pass Through Trust 10.875% due 03/15/2019 21,515 11,138 Airtrust 0.000% due 06/01/2013 8,777 3,160 Allied Waste Industries, Inc. 5.562% due 07/30/2006 1,824 1,805 6.125% due 07/30/2006 8,056 7,972 6.375% due 07/21/2007 912 902 5.812% due 07/30/2007 (d) 913 904 6.187% due 07/30/2007 (d) 4,559 4,511 6.375% due 07/30/2007 (d) 3,191 3,158 6.625% due 07/30/2007 (d) 2,280 2,256 Charter Commercial Holdings LLC 6.210% due 03/31/2008 23,000 22,336 Conseco Finance 9.300% due 10/15/2030 8,000 8,742 Continental Airlines, Inc. 4.038% due 07/30/2004 9,930 9,541 Da Vita 7.000% due 04/30/2006 1,975 1,986 Emmis Communications Corp. 6.562% due 08/31/2009 8,233 8,018 Flag Ltd. 5.625% due 03/31/2006 2,292 2,188 Global Crossing Holding Ltd. 6.460% due 08/15/2006 3,000 2,549 Green Tree Financial Corp. 8.000% due 07/15/2018 6,000 5,213 Greif 6.950% due 03/15/2008 4 4 Huntsman Corp. 9.500% due 07/31/2004 787 627 9.500% due 06/30/2005 3,049 2,302 9.571% due 06/30/2005 102 77 9.500% due 06/30/2005 1,052 794 5.750% due 06/30/2007 659 635 10.250% due 07/01/2007 5,000 4,959 Impress Metal 6.961% due 12/01/2006 1,010 929 Insight Midwest 6.562% due 12/15/2009 7,000 6,995 Island Inland Co. 9.508% due 07/09/2003 3,000 2,325 Kinetic Concepts, Inc. 5.960% due 12/31/2004 3,028 3,015 Lyondell Petroleum 10.495% due 05/17/2006 2,000 2,032 Mission Energy 11.290% due 07/25/2006 1,000 995 Nextel Communications, Inc. 6.562% due 03/31/2008 12,169 10,668 OM Group 6.570% due 03/31/2007 2,000 1,980 SPX Corp. 9.400% due 06/14/2005 15,400 16,044 Stone Container Corp. 7.125% due 04/01/2003 (d) 1,466 1,467 7.125% due 10/01/2003 (d) 9,652 9,655 7.125% due 10/01/2005 (d) 1,114 1,111 Suiza Foods 7.875% due 07/15/2008 5,000 5,022 Timber Corp. 4.830% due 11/30/2001 47,300 47,300 Triad Hospitals, Inc. 6.530% due 04/30/2003 1,054 1,055 ------- Total Asset-Backed Securities 222,076 ======= (Cost $235,851) SOVEREIGN ISSUES 0.6% Republic of Egypt 8.750% due 07/11/2011 11,250 10,041 United Mexican States 10.375% due 02/17/2009 6,500 7,187 ------- Total Sovereign Issues 17,228 ======= (Cost $18,564) CONVERTIBLE BONDS & NOTES 2.7% Health Care 0.9% Omnicare, Inc. 5.000% due 12/01/2007 8,200 7,288 Tenet Healthcare Corp. 6.000% due 12/01/2005 3,664 3,328 Total Renal Care Holdings 7.000% due 05/15/2009 15,953 15,155 ------- 25,771 ======= Industrial 1.6% American Tower Corp. 5.000% due 02/15/2010 15,100 10,966 Mail-Well, Inc. 5.000% due 11/01/2002 6,650 5,952 Pride International, Inc. 0.000% due 04/24/2018 14,000 6,020 Waste Management, Inc. 4.000% due 02/01/2002 24,338 24,338 ------- 47,276 ======= Utilities 0.2% Nextel Communications, Inc. 5.250% due 01/15/2010 5,500 2,812 Rogers Communication, Inc. 2.000% due 11/26/2005 4,500 3,443 ------- 6,255 ------- Total Convertible Bonds & Notes 79,302 ======= (Cost $79,081) PREFERRED STOCK 2.9% Shares Adelphia Communications Corp. 13.000% due 07/15/2009 9,000 767 CSC Holdings, Inc. 11.125% due 04/01/2008 161,572 16,521 Fresenius Medical Care 7.875% due 02/01/2008 27,675 27,467 9.000% due 12/01/2006 34,025 34,791 7.875% due 06/15/2011 1,000,000 995 Newscorp Overseas Ltd. 8.625% due 12/31/2049 105,100 2,533 Primedia, Inc. 4.200% due 11/01/2009 55,300 2,226 8.625% due 04/01/2010 39,500 1,590 ------- Total Preferred Stock 86,890 ======= (Cost $94,251) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 71 PIMCO Schedule of Investments A, B, and C Classes (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.8% Commercial Paper 7.6% CDC 3.380% due 10/01/2001 $ 95,000 $ 95,000 Fannie Mae 4.005% due 11/01/2001 20,000 19,931 3.630% due 12/27/2001 7,500 7,453 3.540% due 01/03/2002 5,200 5,165 Federal Home Loan Bank 4.000% due 10/31/2001 10,000 9,966 General Electric Capital Corp. 3.860% due 10/02/2001 13,500 13,499 3.500% due 12/27/2001 26,300 26,135 3.600% due 12/28/2001 5,400 5,366 Swedbank, Inc. 3.550% due 10/24/2001 10,500 10,476 UBS Finance, Inc. 3.870% due 10/02/2001 7,800 7,799 3.510% due 12/20/2001 24,300 24,162 ------------ $ 224,952 ============ Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 7,000 7,000 (Dated 09/28/2001. Collateralized by Federal Farm Credit Bank 5.450% due 01/23/2003 valued at $7,145. Repurchase proceeds are $7,002.) ------------ Total Short-Term Instruments $ 231,952 ============ (Cost $231,798) Total Investments (a) 100.0% $ 2,958,925 (Cost $3,265,840) Other Assets and Liabilities (Net) (0.0%) (990) ------------ Net Assets 100.0% $ 2,957,935 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 40,532 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (347,447) ------------ Unrealized depreciation-net $ (306,915) ============ (b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - --------------------------------------------------------------- Sell EC 2,270 10/2001 $ 14 ------------ (g) Principal amount denoted in indicated currency: EC - Euro 72 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments A, B, and C Classes Long-Term U.S. Government Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ----------------------------------------------------------------- CORPORATE BONDS & NOTES 7.4% Banking & Finance 5.0% Associates Corp. of North America 5.800% due 04/20/2004 $ 2,500 $ 2,609 Bank One Corp. 3.750% due 05/07/2002 (d) 2,400 2,401 Bankunited FSB 5.400% due 02/02/2004 2,000 2,067 Countrywide Home Loans 6.850% due 06/15/2004 1,500 1,603 Ford Motor Credit Co. 4.260% due 06/02/2003 (d) 1,900 1,880 Goldman Sachs Group, Inc. 4.310% due 01/14/2002 (d) 3,000 3,006 Morgan Stanley, Dean Witter & Co. 3.960% due 04/22/2004 (d) 2,500 2,509 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 5,000 5,003 Postal Square LP 6.500% due 06/15/2022 1,863 2,055 Washington Mutual Capital I 4.380% due 05/14/2004 (d) 5,000 5,010 -------------- 28,143 ============== Industrials 1.9% DaimlerChrysler North America Holding Corp. 7.750% due 05/27/2003 5,000 5,260 4.441% due 08/16/2004 (d) 3,000 2,942 Ford Motor Co. 7.450% due 07/16/2031 2,800 2,644 -------------- 10,846 ============== Utilities 0.5% Scana Corp. 4.420% due 07/15/2002 (d) 2,000 2,002 WorldCom, Inc. 4.305% due 11/26/2001 (d) 700 701 -------------- 2,703 -------------- Total Corporate Bonds & Notes 41,692 ============== (Cost $41,020) MUNICIPAL BONDS & NOTES 0.8% California 0.8% Kern County California Pension Obligation Revenue Bonds, (MBIA Insured), Series 1995 7.260% due 08/15/2014 3,900 4,350 -------------- Total Municipal Bonds & Notes 4,350 ============== (Cost $4,068) U.S. GOVERNMENT AGENCIES 22.6% Fannie Mae 6.850% due 11/06/2003 4,000 4,017 5.375% due 03/08/2004 20,000 20,254 6.130% due 06/03/2004 300 306 6.470% due 04/15/2009 1,000 1,017 7.250% due 01/15/2010 3,800 4,359 7.125% due 01/15/2030 580 658 Federal Farm Credit Bank 5.750% due 01/18/2011 9,300 9,646 6.000% due 03/07/2011 20,000 21,107 Federal Home Loan Bank 6.750% due 02/01/2002 8,100 8,212 5.950% due 12/10/2008 250 252 6.410% due 09/30/2013 500 504 6.650% due 10/21/2013 300 301 Resolution Funding Strip 0.000% due 10/15/2020 124,900 39,773 0.000% due 01/15/2030 5,000 987 Tennessee Valley Authority 7.140% due 05/23/2012 4,000 4,455 7.125% due 05/01/2030 10,000 11,167 -------------- Total U.S. Government Agencies 127,015 ============== (Cost $123,535) U.S. TREASURY OBLIGATIONS 18.5% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) $ 7,315 $ 7,443 3.625% due 01/15/2008 16,481 17,104 3.625% due 04/15/2028 3,292 3,382 3.875% due 04/15/2029 2,159 2,319 U.S. Treasury Bonds 14.000% due 11/15/2011 (g) 10,000 14,580 6.250% due 08/15/2023 (g) 41,950 46,034 6.000% due 02/15/2026 (g) 7,700 8,217 U.S. Treasury Strips 0.000% due 11/15/2016 11,800 5,070 -------------- Total U.S. Treasury Obligations 104,149 ============== (Cost $101,090) MORTGAGE-BACKED SECURITIES 43.0% Collateralized Mortgage Obligations 23.5% Bank of America Mortgage Securities, Inc. 7.250% due 02/25/2031 2,086 2,163 Bear Stearns Mortgage Securities, Inc. 7.100% due 06/25/2024 385 380 6.887% due 06/25/2030 (d) 673 668 California Federal Bank 6.672% due 08/25/2030 (d) 446 458 Chase Mortgage Finance Corp. 8.256% due 04/25/2025 (d) 255 260 Countrywide Funding Corp. 6.500% due 01/25/2009 349 355 7.000% due 05/25/2024 8,000 8,026 Discover Card Master Trust I 6.792% due 04/16/2010 351 363 Fannie Mae 6.250% due 12/25/2013 84 86 3.261% due 10/25/2017 (d) 2,459 2,480 7.000% due 02/25/2020 895 905 6.950% due 07/25/2020 1,028 1,061 8.000% due 03/25/2022 2 2 7.000% due 04/25/2022 942 1,020 7.000% due 06/25/2022 454 474 7.800% due 10/25/2022 330 351 7.000% due 10/25/2022 1,757 1,829 7.000% due 05/25/2023 72 73 6.900% due 05/25/2023 704 716 7.000% due 05/25/2023 1,433 1,507 7.000% due 06/25/2023 605 632 7.000% due 07/25/2023 60 62 6.500% due 08/25/2023 866 883 6.000% due 08/25/2023 150 130 4.500% due 10/25/2023 291 193 6.500% due 11/25/2023 2,000 2,014 6.500% due 12/25/2023 4,108 3,844 7.000% due 12/25/2023 1,718 1,829 6.500% due 01/25/2024 1,583 1,599 6.500% due 02/25/2024 325 321 6.000% due 05/17/2027 2,500 2,439 7.000% due 05/18/2027 1,716 1,733 First Boston Mortgage Securities Corp. 7.300% due 07/25/2023 1,607 1,658 Freddie Mac 9.500% due 01/15/2005 14 14 8.000% due 02/15/2015 461 498 6.000% due 01/15/2019 4,600 4,631 4.250% due 12/15/2021 317 318 7.000% due 07/15/2022 1,189 1,237 7.000% due 05/15/2023 290 301 7.000% due 08/15/2023 360 375 7.000% due 09/15/2023 874 907 6.250% due 09/15/2023 5,000 5,159 7.410% due 10/25/2023 999 1,022 6.500% due 11/15/2023 5,700 5,373 6.000% due 11/15/2023 1,039 1,011 6.500% due 11/25/2023 645 637 6.250% due 12/15/2023 545 531 6.500% due 12/15/2023 1,121 1,120 7.000% due 01/15/2024 108 111 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 73 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Long-Term U.S. Government Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- 7.500% due 01/20/2024 $ 131 $ 131 6.500% due 02/15/2024 209 210 6.500% due 03/15/2024 1,242 1,256 6.500% due 12/15/2024 695 697 7.500% due 02/15/2025 853 860 6.500% due 11/15/2027 1,265 1,154 6.500% due 01/15/2028 5,073 5,070 6.500% due 03/15/2029 281 292 6.000% due 05/15/2029 115 101 7.000% due 10/15/2030 9,000 9,470 General Electric Capital Mortgage Services, Inc. 9.000% due 10/25/2023 100 104 6.500% due 11/25/2023 3,000 2,991 6.500% due 01/25/2024 4,921 4,765 6.500% due 03/25/2024 965 978 7.000% due 10/25/2027 162 162 6.650% due 05/25/2028 3,818 3,868 German American Capital Corp. 7.000% due 08/12/2010 (d) 3,000 3,277 Government National Mortgage Association 7.000% due 03/16/2029 298 280 Independent National Mortgage Corp. 9.329% due 01/25/2025 (d) 15 15 6.930% due 05/25/2026 12 12 Mellon Residential Funding Corp. 6.459% due 07/25/2029 (d) 35 35 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 2,004 2,038 Norwest Asset Securities Corp. 6.750% due 07/25/2028 3,000 2,951 6.750% due 10/25/2028 967 1,000 PNC Mortgage Securities Corp. 7.500% due 01/25/2015 1,662 1,747 7.500% due 02/25/2027 1,754 1,825 6.750% due 04/25/2028 3,000 3,077 4.075% due 12/25/2030 (d) 4,172 4,178 Prudential Home Mortgage Securities 6.950% due 09/25/2023 75 72 6.500% due 11/25/2023 102 96 6.500% due 01/25/2024 1,480 1,473 8.000% due 06/25/2024 468 489 Residential Accredit Loans, Inc. 7.000% due 02/25/2028 2,000 2,082 Residential Funding Mortgage Securities I 8.204% due 03/25/2025 (d) 29 29 7.750% due 09/25/2026 1,100 1,113 7.500% due 04/25/2027 2,395 2,447 7.500% due 11/25/2030 4,253 4,351 Resolution Trust Corp. 6.745% due 05/25/2029 (d) 565 549 4.625% due 09/25/2029 (d) 602 603 Vendee Mortgage Trust 6.500% due 06/15/2024 2,400 2,392 -------------- 131,999 ============== Fannie Mae 5.4% 6.470% due 08/01/2026 (d) 153 154 6.500% due 05/01/2003-07/01/2005 (e) 4,572 4,688 6.590% due 08/01/2026 (d) 79 79 6.626% due 12/01/2027 (d) 1,573 1,632 6.969% due 11/01/2023 (d) 1,956 2,010 7.000% due 03/01/2004-03/01/2009 (e) 11,453 11,889 7.249% due 10/01/2024 (d) 1,270 1,303 7.326% due 02/01/2028 (d) 235 242 7.383% due 01/01/2026 (d) 611 641 7.477% due 05/01/2025 (d) 1,053 1,105 7.500% due 02/01/2004-10/01/2004 (e) 2,083 2,152 7.600% due 10/01/2024 (d) 45 45 8.057% due 04/01/2028 (d) 1,816 1,872 8.500% due 04/01/2028 1,328 1,423 9.000% due 08/01/2021-06/01/2027 (e) 1,240 1,354 -------------- 30,589 ============== Federal Housing Administration 4.8% 6.896% due 07/01/2020 $ 3,354 $ 3,348 7.000% due 11/25/2019 3,811 3,739 7.400% due 12/18/2018 1,518 1,563 7.421% due 11/01/2019 91 92 7.430% due 08/01/2019-06/01/2024 (e) 18,260 18,520 -------------- 27,262 ============== Freddie Mac 2.6% 6.368% due 01/01/2028 (d) 1,952 2,007 6.733% due 09/01/2027 (d) 2,770 2,868 6.941% due 01/01/2028 (d) 1,277 1,325 7.000% due 07/01/2002 478 488 7.444% due 10/01/2026 (d) 350 355 7.450% due 03/25/2022 1,429 1,452 7.453% due 02/01/2028 (d) 1,317 1,381 7.468% due 12/01/2024 (d) 895 929 7.500% due 1,736 1,768 06/01/2004-10/01/2004 (e) 8.000% due 05/01/2004 1,749 1,790 8.156% due 05/01/2022 (d) 80 82 8.279% due 06/01/2022 (d) 44 45 -------------- 14,490 ============== Government National Mortgage Association 5.9% 6.375% due 6,396 6,525 02/20/2017-01/20/2028 (d)(e) 6.500% due 05/20/2030 (d) 11,203 11,363 6.800% due 10/15/2030 1,987 2,100 7.125% due 10/20/2026 (d) 38 39 7.375% due 3,352 3,431 04/20/2017-04/20/2027 (d)(e) 7.625% due 4,649 4,804 12/20/2017-11/20/2027 (d)(e) 7.750% due 4,745 4,891 09/20/2017-09/20/2026 (d)(e) -------------- 33,153 ============== Stripped Mortgage-Backed Securities 0.8% Fannie Mae (IO) 6.500% due 02/25/2007 27 1 6.500% due 07/25/2007 166 3 1197.96% due 08/25/2007 4 92 1014.600% due 09/25/2007 3 49 6.500% due 08/25/2020 88 4 6.750% due 06/25/2021 1,247 30 6.500% due 09/25/2021 277 24 7.000% due 12/25/2021 110 10 Fannie Mae (PO) 0.000% due 03/25/2009 2,944 2,560 0.000% due 09/25/2023 1,438 1,318 Freddie Mac (IO) 7.000% due 03/15/2003 572 25 6.500% due 11/15/2003 1,124 72 6.500% due 10/15/2006 52 1 819.100% due 02/15/2007 3 36 7.500% due 06/15/2007 177 9 6.500% due 10/15/2007 412 27 6.000% due 10/15/2007 45 2 6.500% due 11/15/2008 564 76 7.000% due 12/15/2023 1,094 129 Norwest Asset Securities Corp. (IO) 7.250% due 02/25/2012 417 30 -------------- 4,498 -------------- Total Mortgage-Backed Securities 241,991 ============== (Cost $232,660) ASSET-BACKED SECURITIES 3.9% Chase Mortgage Finance Corp. 6.750% due 08/25/2028 $ 1,850 $ 1,832 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 3,190 3,194 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 3,000 3,004 HPSC Equipment Receivables LLC 4.128% due 11/22/2007 (d) 7,956 7,956 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 3,315 3,300 SallieMae 4.143% due 07/25/2004 (d) 490 489 4.373% due 01/25/2007 (d) 416 417 5.224% due 10/27/2025 (d) 1,885 1,864 -------------- Total Asset-Backed Securities 22,056 ============== (Cost $22,023) 74 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 93.500 Exp. 2,000,000 50 12/17/2001 Strike @ 92.500 Exp. 390,000 5 12/14/2001 --------- Total Purchased Put Options 55 ========= (Cost $38) SHORT-TERM INSTRUMENTS 14.5% Commercial Paper 11.6% Fannie Mae 3.150% due 10/01/2001 65,000 65,000 --------- Repurchase Agreement 1.6% State Street Bank 2.600% due 10/01/2001 9,031 9,031 --------- (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 5.000% due 02/14/2003 valued at $9,214. Repurchase proceeds are $9,033.) U.S. Treasury Bills 1.3% 3.204% due 10/18/2001 (b)(e) 7,160 7,149 --------- Total Short-Term Instruments 81,180 ========= (Cost $81,180) Total Investments (a) 110.7% $ 622,488 (Cost $605,614) Written Options (c) (0.0%) (172) (Premiums $513) Other Assets and Liabilities (Net) (60,066) --------- (10.7%) Net Assets 100.0% $ 562,250 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 17,499 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (625) --------- Unrealized appreciation-net $ 16,874 ========= (b) Securities with an aggregate market value of $14,342 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - --------------------------------------------------------------------- Municipal Bond (12/2001) 7 $ 10 U.S. Treasury 10 Year Note (12/2001) 270 244 U.S. Treasury 30 Year Bond (12/2001) 2381 2,430 --------- $ 2,684 ========= (c) Premiums received on written options: # of Type Contracts Premium Value Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 500 $ 279 $ 47 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.140 Exp. 05/23/2002 4,000,000 70 10 Call - CME Eurodollar June Futures Strike @ 97.500 Exp. 06/17/2002 260 $ 64 $ 113 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 290 100 2 ---------------------- $ 513 $ 172 ====================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Subject to financing transaction. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ---------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.826%. Broker: Morgan Stanley Dean Witter Exp. 10/26/2030 $ 4,110 $ (541) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.778%. Broker: Goldman Sachs Exp. 02/15/2021 3,900 (461) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 06/15/2011 4,300 (359) Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 17,500 1,096 Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS-Warburg Exp. 01/14/2003 3,000 (1) --------- $ (266) ========= Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.310 $ 53,750 $ (2,276) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 06/29/2015 1.337 30,000 (1,099) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Goldman Sachs Exp. 11/15/2001 1.102 10,000 144 --------- $ (3,231) ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 75 PIMCO Schedule of Investments A, B, and C Classes Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------ CORPORATE BONDS & NOTES 37.0% Banking & Finance 18.5% American General Finance 6.875% due 12/14/2001 $ 25,000 $ 25,208 Associates Corp. of North America 6.875% due 06/20/2002 20,000 20,514 6.950% due 08/01/2002 1,000 1,035 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,850 Bank of America Corp. 7.200% due 09/15/2002 100 104 7.875% due 12/01/2002 100 105 6.625% due 06/15/2004 1,000 1,067 Bank One Corp. 7.250% due 08/01/2002 500 518 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 2,800 2,805 6.125% due 02/01/2003 3,000 3,103 2.941% due 03/28/2003 (d) 8,600 8,596 6.200% due 03/30/2003 9,700 10,075 4.113% due 05/24/2004 (d) 2,000 2,004 3.883% due 06/01/2004 (d) 3,000 3,007 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,554 1,607 Beneficial Corp. 3.727% due 01/09/2002 (d) 10,000 10,005 6.650% due 12/2002 5,000 5,173 6.575% due 12/16/2002 5,440 5,645 Capital One Bank 3.553% due 06/23/2003 (d) 1,100 1,096 Chrysler Financial Corp. LLC 3.524% due 08/08/2002 (d) 8,000 7,941 CIT Group, Inc. 3.510% due 09/13/2002 (d) 19,900 19,939 7.375% due 03/15/2003 1,000 1,053 5.260% due 04/07/2003 (d) 2,600 2,609 Credit Asset Receivable LLC 6.274% due 10/31/2003 24,972 25,030 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,569 6.500% due 11/15/2006 6,700 6,910 7.100% due 03/15/2007 6,700 6,773 Finova Capital Corp. 7.500% due 11/15/2009 2,100 824 Ford Motor Credit Co. 6.520% due 08/12/2002 13,000 13,354 6.000% due 01/14/2003 15,000 15,374 3.720% due 02/13/2003 (d) 2,000 1,976 3.340% due 03/17/2003 (d) 3,000 2,962 6.125% due 04/28/2003 14,000 14,367 3.303% due 06/23/2003 (d) 9,800 9,713 4.320% due 03/08/2004 (d) 18,900 18,840 3.950% due 04/26/2004 (d) 19,000 18,661 7.500% due 03/15/2005 1,000 1,063 5.219% due 07/18/2005 (d) 400 390 General Motors Acceptance Corp. 3.695% due 11/12/2002 (d) 17,400 17,276 5.875% due 01/22/2003 500 512 6.750% due 03/15/2003 3,700 3,835 4.529% due 07/20/2003 (d) 7,755 7,755 5.924% due 07/21/2003 (d) 200 197 3.986% due 08/04/2003 (d) 98,420 97,095 5.550% due 09/15/2003 3,000 3,058 5.750% due 11/10/2003 5,000 5,121 4.480% due 01/20/2004 (d) 9,400 9,292 3.453% due 03/22/2004 (d) 5,000 4,939 4.070% due 04/05/2004 (d) 700 686 7.625% due 06/15/2004 1,000 1,065 6.850% due 06/17/2004 1,000 1,045 4.060% due 07/21/2004 (d) 600 583 Great Western Financial 8.600% due 02/01/2002 4,000 4,067 Heller Financial, Inc. 4.740% due 10/22/2001 (d) 1,000 1,001 3.920% due 01/22/2002 (d) 13,600 13,615 3.965% due 04/28/2003 (d) 20,000 20,030 Household Finance Corp. 7.625% due 01/15/2003 10,849 11,388 6.125% due 02/27/2003 1,500 1,542 2.863% due 06/24/2003 (d) 1,500 1,503 6.125% due 07/15/2012 11,000 11,217 Industrial Bank of Korea 8.375% due 09/30/2002 5,000 5,225 Key Bank NA 6.052% due 04/24/2003 12,900 13,385 KFW International Finance, Inc. 5.000% due 01/22/2002 7,690 7,739 5.500% due 02/19/2002 7,887 7,965 5.375% due 05/10/2002 12,282 12,463 6.125% due 07/08/2002 18,589 19,035 Korea Development Bank 7.900% due 02/01/2002 6,100 6,181 7.625% due 10/01/2002 21,200 22,033 6.500% due 11/15/2002 5,898 6,085 7.800% due 06/16/2003 (d) 3,500 3,430 6.625% due 11/21/2003 20,300 21,200 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002 (d) 5,000 5,019 4.466% due 12/12/2002 (d) 1,500 1,507 4.220% due 04/04/2003 (d) 7,900 7,915 4.220% due 07/06/2004 (d) 1,500 1,501 Marsh & McLennan Cos., Inc. 6.625% due 06/15/2004 1,000 1,062 Merrill Lynch & Co. 6.130% due 04/07/2003 7,770 8,060 8.770% due 05/21/2004 (d) 110,890 111,088 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 17,850 18,643 Middletown Trust 11.750% due 07/15/2010 865 865 Midland Funding I 10.330% due 07/23/2002 909 924 Morgan Stanley Group, Inc. 3.548% due 03/11/2003 (d) 5,000 5,005 Nacional Financiera 10.625% due 11/22/2001 7,500 7,590 5.464% due 05/08/2003 (d) 7,000 7,005 Pemex Finance Ltd. 6.125% due 11/15/2003 11,400 11,632 PNC Bank NA 2.714% due 01/24/2002 (d) 20,000 20,005 Rothmans Holdings 6.500% due 05/06/2003 14,000 14,453 Salomon Inc. 7.300% due 05/15/2002 15,000 15,407 7.500% due 02/01/2003 3,000 3,164 Salomon Smith Barney Holdings 3.650% due 02/14/2002 (i) 1,119 1,125 3.980% due 05/04/2004 (d) 32,760 32,812 Seismic Ltd. 8.336% due 01/01/2002 (d) 10,000 9,985 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,971 Spieker Properties, Inc. 6.800% due 05/01/2004 2,000 2,095 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 11,600 11,646 Transamerica Finance Corp. 6.125% due 11/01/2001 5,000 5,008 Trinom Ltd. 7.150% due 06/18/2004 (d) 5,700 5,700 Wells Fargo & Co. 6.625% due 07/15/2004 1,000 1,070 ---------- 942,685 ========== Principal Amount Value (000s) (000s) - ------------------------------------------------------------------ Industrials 9.8% Allied Waste Industries, Inc. 7.375% due 01/01/2004 $ 5,000 4,950 AMR Corp. 9.125% due 10/24/2001 4,250 4,261 Atlas Air, Inc. 8.010% due 01/02/2010 9,778 9,382 Cemex SA de CV 8.625% due 07/18/2003 10,000 10,425 Coastal Corp. 3.913% due 03/06/2002 (d) 32,200 32,251 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,198 Cox Enterprises, Inc. 6.625% due 06/14/2002 3,000 3,051 4.579% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corq. 3.920% due 12/16/2002 (d) 13,400 13,476 3.880% due 08/16/2004 (d) 1,000 981 6.900% due 09/01/2004 1,000 1,057 Delta Air Lines, Inc. 6.650% due 03/15/2004 2,925 2,586 Eastman Chemical Co. 6.375% due 01/15/2004 250 256 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,917 Enron Corp. 8.000% due 08/15/2005 8,300 8,587 Federal-Mogul Corp. 7.500% due 07/01/2004 (j) 28,600 2,360 General Motors Corp. 6.250% due 05/01/2005 7,000 7,174 Georgia-Pacific Group 9.950% due 06/15/2002 11,000 11,401 Global Crossing Holding Ltd. 6.000% due 10/15/2013 7,500 4,538 HCA - The Healthcare Co. 8.130% due 08/04/2003 5,000 5,250 6.630% due 07/15/2045 7,000 7,188 HMH Properties, Inc. 7.875% due 08/01/2005 5,000 4,425 IMEXSA Export Trust 10.125% due 05/31/2003 3,926 3,881 International Game Technology 7.875% due 05/15/2004 500 503 International Paper Co. 8.000% due 07/08/2003 10,000 10,602 Kinder Morgan, Inc. 6.450% due 11/30/2001 440 442 Kroger Co. 7.150% due 03/01/2003 13,500 14,140 Nabisco, Inc. 6.700% due 06/15/2002 21,100 21,524 Occidental Petroleum Corp. 6.400% due 04/01/2003 27,945 28,836 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 16,195 Petroleos Mexicanos 7.185% due 07/15/2005 (d) 10,173 10,396 6.906% due 07/15/2005 (d) 10,400 10,439 9.375% due 12/02/2008 5,500 5,748 Philip Morris Cos., Inc. 7.500% due 01/15/2002 200 202 7.250% due 01/15/2003 4,050 4,221 8.250% due 10/15/2003 1,000 1,080 6.950% due 06/01/2006 25,000 26,582 Phillips Petroleum Co. 8.500% due 05/25/2005 2,000 2,228 Qwest Corp. 6.125% due 07/15/2002 5,250 5,334 5.650% due 11/01/2004 9,250 9,263 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 11,357 Rollins Truck Leasing Co. 8.000% due 02/15/2003 3,000 3,157 Shoppers Food Warehouse Corp. 9.750% due 06/15/2004 10,500 10,962 SR Wind Ltd. 8.888% due 05/18/2005 (d) 6,000 5,980 9.388% due 05/18/2005 (d) 3,000 3,031 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,818 TCI Communications, Inc. 3.810% due 03/11/2003 (d) 3,000 3,018 Tenet Healthcare Corp. 7.875% due 01/15/2003 5,300 5,512 8.625% due 12/01/2003 9,700 10,379 Time Warner, Inc. 6.100% due 12/30/2001 250 251 7.975% due 08/15/2004 1,950 2,137 TTX Co. 7.820% due 07/21/2003 61,000 65,039 Tyco International Group SA 6.875% due 09/05/2002 18,805 19,278 Waste Management, Inc. 6.500% due 05/15/2004 45,000 46,566 ---------- 501,829 ========== Utilities 8.7% Arizona Public Service Co. 5.875% due 02/15/2004 5,600 5,755 Arkansas Power & Light 6.000% due 10/01/2003 450 450 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 3,000 3,058 British Telecom PLC 4.445% due 12/15/2003 (d) 9,900 10,098 7.625% due 12/15/2005 73,400 79,410 CenturyTel, Inc. 7.750% due 10/15/2012 32,000 32,990 Cinergy Corp. 6.125% due 04/15/2004 13,000 13,177 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,088 7.850% due 07/30/2002 3,500 3,630 9.500% due 05/15/2005 9,000 9,277 CMS Energy Corp. 8.125% due 05/15/2002 5,000 5,037 8.375% due 07/01/2003 7,750 8,018 7.625% due 11/15/2004 15,400 15,172 DTE Energy Co. 7.110% due 11/15/2038 21,000 21,818 Duke Energy Field Services 7.500% due 08/16/2005 1,000 1,074 Entergy Louisiana, Inc. 7.740% due 07/01/2002 3,308 3,317 8.500% due 06/01/2003 4,000 4,269 Entergy Mississippi, Inc. 7.750% due 02/15/2003 35,000 36,626 France Telecom 3.396% due 07/16/2003 (d) 11,700 11,707 7.200% due 03/01/2006 29,300 31,045 Illinois Power Co. 6.250% due 07/15/2002 10,000 10,173 6.000% due 09/15/2003 12,500 12,913 Kentucky Power Co. 6.650% due 05/01/2003 1,000 1,002 Niagara Mohawk Power Co. 7.250% due 10/01/2002 16,634 17,122 Noram Energy Corp. 6.375% due 11/01/2003 2,000 2,092 Ohio Edison Co. 8.625% due 09/15/2003 5,000 5,394 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(j) 46,700 40,162 Scana Corp. 4.150% due 02/08/2002 (d) 1,000 1,001 Sprint Capital Corp. 9.500% due 04/01/2003 5,800 6,258 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 77 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Texas Utilities Corp. 5.940% due 10/15/2001 $ 13,405 13,429 6.500% due 08/16/2002 1,000 1,022 9.700% due 02/28/2003 4,695 5,052 6.750% due 03/01/2003 925 958 6.750% due 04/01/2003 3,875 4,027 6.875% due 08/01/2005 2,000 2,110 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,590 United Illuminating Co. 6.000% due 12/15/2003 13,000 13,398 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 6,200 6,209 WorldCom, Inc. 6.125% due 04/15/2012 4,300 4,359 --------- 447,287 --------- Total Corporate Bonds & Notes 1,891,801 (Cost $1,885,673) ========= U.S. GOVERNMENT AGENCIES 2.2% Fannie Mae 4.625% due 10/15/2001 535 535 6.850% due 11/06/2003 30,000 30,127 5.375% due 03/15/2004 37,000 37,490 7.125% due 09/19/2005 25,000 26,104 7.000% due 11/14/2005 15,085 15,819 Freddie Mac 6.500% due 02/04/2013 1,200 1,209 6.625% due 07/02/2013 1,195 1,198 Small Business Administration 8.250% due 01/25/2013 (d) 244 252 8.250% due 02/25/2014 (d) 461 459 -------- Total U.S. Government Agencies 113,193 (Cost $111,442) ======== U.S. TREASURY OBLIGATIONS 8.0% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 141,876 144,360 3.375% due 01/15/2007 (i) 72,999 75,120 3.625% due 01/15/2008 (i) 108,342 112,438 3.875% due 01/15/2009 (i) 65,270 68,676 3.500% due 01/15/2011 (i) 6,120 6,296 -------- Total U.S. Treasury Obligations 406,890 (Cost $392,019) ======== MORTGAGE-BACKED SECURITIES 84.8% Collateralized Mortgage Obligations 21.4% Bear Stearns Adjustable Rate Mortgage Trust 7.482% due 12/25/2030 (d) 7,833 7,957 7.491% due 12/25/2030 (d) 10,431 10,576 6.397% due 09/25/2031 (d) 27,269 27,646 Cendant Mortgage Corp. 6.500% due 01/18/2016 345 350 6.750% due 04/25/2031 10,254 10,308 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 111 118 Chase Mortgage Finance Corp. 6.500% due 06/25/2013 4,525 4,612 8.257% due 04/25/2025 (d) 392 399 6.750% due 06/25/2028 11,250 11,583 6.350% due 07/25/2029 3,534 3,630 Citicorp Mortgage Securities, Inc. 6.500% due 12/01/2019 (d) 270 269 6.750% due 05/25/2028 6,266 6,448 CMC Securities Corp. IV 7.250% due 10/25/2027 11,593 11,999 7.250% due 11/25/2027 10,038 10,446 CNL Commercial Loan Trust 3.698% due 10/20/2027 (d) 59,639 59,639 Commercial Trust 6.670% due 12/15/2003 (d) 2,718 2,669 Countrywide Funding Corp. 6.500% due 01/25/2035 (d) 939 941 Countrywide Home Loans 6.900% due 12/25/2027 18,061 18,845 Criimi Mae Financial Corp. 7.000% due 01/01/2033 7,377 7,670 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 82 84 7.500% due 02/25/2031 48,391 50,155 7.500% due 03/25/2031 22,130 22,246 6.400% due 01/17/2035 107 111 Dime Savings 7.317% due 11/01/2018 (d) 744 726 DLJ Commercial Mortgage Corp. 4.334% due 07/05/2008 (d) 740 743 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 549 629 8.603% due 05/25/2024 (d) 667 683 4.125% due 06/25/2026 (d) 6,460 6,483 6.850% due 12/17/2027 165 175 Drexel Burnham Lambert Trust 4.625% due 05/01/2016 (d) 18 18 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 80 81 Fannie Mae 8.950% due 05/25/2003 6 6 9.400% due 07/25/2003 18 18 9.000% due 07/25/2003 62 63 6.875% due 06/25/2009 662 667 7.000% due 09/25/2016 10,368 10,476 9.250% due 10/25/2018 52 56 9.500% due 03/25/2020 4,068 4,542 9.500% due 05/25/2020 906 999 9.000% due 03/25/2021 2,429 2,641 9.000% due 04/25/2021 81 89 8.000% due 12/25/2021 1,945 2,118 8.000% due 03/25/2022 9 9 3.288% due 04/25/2022 (d) 146 147 Federal Housing Administration 6.750% due 10/30/2031 16,200 16,476 First Nationwide Trust 7.750% due 10/25/2030 44,034 45,582 Freddie Mac 8.000% due 07/01/2006 29 31 6.000% due 07/15/2006 134 134 6.500% due 08/15/2006 778 785 8.500% due 01/01/2007 51 54 8.000% due 09/15/2007 621 629 5.750% due 01/15/2008 2,310 2,328 9.500% due 07/01/2010 54 59 6.500% due 08/15/2011 14,086 14,616 8.000% due 01/01/2012 78 79 12.500% due 09/30/2013 425 480 11.750% due 02/01/2014 1 2 10.000% due 07/15/2019 171 185 9.000% due 11/15/2019 102 103 10.000% due 05/15/2020 123 130 9.000% due 12/15/2020 1,938 2,027 7.500% due 12/15/2020 241 242 9.500% due 01/15/2021 710 764 6.500% due 02/15/2021 456 459 8.000% due 04/15/2021 844 879 9.000% due 05/15/2021 142 152 9.500% due 09/01/2021 25 27 8.000% due 04/01/2022 346 370 8.000% due 11/01/2022 237 253 7.500% due 01/20/2024 310 310 8.500% due 08/01/2024 91 98 8.500% due 11/01/2024 756 808 6.250% due 04/15/2028 6,436 6,558 6.500% due 10/01/2028 57 59 6.303% due 08/15/2032 (d) 4,630 4,711 78 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------- General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 $ 1,556 $ 1,567 7.500% due 11/25/2030 11,388 11,538 German American Capital Corp. 7.000% due 08/12/2010 (d) 6,800 7,428 Glendale Federal Savings & Loan 11.000% due 03/01/2010 14 15 5.386% due 03/25/2030 (d) 677 685 GMAC Commercial Mortgage Corp. 4.060% due 02/20/2003 (d) 1,160 1,160 3.990% due 09/20/2005 (d) 200 200 Golden Mortgage Loan 7.875% due 02/25/2031 (d) 15,384 15,624 GS Mortgage Securities Corp. 6.044% due 08/15/2018 24,074 24,752 6.526% due 08/15/2018 21,600 22,328 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 20 20 Home Savings of America 5.685% due 05/25/2027 (d) 978 970 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 70,250 72,461 Imperial Savings Association 8.839% due 07/25/2017 (d) 28 28 9.900% due 02/25/2018 229 232 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 80 94 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 101 105 Mellon Residential Funding Corp. 6.400% due 06/25/2028 16,661 17,077 6.580% due 07/25/2029 (d) 17,411 18,450 Morgan Stanley Capital I 7.460% due 02/15/2020 22,300 23,886 7.188% due 08/15/2023 85 91 7.266% due 11/15/2028 197 211 Morgan Stanley Dean Witter Capital I 3.818% due 10/15/2026 (d) 262 260 Mortgage Capital Funding, Inc. 6.325% due 10/18/2007 18,217 19,097 Nationslink Funding Corp. 6.297% due 11/10/2002 5,000 5,197 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,107 1,137 6.500% due 01/25/2029 6,000 6,204 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 252 251 6.750% due 05/25/2028 3,082 3,100 6.300% due 06/25/2029 19,210 19,828 7.750% due 07/25/2030 25,213 25,509 7.500% due 05/25/2040 (d) 160 163 Prudential Home Mortgage Securities 7.500% due 09/25/2007 608 628 7.000% due 01/25/2008 10,000 10,080 6.750% due 11/25/2008 5,405 5,650 7.000% due 08/25/2009 4,000 4,087 7.000% due 06/25/2023 663 668 6.050% due 04/25/2024 25 25 7.300% due 06/25/2024 519 520 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 16 16 8.400% due 03/20/2021 2,553 2,686 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 3,833 3,833 6.500% due 04/19/2029 20,687 21,223 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 (d) 18,018 18,450 7.000% due 07/25/2029 367 373 Residential Asset Securitization Trust 6.500% due 09/25/2014 357 366 Residential Funding Mortgage Securities, Inc. 6.500% due 04/25/2009 8 8 7.500% due 08/25/2023 238 239 7.500% due 12/25/2025 894 924 7.000% due 10/25/2027 10,000 10,427 7.250% due 10/25/2027 2,497 2,491 6.250% due 11/25/2028 6,000 6,003 7.500% due 11/25/2030 34,899 35,683 Resolution Trust Corp. 5.998% due 05/25/2019 (d) 2,231 2,224 4.860% due 08/25/2019 (d) 1,975 1,976 7.017% due 10/25/2021 (d) 42 43 8.625% due 10/25/2021 7,597 7,584 9.332% due 10/25/2021 188 187 6.900% due 02/25/2027 2,506 2,488 6.096% due 10/25/2028 (d) 1,388 1,423 7.263% due 10/25/2028 (d) 619 618 7.414% due 05/25/2029 (d) 1,760 1,836 Ryland Mortgage Securities Corp. 7.049% due 11/25/2021 (d) 127 127 Salomon Brothers Mortgage Securities VII 7.400% due 12/25/2017 (d) 1,197 1,221 7.932% due 03/25/2024 (d) 650 661 8.153% due 10/25/2024 (d) 140 142 7.601% due 12/25/2030 5,908 6,003 Sasco Floating Rate Commercial Mortgage Trust 3.658% due 10/21/2013 (d) 877 878 Sears Mortgage Securities 12.000% due 02/25/2014 46 49 7.431% due 10/25/2022 (d) 1,402 1,418 SLH Mortgage Trust 9.600% due 03/25/2021 176 175 Structured Asset Mortgage Investments, Inc. 6.904% due 06/25/2028 (d) 5,778 5,887 9.081% due 06/25/2029 (d) 5,721 6,173 6.577% due 06/25/2029 (d) 27,071 27,828 6.750% due 05/02/2030 3,072 3,111 Structured Asset Securities Corp. 6.750% due 07/25/2029 12,021 12,460 7.750% due 07/25/2030 17,906 18,163 4.355% due 05/25/2031 (d) 34,401 34,531 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 7,521 7,521 Torrens Trust 3.750% due 07/15/2031 (d) 7,482 7,482 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 6,018 Wells Fargo Mortgage-Backed Securities Trust 7.000% due 02/25/2016 99,281 102,533 6.125% due 07/25/2031 10,000 10,110 --------- 1,094,378 ========= Fannie Mae 7.8% 5.500% due 04/01/2009 12,286 12,614 5.740% due 06/01/2017 (d) 63 64 5.990% due 08/01/2017 (d) 32 33 5.995% due 12/01/2017-12/01/2023 (d)(g) 315 318 6.000% due 05/01/2011 104 107 6.027% due 04/01/2018 (d) 5,508 5,570 6.318% due 08/01/2029 16,273 16,843 6.500% due 09/01/2005-07/01/2017 (d)(g) 829 852 6.748% due 11/01/2017 (d) 110 112 6.793% due 11/01/2017 (d) 239 241 6.870% due 01/01/2021 (d) 282 280 7.000% due 04/01/2002-05/01/2012 (g) 207 216 7.240% due 07/25/2017 (d) 1,741 1,768 7.265% due 02/01/2028 (d) 3,150 3,247 7.292% due 11/01/2018 (d) 71 71 7.607% due 07/01/2017 (d) 364 370 7.815% due 04/01/2024 (d) 1,454 1,491 7.917% due 07/01/2023 (d) 724 730 8.000% due 03/01/2004-10/15/2031 (d)(g) 325,033 340,774 8.261% due 01/01/2024 (d) 54 56 8.290% due 10/01/2024 (d) 2,047 2,085 8.476% due 01/01/2024 (d) 1,625 1,683 8.500% due 03/01/2008-01/01/2026 (g) 2,494 2,665 See accompanying notes | 9.30.01 | PIMCO Report 79 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- 8.585% due 01/01/2024 (d) $ 15 $ 16 9.000% due 01/01/2025 3 3 9.500% due 07/01/2024-11/01/2025 (g) 2,725 2,954 10.000% due 02/01/2004-01/01/2025 (g) 738 804 10.500% due 06/01/2005-12/01/2024 (g) 96 102 11.000% due 11/01/2020 32 36 11.250% due 12/01/2010-10/01/2015 (g) 89 99 11.500% due 12/01/2008-02/01/2020 (g) 47 55 11.750% due 02/01/2016 34 39 12.000% due 01/01/2015-10/01/2015 (g) 6 6 13.000% due 07/01/2015 5 6 13.250% due 09/01/2011 11 13 13.500% due 04/01/2014 3 3 15.500% due 10/01/2012-12/01/2012 (g) 47 56 15.750% due 12/01/2011 19 23 16.000% due 09/01/2012-12/01/2012 (g) 8 10 -------- 396,415 ======== Federal Housing Administration 1.1% 6.950% due 04/01/2014 1,981 1,965 7.400% due 02/01/2019 90 92 7.421% due 11/01/2019 398 405 7.430% due 10/01/2019-11/01/2025 (g)(j) 51,302 52,074 -------- 54,536 ======== Freddie Mac 0.7% 6.000% due 09/01/2006-10/16/2030 (g) 13,905 14,145 6.375% due 03/01/2017 (d) 160 162 6.500% due 02/01/2005 1 1 6.529% due 07/01/2018 (d) 197 202 6.806% due 12/01/2022 (d) 413 425 6.867% due 10/01/2027 (d) 800 830 6.928% due 02/01/2020 (d) 1,735 1,772 7.001% due 09/01/2023 (d) 182 188 7.500% due 09/01/2006 38 39 7.598% due 06/01/2024 (d) 448 459 7.625% due 01/01/2017 (d) 28 28 8.000% due 03/01/2007-12/01/2024 (g) 3,053 3,246 8.243% due 10/01/2023 (d) 766 784 8.250% due 10/01/2007-11/01/2007 (g) 17 18 8.338% due 11/01/2022 (d) 1,294 1,324 8.365% due 11/01/2023 (d) 327 335 8.369% due 03/01/2024 (d) 38 39 8.459% due 01/01/2024 (d) 1,247 1,281 8.465% due 01/01/2024 (d) 534 552 8.500% due 10/01/2002-11/01/2025 (g) 8,595 9,171 8.750% due 04/01/2002 4 4 9.000% due 05/01/2002-08/01/2022 (g) 2,357 2,542 9.500% due 12/01/2004-02/01/2025 (g) 211 229 9.750% due 08/01/2002-11/01/2008 (g) 442 482 10.000% due 04/01/2015-10/01/2019 (g) 74 83 10.500% due 10/01/2010-02/01/2016 (g) 18 20 10.750% due 09/01/2009-08/01/2011 (g) 243 268 11.500% due 10/01/2015-01/01/2016 (g) 39 44 11.750% due 11/01/2010-08/01/2015 (g) 10 11 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (g) 9 10 14.500% due 12/01/2010 2 3 15.000% due 08/01/2011-12/01/2011 (g) 3 4 -------- 38,703 ======== Government National Mortgage Association 53.7% 6.375% due 04/20/2016-06/20/2027 (d)(g) 30,702 31,387 6.500% due 05/15/2023-10/15/2023 (g) 477 492 7.000% due 03/15/2011-01/15/2030 (g) 4,681 4,889 7.125% due 11/20/2026 (d) 183 189 7.375% due 03/20/2017-03/20/2019 (d)(g) 212 216 7.500% due 01/15/2007-10/22/2031 (g) 1,364,094 1,424,342 7.625% due 10/20/2023-12/20/2027 (d)(g) 35,876 37,085 7.750% due 08/20/2022-07/20/2027 (d)(g) 46,902 48,347 8.000% due 11/15/2006-10/22/2031 (d)(g) 1,033,708 1,087,352 8.500% due 12/15/2021-02/15/2031 (g) 78,109 82,675 9.000% due 06/20/2016-12/15/2030 (g) 22,327 23,712 9.500% due 10/15/2016-06/15/2025 (g) 93 102 9.750% due 07/15/2017-10/15/2017 (g) 363 402 10.000% due 10/15/2013-11/15/2025 (g) 81 91 10.500% due 11/15/2019-02/15/2021 (g) 13 16 11.000% due 09/15/2010 5 6 11.500% due 08/15/2018 29 33 11.750% due 08/15/2013-08/15/2015 (g) 45 52 12.000% due 06/20/2015 7 8 13.000% due 10/15/2013 6 7 13.500% due 05/15/2011-11/15/2012 (g) 20 24 16.000% due 12/15/2011-02/15/2012 (g) 20 25 --------- 2,741,452 ========= Stripped Mortgage-Backed Securities 0.1% Fannie Mae (IO) 727.220% due 09/25/2006 9 22 6.000% due 02/25/2008 809 22 256.000% due 11/01/2008 16 64 6.500% due 03/25/2009 3,038 291 0.950% due 03/25/2009 (d) 10,825 200 7.500% due 03/25/2019 624 6 6.500% due 05/25/2019 5,056 221 6.500% due 04/25/2020 2,736 114 7.000% due 05/25/2021 1,934 96 859.770% due 02/25/2022 13 153 6.500% due 03/25/2023 1,984 232 4.875% due 03/25/2024 (d) 4,836 251 Fannie Mae (PO) 0.000% due 09/25/2022 17 16 Freddie Mac (IO) 6.000% due 10/15/2007 111 2 6.000% due 02/15/2008 353 9 7.000% due 08/15/2018 2,553 50 6.500% due 05/15/2019 1,839 58 6.500% due 06/15/2019 960 33 1049.620% due 04/15/2021 7 47 6.500% due 04/15/2022 1,654 152 7.000% due 05/15/2023 221 24 4.000% due 01/15/2024 20,919 3,421 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 39,053 177 ---------- 5,661 ---------- Total Mortgage-Backed Securities 4,331,145 (Cost $4,278,725) ========== ASSET-BACKED SECURITIES 4.1% Advanta Equipment Receivables 6.640% due 09/16/2002 89 89 Advanta Mortgage Loan Trust 7.760% due 05/25/2018 22,700 24,247 Amortizing Residential Collateral Trust 4.053% due 09/25/2030 (d) 12,070 12,088 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 85 85 Bombardier Capital Mortgage 6.605% due 09/15/2010 4,576 4,637 Capital Asset Research Funding LP 6.400% due 12/15/2004 49 49 Cento 6.013% due 03/01/2002 141 143 Circuit City Credit Card Master Trust 3.718% due 02/15/2006 (d) 250 250 CIT Marine Trust 5.800% due 04/15/2010 167 170 Community Program Loan Trust 4.500% due 10/01/2018 14,487 14,125 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 32,000 31,990 Conseco Finance 6.940% due 11/15/2014 119 120 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 517 521 Duck Auto Grantor Trust 5.650% due 03/15/2004 1,001 1,003 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 4,900 4,900 EQCC Home Equity Loan Trust 3.648% due 10/15/2027 (d) 196 196 80 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Equity One ABS, Inc. 7.325% due 03/25/2014 $ 9,400 $ 9,758 GF Funding Corp. 6.890% due 01/20/2006 12,105 12,281 Green Tree Financial Corp. 6.550% due 02/15/2027 6,883 7,100 7.400% due 06/15/2027 12,735 13,568 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 1,000 1,003 Green Tree Home Improvement Loan Trust 3.658% due 08/15/2029 (d) 410 410 IMC Home Equity Loan Trust 3.273% due 10/20/2027 (d) 2,599 2,602 Irwin Home Equity Loan Trust 7.460% due 09/25/2014 18,321 18,935 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 7,220 7,148 Merit Securities Corp. 7.040% due 12/28/2033 10,879 10,961 New York City Tax Lien 6.350% due 07/10/2007 3,336 3,175 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 1,379 1,388 Ocwen Mortgage Loan Trust 3.935% due 10/25/2029 (d) 374 375 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 4,198 4,208 Pacificamerica Home Equity Loan 3.800% due 04/25/2028 (d) 181 180 Providian Gateway Master Trust 3.768% due 03/16/2009 (d) 8,000 8,015 SallieMae 4.041% due 07/25/2004 (d) 14 14 4.263% due 04/25/2006 (d) 5,238 5,233 Saxon Asset Securities Trust 7.205% due 01/25/2019 275 285 2.891% due 05/25/2029 (d) 558 559 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 258 258 The Money Store Home Equity Trust 3.668% due 06/15/2029 (d) 432 432 Timber Corp. 4.830% due 11/30/2001 5,000 5,000 --------- Total Asset-Backed Securities 207,501 (Cost $202,822) ========= SOVEREIGN ISSUES 0.5% Province of Quebec 6.625% due 10/25/2001 (d) 250 250 Republic of Brazil 5.438% due 04/15/2006 (d) 5,680 4,729 United Mexican States 7.570% due 04/07/2004 (d) 21,530 22,163 --------- Total Sovereign Issues 27,142 (Cost $27,144) ========= FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1% Korea Development Bank 2.700% due 08/16/2002 JY 2,000,000 16,846 Republic of Austria 5.500% due 01/15/2010 (i) EC 8,900 8,388 Republic of Colombia 7.000% due 03/06/2002 IL36,220,000 16,957 United Mexican States 6.000% due 03/28/2002 JY 960,000 8,250 8.750% due 05/30/2002 3,000 4,438 --------- Total Foreign Currency-Denominated Issues 54,879 (Cost $60,270) ========= PURCHASED PUT OPTIONS 0.0% PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 300 0 --------- Total Purchased Put Options 0 (Cost $0) ========= PREFERRED STOCK 1.1% Shares Home Ownership Funding 13.330% due 12/31/2049 3,000 2,157 Rhone-Poulenc SA 8.125% 12/31/2049 13,000 TCI Communications, Inc. 9.720% due 224,700 5,685 8.720% 01/31/2045 1,170,100 28,714 10.000% due 05/31/2045 800,300 20,072 --------- Total Preferred Stock 56,955 (Cost $61,898) ========= SHORT-TERM INSTRUMENTS 8.7% Principal Amount (000s) Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 $ 5,000 5,077 --------- Commercial Paper 8.0% Abbey National North America 3.520% due 10/29/2001 5,000 4,986 3.550% due 10/29/2001 3,200 3,191 BP Amoco PLC 3.450% due 10/01/2001 25,000 25,000 Federal Home Loan Bank 3.000% due 10/01/2001 30,000 30,000 4.000% due 10/31/2001 500 498 General Electric Capital Corp. 3.470% due 10/02/2001 7,400 7,399 3.420% due 12/24/2001 40,000 39,762 3.420% due 12/26/2001 3,800 3,777 3.670% due 12/26/2001 11,500 11,430 3.520% due 12/27/2001 32,000 31,799 3.490% due 12/27/2001 5,400 5,366 KFW International Finance, Inc. 3.420% due 12/20/2001 1,100 1,094 PepsiCo, Inc. 3.410% due 10/01/2001 35,000 35,000 Queensland Treasury Corp. 3.560% due 10/23/2001 3,400 3,393 SBC Communications, Inc. 3.430% due 11/29/2001 1,000 996 UBS Finance, Inc. 3.450% due 10/29/2001 3.450% due 10/01/2001 200,000 200,000 3.420% due 12/19/2001 300 298 3.550% due 12/19/2001 100 99 3.360% due 12/20/2001 2,900 2,884 --------- 406,972 ========= Repurchase Agreement 0.6% State Street Bank 2.600% due 10/01/2001 31,917 31,917 --------- (Dated 09/28/2001. Collateralized by Fannie Mae 6.625% due 09/15/2009 valued at $7,055 and Fannie Mae 4.570% due 05/16/2003 valued at $25,501. Repurchase proceeds are $31,923.) U.S. Treasury Bills 0.0% 3.136% due 10/18/2001 (b)(g) 750 749 --------- Total Short-Term Instruments 444,715 (Cost $444,463) ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 81 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Value (000s) - ------------------------------------------------------------------------------- Total Investments (a) 147.5% $ 7,534,221 (Cost $7,464,456) Written Options (c) (0.0%) (65) (Premiums $1,783) Other Assets and Liabilities (Net) (47.5%) (2,426,742) -------------- Net Assets 100.0% $ 5,107,414 ============== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 123,646 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (53,881) -------------- Unrealized appreciation-net $ 69,765 ============== (b) Securities with an aggregate market value of $6,856 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 15 $ 68 Eurodollar September Futures (09/2002) 13 53 Eurodollar December Futures (12/2002) 20 70 Eurodollar March Futures (03/2003) 20 57 U.S. Treasury 10 Year Note (12/2001) 42 29 U.S. Treasury 30 Year Bond (12/2001) 38 (7) -------------- $ 270 ============== (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 19,200,000 $ 587 $ 2 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 19,200,000 542 3 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 856 633 56 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 18 11 2 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 14 10 2 -------------------------- $ 1,783 $ 65 ========================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Buy EC 54,633 10/2001 $ (366) Sell BP 7,056 10/2001 2 Sell JY 11,104,000 10/2001 (625) --------------- $ (989) =============== (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro IL - Italian Lira JY - Japanese Yen (g) Securities are grouped by coupon or range of a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Security is in default. (k) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.805%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 JY 3,285,600 $ (1,174) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 175,100 2,295 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 94,300 1,236 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 77,600 1,559 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 23,300 471 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 $ 2,900 164 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 (8) 82 PIMCO Funds Semi-Annual Report |9.30.01 | See accompanying notes Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS-Warburg Exp. 01/14/2003 $ 43,000 $ (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 (22) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. due 12/19/2001. Broker: Lehman Brothers Exp. 12/19/2001 25,000 (23) Receive a fixed rate equal to 0.810% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Goldman Sachs Exp. 06/15/2004 50,000 (120) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 30,000 (40) ----------- $ 4,326 =========== (l) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury Notes 5.875 11/15/2004 50,000 $ 53,633 $ 52,303 U.S. Treasury Notes 5.875 11/15/2004 44,080 47,283 46,110 U.S. Treasury Notes 6.000 08/15/2004 50,000 53,729 52,436 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 23,200 23,996 23,941 U.S. Treasury Notes 5.750 11/15/2005 23,000 24,756 24,203 U.S. Treasury Notes 4.250 11/15/2003 50,000 51,408 51,288 U.S. Treasury Notes 4.250 11/15/2003 46,000 47,296 47,185 U.S. Treasury Notes 4.625 05/15/2006 18,600 19,263 19,175 ----------------------- $ 424,796 $ 419,833 ======================= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 83 PIMCO Schedule of Investments A, B, and C Classes Money Market Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 15.8% Banking & Finance 13.5% Bank of America Corp. 4.560% due 10/26/2001 (a) $ 1,550 $ 1,550 4.181% due 02/19/2002 (a) 3,000 3,002 Bear Stearns Co., Inc. 6.450% due 08/01/2002 3,500 3,570 Citigroup, Inc. 7.450% due 06/06/2002 (a) 5,000 5,129 General Motors Acceptance Corp. 3.870% due 01/15/2002 (a) 5,000 5,000 Goldman Sachs Group, Inc. 4.520% due 01/28/2002 (a) 2,000 2,001 Lloyds TSB Bank PLC 3.460% due 12/11/2001 1,000 993 Merrill Lynch & Co. 7.360% due 07/24/2002 600 615 Morgan Stanley, Dean Witter, Discover & Co. 3.700% due 08/15/2005 (a) 6,000 6,000 National Rural Utilities Cooperative Finance Corp. 5.100% due 02/05/2002 3,200 3,215 Paine Webber Group, Inc. 4.186% due 05/14/2002 (a) 5,000 5,012 Rabobank Nederland NV 3.240% due 10/01/2001 20,000 20,000 ----------- 56,087 =========== Industrials 0.2% Wal-Mart Stores, Inc. 6.750% due 05/24/2002 1,000 1,018 ----------- Utilities 2.1% Southwestern Bell Communication Capital Corp. 7.430% due 01/15/2002 5,000 5,052 Virginia Electric & Power Co. 7.375% due 07/01/2002 3,400 3,486 ----------- 8,538 ----------- Total Corporate Bonds & Notes 65,643 =========== (Cost $65,643) SOVEREIGN ISSUES 0.2% Republic of Ireland 7.875% due 12/01/2001 1,000 1,005 ----------- Total Sovereign Issues 1,005 =========== (Cost $1,005) SHORT-TERM INSTRUMENTS 82.5% Commercial Paper 82.2% Abbey National North America 3.450% due 10/24/2001 6,300 6,286 Archer Daniels Midland Co. 3.880% due 10/05/2001 2,500 2,499 CBA (de) Finance 3.700% due 10/15/2001 2,600 2,596 Dupont De Nemours & Co. 2.950% due 10/11/2001 20,000 19,984 Fannie Mae 4.000% due 10/25/2001 700 698 3.490% due 12/14/2001 5,100 5,063 3.610% due 12/20/2001 2,800 2,778 Federal Home Loan Bank 3.000% due 10/01/2001 250,000 250,000 4.000% due 10/31/2001 6,000 5,980 7.000% due 03/15/2002 156 157 General Electric Capital Corp. 3.400% due 12/26/2001 3,600 3,571 KFW International Finance, Inc. 3.420% due 12/20/2001 3,900 3,870 3.630% due 12/27/2001 8,500 8,425 Queensland Treasury Corp. 3.560% due 10/23/2001 2,600 2,594 SBC Communications, Inc. 12,300 12,279 3.530% due 10/18/2001 Swedbank, Inc. 5,400 5,390 2.990% due 10/24/2001 5,500 5,461 3.580% due 12/12/2001 UBS Finance, Inc. 3,400 3,370 3.630% due 12/27/2001 USAA Capital Corp. 1,000 1,002 6.680% due 11/01/2001 ----------- 342,003 =========== Repurchase Agreement 0.3% State Street Bank 1,119 1,119 2.600% due 10/01/2001 (Dated 09/28/2001. Collateralized by Fannie Mae 4.500% due 05/16/2003 valued at $1,143. Repurchase proceeds are $1,119.) ----------- Total Short-Term Instruments 343,122 =========== (Cost $343,122) Total Investments (a) 98.5% $ 409,770 (Cost $409,770) Other Assets and Liabilities (Net) 1.5% 6,054 ----------- Net Assets 100.0% $ 415,824 =========== (a) Variable rate security. The rate listed is as of September 30, 2001. 84 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments A, B, and C Classes Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 105.5% Arizona 2.8% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 780 $ 822 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,293 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997-A 6.500% due 09/01/2004 880 969 --------- 3,084 ========= California 7.9% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 368 Capistrano, California Unified School District Special Tax Bonds, Series 1999 5.000% due 09/01/2008 350 358 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 1,500 1,023 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2026 1,565 1,071 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Irvine, California Special Assessment Bonds, (MBIA-IBC Insured), Series 1998 4.800% due 09/02/2004 150 154 4.900% due 09/02/2005 310 320 5.000% due 09/02/2006 150 155 Irvine, California Special Assessment Bonds, Series 1999 5.000% due 09/02/2005 350 362 5.100% due 09/02/2006 535 553 5.200% due 09/02/2007 255 263 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 366 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,075 1,193 Orange County, California Improvement Bonds, Series 1998-A 4.900% due 09/02/2005 245 252 Pittsburg, California Infrastructure Refunding Bonds, Series 1998-A 4.900% due 09/02/2003 150 156 5.000% due 09/02/2004 150 158 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.700% due 09/01/2005 170 173 Roseville, California Special Tax Bonds, Series 1999 5.000% due 09/01/2004 345 350 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 304 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 350 364 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 355 --------- 8,582 ========= Colorado 4.2% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000-C3 5.700% due 10/01/2022 1,000 1,049 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-B3 6.700% due 10/01/2016 250 280 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 286 Colorado Housing & Financial Authority Revenue Bonds, Series 2000 5.150% due 08/01/2007 500 513 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2009 1,390 1,378 Meridian Metro District of Colorado General Obligation Bonds, (Asset Guaranty), Series 2001 4.125% due 12/01/2009 1,075 1,068 --------- 4,574 ========= Connecticut 5.7% Connecticut State General Obligation Bonds, Series 2001 7.010% due 12/15/2012 5,000 6,224 --------- Florida 1.0% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 210 214 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 338 Orlando, Florida Waste Water System Revenue Bonds, Series 1997-A 6.043% due 10/01/2015 500 500 --------- 1,052 ========= Georgia 0.2% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 231 --------- Hawaii 2.4% Hawaii State Housing Financial & Development Corporation Single Family Mortgage Pure Revenue Bonds, Series 1998 4.850% due 07/01/2029 1,470 1,485 Honolulu Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993 5.450% due 09/11/2008 1,000 1,097 --------- 2,582 ========= Illinois 5.2% Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 1,000 361 Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001 0.000% due 01/01/2020 (c) 1,290 812 Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996 5.750% due 05/01/2013 1,135 1,221 Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 2,000 2,242 Palatine Illinois Tax Increment Revenue Bonds, (AMBAC Insured), Series 1998 5.250% due 01/01/2017 1,000 1,031 --------- 5,667 ========= See accompanying notes |9.30.01 | PIMCO Funds Semi-Annual Report 85 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Indiana 5.7% Danville, Indiana Multi-School Building General Obligation Bonds, (FSA Insured), Series 2001 3.900% due 07/15/2008 $ 485 $ 487 4.750% due 07/15/2009 200 210 5.000% due 07/15/2010 180 192 4.250% due 07/15/2011 290 291 4.400% due 01/15/2012 170 170 4.500% due 01/15/2013 190 190 4.650% due 01/15/2014 210 210 4.750% due 01/15/2015 235 235 4.850% due 01/15/2016 295 295 Hamilton Southeastern Indiana Construction School Building Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001 5.000% due 07/15/2010 760 808 Indianapolis, Indiana Local Public Improvement Bonds Bank Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,198 La Porte Indiana Multi School Building Revenue Bonds, (MBIA Insured), Series 2001 5.250% due 01/15/2013 1,000 1,067 South Bend, Indiana Redevelopment Authority Lease Revenue Bonds, Series 2000 5.100% due 02/01/2011 405 425 5.200% due 02/01/2012 230 242 5.500% due 02/01/2015 180 188 --------- 6,208 ========= Kentucky 5.3% Kentucky State Turnpike Authority Economic Development Road Revenue Bonds, Series 1993 8.440% due 06/06/2012 (d) 5,000 5,750 --------- Louisiana 0.2% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 270 --------- Massachusetts 3.8% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,580 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 400 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 217 4.800% due 11/01/2008 90 93 Massachusetts State General Obligation Ltd. Bonds, (MBIA-IBC Insured), Series 1993 5.500% due 02/01/2011 1,000 1,053 Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001 6.000% due 07/01/2014 500 550 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 270 269 --------- 4,162 ========= Michigan 3.0% Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,290 Michigan State Strategic Fund Ltd. Obligation Revenue Bonds, Series 2001 5.450% due 09/01/2029 2,000 2,002 --------- 3,292 ========= Minnesota 1.0% New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 1,000 1,039 --------- Missouri 0.9% Missouri State Housing Development Community Revenue Bonds, (FHA Insured), Series 2001 5.250% due 12/01/2016 1,000 1,029 --------- Nevada 0.4% Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 7.580% due 05/15/2028 (d) 500 480 --------- New Hampshire 2.8% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.125% due 07/01/2016 2,980 3,031 --------- New Jersey 21.6% New Jersey Economic Development Authority Revenue Bonds, (GTY AGMT Insured), Series 1998 6.000% due 11/01/2028 4,000 3,845 New Jersey Economic Development Authority Revenue Bonds, Series 1998 5.600% due 01/01/2012 1,000 943 6.375% due 04/01/2018 1,500 1,572 6.375% due 04/01/2031 8,000 8,356 6.500% due 04/01/2031 2,115 2,244 0.000% due 04/01/2013 1,595 836 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 3,500 3,118 New Jersey State Highway Authority Garden Street Parkway General Revenue Bonds, (FGIC Insured), Series 2001 5.500% due 01/01/2015 2,500 2,721 --------- 23,635 ========= New Mexico 0.3% Santa Fe County, New Mexico El Castillo Retirement Nursing Home Bonds, Series 1998-A 5.250% due 05/15/2007 315 300 --------- New York 1.9% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,070 New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,060 --------- 2,130 ========= North Dakota 1.9% Mercer County, North Dakota Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,045 --------- Oklahoma 0.9% Oklahoma Housing Finance Agency Single Family Revenue Bonds, Series 2001 0.000% due 09/01/2032 6,750 1,025 --------- Pennsylvania 2.9% Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 98 Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997 6.500% due 01/01/2008 725 786 Pennsylvania Convention Center Revenue Bonds, (MBIA-IBC Insured), Series 1994 6.750% due 09/01/2019 2,000 2,234 --------- 3,118 ========= 86 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Puerto Rico 0.9% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2010 $ 750 $ 829 6.000% due 07/01/2026 150 161 -------------- 990 ============== South Carolina 2.6% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 1,033 South Carolina State Public Service Authority Revenue Bonds, Series 1993 6.838% due 06/28/2013 (d) 1,700 1,842 -------------- 2,875 ============== Tennessee 1.7% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 1,031 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 803 -------------- 1,834 ============== Texas 13.1% Bexar County, Texas Housing Finance Corporate Multi-Family Revenue Bonds, (FNMA Insured), Series 2001 4.875% due 06/15/2011 900 928 Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 338 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,531 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 967 Del Rio Texas Waterworks & Sewer System Revenue Bonds, (MBIA Insured), Series 1993 5.500% due 06/01/2015 2,400 2,476 Houston, Texas Airport System Revenue Bonds, Series 2001 6.750% due 07/01/2029 1,000 782 Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001 5.500% due 12/01/2017 1,000 1,049 Katy, Texas Independent School District General Obligation Ltd. Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2024 1,500 1,399 Lamar, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2020 1,750 1,671 Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999 0.000% due 02/15/2018 1,000 382 Red River, Texas Educational Finance Revenue Bonds, Series 2000 5.750% due 05/15/2017 750 800 Rio Grande City, Texas Construction Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000 5.875% due 08/15/2018 1,825 1,970 -------------- 14,293 ============== Virginia 1.1% Roanoke, Virginia Industrial Development Authority Hospital Revenue Bonds, Series 1995 2.750% due 07/01/2019 (d) 1,200 1,200 -------------- Washington State 2.9% Washington State General Obligation Bonds, Series 1998 5.250% due 07/01/2012 3,000 3,168 -------------- West Virginia 1.2% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 8.995% due 05/16/2019 (d) 1,200 1,308 -------------- Total Municipal Bonds & Notes 115,178 ============== (Cost $111,647) U.S. TREASURY OBLIGATIONS 0.3% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (b)(e) 280 288 -------------- Total U.S. Treasury Obligations 288 ============== (Cost $285) SHORT-TERM INSTRUMENTS 0.3% Money Market Fund 0.3% SSgA Tax Free Money Market 1.940% due 10/01/2001 334 334 -------------- Total Short-Term Instruments 334 ============== (Cost $334) Total Investments (a) 106.1% $ 115,800 (Cost $112,266) Other Assets and Liabilities (Net) (6.1%) (6,676) -------------- Net Assets 100.0% $ 109,124 ============== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,316 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (782) -------------- Unrealized appreciation-net $ 3,534 ============== (b) Securities with an aggregate market value of $288 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Municipal Bond (12/2001) 45 $ (21) U.S. Treasury 30 Year Bond (12/2001) 75 (143) -------------- $ (164) ============== (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 87 PIMCO Schedule of Investments A, B, and C Classes New York Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ MUNICIPAL BONDS & NOTES 96.8% New Jersey 17.7% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 $ 850 $ 888 -------------- New York 71.6% Amherst, New York General Obligation Bonds, (FGIC Insured), Series 1999-A 5.500% due 12/01/2008 150 167 Edmeston, New York Central School District General Obligation Bonds, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 163 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 160 New York City, New York Individual Development Agency Special Facilities Revenue Bonds, Series 1998 5.250% due 12/01/2032 400 302 New York City, New York Individual Development Revenue Bonds, Series 1997 5.650% due 10/01/2028 150 148 New York City, New York Industrial Development Agency Pipeline Airport Facility Revenue Bonds, Series 2001 5.500% due 07/01/2028 1,000 925 New York City, New York Trust Cultural Reserve Revenue Bonds, Series 1990 2.550% due 12/01/2015 (c) 147 147 New York State General Obligation Bonds, Series 1997-D 5.250% due 08/01/2021 100 100 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 153 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 158 New York State Dormitory Authority Revenue Bonds, Series 2000 6.000% due 07/01/2010 150 163 New York State Dormitory Authority Revenue Bonds, Series 2001 5.500% due 07/01/2030 200 203 New York State Energy Research & Development Authority Pollution Control Revenue Bonds, Series 1985 2.650% due 07/01/2015 (c) 100 100 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 158 New York State Power Authority Revenue & General Purpose Bonds, Series 1972-E 5.500% due 01/01/2010 125 137 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 158 Rockland County, New York Solid Waste Management Authority Revenue Bonds, Series 1999-A 4.800% due 12/15/2005 145 153 Suffolk County, New York Individual Development Agency Research Facility Revenue Bonds, (LOC-Morgan Guaranty Trust), Series 1993 2.750% due 07/01/2023 (c) 100 100 -------------- 3,595 ============== Puerto Rico 7.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 6.000% due 07/01/2026 100 107 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (c) 250 271 378 -------------- Total Municipal Bonds & Notes 4,861 ============== (Cost $4,790) SHORT-TERM INSTRUMENTS 1.7% Money Market Fund 1.7% Reich & Tang New York Money Market 1.890% due 10/01/2001 (b) 86 86 -------------- Total Short-Term Instruments 86 (Cost $86) ============== Total Investments (a) 98.5% $ 4,947 (Cost $4,876) Other Assets and Liabilities (Net) 1.5% 77 -------------- Net Assets 100.0% $ 5,024 ============== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 163 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (92) -------------- Unrealized appreciation-net $ 71 ============== (b) Securities with an aggregate market value of $11 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Municipal Bond (12/2001) 5 $ (3) ------------- (c) Variable rate security. The rate listed is as of September 30, 2001. 88 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments A, B, and C Classes Real Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 20.2% Banking & Finance 12.9% Allstate Financial Global Funding 7.125% due 09/26/2005 $ 2,500 $ 2,693 Associates Corp. of North America 3.900% due 05/08/2003 (d) 1,500 1,506 Atlas Reinsurance PLC 6.520% due 04/04/2003 (d) 6,700 6,700 7.520% due 10/04/2004 (d) 4,400 4,400 Bear Stearns Co., Inc. 3.850% due 12/01/2003 (d) 500 501 4.147% due 09/21/2004 (d) 1,000 1,000 Boeing Capital Corp. 5.650% due 05/15/2006 5,000 5,025 Chase Manhanttan Corp. 3.820% due 12/10/2001 (d) 500 501 CIT Group, Inc. 4.270% due 04/07/2003 (d) 300 301 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 7,500 7,528 DQE Capital Corp. 4.270% due 01/15/2002 (d) 1,000 1,001 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,578 Finova Group, Inc. 7.500% due 11/15/2009 840 330 First Union Corp. 7.550% due 08/18/2005 10,000 10,945 Florida Windstorm Underwriting Association 6.700% due 08/25/2004 500 528 Ford Motor Credit Co. 3.720% due 02/13/2003 (d) 350 346 4.076% due 06/20/2003 (d) 18,500 18,278 3.303% due 06/23/2003 (d) 1,000 991 4.120% due 01/26/2004 (d) 8,200 8,100 General Motors Acceptance Corp. 3.720% due 12/09/2002 (d) 2,000 1,983 3.985% due 07/21/2003 (d) 3,500 3,442 3.986% due 08/04/2003 (d) 5,000 4,934 Halyard RE 10.376% due 04/05/2002 (d) 800 801 Heller Financial, Inc. 3.880% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 1,030 7.500% due 08/23/2002 10,200 10,591 3.965% due 04/28/2003 (d) 3,000 3,005 Household Finance Corp. 4.025% due 08/06/2002 (d) 2,000 2,007 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 6,370 6,213 Juno RE Ltd. 10.367% due 06/26/2002 (d) 9,050 9,036 Korea Development Bank 6.118% due 03/01/2002 (d) 500 496 8.294% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 4.290% due 06/03/2002 (d) 2,500 2,505 4.570% due 07/15/2002 (d) 600 603 4.290% due 09/03/2002 (d) 2,000 2,003 MBNA America Bank NA 3.950% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 3.850% due 02/04/2003 (d) 2,000 2,001 3.958% due 08/01/2003 (d) 4,000 4,012 3.847% due 05/21/2004 (d) 2,100 2,104 Monumental Global Funding II 3.980% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter & Co. 3.920% due 04/15/2002 (d) 1,000 1,001 3.747% due 02/21/2003 (d) 1,500 1,502 4.097% due 03/11/2003 (d) 2,000 2,002 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 1,500 1,504 National Rural Utilities Cooperative Finance Corp. 5.393% due 05/31/2002 (d) 1,900 1,903 3.790% due 07/17/2003 (d) 10,000 10,006 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 3,500 3,509 NeHi, Inc. 7.600% due 06/09/2003 (d) 3,000 3,015 Old Kent Bank 4.428% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.125% due 11/15/2003 300 306 Premium Asset Trust 3.837% due 11/27/2004 (d) 5,000 5,014 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 1,000 1,003 Prudential Funding Corp. 3.990% due 10/18/2001 (d) 3,000 3,002 6.375% due 07/23/2006 7,000 7,312 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 1,300 1,302 Residential Reinsurance 8.510% due 06/01/2004 5,500 5,500 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (g) 22,218 22,332 3.955% due 04/28/2003 (d) 3,000 3,005 Seismic Ltd. 8.336% due 01/01/2002 (d) 2,500 2,496 Textron Financial Corp. 3.950% due 10/26/2001 (d) 2,500 2,502 4.058% due 09/17/2002 (d) 5,000 5,009 3.870% due 12/09/2002 (d) 1,000 1,004 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 400 402 Trinom Ltd. 7.910% due 12/18/2004 (d) 6,500 6,500 Washington Mutual Capital I 3.860% due 05/17/2004 (d) 20,000 20,040 Western Capital 9.440% due 01/07/2003 (d) 5,000 5,000 ----------- 250,427 =========== Industrials 4.8% AIC Corp. 5.026% due 10/02/2002 (d) 250 251 American Airlines, Inc. 6.978% due 04/01/2011 3,000 3,024 Coastal Corp. 4.278% due 07/21/2003 (d) 8,000 8,027 Cox Enterprises, Inc. 4.578% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002 (d) 2,000 2,011 3.880% due 08/16/2004 (d) 5,000 4,904 8.500% due 01/18/2031 16,900 17,879 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,734 3,578 Enron Corp. 8.000% due 08/15/2005 4,000 4,139 Fred Meyer, Inc. 7.375% due 03/01/2005 2,000 2,143 Global Crossing Holding Ltd. 6.000% due 10/15/2013 1,250 756 HCA - The Healthcare Co. 5.351% due 09/19/2002 (d) 8,000 8,011 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 5,047 Qwest Capital Funding, Inc. 4.270% due 07/08/2002 (d) 2,500 2,503 SR Wind Ltd. 8.887% due 05/18/2005 (d) 6,000 5,980 9.387% due 05/18/2005 (d) 2,500 2,526 Staples, Inc. 4.362% due 11/26/2001 (d) 2,000 2,003 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 89 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Real Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- United Air Lines, Inc. 3.682% due 12/02/2002 (d) $ 1,149 $ 1,154 Walt Disney Co. 4.500% due 09/15/2004 15,000 15,064 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,564 ----------- 92,578 =========== Utilities 2.5% Allete 4.610% due 10/20/2003 (d) 2,500 2,506 Commonwealth Edison Co. 4.210% due 09/30/2002 (d) 1,000 1,001 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,689 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 3,500 3,519 7.600% due 07/15/2003 5,000 5,312 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 4,500 4,514 Hawaiian Electric Industries, Inc. 4.820% due 04/15/2003 (d) 2,000 2,004 Oneok, Inc. 4.358% due 04/24/2002 (d) 2,000 2,003 Scana Corp. 4.150% due 02/08/2002 (d) 1,900 1,901 4.420% due 07/15/2002 (d) 3,900 3,904 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 1,000 1,001 3.870% due 06/10/2002 (d) 3,000 3,008 Vodafone Group PLC 3.957% due 12/19/2001 (d) 6,500 6,509 WorldCom, Inc. 7.375% due 01/15/2003 1,000 1,035 ----------- 48,906 ----------- Total Corporate Bonds & Notes 391,911 (Cost $389,246) =========== MUNICIPAL BONDS & NOTES 0.0% New Mexico 0.0% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA,FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 140 153 ----------- New York 0.0% New York City General Obligation Bonds, Series 1997 3.897% due 08/01/2002 (d) 24 24 ----------- Total Municipal Bonds & Notes 177 (Cost $164) =========== U.S. GOVERNMENT AGENCIES 0.6% Fannie Mae 5.440% due 03/13/2002 (d) 7,600 7,642 Federal Farm Credit Bank 3.654% due 02/14/2002 (d) 600 603 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 2,485 2,497 SallieMae 4.373% due 01/25/2007 (d) 208 208 ----------- Total U.S. Government Agencies 10,950 (Cost $10,872) =========== U.S. TREASURY OBLIGATIONS 121.5% Treasury Inflation Protected Securities (g)(h) 3.625% due 07/15/2002 (b) 466,208 474,367 3.375% due 01/15/2007 265,757 273,481 3.625% due 01/15/2008 248,006 257,384 3.875% due 01/15/2009 582,284 612,672 4.250% due 01/15/2010 197,177 212,890 3.500% due 01/15/2011 16,325 16,795 3.625% due 04/15/2028 228,233 234,439 3.875% due 04/15/2029 260,239 279,514 ----------- Total U.S. Treasury Obligations 2,361,542 (Cost $2,321,841) =========== MORTGAGE-BACKED SECURITIES 0.8% Collateralized Mortgage Obligations 0.8% Bear Stearns Adjustable Rate Mortgage Trust 6.820% due 11/25/2030 (d) $ 3,837 $ 3,909 Freddie Mac 7.000% due 07/15/2022 204 204 6.500% due 01/25/2028 100 99 7.000% due 10/15/2030 3,000 3,157 GMAC Commercial Mortgage Asset Corp. 3.357% due 07/20/2002 7,304 7,304 ----------- 14,673 =========== Fannie Mae 0.0% 8.054% due 10/01/2024 (d) 254 272 ----------- Federal Housing Administration 0.0% 7.430% due 12/01/2020 293 302 ----------- Total Mortgage-Backed Securities 15,247 =========== (Cost $15,011) ASSET-BACKED SECURITIES 1.3% AESOP Funding II LLC 3.860% due 11/20/2006 (d) 14,000 13,925 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 140 140 American Residential Eagle Trust 4.132% due 07/25/2029 (d) 3,490 3,499 Asset Backed Securities Corp. Home Equity 3.155% due 06/21/2029 (d) 2,164 2,172 Conseco Finance 7.890% due 07/15/2018 2,000 2,114 8.170% due 12/15/2025 2,000 2,169 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 819 EQCC Home Equity Loan Trust 3.307% due 03/20/2029 (d) 138 138 SallieMae 4.143% due 07/25/2004 (d) 35 35 4.173% due 10/25/2004 (d) 33 33 5.261% due 04/25/2006 (d) 999 998 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 105 106 ----------- Total Asset-Backed Securities 26,148 =========== (Cost $25,851) SOVEREIGN ISSUES 0.0% United Mexican States 0.000% due 06/30/2003 (d) 718 6 ----------- Total Sovereign Issues 6 =========== (Cost $0) FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f)2.3% Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,169 4,807 Commonwealth of Canada 4.000% due 12/01/2031 C$ 22 14 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 33,500 14,695 Republic of France 3.000% due 07/25/2009 EC 28,552 25,282 ----------- Total Foreign Currency-Denominated Issues 44,798 =========== (Cost $44,430) CONVERTIBLE BONDS & NOTES 0.2% Utilities 0.2% Nabors Industries, Inc. 0.000% due 06/20/2020 $ 5,000 3,106 ----------- Total Convertible Bonds & Notes 3,106 (Cost $3,136) =========== 90 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 3.8% Commercial Paper 2.9% CDC 3.380% due 10/01/2001 $ 40,000 $ 40,000 General Electric Capital Corp. 3.530% due 12/27/2001 100 99 UBS Finance, Inc. 3.450% due 10/01/2001 15,000 15,000 3.870% due 10/02/2001 100 100 3.740% due 12/19/2001 1,900 1,889 -------------- 57,088 ============== Repurchase Agreement 0.9% State Street Bank 2.600% due 10/01/2001 17,000 17,000 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 02/03/2003 valued at $17,343. Repurchase proceeds are $17,004.) U.S. Treasury Bills 0.0% 3.518% due 10/18/2001 (b)(i) 800 799 -------------- Total Short-Term Instruments 74,887 (Cost $74,882) ============== Total Investments (a) 150.7% $ 2,928,772 (Cost $2,885,433) Other Assets and Liabilities (Net) (50.7%) (984,888) -------------- Net Assets 100.0% $ 1,943,884 ============== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 46,027 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,688) -------------- Unrealized appreciation-net $ 43,339 ============== (b) Securities with an aggregate market value of $911 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar June Futures (06/2003) 378 $ 902 Eurodollar September Futures (09/2002) 300 0 U.S. Treasury 5 Year Note (12/2001) 24 (23) -------------- $ 879 ============== (c) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 10,000 $ (1,062) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (334) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Dean Witter Exp. 06/20/2003 3,042 (20) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Bank of America Exp. 06/15/2003 15,900 (345) Receive a fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002s 1,000 (1) -------------- $ (1,762) ============== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Buy C$ 28,552 10/2001 $ (29) Sell 57,380 10/2001 126 Sell EC 24,613 10/2001 153 Sell JY 78,994 10/2001 (5) Sell N$ 36,053 10/2001 1,149 -------------- $ 1,394 ============== (f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Subject to financing transaction. (i) Securities are grouped together by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 91 PIMCO Schedule of Investments A, B, and C Classes Short-Term Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 33.0% Banking & Finance 16.6% ABN AMRO Bank 6.625% due 10/31/2001 $ 2,000 $ 2,006 Banco Nacional Obra Services 9.625% due 11/15/2003 3,900 4,183 Bank One Corp. 4.517% due 01/24/2002 (d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 1,016 Bankunited FSB 5.400% due 02/02/2004 4,000 4,135 Bear Stearns Co., Inc. 5.125% due 02/22/2004 (d) 4,200 4,330 5.270% due 09/21/2004 (d) 3,900 3,901 Chrysler Financial Corp. LLC 5.250% due 10/22/2001 2,800 2,803 5.690% due 11/15/2001 1,200 1,204 CIT Group, Inc. 3.510% due 09/13/2002 (d) 6,300 6,312 Citigroup, Inc. 5.500% due 08/19/2003 (d) 11,040 11,529 Countrywide Funding Corp. 8.760% due 03/05/2002 500 512 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/2003 (d) 8,000 8,028 DQE Capital Corp. 5.260% due 01/15/2002 (d) 2,000 2,001 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 1,014 First Union Corp. 8.125% due 06/24/2002 1,350 1,398 First USA Bank 4.140% due 05/15/2002 (d) 6,000 6,010 Ford Credit Canada 3.310% due 12/16/2002 (d) 10,000 10,006 Ford Motor Credit Co. 3.732% due 06/02/2003 (d) 2,500 2,474 4.320% due 03/08/2004 (d) 4,300 4,286 3.747% due 05/21/2004 (d) 3,300 3,236 4.200% due 07/18/2005 (d) 10,000 9,760 General Motors Acceptance Corp. 5.800% due 03/12/2003 1,500 1,542 5.950% due 03/14/2003 1,700 1,743 4.130% due 08/18/2003 (d) 16,575 16,329 3.956% due 11/07/2003 (d) 8,700 8,548 5.547% due 01/20/2004 (d) 3,900 3,855 4.450% due 05/04/2004 (d) 4,000 3,945 Golden West Financial Corp. 7.875% due 01/15/2002 3,450 3,498 6.700% due 07/01/2002 6,870 7,053 Goldman Sachs Group, Inc. 3.988% due 01/17/2003 (d) 5,000 5,005 Heller Financial, Inc. 3.950% due 04/22/2002 (d) 12,900 12,923 6.500% due 07/22/2002 1,000 1,030 Korea Development Bank 7.900% due 02/01/2002 900 912 7.625% due 10/01/2002 2,500 2,598 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002 (d) 3,000 3,012 4.220% due 04/04/2003 (d) 3,000 3,006 3.712% due 06/03/2003 (d) 2,800 2,788 Meridian Bancorp, Inc. 7.875% due 07/15/2002 1,500 1,551 Merrill Lynch & Co. 4.593% due 08/01/2003 (d) 4,000 4,012 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 8,600 8,611 National Consumer Coop Bank 4.500% due 10/26/2001 (d) 10,000 10,008 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 17,200 17,210 Paine Webber Group, Inc. 4.330% due 07/15/2002 (d) 10,000 10,035 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 2,000 2,007 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 2,000 2,004 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,358 3,375 4.040% due 07/18/2007 (d) 5,000 5,013 Transamerica Finance Corp. 3.406% due 12/14/2001 (d) 4,000 4,005 U.S. Bancorp 4.543% due 02/03/2003 (d) 3,700 3,715 USAA Capital Corp. 7.050% due 11/08/2006 445 486 Verizon Global Funding Corp. 6.750% due 12/01/2005 3,000 3,198 ----------- 245,164 =========== Industrials 6.9% Air Canada 6.037% due 07/31/2005 (d) 1,455 1,389 AOL Time Warner, Inc. 6.125% due 04/15/2006 3,000 3,100 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 900 903 Coastal Corp. 4.913% due 07/21/2003 (d) 5,000 5,017 Conagra Foods, Inc. 5.500% due 10/15/2002 3,300 3,366 4.220% due 09/10/2003 (d) 11,800 11,822 DaimlerChrysler North America Holding Corp. 6.670% due 02/15/2002 5,900 5,972 6.590% due 06/18/2002 5,000 5,113 3.797% due 08/23/2002 (d) 5,800 5,802 3.270% due 09/16/2002 (d) 7,000 6,959 3.920% due 12/16/2002 (d) 2,100 2,112 1.000% due 08/01/2003 (d) 2,800 2,775 3.880% due 08/16/2004 (d) 2,800 2,746 HCA - The Healthcare Co. 4.610% due 09/19/2002 (d) 10,000 10,013 Kroger Co. 4.310% due 08/16/2012 (d) 5,000 5,006 McDonald's Corp. 6.000% due 06/23/2002 475 486 Racers 3.712% due 03/03/2003 (d) 10,000 10,021 Safeway, Inc. 5.875% due 11/15/2001 1,900 1,906 7.000% due 09/15/2002 9,300 9,541 Staples, Inc. 4.925% due 11/26/2001 (d) 1,400 1,402 Time Warner, Inc. 6.100% due 12/30/2001 3,000 3,016 9.625% due 05/01/2002 3,000 3,100 ----------- 101,567 =========== Utilities 9.5% Allete 4.610% due 10/20/2003 (d) 8,800 8,817 British Telecom PLC 4.445% due 12/15/2003 (d) 16,000 16,320 Central Power & Light Co. 3.978% due 02/22/2002 (d) 2,000 2,003 CenturyTel, Inc. 7.750% due 10/15/2002 2,000 2,062 Commonwealth Edison Co. 5.527% due 09/30/2003 (d) 2,000 2,001 Deutsche Telekom AG 7.750% due 06/15/2005 8,000 8,551 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 6,500 6,535 Entergy Gulf States, Inc. 4.847% due 09/01/2004 (d) 10,000 10,009 Exelon Corp. 5.625% due 11/01/2001 2,000 2,003 92 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- France Telecom 5.148% due 03/14/2003 (d) $ 1,500 $ 1,517 3.207% due 07/16/2003 (d) 6,600 6,604 Indiana Michigan Power Co. 4.087% due 09/03/2002 (d) 1,000 1,002 Oneok, Inc. 4.358% due 04/24/2002 (d) 5,000 5,007 Pacific Gas & Electric Co. 7.057% due 10/31/2001 (c)(d) 1,900 1,634 Sierra Pacific Resources 5.477% due 04/20/2002 (d) 3,000 2,972 5.427% due 04/20/2003 (d) 5,000 4,846 Sprint Capital Corp. 7.625% due 06/10/2002 8,865 9,133 8.125% due 07/15/2002 1,000 1,032 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 3,090 3,094 6.750% due 04/01/2003 (d) 1,665 1,730 3.750% due 06/15/2003 (d) 15,800 15,810 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 7,500 7,510 4.571% due 07/31/2002 (d) 15,000 15,023 WorldCom, Inc. 5.575% due 11/26/2001 (d) 3,700 3,704 7.375% due 01/15/2003 1,500 1,552 --------- 140,471 --------- Total Corporate Bonds & Notes 487,202 (Cost $485,001) ========= MUNICIPAL BONDS & NOTES 1.2% Connecticut 0.8% Bridgeport Connecticut General Obligation Bonds, Series 2001 4.350% due 07/18/2002 11,000 11,092 --------- North Carolina 0.4% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 5.263% due 06/01/2009 (d) 6,300 6,253 --------- Total Municipal Bonds & Notes 17,345 (Cost $17,300) ========= U.S. GOVERNMENT AGENCIES 0.1% Fannie Mae 5.750% due 04/15/2003 850 887 6.000% due 03/12/2004 520 527 -------- Total U.S. Government Agencies 1,414 (Cost $1,363) ======== U.S. TREASURY OBLIGATIONS 8.7% Treasury Inflation Protected Securities(g) 3.375% due 01/15/2007 (b) 112 115 3.625% due 01/15/2008 37,249 38,658 U.S. Treasury Notes 5.750% due 10/31/2002 87,500 89,102 -------- Total U.S. Treasury Obligations 127,875 (Cost $127,614) ======== MORTGAGE-BACKED SECURITIES 12.2% Collateralized Mortgage Obligations 7.6% ABN AMRO Mortgage Corp. 6.500% due 04/25/2028 644 646 CDC Depositor Trust I 4.110% due 12/14/2001 (d) 336 337 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 861 875 Countrywide Home Loans 6.900% due 10/02/2001 2,300 2,300 Dime Savings 7.317% due 11/01/2018 (d) 111 108 DLJ Acceptance Trust 8.430% due 10/17/2020 (d) 362 372 DLJ Mortgage Acceptance Corp. 7.813% due 09/01/2021 (d) 18 18 Donaldson, Lufkin & Jenrette, Inc. 4.875% due 05/01/2026 (d) 9 9 Fannie Mae 7.250% due 04/25/2007 26 26 6.000% due 02/25/2008 677 687 5.248% due 07/25/2008 (d) 457 460 6.250% due 06/18/2015 160 160 6.000% due 08/18/2016 14,931 15,121 6.150% due 09/25/2016 910 909 7.000% due 09/18/2017 380 380 3.261% due 10/25/2017 (d) 3,757 3,790 6.350% due 03/25/2019 348 349 6.250% due 05/25/2019 471 479 7.000% due 12/25/2019 4,592 4,606 6.000% due 08/25/2020 890 890 5.000% due 04/25/2021 449 449 6.500% due 09/18/2023 932 943 8.907% due 06/25/2032 6,736 7,285 Freddie Mac 7.000% due 08/15/2006 2,480 2,512 6.750% due 03/15/2007 272 275 6.250% due 07/15/2007 270 273 6.500% due 10/25/2014 3,100 3,127 6.000% due 01/15/2019 462 467 6.000% due 07/15/2019 1,316 1,318 6.350% due 11/15/2019 764 766 5.500% due 02/15/2020 883 892 3.750% due 06/15/2023 (d) 207 207 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 3,111 3,135 Greenwich Capital Acceptance, Inc. 7.709% due 04/25/2022 (d) 36 36 7.122% due 10/25/2022 (d) 6 6 Impac CMB Trust 3.860% due 11/25/2031 (d) 4,700 4,707 Independent National Mortgage Corp. 7.250% due 11/25/2010 2,551 2,585 Mellon Residential Funding Corp. 4.550% due 10/20/2029 (d) 10,000 9,690 Norwest Asset Securities Corp. 6.750% due 09/25/2027 4,392 4,430 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 237 6.800% due 05/25/2024 658 658 Prudential-Bache Trust 6.448% due 09/01/2018 (d) 16 16 Resolution Trust Corp. 6.745% due 05/25/2029 (d) 424 412 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 6,440 6,440 Washington Mutual, Inc. 3.740% due 07/26/2003 (d) 360 360 6.247% due 01/25/2041 (d) 2,431 2,443 Wells Fargo Mortgage-Backed Securities Trust 6.776% due 10/25/2031 (d) 25,000 25,427 --------- 111,618 ========= Fannie Mae 0.4% 6.000% due 01/01/2004 140 140 6.375% due 09/25/2031 (d) 2,000 2,034 7.000% due 06/01/2003 1,484 1,528 8.500% due 01/01/2026 1,362 1,456 -------- 5,161 ======== Freddie Mac 0.0% 7.500% due 11/01/2001 79 82 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 93 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Short-Term Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Government National Mortgage Association 4.2% 5.250% due 04/20/2030-05/20/2030 $ 18,297 $ 18,522 (d)(i) 6.250% due 03/20/2030 (d) 15,356 15,580 6.375% due 02/20/2024-04/20/2025 8,103 8,272 (d)(i) 7.625% due 11/20/2026 (d) 7,079 7,313 7.750% due 09/20/2023-08/20/2027 4,469 4,605 (d)(i) 8.000% due 10/22/2031 (d) 4,000 4,209 8.500% due 06/20/2027 3,386 3,600 --------- 62,101 ========= Stripped Mortgage-Backed Securities 0.0% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 473 33 Fannie Mae (IO) 7.000% due 07/25/2006 541 6 6.500% due 10/25/2023 972 110 Freddie Mac (IO) 6.500% due 11/15/2007 3,200 237 7.000% due 06/15/2019 2,413 77 -------- 463 -------- Total Mortgage-Backed Securities 179,425 (Cost $178,294) ======== ASSET-BACKED SECURITIES 14.6% Advanta Mortgage Loan Trust 6.320% due 05/25/2029 (d) 3,034 3,081 Advanta Revolving Home Equity Loan Trust 3.031% due 01/25/2024 (d) 143 144 AFC Home Equity Loan Trust 3.880% due 06/25/2030 (d) 724 725 American Residential Eagle Trust 3.001% due 07/25/2029 (d) 931 933 Brazos Student Loan Finance Co. 4.659% due 06/01/2023 (d) 20,000 19,961 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,284 1,289 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 3,190 3,194 3.930% due 08/25/2031 (d) 1,962 1,962 Delta Funding Home Equity Loan Trust 3.897% due 09/15/2029 (d) 1,228 1,234 GMAC Mortgage Corp. Loan Trust 3.786% due 06/18/2027 (d) 1,404 1,406 Green Tree Home Improvement Loan Trust 3.657% due 08/15/2029 (d) 1,026 1,025 IMC Home Equity Loan Trust 6.360% due 08/20/2022 14,000 14,263 Metris Master Trust 7.110% due 10/20/2005 2,500 2,548 4.531% due 04/20/2006 (d) 6,000 6,027 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 2,358 2,367 New York City Tax Lien 5.590% due 09/10/2014 4,536 4,658 Novastar Home Equity Loan 3.011% due 01/25/2031 (d) 2,932 2,936 Onyx Acceptance Auto Trust 7.160% due 09/15/2004 32,309 33,537 Premier Auto Trust 6.430% due 03/08/2004 750 778 6.060% due 07/06/2004 15,375 15,577 5.920% due 10/06/2004 10,000 10,014 Residential Asset Securities Corp. 4.035% due 09/25/2031 (d) 9,422 9,425 SallieMae 3.900% due 04/25/2011 (d) 7,300 7,319 Salomon Brothers Mortgage Securities VII 3.011% due 07/25/2029 (d) 1,283 1,286 3.907% due 11/15/2029 (d) 990 994 4.067% due 12/15/2029 (d) 2,000 2,007 4.428% due 12/25/2029 (d) 12,074 12,109 Saxon Asset Securities Trust 7.585% due 12/25/2014 828 831 6.170% due 08/25/2021 3,530 3,611 Structured Product Asset Trust 1.000% due 06/20/2004 (d) 7,200 7,164 The Money Store Home Equity Trust 6.635% due 09/15/2014 938 941 UAF Auto Grantor Trust 6.100% due 06/15/2004 451 456 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 126 127 WFS Financial Owner Trust 5.750% due 08/20/2003 308 312 5.700% due 11/20/2003 12,990 13,254 6.420% due 07/20/2004 260 271 7.750% due 11/20/2004 10,000 10,432 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 17,000 17,075 --------- Total Asset-Backed Securities 215,273 (Cost $214,251) ========= SOVEREIGN ISSUES 0.3% Republic of Brazil 5.437% due 04/15/2006 (d) 1,600 1,332 Republic of Croatia 7.000% due 02/27/2002 2,350 2,371 United Mexican States 0.000% due 06/30/2003 3,076 24 -------- Total Sovereign Issues 3,727 (Cost $3,878) ======== SHORT-TERM INSTRUMENTS 37.8% Commercial Paper 37.6% Abbey National North America 3.550% due 10/24/2001 11,200 11,175 3.520% due 10/29/2001 8,300 8,277 3.550% due 10/29/2001 19,000 18,948 American Express Credit Corp. 3.450% due 10/01/2001 65,800 65,800 AT&T Corp. 4.525% due 08/06/2002 13,600 13,600 CBA (de) Finance 3.500% due 10/02/2001 66,000 65,994 CDC 3.380% due 10/01/2001 70,000 70,000 Fannie Mae 3.545% due 10/18/2001 2,300 2,296 4.030% due 10/18/2001 6,500 6,488 3.520% due 10/25/2001 19,300 19,255 3.550% due 12/20/2001 1,200 1,193 3.630% due 12/27/2001 3,000 2,981 Federal Home Loan Bank 3.000% due 10/01/2001 8,000 8,000 3.460% due 10/12/2001 5,300 5,294 4.030% due 10/26/2001 15,000 14,958 Freddie Mac 4.090% due 10/11/2001 17,800 17,780 3.570% due 12/28/2001 11,100 11,030 3.560% due 12/28/2001 16,500 16,396 General Electric Capital Corp. 3.420% due 12/26/2001 10,600 10,536 3.520% due 12/26/2001 4,000 3,976 3.670% due 12/26/2001 3,900 3,876 3.530% due 12/27/2001 10,000 9,937 3.650% due 12/27/2001 4,200 4,174 3.600% due 12/28/2001 12,400 12,321 Monsanto Co. 3.520% due 12/03/2001 8,200 8,162 PepsiCo, Inc. 3.410% due 10/01/2001 66,000 66,000 Queensland Treasury Corp. 3.560% due 10/23/2001 10,000 9,978 UBS Finance, Inc. 3.450% due 10/01/2001 56,200 56,200 3.870% due 10/02/2001 1,700 1,700 3.510% due 12/20/2001 6,800 6,761 --------- 553,086 ========= 94 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------- Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 $ 3,080 $ 3,080 ----------- (Dated 09/28/2001. Collateralized by Federal Farm Credit Bank 4.450% due 05/16/2003 valued at $3,143. Repurchase proceeds are $3,081.) U.S. Treasury Bills 0.0% 3.495% due 10/18/2001 (b) 390 389 ----------- Total Short-Term Instruments 556,555 =========== (Cost $556,345) Total Investments (a) 107.9% $ 1,588,816 (Cost $1,584,046) Other Assets and Liabilities (Net) (7.9%) (115,777) ----------- Net Assets 100.0% $ 1,473,039 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,888 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,118) ----------- Unrealized appreciation-net $ 4,770 =========== (b) Securities with an aggregate market value of $504 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - -------------------------------------------------------------------------- United Kingdom 90 Day LIBOR Futures (03/2002) 30 $ 62 United Kingdom 90 Day LIBOR Futures (06/2002) 30 59 United Kingdom 90 Day LIBOR Futures (09/2002) 30 46 United Kingdom 90 Day LIBOR Futures (12/2002) 30 33 ----------- $ 200 =========== (c) Security is in default. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - -------------------------------------------------------------------------- Sell BP 619 10/2001 $ 0 ----------- (f) Principal amount denoted in indicated currency: BP - British Pound (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - --------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 5,000 $ (531) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 7,900 (368) Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 (2) Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS - Warburg Exp. 01/14/2003 4,000 (1) Receive a fixed rate equal to 1.450% and the Fund will pay to the couterparty at par in the event ot default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 1,600 0 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 11,800 (2) Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers 13,300 0 ----------- Exp. 09/10/2003 $ (904) =========== (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - -------------------------------------------------------------------------- U.S. Treasury Notes 5.750 10/31/2002 87,500 $ 89,613 $ 87,412 --------------------- (k) Reverse repurchase agreements were entered into on September 25, 2001 paying interest at 2.440%. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value - -------------------------------------------------------------------------- Government National Mortgage Assn. 6.375% 02/20/2024 $ 7,922 Government National Mortgage Assn. 7.625% 11/20/2026 7,313 Government National Mortgage Assn. 5.250% 05/20/2030 8,943 Government National Mortgage Assn. 5.250% 04/20/2030 9,579 ----------- $ 33,757 =========== See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 95 PIMCO Schedule of Investments A, B, and C Classes StocksPLUS Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------ CORPORATE BONDS & NOTES 28.3% Banking & Finance 11.5% Atlas Reinsurance PLC 8.540% due 10/04/2004 (d) $ 7,000 $ 7,000 Bear Stearns Co., Inc. 6.125% due 02/01/2003 1,100 1,138 4.655% due 05/24/2004 (d) 21,600 21,646 Beaver Valley Funding Corp. 8.250% due 06/01/2003 560 579 Capital One Bank 3.552% due 06/23/2003 (d) 5,400 5,381 Chrysler Financial Corp. LLC 4.321% due 02/10/2003 (d) 9,600 9,487 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 6,900 6,926 Golden State Holdings 4.678% due 08/01/2003 (d) 6,000 5,901 Lehman Brothers Holdings, Inc. 3.762% due 06/03/2002 (d) 600 601 4.230% due 07/06/2004 (d) 3,005 3,007 Nacional Financiera 5.463% due 05/08/2003 (d) 6,000 6,096 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 11,700 11,731 NationsBank Corp. 3.733% due 02/18/2002 (d) 100 100 Old Kent Bank 4.428% due 11/01/2005 (d) 4,500 4,496 Republic New York Corp. 5.000% due 10/28/2002 (d) 100 102 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,454 3,472 4.305% due 02/11/2003 (d) 5,000 5,010 Trinom Ltd. 7.910% due 12/18/2004 (d) 1,200 1,200 Western Capital 9.440% due 01/07/2003 7,300 7,300 ---------- 101,173 ========== Industrials 11.2% Air Canada 6.037% due 07/31/2005 (d) 8,727 8,332 Cemex SA de CV 9.250% due 06/17/2002 300 311 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 600 602 CSX Corp. 3.202% due 06/24/2002 (d) 6,900 6,905 Enron Corp. 8.000% due 08/15/2005 1,100 1,138 Kroger Co. 7.150% due 03/01/2003 12,115 12,689 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 20,000 20,076 Philip Morris Cos., Inc. 4.240% due 12/04/2001 (d) 8,800 8,813 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 30,608 TCI Communications, Inc. 4.486% due 03/11/2003 (d) 4,000 4,025 Walt Disney Co. 3.900% due 09/15/2003 4,700 4,691 ---------- 98,190 ========== Utilities 5.6% Central Power & Light Co. 4.676% due 11/23/2001 (d) 3,600 3,605 Entergy Arkansas, Inc. 7.720% due 03/01/2003 3,700 3,878 Georgia Power Co. 5.250% due 05/08/2003 3,800 3,882 Sprint Capital Corp. 4.268% due 06/10/2002 (d) 1,100 1,103 Texas Utilities Corp. 5.940% due 10/15/2001 $ 28,725 $ 28,777 6.410% due 11/21/2001 1,000 1,004 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 6,900 6,910 ---------- 49,159 ---------- Total Corporate Bonds & Notes 248,522 ========== (Cost $246,279) U.S. TREASURY OBLIGATIONS 15.8% Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (b) 108,287 110,183 3.625% due 01/15/2008 20,038 20,796 3.875% due 01/15/2009 1,518 1,598 U.S. Treasury Notes 5.625% due 11/30/2002 5,800 6,002 ---------- Total U.S. Treasury Obligations 138,579 ========== (Cost $135,374) MORTGAGE-BACKED SECURITIES 60.1% Collateralized Mortgage Obligations 7.8% Bank Mart 6.883% due 03/01/2019 (d)(j) 3,749 3,799 Countrywide Home Loans 6.050% due 04/25/2029 3,355 3,406 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 1,091 1,123 DLJ Acceptance Trust 7.620% due 10/17/2020 (d) 103 105 Fannie Mae 6.728% due 04/25/2020 (d) 17 17 6.500% due 05/18/2024 2,015 2,043 Freddie Mac 6.500% due 08/15/2023 4,017 4,067 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 78 77 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 803 812 6.250% due 10/25/2028 429 433 6.250% due 12/25/2028 1,454 1,454 Government National Mortgage Association 4.010% due 09/20/2030 (d) 188 188 Greenwich Capital Acceptance, Inc. 7.084% due 04/25/2022 (d) 77 77 7.122% due 10/25/2022 (d) 2 2 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 352 352 Norwest Asset Securities Corp. 6.750% due 08/25/2029 5,345 5,401 PNC Mortgage Securities Corp. 6.625% due 03/25/2028 4,845 4,873 7.500% due 10/25/2030 (d) 3,306 3,364 Resecuritization Mortgage Trust 4.040% due 04/26/2021 (d) 121 121 Residential Funding Mortgage Securities, Inc. 6.664% due 03/25/2018 (d) 1,249 1,246 Resolution Trust Corp. 8.000% due 06/25/2026 185 186 Salomon Brothers Mortgage Securities VII 1.000% due 12/25/2030 (d) 18,025 18,457 Structured Asset Mortgage Investments, Inc. 9.081% due 06/25/2029 (d) 12,503 13,489 Structured Asset Securities Corp. 7.209% due 09/25/2036 (d) 595 606 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 3,243 3,243 ---------- 68,941 ========== 96 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Fannie Mae 14.2% 6.252% due 12/01/2023 (d) $ 17 $ 17 6.328% due 11/01/2027-04/01/2028 (d)(i) 405 410 6.446% due 07/01/2018-08/01/2029 (d)(i) 1,450 1,468 6.500% due 09/01/2005 3,827 3,937 6.764% due 02/01/2027 (d) 29 29 6.867% due 04/01/2018 (d) 89 90 7.500% due 10/15/2031 80,000 83,174 7.900% due 05/01/2022 (d) 139 139 8.000% due 10/15/2031 (d) 34,000 35,647 ------------- 124,911 ============= Freddie Mac 0.6% 6.000% due 10/15/2031 (d) 2,000 1,996 6.768% due 07/01/2019 (d) 2,142 2,179 7.616% due 12/01/2022 (d) 422 432 8.161% due 06/01/2022 (d) 218 224 8.500% due 04/01/2025-06/01/2025 (i) 98 106 ------------- 4,937 ============= Government National Mortgage Association 37.4% 6.750% due 07/20/2018-08/20/2026 (d)(i) 11,321 11,672 7.000% due 10/22/2031 (d) 8,000 8,307 7.125% due 12/20/2022-12/20/2027 (d)(i) 4,636 4,792 7.375% due 02/20/2026-02/20/2028 (d)(i) 10,978 11,201 7.500% due 08/15/2028-10/22/2031 (i) 141,950 148,229 8.000% due 04/15/2030-10/22/2031 (i) 130,000 136,501 8.500% due 10/22/2031 (d) 7,000 7,431 ------------- 328,133 ============= Stripped Mortgage-Backed Securities 0.1% California Federal Bank (IO) 7.276% due 07/25/2018 (d) 16 16 Fannie Mae (IO) 7.000% due 07/25/2006 60 1 6.500% due 09/25/2008 116 9 6.500% due 02/25/2021 873 27 7.000% due 07/25/2021 446 43 6.500% due 03/25/2023 1,926 225 Freddie Mac (IO) 6.500% due 08/15/2006 362 6 J.P. Morgan & Co., Inc. (IO) 7.664% due 01/25/2018 (d) 122 119 ------------- 446 ------------- Total Mortgage-Backed Securities 527,368 ============= (Cost $522,768) ASSET-BACKED SECURITIES 7.7% AFC Home Equity Loan Trust 2.811% due 06/25/2028 (d) 4,624 4,612 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 15 15 Argentina Funding Corp. 3.317% due 05/20/2003 (d) 16,000 16,027 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 3,680 3,691 Cross Country Master Credit Card Trust II 3.987% due 06/15/2006 (d) 15,400 15,517 Green Tree Home Improvement Loan Trust 3.707% due 11/15/2029 (d) 4,386 4,391 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 502 507 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 1,863 1,864 SallieMae 5.141% due 07/25/2004 (d) 126 126 4.203% due 10/25/2005 (d) 4,328 4,335 4.263% due 04/25/2006 (d) 1,931 1,929 Starwood Hotel 7.241% due 02/23/2003 7,735 7,397 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 6,676 6,852 ------------- Total Asset-Backed Securities 67,263 ============= (Cost $67,081) SOVEREIGN ISSUES 3.8% Hydro-Quebec 5.187% due 09/29/2049 (d) $ 1,200 $ 1,056 Republic of Brazil 7.375% due 04/15/2006 (d) 3,960 19,947 Republic of Croatia 7.000% due 02/27/2002 3,000 3,027 Republic of Panama 7.930% due 05/10/2002 549 548 United Mexican States 7.570% due 04/07/2004 (d) 9,000 9,203 ------------- Total Sovereign Issues 33,781 ============= (Cost $35,983) FOREIGN CURRENCY-DENOMINAISSUES (e)(f) 1.4% Commonwealth of New Zealand 4,9374.500% due 02/15/2016 N$ 9,750 4,277 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,438 7.000% due 06/02/2003 C$ 6,000 3,833 ------------- Total Foreign Currency-Denominated Issues 12,548 ============= (Cost $15,271) PURCHASED CALL OPTIONS 0.0% U.S. Treasury Note (OTC) 6.000% due 12/31/2001 Strike @ 116.000 Exp. 11/26/2001 $ 95,000 15 ------------- Total Purchased Call Options 15 ============= (Cost $20) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/14/2001 108,000 1 Strike @ 95.250 Exp. 12/17/2001 49,000 0 Strike @ 93.500 Exp. 12/17/2001 58,000 1 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 94,000 6 Fannie Mae (OTC) 7.500% due 12/13/2031 Strike @ 92.625 Exp. 12/06/2001 80,000 6 Government National Mortgage Association 8.000% due 10/22/2031 Strike @ 93.970 Exp. 10/22/2001 40,000 0 Government National Mortgage Association 8.000% due 12/20/2031 Strike @ 93.940 Exp. 12/13/2001 135,000 16 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 6,200 0 ------------- Total Purchased Put Options 25 ============= (Cost $38) PREFERRED SECURITY 0.1% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 110 1,133 ------------- Total Preferred Security 1,133 ============= (Cost $1,102) PREFERRED STOCK 0.9% TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,680 ------------- Total Preferred Stock 7,680 ============= (Cost $7,995) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 97 PIMCO Schedule of Investments A, B, and C Classes (Cont.) StocksPLUS Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 27.3% Commercial Paper 25.8% CDC 3.380% due 10/01/2001 $ 42,000 $ 42,000 Fannie Mae 3.150% due 10/01/2001 121,000 121,000 Federal Home Loan Bank 3.000% due 10/01/2001 22,000 22,000 UBS Finance, Inc. 3.450% due 10/01/2001 42,000 42,000 ---------- 227,000 ========== U.S. Treasury Bills 1.5% 2.869% due 10/18/2001-02/07/2002 (b)(i) 13,135 13,066 ---------- Total Short-Term Instruments 240,066 (Cost $240,072) ========== Total Investments (a) 145.4% $1,276,980 (Cost $1,271,983) Written Options (c) (0.0%) (28) (Premiums $236) Other Assets and Liabilities (Net) (45.4%) (398,702) ---------- Net Assets 100.0% $ 878,250 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 11,156 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (6,159) ---------- Unrealized appreciation-net $ 4,997 ========== (b) Securities with an aggregate market value of $98,839 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 47 $ 236 Eurodollar September Futures (09/2002) 52 247 Eurodollar December Futures (12/2002) 82 358 Eurodollar March Futures (03/2003) 82 321 S&P 500 Index (12/2001) 2,573 (80,155) U.S. Treasury 5 Year Note (12/2001) 977 (508) ---------- $ (79,501) ========== (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 184 $ 134 $ 11 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 94 57 9 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 60 45 8 --------------------- $ 236 $ 28 ===================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Sell BP 3,902 10/2001 $ 0 Sell C$ 6,736 10/2001 41 Sell EC 2,737 10/2001 17 Sell JY 436,697 10/2001 (28) Sell N$ 10,942 10/2001 349 ---------- 379 ========== (f) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.160%. Broker: J.P. Morgan Chase & Co. Exp. 09/24/2002 $ 33 $ 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.180%. Broker: J.P. Morgan Chase & Co. Exp. 10/03/2002 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.280%. Broker: J.P. Morgan Chase & Co. Exp. 04/30/2002 12 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.320%. Broker: J.P. Morgan Chase & Co. Exp. 03/20/2002 55 0 Receive a fixed rate equal to 1.290% and the Fund will pay to the counterpart at par in the event of default of the United Mexican States 9.750% due 04/06/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/19/2002 15,500 14 Receive a fixed rate equal to 0.200% and the Fund will pay to the counterparty at par in the event of default of the Bank One Corp. 6.500% due 02/01/2006. Broker: Merrill Lynch Exp. 08/12/2002 17,000 (6) -------- $ 8 ======== 98 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Restricted security. (k) Reverse repurchase agreements were entered into on September 21, 2001 paying interest at 2.500%. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value - -------------------------------------------------------------------------------- Government National Mortgage Assn. 6.375% 03/20/2026 $ 2,450 Government National Mortgage Assn. 6.375% 02/20/2026 513 Government National Mortgage Assn. 6.375% 06/20/2027 219 Government National Mortgage Assn. 7.750% 08/20/2026 191 Government National Mortgage Assn. 7.750% 09/20/2022 2,920 Government National Mortgage Assn. 6.375% 04/20/2027 3,799 Government National Mortgage Assn. 6.375% 05/20/2026 1,857 Government National Mortgage Assn. 6.375% 01/20/2028 1,934 Government National Mortgage Assn. 7.500% 08/15/2029 819 Fannie Mae 6.500% 09/01/2005 3,937 ----------- $ 18,639 =========== See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 99 PIMCO Schedule of Investments A, B, and C Classes Strategic Balanced Fund September 30, 2001 (Unaudited) Value Shares (000s) - -------------------------------------------------------------------- PIMCO FUNDS (b) 99.9% StocksPLUS 4,611,013 $ 42,283 Total Return 2,881,434 31,321 -------------- Total Investments (a) 99.9% $ 73,604 (Cost $87,566) Other Assets and Liabilities (Net) 0.1% 41 -------------- Net Assets 100.0% $ 73,645 ============== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,912 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (15,874) -------------- Unrealized depreciation-net $ (13,962) ============== (b) Institutional Class shares of each PIMCO fund. 100 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments A, B, and C Classes Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------ CORPORATE BONDS & NOTES 33.1% Banking & Finance 21.1% AB Spintab 6.800% due 12/29/2049 $ 250 $ 256 Abbey National Capital Trust I 8.963% due 12/29/2049 18,600 21,027 Abbey National PLC 6.700% due 06/29/2049 5,000 4,877 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 163 Air 2 US 8.027% due 10/01/2020 285 290 Allstate Corp. 4.000% due 07/26/2004 (d) 5,000 4,985 7.875% due 05/01/2005 100 110 6.750% due 05/15/2018 280 268 6.900% due 05/15/2038 87,200 81,907 AMERCO 7.135% due 10/15/2002 15,000 15,358 American Express Co. 5.625% due 01/22/2004 14,700 15,176 7.450% due 08/10/2005 1,000 1,089 American General Finance 6.875% due 12/14/2001 1,600 1,613 7.450% due 07/01/2002 200 207 6.250% due 12/18/2002 1,165 1,208 6.375% due 03/01/2003 350 365 6.170% due 05/06/2003 3,200 3,329 8.125% due 03/15/2046 270 290 American Health Properties, Inc. 7.050% due 01/15/2002 700 704 Aon Capital Trust A 8.205% due 01/01/2027 725 730 Aristar, Inc. 7.375% due 09/01/2004 20,000 21,485 Associates Corp. of North America 6.450% due 10/15/2001 23,600 23,628 7.500% due 04/15/2002 185 190 6.375% due 07/15/2002 175 180 6.500% due 07/15/2002 750 771 6.000% due 12/01/2002 500 516 5.750% due 11/01/2003 5,425 5,637 5.800% due 04/20/2004 450 470 6.625% due 06/15/2005 100 106 AT&T Capital Corp. 6.900% due 01/30/2002 1,000 1,013 6.750% due 02/04/2002 1,925 1,947 Avalonbay Communities 7.375% due 09/15/2002 2,565 2,658 Banco Latinoamericano SA 5.080% due 11/30/2001 10,000 10,087 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 25,676 Banesto Delaware, Inc. 8.250% due 07/28/2002 43,900 45,517 Bank of America Corp. 8.125% due 06/15/2002 350 362 7.750% due 07/15/2002 510 529 7.750% due 08/01/2002 896 899 7.200% due 09/15/2002 1,000 1,038 7.500% due 10/15/2002 1,200 1,254 6.850% due 03/01/2003 65 68 6.875% due 06/01/2003 100 105 6.500% due 08/15/2003 150 158 6.125% due 07/15/2004 600 632 3.763% due 08/26/2005 (d) 32,800 32,822 6.750% due 09/15/2005 200 214 7.400% due 01/15/2011 25,000 27,338 8.570% due 11/15/2024 125 145 Bank One Corp. 3.965% due 09/26/2003 (d) 9,800 9,809 3.920% due 05/07/2004 (d) 8,200 8,213 4.499% due 05/10/2004 (d) 138,600 138,841 BankBoston Corp. 6.125% due 03/15/2002 15,500 15,742 Banponce Financial Corp. 6.463% due 11/13/2001 13,000 13,053 7.125% due 05/02/2002 4,700 4,813 Barclays Bank PLC 8.550% due 09/29/2049 195 222 Bayerische Landesbank NY 6.200% due 02/09/2006 250 257 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 48,900 48,990 6.125% due 02/01/2003 25 26 2.941% due 03/28/2003 (d) 95,440 95,392 6.750% due 04/15/2003 105 110 3.970% due 05/06/2003 (d) 25,000 25,000 3.885% due 05/16/2003 (d) 43,300 43,277 2.864% due 07/22/2003 (d) 19,000 18,922 6.700% due 08/01/2003 100 105 3.850% due 12/01/2003 (d) 100,900 101,043 6.625% due 01/15/2004 200 211 6.150% due 03/02/2004 200 208 8.750% due 03/15/2004 75 82 4.113% due 05/24/2004 (d) 29,300 29,361 3.883% due 06/01/2004 (d) 12,665 12,696 3.173% due 09/21/2004 (d) 5,300 5,302 4.253% due 03/18/2005 (d) 37,300 37,461 4.151% due 09/16/2005 (d) 16,000 15,763 Beaver Valley Funding Corp. 8.250% due 06/01/2003 190 196 Beneficial Corp. 4.190% due 03/01/2002 (d) 13,300 13,325 8.000% due 06/18/2002 400 414 6.030% due 01/14/2003 320 330 Bombardier Capital Trust I 4.440% due 06/09/2032 (d) 16,150 15,796 Bombardier Capital Trust II 3.700% due 06/09/2032 (d) 3,600 3,521 Bombardier Capital, Inc. 7.300% due 12/15/2002 9,000 9,366 Caithness Coso Funding Corp. 6.800% due 12/15/2001 3,316 3,324 Chase Manhanttan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 157 6.000% due 11/01/2005 50 52 6.125% due 11/01/2008 400 406 Chrysler Financial Corp. LLC 5.690% due 11/15/2001 650 652 5.400% due 01/15/2002 15,750 15,832 6.950% due 03/25/2002 50 51 3.509% due 07/17/2002 (d) 20,000 19,886 3.524% due 08/08/2002 (d) 80,500 79,917 3.564% due 02/03/2003 (d) 50,000 49,426 3.554% due 02/10/2003 (d) 8,100 8,005 3.554% due 03/06/2003 (d) 35,000 34,931 3.544% due 03/10/2003 (d) 65,000 64,184 3.504% due 06/18/2003 39,500 38,833 Chubb Capital Corp. 6.875% due 02/01/2003 100 105 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 104,323 CIT Group, Inc. 5.800% due 03/26/2002 1,000 1,015 3.510% due 09/13/2002 (d) 30,900 30,960 7.375% due 03/15/2003 500 526 5.260% due 04/07/2003 (d) 19,277 19,343 5.625% due 10/15/2003 250 258 Citicorp 8.000% due 02/01/2003 250 265 CitiFinancial Credit Co. 8.250% due 11/01/2001 2,500 2,510 6.875% due 05/01/2002 335 343 6.375% due 09/15/2002 115 119 7.750% due 03/01/2005 550 605 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 101 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------- Citigroup, Inc. 5.800% due 03/15/2004 $ 200 $ 208 6.500% due 01/18/2011 34,500 36,063 CNA Financial Corp. 6.250% due 11/15/2003 65 65 Comerica Bank 7.250% due 06/15/2007 200 215 Countrywide Home Loans 6.250% due 04/15/2009 600 604 Credit Asset Receivable LLC 6.274% due 10/31/2003 27,927 27,991 Credit Industrial et Commercial (CIC) 5.600% due 02/28/2049 (d) 1,500 1,467 DBS Group Holdings Ltd. 7.875% due 08/10/2009 6,000 6,470 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 5,600 5,621 6.170% due 07/15/2003 20,000 20,839 6.259% due 07/18/2003 (d) 2,000 2,007 Dow Capital BV 7.125% due 01/15/2003 100 105 Duke Capital Corp. 7.250% due 10/01/2004 19,000 20,419 EOP Operating LP 7.000% due 07/15/2011 295 302 Export-Import Bank Korea 6.500% due 02/10/2002 26,641 26,886 6.500% due 11/15/2006 6,445 6,647 7.100% due 03/15/2007 20,100 20,318 Exxon Capital Corp. 6.125% due 09/08/2008 2,000 2,126 Farmers Insurance 8.625% due 05/01/2024 275 280 Finova Capital Corp. 7.500% due 11/15/2009 25,875 10,153 First Chicago Corp. 9.250% due 11/15/2001 250 252 3.190% due 03/11/2002 (d) 10,000 10,017 4.465% due 07/28/2003 (d) 50 50 First National Bank Chicago 8.080% due 01/05/2018 250 276 First Security Corp. 5.875% due 11/01/2003 9,325 9,674 First Union Corp. 8.125% due 06/24/2002 150 155 Ford Credit Canada 3.310% due 12/16/2002 (d) 95,600 95,661 Ford Motor Credit Co. 4.880% due 10/15/2001 (d) 13,000 13,003 4.271% due 11/16/2001 (d) 82,800 82,835 8.240% due 01/15/2002 85 86 8.200% due 02/15/2002 3,000 3,051 6.500% due 02/28/2002 1,710 1,731 8.000% due 06/15/2002 150 155 4.514% due 08/01/2002 (d) 56,000 55,741 6.550% due 09/10/2002 4,000 4,116 7.750% due 11/15/2002 5,730 5,987 6.000% due 01/14/2003 1,100 1,127 7.500% due 01/15/2003 250 261 4.476% due 02/03/2003 (d) 40,000 39,610 3.720% due 02/13/2003 (d) 286,185 282,728 3.340% due 03/17/2003 (d) 48,800 48,179 5.518% due 04/17/2003 (d) 64,600 64,258 6.125% due 04/28/2003 26,130 26,816 3.733% due 06/02/2003 (d) 72,500 71,739 3.255% due 06/20/2003 (d) 20,400 20,156 3.303% due 06/23/2003 (d) 147,150 145,841 6.625% due 06/30/2003 775 804 3.773% due 11/24/2003 (d) 47,000 46,339 5.750% due 02/23/2004 2,516 2,574 4.320% due 03/08/2004 (d) 93,400 93,101 3.950% due 04/26/2004 (d) 63,000 61,877 3.748% due 05/21/2004 (d) 37,200 36,476 3.663% due 06/02/2004 (d) 1,500 1,471 7.500% due 06/15/2004 100 107 4.471% due 06/21/2004 (d) 160,000 157,644 6.700% due 07/16/2004 92,905 96,635 4.110% due 07/19/2004 (d) 174,500 171,432 8.250% due 02/23/2005 2,500 2,721 7.500% due 03/15/2005 17,000 18,067 4.528% due 04/28/2005 (d) 58,000 56,153 3.041% due 06/30/2005 (d) 65,000 63,463 5.219% due 07/18/2005 (d) 230,800 225,259 7.600% due 08/01/2005 5,000 5,312 6.375% due 12/15/2005 100 102 6.875% due 02/01/2006 190 196 7.200% due 06/15/2007 25 26 5.800% due 01/12/2009 155 146 General Electric Capital Corp. 5.500% due 11/01/2001 50 50 5.650% due 03/31/2003 125 129 6.210% due 12/09/2005 400 431 7.875% due 12/01/2006 30 34 General Motors Acceptance Corp. 6.375% due 12/01/2001 765 769 5.500% due 12/15/2001 10,639 10,664 9.625% due 12/15/2001 5,650 5,721 6.625% due 01/10/2002 500 504 6.750% due 02/07/2002 1,590 1,609 7.750% due 03/25/2002 125 128 6.250% due 08/15/2002 100 103 7.000% due 09/15/2002 250 258 6.625% due 10/01/2002 5,000 5,132 3.695% due 11/12/2002 (d) 10,200 10,128 3.720% due 12/09/2002 (d) 64,050 63,510 6.750% due 12/10/2002 500 518 6.200% due 12/15/2002 500 515 5.480% due 12/16/2002 150 153 6.000% due 01/15/2003 990 1,015 5.875% due 01/22/2003 115,500 118,332 3.749% due 02/14/2003 (d) 12,600 12,444 3.670% due 03/10/2003 (d) 7,000 6,912 6.750% due 03/15/2003 49,725 51,537 7.125% due 05/01/2003 36,000 37,652 4.060% due 05/16/2003 (d) 105,575 104,740 4.529% due 07/20/2003 (d) 12,950 12,950 5.924% due 07/21/2003 (d) 33,900 33,336 3.986% due 08/04/2003 (d) 209,695 206,875 3.661% due 08/18/2003 (d) 133,390 131,402 5.550% due 09/15/2003 32,000 32,622 6.625% due 10/20/2003 2,000 2,079 5.750% due 11/10/2003 1,100 1,127 4.480% due 01/20/2004 (d) 399,042 394,447 3.453% due 03/22/2004 (d) 128,600 127,040 4.070% due 04/05/2004 (d) 60,600 59,389 4.338% due 05/10/2004 (d) 149,100 146,598 4.260% due 05/17/2004 (d) 36,300 35,687 4.280% due 05/28/2004 (d) 73,000 72,939 6.850% due 06/17/2004 1,200 1,254 4.190% due 07/20/2004 (d) 6,100 5,968 4.060% due 07/21/2004 (d) 69,600 67,672 4.105% due 07/30/2004 (d) 50,200 49,081 5.163% due 09/20/2004 (d) 19,864 19,839 6.650% due 11/17/2005 500 514 6.750% due 01/15/2006 440 453 6.150% due 04/05/2007 150 149 8.950% due 07/02/2009 14,961 16,320 Golden State Holdings 5.314% due 08/01/2003 (d) 500 492 Goldman Sachs Group, Inc. 4.990% due 01/17/2003 (d) 72,000 72,071 6.625% due 12/01/2004 275 293 7.625% due 08/17/2005 23,000 25,139 6.110% due 02/09/2009 (d) 10,000 10,052 6.500% due 02/25/2009 140 143 Great Western Finance Trust II 8.206% due 02/01/2027 150 152 102 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Halyard RE 10.376% due 04/05/2002 (d) $ 1,800 $ 1,803 Hanvit Bank 12.750% due 03/01/2010 36 38 Hartford Life, Inc. 6.900% due 06/15/2004 600 639 Heller Financial, Inc. 4.740% due 10/22/2001 (d) 35,900 35,927 6.500% due 11/01/2001 250 251 5.170% due 11/09/2001 (d) 6,700 6,713 4.090% due 03/13/2002 (d) 43,500 43,590 5.889% due 04/22/2002 (d) 2,100 2,102 4.540% due 04/26/2002 (d) 12,000 12,008 4.469% due 05/07/2002 (d) 25,700 25,747 3.765% due 05/13/2002 (d) 10,000 10,006 7.000% due 05/15/2002 3,300 3,381 6.500% due 07/22/2002 140 144 4.084% due 07/24/2002 (d) 16,200 16,256 4.689% due 08/01/2002 (d) 35,000 35,126 3.935% due 04/28/2003 (d) 26,000 26,010 3.965% due 04/28/2003 (d) 53,500 53,581 Hertz Corp. 7.000% due 07/15/2003 13,300 13,849 Hitachi Credit America 3.858% due 10/15/2003 (d) 11,500 11,505 Household Bank 4.571% due 10/22/2003 (d) 18,000 17,855 Household Capital Trust III 5.253% due 06/26/2004 (d) 23,925 23,528 Household Finance Corp. 4.464% due 11/01/2001 (d) 4,500 4,504 4.424% due 05/07/2002 (d) 43,450 43,452 7.080% due 06/03/2002 15,000 15,424 5.875% due 11/01/2002 200 205 6.125% due 02/27/2003 500 514 2.863% due 06/24/2003 (d) 32,900 32,970 4.420% due 05/28/2004 (d) 293,900 294,177 Household Netherlands BV 6.125% due 03/01/2003 18,100 18,680 HSBC Capital Funding LP 9.547% due 12/31/2049 76,400 89,238 10.176% due 12/31/2049 46,160 54,103 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,294 Inter-American Development Bank 5.375% due 01/18/2006 131,000 136,373 8.875% due 06/01/2009 200 245 7.375% due 01/15/2010 4,200 4,839 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,096 International Lease Finance Corp. 5.930% due 07/15/2003 14,000 14,593 J.P. Morgan & Co., Inc. 6.700% due 11/01/2007 30 32 6.698% due 02/15/2012 (d) 600 585 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 124 John Hancock 7.375% due 02/15/2024 360 362 Juno RE Ltd. 7.930% due 06/26/2002 (d) 27,750 27,706 KBC Bank Fund Trust III 9.860% due 11/02/2049 (d) 5,700 6,587 Kern River Funding Corp. 6.720% due 09/30/2001 1,125 1,125 Key Bank USA NA 7.550% due 09/15/2006 350 383 Kimco Realty Corp. 6.500% due 10/01/2003 200 208 Korea Development Bank 7.900% due 02/01/2002 300 304 8.600% due 03/25/2002 6,600 6,781 7.625% due 10/01/2002 300 312 6.500% due 11/15/2002 440 454 6.625% due 11/21/2003 2,000 2,089 6.750% due 12/01/2005 55 57 7.250% due 05/15/2006 50 53 LB Rheinland - PFALZ 6.875% due 02/23/2028 3,400 3,383 Lehman Brothers Holdings, Inc. 4.305% due 01/30/2002 (d) 2,200 2,203 4.370% due 03/18/2002 (d) 10,000 10,016 6.375% due 05/07/2002 61,290 62,597 8.750% due 05/15/2002 219 226 4.290% due 06/03/2002 (d) 600 601 7.125% due 07/15/2002 100 103 4.380% due 08/12/2002 (d) 6,500 6,490 4.826% due 08/28/2002 (d) 6,500 6,540 4.290% due 09/03/2002 (d) 14,000 14,021 4.466% due 12/12/2002 (d) 60,100 60,386 4.220% due 04/04/2003 (d) 132,550 132,794 4.220% due 07/06/2004 (d) 105,751 105,822 7.625% due 06/01/2006 350 384 8.250% due 06/15/2007 70 78 LG&E Capital Corp. 6.205% due 05/01/2004 1,000 1,032 6.460% due 01/15/2008 3,000 3,004 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 18,666 Limestone Electron Trust 8.625% due 03/15/2003 71,350 74,795 Lion Connecticut Holdings 6.375% due 08/15/2003 200 208 7.250% due 08/15/2023 50 51 Lloyds TSB Bank PLC 4.456% due 08/25/2010 (d) 3,000 3,018 MBNA America Bank NA 4.634% due 04/25/2002 (d) 1,000 999 MCN Investment Corp. 7.120% due 01/16/2004 7,500 7,811 Merrill Lynch & Co. 8.000% due 02/01/2002 400 407 7.375% due 08/17/2002 300 311 8.300% due 11/01/2002 700 739 6.000% due 02/12/2003 500 518 6.875% due 03/01/2003 140 147 2.753% due 06/24/2003 (d) 32,000 32,008 3.959% due 08/01/2003 (d) 22,000 22,067 3.936% due 08/04/2003 (d) 29,000 29,089 8.770% due 05/21/2004 (d) 117,285 117,495 6.550% due 08/01/2004 400 427 7.000% due 04/27/2008 100 107 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 7,102 MIC Financing Trust I 8.375% due 02/01/2027 36,000 33,342 Monumental Global Funding II 5.106% due 09/26/2003 (d) 58,500 58,511 Morgan Stanley Group, Inc. 3.548% due 03/11/2003 (d) 11,500 11,512 6.375% due 12/15/2003 150 157 5.625% due 01/20/2004 1,200 1,242 Morgan Stanley, Dean Witter & Co. 4.910% due 04/15/2002 (d) 550 551 3.850% due 05/05/2003 (d) 43,000 43,033 3.906% due 08/07/2003 (d) 143,400 143,626 4.660% due 04/22/2004 (d) 112,700 113,124 3.889% due 05/14/2004 (d) 179,200 179,272 Nacional Financiera 9.750% due 03/12/2002 10,000 10,238 5.464% due 05/08/2003 (d) 17,680 17,680 National Rural Utilities Cooperative Finance Corp. 3.700% due 05/31/2002 (d) 37,000 37,020 6.250% due 04/15/2003 50,000 51,743 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 12,275 12,306 9.375% due 11/15/2003 200 222 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 103 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------- Newcourt Credit Group, Inc. 6.875% due 02/16/2005 $ 7,500 $ 7,877 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 12,143 Nordbanken AB 8.950% due 11/29/2049 4,000 4,506 Nordstom Credit, Inc. 7.250% due 04/30/2002 1,000 1,026 Northern Rock PLC 8.000% due 12/31/2049 260 5,980 Old Kent Bank 4.429% due 11/01/2005 (d) 3,400 3,397 7.750% due 08/15/2010 19,500 20,977 Osprey Trust 8.310% due 01/15/2003 76,155 79,296 Pacific Life Insurance Co. 7.900% due 12/30/2023 8,000 8,338 Paine Webber Group, Inc. 3.480% due 05/20/2002 (d) 1,000 1,001 5.320% due 07/15/2002 (d) 200 201 Parker Retirement Savings Plan 6.340% due 07/15/2008 741 766 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 1,128 Pemex Finance Ltd. 6.125% due 11/15/2003 15,000 15,305 PNC Funding Corp. 6.875% due 03/01/2003 100 105 7.000% due 09/01/2004 20,000 21,465 PNC Institutional Capital Trust 7.950% due 12/15/2026 150 153 Popular, Inc. 6.540% due 11/06/2001 18,705 18,770 6.625% due 01/15/2004 19,500 20,304 Premium Asset Trust 4.381% due 11/27/2004 (d) 48,900 49,035 5.110% due 10/06/2005 (d) 300 300 Prime Property Funding II 7.000% due 08/15/2004 110 115 Protective Life Funding Trust 5.159% due 01/17/2003 (d) 2,000 2,007 Prudential Funding Corp. 6.375% due 07/23/2006 100 104 6.625% due 04/01/2009 17,000 16,699 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 3,400 3,406 PSEG Capital Corp. 6.740% due 10/23/2001 1,400 1,403 Reliance Group Holdings, Inc. 9.750% due 11/15/2003 (e) 10,000 350 9.000% due 11/15/2049 (e) 19,000 760 Reliant Energy Financial Co. 4.156% due 12/10/2001 (d) 53,100 53,191 Residential Reinsurance 8.510% due 06/01/2004 88,200 88,200 Rothmans Holdings 6.500% due 05/06/2003 16,390 16,921 Royal & Sun Alliance Insurance Group PLC 8.950% due 10/15/2029 270 269 Royal Bank of Scotland Group PLC 8.817% due 03/31/2049 41,600 46,154 9.118% due 03/31/2049 66,400 76,451 Salomon, Inc. 7.000% due 03/04/2002 18,850 19,191 6.750% due 02/15/2003 450 471 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (j) 30,556 30,714 6.625% due 07/01/2002 55 56 6.125% due 01/15/2003 290 301 3.815% due 02/11/2003 (d) 44,200 44,292 3.955% due 04/28/2003 (d) 28,000 28,043 4.760% due 01/22/2004 10,000 10,000 7.000% due 03/15/2004 100 107 3.980% due 05/04/2004 (d) 10,020 10,036 3.859% due 05/21/2004 48,000 48,084 Sears Roebuck Acceptance Corp. 6.600% due 10/09/2001 17,000 17,011 6.360% due 12/04/2001 290 292 6.120% due 12/13/2001 260 261 6.950% due 05/15/2002 4,100 4,183 6.000% due 03/20/2003 149,750 153,916 7.260% due 04/21/2003 3,000 3,135 7.140% due 05/02/2003 5,000 5,219 6.560% due 11/20/2003 1,178 1,229 Seismic Ltd. 8.336% due 01/01/2002 (d) 32,500 32,450 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,043 Socgen Real Estate LLC 7.640% due 12/29/2049 20,000 21,091 Spieker Properties, Inc. 6.800% due 12/15/2001 5,500 5,534 6.950% due 12/15/2002 1,600 1,656 6.800% due 05/01/2004 1,000 1,047 Steers 8.049% due 08/07/2002 (d) 20,000 20,388 Sun Life of Canada (U.S.) 8.526% due 05/29/2049 250 257 Textron Financial Corp. 4.610% due 10/26/2001 (d) 11,200 11,209 4.406% due 05/28/2002 (d) 51,900 51,972 5.060% due 09/17/2002 (d) 2,000 2,004 The Money Store, Inc. 8.050% due 04/15/2002 300 308 7.300% due 12/01/2002 100 105 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 40,000 40,158 Transamerica Finance Corp. 6.125% due 11/01/2001 29,000 29,048 3.406% due 12/14/2001 (d) 64,300 64,386 5.920% due 03/29/2002 52,050 52,798 7.250% due 08/15/2002 86,195 89,249 7.500% due 03/15/2004 270 290 Trinom Ltd. 7.150% due 06/18/2004 (d) 48,700 48,700 U.S. Bancorp 4.180% due 03/06/2003 600 603 6.500% due 06/15/2004 600 633 US Bank National Association 5.700% due 12/15/2008 370 371 Wachovia Corp. 6.375% due 04/15/2003 200 209 Washington Mutual, Inc. 4.419% due 05/14/2004 (d) 138,200 138,470 4.403% due 05/17/2004 (d) 191,600 191,985 8.375% due 06/01/2027 235 242 Wells Fargo & Co. 8.750% due 05/01/2002 100 103 6.500% due 09/03/2002 100 103 6.625% due 07/15/2004 6,500 6,956 Wells Fargo Financial, Inc. 6.375% due 07/16/2002 500 513 6.250% due 11/01/2002 100 103 7.000% due 01/15/2003 380 398 6.000% due 02/01/2004 50 52 WestDeutsche Landersbank 6.750% due 06/15/2005 36,400 38,727 6.050% due 01/15/2009 164,600 168,239 Western Capital 8.796% due 01/07/2003 (d) 15,600 15,600 ----------- 10,207,627 =========== Industrials 6.7% Adelphia Communications Corp. 8.375% due 02/01/2008 25 21 7.875% due 05/01/2009 25 20 AdvancePCS 8.500% due 04/01/2008 25 25 AIC Corp. 3.940% due 10/02/2002 (d) 17,000 16,981 104 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Air Products & Chemicals, Inc. 6.250% due 06/15/2003 $ 2,500 $ 2,584 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 33,136 Albertson's, Inc. 6.550% due 08/01/2004 240 252 Allied Waste Industries, Inc. 6.100% due 01/15/2003 6,000 6,003 7.375% due 01/01/2004 18,925 18,736 7.625% due 01/01/2006 25 25 AMERCO 7.230% due 01/21/2027 1,250 1,254 America West Airlines, Inc. 6.870% due 07/02/2018 1,776 1,524 American Airlines, Inc. 10.210% due 01/01/2010 6,500 6,767 10.610% due 03/04/2011 1,895 2,024 6.978% due 04/01/2011 40,200 40,527 7.858% due 10/01/2011 78,700 79,409 American Standard Cos., Inc. 7.375% due 02/01/2008 25 25 Amkor Technology, Inc. 9.250% due 05/01/2006 25 20 Amoco Corp. 6.250% due 10/15/2004 1,000 1,063 AMR Corp. 9.125% due 10/24/2001 750 752 9.130% due 10/25/2001 2,000 2,005 8.470% due 02/20/2002 2,000 1,994 8.500% due 02/26/2002 1,000 997 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 534 AT&T Corp. 8.250% due 01/15/2003 43,125 45,390 Atlas Air, Inc. 7.540% due 04/04/2003 (d) 22,700 22,700 8.540% due 04/04/2003 (d) 3,000 3,000 Avis Group Holdings, Inc. 11.000% due 05/01/2009 25 26 Baxter International, Inc. 9.500% due 06/15/2008 200 240 Bayer Corp. 6.500% due 10/01/2002 250 258 Boeing Co. 6.350% due 06/15/2003 750 781 Buckeye Technologies, Inc. 8.000% due 10/15/2010 25 22 Building Materials Corp. 8.000% due 10/15/2007 15 10 Campbell Soup Co. 4.750% due 10/01/2003 700 711 Canadian National Railway Co. 6.375% due 10/15/2011 4,500 4,532 Cargill, Inc. 4.900% due 01/14/2002 (d) 3,000 3,001 Cemex SA de CV 9.250% due 06/17/2002 5,100 5,279 8.625% due 07/18/2003 48,250 50,301 Charter Communications Holdings LLC 8.250% due 04/01/2007 25 23 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 20,000 20,065 Coastal Corp. 3.913% due 03/06/2002 (d) 149,350 149,586 8.125% due 09/15/2002 250 260 4.914% due 07/21/2003 (d) 7,700 7,726 Coca-Cola Enterprises, Inc. 7.875% due 02/01/2002 100 101 6.000% due 07/15/2003 250 261 5.750% due 11/01/2008 100 102 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 47 Comcast Cable Communications 8.375% due 05/01/2007 145 162 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 20,500 20,538 Continental Airlines, Inc. 6.410% due 04/15/2007 325 325 6.800% due 07/02/2007 25 24 6.954% due 02/02/2011 12,918 12,233 6.900% due 01/02/2018 1,452 1,336 Cox Communications, Inc. 4.999% due 11/07/2002 (d) 16,000 16,072 Cox Enterprises, Inc. 6.625% due 06/14/2002 7,250 7,372 4.579% due 05/01/2033 (d) 1,100 1,108 Crown Castle International Corp. 13.250% due 11/15/2007 25 20 CSC Holdings, Inc. 8.125% due 07/15/2009 25 26 CSX Corp. 4.339% due 06/24/2002 (d) 32,100 32,122 7.900% due 05/01/2017 295 327 DaimlerChrysler North America Holding Corp. 3.885% due 01/18/2002 (d) 41,000 40,998 7.125% due 03/01/2002 46,500 47,126 3.830% due 03/22/2002 (d) 5,000 4,983 3.798% due 08/23/2002 (d) 37,710 37,726 3.270% due 09/16/2002 (d) 23,350 23,213 3.920% due 12/16/2002 (d) 99,100 99,660 7.750% due 05/27/2003 45,000 47,343 4.200% due 08/01/2003 (d) 5,700 5,649 4.270% due 08/21/2003 (d) 18,000 17,716 3.880% due 08/16/2004 (d) 76,600 75,125 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 715 736 10.500% due 01/02/2007 6,627 7,869 10.370% due 01/02/2007 9,629 10,016 10.570% due 01/02/2007 15,881 16,231 9.550% due 01/02/2008 7,773 7,928 10.430% due 01/02/2011 3,755 3,430 10.140% due 08/14/2012 1,000 869 10.000% due 06/05/2013 10,828 9,483 Delta Air Lines, Inc. 6.650% due 03/15/2004 13,500 11,935 7.379% due 05/18/2010 9,794 10,147 7.570% due 05/18/2012 10,000 10,191 9.200% due 09/23/2014 6,000 4,986 10.500% due 04/30/2016 6,050 6,179 Duty Free International, Inc. 7.000% due 01/15/2004 175 182 Eastman Chemical Co. 6.375% due 01/15/2004 5,750 5,894 Echostar Communications Corp. 9.375% due 02/01/2009 25 25 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,405 Eli Lilly & Co. 8.125% due 12/01/2001 500 504 6.250% due 03/15/2003 100 104 Elizabeth Arden, Inc. 11.750% due 02/01/2011 25 24 Enron Corp. 6.450% due 11/15/2001 5,275 5,294 8.000% due 08/15/2005 3,200 3,311 Federal Express Corp. 6.845% due 01/15/2019 805 761 Ferrellgas Partners LP 9.375% due 06/15/2006 25 25 Fisher Scientific International 7.125% due 12/15/2005 50 49 Flag Ltd. 8.250% due 01/30/2008 25 16 Ford Capital BV 9.500% due 06/01/2010 200 229 Ford Motor Co. 7.450% due 07/16/2031 295 279 Forest Oil Corp. 8.000% due 06/15/2008 25 25 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 105 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Fortune Brands, Inc. 8.500% due 10/01/2003 $ 500 $ 542 Fox Family Worldwide, Inc. 9.250% due 11/01/2007 25 26 Fox/Liberty Networks LLC 0.000% due 08/15/2007 50 48 Fred Meyer, Inc. 7.375% due 03/01/2005 38,100 40,830 General Motors Corp. 6.250% due 05/01/2005 300 307 Gillette Co. 6.250% due 08/15/2003 750 787 5.750% due 10/15/2005 1,500 1,546 Global Crossing Holding Ltd. 9.125% due 11/15/2006 25 11 Grupo Industrial Durango SA 12.625% due 08/01/2003 17 17 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 5,000 4,988 HCA - The Healthcare Co. 8.020% due 08/05/2002 9,000 9,320 4.610% due 09/19/2002 (d) 190,500 190,743 8.130% due 08/04/2003 7,300 7,665 6.910% due 06/15/2005 9,500 9,575 7.250% due 05/20/2008 1,450 1,438 6.630% due 07/15/2045 10,000 10,269 6.730% due 07/15/2045 22,560 23,177 HEALTHSOUTH Corp. 6.875% due 06/15/2005 1,500 1,476 10.750% due 10/01/2008 25 27 Heinz (H.J.) Co. 6.875% due 01/15/2003 100 104 Hilton Hotels Corp. 7.375% due 06/01/2002 1,000 1,007 HMH Properties, Inc. 7.875% due 08/01/2008 25 21 HNA Holdings, Inc. 6.125% due 02/01/2004 200 208 Honeywell, Inc. 6.750% due 03/15/2002 250 254 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 3,011 IBM Corp. 7.250% due 11/01/2002 625 651 7.875% due 12/01/2005 25 7 4.875% due 10/01/2006 15,000 14,929 ICI Wilmington, Inc. 6.750% due 09/15/2002 10,000 10,215 IMEXSA Export Trust 10.125% due 05/31/2003 5,676 5,610 Imperial Tobacco Overseas BV 7.125% due 04/01/2009 21,785 22,683 International Game Technology 7.875% due 05/15/2004 14,525 14,598 International Paper Co. 4.620% due 07/08/2002 (d) 50,200 50,264 Jack In The Box, Inc. 8.375% due 04/15/2008 25 25 Kerr-McGee Corp. 3.341% due 06/28/2004 (d) 85,100 84,901 6.875% due 09/15/2011 10,000 9,962 7.875% due 09/15/2031 25,000 25,136 Kinder Morgan, Inc. 6.450% due 11/30/2001 10,000 10,044 Kmart Corp. 9.875% due 06/15/2008 25 23 Kroger Co. 7.150% due 03/01/2003 13,000 13,616 4.310% due 08/16/2012 (d) 97,600 97,726 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,095 9.250% due 12/01/2005 25 23 Martin Marietta Corp. 6.500% due 04/15/2003 50 52 Mazda Manufacturing Corp. 10.500% due 07/01/2008 1,980 2,577 McLeodUSA, Inc. 0.000% due 03/01/2007 25 8 Mediacom Capital Corp. 8.500% due 04/15/2008 25 24 Meristar Hospitality Corp. 9.125% due 01/15/2011 25 20 MGM Grand, Inc. 9.750% due 06/01/2007 25 25 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 25 25 Nabisco, Inc. 6.700% due 06/15/2002 9,000 9,181 6.125% due 02/01/2033 15,000 15,398 News America Holdings, Inc. 8.625% due 02/01/2003 750 791 Nextel Communications, Inc. 9.375% due 11/15/2009 25 16 Norfolk Southern Corp. 6.950% due 05/01/2002 12,000 12,247 7.875% due 02/15/2004 50 54 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,568 1,554 8.072% due 10/01/2019 398 410 Occidental Petroleum Corp. 8.500% due 11/09/2001 2,500 2,510 6.400% due 04/01/2003 17,710 18,275 Owens-Illinois, Inc. 7.350% due 05/15/2008 25 19 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,779 Petroleos Mexicanos 7.185% due 07/15/2005 (d) 32,250 32,371 6.906% due 07/15/2005 (d) 94,500 94,854 8.850% due 09/15/2007 1,800 1,850 9.375% due 12/02/2008 39,650 41,434 9.500% due 09/15/2027 31,000 32,938 Philip Morris Cos., Inc. 7.500% due 01/15/2002 50 51 7.625% due 05/15/2002 8,300 8,493 6.800% due 12/01/2003 48,345 50,881 7.000% due 07/15/2005 15,125 16,062 6.950% due 06/01/2006 9,540 10,144 7.200% due 02/01/2007 34,000 36,443 Pioneer National Resources Co. 9.625% due 04/01/2010 50 54 Premium Asset Trust 3.895% due 09/08/2007 (d) 25,000 25,000 Procter & Gamble Co. 5.250% due 09/15/2003 35,900 37,111 Qwest Corp. 4.270% due 07/08/2002 (d) 21,100 21,129 7.000% due 08/03/2009 375 376 Racers 3.713% due 03/03/2003 (d) 282,400 282,985 4.960% due 04/01/2003 (d) 20,000 20,000 5.560% due 04/28/2003 (d) 45,000 46,103 3.800% due 09/15/2005 (d) 15,000 15,000 Raytheon Co. 4.630% due 03/01/2002 (d) 8,650 8,654 Rollins Truck Leasing Co. 8.250% due 05/01/2002 13,400 13,717 Safeway, Inc. 5.875% due 11/15/2001 43,060 43,195 7.000% due 09/15/2002 16,125 16,544 6.850% due 09/15/2004 250 267 Saks, Inc. 8.250% due 11/15/2008 25 18 Sara Lee Corp. 6.300% due 11/07/2005 500 517 SCL Terminal Aereo Santiago 6.950% due 07/01/2012 5,000 5,119 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 246 106 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Scotts Co. 8.625% due 01/15/2009 $ 25 $ 25 Sears, Roebuck & Co. 8.390% due 02/14/2002 240 244 6.250% due 01/15/2004 300 310 SmithKline Beecham Corp. 7.375% due 04/15/2005 150 164 SR Wind Ltd. 8.888% due 05/18/2005 (d) 12,000 11,960 9.388% due 05/18/2005 (d) 13,000 13,133 Stater Brothers Holdings 10.750% due 08/15/2006 25 25 Station Casinos, Inc. 8.875% due 12/01/2008 25 22 Sun Microsystems, Inc. 7.000% due 08/15/2002 200 204 Systems 2001 Asset Trust 7.156% due 12/15/2011 29,910 31,154 TCI Communications, Inc. 3.750% due 04/03/2002 (d) 19,300 19,357 3.810% due 03/11/2003 (d) 5,000 5,031 6.375% due 05/01/2003 3,280 3,389 8.650% due 09/15/2004 625 691 8.000% due 08/01/2005 450 492 Teleglobe, Inc. 7.200% due 07/20/2009 410 420 7.700% due 07/20/2009 255 249 Telewest Communications PLC 9.250% due 04/15/2009 50 18 Tenet Healthcare Corp. 7.875% due 01/15/2003 10,300 10,712 8.625% due 12/01/2003 6,200 6,634 8.125% due 12/01/2008 25 27 Texaco Capital, Inc. 8.500% due 02/15/2003 700 751 6.000% due 06/15/2005 400 419 Textron, Inc. 6.750% due 09/15/2002 225 231 Time Warner, Inc. 6.100% due 12/30/2001 45,875 46,115 9.625% due 05/01/2002 22,550 23,299 7.975% due 08/15/2004 15,032 16,474 10.150% due 05/01/2012 200 253 Times Mirror Co. 6.650% due 10/15/2001 300 300 Triad Hospitals, Inc. 11.000% due 05/15/2009 25 27 TRW, Inc. 6.625% due 06/01/2004 8,925 9,188 Tyco International Group SA 6.875% due 09/05/2002 3,175 3,255 6.125% due 11/01/2008 305 308 Union Pacific Corp. 5.780% due 10/15/2001 5,000 5,003 7.875% due 02/15/2002 14,055 14,273 5.426% due 07/01/2002 (d) 25,500 25,540 6.930% due 06/01/2003 1,000 1,046 6.120% due 02/01/2004 250 250 Unisys Corp. 9.210% due 01/21/2017 2,000 2,080 United Air Lines, Inc. 3.683% due 12/02/2002 (d) 16,619 16,687 9.200% due 03/22/2008 3,690 3,566 6.932% due 09/01/2011 (d) 10,500 9,917 10.360% due 11/13/2012 7,000 6,731 10.020% due 03/22/2014 6,925 7,067 10.850% due 07/05/2014 34,111 33,144 10.850% due 02/19/2015 2,100 2,155 10.125% due 03/22/2015 14,300 14,699 9.060% due 06/17/2015 5,000 5,170 United Technologies Corp. 7.125% due 11/15/2010 450 482 UnumProvident Corp. 7.625% due 03/01/2011 355 374 US Airways, Inc. 6.850% due 01/30/2018 141 129 UST, Inc. 7.250% due 06/01/2009 15,000 15,034 Viacom, Inc. 8.375% due 06/15/2002 2,800 2,895 6.625% due 05/15/2011 4,500 4,627 VoiceStream Wireless Corp. 10.375% due 11/15/2009 25 28 Wal-Mart Stores, Inc. 6.750% due 05/24/2002 170 174 6.500% due 06/01/2003 200 210 Walt Disney Co. 5.125% due 12/15/2003 500 512 Waste Management, Inc. 6.625% due 07/15/2002 13,153 13,309 6.500% due 12/15/2002 4,800 4,908 6.375% due 12/01/2003 200 206 6.500% due 05/15/2004 94,000 97,272 7.375% due 08/01/2010 525 552 Williams Communications Group, Inc. 10.700% due 10/01/2007 25 11 Winn-Dixie Stores, Inc. 8.875% due 04/01/2008 25 24 Witco Corp. 6.600% due 04/01/2003 100 102 ---------- 3,257,915 ========== Utilities 5.3% AES Corp. 9.500% due 06/01/2009 25 22 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,643 Allegheny Energy Supply 6.325% due 05/01/2002 (d) 5,800 5,808 Allete, Inc. 4.610% due 10/20/2003 (d) 79,700 79,844 Amerada Hess Corp. 8.590% due 02/06/2002 35,000 35,921 American Tower Corp. 9.375% due 02/01/2009 25 24 Arizona Public Service Co. 4.290% due 11/15/2001 (d) 14,000 14,017 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,029 4.540% due 03/07/2003 (d) 300 300 AT&T Canada, Inc. 0.000% due 11/01/2007 11,000 3,848 0.000% due 06/15/2008 6,030 2,051 AT&T Corp. 7.125% due 01/15/2002 275 277 Azurix Corp. 10.375% due 02/15/2007 25 25 Baltimore Gas & Electric 6.125% due 07/01/2003 150 156 Bell Atlantic Maryland, Inc. 8.000% due 10/15/2029 1,125 1,254 Bell Atlantic Virginia, Inc. 5.625% due 03/01/2007 500 498 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 10,000 10,195 6.250% due 05/15/2003 100 104 British Telecom PLC 4.445% due 12/15/2003 (d) 203,860 207,941 7.625% due 12/15/2005 6,800 7,357 8.125% due 12/15/2010 83,000 92,137 BRL Universal Equipment 8.875% due 02/15/2008 25 25 Calpine Corp. 7.750% due 04/15/2009 50 47 CE Electric Funding 6.853% due 12/30/2004 250 258 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,715 Central Power & Light Co. 4.676% due 11/23/2001 (d) 18,100 18,125 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 107 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Chesapeake Energy Corp. 8.125% due 04/01/2011 $ 25 $ 24 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 34,017 CMS Energy Corp. 8.375% due 07/01/2003 15,000 15,518 7.000% due 01/15/2005 41,325 41,368 7.500% due 01/15/2009 25 24 Cogentrix Energy, Inc. 8.750% due 10/15/2008 25 27 Columbia Energy Group 6.610% due 11/28/2002 5,000 5,157 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 10,464 Commonwealth Edison Co. 3.091% due 09/30/2002 (d) 10,900 10,911 6.625% due 07/15/2003 1,000 1,048 7.145% due 09/30/2003 (d) 22,700 22,708 9.875% due 06/15/2020 11,700 13,415 Conectiv, Inc. 4.210% due 06/13/2002 (d) 25,000 25,040 Consolidated Edison, Inc. 6.625% due 02/01/2002 100 101 3.950% due 06/15/2002 (d) 11,000 11,024 6.375% due 04/01/2003 1,000 1,037 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 46,998 Constellation Energy Group 4.270% due 04/04/2003 (d) 15,000 15,001 CSW Energy, Inc. 6.875% due 10/01/2001 2,000 2,000 Detroit Edison Co. 7.210% due 08/01/2002 1,000 1,035 4.360% due 07/15/2028 5,900 5,900 Deutsche Telekom AG 7.750% due 06/15/2005 97,100 103,791 8.000% due 06/15/2010 13,000 14,094 8.250% due 06/15/2030 50,000 52,962 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 20,000 20,109 7.600% due 07/15/2003 35,000 37,186 DTE Energy Co. 7.110% due 11/15/2038 90,750 94,283 El Paso Electric Co. 9.400% due 05/01/2011 7,455 8,447 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,161 Entergy Arkansas, Inc. 7.000% due 03/01/2002 3,580 3,626 7.720% due 03/01/2003 1,300 1,363 Entergy Gulf States, Inc. 4.826% due 09/01/2004 (d) 6,400 6,406 Entergy Louisiana, Inc. 5.800% due 03/01/2002 16,500 16,633 7.740% due 07/01/2002 599 601 8.500% due 06/01/2003 3,000 3,202 Entergy Mississippi, Inc. 4.329% due 05/03/2004 (d) 31,000 31,048 Exelon Corp. 5.625% due 11/01/2001 22,350 22,389 Florida Power & Light 6.875% due 12/01/2005 4,000 4,307 France Telecom 5.149% due 03/14/2003 (d) 145,005 146,627 3.396% due 07/16/2003 (d) 138,700 138,787 7.750% due 03/01/2011 14,500 15,427 8.500% due 03/01/2031 50,000 53,674 Georgia Power Co. 2.664% due 02/22/2002 (d) 15,000 15,006 GTE California, Inc. 5.500% due 01/15/2009 100 98 GTE South, Inc. 7.250% due 08/01/2002 150 155 Houston Lighting & Power Co. 8.750% due 03/01/2022 $ 10,000 $ 10,372 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 500 489 Indiana Michigan Power Co. 4.088% due 09/03/2002 (d) 7,800 7,818 Indianapolis Power & Light Co. 7.375% due 08/01/2007 225 240 Kinder Morgan, Inc. 6.450% due 03/01/2003 240 248 Korea Electric Power Corp. 7.000% due 10/01/2002 380 389 6.375% due 12/01/2003 220 229 LIN Television Corp. 8.000% due 01/15/2008 25 24 Mirant Corp. 7.900% due 07/15/2009 175 181 Nevada Power Co. 6.200% due 04/15/2004 20,000 20,014 New England Telephone & Telegraph Co. 6.250% due 03/15/2003 50 52 6.375% due 09/01/2008 1,350 1,345 New York Telephone Co. 6.250% due 02/15/2004 150 157 6.000% due 04/15/2008 45 46 Niagara Mohawk Power Co. 7.250% due 10/01/2002 24,783 25,509 7.375% due 07/01/2003 39,162 41,063 7.375% due 08/01/2003 1,645 1,736 Noram Energy Corp. 6.375% due 11/01/2003 22,250 23,270 Nortel Networks Corp. 6.875% due 10/01/2002 200 193 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,369 NRG Northeast Generating LLC 8.065% due 12/15/2004 352 367 Nuevo Energy Co. 8.875% due 06/01/2008 25 25 Ohio Bell Telephone Co. 5.375% due 03/01/2007 950 928 Ohio Power Co. 7.000% due 07/01/2004 24,000 25,324 Oneok, Inc. 5.068% due 04/24/2002 (d) 8,000 8,012 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(e) 33,700 28,982 5.875% due 10/01/2005 (e) 100 94 7.250% due 08/01/2026 (e) 10,000 9,050 Pacific Northwest Bell Telephone 4.375% due 09/01/2002 50 50 Portland General Electric Co. 7.660% due 01/14/2002 5,000 5,064 PP&L, Inc. 6.550% due 03/01/2006 500 522 Progress Energy, Inc. 7.100% due 03/01/2011 350 375 PSEG Energy Holdings, Inc. 9.125% due 02/10/2004 120 128 PSEG Power LLC 8.625% due 04/15/2031 210 238 Public Service Co. of Colorado 6.000% due 04/15/2003 750 775 Public Service Electric & Gas Co. 6.125% due 08/01/2002 1,000 1,018 6.250% due 01/01/2007 1,500 1,528 Ras Laffan Liquid Natural Gas 8.294% due 03/15/2014 145 153 RCN Corp. 10.125% due 01/15/2010 18 6 Scana Corp. 4.150% due 02/08/2002 (d) 13,900 13,907 4.420% due 07/15/2002 (d) 40,900 40,944 108 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Sierra Pacific Resources 5.478% due 04/20/2002 (d) $ 4,500 $ 4,458 5.428% due 04/20/2003 (d) 4,000 3,877 Southern California Edison Co. 6.514% due 05/01/2002 (d) 24,000 20,760 6.500% due 06/01/2049 200 170 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 149,200 149,385 6.500% due 11/15/2001 14,365 14,422 7.625% due 06/10/2002 97,361 100,309 4.268% due 06/10/2002 (d) 14,400 14,438 2.953% due 06/24/2002 (d) 74,500 74,583 8.125% due 07/15/2002 10,378 10,707 6.125% due 11/15/2008 390 380 Telekomunikacja Polska SA 7.125% due 12/10/2003 12,200 12,745 7.750% due 12/10/2008 7,895 8,159 Texas Utilities Corp. 5.940% due 10/15/2001 6,250 6,261 6.500% due 08/16/2002 2,600 2,658 6.750% due 03/01/2003 150 155 3.750% due 06/15/2003 (d) 8,000 8,004 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,450 8.700% due 09/01/2002 24,500 25,263 7.850% due 03/31/2003 7,000 7,300 7.875% due 08/01/2004 500 544 TXU Eastern Funding Co. 6.150% due 05/15/2002 64,800 65,772 6.450% due 05/15/2005 15,270 15,686 Union Electric Co. 8.000% due 12/15/2022 1,000 1,020 Vodafone Group PLC 3.310% due 12/19/2001 (d) 27,800 27,840 7.750% due 02/15/2010 500 548 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 37,600 37,652 6.200% due 08/01/2002 5,000 5,083 7.625% due 07/15/2019 85 83 Wilmington Trust Co. - Tucson Electric 10.732% due 01/01/2013 991 1,126 WorldCom, Inc. 4.302% due 11/26/2001 (d) 10,300 10,311 7.375% due 01/15/2003 21,150 21,885 6.125% due 04/15/2012 39,360 39,901 8.250% due 05/15/2031 310 312 Xcel Energy, Inc. 7.000% due 12/01/2010 130 137 ----------- 2,537,438 ----------- Total Corporate Bonds & Notes 16,002,980 (Cost $15,896,786) =========== MUNICIPAL BONDS & NOTES 0.7% Alabama 0.0% Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-323 7.620% due 02/01/2029 (d) 4,500 4,438 Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-352 7.992% due 02/01/2036 (d) 625 617 Jefferson County, Alabama Sewer Revenue Bonds, (FGIC Insured), Series 2001 6.940% due 02/01/2039 5,500 5,253 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.410% due 11/15/2029 1,000 913 ----------- 11,221 =========== California 0.0% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 $ 2,500 $ 2,466 Fairfield California Redevelopment Agency Tax Allocation Bonds, Series 1997 7.700% due 06/01/2002 5 5 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 9,000 2,574 0.000% due 01/01/2030 3,590 830 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 7.870% due 07/01/2023 3,500 3,526 Modesto California Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 09/01/2029 300 300 Orange County School Board, (MBIA Insured), Series 2000 7.370% due 08/01/2024 3,500 3,395 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 1,001 San Francisco, California City & County Common International Airport Revenue Bonds, (MBIA Insured), Series 2000 4.840% due 05/01/2028 3,350 2,822 ----------- 16,919 =========== Colorado 0.0% Denver Colorado City & County Airport Revenue Bonds, Series 2000 5.980% due 11/15/2025 2,500 2,375 ----------- Florida 0.0% Broward County Florida Airport System Revenue Bonds, (AMBAC Insured), Series 2000 6.870% due 10/01/2023 1,328 1,128 Florida State Board of Education General Obligation Bonds, (FGIC Insured), Series 2000 6.370% due 06/01/2023 3,500 2,874 Florida State Governmental Utility Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.370% due 10/01/2029 (d) 6,453 6,186 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 5,034 Lakeland Florida Electric & Water Revenue Bonds, (MBIA Insured), Series 2000 5.000% due 10/01/2028 2,675 2,575 Modesto Public Financing Authority Lease Revenue Bonds, (AMBAC Insured), Series 2000 7.770% due 09/01/2029 2,500 2,500 ----------- 20,297 =========== Georgia 0.1% Atlanta, Georgia Water & Wastewater Revenue Bonds, (FGIC Insured), Series 2000 5.440% due 11/01/2036 22,300 20,615 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 (l) 9,950 8,657 ----------- 29,272 =========== See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 109 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 6.870% due 07/01/2028 $ 7,200 $ 6,030 ---------- Illinois 0.1% Chicago, Illinois Board Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2027 15,000 3,619 Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 12,000 4,350 Chicago, Illinois General Obligation Bonds, (FGIC Insured), Series 2000 6.980% due 01/01/2040 4,750 4,964 5.500% due 01/01/2040 3,000 3,071 Chicago, Illinois Residual General Obligation Bonds, (MBIA Insured), Series 2000 7.620% due 01/01/2028 (d) 3,100 2,972 Chicago, Illinois Sales Tax Revenue Bonds, (FGIC Insured), Series 1999 5.375% due 01/01/2030 15,000 15,173 Cook County Illinois General Obligation Bonds, (FGIC Insured), Series 2000 5.000% due 11/15/2028 3,220 2,950 ---------- 37,099 ========== Massachusetts 0.2% Boston Massachussetts Water & Sewer Common Revenue Bonds, (FGIC Insured), Series 2000 5.510% due 11/01/2028 3,500 3,325 E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 7.370% due 09/01/2021 2,590 2,571 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 6.920% due 03/01/2021 5,150 4,706 Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 2001 5.000% due 01/01/2037 (d) 3,000 2,779 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.570% due 01/01/2039 (d) 10,250 9,468 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 7.540% due 01/01/2037 21,950 20,304 Massachusetts State Water Reserve Authority Revenue Bonds, (FSA Insured), Series 2000 6.920% due 08/01/2037 (d) 500 428 Southbridge Associations Limited Liability Corporation Massachussetts Revenue Bonds, (MBIA-Insured), Series 2000 7.590% due 02/01/2022 31,105 33,788 ---------- 77,369 ========== Mississippi 0.0% Mississippi Development Bank Special Obligation Bonds, (AMBAC Insured), Series 2000 7.500% due 07/01/2024 2,500 2,459 ---------- Nevada 0.1% Clark County, Nevada General Obligation Ltd. Bonds, I(MBIA Insured), Series 2000 8.440% due 07/01/2030 (d) 20,913 21,671 Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 6.690% due 05/15/2028 (d) 10,000 9,363 ---------- 31,034 ========== New Jersey 0.0% Essex County New Jersey Important Authority Lease Revenue Bonds, (FGIC Insured), Series 2000 7.090% due 10/01/2030 250 290 Mercer County New Jersey Important Authority Revenue Bonds, Series 2000 7.140% due 01/01/2018 3,103 3,793 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,780 ---------- 5,863 ========== New York 0.1% Long Island Power Authority New York Electric System Revenue Bonds, (FSA Insured), Series 2001 7.040% due 12/01/2022 (d) 4,000 4,000 Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 7.950% due 12/01/2022 4,500 4,494 Long Island Power Authority Revenue Bond (MBIA Insured), Series 2000 8.200% due 12/01/2026 5,500 5,569 New York City Municipal Bonds, Series 1997 3.898% due 08/01/2002 (d) 1,937 1,937 New York City Municipal Water Finance Authority Revenue Bonds, (MBIA-IBC Insured), Series 2000 6.940% due 06/15/2025 6,565 5,777 New York City, New York General Obligation Bonds, Series 1997-D 4.545% due 08/01/2002 (d) 2,883 2,883 New York City, New York Municipal Water & Sewer System Financial Authority Revenue Bonds, (FSA Insured), Series 2000 5.510% due 06/15/2029 (d) 3,000 2,831 New York City, New York Transitional Financial Authority Revenue Bonds, Series 2000 6.510% due 11/01/2024 (d) 1,250 1,209 New York City, New York Transitional Financing Authority Revenue Bonds, (FGIC-TCRS Insured), Series 2000 4.790% due 11/15/2023 2,500 2,169 New York State Dormitory Authority Lease Revenue Bonds, (MBIA Insured), Series 2001 4.750% due 01/15/2029 (d) 3,650 3,121 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000 7.570% due 02/15/2023 2,550 2,458 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.625% due 04/01/2029 1,000 1,016 Port Authority New York & New Jersey Special Obligation Revenue Bonds, (MBIA Insured), Series 2000 7.600% due 12/01/2022 3,250 3,453 ---------- 40,917 ========== North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 55 61 ---------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.720% due 12/01/2027 3,250 3,120 ---------- 110 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 $ 1,000 $ 1,126 Allegheny County Pennsylvania Port Authority SPL Revenue Bonds, Series 2001 5.000% due 03/01/2025 1,000 981 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2000 6.870% due 04/01/2027 (d) 3,150 2,681 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2001 0.000% due 04/01/2027 500 426 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 487 --------- 5,701 ========= Texas 0.1% Dallas-Fort Worth International Airport Revenue Bonds, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,200 Denton County, Texas Utility System Revenue Bonds, (MBIA Insured), Series 2000 5.680% due 12/01/2029 (d) 3,000 2,906 Grapevine-Colleyville Independent General Obligation Bonds, (PSF-GTD Insured), Series 2000 6.000% due 08/15/2029 10,500 8,754 Houston Independent School District General Obligation Bonds, (PSF Insured), Series 1999 4.750% due 02/15/2026 10,500 9,673 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2000 5.290% due 07/01/2025 2,750 2,506 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2001 7.570% due 07/01/2028 (d) 10,000 8,525 Houston, Texas Independent School District (PSF-GTD Insured), Series 2000 4.790% due 02/15/2026 15,088 12,787 Houston, Texas Water & Sewer System Revenue Bonds, (FGIC Insured), Series 2001 5.250% due 12/01/2030 (d) 500 500 North Texas Towey Authority Dallas North Towey System Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 01/01/2029 4,000 3,665 --------- 53,516 ========= Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 472 Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 5,444 --------- Total Municipal Bonds & Notes 349,169 ========= (Cost $313,349) U.S. GOVERNMENT AGENCIES 0.6% A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 770 804 Fannie Mae 5.375% due 03/15/2002 750 760 4.700% due 05/23/2003 815 827 4.750% due 05/23/2003 1,000 1,003 5.450% due 02/12/2004 2,200 2,224 6.500% due 08/15/2004 550 593 6.560% due 12/10/2007 190 197 5.870% due 01/28/2009 200 201 7.250% due 01/15/2010 900 1,032 7.125% due 06/15/2010 21,210 24,135 6.250% due 02/01/2011 1,200 1,264 6.000% due 05/15/2011 2,800 2,955 6.875% due 09/10/2012 1,000 1,085 6.930% due 09/17/2012 1,000 1,095 6.875% due 09/24/2012 2,000 2,183 7.250% due 05/15/2030 125 144 6.625% due 11/15/2030 610 652 Federal Farm Credit Bank 6.400% due 01/16/2002 100 101 6.060% due 05/28/2013 100 105 Federal Home Loan Bank 4.875% due 01/22/2002 115 116 5.805% due 02/15/2002 (d) 17,000 17,083 6.880% due 08/15/2003 1,000 1,068 5.060% due 10/16/2003 1,700 1,702 5.920% due 08/25/2008 500 530 6.026% due 01/22/2009 275 278 5.920% due 03/03/2009 500 529 6.500% due 08/14/2009 1,200 1,314 0.000% due 09/10/2018 15,000 4,577 0.000% due 12/21/2018 4,250 1,313 Freddie Mac 5.500% due 05/15/2002 435 443 4.500% due 03/15/2004 70 65 5.250% due 01/15/2006 165 156 6.000% due 02/21/2006 1,000 1,043 9.000% due 09/15/2008 18 19 10.250% due 03/15/2009 1 1 6.450% due 04/29/2009 100 102 5.750% due 09/15/2010 165 159 SallieMae 6.896% due 10/25/2004 (d) 7,784 7,783 Small Business Administration 7.449% due 08/01/2010 121,780 133,040 7.700% due 07/01/2016 672 729 6.950% due 11/01/2016 4,004 4,231 6.700% due 12/01/2016 15,208 15,922 7.150% due 03/01/2017 7,321 7,795 7.190% due 12/01/2019 470 501 7.630% due 06/01/2020 23,128 25,127 6.900% due 12/01/2020 9,858 10,345 6.340% due 03/01/2021 32,863 33,462 Tennessee Valley Authority 0.000% due 04/15/2042 6,055 3,089 --------- Total U.S. Government Agencies 313,882 ========= (Cost $297,298) U.S. TREASURY OBLIGATIONS 7.3% Treasury Inflation Protected Securities (i)(j) 3.625% due 07/15/2002 (b) 1,093,385 1,112,521 3.375% due 01/15/2007 (b) 312,510 321,593 3.625% due 01/15/2008 922,587 957,472 3.875% due 01/15/2009 546,784 575,319 3.500% due 01/15/2011 57,015 58,654 3.625% due 04/15/2028 250,865 257,685 3.875% due 04/15/2029 159,188 170,978 U.S. Treasury Bonds 8.125% due 08/15/2021 900 1,193 8.000% due 11/15/2021 5,000 6,560 6.000% due 02/15/2026 10,100 10,778 5.500% due 08/15/2028 32,900 32,900 6.250% due 05/15/2030 1,215 1,353 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 111 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- U.S. Treasury Notes 3.875% due 06/30/2003 $ 195 $ 199 5.250% due 05/15/2004 1,310 1,380 7.250% due 05/15/2004 990 1,092 4.625% due 05/15/2006 3,625 3,754 5.500% due 05/15/2009 1,150 1,229 6.500% due 02/15/2010 700 795 U.S. Treasury Strips 0.000% due 11/15/2001 43 43 0.000% due 05/15/2008 750 556 0.000% due 02/15/2012 375 222 0.000% due 11/15/2021 200 63 ----------- Total U.S. Treasury Obligations 3,516,339 =========== (Cost $3,421,861) MORTGAGE-BACKED SECURITIES 73.5% Collateralized Mortgage Obligations 23.8% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,873 6.750% due 11/25/2028 600 611 6.500% due 06/25/2029 7,093 7,151 American Southwest Financial Securities Corp. 7.400% due 11/17/2004 17,331 18,037 12.500% due 04/01/2015 208 210 7.248% due 11/25/2038 58,229 58,658 Amresco Commercial Mortgage Funding I 7.180% due 06/17/2029 55 59 Aurora Loan Services 4.493% due 05/25/2030 (d) 29,829 29,868 Bank of America Funding Corp. 6.750% due 11/20/2032 17,000 17,537 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 9,592 9,792 6.250% due 08/25/2028 25,000 24,811 6.500% due 05/25/2029 35,243 35,278 7.250% due 10/25/2029 11,015 11,462 7.500% due 04/25/2030 1,862 1,886 7.500% due 01/25/2031 98,600 100,365 7.500% due 02/25/2031 8,804 8,995 7.000% due 03/25/2032 53,400 55,566 Bear Stearns Adjustable Rate Mortgage Trust 7.275% due 11/25/2030 (d) 114,401 116,538 7.491% due 12/25/2030 (d) 103,109 104,540 7.482% due 12/25/2030 (d) 86,375 87,740 6.928% due 02/25/2031 (d) 27,499 27,641 7.013% due 02/25/2031 (d) 17,412 17,502 6.583% due 08/25/2031 (d) 15,900 16,152 6.688% due 09/25/2031 (d) 67,954 70,010 6.792% due 01/25/2032 (d) 62,171 64,049 Bear Stearns Commercial Mortgage Securities, Inc. 5.910% due 05/14/2008 126 131 7.000% due 05/20/2030 45,308 48,519 Bear Stearns Mortgage Securities, Inc. 4.555% due 10/25/2023 (d) 2,171 2,307 10.000% due 08/25/2024 5,000 5,820 7.000% due 03/25/2027 7,000 7,123 8.125% due 09/25/2027 2,422 2,519 7.000% due 02/25/2028 10,000 10,415 7.421% due 06/25/2030 (d) 5,196 5,155 Capco America Securitization Corp. 5.860% due 12/15/2007 43 45 CDC Depositor Trust I 3.918% due 01/15/2003 (d) 6,611 6,611 Cendant Mortgage Corp. 7.250% due 04/18/2013 456 462 6.506% due 11/18/2028 (d) 6,317 6,066 6.502% due 11/18/2028 (d) 13,308 13,379 Chase Commercial Mortgage Securities Corp. 7.631% due 07/15/2032 275 307 Chase Mortgage Finance Corp. 7.000% due 07/25/2024 1,132 1,130 7.000% due 08/25/2024 2,562 2,614 6.750% due 03/25/2025 12,109 12,079 8.257% due 04/25/2025 (d) 3,258 3,321 6.750% due 10/25/2028 39,000 40,325 6.350% due 07/25/2029 54,323 55,801 7.750% due 08/25/2030 10,214 10,738 Chemical Mortgage Securities, Inc. 7.250% due 01/25/2026 10,868 11,268 Citicorp Mortgage Securities, Inc. 7.873% due 10/25/2022 (d) 7,844 8,030 6.250% due 04/25/2024 11,796 11,627 6.250% due 05/25/2024 274 274 7.250% due 10/25/2027 20,462 21,128 6.500% due 11/25/2027 5,354 5,349 6.750% due 09/25/2028 9,282 9,628 7.000% due 09/25/2030 7,419 7,643 7.500% due 10/25/2030 11,873 12,531 7.000% due 02/25/2031 36,610 38,095 CMC Securities Corp. II 7.779% due 04/25/2025 (d) 86 88 CMC Securities Corp. III 6.750% due 05/25/2028 5,000 5,171 CMC Securities Corp. IV 7.250% due 11/25/2027 10,378 10,862 Collateralized Mortgage Obligation Trust 8.000% due 09/20/2021 4,959 5,095 Collateralized Mortgage Obligation Trust I 10.200% due 02/01/2016 1,747 1,797 Collateralized Mortgage Securities Corp. 11.450% due 11/01/2015 (d) 103 104 8.750% due 04/20/2019 309 323 8.800% due 04/20/2019 216 226 COMM 6.145% due 02/15/2008 13,742 14,341 4.300% due 12/16/2011 (d) 9,000 9,016 Commercial Mortgage Acceptance Corp. 7.030% due 05/15/2009 75 81 Commercial Mortgage Asset Trust 7.546% due 01/17/2010 500 555 6.640% due 09/17/2010 455 485 6.975% due 04/17/2013 145 156 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 12,088 12,318 Countrywide Funding Corp. 6.625% due 02/25/2024 33,827 35,032 6.875% due 03/25/2024 9,080 9,382 6.750% due 03/25/2024 12,967 12,829 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,903 6.250% due 08/25/2014 3,625 3,700 6.750% due 11/25/2025 25,567 24,990 7.500% due 04/25/2027 1,514 1,578 7.500% due 06/25/2027 11,980 12,427 7.500% due 09/25/2027 20,000 20,434 7.250% due 12/25/2027 6,224 6,162 7.250% due 02/25/2028 57,846 59,774 6.750% due 06/25/2028 15,103 15,406 6.750% due 08/25/2028 2,511 2,507 6.750% due 10/25/2028 15,567 15,505 6.750% due 11/25/2028 5,000 5,105 6.500% due 01/25/2029 24,978 25,485 6.500% due 03/25/2029 21,744 21,958 6.050% due 04/25/2029 2,654 2,693 7.250% due 08/25/2029 7,200 7,357 7.750% due 04/25/2030 24,455 24,676 7.750% due 10/25/2030 46,309 47,927 7.750% due 01/25/2031 36,577 37,352 7.500% due 01/25/2031 1,051 1,093 6.099% due 07/19/2031 (d) 21,750 22,338 Credit-Based Asset Servicing and Securitization 4.215% due 09/25/2029 (d) 914 918 4.125% due 02/25/2030 (d) 40,811 40,870 112 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Crusade Global Trust 3.900% due 02/15/2030 (d) $ 74,167 $ 74,387 CS First Boston Mortgage Securities Corp. 6.520% due 07/17/2007 50 53 6.750% due 12/27/2028 13,409 13,396 6.960% due 06/20/2029 491 505 7.500% due 03/25/2031 39,770 39,979 4.130% due 06/25/2031 (d) 32,077 32,170 4.180% due 06/25/2031 (d) 68,822 69,113 7.290% due 09/15/2041 335 367 Dime Savings 7.317% due 11/01/2018 (d) 114 111 DLJ Commercial Mortgage Corp. 4.235% due 09/05/2001 (d) 426 427 4.095% due 05/05/2003 (d) 28,996 28,996 4.334% due 07/05/2008 (d) 1,314 1,320 7.300% due 06/10/2032 515 565 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 4,000 4,335 6.446% due 08/01/2021 (d) 3,269 3,316 7.793% due 09/01/2021 (d) 36 36 8.000% due 03/25/2022 96 96 8.230% due 12/25/2022 (d) 949 950 7.067% due 03/25/2023 171 173 8.938% due 03/25/2024 (d) 202 205 8.603% due 05/25/2024 (d) 69 71 9.234% due 10/25/2024 (d) 328 361 4.125% due 06/25/2026 (d) 1,146 1,151 6.850% due 12/17/2027 6,605 7,008 Drexel Burnham Lambert CMO Trust 9.500% due 11/20/2017 463 483 DVI Business Credit Receivable Corp. III 4.300% due 10/15/2003 (d) 3,850 3,871 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 26,293 26,737 Fannie Mae 7.500% due 05/25/2005 6,700 6,922 7.500% due 02/25/2006 375 383 7.000% due 05/25/2006 211 216 6.500% due 07/25/2006 16 17 8.000% due 11/25/2006 4 4 6.350% due 12/25/2006 3 3 7.500% due 05/25/2007 656 670 6.250% due 07/25/2007 26 26 6.000% due 07/25/2007 300 305 6.740% due 08/25/2007 145 155 6.270% due 09/25/2007 3,000 3,131 7.000% due 10/25/2007 200 211 6.500% due 05/25/2008 500 520 6.000% due 08/25/2008 27 27 10.500% due 08/25/2008 7,146 7,842 9.483% due 09/25/2008 (d) 1,606 1,602 6.500% due 11/18/2008 1,022 1,024 6.500% due 02/25/2009 51 53 4.000% due 02/25/2009 24 24 6.000% due 02/25/2009 1,400 1,453 6.500% due 03/25/2009 95 99 6.875% due 06/25/2009 60 61 6.500% due 08/25/2010 500 518 6.750% due 11/25/2010 307 308 6.500% due 04/25/2013 75 78 6.000% due 03/18/2015 3,377 3,376 6.450% due 09/25/2016 1,272 1,279 8.000% due 12/25/2016 146 152 6.750% due 07/18/2017 2,240 2,251 11.000% due 11/25/2017 856 951 9.250% due 04/25/2018 123 137 9.300% due 05/25/2018 530 569 4.144% due 06/25/2018 (d) 2 2 9.500% due 06/25/2018 445 481 9.500% due 11/25/2018 4,152 4,265 6.000% due 02/25/2019 1,647 1,659 6.500% due 03/25/2019 605 611 9.500% due 06/25/2019 1,110 1,195 9.300% due 08/25/2019 56 60 6.350% due 08/25/2019 32 32 9.000% due 12/25/2019 4,701 5,089 7.500% due 12/25/2019 5,722 6,073 7.000% due 03/25/2020 1,081 1,138 7.000% due 04/25/2020 18 18 7.500% due 05/25/2020 2,421 2,519 5.000% due 09/25/2020 200 201 7.000% due 09/25/2020 4,138 4,143 9.000% due 09/25/2020 2,552 2,725 8.000% due 12/25/2020 28,173 29,655 8.750% due 01/25/2021 2,529 2,743 9.000% due 01/25/2021 3,869 4,254 5.750% due 02/18/2021 100 101 9.000% due 03/25/2021 354 385 7.000% due 05/25/2021 300 308 6.500% due 06/25/2021 5,887 6,056 6.250% due 06/25/2021 658 665 8.000% due 07/25/2021 11,070 11,828 8.500% due 09/25/2021 4,024 4,351 7.000% due 10/25/2021 8,364 8,575 8.000% due 10/25/2021 17,422 17,739 7.000% due 11/25/2021 14,934 15,189 6.000% due 12/25/2021 11 11 5.000% due 12/25/2021 500 500 4.000% due 01/25/2022 126 127 7.750% due 01/25/2022 16,686 17,814 8.000% due 01/25/2022 18,871 19,228 8.000% due 03/25/2022 22 22 7.000% due 04/25/2022 17,091 17,525 5.000% due 04/25/2022 48 49 7.000% due 04/25/2022 145 157 7.500% due 05/25/2022 2,000 2,143 7.375% due 05/25/2022 9,870 10,438 8.000% due 06/25/2022 4,154 4,419 7.000% due 06/25/2022 1,014 1,062 7.000% due 07/25/2022 4,540 4,750 8.000% due 07/25/2022 56,546 59,732 7.800% due 10/25/2022 2,570 2,733 6.500% due 10/25/2022 4,272 4,393 7.000% due 03/25/2023 30,979 32,966 6.500% due 03/25/2023 2,000 2,061 6.500% due 05/18/2023 6,158 6,200 6.900% due 05/25/2023 169 172 7.000% due 06/25/2023 5,606 5,642 6.000% due 08/25/2023 14,131 12,666 6.500% due 08/25/2023 6 6 6.500% due 09/18/2023 559 566 1.000% due 09/25/2023 135 127 6.750% due 09/25/2023 4,224 4,181 7.000% due 09/25/2023 2,259 2,266 6.750% due 10/25/2023 635 630 6.500% due 10/25/2023 8,895 8,959 7.500% due 10/25/2023 27 28 6.500% due 11/25/2023 20 20 6.500% due 12/25/2023 165 168 5.000% due 01/25/2024 419 427 6.500% due 01/25/2024 48,562 49,126 6.500% due 02/25/2024 5,150 5,274 7.000% due 03/25/2024 10,267 10,658 7.500% due 06/20/2024 53 54 6.500% due 08/17/2024 17,000 17,535 6.000% due 12/25/2024 1,703 1,729 7.000% due 02/18/2025 37 37 6.600% due 05/18/2025 219 228 7.500% due 11/17/2025 289 305 7.500% due 12/25/2025 360 374 7.000% due 02/15/2026 132 136 6.950% due 03/25/2026 156 156 7.000% due 07/18/2026 450 458 6.500% due 09/18/2026 120 124 7.000% due 12/18/2026 17,287 17,912 6.000% due 12/25/2026 170 173 8.500% due 02/17/2027 1,474 1,641 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 113 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 6.000% due 03/25/2027 $ 320 $ 325 5.000% due 04/18/2027 1,000 989 6.000% due 05/17/2027 5,470 5,336 7.000% due 06/18/2027 684 719 7.000% due 07/18/2027 460 485 6.500% due 07/18/2027 184 190 7.500% due 08/20/2027 2,697 2,882 7.000% due 12/20/2027 13,188 13,634 4.481% due 04/18/2028 (d) 2,404 2,412 6.500% due 05/20/2028 1,228 1,159 6.500% due 06/25/2028 4,700 4,843 6.500% due 07/18/2028 67,412 67,707 6.000% due 07/18/2028 9,182 8,666 9.113% due 09/25/2028 14,608 16,444 6.500% due 10/25/2028 40,000 40,125 6.250% due 02/25/2029 3,500 3,482 7.500% due 04/25/2029 1,139 1,188 6.000% due 04/25/2029 11,362 9,952 7.500% due 06/19/2030 260 270 4.293% due 08/25/2030 (d) 55,474 55,609 5.506% due 10/18/2030 (d) 41,183 41,276 6.500% due 03/10/2031 54,031 52,073 7.500% due 07/25/2031 1,072 1,111 6.500% due 07/25/2031 12,065 11,228 6.750% due 08/21/2031 141,441 144,702 6.750% due 08/25/2031 148,672 145,901 4.210% due 09/25/2031 18,210 18,245 6.500% due 10/25/2031 10,057 9,693 6.500% due 10/30/2031 20,388 19,566 6.390% due 05/25/2036 32,688 30,773 6.500% due 06/17/2038 5,000 5,195 6.300% due 10/17/2038 16,303 15,677 Federal Housing Administration 6.750% due 10/30/2031 154,200 156,826 FFCA Secured Lending Corp. 7.850% due 10/18/2017 29,600 31,234 First Commonwealth Savings & Loan 10.375% due 04/01/2005 14 15 First Horizon Asset Securities, Inc. 7.000% due 02/25/2031 20,818 21,663 First Interstate Bancorp 8.875% due 01/01/2009 126 136 9.125% due 01/01/2009 (d) 8 8 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,459 7.750% due 07/25/2030 6,000 6,263 First Union Residential Securitization, Inc. 7.000% due 04/25/2025 348 362 6.750% due 08/25/2028 9,048 9,152 First Union-Lehman Brothers Commercial Mortgage 7.150% due 02/18/2004 21 21 Freddie Mac 8.000% due 03/15/2002 36 36 7.000% due 10/15/2003 2,424 2,485 6.750% due 10/15/2003 9,124 9,238 7.000% due 12/15/2003 64 65 6.500% due 04/15/2005 403 405 10.150% due 04/15/2006 4 4 6.500% due 07/15/2006 977 992 6.500% due 08/15/2006 184 186 7.500% due 02/15/2007 581 598 7.750% due 04/01/2007 12 12 7.500% due 04/01/2007 10 11 7.000% due 07/01/2007 2 2 6.500% due 07/15/2007 3,891 3,924 8.000% due 10/01/2007 46 47 5.500% due 10/15/2007 660 660 6.500% due 05/15/2008 981 995 8.550% due 06/15/2008 (d) 99 96 6.000% due 11/15/2008 225 233 6.200% due 12/15/2008 4,748 4,980 8.500% due 03/01/2009 126 134 6.000% due 03/15/2009 265 276 11.250% due 10/01/2009 2 2 7.000% due 06/01/2010 12 13 7.550% due 03/15/2012 180 189 11.875% due 06/15/2013 81 87 8.500% due 08/15/2013 2,000 2,042 8.500% due 09/15/2013 4,745 4,804 6.000% due 11/15/2014 400 396 10.100% due 09/01/2016 233 258 7.500% due 11/15/2016 28,055 29,470 6.250% due 10/15/2017 6,233 6,263 6.350% due 03/25/2018 91 92 5.500% due 05/15/2018 225 227 6.400% due 02/15/2019 5,095 5,142 6.500% due 04/15/2019 1,066 1,083 10.000% due 11/15/2019 72 76 3.950% due 06/15/2020 (d) 66 67 5.250% due 07/15/2020 94 94 5.750% due 08/15/2020 232 235 9.000% due 09/15/2020 44 46 5.000% due 10/15/2020 927 935 5.500% due 10/15/2020 8 8 8.900% due 11/15/2020 8,710 8,978 9.500% due 11/15/2020 2,485 2,531 6.250% due 12/15/2020 145 150 6.000% due 12/15/2020 186 188 8.750% due 12/15/2020 986 1,039 9.000% due 12/15/2020 2,155 2,268 6.250% due 01/15/2021 200 203 9.500% due 01/15/2021 1,532 1,649 7.000% due 01/15/2021 1,634 1,641 7.000% due 02/15/2021 772 780 8.000% due 04/15/2021 66 68 6.500% due 05/15/2021 68 69 6.500% due 05/17/2021 24 24 6.000% due 06/15/2021 1,729 1,732 8.500% due 06/15/2021 18,766 19,788 9.000% due 07/15/2021 1,598 1,694 9.500% due 07/15/2021 687 697 6.950% due 07/15/2021 345 354 8.000% due 07/15/2021 1,553 1,555 6.000% due 07/15/2021 135 138 6.200% due 08/15/2021 596 605 6.950% due 08/15/2021 116 120 9.500% due 08/15/2021 1,329 1,406 8.000% due 08/15/2021 20,925 21,220 6.500% due 09/15/2021 739 754 7.000% due 09/15/2021 96 99 4.500% due 09/15/2021 222 223 6.500% due 09/15/2021 14,613 14,744 7.000% due 10/15/2021 1 2 6.000% due 11/15/2021 360 361 8.000% due 12/15/2021 19,348 20,535 6.850% due 01/15/2022 688 714 8.250% due 06/15/2022 3,911 4,090 7.000% due 07/15/2022 9,959 10,362 8.500% due 10/15/2022 5,700 5,973 6.000% due 11/15/2022 220 223 7.000% due 12/15/2022 21,000 21,916 7.500% due 01/15/2023 18,998 20,402 6.500% due 02/15/2023 1,250 1,305 7.500% due 05/01/2023 802 843 6.500% due 07/15/2023 240 250 7.000% due 07/15/2023 288 297 7.500% due 07/15/2023 395 416 6.500% due 08/15/2023 77,994 78,953 7.410% due 10/25/2023 2,102 2,150 7.400% due 10/25/2023 (d) 10,508 11,007 6.500% due 11/15/2023 145 146 6.500% due 01/15/2024 35 36 7.500% due 01/20/2024 17 17 5.000% due 02/15/2024 116 111 6.500% due 02/15/2024 12 12 7.500% due 03/15/2024 6,793 7,004 6.500% due 03/15/2024 340 343 114 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 8.000% due 04/25/2024 $ 511 $ 561 6.250% due 05/15/2024 14,142 14,257 8.500% due 08/01/2024 1,126 1,203 7.250% due 08/15/2024 132 134 8.000% due 09/15/2024 16,250 17,705 8.500% due 11/01/2024 482 515 5.650% due 11/15/2024 140 142 6.750% due 01/17/2025 3,305 3,335 6.000% due 02/15/2025 3,078 3,126 7.500% due 02/15/2025 1,705 1,729 7.000% due 09/17/2025 40 41 7.000% due 03/01/2026 81 85 6.500% due 03/15/2026 110 110 6.000% due 08/15/2026 2,400 2,438 3.631% due 09/15/2026 (d) 33,850 33,751 7.240% due 10/01/2026 (d) 2,191 2,232 6.000% due 11/15/2026 550 559 7.000% due 01/01/2027 92 96 7.500% due 01/15/2027 27,169 28,372 8.000% due 02/15/2027 37,222 40,623 7.000% due 03/01/2027 115 120 7.500% due 03/17/2027 20,000 21,600 6.890% due 05/01/2027 (d) 289 297 6.500% due 06/15/2027 10,786 10,672 6.000% due 06/15/2027 202 207 7.500% due 06/20/2027 20,956 22,365 6.500% due 08/15/2027 16,600 16,081 6.500% due 09/15/2027 73,000 74,427 6.500% due 10/15/2027 32,300 32,869 6.000% due 11/15/2027 665 670 6.500% due 01/25/2028 8,691 8,590 6.250% due 03/15/2028 10,000 9,963 6.500% due 04/15/2028 162,175 162,978 6.500% due 05/15/2028 57,770 57,758 6.500% due 06/15/2028 64,722 62,288 6.500% due 06/20/2028 24,690 23,188 7.000% due 07/01/2028 606 630 6.500% due 07/15/2028 74,335 70,852 6.500% due 08/15/2028 350,044 347,272 7.000% due 11/15/2028 9,000 9,296 6.000% due 12/01/2028 639 642 6.250% due 12/15/2028 1,762 1,712 6.000% due 12/15/2028 11,672 11,116 6.500% due 12/15/2028 7,449 7,212 6.000% due 12/15/2028 11,995 11,194 6.500% due 01/01/2029 1,877 1,925 6.500% due 01/15/2029 10,411 10,383 6.000% due 01/15/2029 3,484 3,105 6.000% due 02/15/2029 4,071 3,755 6.500% due 03/01/2029 555 569 6.500% due 03/15/2029 26,551 25,384 6.500% due 05/01/2029 814 834 6.500% due 06/01/2029 306 314 6.500% due 07/01/2029 1,549 1,586 7.500% due 02/01/2030 834 868 7.500% due 07/15/2030 1,000 1,081 7.500% due 08/15/2030 2,784 2,947 7.000% due 09/15/2030 (d) 19,184 19,059 4.140% due 09/15/2030 8,833 8,879 7.000% due 10/15/2030 15,966 16,082 7.500% due 10/15/2030 28,927 30,450 4.090% due 11/15/2030 (d) 1,128 1,130 6.303% due 08/15/2032 (d) 28,194 28,692 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 1,813 1,799 Gaston Oaks PLC 6.930% due 01/01/2036 1,292 1,352 General Electric Capital Mortgage Services, Inc. 6.000% due 02/25/2009 292 291 6.750% due 12/25/2012 1,562 1,573 6.500% due 09/25/2023 1,175 1,152 6.500% due 12/25/2023 8,631 8,349 6.500% due 01/25/2024 3,895 3,676 6.500% due 03/25/2024 68,826 69,303 6.500% due 04/25/2024 70,318 69,646 8.625% due 11/25/2024 234 237 7.250% due 05/25/2026 3,628 3,742 7.500% due 06/25/2027 16,396 16,783 7.500% due 07/25/2027 9,830 10,263 7.000% due 10/25/2027 28,496 29,179 7.000% due 11/25/2027 72,500 75,459 6.750% due 05/25/2028 23,934 23,047 6.650% due 05/25/2028 5,102 5,169 6.750% due 06/25/2028 20,517 21,111 6.550% due 06/25/2028 23,450 24,116 6.600% due 06/25/2028 4,361 4,428 6.750% due 06/25/2028 359 358 6.750% due 10/25/2028 12,114 12,457 6.250% due 12/25/2028 54,321 54,339 6.500% due 12/25/2028 19,500 19,786 6.750% due 05/25/2029 20,000 20,350 6.500% due 05/25/2029 9,858 9,964 6.000% due 07/25/2029 23,507 23,695 6.250% due 07/25/2029 132,674 136,366 5.950% due 07/25/2029 13,304 13,297 6.500% due 07/25/2029 95,240 95,969 7.250% due 08/25/2029 8,000 8,301 7.000% due 09/25/2029 16,154 16,739 German American Capital Corp. 4.305% due 07/01/2018 (d) 7,855 7,737 GGP - Homart 4.117% due 06/10/2003 (d) 9,084 9,093 GMAC Commercial Mortgage Asset Corp. 3.358% due 07/20/2002 15,103 15,103 GMAC Commercial Mortgage Securities, Inc. 6.566% due 11/15/2007 85 90 6.150% due 11/15/2007 204 213 6.700% due 03/15/2008 29,732 31,373 6.806% due 04/15/2008 1,000 1,046 6.974% due 05/15/2008 26,539 28,445 8.950% due 08/20/2017 420 462 6.570% due 09/15/2033 44,643 47,061 6.945% due 09/15/2033 25,060 26,715 GMAC Mortgage Corp. Loan Trust 7.500% due 05/25/2030 12,000 12,643 7.750% due 10/25/2030 14,713 14,798 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 7,693 7,991 Government Lease Trust 4.000% due 05/18/2011 3,000 2,487 Government National Mortgage Association 6.250% due 06/20/2022 24,470 24,848 7.250% due 12/16/2023 4,060 4,122 8.000% due 05/16/2024 10 10 7.000% due 02/20/2025 4,793 4,847 7.000% due 10/20/2025 7,000 7,328 7.000% due 03/20/2026 320 333 6.000% due 03/20/2026 1,500 1,524 4.130% due 06/16/2026 (d) 932 933 7.000% due 08/20/2026 77 78 7.500% due 07/16/2027 31,842 33,987 7.000% due 12/20/2027 3,154 3,154 6.500% due 04/20/2028 12,147 12,075 6.750% due 06/20/2028 23,382 22,865 6.500% due 06/20/2028 32,684 32,510 7.250% due 07/16/2028 30 33 6.500% due 07/20/2028 41,299 38,099 6.500% due 09/20/2028 30,040 28,219 6.500% due 01/20/2029 29,398 28,508 7.000% due 02/16/2029 6,815 6,998 8.000% due 03/20/2029 7,151 7,511 6.500% due 03/20/2029 16,259 16,387 6.000% due 05/20/2029 11,385 10,268 7.000% due 01/16/2030 6,843 6,736 7.500% due 01/20/2030 336 350 3.988% due 02/16/2030 (d) 31,776 31,971 4.058% due 02/16/2030 (d) 18,812 18,962 4.088% due 02/16/2030 (d) 34,649 34,784 7.500% due 02/20/2030 18,301 19,072 3.458% due 06/20/2030 (d) 13,537 13,524 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 115 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ---------------------------------------------------------------------------- 4.110% due 09/20/2030 (d) $ 7,577 $ 7,575 7.500% due 09/20/2030 5,321 5,722 4.280% due 10/16/2030 (d) 43,495 43,495 Greenwich Capital Acceptance, Inc. 8.305% due 04/25/2022 (d) 160 160 7.795% due 10/25/2022 (d) 11 11 8.153% due 01/25/2023 153 154 7.181% due 04/25/2023 (d) 945 944 8.434% due 04/25/2024 (d) 119 119 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 56 56 G-Wing Ltd. 6.776% due 05/06/2004 (d) 6,200 6,200 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 1,496 1,514 7.155% due 12/25/2012 544 554 7.250% due 11/25/2027 13,143 13,326 7.000% due 02/25/2028 145 145 Home Savings of America 8.464% due 08/01/2006 28 30 5.685% due 05/25/2027 (d) 2,229 2,210 7.042% due 08/20/2029 (d) 19,350 19,537 Housing Securities, Inc. 7.000% due 05/25/2008 1,000 1,021 HVMLT 7.470% due 08/19/2030 22,975 23,554 ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 18,068 18,483 7.750% due 03/25/2028 1,844 1,906 Impac CMB Trust 4.113% due 07/25/2030 (d) 40,083 40,171 3.860% due 11/25/2031 (d) 14,900 14,924 Impac Secured Assets CMN Owner Trust 3.361% due 01/25/2030 (d) 1,863 1,868 4.280% due 10/25/2030 (d) 33,140 33,241 Imperial CMB Trust 6.650% due 11/25/2029 767 791 Imperial Savings Association 8.226% due 01/25/2017 (d) 49 49 8.839% due 07/25/2017 (d) 202 201 Independent National Mortgage Corp. 8.250% due 05/25/2010 110 112 6.650% due 10/25/2024 2,147 2,164 8.750% due 12/25/2024 28 28 8.417% due 01/25/2025 (d) 35 36 6.319% due 07/25/2025 (d) 4,245 4,248 7.500% due 09/25/2025 137 137 6.930% due 05/25/2026 58 58 Indymac Adjustable Rate Mortgage Trust 6.569% due 08/25/2031 (d) 15,628 15,907 6.490% due 09/25/2031 (d) 99,000 103,300 6.490% due 09/28/2031 (d) 25,100 25,587 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 224 262 J.P. Morgan Commercial Mortgage Finance Corp. 8.228% due 02/25/2028 1,615 1,758 7.069% due 09/15/2029 65 69 6.533% due 01/15/2030 20,000 21,134 Kidder Peabody Acceptance Corp. 10.431% due 09/25/2024 (d) 1,731 1,749 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 36 37 Lehman Large Loan Trust 6.790% due 06/12/2004 54 56 Long Beach Mortgage Loan Trust 8.396% due 01/20/2017 (d) 40,699 46,081 LTC Commercial Corp. 7.100% due 11/28/2012 3,096 3,200 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 10,134 6.350% due 06/25/2028 22,000 22,465 5.652% due 06/26/2028 2,289 2,287 6.600% due 06/26/2028 7,660 7,831 6.110% due 01/25/2029 23,900 23,470 6.580% due 07/25/2029 (d) 55,565 58,881 6.460% due 07/25/2029 (d) 1,340 1,339 6.570% due 07/25/2029 (d) 44,000 44,549 Merrill Lynch Mortgage Investors, Inc. 7.598% due 06/15/2021 844 865 7.856% due 06/15/2021 (d) 3,800 3,936 7.596% due 06/15/2021 (d) 4,051 4,190 7.039% due 06/15/2021 1,773 1,846 6.950% due 06/18/2029 26,782 27,961 5.650% due 12/15/2030 7,279 7,503 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 11,321 11,720 MLCC Mortgage Investors, Inc. 3.875% due 09/15/2026 (d) 14,512 14,527 Morgan Stanley Capital I 6.440% due 11/15/2002 17 17 5.990% due 03/15/2005 53 55 6.860% due 05/15/2006 (d) 1,430 1,505 6.190% due 01/15/2007 18,064 18,874 6.160% due 04/03/2009 12,348 12,873 7.460% due 02/15/2020 9,087 9,733 4.035% due 07/25/2027 (d) 306 305 6.220% due 06/01/2030 65 68 6.590% due 10/03/2030 6,400 6,730 Morgan Stanley, Dean Witter & Co. 3.818% due 10/15/2026 (d) 2,601 2,586 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 546 7.008% due 09/20/2006 15,545 16,645 6.001% due 11/18/2031 65 68 Mortgage Obligation Structured Trust 7.700% due 10/25/2018 24,453 24,688 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 10,279 6.500% due 07/25/2028 14,470 14,764 6.750% due 08/25/2028 20,009 20,146 6.250% due 10/25/2028 7,000 6,950 Nationslink Funding Corp. 6.654% due 02/10/2006 19,624 20,777 4.198% due 04/10/2007 (d) 16,763 16,770 Nomura Asset Acceptance Corp. 7.000% due 02/19/2030 2,097 2,225 Nomura Asset Securities Corp. 8.271% due 05/25/2024 (d) 464 475 6.590% due 03/15/2030 335 356 7.120% due 04/13/2039 460 497 Norwest Asset Securities Corp. 6.750% due 12/25/2012 12,829 13,313 6.500% due 04/25/2013 19,078 19,786 6.500% due 06/25/2013 12,313 12,755 7.500% due 03/25/2027 40,048 41,159 6.750% due 09/25/2027 2,055 2,073 6.350% due 04/25/2028 524 525 6.750% due 05/25/2028 40,707 41,417 6.750% due 07/25/2028 12,657 12,449 6.250% due 08/25/2028 2,334 2,352 6.250% due 09/25/2028 378 378 6.750% due 10/25/2028 38,008 39,183 6.500% due 12/25/2028 39,751 40,483 6.500% due 01/25/2029 393 395 6.500% due 02/25/2029 67,541 67,968 5.950% due 04/25/2029 74,651 75,095 6.300% due 04/25/2029 5,734 5,781 6.200% due 04/25/2029 77,385 78,632 6.500% due 04/25/2029 26,751 27,018 6.250% due 05/25/2029 427 434 6.000% due 05/25/2029 19,713 19,884 6.500% due 06/25/2029 46,178 47,002 6.750% due 08/25/2029 855 864 6.500% due 10/25/2029 1,960 1,972 7.000% due 11/25/2029 14,726 15,360 7.250% due 02/25/2030 19,756 20,744 116 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- Norwest Integrated Structured Assets, Inc. 7.000% due 09/25/2029 $ 3,658 $ 3,752 Paine Webber Mortgage Acceptance Corp. 6.000% due 04/25/2009 11,951 12,158 Patten Mortgage Trust 7.250% due 08/01/2011 (d) 289 292 PHH Mortgage Services Corp. 7.178% due 11/18/2027 941 974 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 5,039 5,107 7.000% due 10/25/2027 35,623 36,175 6.750% due 12/25/2027 7,230 7,199 7.000% due 02/25/2028 25,301 26,303 6.981% due 02/25/2028 9,395 9,660 6.500% due 02/25/2028 90 90 6.625% due 03/25/2028 1,274 1,281 7.000% due 05/25/2028 3,886 3,954 6.750% due 07/25/2028 3,527 3,628 6.550% due 07/25/2028 24,500 24,975 6.750% due 09/25/2028 3,996 4,111 6.750% due 10/25/2028 26,045 26,733 6.750% due 12/25/2028 21,709 22,231 6.500% due 01/25/2029 993 1,008 6.250% due 01/25/2029 9,263 9,290 6.300% due 03/25/2029 9,989 10,036 6.300% due 06/25/2029 30,400 31,378 6.200% due 06/25/2029 42,230 43,359 6.500% due 06/25/2029 48,600 48,822 7.000% due 06/25/2030 11,303 11,672 7.750% due 07/25/2030 36,332 36,760 4.263% due 12/25/2030 (d) 26,036 26,076 7.500% due 02/25/2031 68,468 70,458 7.500% due 05/25/2040 (d) 2,111 2,148 PNC Mortgage Trust 8.250% due 03/25/2030 45,539 46,870 Prudential Home Mortgage Securities 7.400% due 11/25/2007 1,202 1,233 7.000% due 01/25/2008 23,860 24,501 6.750% due 07/25/2008 836 848 6.400% due 04/25/2009 97 97 6.950% due 11/25/2022 222 226 7.000% due 07/25/2023 8,691 8,951 6.750% due 10/25/2023 10,166 10,121 5.900% due 12/25/2023 2,326 2,347 6.500% due 01/25/2024 351 354 6.050% due 04/25/2024 986 985 6.800% due 05/25/2024 11,608 12,158 6.450% due 11/25/2025 5,264 5,212 Prudential Securities Secured Financing Corp. 6.074% due 01/15/2008 11,349 11,841 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 163 163 8.400% due 03/20/2021 4,724 4,970 PSB Financial Corp. II 11.050% due 12/01/2015 335 346 Regal Trust IV 6.926% due 09/29/2031 (d) 915 919 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 29 29 6.750% due 06/19/2028 18,022 18,484 6.500% due 04/19/2029 3,298 3,383 Residential Accredit Loans, Inc. 7.500% due 08/25/2027 15,000 15,395 7.000% due 02/25/2028 41,115 42,803 6.500% due 12/25/2028 400 406 6.500% due 05/25/2029 3,000 3,049 6.750% due 06/25/2029 1,149 1,163 7.000% due 07/25/2029 318 323 7.750% due 03/25/2030 1,218 1,223 Residential Asset Securitization Trust 7.375% due 03/25/2027 5,142 5,282 7.000% due 10/25/2027 19,264 19,928 7.000% due 01/25/2028 20,000 20,869 6.750% due 06/25/2028 11,847 11,905 6.500% due 12/25/2028 1,250 1,281 6.500% due 03/25/2029 22,700 23,416 8.000% due 02/25/2030 35,020 35,984 8.000% due 04/25/2030 5,286 5,344 4.505% due 09/25/2030 (d) 11,878 11,953 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 1,523 1,525 7.500% due 09/25/2011 7,522 7,667 7.000% due 05/25/2012 3,095 3,186 6.500% due 12/25/2012 18,179 18,683 7.143% due 12/01/2018 (d) 1,803 1,807 7.750% due 09/25/2022 265 264 8.000% due 01/25/2023 1,781 1,782 8.000% due 02/25/2023 6,323 6,365 6.500% due 11/25/2023 1,660 1,680 7.500% due 09/25/2025 4,609 4,623 7.500% due 12/25/2025 901 931 7.750% due 11/25/2026 9,000 9,366 7.500% due 04/25/2027 4,579 4,679 7.500% due 06/25/2027 40,537 41,327 7.500% due 07/25/2027 24,748 25,451 7.250% due 08/25/2027 15,349 15,728 7.250% due 10/25/2027 26,561 27,310 7.000% due 11/25/2027 17,000 17,665 6.750% due 02/25/2028 29,709 30,457 6.750% due 05/25/2028 60,741 62,926 6.750% due 06/25/2028 62,987 63,727 6.750% due 07/25/2028 13,292 13,720 6.750% due 08/25/2028 35,000 35,733 6.750% due 09/25/2028 66,493 68,373 6.500% due 10/25/2028 52,000 52,797 6.250% due 11/25/2028 3,000 3,001 6.500% due 12/25/2028 23,400 23,685 6.500% due 01/25/2029 72,314 72,917 6.500% due 03/25/2029 27,960 28,336 6.200% due 05/25/2029 16,322 16,333 6.500% due 06/25/2029 11,964 11,385 6.750% due 07/25/2029 22,600 23,306 7.000% due 10/25/2029 25,260 26,286 7.500% due 11/25/2029 12,338 12,808 7.750% due 10/25/2030 9,637 9,792 7.500% due 11/25/2030 95,303 96,940 6.329% due 06/25/2031 64,784 65,674 Resolution Trust Corp. 5.530% due 10/25/2021 (d) 100 101 11.060% due 10/25/2021 44 46 8.625% due 10/25/2021 98 98 8.127% due 10/25/2021 (d) 108 107 8.784% due 05/25/2022 (d) 1,009 1,037 6.090% due 08/25/2023 (d) 1,442 1,457 8.835% due 12/25/2023 3,094 3,090 8.000% due 04/25/2025 152 151 8.000% due 06/25/2026 245 244 7.200% due 10/25/2028 (d) 10,872 10,856 7.598% due 10/25/2028 (d) 3,861 3,890 7.692% due 05/25/2029 (d) 2,158 2,225 7.582% due 05/25/2029 (d) 2,006 2,086 6.840% due 05/25/2029 (d) 2,558 2,546 RMF Commercial Mortgage Securities, Inc. 6.715% due 01/15/2019 (d) 235 244 Ryan Mortgage Acceptance Corp. IV 9.450% due 10/01/2016 62 68 Ryland Acceptance Corp. 11.500% due 12/25/2016 71 78 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 34 34 8.159% due 08/25/2022 (d) 1,429 1,428 7.899% due 08/25/2029 (d) 1,000 1,034 6.993% due 10/25/2031 (d) 937 938 14.000% due 11/25/2031 617 625 SACO I, Inc. 7.411% due 07/25/2030 136 136 8.072% due 07/25/2030 7,791 7,994 4.010% due 09/25/2040 (d) 383 383 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 117 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII 8.224% due 11/25/2022 (d) $ 275 $ 278 7.295% due 09/25/2023 4,474 4,573 7.591% due 10/25/2023 (d) 107 108 7.932% due 03/25/2024 (d) 216 219 8.449% due 07/01/2024 (d) 3,142 3,193 8.375% due 09/25/2024 (d) 147 147 8.153% due 10/25/2024 (d) 239 243 4.133% due 04/25/2029 (d) 6,109 6,126 4.173% due 04/25/2029 (d) 2,662 2,672 4.093% due 06/25/2029 (d) 19,306 19,293 4.193% due 09/25/2029 (d) 200 200 7.601% due 12/25/2030 60,609 61,576 Santa Barbara Savings & Loan Association 9.500% due 11/20/2018 1,604 1,665 Sasco Floating Rate Commercial Mortgage Trust 6.500% due 10/25/2031 (d) 155,200 157,189 Saxon Mortgage Securities Corp. 6.250% due 04/25/2009 1,401 1,419 7.375% due 09/25/2023 6,372 6,561 6.500% due 02/25/2024 1,066 1,069 Sears Mortgage Securities 12.000% due 02/25/2014 440 462 6.113% due 11/25/2021 (d) 380 394 7.431% due 10/25/2022 (d) 1,460 1,477 9.572% due 12/25/2028 244 243 Securitized Asset Sales, Inc. 8.108% due 06/25/2023 (d) 215 217 7.410% due 09/25/2024 (d) 8,612 8,758 Security Pacific National Bank 6.871% due 03/25/2018 (d) 72 74 7.430% due 09/25/2019 (d) 381 395 Sequoia Mortgage Trust 6.462% due 10/25/2024 (d) 46,944 47,563 6.350% due 09/25/2025 (d) 4,014 4,076 Small Business Investment Cos. 7.540% due 08/10/2009 91,241 100,414 8.017% due 02/10/2010 107,593 121,047 7.640% due 03/10/2010 71,485 78,803 7.452% due 09/01/2010 15,860 17,290 Starwood Asset Receivables Trust 5.350% due 09/25/2022 (d) 922 923 Starwood Commercial Mortgage Trust 6.600% due 02/03/2009 10,507 11,138 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,137 22,420 6.904% due 06/25/2028 (d) 34,281 34,932 6.250% due 11/25/2028 14,878 14,832 6.750% due 01/25/2029 10,000 10,277 6.300% due 05/25/2029 16,147 16,260 6.577% due 06/25/2029 (d) 27,446 28,214 7.250% due 07/25/2029 12,616 12,735 7.205% due 02/25/2030 (d) 740 751 6.750% due 05/02/2030 25,000 24,896 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 (d) 15,126 15,434 Structured Asset Securities Corp. 7.000% due 02/25/2016 24,738 25,321 7.500% due 07/25/2016 53,121 54,718 7.000% due 12/25/2027 51,500 53,447 7.750% due 02/25/2028 3,940 4,147 3.411% due 02/25/2030 (d) 1,167 1,170 4.405% due 11/25/2030 (d) 28,001 27,833 4.243% due 05/25/2031 (d) 18,601 18,536 Structured Mortgage Asset Residential Trust 7.584% due 07/25/2024 178 186 Superannuation Members Home Loans Global Fund 4.140% due 06/15/2026 (d) 20,900 20,920 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 29,285 29,285 Torrens Trust 3.750% due 07/15/2031 (d) 9,833 9,833 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 4,059 6.800% due 01/25/2028 15,000 15,730 United Mortgage Securities Corp. 7.253% due 06/25/2032 16,082 15,869 7.269% due 09/25/2033 (d) 891 874 Vendee Mortgage Trust 7.500% due 08/15/2017 71 71 7.750% due 05/15/2018 387 397 6.500% due 05/15/2020 30,510 31,687 7.750% due 05/15/2022 315 343 6.837% due 01/15/2030 14,880 15,538 Washington Mutual, Inc. 3.954% due 07/26/2003 (d) 43,188 43,188 7.500% due 11/19/2029 600 624 6.014% due 10/19/2039 3,000 3,109 6.394% due 10/19/2039 143,394 148,786 6.604% due 10/19/2039 (d) 90,270 90,982 7.371% due 12/25/2040 (d) 31,514 31,624 7.176% due 01/25/2041 (d) 91,163 91,597 Wells Fargo Mortgage-Backed Securities Trust 7.500% due 01/25/2031 5,223 5,335 6.660% due 10/25/2031 (d) 39,390 40,146 Western Federal Savings & Loan Association 7.997% due 06/25/2021 (d) 1,756 1,762 ---------- 11,451,379 ========== Fannie Mae 1.7% 5.500% due 01/01/2004-12/01/2030 (k) 22,284 21,714 5.909% due 09/01/2017 (d) 4,169 4,195 6.000% due 11/01/2003-07/01/2031 (d)(k) 151,285 151,258 6.090% due 12/01/2008 48 50 6.199% due 04/01/2027 (d) 72 74 6.206% due 09/01/2024 (d) 1,199 1,227 6.210% due 08/01/2010 50,536 52,699 6.219% due 09/01/2024 (d) 1,382 1,406 6.247% due 09/01/2029 (d) 532 549 6.255% due 09/01/2013 64,000 65,763 6.297% due 10/01/2040 (d) 17,034 17,398 6.320% due 10/01/2013 4,280 4,487 6.420% due 12/01/2007 150 159 6.498% due 10/01/2040 (d) 18,377 18,412 6.500% due 04/01/2003-06/01/2031 (k) 28,305 29,032 6.502% due 10/01/2030 (d) 23,625 24,130 6.550% due 01/01/2008 941 1,004 6.555% due 08/01/2028 2,223 2,240 6.566% due 04/01/2026 (d) 873 901 6.626% due 12/01/2027 (d) 5,533 5,739 6.663% due 01/01/2018 (d) 1,012 1,040 6.671% due 08/01/2027 (d) 25,681 26,239 6.723% due 05/01/2030 (d) 190 195 6.730% due 11/01/2007 1,127 1,212 6.750% due 08/01/2003 101 102 6.847% due 07/01/2003 61 62 6.883% due 06/01/2024 (d) 544 560 6.899% due 07/01/2024 (d) 3,070 3,151 6.925% due 10/01/2027 (d) 3,495 3,593 6.977% due 11/01/2025 (d) 346 357 6.982% due 06/01/2007 458 496 7.000% due 07/01/2003-09/01/2031 (k) 87,987 90,801 7.001% due 05/01/2024 (d) 1,606 1,628 7.103% due 09/01/2022 (d) 703 726 7.107% due 06/01/2023 (d) 1,069 1,099 7.192% due 05/01/2026 (d) 350 357 7.209% due 10/01/2024 (d) 235 241 7.240% due 11/01/2025 (d) 2,458 2,504 7.250% due 05/01/2002-01/01/2023 (k) 9,414 9,643 7.265% due 02/01/2028 (d) 705 727 7.324% due 05/01/2025 (d) 1,999 2,048 7.350% due 09/01/2027 (d) 1,092 1,122 7.370% due 11/01/2025 (d) 894 916 7.385% due 09/01/2022 (d) 594 608 7.425% due 06/01/2030 (d) 30,477 31,683 7.460% due 08/01/2029 3,925 4,297 7.474% due 05/01/2023 (d) 1,886 1,927 7.496% due 08/01/2026 (d) 1,232 1,264 7.500% due 10/01/2002-05/01/2031 (k) 19,333 20,357 7.505% due 04/01/2027 (d) 408 418 118 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ 7.598% due 07/01/2019 (d) $ 554 $ 568 7.663% due 09/01/2025 (d) 739 747 7.710% due 11/01/2025 (d) 1,395 1,426 7.717% due 03/01/2025 (d) 2,059 2,109 7.750% due 06/01/2009 135 142 7.780% due 01/01/2018 2,220 2,559 7.791% due 08/01/2027 (d) 705 731 7.850% due 07/01/2018 6,658 7,532 7.886% due 01/01/2026 (d) 712 733 7.900% due 08/01/2023 (d) 351 373 7.903% due 05/01/2022 (d) 419 419 7.920% due 03/01/2018 2,734 3,188 7.980% due 05/01/2030 6,652 7,012 7.995% due 10/01/2024 (d) 896 921 8.000% due 04/01/2002-06/01/2031 (d)(k) 156,767 164,523 8.038% due 10/01/2023 (d) 690 727 8.060% due 04/01/2030 1,847 1,948 8.080% due 04/01/2030 1,011 1,067 8.200% due 12/01/2023 (d) 587 591 8.250% due 10/01/2008-03/01/2030 (k) 2,116 2,404 8.252% due 03/01/2026 (d) 1,001 1,036 8.261% due 01/01/2024 (d) 368 378 8.315% due 01/01/2024 (d) 288 297 8.342% due 02/01/2026 (d) 390 403 8.361% due 01/01/2024 (d) 940 966 8.381% due 11/01/2023 (d) 418 429 8.401% due 12/01/2023 (d) 129 132 8.406% due 10/01/2023 (d) 216 221 8.425% due 09/01/2023 (d) 1,594 1,607 8.429% due 12/01/2023 (d) 717 741 8.490% due 06/01/2025 986 1,054 8.500% due 11/01/2001-09/01/2030 (k) 6,416 6,847 8.585% due 01/01/2024 (d) 61 63 8.664% due 11/01/2023 (d) 130 135 9.000% due 10/01/2004-12/01/2027 (k) 7,750 8,476 9.500% due 12/01/2006-07/01/2026 (k) 7,043 7,644 9.750% due 11/01/2008 40 44 10.000% due 09/01/2003-05/01/2022 (k) 1,337 1,478 10.500% due 11/01/2013-04/01/2022 (k) 491 544 10.750% due 03/01/2014 23 25 11.000% due 11/01/2013-11/01/2020 (k) 224 252 11.500% due 08/20/2016-11/01/2019 (k) 65 74 12.000% due 05/01/2016 7 8 12.500% due 10/01/2015 25 29 13.000% due 09/01/2013 21 25 13.250% due 09/01/2011 10 12 14.500% due 11/01/2011-01/01/2013 (k) 25 30 14.750% due 08/01/2012 129 157 15.000% due 10/01/2012 72 88 15.500% due 10/01/2012-12/01/2012 (k) 14 16 15.750% due 12/01/2011-08/01/2012 (k) 79 97 16.000% due 09/01/2012 89 108 -------- 844,946 ======== Federal Housing Administration 1.0% 6.000% due 03/20/2028 4,195 4,190 6.750% due 07/15/2031 1,444 1,527 6.755% due 03/01/2041 16,168 16,259 6.780% due 07/25/2040 7,619 7,881 6.790% due 05/01/2039 10,781 10,619 6.830% due 12/01/2039 3,497 3,644 6.875% due 11/01/2015 3,153 3,177 6.880% due 10/01/2040-02/01/2041 (k) 21,659 21,766 6.896% due 07/01/2020 21,770 21,732 6.900% due 12/01/2040 22,769 23,861 6.930% due 07/01/2014-01/01/2036 (k) 20,950 21,947 6.961% due 05/01/2016 7,480 7,500 7.050% due 03/25/2040 4,517 4,773 7.110% due 05/01/2019 4,375 4,445 7.125% due 03/01/2034 4,382 4,425 7.150% due 01/25/2029 9,519 9,627 7.211% due 12/01/2021 2,632 2,619 7.250% due 06/01/2040 8,263 9,034 7.310% due 06/01/2041 23,622 25,147 7.315% due 08/01/2019 29,805 30,629 7.350% due 11/01/2020-11/01/2022 (k) 9,908 10,092 7.375% due 02/01/2018-01/01/2024 (k) 16,177 16,590 7.400% due 01/25/2020-02/01/2021 (k) 14,898 15,257 7.430% due 12/01/2016-06/25/2024 (k) 102,117 103,687 7.450% due 12/01/2021-10/01/2023 (k) 15,777 16,047 7.460% due 01/01/2023 2,210 2,251 7.465% due 11/01/2019 27,380 27,971 7.500% due 03/01/2032-03/31/2032 (k) 3,370 3,539 7.580% due 12/01/2040 7,413 7,644 7.630% due 08/01/2041 17,747 18,966 7.650% due 11/01/2018 134 139 7.750% due 11/15/2039 579 641 7.780% due 11/01/2040 7,405 7,737 7.880% due 03/01/2041 13,423 14,293 7.930% due 05/01/2016 1,850 1,937 8.250% due 10/29/2023-01/01/2041 (k) 9,438 10,007 8.378% due 11/07/2012 233 248 -------- 491,848 ======== Freddie Mac 0.9% 5.000% due 12/15/2020 198 200 5.500% due 10/01/2008-10/14/2029 (k) 3,600 3,568 5.625% due 06/01/2017 (d) 14 14 6.000% due 01/01/2011-10/16/2030 (d)(k) 195,713 195,840 6.250% due 04/01/2017 (d) 26 27 6.408% due 06/01/2024 (d) 1,399 1,450 6.500% due 11/01/2002-07/01/2029 (k) 9,151 9,480 6.503% due 08/01/2023 (d) 573 580 6.531% due 11/01/2026 (d) 4,396 4,411 6.545% due 08/01/2024 (d) 166 171 6.571% due 09/01/2023 (d) 1,381 1,391 6.592% due 12/01/2026 (d) 4,644 4,744 6.606% due 07/01/2022 (d) 580 596 6.632% due 07/01/2023 (d) 407 413 6.638% due 08/01/2023 (d) 229 230 6.713% due 08/01/2023 (d) 3,599 3,647 6.755% due 11/01/2028 (d) 15,623 16,166 6.775% due 11/01/2003 46 45 6.834% due 06/01/2022 (d) 869 884 6.886% due 07/01/2025 (d) 4,994 5,082 6.896% due 10/01/2023 (d) 831 858 6.946% due 05/01/2023 (d) 515 530 7.000% due 10/01/2002-12/01/2030 (k) 53,294 55,275 7.233% due 09/01/2023 (d) 6,155 6,258 7.250% due 11/01/2008 125 130 7.252% due 07/01/2024 (d) 1,098 1,126 7.258% due 09/01/2027 (d) 1,898 2,002 7.439% due 08/01/2023 (d) 6 6 7.446% due 07/01/2023 (d) 1,223 1,226 7.481% due 10/01/2023 (d) 77 76 7.500% due 09/01/2003-02/01/2031 (k) 14,173 14,716 7.550% due 01/01/2020 (d) 199 204 7.566% due 05/01/2023 (d) 600 616 7.580% due 05/01/2023 (d) 1,033 1,080 7.598% due 06/01/2024 (d) 2,060 2,113 7.616% due 12/01/2022 (d) 208 213 7.621% due 09/01/2023 (d) 831 829 7.645% due 05/01/2025 2,653 2,920 7.688% due 04/01/2023 (d) 213 223 7.804% due 07/01/2030 (d) 73,771 78,531 7.835% due 08/01/2023 (d) 6,160 6,328 7.853% due 09/01/2023 (d) 849 868 7.856% due 11/01/2023 (d) 252 252 7.875% due 09/01/2018 (d) 478 489 7.980% due 11/01/2023 (d) 38 38 7.983% due 10/01/2023 (d) 856 861 8.000% due 01/01/2002-03/01/2030 (k) 5,682 5,954 8.111% due 11/01/2023 (d) 256 258 8.156% due 06/01/2022 (d) 290 299 8.172% due 04/01/2029 (d) 841 866 8.200% due 04/01/2024 (d) 4,840 4,955 8.243% due 10/01/2023 (d) 1,175 1,201 8.250% due 12/01/2002-01/01/2019 (d)(k) 170 175 8.329% due 10/01/2023 (d) 520 531 8.365% due 11/01/2023 (d) 73 74 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 119 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ---------------------------------------------------------------------------- 8.459% due 01/01/2024 (d) $ 311 $ 319 8.465% due 01/01/2024 (d) 267 277 8.500% due 10/01/2001-06/01/2030 (k) 3,771 3,998 8.664% due 12/01/2023 (d) 917 948 8.750% due 01/01/2007-12/01/2010 (k) 44 47 9.000% due 01/01/2002-07/01/2030 (k) 783 838 9.250% due 06/01/2009-11/01/2013 (k) 64 69 9.500% due 06/01/2002-12/01/2022 (k) 1,097 1,196 9.750% due 11/01/2004-05/01/2009 (k) 30 33 10.000% due 06/01/2004-03/01/2021 (k) 648 701 10.250% due 04/01/2009-05/01/2009 (k) 866 946 10.500% due 10/01/2017-01/01/2021 (k) 289 326 10.750% due 09/01/2010 32 35 11.000% due 11/01/2009-05/01/2020 (k) 519 581 11.250% due 10/01/2009-09/01/2015 (k) 17 19 11.500% due 01/01/2018 52 58 12.500% due 12/01/2012 13 15 13.250% due 10/01/2013 77 90 14.000% due 04/01/2016 15 18 15.500% due 08/01/2011-11/01/2011 (k) 10 13 16.250% due 05/01/2011 1 2 ----------- 451,549 =========== Government National Mortgage Association 46.1% 5.000% due 06/20/2022-06/20/2026 (d)(k) 778 794 5.500% due 05/20/2028-10/23/2030 (d)(k) 28,461 28,127 5.650% due 10/15/2012 10 10 5.875% due 02/20/2016 (d) 157 159 6.000% due 10/15/2008-07/15/2031 (d)(k) 3,039,696 3,056,297 6.375% due 05/20/2017-01/20/2028 (d)(k) 402,597 411,397 6.500% due 10/15/2008-09/15/2040 (d)(k) 11,402,794 11,666,216 6.625% due 01/15/2040 9,563 10,044 6.670% due 08/15/2040 957 1,002 6.750% due 01/15/2002-08/20/2026 (d)(k) 18,237 18,612 6.800% due 05/15/2040 2,981 3,149 6.820% due 04/15/2040 16,890 17,884 6.875% due 04/20/2023-02/15/2040 (d)(k) 1,207 1,275 7.000% due 10/15/2003-01/03/2041 (d)(k) 1,329,966 1,378,337 7.125% due 10/20/2019-11/20/2027 (d)(k) 19,604 20,256 7.250% due 08/20/2024 (d) 279 284 7.375% due 06/20/2021-05/20/2028 (d)(k) 26,028 26,550 7.500% due 01/15/2003-01/15/2041 (k) 2,910,571 3,038,932 7.625% due 12/20/2015-12/20/2027 (d)(k) 239,756 247,371 7.700% due 03/15/2041 6,741 6,888 7.750% due 01/15/2002-09/20/2027 (d)(k) 301,478 310,770 8.000% due 08/15/2005-10/22/2031 (d)(k) 1,857,680 1,952,959 8.125% due 05/15/2041 3,673 4,023 8.250% due 07/15/2002-08/20/2027 (d)(k) 1,023 1,094 8.500% due 03/20/2006-10/22/2031 (d)(k) 73,291 77,574 8.750% due 03/15/2007-07/20/2025 (d)(k) 254 269 9.000% due 12/15/2001-07/20/2022 (k) 5,195 5,666 9.250% due 07/15/2003-12/20/2016 (k) 112 120 9.500% due 12/15/2003-07/15/2025 (k) 4,886 5,414 9.750% due 09/15/2002-07/15/2004 (k) 43 46 10.000% due 08/20/2004-02/15/2025 (k) 4,307 4,832 10.250% due 02/20/2019 22 25 10.500% due 06/15/2004-09/15/2021 (k) 533 603 11.000% due 05/15/2004-04/20/2019 (k) 262 290 11.250% due 12/20/2015 29 33 11.500% due 10/15/2010-10/15/2015 (k) 81 93 12.000% due 11/15/2012-05/15/2016 (k) 438 515 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014 (k) 16 20 13.250% due 10/20/2014 19 23 13.500% due 10/15/2012-09/15/2014 (k) 69 84 15.000% due 02/15/2012-10/15/2012 (k) 89 109 16.000% due 10/15/2011-05/15/2012 (k) 134 162 17.000% due 11/15/2011-12/15/2011 (k) 54 66 ----------- 22,298,375 =========== Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 152 5 7.500% due 08/25/2024 823 39 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 98 1 Fannie Mae (IO) 6.500% due 05/25/2005 466 34 6.500% due 07/25/2006 102 1 727.220% due 09/25/2006 1 2 6.500% due 02/25/2007 472 12 6.500% due 07/25/2007 68 1 6.500% due 09/25/2007 655 21 6.500% due 10/25/2007 173 5 6.500% due 09/25/2008 818 66 0.950% due 03/25/2009 (d) 22,619 418 6.500% due 07/25/2018 316 9 6.500% due 08/25/2020 1,497 63 7.500% due 04/25/2021 1,108 105 903.213% due 08/25/2021 4 78 0.950% due 11/25/2021 (d) 15,968 233 1000.000% due 04/25/2022 2 44 6.500% due 10/25/2022 69 6 6.500% due 01/25/2023 3,026 394 3.663% due 02/25/2023 (d) 9,344 803 8.000% due 08/18/2027 207 38 Fannie Mae (PO) 0.000% due 09/01/2007 504 470 0.000% due 08/25/2023 266 228 Freddie Mac (IO) 1182.580% due 08/15/2007 7 125 5.750% due 09/15/2007 (d) 3,765 395 6.000% due 10/15/2007 102 5 6.000% due 01/15/2008 30 1 5.428% due 02/15/2008 (d) 397 33 7.000% due 08/15/2008 2,036 196 6.400% due 10/15/2008 34 4 6.500% due 11/15/2008 1,127 152 7.000% due 04/15/2018 65 0 6.500% due 10/15/2018 131 2 884.500% due 01/15/2021 1 15 1007.500% due 02/15/2022 2 45 9.000% due 05/15/2022 72 13 7.000% due 06/15/2023 2,446 266 7.000% due 06/15/2023 3,700 500 6.500% due 09/15/2023 187 21 Paine Webber CMO Trust (IO) 1359.500% due 08/01/2019 1 24 Prudential Home Mortgage Securities (IO) 1007.070% due 10/25/2023 2 17 Vendee Mortgage Trust (IO) 0.542% due 06/15/2023 (d) 130,232 2,383 ----------- 7,273 ----------- Total Mortgage-Backed Securities 35,545,370 =========== (Cost $34,860,503) ASSET-BACKED SECURITIES 5.7% Aames Mortgage Trust 3.848% due 06/15/2027 437 438 7.589% due 10/15/2029 143 153 4.439% due 11/25/2030 (d) 37,221 37,329 ABFS Equipment Contract Trust 6.100% due 10/15/2005 34 33 ABSC Long Beach Home Equity Loan Trust 4.684% due 07/21/2030 (d) 375 376 4.344% due 08/21/2030 (d) 106,327 106,455 Accredited Mortgage Loan Trust 4.149% due 02/25/2030 (d) 35,942 36,026 Ace Securities Corp. 4.409% due 11/25/2028 (d) 737 739 Advanta Mortgage Loan Trust 4.325% due 05/25/2027 (d) 667 665 4.205% due 08/25/2029 (d) 1,927 1,935 4.464% due 11/25/2029 (d) 1,365 1,366 8.250% due 08/25/2030 7,954 8,649 Advanta Revolving Home Equity Loan Trust 4.175% due 01/25/2024 (d) 17,850 17,913 4.339% due 08/25/2024 (d) 16,659 16,659 4.339% due 02/25/2025 (d) 10,049 10,056 120 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Aerco Ltd. 4.573% due 07/15/2025 (d) $ 38,200 $ 38,259 AESOP Funding II LLC 3.308% due 11/20/2006 (d) 15,500 15,418 AFC Home Equity Loan Trust 2.961% due 06/25/2030 (d) 2,316 2,320 4.085% due 01/25/2031 (d) 535 534 American Express Master Trust 7.850% due 08/15/2005 220 243 American Stores Co. 4.625% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 5.780% due 05/12/2003 23,014 23,107 4.340% due 09/05/2006 (d) 15,000 15,039 Ameriquest Mortgage Securities, Inc. 3.788% due 07/15/2003 (d) 29,348 29,415 3.960% due 06/15/2030 (d) 9,213 9,238 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 1 1 Arcadia Automobile Receivables Trust 6.300% due 07/15/2003 10,539 10,613 6.900% due 12/15/2003 13,262 13,478 Argentina Funding Corp. 3.318% due 05/20/2003 (d) 5,000 5,008 Asset Backed Securities Home Equity Corp. 3.748% due 06/15/2031 (d) 26,949 26,994 Bank One Heloc Trust 3.870% due 04/20/2020 (d) 29,708 29,734 Bay View Auto Trust 7.640% due 11/25/2010 310 328 Bayview Financial Acquisition Trust 4.639% due 02/25/2029 (d) 3,663 3,674 4.689% due 11/25/2029 (d) 8,837 8,873 4.469% due 02/25/2030 (d) 18,328 18,343 4.479% due 07/25/2030 (d) 56,031 56,031 4.469% due 11/25/2030 (d) 43,360 43,523 2.941% due 07/25/2031 (d) 35,296 35,236 Bayview Financial Asset Trust 4.193% due 04/25/2031 (d) 95,301 95,376 Bear Stearn Asset Backed Securities 3.900% due 10/25/2034 (d) 2,443 2,449 BMCA Receivables Master Trust 4.304% due 09/20/2002 (d) 15,000 15,000 Brazos Student Loan Finance Co. 4.550% due 06/01/2023 (d) 55,700 55,592 4.030% due 12/01/2025 (d) 32,895 32,754 Capital Asset Research Funding LP 6.400% due 12/15/2004 192 192 5.905% due 12/15/2005 687 685 Captec Franchise Trust 7.892% due 10/15/2010 1,241 1,221 Champion Home Equity Loan Trust 4.095% due 03/25/2029 (d) 3,539 3,540 4.193% due 09/25/2029 20,097 20,134 Charming Shoppes Master Trust 4.280% due 08/15/2008 (d) 250 251 Chase Credit Card Master Trust 6.660% due 01/15/2007 1,390 1,491 Chase Funding Mortgage Loan Asset-Backed Certificates 4.309% due 10/25/2030 (d) 46,432 46,388 Cityscape Home Equity Loan Trust 7.650% due 09/25/2025 180 191 Community Program Loan Trust 4.500% due 10/01/2018 22,076 21,524 4.500% due 04/01/2029 26,000 22,230 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 16,000 15,995 Conseco Finance 7.520% due 05/15/2014 6,468 6,518 7.800% due 05/15/2020 175 190 3.858% due 10/15/2031 (d) 19,187 19,257 Conseco Finance Home Loan Trust 6.980% due 06/15/2011 3,582 3,613 8.080% due 02/15/2022 20,300 21,522 Conseco Finance Lease LLC 7.250% due 04/20/2003 10,820 10,919 Conseco Finance Securitizations Corp. 8.850% due 12/01/2031 20,000 23,825 7.970% due 05/01/2032 25,600 28,171 8.310% due 05/01/2032 48,800 53,162 7.180% due 05/01/2032 11,857 12,033 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 26,209 26,425 6.990% due 03/15/2021 256 263 6.930% due 11/25/2022 36,800 37,885 7.220% due 01/15/2028 80 84 3.780% due 06/15/2028 (d) 1,117 1,116 3.698% due 08/15/2028 (d) 443 444 CPS Auto Trust 6.000% due 08/15/2003 34 34 Cross Country Master Credit Card Trust II 3.988% due 06/15/2006 (d) 4,600 4,635 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 7,164 3.930% due 08/25/2031 (d) 4,700 4,700 Delta Funding Home Equity Loan Trust 5.950% due 10/15/2012 36 36 3.898% due 09/15/2029 (d) 7,647 7,683 3.808% due 06/15/2030 (d) 25,245 25,262 Denver Arena Trust 6.940% due 11/15/2019 2,808 2,928 Discover Card Master Trust I 6.850% due 07/17/2007 960 1,036 4.015% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 801 802 6.450% due 04/15/2004 221 221 7.260% due 05/15/2005 19,653 19,606 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 14,400 14,400 EQCC Home Equity Loan Trust 6.548% due 04/25/2010 47 47 3.648% due 10/15/2027 (d) 549 549 7.448% due 08/25/2030 204 217 Equivantage Home Equity Loan Trust 6.550% due 10/25/2025 61 62 First Alliance Mortgage Loan Trust 4.020% due 01/25/2025 (d) 372 372 3.438% due 03/20/2031 (d) 14,192 14,215 First Security Auto Grantor Trust 5.970% due 04/15/2004 50 50 Firstcity Auto Receivables Trust 7.400% due 12/15/2005 2,359 2,438 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.200% due 09/15/2020 59 60 6.500% due 09/15/2020 192 186 6.830% due 09/15/2020 680 681 Franklin Auto Loan Funding LLC 5.930% due 06/18/2003 247 249 GE Capital Equipment Lease Trust 6.850% due 05/20/2008 (d) 208 216 GMAC Mortgage Corp. Loan Trust 4.471% due 11/18/2025 (d) 33,154 33,298 7.950% due 03/25/2030 23,637 25,326 Green Tree Financial Corp. 6.240% due 11/01/2016 196 201 5.760% due 11/01/2018 145 148 8.300% due 05/15/2026 2,000 2,179 6.490% due 03/15/2028 11,592 11,704 6.420% due 11/15/2028 115 115 6.870% due 02/01/2030 1,620 1,666 6.660% due 06/01/2030 1,405 1,355 6.480% due 12/01/2030 55 58 7.860% due 04/01/2031 400 423 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 56,000 56,078 Green Tree Home Improvement Loan Trust 4.138% due 11/15/2029 (d) 1,914 1,911 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 121 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ---------------------------------------------------------------------------- Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 $ 829 $ 836 6.715% due 02/01/2009 33,136 34,976 6.490% due 02/15/2018 10 11 6.180% due 06/15/2019 21,214 21,983 Greenpoint Manufactured Housing 7.270% due 06/15/2029 110 116 Headlands Home Equity Loan Trust 4.138% due 12/15/2024 (d) 261 263 HFC Home Equity Loan 6.830% due 12/20/2016 28 28 Household Consumer Loan Trust 4.543% due 08/15/2006 (d) 15,203 15,027 IMC Home Equity Loan Trust 7.630% due 07/25/2026 (d) 426 442 3.989% due 08/20/2029 113 113 IMPAC Secured Assets CMN Owner Trust 7.770% due 07/25/2025 1,841 1,922 Indymac Home Equity Loan Asset-Backed Trust 3.840% due 10/25/2029 (d) 2,030 2,040 4.379% due 07/25/2030 (d) 8,110 8,128 Indymac Manufactured Housing Contract 6.170% due 12/25/2011 3,817 3,872 Keystone Owner Trust 6.840% due 12/25/2018 2,000 2,070 Long Beach Auto Receivables Trust 6.940% due 09/19/2007 2,421 2,501 Long Beach Mortgage Loan Trust 4.781% due 01/21/2031 (d) 10,295 10,308 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 67,602 66,926 Mellon Bank Home Equity 6.520% due 07/25/2010 64 64 5.900% due 10/25/2010 5,677 5,712 Merit Securities Corp. 6.160% due 07/28/2033 2,234 2,238 7.880% due 12/28/2033 34,400 37,497 Mesa Trust Asset Backed Certificates 3.910% due 05/15/2033 (d) 7,330 7,330 Metris Master Trust 4.734% due 04/20/2006 (d) 20,000 20,091 Metropolitan Asset Funding, Inc. 4.253% due 04/25/2029 (d) 9,924 9,862 Mid-State Trust 8.330% due 04/01/2030 57,377 63,700 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (d) 310 311 Morgan Stanley ABS Capital, Inc. 4.389% due 08/25/2030 (d) 111,226 111,502 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 8,652 9,288 MSDWCC Heloc Trust 4.370% due 09/25/2010 (d) 30,189 30,118 Myra-United Mexican States 4.563% due 10/20/2006 (d) 348 338 4.563% due 12/23/2006 (d) 714 693 6.413% due 12/23/2006 (d) 6,475 6,281 4.563% due 12/23/2006 (d) 6,046 5,918 4.513% due 12/23/2006 (d) 818 794 4.563% due 12/23/2006 (d) 2,432 2,359 National Medical Care 4.438% due 09/30/2003 (d) 28,564 28,278 New Century Home Equity Loan Trust 7.540% due 06/25/2029 168 179 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 855 855 3.930% due 01/25/2031 (d) 6,092 6,101 NPF XII, Inc. 4.355% due 03/01/2003 (d) 2,600 2,597 7.050% due 06/01/2003 (d) 50,750 52,037 5.084% due 11/01/2003 (d) 46,000 46,000 Oakwood Mortgage Investors, Inc. 6.200% due 01/15/2015 319 325 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 36,612 36,695 Provident Bank Equipment Lease Trust 4.105% due 11/25/2011 (d) 25,266 25,151 Provident Bank Home Equity Loan Trust 4.129% due 06/25/2021 (d) 24,789 24,835 Providian Gateway Master Trust 3.708% due 03/15/2007 (d) 28,900 29,002 3.768% due 03/16/2009 (d) 29,500 29,555 3.788% due 04/15/2009 (d) 19,000 19,142 Providian Master Trust 6.250% due 06/15/2007 25 26 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 514 514 Residential Asset Mortgage Products, Inc. 3.870% due 09/25/2030 (d) 28,969 28,391 7.980% due 12/25/2030 24,463 26,532 Residential Asset Securities Corp. 6.600% due 06/25/2020 6,629 6,667 7.075% due 09/25/2020 150 152 7.998% due 10/25/2024 (d) 3,630 3,743 3.880% due 10/25/2027 (d) 1,342 1,345 Residential Asset Securitization Trust 6.750% due 03/25/2028 40,000 40,873 RJR Nabisco 7.500% due 01/01/2002 (d) 19,948 19,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 74 74 SallieMae 4.041% due 07/25/2004 (d) 630 629 4.173% due 10/25/2004 (d) 9,993 9,997 4.203% due 10/25/2005 (d) 13,543 13,565 4.123% due 10/25/2005 (d) 8,356 8,356 4.263% due 04/25/2006 (d) 55,782 55,733 3.900% due 04/25/2011 (d) 20,200 20,253 Salomon Brothers Mortgage Securities VII 3.855% due 12/25/2026 (d) 821 821 3.908% due 11/15/2029 (d) 14,797 14,864 4.068% due 12/15/2029 (d) 7,800 7,829 3.920% due 02/25/2030 (d) 22,291 22,355 Sand Trust 3.860% due 08/25/2032 (d) 18,000 18,000 Saxon Asset Securities Trust 7.585% due 12/25/2014 17 17 2.891% due 05/25/2029 (d) 3,160 3,162 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 520 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 36,846 36,810 Standard Credit Card Master Trust 8.250% due 11/07/2003 80 81 Structured Product Asset Trust 4.795% due 02/12/2003 (d) 4,200 4,200 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 31 The Money Store Home Equity Trust 7.550% due 02/15/2020 46 46 6.490% due 10/15/2026 4,187 4,269 3.668% due 06/15/2029 (d) 755 755 Timber Corp. 4.830% due 11/30/2001 65,000 65,000 UCFC Home Equity Loan 6.755% due 11/15/2023 165 170 8.200% due 09/15/2027 70 74 6.870% due 07/15/2029 70 73 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 1,049 1,057 6.100% due 02/15/2006 155 159 WFS Financial Owner Trust 6.920% due 01/20/2004 20,748 21,161 WMC Mortgage Loan 3.938% due 10/15/2029 57,640 57,771 ---------- Total Asset-Backed Securities 2,749,585 ========== (Cost $2,715,989) 122 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- SOVEREIGN ISSUES 1.0% Government of Jamaica 11.750% due 05/15/2011 $ 12 $ 12 Hydro-Quebec 7.375% due 02/01/2003 150 158 3.125% due 09/29/2049 (d) 5,600 4,843 Kingdom of Jordan 6.000% due 12/23/2023 4,100 2,994 Kingdom of Sweden 10.250% due 11/01/2015 500 659 Province of Manitoba 7.750% due 02/01/2002 1,000 1,015 Province of New Brunswick 7.125% due 10/01/2002 1,700 1,765 Province of Newfoundland 9.000% due 06/01/2019 500 637 Province of Nova Scotia 9.375% due 07/15/2002 1,000 1,049 Province of Ontario 7.750% due 06/04/2002 200 207 7.625% due 06/22/2004 1,000 1,097 7.000% due 08/04/2005 1,000 1,087 6.000% due 02/21/2006 1,800 1,899 5.500% due 10/01/2008 12,000 12,369 Province of Quebec 7.500% due 07/15/2002 6,000 6,223 8.800% due 04/15/2003 1,100 1,196 4.068% due 06/11/2004 (d) 15,500 15,524 6.500% due 01/17/2006 2,000 2,153 6.620% due 04/09/2026 25,000 27,533 Republic of Brazil 5.438% due 04/15/2006 232,124 193,143 8.000% due 04/15/2014 42 28 8.875% due 04/15/2024 4,000 2,250 10.125% due 05/15/2027 (j) 20,000 12,600 12.250% due 03/06/2030 45 33 Republic of Bulgaria 7.750% due 07/28/2011 (d) 25 19 3.000% due 07/28/2012 (d) 3,624 2,876 7.750% due 07/28/2024 (d) 320 246 Republic of Croatia 7.000% due 02/27/2002 7,650 7,719 7.750% due 07/31/2006 (d) 2,675 2,621 4.563% due 07/31/2010 (d) 34,534 33,843 Republic of Egypt 7.625% due 07/11/2006 14,000 13,265 8.750% due 07/11/2011 10,000 8,925 Republic of Kazakhstan 8.375% due 10/02/2002 5,000 5,127 Republic of Panama 5.030% due 05/10/2002 (d) 1,009 1,014 9.625% due 02/08/2011 15,000 14,963 4.500% due 07/17/2014 7,391 6,543 Republic of Peru 3.750% due 03/07/2017 11,000 7,016 4.500% due 03/07/2017 (d) 5,760 4,054 Republic of Philippines 10.625% due 03/16/2025 26 21 Republic of Poland 6.000% due 10/27/2014 9,000 8,899 4.250% due 10/27/2024 1,600 1,220 3.750% due 10/27/2024 (d) 53,940 38,837 Republic of South Africa 9.125% due 05/19/2009 15,000 16,500 Republic of Venezuela 9.250% due 09/15/2027 56 38 Resolution Funding Strip 0.000% due 10/15/2018 14,000 5,040 0.000% due 01/15/2020 2,053 683 0.000% due 07/15/2020 32,750 10,552 State of Israel 6.200% due 06/14/2003 25 25 State of Qatar 4.761% due 02/18/2004 (d) $ 6,308 $ 6,214 United Mexican States 0.000% due 06/30/2003 86,988 687 7.570% due 04/07/2004 (d) 14,436 14,826 8.500% due 02/01/2006 3,781 3,953 10.375% due 02/17/2009 42 47 8.375% due 01/14/2011 4,693 4,646 6.250% due 12/31/2019 3,610 3,221 --------- Total Sovereign Issues 514,114 ========= (Cost $526,400) FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.7% Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,300 2,180 Bundes Obligation 5.000% due 08/19/2005 (j) 307,400 290,632 Commonwealth of Canada 5.750% due 09/01/2006 C$ 120 80 Government of New Zealand 4.500% due 02/15/2016 (j) N$ 78,000 34,218 Halifax Group Euro Finance 7.627% due 12/29/2049 EC 14,700 14,506 Hellenic Finance 2.000% due 07/15/2003 2,250 1,979 Hellenic Republic 6.000% due 05/19/2010 80 77 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 20,645 Korea Electric Power Corp. 3.882% due 10/31/2002 (d) DM 18,900 8,772 Lloyds TSB Capital 7.375% due 02/07/2049 EC 26,000 25,224 Oesterreichische Kontrollbank 1.800% due 03/22/2010 JY 12,000 108 Pfizer, Inc. 0.800% due 03/18/2008 16,000 135 Republic of Austria 5.500% due 01/15/2010 (j) EC 900 852 Republic of Brazil 8.250% due 11/26/2001 2,000 1,820 Republic of Germany 5.000% due 05/20/2005 155 147 6.000% due 02/16/2006 (j) 149,000 146,147 5.000% due 02/17/2006 (j) 440,900 416,168 6.250% due 01/04/2024 450 424 4.750% due 07/04/2028 65 53 Royal Bank of Scotland Group PLC 6.770% due 03/31/2049 107,300 103,806 8.220% due 11/29/2049 87,000 117,031 Treuhandanstalt 6.250% due 03/04/2004 60 58 United Kingdom Gilt 5.000% due 03/07/2012 BP 50 74 6.000% due 12/07/2028 1,210 2,094 United Mexican States 6.000% due 03/28/2002 JY 100,000 852 3.100% due 04/24/2002 2,542,000 21,280 8.750% due 05/30/2002 BP 23,000 34,022 10.375% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,395 7.432% due 04/07/2004 (d) EC 18,181 16,711 6.750% due 06/06/2006 JY 2,000,000 19,734 7.500% due 03/08/2010 EC 5,000 4,550 World Bank 4.750% due 12/20/2004 JY 16,000 154 ---------- Total Foreign Currency-Denominated Issues 1,304,025 ========== (Cost $1,298,395) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 123 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.750 Exp. 12/17/2001 $ 12,500 $ 31 Strike @ 95.250 Exp. 12/17/2001 127,030 1,270 Strike @ 95.000 Exp. 12/17/2001 67,765 339 Strike @ 94.500 Exp. 12/17/2001 58,828 294 Strike @ 94.000 Exp. 12/17/2001 105,383 263 Strike @ 93.750 Exp. 12/17/2001 45,625 228 Strike @ 93.500 Exp. 12/17/2001 25,530 64 Strike @ 93.250 Exp. 12/17/2001 12,500 63 Strike @ 92.500 Exp. 12/17/2001 12,500 31 Strike @ 92.500 Exp. 12/14/2001 5,000 25 Strike @ 93.750 Exp. 12/17/2001 5,375 13 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 55,000 275 Strike @ 92.250 Exp. 06/17/2002 53,468 134 Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.000 Exp. 05/01/2005 22,975 0 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 2,500 0 ---------- Total Purchased Put Options 3,030 ========== (Cost $4,721) CONVERTIBLE BONDS & NOTES 0.1% Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,537 ---------- Industrial 0.1% Tyco International Ltd. 0.000% due 11/17/2020 17,100 13,124 ---------- Utilities 0.0% Cox Communications, Inc. 0.426% due 04/19/2020 25,000 10,844 ---------- Total Convertible Bonds & Notes 25,505 ========== (Cost $27,796) PREFERRED SECURITY 0.8% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 35,250 363,075 UBS Preferred Funding Trust I 8.622% due 10/29/2049 38,900 44,095 ---------- Total Preferred Security 407,170 ========== (Cost $391,617) PREFERRED STOCK 0.1% Banco Bilbao Vizcaya International 9.750% due 12/31/2049 266,217 6,709 Centaur Funding Corp. 9.080% due 04/21/2020 125 136 CSC Holdings, Inc. 11.125% due 04/01/2008 27,038 2,765 Fortis Amev NV 3.860% due 12/31/2049 (d) 171 23,940 Home Ownership Funding 13.331% due 12/31/2049 4,125 2,966 TCI Communications, Inc. 9.720% due 12/31/2036 622,553 15,751 10.000% due 05/31/2045 49,000 1,229 ---------- Total Preferred Stock 53,496 ========== (Cost $52,593) SHORT-TERM INSTRUMENTS 9.3% Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 29,500 29,956 8.988% due 02/25/2002 6,000 6,207 10.675% due 02/25/2002 8,000 8,280 ---------- 44,443 ========== Commercial Paper 8.9% Abbey National North America 3.540% due 10/24/2001 2,000 1,995 3.550% due 10/24/2001 14,700 14,667 3.470% due 10/26/2001 5,800 5,786 3.540% due 10/29/2001 2,800 2,792 3.440% due 10/29/2001 1,700 1,695 3.470% due 10/29/2001 2,500 2,493 3.470% due 10/31/2001 7,400 7,379 American Electric Power, Inc. 4.260% due 02/13/2002 65,000 64,384 American Express Co. 2.420% due 10/12/2001 100 100 Anz, Inc. 3.240% due 11/21/2001 4,100 4,081 AT&T Corp. 4.525% due 08/06/2002 214,900 214,760 Becton Dickinson & Co. 3.090% due 10/02/2001 800 800 3.650% due 10/17/2001 3,420 3,414 BP Amoco PLC 3.450% due 10/01/2001 131,000 131,000 British Telecom PLC 4.854% due 10/09/2001 150,700 150,695 CBA (de) Finance 3.740% due 10/15/2001 2,400 2,397 3.600% due 10/15/2001 600 599 2.500% due 10/15/2001 100 100 3.565% due 10/29/2001 14,000 13,961 3.530% due 10/29/2001 3,100 3,091 4.050% due 11/05/2001 6,000 5,976 CDC 3.380% due 10/01/2001 60,500 60,500 Coca-Cola Co. 3.610% due 10/11/2001 23,900 23,876 3.610% due 10/12/2001 10,000 9,989 Dow Jones & Co., Inc. 3.450% due 11/19/2001 3,400 3,384 E.I. Du Pont 3.190% due 10/05/2001 3,400 3,399 2.950% due 10/11/2001 54,400 54,355 Fannie Mae 3.150% due 10/01/2001 257,800 257,800 2.500% due 10/03/2001 700 700 4.020% due 10/04/2001 1,700 1,699 3.520% due 10/04/2001 13,500 13,496 2.850% due 10/05/2001 5,100 5,098 3.520% due 10/18/2001 8,600 8,586 3.545% due 10/18/2001 2,600 2,596 4.000% due 10/18/2001 21,500 21,459 4.010% due 10/18/2001 13,200 13,175 3.510% due 10/25/2001 1,300 1,297 4.060% due 10/25/2001 1,591 1,587 4.000% due 10/25/2001 58,500 58,344 3.520% due 10/25/2001 20,600 20,552 3.530% due 10/25/2001 500 499 4.000% due 10/25/2001 30,000 29,920 4.000% due 10/31/2001 46,500 46,345 3.520% due 11/01/2001 5,800 5,782 4.005% due 11/01/2001 49,000 48,831 3.520% due 11/08/2001 20,500 20,424 3.520% due 11/15/2001 37,800 37,634 3.480% due 11/21/2001 7,435 7,398 3.630% due 12/20/2001 18,900 18,793 3.630% due 12/27/2001 14,900 14,807 3.540% due 01/03/2002 2,200 2,185 3.250% due 03/15/2002 339 335 124 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Federal Farm Credit Bank 3.400% due 11/02/2001 $ 2,475 $ 2,468 Federal Home Loan Bank 3.000% due 10/01/2001 10,240 10,240 3.150% due 10/01/2001 2,000 2,000 4.020% due 10/10/2001 1,954 1,952 3.460% due 10/12/2001 31,800 31,766 4.020% due 10/12/2001 4,315 4,310 3.450% due 10/31/2001 4,300 4,288 3.400% due 11/07/2001 295 294 3.710% due 11/07/2001 1,635 1,629 3.710% due 11/08/2001 605 603 3.520% due 11/09/2001 20,600 20,521 3.690% due 01/31/2002 555 550 3.720% due 03/28/2002 180 178 Freddie Mac 3.150% due 10/01/2001 102,000 102,000 2.650% due 10/02/2001 6,500 6,500 4.090% due 10/11/2001 25,200 25,171 3.520% due 10/11/2001 49,300 49,252 2.740% due 10/12/2001 6,060 6,055 3.530% due 10/19/2001 1,700 1,697 3.540% due 10/19/2001 201,082 200,726 3.540% due 10/25/2001 200 200 3.540% due 10/31/2001 11,900 11,865 3.490% due 11/02/2001 7,900 7,875 3.630% due 11/16/2001 600 597 3.540% due 11/16/2001 35,004 34,846 3.560% due 12/28/2001 13,800 13,713 3.570% due 12/28/2001 900 894 General Electric Capital Corp. 3.500% due 10/02/2001 140 140 3.520% due 10/02/2001 913 913 3.550% due 10/02/2001 2,400 2,400 3.860% due 10/02/2001 2,000 2,000 4.040% due 10/31/2001 145,000 144,512 3.400% due 12/26/2001 3,400 3,379 3.670% due 12/26/2001 10,700 10,635 3.500% due 12/26/2001 600 596 3.100% due 12/26/2001 4,900 4,870 3.520% due 12/26/2001 13,200 13,120 3.100% due 12/27/2001 3,100 3,081 3.520% due 12/27/2001 53,000 52,668 3.560% due 12/27/2001 1,600 1,590 3.520% due 12/28/2001 100,000 99,366 Glaxo Wellcome 3.550% due 10/18/2001 1,500 1,497 Halifax Building Society 4.080% due 10/22/2001 6,800 6,784 4.180% due 10/22/2001 100 100 KFW International Finance, Inc. 3.520% due 10/23/2001 700 698 Merck & Co., Inc. 3.110% due 10/09/2001 300 300 3.050% due 10/09/2001 10,500 10,493 Monsanto Co. 3.720% due 10/15/2001 300 300 Morgan Stanley Group, Inc. 3.690% due 10/01/2001 29,400 29,400 National Rural Utilities Cooperative Finance Corp. 2.720% due 10/24/2001 2,200 2,196 PepsiCo, Inc. 3.250% due 10/01/2001 250 250 Procter & Gamble Co. 3.470% due 10/04/2001 1,700 1,700 Queensland Treasury Corp. 3.560% due 10/23/2001 4,900 4,889 Rabobank Australia Ltd. 3.240% due 10/01/2001 730,000 730,000 SBC Communications, Inc. 3.530% due 10/18/2001 3,050 3,045 3.430% due 11/29/2001 39,000 38,781 3.440% due 11/29/2001 8,800 8,750 Swedbank, Inc. 2.490% due 10/24/2001 1,700 1,697 3.510% due 10/24/2001 3,300 3,293 3.550% due 10/24/2001 32,900 32,825 3.510% due 11/08/2001 25,000 24,907 3.570% due 11/20/2001 52,200 51,941 3.550% due 11/21/2001 20,700 20,596 3.710% due 11/21/2001 1,500 1,492 3.100% due 12/26/2001 700 696 UBS Finance, Inc. 3.450% due 10/01/2001 258,000 258,000 3.870% due 10/02/2001 341,700 341,663 3.550% due 10/25/2001 10,000 9,976 3.240% due 11/19/2001 2,700 2,687 3.510% due 12/18/2001 115,178 114,539 3.420% due 12/19/2001 300 298 3.510% due 12/19/2001 39,400 39,179 3.530% due 12/19/2001 3,900 3,878 3.550% due 12/19/2001 9,800 9,745 3.360% due 12/20/2001 900 894 3.510% due 12/20/2001 2,300 2,287 Verizon Global Funding 3.480% due 10/10/2001 1,640 1,640 3.470% due 10/18/2001 1,300 1,297 3.530% due 10/25/2001 700 697 Wal-Mart Stores, Inc. 2.970% due 10/10/2001 239,000 238,824 Walt Disney Co. 3.610% due 10/05/2001 2,675 2,675 Washington Post Co. 3.590% due 11/14/2001 6,800 6,770 ----------- 4,320,149 =========== Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 89,087 89,087 (Dated 09/28/2001. Collateralized by Fannie Mae 5.750% due 05/14/2003 valued at $14,369, Freddie Mac 4.700% due 05/14/2003 valued at $25,502, Fannie Mae 5.375% due 03/08/2004 valued at $25,502 and Fannie Mae 4.100% due 09/12/2003 valued at $25,501. Repurchase proceeds are $89,105.) Credit Suisse First Boston 3.180% due 10/01/2001 4,200 4,200 (Dated 09/30/2001. Collaterized by U.S. Treasury Bonds 7.500% due 11/25/2016 valued at $3,016 and U.S. Treasury Bills 2.160% due 02/21/2002 valued at $1,223. Repurchase proceeds are $4,201.) ----------- 93,287 =========== U.S. Treasury Bills 0.1% 3.252% due 10/18/2001-02/07/2002 (b)(k) 47,535 47,438 ----------- Total Short-Term Instruments 4,505,317 =========== (Cost $4,503,472) Total Investments (a) 134.9% $65,289,982 (Cost $64,310,780) Written Options (c) (0.1%) (35,836) (Premiums $160,959) Other Assets and Liabilities (Net) (34.8%) (16,852,576) ------------ Net Assets 100.0% $ 48,401,570 ============ See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 125 125 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) - -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,212,765 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (233,563) -------------- Unrealized appreciation-net $ 979,202 ============== (b) Securities with an aggregate market value of $465,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar March Futures (03/2002) 762 $ 4,181 Eurodollar June Futures (06/2002) 173 (18) Eurodollar September Futures (09/2002) 2,883 10,301 Eurodollar December Futures (12/2002) 688 151 Eurodollar March Futures (03/2003) 685 (98) Eurodollar September Futures (09/2003) 1,753 4,539 Eurodollar December Futures (12/2003) 1,753 4,168 Eurodollar March Futures (03/2004) 1,753 3,862 Municipal Bond (12/2001) 262 335 EuroBond 10 Year Note (12/2001) 14,582 (4,168) Euro-Bobl 5 Year Note (12/2001) 17,302 19,687 U.S. Treasury 5 Year Note (12/2001) 7,648 (5,887) U.S. Treasury 10 Year Note (12/2001) 174 138 U.S. Treasury 30 Year Note (12/2001) 30,186 34,690 Euribor Futures (06/2002) 294 654 Euribor Futures (09/2002) 125 273 Euribor Futures (12/2002) 294 601 Euribor Futures (03/2003) 294 506 United Kingdom 90 Day LIBOR Futures (03/2002) 275 582 United Kingdom 90 Day LIBOR Futures (06/2002) 10 19 United Kingdom 90 Day LIBOR Futures (09/2002) 543 648 United Kingdom 90 Day LIBOR Futures (12/2002) 2,202 1,980 United Kingdom 90 Day LIBOR Futures (03/2003) 700 520 --------- 77,664 ========= (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 74,600,000 $ 2,278 $ 9 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 74,600,000 2,106 14 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/22/2001 92,700,000 2,728 12 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 12/03/2001 93,600,000 1,932 23 Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 8,152 3,547 51 Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 4,402 1,554 28 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 36,778 23,226 2,299 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 114,514 76,922 10,735 Call - CBOT U.S. Treasury Note December Futures Strike @ 109.000 Exp. 11/24/2001 8,193 3,376 9,856 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 55,129 35,755 6,882 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 18,268 6,716 114 Call - CME Eurodollar June Futures Strike @ 97.000 Exp. 06/17/2002 5,985 819 5,761 Call - OTC Tyco International Ltd. 0.00% due 11/17/2020 Strike @ 75.282 Exp 11/17/2001 17,100,000 0 52 ------------------ $ 160,959 $ 35,836 ================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Sell C$ 27,294 10/2001 $ 156 Buy EC 753,923 10/2001 (5,258) Sell BP 101,158 10/2001 22 Sell JY 70,045,208 10/2001 (3,694) Sell 70,045,208 12/2001 (3,201) Sell N$ 56,333 10/2001 1,562 ------------ $ (10,413) ============ (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar DM - German Mark EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (h) Swap agreements outstanding at September, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426%. Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 $ 1,818 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 35,000 (2,340) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 (141) 126 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes - -------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 JY 1,500,000 $ (643) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 (215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.340%. Broker: Goldman Sachs Exp. 10/07/2007 24,500,000 (19,740) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.757%. Broker: Merrill Lynch Exp. 01/11/2011 10,000,000 (3,215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.771%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 11,050,000 (3,668) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.777%. Broker: Goldman Sachs Exp. 01/12/2011 3,734,100 (1,257) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 96,500 1,265 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 52,200 684 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2006 247,000 261 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 716,100 14,397 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 629,900 (2,327) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 170,300 1,082 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/19/2006 BP 280,500 (1,698) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 197,100 2,740 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 264,500 5,123 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2004 314,700 4,456 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 200,000 2,832 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2003 10,000 140 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2003 721,000 7,798 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2004 167,300 184 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 316,590 3,635 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.06/17/2004 274,920 1,208 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 491,000 5,764 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 06/17/2004 311,000 2,193 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 127 PIMCO Schedule of Investments A, B, and C Classes (Cont.) Total Return Fund September 30, 2001 (Unaudited) - -------------------------------------------------------------------------------- Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 $ 804,000 $ 40,911 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 252,800 9,050 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 2,173,200 108,142 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 09/17/2003 BP 875,700 3,142 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 185,800 (324) Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 $ 50,000 (379) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 (44) Receive a fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 (62) Receive a fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 247 Receive a fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 263 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 8.375% due 05/23/2005. Broker: Morgan Stanley Dean Witter Exp. 03/08/2004 $ 12,000 $ (102) Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 06/10/2002. Broker: Lehman Brothers Exp. 05/09/2002 20,000 (7) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Lehman Brothers Exp. 06/15/2004 21,500 (29) Receive a fixed rate equal to 0.840% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: GoldmanSachs Exp. 06/15/2004 100,000 (160) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 100,000 (133) Receive a fixed rate equal to 1.650% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.750% due 04/06/2005. Broker: Credit Suisse First Boston Exp. 05/23/2003 50,000 152 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/24/2002 150,000 37 Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Tyco International Group SA. 0.000% due 02/12/2021. Broker: Merrill Lynch Exp. 02/12/2003 25,000 33 Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 50,000 0 Receive a fixed rate equal to 0.625% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.000% due 07/15/2005. Broker: J.P. Morgan Chase & Co. Exp. 07/17/2003 50,000 23 128 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes - -------------------------------------------------------------------------------- Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.650% due 07/01/2008. Broker: Credit Suisse First Boston Exp. 07/17/2003 $100,000 $ 131 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Credit Suisse First Boston Exp. 08/06/2002 20,000 5 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Morgan Stanley Dean Witter Exp. 08/06/2002 20,000 0 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Merrill Lynch Exp. 08/06/2002 20,000 (1) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 01/30/2011. Broker: Lehman Brothers Exp. 08/06/2002 30,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.375% due 05/01/2009.] Broker: Morgan Stanley Dean Witter Exp. 08/15/2002 25,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 30,000 1 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 65,000 (12) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 76,500 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 68,500 0 -------- $181,208 ======== (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 129 PIMCO Schedule of Investments A, B, and C Classes Total Return Mortgage Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES 138.5% Collateralized Mortgage Obligations 31.9% Bank Trust Mortgage 5.700% due 12/01/2023 $ 982 $ 990 Chase Mortgage Finance Corp 7.000% due 07/25/2024 261 261 6.550% due 08/25/2028 425 432 Citicorp Mortgage Securities, Inc. 6.500% due 05/25/2030 295 301 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 67 68 Countrywide Home Loans 6.500% due 03/25/2029 100 101 7.750% due 01/25/2031 156 160 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 142 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 1,905 1,937 Fannie Mae 6.900% due 08/25/2011 100 103 4.453% due 10/31/2011 1,000 1,002 6.500% due 02/25/2019 261 261 7.750% due 08/25/2022 69 75 3.687% due 04/25/2023 (b) 25 26 4.843% due 05/25/2023 (b) 2,481 2,493 6.500% due 09/25/2023 39 39 7.000% due 09/25/2023 17 18 6.500% due 09/25/2023 182 169 6.750% due 09/25/2023 57 56 6.500% due 10/25/2023 217 218 6.500% due 12/25/2023 182 175 3.896% due 04/18/2028 (b) 89 90 Freddie Mac 6.000% due 06/15/2008 371 380 4.500% due 03/15/2021 36 36 3.500% due 12/15/2022 10 8 6.500% due 12/15/2023 50 50 6.500% due 03/15/2024 114 115 8.000% due 06/15/2026 76 84 6.500% due 05/15/2027 73 73 6.000% due 10/15/2028 153 152 General Electric Capital Mortgage Services, Inc. 5.250% due 11/25/2008 273 273 7.000% due 01/25/2028 100 102 6.750% due 06/25/2028 200 206 Government National Mortgage Association 7.600% due 04/20/2026 2,309 2,340 7.000% due 07/16/2026 186 194 Mellon Residential Funding Corp. 6.580% due 07/25/2029 (b) 410 434 Norwest Asset Securities Corp. 6.250% due 09/25/2028 454 455 6.250% due 01/25/2029 152 154 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 155 155 Superannuation Members Home Loans Global Fund 4.145% due 06/15/2026 (b) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 41 45 -------- 14,673 ======== Fannie Mae 54.2% 4.510% due 10/30/2011 3,000 3,007 4.900% due 04/01/2007 1,720 1,720 4.980% due 07/01/2008 4,990 5,006 5.817% due 10/01/2028 (b) 431 442 6.000% due 10/18/2016 (b) 8,000 8,074 6.483% due 11/01/2018 (b) 37 38 7.000% due 04/01/2026 (b) 19 19 7.169% due 08/01/2026 (b) 103 105 7.378% due 05/01/2023 (b) 142 146 7.500% due 10/15/2031 6,000 6,238 9.000% due 01/01/2020 108 119 -------- 24,914 ======== Federal Housing Administration 3.8% 7.430% due 06/01/2019 1,685 1,725 -------- Freddie Mac 20.6% 6.000% due 10/01/2024-10/15/2031 (c) 3,136 3,132 6.448% due 02/01/2018 (b) 142 144 6.500% due 10/15/2031 2,000 2,036 7.094% due 07/01/2030 (b) 3,800 3,973 7.808% due 11/01/2028 (b) 78 80 7.995% due 08/01/2025 (b) 120 124 -------- 9,489 ======== Government National Mortgage Association 27.6% 7.000% due 10/22/2031 (b) 6,500 6,750 7.125% due 10/20/2022 (b) 110 114 7.375% due 03/20/2016-03/20/2027 (b)(c) 1,008 1,027 7.500% due 05/15/2027-08/15/2027 (c) 99 104 7.625% due 12/20/2021-11/20/2026 (b)(c) 74 76 7.750% due 07/20/2022-07/20/2025 (b)(c) 370 381 8.500% due 10/22/2031 (d) 4,000 4,246 -------- 12,698 ======== Stripped Mortgage-Backed Securities 0.4% Fannie Mae (IO) 6.500% due 07/25/2007 18 0 Fannie Mae (PO) 0.000% due 07/25/2022 243 201 -------- Total Mortgage-Backed Securities 63,700 ======== (Cost $62,653) ASSET-BACKED SECURITIES 4.2% Bayview Financial Acquisition Trust 3.051% due 07/25/2030 (b) 154 154 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (b) 189 190 Novastar Home Equity Loan 3.011% due 01/25/2031 (b) 922 923 Option One Mortgage Loan Trust 3.910% due 04/25/2030 665 667 -------- Total Asset-Backed Securities (b) 1,934 ======== (Cost $1,930) CONVERTIBLE BONDS & NOTES 0.0% Industrial 0.0% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 10 -------- Total Convertible Bonds & Notes 10 ======== (Cost $10) SHORT-TERM INSTRUMENTS 30.3% Commercial Paper 24.6% Abbey National North America 3.550% due 10/24/2001 200 200 3.470% due 10/31/2001 1,100 1,097 Fannie Mae 3.150% due 10/01/2001 7,500 7,500 0.010% due 10/04/2001 200 200 3.545% due 10/18/2001 200 200 3.630% due 12/20/2001 1,600 1,590 Swedbank, Inc. 3.100% due 12/26/2001 500 497 -------- 11,284 ======== 130 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------------------- Repurchase Agreement 5.7% State Street Bank 2.600% due 10/01/2001 $ 2,617 $ 2,617 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $2,674. Repurchase proceeds are $2,618.) ------------- Total Short-Term Instruments 13,901 ============= (Cost $13,897) Total Investments (a) 173.0% $ 79,545 (Cost $78,490) Other Assets and Liabilities (Net) (73.0%) (33,566) ------------- Net Assets 100.0% $ 45,979 ============= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,064 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (9) ------------- Unrealized appreciation-net $ 1,055 ============= (b) Variable rate security. The rate listed is as of September 30, 2001. (c) Securities are grouped by coupon or range of coupons and represent a range of maturities.
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 131 PIMCO Financial Highlights A, B, and C Classes
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Beginning of Net Investment (Loss) on from Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income --------------- -------------- --------------- --------------- -------------- California Intermediate Municipal Bond Fund Class A 09/30/2001 * $ 10.60 $ 0.20 (a) $ 0.19 (a) $ 0.39 $ (0.20) 03/31/2001 10.05 0.43 (a) 0.57 (a) 1.00 (0.42) 10/19/1999 - 03/31/2000 9.94 0.18 (a) 0.12 (a) 0.30 (0.17) California Municipal Bond Fund Class A 09/30/2001 * $ 10.35 $ 0.18 (a) $ 0.31 (a) $ 0.49 $ (0.18) 07/31/2000 - 03/31/2001 10.35 0.27 (a) 0.46 (a) 0.73 (0.30) Convertible Fund Class A 09/30/2001 * $ 11.41 $ 0.01 (a) $ (1.03)(a) $ (1.02) $ (0.11) 03/31/2001 15.76 0.00 (a) (3.45)(a) (3.45) (0.20) 05/28/1999 - 03/31/2000 10.67 0.00 (a) 5.35 (a) 5.35 (0.03) Class B 09/30/2001 * 11.34 0.03 (a) (1.08)(a) (1.05) (0.08) 03/31/2001 15.68 (0.16)(a) (3.36)(a) (3.52) (0.12) 05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.29 (a) 5.22 (0.02) Class C 09/30/2001 * 11.37 0.03 (a) (1.09)(a) (1.06) (0.07) 03/31/2001 15.71 (0.15)(a) (3.38)(a) (3.53) (0.11) 05/28/1999 - 03/31/2000 10.67 (0.07)(a) 5.31 (a) 5.24 (0.02) Emerging Markets Bond Fund Class A 09/30/2001 * $ 8.40 $ 0.37 (a) $ 0.30 (a) $ 0.67 $ (0.39) 03/31/2001 8.61 0.77 (a) 0.21 (a) 0.98 (0.79) 03/31/2000 7.51 0.84 (a) 1.10 (a) 1.94 (0.84) 03/31/1999 9.67 0.83 (a) (2.11)(a) (1.28) (0.83) 07/31/1997 - 03/31/1998 10.00 0.44 (a) (0.18)(a) 0.26 (0.44) Class B 09/30/2001 * 8.40 0.34 (a) 0.30 (a) 0.64 (0.36) 03/31/2001 8.61 0.73 (a) 0.19 (a) 0.92 (0.73) 03/31/2000 7.51 0.77 (a) 1.11 (a) 1.88 (0.78) 03/31/1999 9.67 0.77 (a) (2.11)(a) (1.34) (0.77) 07/31/1997 - 03/31/1998 10.00 0.40 (a) (0.20)(a) 0.20 (0.38) Class C 09/30/2001 * 8.40 0.34 (a) 0.29 (a) 0.63 (0.35) 03/31/2001 8.61 0.72 (a) 0.21 (a) 0.93 (0.74) 03/31/2000 7.51 0.78 (a) 1.10 (a) 1.88 (0.78) 03/31/1999 9.67 0.77 (a) (2.11)(a) (1.34) (0.77) 07/31/1997 - 03/31/1998 10.00 0.38 (a) (0.18)(a) 0.20 (0.38) Foreign Bond Fund Class A 09/30/2001 * $ 10.32 $ 0.22 (a) $ 0.12 (a) $ 0.34 $ (0.23) 03/31/2001 10.03 0.54 (a) 0.50 (a) 1.04 (0.54) 03/31/2000 10.63 0.59 (a) (0.45)(a) 0.14 (0.59) 03/31/1999 10.74 0.53 (a) 0.24 (a) 0.77 (0.53) 03/31/1998 10.41 0.61 (a) 0.62 (a) 1.23 (0.59) 01/20/1997 - 03/31/1997 10.59 0.59 (0.72) (0.13) (0.05)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 2.43%. (c) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.63%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.08%. 132 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Ratio of Net Distributions Investment Dividends in from Net Distributions in Ratio of Income Excess of Net Realized Excess of Net Net Asset Net Assets Expenses to (Loss) Portfolio Investment Capital Realized Capital Total Value End Total End of Average Net to Average Turnover Income Gains Gains Distributions of Period Return Period (000s) Assets Net Assets Rate - ----------------------------------------------------------------------------------------------------------------------------------- $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.79 3.72% $ 28,990 0.85%+ 3.67%+ 35% 0.00 (0.03) 0.00 (0.45) 10.60 10.19 29,035 0.86 (h) 4.19 257 0.00 (0.02) 0.00 (0.19) 10.05 2.94 1,793 0.85+(c) 3.96+ 357 $ 0.00 $ 0.00 $ 0.00 $ (0.18) $ 10.66 4.79% $ 956 0.85%+ 3.39%+ 36% 0.00 (0.43) 0.00 (0.73) 10.35 7.72 706 0.85+(b) 3.89+ 338 $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 10.28 (8.95)% $ 5,201 1.05%+ 1.24%+ 144% 0.00 0.00 (0.70) (0.90) 11.41 (22.68) 6,426 1.06 (i) (0.35) 225 (0.14) (0.09) 0.00 (0.26) 15.76 50.36 5,327 1.05+(d) 0.15+ 247 0.00 0.00 0.00 (0.08) 10.21 (9.33) 5,649 1.80+ 0.46+ 144 0.00 0.00 (0.70) (0.82) 11.34 (23.24) 5,705 1.81 (j) (1.13) 225 (0.10) (0.09) 0.00 (0.21) 15.68 49.18 2,437 1.80+(e) (0.58)+ 247 0.00 0.00 0.00 (0.07) 10.24 (9.35) 10,261 1.80+ 0.49+ 144 0.00 0.00 (0.70) (0.81) 11.37 (23.21) 13,249 1.80 (1.11) 225 (0.09) (0.09) 0.00 (0.20) 15.71 49.33 7,924 1.80+(e) (0.59)+ 247 $ 0.00 $ 0.00 $ 0.00 $ (0.39) $ 8.68 8.03% $ 2,659 1.39%+(f) 8.53%+ 531% 0.00 0.00 (0.40) (1.19) 8.40 12.46 1,143 1.34 (f) 9.08 902 0.00 0.00 0.00 (0.84) 8.61 27.39 316 1.29 (f) 10.59 328 0.00 0.00 (0.05) (0.88) 7.51 (12.90) 172 1.25 10.26 315 0.00 (0.15) 0.00 (0.59) 9.67 2.84 317 1.26+(f) 6.93+ 695 0.00 0.00 0.00 (0.36) 8.68 7.64 2,828 2.15+(g) 7.76+ 531 0.00 0.00 (0.40) (1.13) 8.40 11.59 1,620 2.09 (g) 8.58 902 0.00 0.00 0.00 (0.78) 8.61 26.43 1,168 2.04 (g) 9.57 328 0.00 0.00 (0.05) (0.82) 7.51 (13.58) 398 2.00 9.68 315 0.00 (0.15) 0.00 (0.53) 9.67 2.29 304 2.01+(g) 6.33+ 695 0.00 0.00 0.00 (0.35) 8.68 7.63 1,538 2.13+(g) 7.71+ 531 0.00 0.00 (0.40) (1.14) 8.40 11.74 792 2.08 (g) 8.52 902 0.00 0.00 0.00 (0.78) 8.61 26.49 249 2.04 (g) 9.87 328 0.00 0.00 (0.05) (0.82) 7.51 (13.57) 229 2.00 9.79 315 0.00 (0.15) 0.00 (0.53) 9.67 2.29 136 2.01+(g) 6.11+ 695 $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 10.43 3.34% $ 100,403 0.96%+(k) 4.35%+ 168% 0.00 0.00 (0.21) (0.75) 10.32 10.82 84,631 0.99 (k) 5.28 417 0.00 (0.15) 0.00 (0.74) 10.03 1.50 54,299 1.19 (k) 5.75 330 0.00 (0.10) (0.25) (0.88) 10.63 7.43 29,009 0.95 4.87 376 0.00 (0.31) 0.00 (0.90) 10.74 12.14 9,582 0.95 5.88 280 0.00 0.00 0.00 (0.05) 10.41 (1.21) 704 0.97+(k) 4.95+ 984
(e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.83%. (f) Ratio of expenses to average net assets excluding interest expense is 1.25%. (g) Ratio of expenses to average net assets excluding interest expense is 2.00%. (h) Ratio of expenses to average net assets excluding interest expense is 0.85%. (i) Ratio of expenses to average net assets excluding interest expense is 1.05%. (j) Ratio of expenses to average net assets excluding interest expense is 1.80%. (k) Ratio of expenses to average net assets excluding interest expense is 0.95%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 133 PIMCO Financial Highlights A, B, and C Classes (Cont.)
Net Realized / Total Dividends Net Asset Value Unrealize Gain Income from from Net Beginning of Net Investment (Loss) on Investment Investments Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income -------------------------------------------------------------------------- Foreign Bond Fund (cont) Class B 09/30/2001 * $ 10.32 $ 0.19 (a) $ 0.11 (a) $ 0.30 $ (0.19) 03/31/2001 10.03 0.46 (a) 0.50 (a) 0.96 (0.46) 03/31/2000 10.63 0.51 (a) (0.45)(a) 0.06 (0.51) 03/31/1999 10.74 0.46 (a) 0.24 (a) 0.70 (0.46) 03/31/1998 10.41 0.53 (a) 0.61 (a) 1.14 (0.50) 01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04) Class C 09/30/2001 * 10.32 0.19 (a) 0.11 (a) 0.30 (0.19) 03/31/2001 10.03 0.46 (a) 0.50 (a) 0.96 (0.46) 03/31/2000 10.63 0.51 (a) (0.45)(a) 0.06 (0.51) 03/31/1999 10.74 0.45 (a) 0.24 (a) 0.69 (0.45) 03/31/1998 10.41 0.52 (a) 0.62 (a) 1.14 (0.50) 01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04) Global Bond Fund II Class A 09/30/2001 * $ 9.61 $ 0.21 (a) $ 0.16 (a) $ 0.37 $ (0.21) 03/31/2001 9.41 0.52 (a) 0.50 (a) 1.02 (0.52) 03/31/2000 9.89 0.52 (a) (0.46)(a) 0.06 (0.51) 03/31/1999 9.92 0.48 (a) 0.06 (a) 0.54 (0.48) 03/31/1998 10.84 0.64 (a) 0.51 (a) 1.15 0.00 10/01/1996 - 03/31/1997 10.96 0.66 (0.16) 0.50 (0.22) Class B 09/30/2001 * 9.61 0.17 (a) 0.16 (a) 0.33 (0.17) 03/31/2001 9.41 0.45 (a) 0.50 (a) 0.95 (0.45) 03/31/2000 9.89 0.45 (a) (0.46)(a) (0.01) (0.44) 03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 03/31/1998 10.84 0.66 (a) 0.41 (a) 1.07 0.00 10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) Class C 09/30/2001 * 9.61 0.17 (a) 0.16 (a) 0.33 (0.17) 03/31/2001 9.41 0.45 (a) 0.50 (a) 0.95 (0.45) 03/31/2000 9.89 0.45 (a) (0.46)(a) (0.01) (0.44) 03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 03/31/1998 10.84 0.55 (a) 0.52 (a) 1.07 0.00 10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) GNMA Fund Class A 09/30/2001 * $ 10.44 $ 0.33 (a) $ 0.35 (a) $ 0.68 $ (0.33) 11/30/2000 - 03/31/2001 10.13 0.21 (a) 0.31 (a) 0.52 (0.21) Class B 05/31/2001 - 09/30/2001 * 10.43 0.18 (a) 0.36 (a) 0.54 (0.18) Class C 05/31/2001 - 09/30/2001 * 10.43 0.18 (a) 0.36 (a) 0.54 (0.18) High Yield Fund Class A 09/30/2001 * $ 9.88 $ 0.39 (a) $(0.68)(a) $ (0.29) $ (0.39) 03/31/2001 10.22 0.87 (a) (0.34)(a) 0.53 (0.86) 03/31/2000 11.23 0.89 (a) (1.01)(a) (0.12) (0.88) 03/31/1999 11.66 0.91 (a) (0.43)(a) 0.48 (0.90) 03/31/1998 11.10 0.93 (a) 0.66 (a) 1.59 (0.94) 01/13/1997 - 03/31/1997 11.18 0.17 (0.05) 0.12 (0.20)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 1.70%. 134 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Income Gains Gains Distributions End of Period Total Return - ----------------------------------------------------------------------------------------------------------------- $ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 10.43 2.95% 0.00 0.00 (0.21) (0.67) 10.32 9.94 0.00 (0.15) 0.00 (0.66) 10.03 0.72 0.00 (0.10) (0.25) (0.81) 10.63 6.69 0.00 (0.31) 0.00 (0.81) 10.74 11.29 0.00 0.00 0.00 (0.04) 10.41 (1.34) 0.00 0.00 0.00 (0.19) 10.43 2.95 0.00 0.00 (0.21) (0.67) 10.32 9.96 0.00 (0.15) 0.00 (0.66) 10.03 0.73 0.00 0.10) (0.25) (0.80) 10.63 6.63 0.00 (0.31) 0.00 (0.81) 10.74 11.29 0.00 0.00 0.00 (0.04) 10.41 (1.32) $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 9.77 3.89% 0.00 (0.08) (0.22) (0.82) 9.61 11.43 (0.01) (0.02) 0.00 (0.54) 9.41 0.71 0.00 (0.01) (0.08) (0.57) 9.89 5.65 (0.54) (1.53) 0.00 (2.07) 9.92 11.21 0.00 (0.40) 0.00 (0.62) 10.84 4.55 0.00 0.00 0.00 (0.17) 9.77 3.50 0.00 (0.08) (0.22) (0.75) 9.61 10.60 (0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 0.00 (0.01) (0.08) (0.50) 9.89 4.85 (0.46) (1.53) 0.00 (1.99) 9.92 10.39 0.00 (0.40) 0.00 (0.58) 10.84 4.17 0.00 0.00 0.00 (0.17) 9.77 3.51 0.00 (0.08) (0.22) (0.75) 9.61 10.60 (0.01) (0.02) 0.00 (0.47) 9.41 (0.05) 0.00 (0.01) (0.08) (0.50) 9.89 4.82 (0.46) (1.53) 0.00 (1.99) 9.92 10.39 0.00 (0.40) 0.00 (0.58) 10.84 4.17 $ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.79 6.60% 0.00 0.00 0.00 (0.21) 10.44 5.68 0.00 0.00 0.00 (0.18) 10.79 6.13 0.00 0.00 0.00 (0.18) 10.79 6.17 $ 0.00 $ 0.00 $ 0.00 $ (0.39) $ 9.20 (3.01)% (0.01) 0.00 0.00 (0.87) 9.88 5.44 (0.01) 0.00 0.00 (0.89) 10.22 (1.15) (0.01) 0.00 0.00 (0.91) 11.23 4.32 0.00 0.00 (0.09) (1.03) 11.66 14.80 0.00 0.00 0.00 (0.20) 11.10 1.06 Ratio of Net Ratio of Investment Expenses to Income (Loss) Net Assets End Average Net to Average Portfolio of Period (000s) Assets Net Assets Turnover Rate - ----------------------------------------------------------------------- $ 32,171 1.70%+ 3.62%+ 168% 28,747 1.74 (b) 4.57 417 24,402 1.91 (b) 5.00 330 21,256 1.70 4.14 376 10,631 1.70 5.13 280 1,221 1.75+(b) 3.73+ 984 41,438 1.70+ 3.61+ 168 35,337 1.74 (b) 4.57 417 30,214 1.91 (b) 5.01 330 29,584 1.70 4.16 376 17,080 1.70 5.13 280 1,788 1.76+(b) 4.09+ 984 $ 3,907 0.95%+ 4.26%+ 146% 2,747 0.98 (c) 5.46 422 2,279 0.98 (c) 5.45 290 2,728 0.95 5.07 236 6,816 0.95 5.88 369 7,652 2.05+(c) 5.60+ 307 5,709 1.70+ 3.55+ 146 5,243 1.73 (b) 4.73 422 4,590 1.73 (b) 4.72 290 4,909 1.70 4.16 236 4,473 1.70 5.12 369 3,925 2.57+(b) 4.22+ 307 6,742 1.70+ 3.54+ 146 5,208 1.73 (b) 4.75 422 5,254 1.73 (b) 4.71 290 5,863 1.70 4.16 236 6,096 1.70 5.12 369 5,323 2.43+(b) 4.14+ 307 $ 5,956 1.00%+ 6.17%+ 587% 11 0.65+(e) 6.11+ 808 3,290 1.75+ 4.99+ 587 4,768 1.75+ 4.99+ 587 $ 295,186 0.90%+ 8.02%+ 41% 262,572 0.90 8.62 53 187,039 0.90 8.23 39 155,466 0.90 7.94 39 70,858 0.90 8.02 37 28,873 0.92+(d) 8.28+ 67
(c) Ratio of expenses to average net assets excluding interest expense is 0.95%. (d) Ratio of expenses to average net assets excluding interest expense is 0.90%. (e) The accrual of expenses reflect Advisory fees of 0.25% and Administrative fees of 0.40%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 135 PIMCO Financial Hightlights A, B, and C Classes (Cont.)
Net Realized / Net Asset Value Unrealize Gain Total Income Dividends from Selected Per Share Data for the Beginning of Net Investment (Loss) on from Investment Net Investment Year or Period Ended: Period Income (Loss) Investment Operations Income ------------------------------------------------------------------------------------ High Yield Fund (cont) Class B 09/30/2001 * $ 9.88 0.35 (a) $ (0.67)(a) $ (0.32) $ (0.36) 03/31/2001 10.22 0.79 (a) (0.33)(a) 0.46 (0.79) 03/31/2000 11.23 0.81 (a) (1.01)(a) (0.20) (0.80) 03/31/1999 11.66 0.82 (a) (0.43)(a) 0.39 (0.81) 03/31/1998 11.10 0.84 (a) 0.66 (a) 1.50 (0.85) 01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18) Class C 09/30/2001 * 9.88 0.35 (a) (0.67)(a) (0.32) (0.36) 03/31/2001 10.22 0.79 (a) (0.33)(a) 0.46 (0.79) 03/31/2000 11.23 0.81 (a) (1.01)(a) 0.20 (0.80) 03/31/1999 11.66 0.82 (a) (0.43)(a) 0.39 (0.81) 03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85) 01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18) Long-Term U.S. Government Fund Class A 09/30/2001 * $ 10.65 $ 0.32 (a) $ 0.27 (a) $ 0.59 $ (0.32) 03/31/2001 9.79 0.34 (a) 1.09 (a) 1.43 (0.57) 03/31/2000 10.30 0.58 (a) (0.51)(a) 0.07 (0.58) 03/31/1999 10.57 0.59 (a) 0.20 (a) 0.79 (0.60) 03/31/1998 9.39 0.48 (a) 1.34 (a) 1.82 (0.58) 01/20/1997 - 03/31/1997 9.67 0.32 (0.47) (0.15) (0.13) Class B 09/30/2001 * 10.65 0.28 (a) 0.27 (a) 0.55 (0.28) 03/31/2001 9.79 0.65 (a) 0.71 (a) 1.36 (0.50) 03/31/2000 10.30 0.50 (a) (0.50)(a) 0.00 (0.51) 03/31/1999 10.57 0.51 (a) 0.20 (a) 0.71 (0.52) 03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) Class C 09/30/2001 * 10.65 0.28 (a) 0.27 (a) 0.55 (0.28) 03/31/2001 9.79 0.92 (a) 0.44 (a) 1.36 (0.50) 03/31/2000 10.30 0.51 (a) (0.51)(a) 0.00 (0.51) 03/31/1999 10.57 0.50 (a) 0.21 (a) 0.71 (0.52) 03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) Low Duration Fund Class A 09/30/2001 * $ 10.03 $ 0.27 (a) $ 0.18 (a) $ 0.45 $ (0.28) 03/31/2001 9.81 0.60 (a) 0.25 (a) 0.85 (0.61) 03/31/2000 10.10 0.59 (a) (0.29)(a) 0.30 (0.58) 03/31/1999 10.18 0.60 (a) (0.02)(a) 0.58 (0.60) 03/31/1998 9.98 0.60 (a) 0.23 (a) 0.83 (0.58) 01/13/1997 - 03/31/1997 10.02 0.12 (0.03) 0.09 (0.12) Class B 09/30/2001 * 10.03 0.24 (a) 0.17 (a) 0.41 (0.24) 03/31/2001 9.81 0.53 (a) 0.24 (a) 0.77 (0.53) 03/31/2000 10.10 0.51 (a) (0.29)(a) 0.22 (0.50) 03/31/1999 10.18 0.52 (a) (0.02)(a) 0.50 (0.52) 03/31/1998 9.98 0.53 (a) 0.22 (a) 0.75 (0.50) 01/13/1997 - 03/31/1997 10.02 0.10 (0.03) 0.07 (0.11) Class C 09/30/2001 * 10.03 0.25 (a) 0.17 (a) 0.42 (0.25) 03/31/2001 9.81 0.55 (a) 0.25 (a) 0.80 (0.56) 03/31/2000 10.10 0.54 (a) (0.29)(a) 0.25 (0.53) 03/31/1999 10.18 0.55 (a) (0.02)(a) 0.53 (0.55) 03/31/1998 9.98 0.55 (a) 0.23 (a) 0.78 (0.53) 01/13/1997 - 03/31/1997 10.02 0.11 (0.03) 0.08 (0.11)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. 136 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Income Gains Gains Distribution End of Period - ---------------------------------------------------------------------------------------------------------------- $ 0.00 $ 0.00 $ 0.00 $ (0.36) $ 9.20 (0.01) 0.00 0.00 (0.80) 9.88 (0.01) 0.00 0.00 (0.81) 10.22 (0.01) 0.00 0.00 (0.82) 11.23 0.00 0.00 (0.09) (0.94) 11.66 0.00 0.00 0.00 (0.18) 11.10 0.00 0.00 0.00 (0.36) 9.20 (0.01) 0.00 0.00 (0.80) 9.88 (0.01) 0.00 0.00 (0.81) 10.22 (0.01) 0.00 0.00 (0.82) 11.23 0.00 0.00 (0.09) (0.94) 11.66 0.00 0.00 0.00 (0.18) 11.10 $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 10.92 0.00 0.00 0.00 (0.57) 10.65 0.00 0.00 0.00 (0.58) 9.79 0.00 0.00 (0.46) (1.06) 10.30 0.00 (0.06) 0.00 (0.64) 10.57 0.00 0.00 0.00 (0.13) 9.39 0.00 0.00 0.00 (0.28) 10.92 0.00 0.00 0.00 (0.50) 10.65 0.00 0.00 0.00 (0.51) 9.79 0.00 0.00 (0.46) (0.98) 10.30 0.00 (0.06) 0.00 (0.56) 10.57 0.00 0.00 0.00 (0.10) 9.39 0.00 0.00 0.00 (0.28) 10.92 0.00 0.00 0.00 (0.50) 10.65 0.00 0.00 0.00 (0.51) 9.79 0.00 0.00 (0.46) (0.98) 10.30 0.00 (0.06) 0.00 (0.56) 10.57 0.00 0.00 0.00 (0.10) 9.39 $ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 10.20 (0.02) 0.00 0.00 (0.63) 10.03 (0.01) 0.00 0.00 (0.59) 9.81 0.00 (0.01) (0.05) (0.66) 10.10 (0.02) (0.03) 0.00 (0.63) 10.18 (0.01) 0.00 0.00 (0.13) 9.98 0.00 0.00 0.00 (0.24) 10.20 (0.02) 0.00 0.00 (0.55) 10.03 (0.01) 0.00 0.00 (0.51) 9.81 0.00 (0.01) (0.05) (0.58) 10.10 (0.02) (0.03) 0.00 (0.55) 10.18 0.00 0.00 0.00 (0.11) 9.98 0.00 0.00 0.00 (0.25) 10.20 (0.02) 0.00 0.00 (0.58) 10.03 (0.01) 0.00 0.00 (0.54) 9.81 0.00 (0.01) (0.05) (0.61) 10.10 (0.02) (0.03) 0.00 (0.58) 10.18 (0.01) 0.00 0.00 (0.12) 9.98 Ratio of Net Ratio of Investment Expenses to Income (Loss) Net Assets end Average Net to Average Portfolio Total Return of Period (000s) Assets Net Assets Turnover Rate - -------------------------------------------------------------------------------------------------- (3.37)% $ 351,454 1.65%+ 7.28%+ 41% 4.66 327,367 1.65 7.90 53 (1.89) 303,333 1.65 7.48 39 3.54 286,198 1.65 7.21 39 13.94 156,099 1.65 7.27 37 0.86 60,269 1.67+(b) 7.52+ 67 (3.37) 390,114 1.65+ 7.29+ 41 4.66 373,530 1.65 7.90 53 (1.89) 341,953 1.65 7.49 39 3.55 370,861 1.65 7.24 39 13.95 284,836 1.65 7.36 37 0.88 205,297 1.68+(b) 7.56+ 67 5.67% $ 107,838 0.90%+ 5.96%+ 320% 15.07 79,477 0.97 (d) 3.36 1046 0.86 42,773 0.99 (d) 5.96 320 7.34 29,809 1.34 (d) 5.33 364 19.78 6,161 0.91 (d) 4.49 177 (1.72) 1,204 1.12+(d) 6.91+ 402 5.28 67,911 1.65+ 5.22+ 320% 14.22 54,374 1.70 (b) 6.40 1046 0.11 34,301 1.72 (b) 5.16 320 6.51 37,946 2.13 (b) 4.53 364 18.85 7,516 1.66 (b) 4.64 177 (1.92) 454 1.87+(b) 4.95+ 402 5.28 42,948 1.65+ 5.23+ 320 14.24 35,675 1.71 (b) 9.01 1046 0.11 20,955 1.71 (b) 5.16 320 6.52 31,653 2.16 (b) 4.50 364 18.86 7,258 1.66 (b) 4.64 177 (1.83) 275 1.88+(b) 5.52+ 402 4.53% $ 417,930 0.90%+ 5.41%+ 269% 8.93 273,994 0.96 (d) 6.07 348 3.07 235,413 0.98 (d) 5.91 82 5.86 191,727 0.90 5.85 245 8.49 109,531 0.90 5.93 309 0.85 59,348 0.91+(d) 5.84+ 240 4.14 123,972 1.65+ 4.69+ 269 8.12 88,585 1.71 (b) 5.32 348 2.30 73,121 1.73 (b) 5.16 82 5.07 65,160 1.65 5.03 245 7.68 17,624 1.65 5.16 309 0.68 5,296 1.67+(b) 5.03+ 240 4.27 186,865 1.40+ 4.91+ 269 8.39 119,062 1.46 (c) 5.58 348 2.55 110,447 1.48 (c) 5.42 82 5.33 112,229 1.40 5.35 245 8.01 68,766 1.40 5.46 309 0.75 63,606 1.42+(c) 5.36+ 240
(b)Ratio of expenses to average net assets excluding interest expense is 1.65%. (c)Ratio of expenses to average net assets excluding interest expense is 1.40%. (d)Ratio of expenses to average net assets excluding interest expense is 0.90%. See accompanying|9.30.01| PIMCO Funds Semi-Annual Report 137 PIMCO Financial Highlights A, B, and C Classes (Cont.)
Net Realized / Dividends Net Asset Value Unrealized Gain Total Income Net Beginning of Net Investment (Loss) on from Investment Investment Selected Per Share Data for the Year of Period Ended Period Income (Loss) Investments Operations Income ---------------------------------------------------------------------------- Money Market Fund Class A 09/30/2001* $ 1.00 $ 0.02 (a) $ 0.00 $ 0.02 $ (0.02) 03/31/2001 1.00 0.06 (a) 0.00 (a) 0.06 (0.06) 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) Class B 09/30/2001 * 1.00 0.01 (a) 0.00 (a) 0.01 (0.01) 03/31/2001 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/2000 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 03/31/1999 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 03/31/1998 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) Class C 09/30/2001 * 1.00 0.02 (a) 0.00 (a) 0.02 $ (0.02) 03/31/2001 1.00 0.06 (a) 0.00 (a) 0.06 (0.06) 03/31/2000 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1999 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) Municipal Bond Fund Class A 09/30/2001 * $ 10.02 $ 0.22 (a) $ 0.21 (a) $ 0.43 $ (0.23) 03/31/2001 9.47 0.44 (a) 0.55 (a) 0.99 (0.44) 03/31/2000 10.12 0.43 (a) (0.65)(a) (0.22) (0.43) 03/31/1999 9.97 0.41 (a) 0.15 (a) 0.56 (0.41) Class B 09/30/2001 * 10.02 0.19 (a) 0.20 (a) 0.39 (0.19) 03/31/2001 9.47 0.37 (a) 0.55 (a) 0.92 (0.37) 03/31/2000 10.12 0.36 (a) (0.65)(a) (0.29) (0.36) 03/31/1999 9.97 0.34 (a) 0.14 (a) 0.48 (0.33) Class C 09/30/2001 * 10.02 0.20 (a) 0.20 (a) 0.40 (0.20) 03/31/2001 9.47 0.39 (a) 0.55 (a) 0.94 (0.39) 03/31/2000 10.12 0.38 (a) (0.65)(a) (0.27) (0.38) 03/31/1999 9.97 0.36 (a) 0.15 (a) 0.51 (0.36) New York Municipal Bond Fund Class A 09/30/2001 * $ 10.64 $ 0.22 (a) $ 0.18 (a) $ 0.40 $ (0.22) 03/31/2001 9.94 0.43 (a) 0.77 (a) 1.20 (0.41) 10/19/1999 - 03/31/2000 9.90 0.16 (a) 0.07 (a) 0.23 (0.17) Real Return Fund Class A 09/30/2001 * $ 10.40 $ 0.27 (a) $ 0.17 (a) $ 0.44 $ (0.33) 03/31/2001 9.92 0.71 (a) 0.61 (a) 1.32 (0.76) 03/31/2000 9.83 0.64 (a) 0.11 (a) 0.75 (0.64) 03/31/1999 9.77 0.43 (a) 0.14 (a) 0.57 (0.45) 03/31/1998 9.93 0.40 (a) 0.03 (a) 0.43 (0.42) 01/29/1997 - 03/31/1997 10.00 0.11 (a) (0.10)(a) 0.01 (0.08)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.88%. (c) Ratio of expenses to average net assets excluding interest expense is 0.85%. (d) Ratio of expenses to average net assets excluding interest expense is 1.60%. (e) Ratio of expenses to average net assets excluding interest expense is 0.90%. 138 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions in Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Income Gains Gains Distributions End of Period - ------------------------------------------------------------------------------ $ 0.00 $ 0.00 $ 0.00 $ (0.02) $ 1.00 0.00 0.00 0.00 (0.06) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.01) 1.00 0.00 0.00 0.00 (0.01) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.04) 1.00 0.00 0.00 0.00 (0.04) 1.00 0.00 0.00 0.00 (0.04) 1.00 0.00 0.00 0.00 (0.01) 1.00 0.00 0.00 0.00 (0.02) 1.00 0.00 0.00 0.00 (0.06) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.05) 1.00 0.00 0.00 0.00 (0.01) 1.00 $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 10.22 0.00 0.00 0.00 (0.44) 10.02 0.00 0.00 0.00 (0.43) 9.47 0.00 0.00 0.00 (0.41) 10.12 0.00 0.00 0.00 (0.19) 10.22 0.00 0.00 0.00 (0.37) 10.02 0.00 0.00 0.00 (0.36) 9.47 0.00 0.00 0.00 (0.33) 10.12 0.00 0.00 0.00 (0.20) 10.22 0.00 0.00 0.00 (0.39) 10.02 0.00 0.00 0.00 (0.38) 9.47 0.00 0.00 0.00 (0.36) 10.12 $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.82 0.00 (0.09) 0.00 (0.50) 10.64 0.00 (0.02) 0.00 (0.19) 9.94 $ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.51 0.00 (0.08) 0.00 (0.84) 10.40 0.00 (0.02) 0.00 (0.66) 9.92 (0.06) 0.00 0.00 (0.51) 9.83 (0.03) (0.14) 0.00 (0.59) 9.77 0.00 0.00 0.00 (0.08) 9.93 Ratio of Net Ratio of Investment Expenses to Income(Loss) Net Assets End Average Net to Average Portfolio Total Return of Period (000s) Assets Net Assets Turnover Rate - --------------------------------------------------------------------------- 1.81% 61,716 0.60%+ 3.55%+ N/A 5.94 58,940 0.60 5.85 N/A 4.92 101,734 0.60 4.90 N/A 4.76 105,200 0.60 4.78 N/A 5.10 41,375 0.60 5.02 N/A 1.01 43,589 0.57+ 4.44+ N/A 1.35 48,767 1.50+ 2.64+ N/A 5.02 38,286 1.50 4.87 N/A 3.99 25,507 1.50 4.05 N/A 4.03 14,968 1.50 3.79 N/A 4.21 2,937 1.50 4.15 N/A 0.83 3,143 1.41+ 3.62+ N/A 1.81 116,829 0.60+ 3.54+ N/A 5.94 108,549 0.60 5.77 N/A 4.95 99,475 0.60 4.78 N/A 4.85 86,159 0.60 4.79 N/A 5.14 55,696 0.60 5.05 N/A 1.02 85,398 0.58+ 4.47+ N/A 4.32% $ 15,968 0.85%+ 4.43%+ 48% 10.74 11,381 0.85 4.52 306 (2.16) 8,666 0.85 4.44 145 5.67 7,020 0.86 (c) 4.10 70 3.93 11,988 1.60+ 3.71+ 48 9.92 8,513 1.60 3.79 306 (2.89) 5,314 1.60 3.69 145 4.88 6,070 1.61 (d) 3.33 70 4.06 38,008 1.35+ 3.97+ 48 10.20 30,539 1.35 4.06 306 (2.64) 28,674 1.35 3.94 145 5.13 37,913 1.35 3.60 70 3.74% $ 1,462 0.85%+ 4.04%+ 106% 12.38 186 0.86 (c) 4.15 973 2.30 10 0.89+(b)(c) 3.68+ 270 4.34% $ 299,468 0.90%+ 5.10%+ 29% 13.97 95,899 0.94 (e) 7.03 202 7.93 17,676 0.93 (e) 6.57 253 5.99 6,250 0.92 (e) 4.40 438 4.12 370 0.92 (e) 4.06 967 0.15 1 0.90+ 6.14+ 160
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 139 PIMCO Financial Highlights A, B, and C Classes (Cont.)
Dividends Net Realized / from Net Asset Value Unrealized Gain Total Income Net Beginning of Net Investment (Loss) on from Investment Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investment Operations Income --------------- -------------- --------------- --------------- ---------- Real Return Fund (cont) Class B 09/30/2001 * $10.40 $ 0.21 (a) $ 0.19 (a) $ 0.40 $ (0.29) 03/31/2001 9.92 0.64 (a) 0.60 (a) 1.24 (0.68) 03/31/2000 9.83 0.57 (a) 0.11 (a) 0.68 (0.57) 03/31/1999 9.77 0.37 (a) 0.12 (a) 0.49 (0.38) 03/31/1998 9.93 0.33 (a) 0.03 (a) 0.36 (0.36) 01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) Class C 09/30/2001 * 10.40 0.24 (a) 0.18 (a) 0.42 (0.31) 03/31/2001 9.92 0.68 (a) 0.59 (a) 1.27 (0.71) 03/31/2000 9.83 0.58 (a) 0.12 (a) 0.70 (0.59) 03/31/1999 9.77 0.44 (a) 0.08 (a) 0.52 (0.40) 03/31/1998 9.93 0.35 (a) 0.04 (a) 0.39 (0.38) 01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) Short-Term Fund Class A 09/30/2001 * $10.03 $ 0.20 (a) $ 0.07 (a) $ 0.27 $ (0.24) 03/31/2001 9.95 0.60 (a) 0.10 (a) 0.70 (0.60) 03/31/2000 10.03 0.55 (a) (0.09)(a) 0.46 (0.54) 03/31/1999 10.06 0.53 (a) (0.02)(a) 0.51 (0.53) 03/31/1998 10.00 0.55 (a) 0.09 (a) 0.64 (0.56) 01/20/1997 - 03/31/1997 10.04 0.10 (0.03) 0.07 (0.10) Class B 09/30/2001 * 10.03 0.20 (a) 0.03 (a) 0.23 (0.20) 03/31/2001 9.95 0.53 (a) 0.10 (a) 0.63 (0.53) 03/31/2000 10.03 0.48 (a) (0.09)(a) 0.39 (0.47) 03/31/1999 10.06 0.45 (a) (0.02)(a) 0.43 (0.45) 03/31/1998 10.00 0.50 (a) 0.08 (a) 0.58 (0.50) 01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10) Class C 09/30/2001 * 10.03 0.19 (a) 0.06 (a) 0.25 (0.22) 03/31/2001 9.95 0.57 (a) 0.10 (a) 0.67 (0.57) 03/31/2000 10.03 0.52 (a) (0.09)(a) 0.43 (0.51) 03/31/1999 10.06 0.50 (a) (0.02)(a) 0.48 (0.50) 03/31/1998 10.00 0.54 (a) 0.07 (a) 0.61 (0.53) 01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10) StocksPLUS Fund Class A 09/30/2001 * $10.10 $ (0.04)(a) $ (0.92)(a) $ (0.96) $ (0.10) 03/31/2001 14.06 (0.01)(a) (2.80)(a) (2.81) (0.24) 03/31/2000 14.26 1.05 (a) 1.27 (a) 2.32 (1.04) 03/31/1999 14.06 0.93 (a) 1.29 (a) 2.22 (0.78) 03/31/1998 11.46 1.66 (a) 3.41 (a) 5.07 (1.38) 01/20/1997 - 03/31/1997 11.91 (0.10) (0.20) (0.30) (0.15) Class B 09/30/2001 * 9.98 (0.06)(a) (0.91)(a) (0.97) (0.09) 03/31/2001 13.96 (0.09)(a) (2.79)(a) (2.88) (0.19) 03/31/2000 14.18 0.90 (a) 1.30 (a) 2.20 (0.94) 03/31/1999 14.01 0.84 (a) 1.26 (a) 2.10 (0.69) 03/31/1998 11.44 1.61 (a) 3.35 (a) 4.96 (1.30) 01/20/1997 - 03/31/1997 11.91 (0.13) (0.20) (0.33) (0.14)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.85%. (c) Ratio of expenses to average net assets excluding interest expense is 1.60%. (d) Ratio of expenses to average net assets excluding interest expense is 1.15%. 140 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions Excess of Net from Net Excess of Net Investment Realized Capital Realized Capital Total Net Asset Value Income Gains Gains Distributions End of Period - ---------------------------------------------------------------------------------------------------------------- $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.51 0.00 (0.08) 0.00 (0.76) 10.40 0.00 (0.02) 0.00 (0.59) 9.92 (0.05) 0.00 0.00 (0.43) 9.83 (0.02) (0.14) 0.00 (0.52) 9.77 0.00 0.00 0.00 (0.06) 9.93 0.00 0.00 0.00 (0.31) 10.51 0.00 (0.08) 0.00 (0.79) 10.40 0.00 (0.02) 0.00 (0.61) 9.92 (0.06) 0.00 0.00 (0.46) 9.83 (0.03) (0.14) 0.00 (0.55) 9.77 0.00 0.00 0.00 (0.06) 9.93 $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.06 0.00 0.00 (0.02) (0.62) 10.03 0.00 0.00 0.00 (0.54) 9.95 0.00 0.00 (0.01) (0.54) 10.03 (0.01) (0.01) 0.00 (0.58) 10.06 (0.01) 0.00 0.00 (0.11) 10.00 0.00 0.00 0.00 (0.20) 10.06 0.00 0.00 (0.02) (0.55) 10.03 0.00 0.00 0.00 (0.47) 9.95 0.00 0.00 (0.01) (0.46) 10.03 (0.01) (0.01) 0.00 (0.52) 10.06 0.00 0.00 0.00 (0.10) 10.00 0.00 0.00 0.00 (0.22) 10.06 0.00 0.00 (0.02) (0.59) 10.03 0.00 0.00 0.00 (0.51) 9.95 0.00 0.00 (0.01) (0.51) 10.03 (0.01) (0.01) 0.00 (0.55) 10.06 0.00 0.00 0.00 (0.10) 10.00 $ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 9.04 0.00 0.00 (0.91) (1.15) 10.10 0.00 (0.97) (0.51) (2.52) 14.06 0.00 (1.24) 0.00 (2.02) 14.26 0.00 (1.09) 0.00 (2.47) 14.06 0.00 0.00 0.00 (0.15) 11.46 0.00 0.00 0.00 (0.09) 8.92 0.00 0.00 (0.91) (1.10) 9.98 0.00 (0.97) (0.51) (2.42) 13.96 0.00 (1.24) 0.00 (1.93) 14.18 0.00 (1.09) 0.00 (2.39) 14.01 0.00 0.00 0.00 (0.14) 11.44 Ratio of Net Ratio of Investment Expenses to Income (Loss) Net Assets End Average Net to Average Portfolio Total Return of Period (000s) Assets Net Assets Turnover Rate - ------------------------------------------------------------------------------------------------------- $ 3.94 $ 223,031 1.65%+ 4.07%+ 29% 13.12 54,875 1.69 (e) 6.33 202 7.16 11,463 1.68 (e) 5.82 253 5.19 3,646 1.68 (e) 3.72 438 3.50 1,496 1.67 (e) 3.32 967 (0.08) 509 1.59+ 3.43+ 160 4.07 270,874 1.40+ 4.50+ 29 13.42 81,407 1.44 (f) 6.69 202 7.40 17,336 1.43 (f) 5.90 253 5.46 2,534 1.43 (f) 4.49 438 3.73 490 1.42 (f) 3.56 967 (0.07) 148 1.62+(f) 5.13+ 160 $ 2.70% $ 458,984 1.02%+(b) 3.98%+ 77% 7.23 84,342 1.41 (b) 6.03 121 4.76 75,671 1.03 (b) 5.45 38 5.21 80,787 0.85 5.15 47 6.64 24,182 0.85 5.48 48 0.66 2,533 0.86+(b) 5.07+ 77 2.33 8,505 1.87+(c) 3.96+ 77 6.44 6,954 2.15 (c) 5.28 121 4.00 6,694 1.80 (c) 4.77 38 4.43 3,813 1.60 4.45 47 5.96 1,258 1.60 4.97 48 0.58 114 1.62+(c) 4.83+ 77 2.54 121,695 1.34+(d) 3.71+ 77 6.91 23,961 1.70 (d) 5.72 121 4.45 18,935 1.34 (d) 5.17 38 4.91 15,589 1.15 4.92 47 6.33 6,763 1.15 5.33 48 0.63 1,359 1.14+ 4.78+ 77 $ (9.62)% $ 94,941 1.05%++ (0.77)% 225% (21.31) 108,332 1.05 (0.05) 270 17.26 160,847 1.05 7.21 92 17.07 148,748 1.05 6.66 81 47.07 62,970 1.05 13.34 30 (2.59) 5,790 1.10+(g) (10.69)+ 47 (9.89) 196,051 1.80+ (1.24)+ 225 (21.91) 240,913 1.80 (0.74) 270 16.40 374,171 1.80 6.27 92 16.21 281,930 1.80 6.05 81 46.11 99,039 1.80 12.60 30 (2.81) 8,281 1.88+(h) (15.13)+ 47
(e) Ratio of expenses to average net assets excluding interest expense is 1.65%. (f) Ratio of expenses to average net assets excluding interest expense is 1.40%. (g) Ratio of expenses to average net assets excluding interest expense is 1.05%. (h) Ratio of expenses to average net assets excluding interest expense is 1.80%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 141 PIMCO Financial Highlights A, B, and C Classes (Cont.)
Net Realized/ Total Income Net Asset Value Unrealized Gain from Dividends from Beginning of Net Investment (Loss) on Investment Net Investment Selected Per Share Data for the Year or Period Ended: Period Income (Loss) Investments Operations Income ---------------- --------------- ---------------- ------------- --------------- StocksPLUS Fund (cont) Class C 09/30/2001 * $ 10.03 $ (0.06)(a) $ (0.91)(a) $ (0.97) $ (0.09) 03/31/2001 14.00 (0.07)(a) (2.79)(a) (2.86) (0.20) 03/31/2000 14.21 0.94 (a) 1.30 (a) 2.24 (0.97) 03/31/1999 14.03 0.86 (a) 1.28 (a) 2.14 (0.72) 03/31/1998 11.45 1.64 (a) 3.35 (a) 4.99 (1.32) 01/20/1997 - 03/31/1997 11.91 (0.12)(a) (0.20)(a) (0.32) (0.14) Strategic Balanced Fund Class A 09/30/2001 * $ 10.42 $ 0.15 (a) $ (0.50)(a) $ (0.35) $ (0.13) 03/31/2001 12.74 0.89 (a) (1.90)(a) (1.01) (0.62) 05/28/1999 -03/31/2000 12.80 0.64 (a) 0.48 (a) 1.12 (0.72) Class B 09/30/2001 * 10.40 0.11 (a) (0.51)(a) (0.40) (0.09) 03/31/2001 12.72 0.81 (a) (1.90)(a) (1.09) (0.54) 05/28/1999 -03/31/2000 12.80 0.60 (a) 0.45 (a) 1.05 (0.67) Class C 09/30/2001 * 10.37 0.11 (a) (0.50)(a) (0.39) (0.09) 03/31/2001 12.70 0.82 (a) (1.92)(a) (1.10) (0.54) 05/28/1999 -03/31/2000 12.80 0.61 (a) 0.42 (a) 1.03 (0.67) Total Return Fund Class A 09/30/2001 * $ 10.52 $ 0.26 (a) $ 0.36 (a) $ 0.62 $ (0.27) 03/31/2001 9.96 0.62 (a) 0.56 (a) 1.18 (0.60) 03/31/2000 10.36 0.58 (a) (0.40)(a) 0.18 (0.56) 03/31/1999 10.62 0.58 (a) 0.16 (a) 0.74 (0.58) 03/31/1998 10.27 0.58 (a) 0.63 (a) 1.21 (0.57) 01/13/1997 - 03/31/1997 10.40 0.12 (0.12) 0.00 (0.13) Class B 09/30/2001 * 10.52 0.22 (a) 0.36 (a) 0.58 (0.23) 03/31/2001 9.96 0.54 (a) 0.57 (a) 1.11 (0.54) 03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48) 03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 03/31/1998 10.27 0.50 (a) 0.63 (a) 1.13 (0.50) 01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) Class C 09/30/2001 * 10.52 0.22 (a) 0.36 (a) 0.58 $ (0.23) 03/31/2001 9.96 0.54 (a) 0.57 (a) 1.11 (0.54) 03/31/2000 10.36 0.51 (a) (0.41)(a) 0.10 (0.48) 03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 03/31/1998 10.27 0.51 (a) 0.63 (a) 1.14 (0.51) 01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) Total Return Mortgage Fund Class A 09/30/2001 * $ 10.42 $ 0.23 (a) $ 0.37 (a) $ 0.60 (0.24) 07/31/2000 - 03/31/2001 10.02 0.39 (a) 0.57 (a) 0.96 (0.38) Class B 09/30/2001 * 10.42 0.19 (a) 0.41 (a) 0.60 (0.24) 07/31/2000 - 03/31/2001 10.02 0.34 (a) 0.59 (a) 0.93 (0.35) Class C 09/30/2001 * 10.42 0.19 (a) 0.37 (a) 0.56 (0.20) 07/31/2000 - 03/31/2001 10.02 0.34 (a) 0.61 (a) 0.95 (0.37)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. 142 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions Ratio of Excess of Net from Net in Excess of Expenses to Investment Realized Net Realized Total Net Asset Value Net Assets End Average Net Income Capital Gains Capital Gains Distributions End of Period Total Return of Period (000s) Assets - ---------------------------------------------------------------------------------------------------------------------------------- $ 0.00 $ 0.00 $ 0.00 $ (0.09) $ 8.97 $ (9.79)% $ 178,328 $ 1.55%+ 0.00 0.00 (0.91) (1.11) 10.03 (21.66) 207,945 1.55 0.00 (0.97) (0.51) (2.45) 14.00 16.69 311,942 1.55 0.00 (1.24) 0.00 (1.96) 14.21 16.48 245,088 1.55 0.00 (1.09) 0.00 (2.41) 14.03 46.38 96,960 1.55 0.00 0.00 0.00 (0.14) 11.45 (2.71) 11,254 1.65+(e) $ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.94 $ (3.40)% $ 3,564 $ 0.65%+ 0.00 0.00 (0.69) (1.31) 10.42 (8.58) 3,660 0.86 (b) (0.15) (0.31) 0.00 (1.18) 12.74 9.34 4,468 1.05+ 0.00 0.00 0.00 (0.09) 9.91 (3.87) 8,072 1.40+ 0.00 0.00 (0.69) (1.23) 10.40 (9.28) 8,484 1.57 (b) (0.15) (0.31) 0.00 (1.13) 12.72 8.61 11,604 1.80+ 0.00 0.00 0.00 (0.09) 9.89 (3.77) 14,700 1.40+ 0.00 0.00 (0.69) (1.23) 10.37 (9.32) 14,004 1.58 (b) (0.15) (0.31) 0.00 (1.13) 12.70 8.47 13,116 1.80+ $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.87 5.97% $3,908,906 0.90%+ (0.02) 0.00 0.00 (0.62) 10.52 12.27 3,061,033 0.96 (d) (0.02) 0.00 0.00 (0.58) 9.96 1.85 1,947,405 1.01 (d) 0.00 (0.24) (0.18) (1.00) 10.36 7.09 1,140,606 0.90 (0.02) (0.27) 0.00 (0.86) 10.62 12.11 533,893 0.90 0.00 0.00 0.00 (0.13) 10.27 0.02 115,742 0.91+(d) 0.00 0.00 0.00 (0.23) 10.87 5.58 1,372,647 1.65+ (0.01) 0.00 0.00 (0.55) 10.52 11.44 975,823 1.70 (c) (0.02) 0.00 0.00 (0.50) 9.96 1.08 654,104 1.76 (c) 0.00 (0.24) (0.18) (0.92) 10.36 6.28 549,478 1.65 (0.01) (0.27) 0.00 (0.78) 10.62 11.26 186,932 1.65 0.00 0.00 0.00 (0.12) 10.27 (0.10) 74,130 1.67+(c) 0.00 0.00 0.00 (0.23) 10.87 5.58 1,532,148 1.65+ (0.01) 0.00 0.00 (0.55) 10.52 11.44 1,103,702 1.71 (c) (0.02) 0.00 0.00 (0.50) 9.96 1.09 720,199 1.75 (c) 0.00 (0.24) (0.18) (0.92) 10.36 6.29 715,201 1.65 (0.01) (0.27) 0.00 (0.79) 10.62 11.28 405,037 1.65 0.00 0.00 0.00 (0.12) 10.27 (0.11) 329,104 1.67+(c) $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.78 5.83% $ 9,550 0.90%+ 0.00 (0.18) 0.00 (0.56) 10.42 10.58 769 0.90+ 0.00 0.00 0.00 (0.24) 10.78 5.42 3,306 1.65+ 0.00 (0.18) 0.00 (0.53) 10.42 9.95 816 1.65+ 0.00 0.00 0.00 (0.20) 10.78 5.43 5,239 1.65+ 0.00 (0.18) 0.00 (0.55) 10.42 9.94 1,908 1.65+ Ratio of Net Dividends in Investment Excess of Net Income (Loss) Investment to Average Portfolio Income Net Asset Turnover Rate - -------------------------------------------------- $ 0.00 (1.23)%+ 225% 0.00 (0.59) 270 0.00 6.47 92 0.00 6.19 81 0.00 12.85 30 0.00 (12.79)+ 47 $ 0.00 2.87%+ 11% 0.00 7.44 651 (0.15) 5.99+ 176 0.00 2.11+ 11 0.00 6.59 651 (0.15) 5.61+ 176 0.00 2.08+ 11 0.00 6.76 651 (0.15) 5.66+ 176 $ 0.00 5.01%+ 256% (0.02) 6.08 450 (0.02) 5.79 223 0.00 5.37 154 (0.02) 5.46 206 0.00 6.08+ 173 0.00 4.23+ 256 (0.01) 5.33 450 (0.02) 5.01 223 0.00 4.55 154 (0.01) 4.74 206 0.00 5.28+ 173 0.00 4.23+ 256 (0.01) 5.34 450 (0.02) 5.01 223 0.00 4.63 154 (0.01) 4.83 206 0.00 5.32+ 173 $ 0.00 4.33%+ 644% 0.00 5.68+ 848 0.00 3.52+ 644 0.00 4.89+ 848 0.00 3.57+ 644 0.00 4.49+ 848
(b) Effective September 29, 2000, the Strategic Balanced Fund did not incur advisory fee expenses. (c) Ratio of expenses to average net assets excluding interest expense is 1.65%. (d) Ratio of expenses to average net assets excluding interest expense is 0.90%. (e) Ratio of expenses to average net assets excluding interest expense is 1.55%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 143 PIMCO Statements of Assets and Liabilities A, B, and C Classes September 30, 2001 (Unaudited)
California Intermediate California Emerging Amounts in thousands, Municipal Municipal Convertible Markets Bond Foreign Bond except per share amounts Bond Fund Bond Fund Fund Fund Fund ------------ ---------- ------------ ------------ ------------ Assets: Investments, at value $ 102,974 $ 15,025 $ 42,407 $ 75,320 $ 1,255,354 Cash and foreign currency 0 1 1,405 3,148 19,278 Receivable for investments and foreign currency sold 0 0 1,498 12,590 230,859 Receivable for Fund shares sold 301 1 1 84 1,925 Interest and dividends receivable 1,347 147 171 1,784 18,371 Variation margin receivable 7 5 0 0 176 Other assets 0 0 1 1 5,635 104,629 15,179 45,483 92,927 1,531,598 ====================================================== =========== ========== ========= ========= ============ Liabilities: Payable for investments and foreign currency purchased $ 2,738 $ 0 $ 2,135 $ 14,641 $ 316,208 Payable for financing transactions 0 0 0 11,857 326,983 Payable for short sale 0 0 0 0 123,958 Notes payable 0 0 0 0 0 Due to custodian 78 0 0 0 0 Written options outstanding 0 0 0 0 2,854 Payable for Fund shares redeemed 499 0 85 28 3,118 Dividends payable 12 1 0 47 278 Accrued investment advisory fee 20 3 13 26 136 Accrued administration fee 21 3 11 24 168 Accrued distribution fee 0 0 9 4 44 Accrued servicing fee 6 0 4 1 39 Variation margin payable 14 0 0 0 37 Recoupment payable to Manager 2 0 1 0 0 Other liabilities 0 1 0 59 2,766 3,390 8 2,258 26,687 776,589 ====================================================== =========== ========== ========= ========= ============ Net Assets $ 101,239 $ 15,171 $ 43,225 $ 66,240 $ 755,009 ====================================================== =========== ========== ========= ========= ============ Net Assets Consist of: Paid in capital $ 93,213 $ 14,153 $ 67,784 $ 61,889 $ 753,250 Undistributed (overdistributed) net investment income 1,397 173 (1,520) 1,215 (885) Accumulated undistributed net realized gain (loss) 1,360 283 (18,512) 3,656 6,206 Net unrealized appreciation (depreciation) 5,269 562 (4,527) (520) (3,562) $ 101,239 $ 15,171 $ 43,225 $ 66,240 $ 755,009 =========== ========== ========= ========= ============ Net Assets: Class A $ 28,990 $ 956 $ 5,201 $ 2,659 $ 100,403 Class B 0 0 5,649 2,828 32,171 Class C 0 0 10,261 1,538 41,438 Other Classes 72,249 14,215 22,114 59,215 580,997 Shares Issued and Outstanding: Class A 2,687 90 506 306 9,625 Class B 0 0 553 326 3,084 Class C 0 0 1,002 177 3,973 Net Asset Value and Redemption Price* Per Share (Net Assets Per Sharpe Outstanding) Class A $ 10.79 $ 10.66 $ 10.28 $ 8.68 $ 10.43 Class B 0.00 0.00 10.21 8.68 10.43 Class C 0.00 0.00 10.24 8.68 10.43 Cost of Investments Owned $ 97,549 $ 14,483 $ 46,997 $ 76,100 $ 1,260,131 ====================================================== =========== ========== ========= ========= ============ Cost of Foreign Currency Held $ 0 $ 0 $ 903 $ 0 $ 15,042 ====================================================== =========== ========== ========= ========= ============
*With respect to the Retail Classes, the redemption price varies by the length of time the shares are held. 144 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Long-Term U.S. New York Global Bond High Yield Government Low Duration Money Market Municipal Municipal Real Return Fund II GNMA Fund Fund Fund Fund Fund Bond Fund Bond Fund Fund - ----------------------------------------------------------------------------------------------------------------------------------- $ 112,703 $ 59,915 $ 2,958,925 $ 622,488 $ 7,534,221 $ 409,770 $ 115,800 $ 4,947 $ 2,928,772 2,898 0 2,330 0 8,296 8,965 0 1 0 880 0 31,157 105,849 427,170 0 0 0 19,336 85 3,270 9,102 9,929 35,424 1,445 260 0 60,658 1,848 136 59,700 5,458 50,403 838 1,420 78 30,183 12 0 0 410 0 0 7 0 5 4 0 0 52 4,323 0 1 2 3 118,430 63,321 3,061,214 744,186 8,059,837 421,018 117,488 5,028 3,038,957 =========== ========== ============ ============= ============== ============= ============ ========== ============ $ 9,345 $ 20,896 $ 87,640 $ 0 $ 2,492,577 $ 0 $ 7,923 $ 0 $ 45,759 26,550 0 0 153,077 8,655 0 0 0 1,031,191 0 0 0 0 424,796 0 0 0 0 0 0 0 0 0 0 0 0 0 0 735 0 21,905 0 0 69 0 8,317 309 0 0 172 65 0 0 0 0 6 189 7,925 1,465 21,199 4,994 184 0 5,901 26 12 5,729 368 2,594 27 94 2 132 15 5 566 99 922 44 20 1 333 16 7 690 122 775 82 25 1 439 7 0 522 74 169 27 23 0 212 3 5 207 39 131 20 12 0 176 0 0 0 0 0 0 14 0 132 0 0 0 0 0 0 0 0 0 914 16 0 4,615 540 0 0 0 2,481 37,191 21,865 103,279 181,936 2,952,423 5,194 8,364 4 1,095,073 =========== ========== ============ ============= ============== ============= ============ ========== ============ $ 81,239 $ 41,456 $ 2,957,935 $ 562,250 $ 5,107,414 $ 415,824 $ 109,124 $ 5,024 $ 1,943,884 =========== ========== ============ ============= ============== ============= ============ ========== ============ $ 80,528 $ 40,333 $ 3,634,247 $ 541,250 $ 5,052,058 $ 415,804 $ 104,416 $ 4,749 $ 1,894,777 (39) 312 (2,107) 33 571 (41) 18 66 65 371 418 (367,330) 5,229 (15,229) 61 1,320 139 5,889 379 393 (306,875) 15,738 70,014 0 3,370 70 43,153 $ 81,239 $ 41,456 $ 2,957,935 $ 562,250 $ 5,107,414 $ 415,824 $ 109,124 $ 5,024 $ 1,943,884 =========== ========== ============ ============= ============== ============= ============ ========== ============ $ 3,907 $ 5,956 $ 295,186 $ 107,838 $ 417,930 $ 61,716 $ 15,968 $ 1,462 $ 299,468 5,709 3,290 351,454 67,911 123,972 48,767 11,988 0 223,031 6,742 4,768 390,114 42,948 186,865 116,829 38,008 0 270,874 64,881 27,442 1,921,181 343,553 4,378,647 188,512 43,160 3,562 1,150,511 =========== ========== ============ ============= ============== ============= ============ ========== ============ 400 552 32,091 9,872 40,969 61,716 1,562 135 28,506 584 305 38,208 6,216 12,153 48,767 1,173 0 21,231 690 442 42,411 3,931 18,318 116,829 3,719 0 25,785 $ 9.77 $ 10.79 $ 9.20 $ 10.92 $ 10.20 $ 1.00 $ 10.22 $ 10.82 10.51 9.77 10.79 9.20 10.92 10.20 1.00 10.22 0.00 10.51 9.77 10.79 9.20 10.92 10.20 1.00 10.22 0.00 10.51 $ 112,367 $ 59,519 $ 3,265,840 $ 605,614 $ 7,464,456 $ 409,770 $ 112,266 $ 4,876 $ 2,885,433 =========== ========== ============ ============= ============== ============= ============ ========== ============ $ 55,834 $ 0 $ 2,593 $ 0 $ 5,302 $ 0 $ 0 $ 0 $ 2,158 =========== ========== ============ ============= ============== ============= ============ ========== ============
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 145 PIMCO Statements of Assets and Liabilities A, B, and C Classes (Cont.) September 30, 2001 (Unaudited)
Strategic Total Return Amounts in thousands, Short-Term StocksPLUS Balanced Total Return Mortgage except per share amounts Fund Fund Fund Fund Fund -------------------------------------------------------------------------- Assets: Investments, at value $ 1,588,816 $ 1,276,980 $ 73,604 $ 65,289,982 $ 79,545 Cash and foreign currency 883 6,971 76 255,965 0 Receivable for investments and foreign currency sold 178,118 6,494 0 1,766,079 29,839 Receivable for Fund shares sold 19,701 2,745 92 277,365 803 Interest and dividends receivable 9,356 6,984 110 466,336 188 Variation margin receivable 3 13,882 0 578 0 Other assets 0 8 0 180,684 1 1,796,877 1,314,064 73,882 68,236,989 110,376 ======================================================= ============= ============= ========== ============== ========== Liabilities: Payable for investments and foreign currency $ 10,093 $ 404,802 $ 184 $ 18,657,782 $ 63,833 purchased Payable for financing transactions 177,775 0 0 892,867 0 Payable for short sale 89,613 0 0 0 0 Notes payable 32,573 18,581 0 0 0 Due to custodian 0 0 0 0 518 Written options outstanding 0 28 0 35,836 0 Payable for Fund shares redeemed 11,015 885 25 172,581 6 Dividends payable 778 17 0 30,679 12 Accrued investment advisory fee 262 265 0 8,809 8 Accrued administration fee 275 220 10 7,438 11 Accrued distribution fee 38 187 13 2,841 0 Accrued servicing fee 113 90 5 1,299 9 Variation margin payable 0 47 0 317 0 Other liabilities 1,303 10,692 0 24,970 0 323,838 435,814 237 19,835,419 64,397 ======================================================= ============= ============= ========== ============== ========== Net Assets $ 1,473,039 $ 878,250 $ 73,645 $ 48,401,570 $ 45,979 ======================================================= ============= ============= ========== ============== ========== Net Assets Consist of: Paid in capital $ 1,468,611 $ 1,297,722 $ 89,862 $ 46,287,651 $ 43,593 Undistributed (overdistributed) net investment (1,519) (40,594) 646 159,058 383 income Accumulated undistributed net realized gain (loss) 4,086 (304,884) (2,901) 622,072 988 Net unrealized appreciation (depreciation) 1,861 (73,994) (13,962) 1,332,789 1,015 $ 1,473,039 $ 878,250 $ 73,645 $ 48,401,570 $ 45,979 Net Assets: Class A $ 458,984 $ 94,941 $ 3,564 $ 3,908,906 $ 9,550 Class B 8,505 196,051 8,072 1,372,647 3,306 Class C 121,695 178,328 14,700 1,532,148 5,239 Other Classes 883,855 408,930 47,309 41,587,869 27,884 Shares Issued and Outstanding: Class A 45,627 10,499 359 359,502 886 Class B 845 21,981 814 126,242 307 Class C 12,098 19,890 1,486 140,911 486 Net Asset Value and Redemption Price* Per Share (Net Assets Per Share Outstanding) Class A $ 10.06 $ 9.04 $ 9.94 $ 10.87 $ 10.78 Class B 10.06 8.92 9.91 10.87 10.78 Class C 10.06 8.97 9.89 10.87 10.78 Cost of Investments Owned $ 1,584,046 $ 1,271,983 $ 87,566 $ 64,310,780 $ 78,490 ======================================================= ============= ============= ========== ============== ========== Cost of Foreign Currency Held $ 1,067 $ 6,743 $ 0 $ 236,261 $ 0 ======================================================= ============= ============= ========== ============== ==========
*With respect to the Retail Classes, the redemption price varies by the length of time the shares are held. 146 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Statements of Operations A, B, and C Classes September 30, 2001 (Unaudited)
California Intermediate California Emerging Amounts in thousands Municipal Municipal Convertible Markets Bond Foreign Bond Bond Fund Bond Fund Fund Fund Fund ------------ --------- ------------ ------------ ------------ Investment Income: Interest $ 2,693 $ 312 $ 146 $ 3,528 $ 18,461 Dividends, net of foreign taxes 0 0 474 0 256 Miscellaneous income 0 0 0 0 0 Total Income 2,693 312 620 3,528 18,717 ======================================================= ============ ========= ============ ============ ============ Expenses: Investment advisory fees 131 17 104 160 869 Administration fees 141 17 84 146 1,060 Distribution fees - Class A 0 0 0 0 0 Distribution fees - Class B 0 0 23 8 112 Distribution fees - Class C 0 0 49 4 142 Servicing fees - Class A 35 1 8 2 114 Servicing fees - Class B 0 0 8 3 36 Servicing fees - Class C 0 0 16 1 48 Distribution and/or servicing fees - Other Classes 2 0 0 10 62 Trustees' fees 0 0 0 0 2 Interest expense 3 0 28 62 46 Miscellaneous expense 0 0 0 0 0 Recoupment to Manager 3 0 1 0 0 Total Expenses 315 35 321 396 2,491 Net Investment Income (Loss) 2,378 277 299 3,132 16,226 ======================================================= ============ ========= ============ ============ ============ Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 822 3 (9,472) 3,988 2,187 Net realized gain on futures contracts and written options 606 269 0 0 9,856 Net realized gain (loss) on foreign currency transactions 0 0 (56) 154 2,132 Net change in unrealized appreciation (depreciation) on investments 328 106 3,700 (1,548) 14,986 Net change in unrealized appreciation (depreciation) on futures contracts and written options (257) 28 0 0 (23) Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 0 0 (81) 87 (21,268) Net Gain (Loss) 1,499 406 (5,909) 2,681 7,870 Net Increase (Decrease) in Assets Resulting from Operations $ 3,877 $ 683 $ (5,610) $ 5,813 $ 24,096 ======================================================= ============ ========= ============ ============ ============
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 147 PIMCO Statements of Operations A, B, and C Classes (Cont.) September 30, 2001 (Unaudited)
Long-Term U.S. Global Bond High Yield Government Low Duration Amounts in thousands Fund II GNMA Fund Fund Fund Fund ----------- --------- ---------- ------------- ------------ Investment Income: Interest $ 2,007 $ 469 $ 125,555 $ 17,159 $ 152,748 Dividends, net of foreign taxes 28 0 3,940 0 3,141 Miscellaneous income 0 0 123 0 0 Total Income 2,035 469 129,618 17,159 155,889 ======================================================== =========== ========= ========== ============= ============ Expenses: Investment advisory fees 96 18 3,589 616 6,046 Administration fees 126 19 4,382 758 4,971 Distribution fees - Class A 0 0 0 0 0 Distribution fees - Class B 20 0 1,297 222 371 Distribution fees - Class C 21 0 1,446 141 349 Servicing fees - Class A 4 2 355 113 393 Servicing fees - Class B 7 2 432 74 124 Servicing fees - Class C 7 3 482 47 175 Distribution and/or servicing fees - Other Classes 0 0 681 91 264 Trustees' fees 0 0 10 2 16 Interest Expense 2 7 0 36 51 Miscellaneous 0 0 0 0 0 Total expenses 283 51 12,674 2,100 12,760 Net Investment Income (Loss) 1,752 418 116,944 15,059 143,129 ======================================================== =========== ========= ========== ============= ============ Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 424 424 (67,216) 6,796 37,120 - -------------------------------------------------------- Net realized gain (loss) on futures contracts and written options 1,362 0 0 1,079 427 - -------------------------------------------------------- Net realized gain (loss) on foreign currency transactions (519) 0 32 0 (5,033) - -------------------------------------------------------- Net change in unrealized appreciation (depreciation) on investments 2,409 189 (141,253) 717 45,455 - -------------------------------------------------------- Net change in unrealized appreciation (depreciation) on futures contracts and written options (37) 0 0 5,181 2,134 - -------------------------------------------------------- Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies (2,331) 0 (5) 0 2,158 Net Gain (Loss) 1,308 613 (208,442) 13,773 82,261 Net Increase (Decrease) in Assets Resulting from Operations $ 3,060 $ 1,031 $ (91,498) $ 28,832 $ 225,390 ======================================================== =========== ========== ========== ============= ============
148 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
New York Strategic Total Return Money Market Municipal Municipal Real Return Short-Term StocksPLUS Balanced Total Return Mortgage Fund Bond Fund Bond Fund Fund Fund Fund Fund Fund Fund - ------------ --------- ----------- ------------ ------------ ---------- -------- ------------ ----------- $ 7,473 $ 2,551 $ 111 $ 41,833 $ 25,684 $ 1,443 $ 18 $ 1,320,521 $ 953 0 0 0 8 0 413 1,340 18,735 0 3 0 0 0 0 0 2 0 1 7,476 2,551 111 41,841 25,684 1,856 1,360 1,339,256 954 ============ ========= =========== ============ ============ =========== ========= ============ =========== 269 119 6 1,633 1,162 2,049 0 55,857 44 505 148 6 2,075 1,150 1,702 69 46,740 55 0 0 0 0 0 0 0 0 0 134 37 0 438 25 891 33 4,295 0 0 83 0 377 79 526 56 4,799 0 27 16 0 220 286 138 5 4,246 8 45 12 0 146 8 297 11 1,432 10 53 41 0 189 65 263 19 1,600 15 15 11 0 257 53 54 2 8,023 4 1 0 0 3 2 4 0 140 0 0 0 0 45 1,143 33 0 333 0 0 0 0 0 0 0 0 4 0 1,049 467 12 5,383 3,973 5,957 195 127,469 136 6,427 2,084 99 36,458 21,711 (4,101) 1,165 1,211,787 818 ============ ========= =========== ============ ============ =========== ========= ============ =========== 61 268 17 8,536 3,969 7,855 (671) 471,955 989 0 689 93 (157) 983 (42,404) 0 265,454 0 0 0 0 (1,704) 2 949 85 (67,222) 0 0 1,106 (44) 7,380 (1,066) 2,733 (3,060) 703,720 387 0 (164) 0 969 112 (51,730) 0 182,887 0 0 0 0 974 (7) (4,084) (98) 7,146 0 61 1,899 66 15,998 3,993 (86,681) (3,744) 1,563,940 1,376 $ 6,488 $ 3,983 $ 165 $ 52,456 $ 25,704 $ (90,782) $ (2,579) $ 2,775,727 $ 2,194 ============ ========= =========== ============ ============ =========== ========= ============ ===========
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 149 PIMCO Statements of Changes in Net Assets A, B, and C Classes
California Amounts in thousands Intermediate Municipal California Municipal Convertible Bond Fund Bond Fund Fund ------------------------- -------------------------- ----------------------- Six Year Six Period Six Year Months Ended Months from Months Ended Ended March 31, Ended May 16, 2000 Ended March 31, Increase (Decrease) in Net Assets from: September 30, Ended 2001 September 30, to March 31, September 30, 2001 2001 2001 2000 2001 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 2,378 $ 4,235 $ 277 $ 441 $ 299 $ (122) Net realized gain (loss) 1,428 1,278 272 544 (9,528) (6,725) Net change in unrealized appreciation (depreciation) 71 5,126 134 428 3,619 (36,112) Net increase (decrease) resulting from operations 3,877 10,639 683 1,413 (5,610) (42,959) ==================================================== ========== ========= ========== ========= ======== ========= Distributions to Shareholders: From net investment income Class A (512) (1,121) (15) (4) (59) (97) Class B 0 0 0 0 (41) (49) Class C 0 0 0 0 (77) (115) Other Classes (1,584) (3,023) (241) (428) (306) (2,107) In excess of net investment income Class A 0 0 0 0 0 0 Class B 0 0 0 0 0 0 Class C 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 From net realized capital gains Class A 0 (100) 0 0 0 0 Class B 0 0 0 0 0 0 Class C 0 0 0 0 0 0 Other Classes 0 (211) 0 (390) 0 0 In excess of net realized capital gains Class A 0 0 0 0 0 (328) Class B 0 0 0 0 0 (297) Class C 0 0 0 0 0 (729) Other Classes 0 0 0 0 0 (5,681) Total Distributions (2,096) (4,455) (256) (822) (483) (9,403) ==================================================== ========== ========= ========== ========= ======== ========= Fund Share Transactions: Receipts for shares sold Class A 7,931 41,939 594 809 1,500 5,137 Class B 0 0 0 0 1,219 5,738 Class C 0 0 0 0 4,016 11,544 Other Classes 24,336 114,297 3,994 21,146 1,297 90,634 Issued as reinvestment of distributions Class A 480 1,122 8 3 49 360 Class B 0 0 0 0 23 170 Class C 0 0 0 0 47 543 Other Classes 1,576 3,117 239 808 273 7,574 Cost of shares redeemed Class A (8,943) (17,618) (382) (110) (2,199) (2,198) Class B 0 0 0 0 (671) (1,077) Class C 0 0 0 0 (5,907) (2,818) Other Classes (44,386) (40,805) (2,366) (10,590) (42,019) (155,586) Net increase (decrease) resulting from Fund share (19,006) 102,052 2,087 12,066 (42,372) (39,979) transactions Total Increase (Decrease) in Net Assets (17,225) 108,236 2,514 12,657 (48,465) (92,341) ==================================================== ========== ========= ========== ========= ======== ========= Net Assets: Beginning of period 118,464 10,228 12,657 0 91,690 184,031 End of period * $ 101,239 $ 118,464 $ 15,171 $ 12,657 $ 43,225 $ 91,690 *Including net undistributed (overdistributed) $ 1,397 $ 1,115 $ 173 $ 152 $ (1,520) $ (1,336) investment income of:
PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Emerging Markets Global Bond GNMA Fund High Yield Bond Fund Foreign Bond Fund II Fund - ------------------------------------------------------------------------------------------------------------------------------------ Six Months Year Six Months Year Ended Six Months Year Six Months Year Ended Six Months Year Ended Ended Ended Ended March 31, Ended Ended Ended Ended September 30, March 31, September 30, March September September March September March 31, 2001 2001 2001 2001 31, 2001 30, 2001 2001 30, 2001 31, 2001 30, 2001 (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 3,132 $ 4,541 $ 16,226 $ 33,316 $ 1,752 $ 4,454 $ 418 $ 543 $ 116,944 $ 246,822 4,142 2,700 14,175 (890) 1,267 2,471 424 286 (67,184) (237,986) (1,461) (658) (6,305) 31,945 41 1,358 189 290 (141,258) 111,594 5,813 6,583 24,096 64,371 3,060 8,283 1,031 1,119 (91,498) 120,430 ======================== =========== ========== =========== ========= =========== ========= ============ ============ (79) (47) (2,016) (3,562) (66) (122) (35) 0 (11,539) (16,909) (92) (119) (549) (1,185) (95) (215) (5) 0 (12,761) (23,255) (44) (44) (701) (1,435) (99) (233) (8) 0 (14,231) (26,108) (3,066) (4,335) (13,056) (26,951) (1,494) (3,875) (361) (510) (78,608) (178,560) 0 0 0 0 0 0 0 0 0 (129) 0 0 0 0 0 0 0 0 0 (178) 0 0 0 0 0 0 0 0 0 (199) 0 0 0 0 0 0 0 0 0 (1,363) 0 0 0 0 0 (14) 0 0 0 0 0 0 0 0 0 (27) 0 0 0 0 0 0 0 0 0 (27) 0 0 0 0 0 0 0 0 0 (379) 0 (54) 0 0 0 (16) 0 (1,472] 0 (57) 0 0 0 0 0 (67) 0 (555) 0 (112) 0 0 0 0 0 (25) 0 (661) 0 (111) 0 0 0 0 0 (2,244) 0 (10,182) 0 (1,552) 0 0 0 0 (3,281) (6,897) (16,322) (46,003) (1,754) (6,724) (409) (564) (117,139) (246,701) ======================== =========== ========== =========== ========= =========== ========= ============ ============ 1,716 1,552 40,963 47,003 1,432 1,250 5,913 10 126,882 215,973 1,237 1,124 5,056 6,565 1,020 1,259 3,277 0 73,836 104,829 862 819 8,035 9,154 1,740 1,310 4,905 0 87,883 157,741 36,073 35,612 108,243 205,439 7 6,935 18,820 9,067 651,382 1,060,499 33 41 1,664 4,276 48 153 31 0 6,786 9,591 41 84 411 1,313 62 236 2 0 4,916 9,305 22 28 566 1,717 67 282 6 0 7,337 13,854 2,951 6,256 11,614 32,854 1,418 5,308 306 530 64,624 156,080 (255) (765) (27,957) (23,163) (376) (990) (85) 0 (80,378) (142,592) (132) (740) (2,384) (4,326) (705) (945) (18) 0 (29,741) (79,244) (154) (295) (2,962) (6,727) (373) (1,750) (188) 0 (50,715) (127,866) (36,284) (13,651) (70,855 (163,157) (500) (35,563) (2,109) (4,496) (338,382) (1,780,150) 6,110 30,065 72,394 110,948 3,840 (22,515) 30,860 5,111 524,430 (401,980) 8,642 29,751 80,168 129,316 5,146 (20,956) 31,482 5,666 315,793 (528,251) ======================== =========== ========== =========== ========= =========== ========= ============ ============ 57,598 27,847 674,841 545,525 76,093 97,049 9,974 4,308 2,642,142 3,170,393 $ 66,240 $ 57,598 $ 755,009 $ 674,841 $ 81,239 $ 76,093 $ 41,456 $ 9,974 $ 2,957,935 $ 2,642,142 $ 1,215 $ 1,525 $ (885) $ (789) $ (39) $ (37) $ 312 $ 303 $ (2,107) $ (1,912)
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 151 PIMCO Statements of Changes in Net Assets A, B, and C Classes (Cont.)
Long-Term U.S. Low Duration Money Market Amounts in thousands Government Fund Fund Fund ------------------------------------------------------------------------------ Six Months Year Ended Six Months Year Six Months Year Ended Ended March 31, Ended Ended Ended March 31, Increase (Decrease) in Net Assets from: September 30, 2001 September March September 2001 2001 30, 2001 31, 2001 30, 2001 (Unaudited) (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 15,059 $ 23,590 $ 143,129 $ 288,496 $ 6,427 $ 23,342 Net realized gain (loss) 7,875 29,583 32,514 17,000 61 0 Net change in unrealized appreciation (depreciation) 5,898 6,314 49,747 80,909 0 0 Net increase (decrease) resulting from operations 28,832 59,487 225,390 386,405 6,488 23,342 ==================================================== ============ ========== ============= ============ ========== ============ Distributions to Shareholders: From net investment income Class A (2,737) (2,965) (8,599) (15,354) (961) (3,696) Class B (1,565) (1,881) (2,332) (4,183) (479) (1,180) Class C (996) (1,204) (3,466) (6,344) (1,907) (5,051) Other Classes (9,785) (17,531) (128,415) (254,225) (3,143) (13,413) In excess of net investment income Class A 0 0 0 (461) 0 0 Class B 0 0 0 (126) 0 0 Class C 0 0 0 (191) 0 0 Other Classes 0 0 0 (7,641) 0 0 From net realized capital gains Class A 0 0 0 0 0 0 Class B 0 0 0 0 0 0 Class C 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 In excess of net realized capital gains Class A 0 0 0 0 0 0 Class B 0 0 0 0 0 0 Class C 0 0 0 0 0 0 Other Classes 0 0 0 0 0 0 Total Distributions (15,083) (23,581) (142,812) (288,525) (6,490) (23,340) ==================================================== ============ ========== ============= ============ ========== ============ Fund Share Transactions: Receipts for shares sold 77,573 65,435 228,961 219,648 222,175 1,564,604 Class A 18,299 29,267 44,839 38,949 29,767 81,175 Class B 13,851 27,453 82,489 48,731 180,384 666,874 Class C 105,182 247,593 1,336,11 2,552,105 104,378 162,115 Other Classes Issued as reinvestment of distributions Class A 2,168 2,067 5,959 11,160 749 2,229 Class B 848 983 1,332 2,484 415 1,015 Class C 594 751 2,279 4,310 1,727 4,389 Other Classes 8,128 14,726 115,318 229,997 3,107 13,305 Cost of shares redeemed Class A (54,304) (34,912) (96,772) (197,995) (220,146) (1,609,628) Class B (7,385) (13,312) (12,570) (27,760) (19,701) (69,411) Class C (8,283) (15,587) (19,565) (46,954) (173,830) (662,190) Other Classes (89,219) (234,568) (1,266,834) (2,319,594) (62,129) (347,072) Net increase (decrease) resulting from Fund share transactions 67,452 89,896 421,547 515,081 66,896 (192,595] Total Increase (Decrease) in Net Assets 81,201 125,802 504,125 612,961 66,894 (192,593) ==================================================== ============ ========== ============ ============ ========== ============ Net Assets: Beginning of period 481,049 355,247 4,603,289 3,990,328 348,930 541,523 End of period * $ 562,250 $ 481,049 $ 5,107,414 $ 4,603,289 $ 415,824 $ 348,930 *Including net undistributed (overdistributed) investment income of: $ 33 $ 57 $ 571 $ 254 $ (41) $ 22
152 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
New York Municipal Municipal Bond Fund Bond Fund Real Return Fund - ---------------------------------- ---------------------------------- ---------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) (Unaudited) $ 2,084 $ 2,679 $ 99 $ 146 $ 36,458 $ 40,196 957 1,298 110 132 6,675 7,571 942 2,568 (44) 122 9,323 30,225 3,983 6,545 165 400 52,456 77,992 ================================== ================================== ================================== (284) (354) (8) (1) (5,024) (2,945) (187) (225) 0 0 (2,780) (1,600) (666) (1,160) 0 0 (3,891) (2,448) (946) (937) (91) (144) (27,908) (33,304) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (410) 0 0 0 0 0 (249) 0 0 0 0 0 (339) 0 0 0 (28) 0 (4,211) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (2,083) (2,676) (99) (173) (39,603) (45,506) ================================== ================================== ================================== 10,254 6,223 1,306 185 230,011 82,016 4,804 5,629 0 0 171,600 46,156 9,668 4,912 0 0 196,879 68,127 18,957 30,520 350 400 573,086 521,572 132 102 7 1 3,683 2,408 82 96 0 0 1,670 1,119 428 775 0 0 2,416 1,523 875 911 83 172 25,830 34,164 (6,010) (4,055) (10) (11) (31,762) (8,866) (1,605) (2,900) 0 0 (6,226) (5,441) (3,270) (5,444) 0 0 (11,305) (7,743) (7,227) (13,085) (830) 0 (123,973) (138,260) 27,088 23,684 906 747 1,031,909 596,775 28,988 27,553 972 974 1,044,762 629,261 ================================== ================================== ================================== 80,136 52,583 4,052 3,078 899,122 269,861 $ 109,124 $ 80,136 $ 5,024 $ 4,052 $ 1,943,884 $ 899,122 $ 18 $ 17 $ 66 $ 66 $ 65 $ 3,210 Short-Term Fund StocksPLUS Fund - ----------------------------------- ----------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) $ 21,711 $ 43,519 $ (4,101) $ (1,627) 4,954 204 (33,600) (179,612) (961) 6,182 (53,081) (108,609) 25,704 49,905 (90,782) (289,848) =================================== =================================== (4,625) (4,951) (1,115) (2,688) (136) (353) (1,984) (4,878) (993) (1,107) (1,892) (4,310) (15,958) (37,088) (4,964) (12,257) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (126) 0 (10,401) 0 (11) 0 (21,799) 0 (31) 0 (18,410) 0 (893) 0 (38,105) (21,712) (44,560) (9,955) (112,848) =================================== =================================== 509,294 90,544 14,149 114,951 2,884 5,009 8,716 44,932 104,323 17,069 14,001 42,342 570,701 571,111 54,226 213,063 3,490 3,540 860 9,885 81 234 1,464 19,868 590 468 1,592 19,135 12,910 29,138 4,831 49,296 (139,409) (86,081) (17,285) (132,114) (1,436) (5,037) (31,880) (99,474) (7,446) (12,670) (23,700) (82,398) (238,108) (676,498) (63,470) (280,102) 817,874 (63,173) (36,496) (80,616) 821,866 (57,828) (137,233) (483,312) =================================== =================================== 651,173 709,001 1,015,483 1,498,795 $ 1,473,039 $ 651,173 $ 878,250 $ 1,015,483 $ (1,519) $ (1,518) $ (40,594) $ (26,538)
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 153 PIMCO Statements of Changes in Net Assets A, B, and C Classes (Cont.)
Strategic Amounts in thousands Balanced Fund Total Return Fund ---------------------------------- ---------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) Operations: Net investment income $ 1,165 $ 5,108 $ 1,211,787 $ 2,324,651 Net realized gain (loss) (586) 1,743 670,187 1,226,362 Net capital gain distributions received from underlying funds 0 1,770 0 0 Net change in unrealized appreciation (depreciation) (3,158) (15,730) 893,753 795,370 Net increase (decrease) resulting from operations (2,579) (7,109) 2,775,727 4,346,383 ================================================================================================================================== Distributions to Shareholders: From net investment income Class A (46) (205) (85,808) (138,209) Class B (74) (466) (24,433) (38,566) Class C (130) (580) (27,332) (42,588) Other Classes (734) (2,983) (1,069,881) (2,047,388) In excess of net investment income Class A 0 0 0 (3,780) Class B 0 0 0 (1,055) Class C 0 0 0 (1,165) Other Classes 0 0 0 (56,002) From net realized capital gains Class A 0 0 0 0 Class B 0 0 0 0 Class C 0 0 0 0 Other Classes 0 0 0 0 In excess of net realized capital gains Class A 0 (220) 0 0 Class B 0 (564) 0 0 Class C 0 (739) 0 0 Other Classes 0 (2,927) 0 0 Total Distributions (984) (8,684) (1,207,454) (2,328,753) ================================================================================================================================== Fund Share Transactions: Receipts for shares sold Class A 519 1,366 1,256,004 1,764,570 Class B 778 1,205 411,603 382,832 Class C 2,307 6,349 474,564 493,040 Other Classes 2,749 4,620 7,615,079 13,706,067 Issued as reinvestment of distributions Class A 39 362 44,706 66,764 Class B 55 784 13,095 21,289 Class C 91 1,030 16,517 25,930 Other Classes 733 5,829 901,314 1,737,051 Cost of shares redeemed Class A (477) (1,761) (578,243) (848,932) Class B (849) (3,157) (71,718) (123,611) Class C (971) (3,895) (111,304) (180,906) Other Classes (2,270) (77,433) (5,643,713) (8,092,604) Net increase (decrease) resulting from Fund share transactions 2,704 (64,701) 4,327,904 8,951,490 Total Increase (Decrease) in Net Assets (859) (80,494) 5,896,177 10,969,120 ================================================================================================================================== Net Assets: Beginning of period 74,504 154,998 42,505,393 31,536,273 End of period * $ 73,645 $ 74,504 $ 48,401,570 $ 42,505,393 *Including net undistributed investment income of: $ 646 $ 465 $ 159,058 $ 154,725 Total Return Mortgage Fund ------------------------------------ Six Months Ended Year Ended September 30, 2001 March 31, 2001 (Unaudited) Operations: Net investment income $ 818 $ 1,027 Net realized gain (loss) 989 751 Net capital gain distributions received from underlying funds 0 0 Net change in unrealized appreciation (depreciation) 387 649 Net increase (decrease) resulting from operations 2,194 2,427 ===================================================================================================== Distributions to Shareholders: From net investment income Class A (136) (13) Class B (35) (8) Class C (53) (28) Other Classes (593) (978) In excess of net investment income Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 From net realized capital gains Class A 0 (6) Class B 0 (4) Class C 0 (18) Other Classes 0 (335) In excess of net realized capital gains Class A 0 0 Class B 0 0 Class C 0 0 Other Classes 0 0 Total Distributions (817) (1,390) ===================================================================================================== Fund Share Transactions: Receipts for shares sold Class A 8,559 1,132 Class B 2,473 865 Class C 3,627 2,205 Other Classes 13,041 20,314 Issued as reinvestment of distributions Class A 113 14 Class B 18 11 Class C 40 41 Other Classes 582 1,308 Cost of shares redeemed Class A (168) (384) Class B (87) (68) Class C (459) (363) Other Classes (8,205) (5,181) Net increase (decrease) resulting from Fund share transactions 19,534 19,894 Total Increase (Decrease) in Net Assets 20,911 20,931 ===================================================================================================== Net Assets: Beginning of period 25,068 4,137 End of period * $ 45,979 $ 25,068 *Including net undistributed investment income of: $ 383 $ 382
154 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Statements of Cash Flows A, B, and C Classes For the period ended September 30, 2001 (Unaudited)
Long-Term Foreign Global Bond U.S. Government Real Return Amounts in thousands Bond Fund Fund II Fund Fund Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 161,966 $ 4,144 $ 207,122 $ 1,121,207 Redemptions of Fund shares (102,039) (1,963) (159,607) (169,365) Cash distributions paid (2,152) (168) (3,529) (6,946) Increase (decrease) from financing transactions (133,696) (33,334) (121,805) 274,886 Net increase (decrease) from financing activities (75,921) (31,321) (77,819) 1,219,782 Operating Activities Purchases of long-term securities and foreign currency (1,459,282) (166,814) (2,195,122) (3,194,825) Proceeds from sales of long-term securities and foreign 1,520,011 193,470 2,299,862 1,847,785 currency Purchases of short-term securities (net) (21,723) (2,552) (69,158) 110,697 Net investment income 16,226 1,752 15,059 36,458 Change in other receivables/payables (net) 2,635 2,944 27,087 (21,874) Net increase (decrease) from operating activities 57,867 28,800 77,728 (1,221,759) ================================================================================================================================ Net Decrease in Cash and Foreign Currency (91) (1,977) (18,054) (2,521) ================================================================================================================================ Cash and Foreign Currency Beginning of period 37,332 5,419 91 1,977 End of period $ 19,278 $ 2,898 $ 0 $ 0
9.30.01 | PIMCO Funds Semi-Annual Report 155 PIMCO Notes to Financial Statements A, B, and C Classes September 30, 2001 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 45 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Real Return II and Real Return Asset Funds had not commenced operations as of September 30, 2001. Information presented in these financial statements pertains to the A, B and C Classes (the "Retail Classes") of the Trust. Certain detailed financial information for the Institutional, Administrative and D Classes (the "Other Classes") is provided separately and is available upon request. 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. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined at the close of regular trading (normally, 4:00 p.m., Eastern Time) on the New York Stock Exchange on each day the New York Stock Exchange is open, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Effective April 1, 2001, the Funds changed accounting methods relating to the amortization of premiums and discounts by adopting the interest method. The Fund with significant adjustments to beginning balances for the cumulative effect is as follows (amount in thousands): Emerging Markets Fund $ 161 Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the Convertible, StocksPLUS and Strategic Balanced Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividends and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated 156 PIMCO Funds Semi-Annual Report | 9.30.01 on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non- class specific expenses of each Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the Convertible, StocksPLUS and Strategic Balanced Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. Federal Income Taxes. Each Fund intends to qualify as a regulated investment company 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. Financing Transactions. Certain Funds may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options 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 and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counter-party to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Stripped Mortgage Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. 9.30.01 | PIMCO Funds Semi-Annual Report 157 PIMCO Notes to Financial Statements A, B, and C Classes (Cont.) September 30, 2001 (Unaudited) Short Sales. Certain Funds have entered into short sales transactions during the fiscal year. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Delayed Delivery Transactions. Certain Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to 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 in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company LLC (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.15% for the Money Market Fund; 0.40% for the Convertible and StocksPLUS Funds; 0.45% for the Emerging Markets Bond Fund and 0.25% for all other Funds. Administration Fee. PIMCO serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for the Retail Classes is charged at the annual rate of 0.35% for the Money Market, Municipal Bond, Short-Term, California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds; 0.45% for the Foreign Bond and Global Bond II Funds; 0.50% for the GNMA Fund; 0.55% for the Emerging Markets Bond Fund; and 0.40% for all other Funds. The Administration Fee for the Institutional and Administrative Classes is charged at an annual rate of 0.18% for the Low Duration and Total Return Funds; 0.19% for the Short Duration Municipal Income Fund; 0.20% for the Moderate Duration, Money Market and Short-Term Funds; 0.24% for the California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds; 0.30% for the Global Bond and Global Bond II Funds; 0.40% for the Emerging Markets Bond Fund; and 0.25% for all other Funds. The Administration Fee for Class D is charged at the annual rate of 0.25% for Low Duration, Short-Term and Total Return Funds; 0.35% for the California Intermediate Municipal Bond, California Municipal Bond, Municipal Bond, New York Municipal Bond and Short Duration Municipal Income Funds; 0.45% for the Foreign Bond Fund; 0.50% for the GNMA Fund; 0.55% for Emerging Markets Bond Fund; and 0.40% for all other Funds. 158 PIMCO Funds Semi-Annual Report | 9.30.01 Strategic Balanced Fund Fees. Effective September 29, 2000, the Strategic Balanced Fund changed investment objectives to a "fund of funds" and as such does not pay any fees to PIMCO under the Trust's investment advisory agreement in return for the advisory and asset allocation services provided by PIMCO. The Fund does, however, indirectly pay its proportionate share of the advisory fees paid to PIMCO by the Underlying Funds in which the Fund invests. The Fund pays administrative fees to PIMCO at an annual rate of 0.05% based on the average daily net assets attributable in the aggregate to the Fund's Institutional Class and Administrative Class shares. The Fund also indirectly pays its proportionate share of the administrative fees charged by PIMCO to the Underlying Funds in which the Fund invests. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during the current fiscal year. Pursuant to the Distribution and Servicing Plans adopted by the Retail and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the Retail and D Classes. The Trust paid PFD distribution and servicing fees at an effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Allowable Rate ---------------------- Distribution Servicing Fee (%) Fee (%) ----------------------- Class A Money Market Fund -- 0.10 All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Municipal Bond, Real Return, StocksPLUS and Low Duration Funds 0.50 0.25 Money Market Fund -- 0.10 Short-Term Fund 0.30 0.25 All other Funds 0.75 0.25 Class D All Funds -- 0.25 PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of Retail Classes shares. For the period ended September 30, 2001, the funds were informed that PFD received $12,261,460 representing commissions (sales charges) and contingent deferred sales charges. Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest 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 expenses, including costs of litigation and indemnification expenses; (vii) organization expenses and (viii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Convertible, California Intermediate Municipal Bond, California Municipal Bond, New York Municipal Bond and Short-Duration Municipal Funds administrative fees to the extent that the payment of each Fund's pro rata share of Trustee fees and organizational expenses cause the actual expense ratio to rise above the rates disclosed in the current prospectus plus 0.49% basis points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class):
Inst'l Class Admn Class Class A Class B Class C Class D ------------------------------------------------------------------------ Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05% California Intermediate Municipal Bond Fund 0.49% 0.75% 0.85% -- -- 0.85% California Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.89% -- -- 0.87% Short Duration Municipal Income Fund 0.39% 0.64% -- -- 0.80%
PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $60,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 9.30.01 | PIMCO Funds Semi-Annual Report 159 PIMCO Notes to Financial Statements A, B, and C Classes (Cont.) September 30, 2001 (Unaudited) 4. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
California Intermediate Municipal Bond Fund California Municipal Bond Fund ------------------------------------ ------------------------------------------ Period Ended Year Ended Period Ended Period from 09/30/2001 03/31/2001 09/30/2001 05/16/2000 to 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ------------------------------------- ------------------------------------------ Receipts for shares sold Class A 745 $ 7,931 4,144 $ 41,939 57 $ 594 79 $ 809 Class B 0 0 0 0 0 0 0 0 Class C 0 0 0 0 0 0 0 0 Other Classes 2,282 24,336 11,297 114,297 380 3,994 2,107 21,146 Issued as reinvestment of distributions Class A 45 480 108 1,122 1 8 0 3 Class B 0 0 0 0 0 0 0 0 Class C 0 0 0 0 0 0 0 0 Other Classes 149 1,576 300 3,117 23 239 79 808 Cost of shares redeemed Class A (843) (8,943) (1,690) (17,618) (36) (382) (11) (110) Class B 0 0 0 0 0 0 0 0 Class C 0 0 0 0 0 0 0 0 Other Classes (4,174) (44,386) (3,998) (40,805) (225) (2,366) (1,031) (10,590) Net increase (decrease) resulting from Fund share transactions (1,796) $(19,006 10,161 $ 102,052 200 $ 2,087 1,223 $ 12,066 ==================================== ======================================= Convertible Fund ------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------- Receipts for shares sold Class A 127 $ 1,500 362 $ 5,137 Class B 108 1,219 408 5,738 Class C 346 4,016 826 11,544 Other Classes 113 1,297 6,630 90,634 Issued as reinvestment of distributions Class A 5 49 27 360 Class B 2 23 13 170 Class C 4 47 41 543 Other Classes 26 273 563 7,574 Cost of shares redeemed Class A (189) (2,199) (156) (2,198) Class B (60) (671) (83) (1,077) Class C (514) (5,907) (211) (2,818) Other Classes (3,825) (42,019) (12,009) (155,586) Net increase (decrease) resulting from Fund share transactions (3,857) $ (42,372) (3,589) $ (39,979) =======================================
High Yield Fund Long-Term U.S. Government Fund ---------------------------------------- ------------------------------------------ Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------- ------------------------------------------ Receipts for shares sold Class A 13,128 $126,882 21,540 $ 215,973 7,364 $ 77,573 6,302 $ 65,435 Class B 7,643 73,836 10,467 104,829 1,732 18,299 2,830 29,267 Class C 9,095 87,883 15,771 157,741 1,315 13,851 2,653 27,453 Other Classes 67,414 651,382 105,814 1,060,499 9,920 105,182 24,046 247,593 Issued as reinvestment of distributions Class A 708 6,786 960 9,591 205 2,168 202 2,067 Class B 512 4,916 931 9,305 80 848 96 983 Class C 765 7,337 1,386 13,854 56 594 74 751 Other Classes 6,737 64,624 15,618 156,080 771 8,128 1,443 14,726 Cost of shares redeemed Class A (8,334) (80,378) (14,202) (142,592) (5,161) (54,304) (3,410) (34,912) Class B (3,097) (29,741) (7,912) (79,244) (703) (7,385) (1,324) (13,312) Class C (5,273) (50,715) (12,774) (127,866) (791) (8,283) (1,517) (15,587) Other Classes (35,264) (338,382) (180,099) (1,780,150) (8,502) (89,219) (22,514) (234,568) Net increase (decrease) resulting from Fund share transactions 54,034 $524,430 (42,500) $ (401,980) 6,286 $ 67,452 8,881 $ 89,896 ======================================== ========================================== Low Duration Fund -------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------- Receipts for shares sold Class A 22,652 $ 228,961 22,253 $ 219,648 Class B 4,435 44,839 3,943 38,949 Class C 8,161 82,489 4,934 48,731 Other Classes 132,536 1,336,111 258,655 2,552,105 Issued as reinvestment of distributions Class A 591 5,959 1,130 11,160 Class B 132 1,332 251 2,484 Class C 226 2,279 436 4,310 Other Classes 11,437 115,318 23,288 229,997 Cost of shares redeemed Class A (9,595) (96,772) (20,071) (197,995) Class B (1,247) (12,570) (2,818) (27,760) Class C (1,941) (19,565) (4,762) (46,954) Other Classes (125,726) (1,266,834) (235,187) (2,319,594) Net increase (decrease) resulting from Fund share transactions 41,661 $ 421,547 52,052 $ 515,081 ============================================
160 PIMCO Funds Semi-Annual Report | 9.30.01
Emerging Markets Bond Fund Foreign Bond Fund Global Bond Fund II - ------------------------------------- ----------------------------------------- --------------------------------------- Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------------- ----------------------------------------- --------------------------------------- 195 $ 1,716 182 $ 1,552 3,982 $ 40,963 4,650 $ 47,003 148 $ 1,432 133 $ 1,250 143 1,237 134 1,124 491 5,056 650 6,565 106 1,020 133 1,259 99 862 97 819 783 8,035 906 9,154 180 1,740 140 1,310 4,144 36,073 4,293 35,612 10,506 108,243 20,323 205,439 1 7 737 6,935 4 33 5 411 62 1,664 424 4,276 5 48 16 153 5 41 10 84 40 411 130 1,313 6 62 25 236 2 22 3 28 55 566 170 1,717 7 67 30 282 340 2,951 751 6,256 1,131 11,614 3,258 32,854 148 1,418 567 5,308 (29) (255) (88) (765) (2,717) (27,957) (2,291) (23,163) (39) (376) (105) (990) (15) (132) (87) (740) (232) (2,384) (428) (4,326) (74) (705) (100) (945) (18) (154) (35) (295) (288) (2,962) (666) (6,727) (39) (373) (186) (1,750) (4,089) (36,284) (1,652) (13,651) (6,901) (70,855) (16,157) (163,157) (53) (500) (3,782) (35,563) 781 $ 6,110 3,613 $ 30,065 7,012 $ 72,394 10,969 $ 110,948 396 $ 3,840 (2,392) $(22,515) ===================================== ========================================= ======================================= GNMA Fund - ---------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount --------------------------------------------- 556 $ 5,913 1 $ 10 307 3,277 0 0 459 4,905 0 0 1,760 18,820 908 9,067 3 31 0 0 0 2 0 0 1 6 0 0 29 306 53 530 (8) (85) 0 0 (2) (18) 0 0 (18) (188) 0 0 (201) (2,109) (441) (4,496) 2,886 $ 30,860 521 $ 5,111 ==============================================
Money Market Fund Municipal Bond Fund New York Municipal Bond Fund - ----------------------------------------------- ----------------------------------------- ----------------------------------- Period Ended Year Ended Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount - ----------------------------------------------- ----------------------------------------- ----------------------------------- 222,174 $ 222,175 1,564,604 $ 1,564,604 1,014 $ 10,254 636 $ 6,223 118 $1,306 17 $ 185 29,768 29,767 81,174 81,175 474 4,804 579 5,629 0 0 0 0 180,384 180,384 666,874 666,874 955 9,668 503 4,912 0 0 0 0 104,379 104,378 162,116 162,115 1,886 18,957 3,184 30,520 32 350 38 400 749 749 2,229 2,229 13 132 11 102 1 7 0 1 415 415 1,015 1,015 8 82 10 96 0 0 0 0 1,727 1,727 4,389 4,389 42 428 80 775 0 0 0 0 3,107 3,107 13,305 13,305 86 875 94 911 7 83 17 172 (220,146) (220,146) (1,609,628) (1,609,628) (601) (6,010) (426) (4,055) (1) (10) (1) (11) (19,701) (19,701) (69,411) (69,411) (159) (1,605) (300) (2,900) 0 0 0 0 (173,830) (173,830) (662,190) (662,190) (326) (3,270) (563) (5,444) 0 0 0 0 (62,129) (62,129) (347,072) (347,072) (714) (7,227) (1,362) (13,085) (74) (830) 0 0 66,897 $ 66,896 (192,595) $ (192,595) 2,678 $ 27,088 2,446 $ 23,684 83 $ 906 71 $ 747 =============================================== ========================================= =================================== Real Return Fund -------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount -------------------------------------------- 21,969 $ 230,011 8,084 $ 82,016 16,389 171,600 4,550 46,165 18,806 196,879 6,698 68,127 54,751 573,086 51,913 521,572 352 3,683 238 2,408 160 1,670 111 1,119 231 2,416 151 1,523 2,472 25,830 3,395 34,164 (3,036) (31,762) (885) (8,866) (595) (6,226) (541) (5,441) (1,080) (11,305) (771) (7,743) (11,856) (123,973) (13,721) (138,260) 98,563 $1,031,909 59,222 $ 596,775 ============================================
9.30.01 | PIMCO Funds Semi-Annual Report 161 PIMCO Notes to Financial Statements A, B, and C Classes (Cont.) September 30, 2001 (Unaudited) 4. Shares of Beneficial Interest (Cont.) The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Short-Term Fund StocksPLUS Fund ---------------------------------------------- ----------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ---------------------------------------------- ----------------------------------------- Receipts for shares sold Class A 50,745 $ 509,294 9,080 $ 90,544 1,375 $ 14,149 8,726 $ 114,951 Class B 286 2,884 503 5,009 861 8,716 3,507 44,932 Class C 10,391 104,323 1,711 17,069 1,352 14,001 3,337 42,342 Other Classes 56,869 570,701 57,226 571,111 5,138 54,226 16,726 213,063 Issued as reinvestment of distributions Class A 348 3,490 355 3,540 81 860 808 9,885 Class B 8 81 23 234 139 1,464 1,643 19,868 Class C 59 590 47 468 150 1,592 1,577 19,135 Other Classes 1,286 12,910 2,919 29,138 450 4,831 3,985 49,296 Cost of shares redeemed Class A (13,877) (139,409) (8,632) (86,081) (1,678) (17,285) (10,253) (132,114) Class B (143) (1,436) (505) (5,037) (3,147) (31,880) (7,828) (99,474) Class C (742) (7,446) (1,271) (12,670) (2,338) (23,700) (6,464) (82,398) Other Classes (23,736) (238,108) (67,797) (676,498) (5,901) (63,470) (21,844) (280,102) Net increase (decrease) resulting from Fund share transactions 81,494 $ 817,874 (6,341) $ (63,173) (3,518) $(36,496) (6,080) $ (80,616) ============================================== ========================================= Strategic Balanced Fund - ------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount - ------------------------------------------- 49 $ 519 113 $ 1,366 73 778 103 1,205 219 2,307 548 6,349 255 2,749 388 4,620 4 39 31 362 5 55 68 784 9 91 94 1,030 72 733 502 5,829 (45) (477) (144) (1,761) (80) (849) (267) (3,157) (92) (971) (325) (3,895) (211) (2,270) (6,100) (77,433) 258 $ 2,704 (4,989) $ (64,701) ===========================================
Total Return Fund Total Return Mortgage Fund ----------------------------------------------- ----------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount ----------------------------------------------- ------------------------------------------ Receipts for shares sold Class A 119,082 $ 1,256,004 172,063 $ 1,764,570 817 $ 8,559 110 $ 1 ,132 Class B 39,021 411,603 37,206 382,832 235 2,473 84 865 Class C 45,000 474,564 47,953 493,040 342 3,627 214 2,205 Other Classes 722,473 7,615,079 1,343,263 13,706,067 1,233 13,041 2,031 20,314 Issued as reinvestment of distributions Class A 4,238 44,706 6,538 66,764 11 113 1 14 Class B 1,241 13,095 2,087 21,289 2 18 1 11 Class C 1,566 16,517 2,541 25,930 4 40 4 41 Other Classes 85,518 901,314 170,440 1,737,051 55 582 128 1,308 Cost of shares redeemed Class A (54,826) (578,243) (83,133) (848,932) (16) (168) (37) (384) Class B (6,790) (71,718) (12,202) (123,611) (8) (87) (7) (68) Class C (10,582) (111,304) (17,882) (180,906) (43) (459) (35) (363) Other Classes (535,399) (5,643,713) (794,516) (8,092,604) (772) (8,205) (505) (5,181) Net increase (decrease) resulting from Fund share transactions 410,542 $ 4,327,904 874,358 $ 8,951,490 1,860 $ 19,534 1,989 $ 19,894 ================================================ ==========================================
162 PIMCO Funds Semi-Annual Report | 9.30.01 5. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2001 were as follows (amounts in thousands): U.S. Government/Agency All Other ---------------------------------------------------- Purchases Sales Purchases Sales - ------------------------------------------------------------------------------- California Intermediate Municipal Bond Fund $ 0 $ 226 $ 37,395 $ 55,037 California Municipal Bond Fund 0 113 8,148 5,463 Convertible Fund 0 0 65,208 76,801 Emerging Markets Bond Fund 0 0 363,119 357,349 Foreign Bond Fund 1,300,915 1,337,723 437,900 296,594 Global Bond Fund II 119,644 98,108 53,221 88,830 GNMA Fund 125,967 108,042 700 298 High Yield Fund 146,328 180,389 1,458,240 919,149 Long-Term U.S. Government Fund 2,126,791 2,202,329 61,508 53,551 Low Duration Fund 19,659,132 20,119,567 633,385 687,025 Money Market Fund 0 0 0 0 Municipal Bond Fund 565 395 78,534 49,058 New York Municipal Bond Fund 113 113 5,765 4,526 Real Return Fund 3,048,287 1,672,504 182,851 102,025 Short-Term Fund 427,930 743,257 423,572 115,066 StocksPLUS Fund 2,721,803 2,928,618 90,431 221,079 Strategic Balanced Fund 0 0 16,122 8,452 Total Return Fund 127,013,164 125,305,486 10,074,991 8,274,677 Total Return Mortgage Fund 278,349 325,261 89,179 3,467 6. Federal Income Tax Matters As of March 31, 2001, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the California Intermediate Municipal Bond, Convertible, Foreign Bond, Global Bond II, High Yield, Low Duration, Real Return, Short-Term, StocksPLUS and Total Return Funds realized capital losses and/or foreign currency losses during the period November 1, 2000 through March 31, 2001 which the Funds elected to defer to the following fiscal year pursuant to income tax regulations. The amounts are $75,517, $5,480,569, $7,607,826, $1,281,094, $57,057,816, $11,492,366, $243,361, $721,218, $214,462,097, $17,936,702, respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards. Capital Loss Carryforwards --------------------------------------------- Realized Losses Acquired Losses Expiration --------------------------------------------- High Yield Fund $ 150,615,064 $ 0 3/31/2009 High Yield Fund 39,492,722 0 3/31/2008 High Yield Fund 0 48,559,227 3/31/2003 Long-Term U.S. Government Fund 4,671,320 0 3/31/2008 Low Duration Fund 36,222,381 0 3/31/2008 Short-Term Fund 326,974 0 3/31/2009 Short-Term Fund 412,413 0 3/31/2008 Short-Term Fund 109,956 0 3/31/2007 StocksPLUS Fund 86,222,244 0 3/31/2009 Strategic Balanced Fund 1,711,676 0 3/31/2009 Convertible Fund 3,488,828 0 3/31/2009 7. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
Foreign Bond Global Bond Long-Term U.S. Low Duration StocksPLUS Total Return Fund Fund II Government Fund Fund Fund Fund --------------------------------------------------------------------------------------------- Premium - ------------------------------------------------------------------------------------------------------------------------ Balance at 03/31/2001 $ 696 $ 56 $ 631 $ 1,822 $ 756 $ 35,755 Sales 3,492 374 1,425 645 1,752 196,798 Closing Buys (1,631) (177) (1,123) 0 (189) (2,294) Expirations (278) (27) (420) (684) (2,083) (69,300) Exercised 0 0 0 0 0 0 - ------------------------------------------------------------------------------------------------------------------------ Balance at 09/30/2001 $ 2,279 $ 226 $ 513 $ 1,783 $ 236 $ 160,959 ========================================================================================================================
9.30.01 | PIMCO Funds Semi-Annual Report 163 PIMCO Funds: Pacific Investment Management Series Manager Pacific Investment Management Company, 840 Newport Center Drive, Suite 300, Newport Beach, CA 92660 Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902 Custodian State Street Bank & Trust Co., 801 Pennsylvania, Kansas City, MO 64105 Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688, Servicing Agent and Providence, RI 02940-9688 Transfer Agent Independent PricewaterhouseCoopers LLP, One North Wacker Drive, Accountant Chicago, IL 60606 Legal Counsel Dechert, 1775 Eye Street, Washington, DC 20006 For Account For PIMCO Funds account information contact your Information financial advisor, or if you receive account statements directly from PIMCO Funds, you can also call 1-800-426-0107. Telephone representatives are available Monday-Friday 8:30 am to 8:00 pm Eastern Time. HOW TO CONTACT US For information regarding your investment, contact your financial advisor, or call: Investor Services 1-800-426-0107 General Information 1-888-87-PIMCO PIMCO Funds Online www.pimcofunds.com PIMCO Funds offers access to the specialized investment expertise of PIMCO Advisors L.P. (PIMCO). PIMCO manages over $280 billion and has a client list that includes more than half of the 100 largest U.S. corporations. The firm is a member of the Allianz Group, one of the world's leading financial services providers. Stock Funds - ---------------------------------- Growth Growth Fund Select Growth Fund Target Fund Opportunity Fund Blend Growth & Income Fund Capital Appreciation Fund Mid-Cap Fund Value Equity Income Fund Renaissance Fund Value Fund Small-Cap Value Fund Enhanced Index Tax-Efficient Equity Fund StocksPLUS Fund International Select International Fund Sector-Related Innovation Fund Global Innovation Fund Healthcare Innovation Fund Stock and Bond Funds - ---------------------------------- Strategic Balanced Fund Asset Allocation Fund Bond Funds - ---------------------------------- Short Duration Short-Term Fund Low Duration Fund Intermediate Duration Total Return Fund Long Duration Long-Term U.S. Government Fund International Global Bond Fund II Foreign Bond Fund Emerging Markets Bond Fund High Yield High Yield Fund Mortgage-Backed GNMA Fund Total Return Mortgage Fund Inflation-Indexed Real Return Fund Convertible Convertible Fund Tax-Exempt Municipal Bond Fund CA Interm. Municipal Bond Fund CA Municipal Bond Fund NY Municipal Bond Fund Access Staff Editor Ruth Straughn Design Wendy Berge What do you think? To provide feedback on access, e-mail us at: accessmag@pimcofunds.com. Or write to: PIMCO Funds, 2187 Atlantic Street, Stamford, CT 06902, Attention: Access Editor. (C) 2001 PIMCO Funds Distributors, LLC This material is authorized for use only when preceded or accompanied by a current PIMCO Funds prospectus, which describes in greater detail the investment policies, management fees and other matters of interest to prospective investors. Please read the prospectus carefully before you invest or send money. Although carefully verified, data is not guaranteed as to accuracy or completeness. PIMCO Funds can not be held responsible for any loss incurred by applying any information in this publication. Stop the Clutter. Now you can get shareholder reports and more--online. PIMCO Funds is pleased to announce that you can now receive your shareholder communications online. This new service, called eDelivery, lets you access annual and semi-annual reports, prospectuses and proxy statements through the Internet, eliminating the paper mailings you've received from us in the past. Sign up today. It's fast and easy. To sign up, just go to www.pimcofunds.com/edelivery and complete the short enrollment form. Your participation in eDelivery will begin in the quarter you enroll. For more information on this valuable new service, turn to page 4 in this magazine. [GRAPHIC] PIMCO FUNDS A Quarterly Publication from PIMCO Funds FALL/WINTER 2001 Energize your cash Short-term bond funds can add power to your savings. Page 2 5PIMCO's economic|6Gross & McCulley |8Is there value in |Inside: PIMCO Funds think tank | give their perspectives| today's stock market?|9.30.01 Semi-Annual Report D
[LOGO] PIMCO FUNDS [LOGO] Plugging Into Short-Term Bond Funds While the Federal Reserve's aggressive easing campaign may have sparked hope for an economic recovery, it's done no favors for cash investments. Ten Fed cuts in eleven months have brought interest rates down to levels not seen since the early '60s. As great as that's been for borrowers, it's been disheartening for savers. The average money market fund, which yielded 6.1% at the beginning of the year, was yielding a meager 2.88% as of September 30, 20011. And other traditional cash vehicles, such as CDs and money market accounts, have been earning even less. A SERIES OF SHOCKS All this comes at a time when Americans have more than $2.5 trillion sitting in cash.2 Consider what has happened: The NASDAQ and S&P 500 are off 70.31% and 31.85% from their 1999 highs3, consumer spending has dropped and unemployment has risen. What's more, the events of September 11th had a profound impact on the American mindset and served to exacerbate an already weak U.S. economy. The sum of these factors has caused investors to develop an understandable aversion to risk and driven them to park capital in "safe" investments. The majority of this cash resides in money market funds, CDs and bank accounts, considered beacons of safety in the financial world. However, there's a price to pay for their relative security. "Investors' devotion to perfect safety is costing them even better returns," says Paul McCulley, renowned Fed-watcher and head of short-term securities at PIMCO. His solution: "Short-term bond funds cushion interest rate cuts and allow investors to maximize current income." POWER SURGE Short-term bond funds don't guarantee the return of your principal the way that FDIC-insured CDs and bank deposits do. And unlike money market funds, they don't assure investors of an unwavering $1 share price. Yet by taking a slight step up in risk, short-term bond funds can produce a substantial uptick in return. Over the past five years, the average short-term bond fund has produced an annualized total return of 5.77% compared to 4.89% for the average money market fund4. That extra return can really add up when compounded over time. GOOD INSULATION Meanwhile, the volatility of short-term bond funds is generally very low. That's because they typically invest in fixed-income securities with maturities of three years or less. Accordingly, their short average maturities make them less susceptible to interest rate changes than funds that invest in longer-term More for Your Money Short-term bond funds, such as PIMCO Low Duration Fund, can offer higher yields than other cash investments with little additional risk. Current Yields (as of 9/30/01) [CHART] [PLOT POINTS TO COME] Yield source for money market accounts and 6-month CDs: Banxquote. Yield source for money market funds: iMoneyNet, Inc. Money Fund Report Averages/All Taxable. 2 access | Fall/Winter 2001 Low interest rates don't have to mean low-wattage returns on your cash. bonds. And funds that focus on high credit quality issues can be even more stable. For example, the net asset value of the McCulley-managed PIMCO Short-Term Bond Fund, which carries an average credit quality of A+ (9/30/01), has fluctuated only 3% in the 14 years since its inception. "In the grand scheme of things, it shouldn't really matter to investors if their liquid reserves were to fluctuate between, say, 98 and 102 cents on the dollar," McCulley points out, "as long as they averaged 100 cents on the dollar." WIRED FOR RETURN That said, short-term bond funds probably aren't the right investment choice for the cash you need to pay the bills. But they can be a smart alternative for the money you're tucking away for a longer length of time. Good examples are an emergency fund or the savings you've earmarked for a major purchase in the next year or so. They can also be a good way to invest any money you've been keeping on the sidelines. "Money market funds are safe but they don't provide returns," states Bill Gross, PIMCO co-founder and manager of PIMCO Low Duration Fund. A short-term bond fund, on the other hand, is a bonafide investment--it provides the potential for incremental return while still offering substantial principal protection. The bottom line--given today's low interest rate environment, it's a smart idea to take a look at your cash investments as a whole. Determine what portion of those assets requires absolute safety. For the balance, you might want to consider a short-term bond fund. Your financial advisor can help you choose a fund that meets your investment objectives and that fits into your overall financial plan. "...money fund investors can engineer a nice increase in yield without taking on huge added risks. Among the best options to consider: `ultra-short' and short-term bond funds." --The Wall Street Journal, June 29, 2001 History of Low Volatility Short-term bond funds that focus on high credit quality securities, such as PIMCO Short-Term and Low Duration Funds, are relatively stable investments.
PIMCO PIMCO Month Short-Term Fund Low Duration Fund ===== =============== ================= 9/30/98 $10.04 $10.29 10/30/98 $10.03 $10.22 11/30/98 $10.02 $10.23 12/31/98 $10.00 $10.17 1/29/99 $10.00 $10.17 2/26/99 $10.00 $10.07 3/31/99 $10.03 $10.10 4/30/99 $10.03 $10.10 5/31/99 $ 9.99 $10.02 6/30/99 $ 9.98 $ 9.97 7/30/99 $ 9.97 $ 9.92 8/31/99 $ 9.96 $ 9.88 9/30/99 $ 9.96 $ 9.90 10/29/99 $ 9.96 $ 9.89 11/30/99 $ 9.96 $ 9.88 12/31/99 $ 9.95 $ 9.84 1/31/00 $ 9.93 $ 9.78 2/29/00 $ 9.94 $ 9.80 3/31/00 $ 9.95 $ 9.81 4/28/00 $ 9.94 $ 9.78 5/31/00 $ 9.94 $ 9.75 6/30/00 $ 9.95 $ 9.81 7/31/00 $ 9.96 $ 9.82 8/31/00 $ 9.97 $ 9.87 9/29/00 $ 9.97 $ 9.86 10/31/00 $ 9.96 $ 9.81 11/30/00 $ 9.99 $ 9.83 12/29/00 $10.00 $ 9.90 1/31/01 $10.02 $10.01 2/28/01 $10.05 $10.01 3/31/01 $10.03 $10.03 4/30/01 $10.01 $10.01 5/30/01 $10.04 $10.04 6/30/01 $10.01 $10.01 7/30/01 $10.04 $10.13 8/30/01 $10.04 $10.14 9/30/01 $10.06 $10.20
Past performance is no guarantee of future results. All data is as of 9/30/01. 1. Source: iMoneyNet, Inc. 2. Includes $2.055 trillion in total money market mutual fund assets (source: ICI) and $0.775 trillion in total domestic deposits of U.S. savings institutions (source: FDIC) as of 6/30/01, the most recent time period for which FDIC data was available. 3. Source: Bloomberg. 4. Averages are calculated by Lipper Inc. They are the total return performance averages of funds that are tracked by Lipper that have the same Fund Classification. Lipper does not take into account sales charges. Savings accounts and CDs are guaranteed as to repayment of principal and interest by an agency of the US government. However, the investment return and principal value of bonds and bond funds will fluctuate. Money market funds are neither insured nor guaranteed by FDIC or any other government agency and there can be no assurance that any money market fund will be able to maintain a net asset value of $1.00 per share. PIMCO bond funds may invest in foreign securities, which may entail greater risk due to foreign economic and political developments. They also may invest in high-yield, lower rated securities, which generally involve greater risk to principal than investment in higher rated securities. The NASDAQ and S&P 500 are unmanaged indexes and it is not possible to invest directly in them. The credit quality of the investment in the portfolio does not apply to the stability or safety of the fund. Morningstar chose two bond funds for its 401(k) plan. And they're both ours. For more information on PIMCO's complete range of bond funds, including PIMCO Total Return and High Yield Funds, call your financial advisor today. Past performance is no guarantee of future results. Selection of these funds by Morningstar was not based solely on performance. Morningstar chose institutional class shares for use in its plan. Expense ratios differ by share class. For additional details on the PIMCO Funds, call for a free prospectus that contains more complete information including charges and expenses. Please read this information carefully before you invest or send money. Secular Outlook: A Bond Manager's Perspective At PIMCO, we believe that long-term, or secular, trends in demographics, politics and the global economy exert the most powerful influences on the fixed-income markets. While the events of September 11th may have exacerbated some of these trends--to the upside as well as the downside--we'd like to reassure you that our secular outlook remains unchanged. In fact, it is precisely at times like these, marked by near-term uncertainty and volatility, that our long-term view becomes most critical. We thought it would be timely to share this perspective with you now. Each May more than 100 PIMCO investment professionals from around the globe gather together with leading outside experts for our annual Secular Forum. We use this meeting to formulate a three- to five-year outlook for bond markets worldwide, which determines how we structure our bond portfolios. The following conclusions comprise PIMCO's 2001 Secular Outlook. U.S. GROWTH TO SLOW Over the next three to four years, growth in the U.S. will be slower than the robust pace of over four percent experienced since 1997. Productivity gains in the U.S. have peaked and will revert closer to historical averages, producing a chain reaction of lower corporate profits, reduced investment, pressure on equity valuations and weaker growth. Anxious and overleveraged consumers will respond by reversing their negative savings rate, creating more of a drag on the economy. EUROPE TO MATCH U.S.; JAPAN TO REMAIN WEAK Growth in the Eurozone will at least match that of the U.S. Europe's economies are not burdened with U.S.-style investment and consump- tion bubbles. European growth will be supported by strong Information Tecnology (IT) spending as the region plays catch up to the U.S. Weighed down by weak banks, low consumer confidence and mounting public debt, Japan will contribute little to global growth over the next several years. GLOBAL INFLATION AT 1-3 PERCENT Weaker growth worldwide will pro- long a disinflationary environment that will leave global inflation in a range of 1-3 percent. The euro will strengthen against the dollar, help- ing keep European inflation below that of the U.S., as more European capital stays home amid lower returns and slower growth in the U.S. Temporary productivity gains from increased IT spending will also restrain European inflation. RANGE-BOUND INTEREST RATES Ten-year Treasuries will range between 41/2 and 61/2 percent from now until 2005. PIMCO will use ral-lies--periods when rates approach the lower end of our range--to reduce the duration, or interest rate sensitivity, of our portfolios. Since bond prices move inversely to interest rates, this will allow us to harvest capital gains. Eurozone rates could average 50 to 100 basis points less than U.S. rates because of lower inflation, a stronger currency and the European Central Bank's focus on inflation as opposed to growth. BIAS TOWARD QUALITY PIMCO remains committed to higher quality investments, especially mortgages, which offer attractive yields with minimal credit risk. Prices of corporate bonds will remain under pressure early in our secular period as weak economic growth translates into subdued corporate profit growth. Opportunities for high yield and corporates will be better in 2002 and beyond. MODEST STOCK AND BOND RETURNS Stock and bond returns will be fortunate to reach six percent annually over the next several years. Sub-par growth and still lofty valuations will crimp equity performance, while relatively low interest rates will cap the upside from bonds. The balance of risks favors bonds, though, because equities stand a greater chance of producing negative returns. Past performance is no guarantee of future results. Forecasts cited do not represent the past or future performance of any PIMCO Funds. The credit quality of the investments does not apply to the stability or safety of any PIMCO fund. Investing in foreign securities may entail risk due to foreign economic and political developments and may be enhanced when investing in emerging markets. Treasury bills are guaranteed by the U.S. government and, if held to maturity, offer a fixed rate of return and fixed principal value. Mortgage-backed securities may be sensitive to changes in prevailing interest rates, when they rise the value generally declines. Corporate debt securities are subject to the risk of the issuer's inability to meet principal and interest payments on the obligation and may also be subject to price volatility due to such factors as interest rate sensitivity, market perception of the credit-worthiness of the issuer and general market liquidity. An investment in high yield securities, lower rated securities generally involves greater risk to principal than an investment in higher-rated bonds. Top-Down [PHOTO] Bill Gross Buying and Selling Hope The September 11th attacks dealt a blow to the U.S. economy, causing many investors to wonder what's next for the financial markets--and their portfolios. In this excerpt from the October issue of his Investment Outlook, Bill Gross asks then answers three fundamental questions that shed some light on the current investment climate. All the interest of my reason comes together in the following three questions: 1.What can I know? 2.What ought I to do? 3.What may I hope? - --Immanuel Kant, Critique of Pure Reason Any investor, anytime must ask the question, "What am I buying?" Am I buying hope or am I buying value? That question is especially important in the wake of the September 11th attacks, because it's only natural to combine patriotism with hope for a better tomorrow and come to incorrect conclusions about valuations. But when it comes to investing, it pays to use one's head instead of one's heart. The heart should be responsible for writing a check to the Red Cross to assist surviving families in NYC, Washington D.C. and those killed in Pennsylvania. The head should be in charge of deciding whether bonds or stocks make sense at today's prices in an increasingly risky global economic and sociopolitical environment. Eighteenth century philosopher Immanuel Kant wrote in his Critique of Pure Reason some sage advice for any investor, quoted at the beginning of this piece. His questions, at least for today will be my questions, beginning with... 1. WHAT CAN I KNOW? I know several things. I know that in the early part of September, the U.S. economy was already in recession, and in the aftermath of September 11th, recovery could be postponed deep into 2002. I know President Bush and other government officials believe this war will be a long lasting one requiring sacrifices from all Americans. I know that the monetary spigot has been opened wide and that the fiscal lock box has been broken into. I know that since September 11th the financial environment has become increasingly risky. And finally, I know that significant secular trends involving globalization and privatization are at risk of slowing down or even reversing. 2. WHAT OUGHT I TO DO? In an environment of increasing economic/financial risk, PIMCO's stance will focus first on protection of principal and secondarily on increasing return. We are in the culminating phase of a 20-year Treasury bond bull market with 2-year yields at 23/4% and 10-year yields at 41/2%. Should an investor risk principal loss for such paltry returns? Hardly. Should a risk-averse investor grab for Baa and junk bond yields in an environment where corporate profits are at risk? Hardly. For now, PIMCO will stress high quality, close to market durations, and a healthy dose of European sovereign credits. 3. WHAT MAY I HOPE? Yours truly and PIMCO are not in the business of selling hope nor in paying too high a price for it on your behalf. I hope that America comes back from its current recession quicker than ever. I hope our current war against terrorism is won and won decisively. I hope the American initiatives promoting globalization and privatization are not halted or reversed. But I have serious questions about all of these hopes and more. "All the interest of my reason" suggests the ascendancy of caution, not hope, and the protection of principal at the expense of return. Bill Gross is a founder and the Chief Investment Officer of PIMCO. He also manages PIMCO Total Return and Low Duration Funds. 6 access | Fall/Winter 2001 PIMCO'S LEADING BOND EXPERTS ASSESS THE ECONOMIC LANDSCAPE [PHOTO] Paul McCulley The Right Way All year, investors have been looking to the Fed to cut interest rates in an attempt to put the economy back on track. The Fed has delivered. And in the aftermath of September 11, it has intensified its efforts. But, as Paul McCulley explains in this excerpt from his October Fed Focus newsletter, cutting interest rates simply isn't enough. The nation is in recession. When it began exactly, I don't know. The precise dating of recessions is not a science but an art, practiced by the National Bureau of Economic Research (NBER). And the NBER only dates them long after the fact. That's because the NBER is not in the forecasting business, but rather the history business. And in writing history, it is more important to be right than quick. BETTER RIGHT AND QUICK In Congressional testimony since the tragedies of September 11, Mr. Greenspan has evoked precisely the same dictum with respect to enacting additional fiscal stimulus: it is more important to be right than quick. I worry, however, that Mr. Greenspan's plea to avoid undue haste in crafting a fiscal stimulus package arises from the fact that he has only accepted the inevitability of a fiscal stimulus package, but has not embraced either its efficacy or desirability. More bluntly, I believe that Mr. Greenspan still believes that monetary policy should be the dominant and dominating counter-cyclical policy tool, aided and abetted by the "bond market vigilantes" policing fiscal policy authorities. AND THE RIGHT WAY IS... There is, as Mr. Greenspan argues, a "right" way to construct a fiscal stimulus package. And one that is expected to "work" will, by definition, offend the "bond market vigilantes." Put differently, long-term Treasury yields will naturally rise if/when credible prospects for recovery diminish the "safe" haven bid for long-term Treasuries. How much they rise will depend, in large part, on whether the Fed is expected to jack short-term rates when recovery is at hand. Thus, the "right" way for Congress to construct a fiscal stimulus is to (1) start with the presumption that, if successful, the vaunted "bond market vigilantes" will not like it; and (2) demand a pledge from the Fed to resist any urge to tighten in "solidarity" with the "bond market vigilantes." A PRE-HOLIDAY TAX HOLIDAY I'd like to offer my proposal for a fiscal stimulus package: a 3-6 month "holiday" in all payroll (social security) taxes. A payroll tax holiday has five key features I think make it the "right" way to go. It is large. The tax will raise almost $700 billion this year, about 7% of GDP. Thus, a 3-6 month holiday from the tax would boost private sector cash flow by 1%-3% of GDP, well above the 1% of GDP that conventional econometric models--and Greenspan--suggest is appropriate. It has a "sunset" provision, by definition: the length of the holiday. Payroll tax is a regressive tax on the household sector, with only 1.45% of both employee and employer levies applying to incomes above $80,400 (for Medicare). Thus, a holiday from the tax would put hard cold take-home cash into the hands of those who have a high marginal propensity to consume. Since the business sector pays half the tax "on behalf" of their employees, a three-month holiday from the tax would be an immediate boon to business cash flow--potentially over $75 billion. It's exceedingly easy to administer and fast-acting. The bottom line: a payroll tax holiday can deliver what's needed--fiscal stimulus that's both right and quick. Paul McCulley is a Managing Director at PIMCO and is manager of PIMCO Short-Term Fund. These articles contain the opinions of the authors and do not represent a recommendation of any particular security, strategy or investment product. The authors' opinions are subject to change without notice. The credit quality of the investment in the portfolio does not apply to the stability or safety of the fund. Duration is a measure of the Fund's price sensitivity expressed in years. An investment in high yield securities, lower rated securities generally involves greater risk to principal than an investment in higher-rated bonds. Investing in foreign securities may entail risk due to foreign economic and political developments and may be enhanced when investing in emerging markets. Fall/Winter 2001 | access 7 The Case for Value Stocks Today Despite a slower U.S. economy, not every stock or stock fund has suffered. In fact, PIMCO's value funds --Renaissance, Value and Small-Cap Value--have been thriving. That's because value funds invest in stocks that are underpriced relative to fundamental measures, such as earnings or book value. So for value investors, the market correction has opened up many new opportunities. Importantly, value funds remain a sensible investment--both today and for the long term. Here are five historical and fundamental reasons why. 1. VALUE HAS OUTPERFORMED FOLLOWING PAST U.S. RECESSIONS While we may not know for some time if the U.S. has officially slipped into recession, many economists believe that is the case. In the 12 months following each of the past three U.S. recessions, value outperformed the overall stock market by a substantial margin (see chart below). 2. VALUE OPPORTUNITIES ABOUND While many value stocks have recovered, a large playing field remains. "There's no shortage of value opportunities in the current market," states John Schneider, manager of PIMCO Renaissance and Value Funds. The ongoing volatility continues to yield stocks that are undeservedly cheap. 3. LONG-TERM, VALUE STOCKS HAVE OUTPERFORMED According to Ibbotson, value stocks have generally fared better than the broader stock market over the long term. For the 1928-2000 period, value stocks generated an average annual return of 13.1% compared to 10.0% for the S&P 500. 4. THEY'VE ALSO BEEN LESS VOLATILE Importantly, value stocks have achieved their outperformance with relatively less volatility. Over the past five years, value stocks have been about 35% less volatile than growth stocks.* 5. VALUE STOCKS OFFER DIVERSIFICATION Research has shown that value and growth stocks tend to outperform at different times. So investing in a value fund can help balance a portfolio's growth holdings. Recent Accolades for PIMCO's Value Funds PIMCO Small-Cap Value Fund "As the market has rotated toward cheap small caps in the wake of the tech and tele-com debacle, this buttoned-down fund has been partying big-time." -- Morningstar, August 2001 PIMCO Renaissance Fund "While value funds have outperfomred the market during the last two years, PIMCO Renaissance has done even better, besting most of its mid-cap value peers." -- Barron's, November 2001 PIMCO Value Fund "With a respectable long-term record, this offering is a fine choice for conservative investors." --Morningstar, July 2001 Value Tends to Outperform in a Post-Recessionary Environment Value stocks significantly outperformed the S&P 500 in the 12-month period following the trough of each of the last three U.S. recessions. [CHART] Source: Weisenberger. This chart is not indicative of the past or future performance of any PIMCO Fund. Past performance is no guarantee of future results. The indexes mentioned in this article are unmanaged indexes and it is not possible to invest in them directly. This article is distributed for educational purposes and should not be considered investment advice. Data is as of 9/30/01 unless otherwise indicated. *As of 9/30/01, the 5-year standard deviation of the Russell 3000 Value Index was 16.14 compared to 24.95 for the Russell 3000 Growth Index. Diversification does not ensure against loss. Equity funds are subject to the basic stock market risk that a particular security or securities, in general, may decrease in value. PIMCO Renaissance & Value Funds may invest up to 15% in foreign securities, which may entail greater risk due to foreign economic and political developments. PIMCO Small Cap Value Fund invests in smaller companies, which may entail greater risk than larger companies, including higher volatility. 8 access | Fall/Winter 2001 quick takes What's happening at PIMCO Funds? Read on for the latest news, including media highlights, fund updates, company announcements and more. MR. BOND Bill Gross, PIMCO's Chief Investment Officer, was highly visible during the past six months. [LOGO] Money magazine (October 2001) once again named him to its Ultimate Investment Club, labeling him "the most influential bond investor in the world." In a personal profile, Investors Business Daily (August 10) called him the "pre-eminent bond manager in accolades." The strong performance of Gross's flagship portfolio, PIMCO Total Return Fund, was featured in numerous media, including The Washington Post (August 26), Bloomberg (August 24), CNNfn (August 7) and The New York Times (August 3). During a time when Bill's guidance was in high demand, he appeared on CNBC and CNN over 10 times, giving his insight on the economy, interest rates and the Federal Reserve. KUDOS IN HIGH YIELD During a difficult market for high yield bond funds, PIMCO High Yield Fund continued to stand out among its peers, gaining accolades from some of the most respected names in the industry. In particular, Morningstar, in their August 2001 newsletter, picked PIMCO High Yield Fund as one of their favorite high yield offerings, stating the Fund's "conservative approach has paid off over the long term...as it has posted solid returns with far less volatility than its average peer." And, a Barron's article regarding bond market allocations (August 13) recommended an investment in PIMCO High Yield Fund for investors seeking yield with relatively low volatility. PIMCO GNMA FUND GETS A NEW MANAGER Effective October 1, 2001, Scott Simon will become the portfolio manager of PIMCO GNMA Fund. Currently the manager of PIMCO Total Return Mortgage Fund, Mr. Simon is head of mortgage-backed securities at PIMCO and is a senior member of the firm's portfolio management and strategy groups. He has more than 17 years of experience in the sector. The expansion of Mr. Simon's responsibilities comes at an important time. Because of their high credit quality and attractive yields, mortgage-backed securities have lately been favored by Bill Gross and the PIMCO bond team. For more information on PIMCO's mortgage funds, speak with your financial advisor. STRENGTH IN VALUE PIMCO Renaissance Fund, a multi-cap value offering, and PIMCO Value Fund, a large-cap value investment, both received exceptional media coverage during the third quarter. The Washington Post (August 12) highlighted PIMCO Renaissance Fund and manager John Schneider's investment approach in a lengthy fund profile. Standard & Poors performed a similar type of analysis on PIMCO Value Fund, focusing on the product's concentration within the smaller-capitalization portion of large-cap value stocks. Past performance is no guarantee of future results. Fall/Winter 2001 | access 9 [LOGO] Bill Gross and the Gross PIMCO bond team. Morningstar's only two-time Manager of the Year. Morningstar named Bill Gross and the PIMCO bond team Fixed Income Fund Manager of the Year for 2000--the second time PIMCO has won the honor. In fact, Gross and his colleagues are the only manager in any category to earn the award twice. You can access this expertise through PIMCO's acclaimed bond funds, including PIMCO Total Return Fund--America's largest bond fund. Contact your financial advisor for details. Past performance is no guarantee of future results. Morningstar Manager of the Year designation was awarded in January 2001. Award winners are chosen based upon Morningstar's own research and in-depth evaluation by its senior editorial staff. PIMCO Total Return Fund claim of "America's largest bond fund" based on total net assets by Financial Research Corp. as of 8/31/01. PIMCO FUNDS SEPTEMBER 30, 2001 Semi-Annual Report Pacific Investment Management Series Share Class D SHORT DURATION BOND FUNDS Short-Term Fund Low Duration Fund INTERMEDIATE DURATION BOND FUNDS Total Return Fund INTERNATIONAL BOND FUNDS Foreign Bond Fund Emerging Markets Bond Fund HIGH YIELD BOND FUNDS High Yield Fund MORTGAGE-BACKED BOND FUNDS GNMA Fund Total Return Mortgage Fund INFLATION-INDEXED BOND FUNDS Real Return Fund CONVERTIBLE FUNDS Convertible Fund TAX-EXEMPT BOND FUNDS Municipal Bond Fund California Interm. Municipal Bond Fund California Municipal Bond Fund New York Municipal Bond Fund Short Duration Municipal Income Fund STOCK AND BOND FUNDS Strategic Balanced Fund ENHANCED INDEXED STOCK FUNDS StocksPLUS Fund [LOGO] PIMCO FUNDS
Table of Contents Chairman's Letter................................................................ 3 Fund Summaries.................................................................4-38 Schedules of Investments.....................................................39-119 Fund Schedule of Summary Investments California Inter. Muni. Bond Fund........................4 ......................39 California Municipal Bond Fund...........................6 ......................42 Convertible Fund.........................................8 ......................44 Emerging Markets Bond Fund..............................10 ......................46 Foreign Bond Fund.......................................12 ......................48 GNMA Fund...............................................14 ......................55 High Yield Fund.........................................16 ......................57 Low Duration Fund.......................................18 ......................63 Municipal Bond Fund.....................................20 ......................71 New York Municipal Bond Fund............................22 ......................74 Real Return Fund........................................24 ......................75 Short Duration Municipal Bond Fund......................26 ......................78 Short-Term Fund.........................................28 ......................80 StocksPLUS Fund.........................................30 ......................84 Strategic Balanced Fund.................................32 ......................88 Total Return Fund.......................................34 ......................89 Total Return Mortgage Fund..............................36 .....................118 Financial Highlights........................................................120-123 Statements of Assets and Liabilities........................................124-125 Statements of Operations....................................................126-127 Statements of Changes in Net Assets.........................................128-131 Statements of Cash Flows........................................................132 Notes to Financial Statements...............................................133-139
[PHOTO] Dear Fellow Shareholder: It is impossible to look back at the past six months without reflecting on the events that took place on September 11, 2001. These unthinkable acts of terrorism had a profound impact on all Americans, including every employee at PIMCO. Though we cannot predict how the markets will react to any particular development, there are a few things that we're sure of. First, the U.S. capital markets remain the largest and most efficient in the world. Second, they will eventually recover. And finally, those who remain invested and properly diversified will participate when they do. History has shown that a well- diversified portfolio, allocated to both stocks and bonds, is an excellent investment strategy for the long term. Please remember that your financial advisor can be a valuable resource in times like these. We encourage you to work with him or her to keep current market conditions in perspective and to make sure that your investment strategy remains in sync with your long-term financial goals. In terms of our Funds' performance this period, I'm pleased to report that they once again delivered solid relative returns. In fact, the vast majority posted double-digit gains in the past year, providing investors with a much-needed stronghold. As always, I thank you for the trust you've placed in PIMCO. If you have questions concerning this report or your investment, please contact your financial advisor. You can also call PIMCO Funds at 1-800-426-0107 or visit our Web site at www.pimcofunds.com. Sincerely, Brent R. Harris /s/ Brent R. Harris Chairman of the Board October 31, 2001 9.30.01 | PIMCO Funds Semi-Annual Report 3 A TAX-EXEMPT BOND FUND PIMCO CA Intermediate Municipal Bond Fund OBJECTIVE: Seek high current income exempt from federal and California income tax. DURATION RANGE: 3-7 years TOTAL NET ASSETS: $101.2 million FUND INCEPTION DATE: 8/31/99 PORTFOLIO MANAGER: Mark McCray PORTFOLIO: Intermediate maturity municipal securities. [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund posted solid results in the past six-month, one-year periods. The Fund's Class D shares returned 3.72% for the six-month period ended September 30, 2001, slightly ahead of the Lehman Brothers Intermediate California Insured Municipal Bond Index and the Lipper California Intermediate Municipal Debt Fund Average. Yet over the past year, the Fund's outperformance was more pronounced. For the one-year period, the Fund returned a solid 9.41% compared to returns of 8.83% and 8.32% for its index and average, respectively. California municipal bonds outperformed the national market. Early in the six-month period, California municipal yields rose as aggressive Fed rate cuts fueled investor optimism for an economic recovery. However, yields fell across most maturities during the third quarter as the economy slowed further, layoffs mounted and confidence fell. The September 11 attacks exacerbated these trends, heightening uncertainty in the financial markets. After the attacks, longer-term CA yields rose while short-term yields fell in response to Fed easing and anticipated fiscal stimulus. After the attacks, longer-term CA yields rose while short-term yields fell in response to Fed easing and anticipated fiscal stimulus. "California municipal bonds remain compelling, as they offer competitive risk and tax-adjusted yields." California municipals outperformed the national market as CA yields fell in response to stabilized energy costs, modest new issuance and investors' flight to safety. Above-benchmark duration contributed the most to fund returns. Above-benchmark duration added to the Fund's performance in the past six months as California yields fell sharply across all maturities. In addition, a mod est allocation to non-California debt that qualifies for California tax-exemption enhanced returns as these bonds outperformed the California market. Issue selection involving insured CA revenue bonds further boosted relative performance as investors sought higher quality paper with attractive yields. The Fund's maturity mix, which combined short-and long-term issues, detracted from results, as long-term California yields declined the least during the period. California municipals remain attractive relative to other bond sectors. After weighing the potential impact of the terrorist attacks, PIMCO's long-term forecast for weak global growth remains intact. However, we now anticipate a sharper, V-shaped U.S. economic recovery. Further near-term economic contraction should be followed by a strong snap back sometime next year, driven by aggressive fiscal and monetary stimulus. Given this outlook, California municipal bonds remain compelling, even under recessionary conditions, as they offer competitive risk and tax-adjusted yields. For now, we intend to keep duration close to the benchmark and to target longer-term municipals with high average credit quality (AA), as California credit risk premiums could increase amid substantial new issuance and potential budget deficits. 4 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO CA Interm. Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (8/31/99) PIMCO CA Interm. Municipal Bond Fund D Shares 9.41% -- -- -- 8.11% Lipper CA Intermediate Municipal Debt Fund Average 8.32% -- -- -- -- Lehman Brothers Intermediate CA Insured Municipal Bond Index 8.83% -- -- -- --
MATURITY PROFILE Less than 1 year 18% 1-5 years 24% 5-10 years 53% 10-20 years 5% Duration 5.5 years SECTOR BREAKDOWN Municipal Bonds & Notes 99.6% Other 0.4% QUALITY BREAKDOWN AAA 55.5% AA 18.0% A 6.6% BBB 12.6% BB 7.3% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO CA Lehman Bros. Interm. Muni. Interm. CA Insured Month Bond D Muni. Bond Index ========= ============= =================== 08/31/1999 10,000 10,000 09/30/1999 10,067 10,064 10/31/1999 9,989 9,998 11/30/1999 10,071 10,080 12/31/1999 10,024 9,987 01/31/2000 10,052 10,044 02/29/2000 10,114 10,099 03/31/2000 10,292 10,247 04/30/2000 10,265 10,170 05/31/2000 10,311 10,197 06/30/2000 10,503 10,426 07/31/2000 10,638 10,569 08/31/2000 10,789 10,734 09/30/2000 10,754 10,673 10/31/2000 10,820 10,736 11/30/2000 10,870 10,784 12/31/2000 11,048 10,957 01/31/2001 11,225 11,152 02/28/2001 11,241 11,150 03/31/2001 11,344 11,200 04/30/2001 11,159 10,996 05/31/2001 11,350 11,187 06/30/2001 11,415 11,253 07/31/2001 11,551 11,438 08/31/2001 11,781 11,648 09/30/2001 11,766 11,616
- ---------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the CA municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest at least 65% of its assets in bond issuers of California exempt from regular federal income tax and California income tax. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 38 for additional footnotes, which include additional information. 9.30.01|PIMCO Funds Semi-Annual Report 5 A TAX - EXEMPT BOND FUND PIMCO CA Municipal Bond Fund OBJECTIVE: Seek high current income exempt from federal and California income tax. PORTFOLIO: Intermediate to long-term maturity municipal securities. DURATION RANGE: 3-12 years FUND INCEPTION DATE: 5/16/00 TOTAL NET ASSETS: $15.2 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund outperformed its benchmark and peers by a substantial margin. For the six-month period ended September 30, 2001, the Fund's Class D shares returned 4.80%, besting the Lehman Brothers California Insured Municipal Index, which returned 3.72%, and the Lipper California Municipal Debt Fund Average, which returned 3.46%. Notably, this strong outperformance was even more pronounced in the past year. The Fund's one-year return of 11.31% far outpaced the index and average, which returned 8.52% and 9.26%, respectively, for the same time period. California municipal bonds outperformed the national market. Early in the six-month period, California municipal yields rose as aggressive Fed rate cuts fueled investor optimism for an economic recovery. However, yields fell across most maturities during the third quarter as the economy slowed further, layoffs mounted and confidence fell. The September 11 attacks exacerbated these trends, heightening uncertainty in the financial markets. After the attacks, longer-term CA yields rose while short-term yields fell in response to Fed easing and anticipated fiscal stimulus. California municipals outperformed the national market as CA yields fell and prices rose in response to stabilized energy costs, modest new issuance and investors' flight to safety. Strong security and issue selection had a large impact on results. The Fund's underweight in uninsured California state general obligation bonds improved returns during the period, as investors--concerned that the slowing economy would diminish tax revenue--shunned these issues. In addition, exposure to non-California debt that qualifies for California tax exemption enhanced performance as these issues outperformed the California market. Individual security selection of longer-term revenue bonds, such as healthcare and water & sewer, also added to results. However, the Fund's below-benchmark duration detracted from relative performance as California municipal yields fell across all maturities. California municipals remain attractive relative to other sectors. After weighing the potential impact of the terrorist attacks, PIMCO's long-term forecast for weak global growth remains intact. However, we now anticipate a sharper, V-shaped U.S. economic recovery. Further near-term economic contraction should be followed by a strong snap back sometime next year, driven by aggressive fiscal and monetary stimulus. Given this outlook, California municipal bonds remain compelling even under recessionary conditions, as they offer attractive tax-adjusted yields relative to Treasury and agency debt. For now, we intend to keep duration close to the benchmark and to target longer-term municipals with high average credit quality (AA), as California credit risk premiums could increase amid substantial new issuance and potential budget deficits. 6 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO CA Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/16/00) PIMCO CA Municipal Bond Fund D Shares 11.31% -- -- -- 12.49% Lipper CA Municipal Debt Fund Average 9.26% -- -- -- -- Lehman Brothers CA Insured Municipal Index 8.52% -- -- -- --
MATURITY PROFILE Less than 1 year 24% 1-5 years 8% 5-10 years 28% 10-20 years 13% 20-30 years 27% Duration 7.0 years SECTOR BREAKDOWN Municipal Bonds & Notes 98.5% Other 1.5% QUALITY BREAKDOWN AAA 50.8% AA 34.0% A 3.5% BBB 6.8% BB 4.9% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO CA Insured CA Municipal Muni. Bond Month Bond D Index ===== ====== ===== 05/31/2000 10,000 10,000 06/30/2000 10,207 10,321 07/31/2000 10,347 10,475 08/31/2000 10,490 10,715 09/30/2000 10,461 10,658 10/31/2000 10,520 10,579 11/30/2000 10,579 10,662 12/31/2000 10,794 10,940 01/31/2001 10,958 11,042 02/28/2001 11,040 11,061 03/31/2001 11,110 11,151 04/30/2001 10,825 10,939 05/31/2001 11,085 11,101 06/30/2001 11,184 11,150 07/31/2001 11,426 11,338 08/31/2001 11,640 11,626 09/30/2001 11,642 11,566
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the CA municipal marketplace change. Past performance is no guarantee of future results. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. The Fund may invest up to 10% in high-yield lower-rated securities, which generally involves greater risk to principal than higher-rated bonds. The Fund may also invest in derivative instruments and mortgage-backed securities. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 7 A C O N V E R T I B L E F U N D PIMCO Convertible Fund OBJECTIVE: Seeks maximum total return, consistent with prudent investment management. PORTFOLIO: Convertible securities. DURATION RANGE: N/A FUND INCEPTION DATE: 3/31/99 TOTAL NET ASSETS: $43.2 million PORTFOLIO MANAGER: Sandra Durn [PHOTO] Sandra Durn Fund Manager Ms. Durn is head of convertible bond strategies at PIMCO. Previously the lead convertible securities portfolio manager at Nicholas-Applegate Capital Management, she has seven years of investment experience. Fund returns reflected convertible market weakness. PIMCO Convertible Fund's Class D shares returned -9.00% for the six-month period ended September 30, 2001--results that reflected the overall weakness in the convertible market. The Fund performed in line with its Lipper peer group, which returned -8.79%, but trailed its benchmark, the First Boston Convertible Bond Index, which returned -7.34%. Over the longer term, the Fund maintains a relatively strong performance record, returning 4.90% annually since inception. These results remain well ahead of its benchmark and average, which returned 3.76% and 3.44%, respectively, over the same time period. Convertibles fared better than stocks but lagged conventional bonds. Early in the six-month period, investors remained optimistic that the economy would recover in response to aggressive Fed rate cuts. Nonetheless, bond yields fell and stocks floundered as eroding corporate profits, mounting layoffs and falling consumer confidence all plagued the economy. The September 11 attacks amplified these trends, causing a flight to safety in the financial markets. Because they are more closely tied to the business environment, convertibles lagged high-quality bond sectors such as Treasuries and mortgages. They outperformed equities, however, as convertibles' lower degree of principal risk offered some downside protection. High-quality bias aided performance. Given the deteriorating credit fundamentals in the convertible market, the Fund's high-quality focus was positive for performance. An underweight exposure to telecom and technology issues also helped returns as these sectors suffered from weak corporate profits and reduced investment. Still, the Fund's above- index delta, or sensitivity to underlying equities, hurt performance as the weakening global economy took its toll on stock markets worldwide. An underweight position in zero coupon convertible bonds also detracted from relative returns as these defensively structured issues outperformed. Focus on fundamentally strong companies should be key to future results. Having measured the potential impact of the September 11 attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, as further economic contraction should be followed by a snap back later next year. In the near term, we believe that higher-quality convertibles should do well, as their downside protection should help mitigate the impact of a slowing economy. We intend to maintain our focus on companies with strong balance sheets that are well positioned to weather the slowdown, concentrating on investment-grade convertible securities. 8 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Convertible Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (3/31/99) PIMCO Convertible Fund D Shares -28.02% -- -- -- 4.90% Lipper Convertible Securities Fund Average -23.34% -- -- -- -- First Boston Convertible Bond Index -23.81% -- -- -- --
MATURITY PROFILE Less than 1 year 14% 1-5 years 29% 5-10 years 4% 10-20 years 50% 20-30 years 1% 20-30 years 2% Duration 1.4 years SECTOR BREAKDOWN Convertible Bonds & Notes 69.2% Convertible Preferred Stock 22.8% Short-Term Instruments 6.8% Other 1.2% QUALITY BREAKDOWN AAA 13.9% AA 9.9% A 28.2% BBB 35.0% BB 8.8% B 4.2% CHANGE IN VALUE For periods ended 9/30/01 [CHART]
First Boston PIMCO Convertible Month Convertible D Bond Index ======= ============= ============ 03/31/1999 10,000 10,000 04/30/1999 10,477 10,405 05/31/1999 10,663 10,309 06/30/1999 11,239 10,754 07/31/1999 11,265 10,612 08/31/1999 11,242 10,643 09/30/1999 11,347 10,671 10/31/1999 11,802 11,040 11/30/1999 12,666 11,888 12/31/1999 14,177 13,695 01/31/2000 14,466 13,489 02/29/2000 16,009 14,905 03/31/2000 16,005 14,584 04/30/2000 14,930 13,873 05/31/2000 14,462 13,129 06/30/2000 15,243 13,982 07/31/2000 14,806 13,560 08/31/2000 15,934 14,603 09/30/2000 15,655 14,396 10/31/2000 14,930 13,734 11/30/2000 13,051 12,071 12/31/2000 14,026 12,623 01/31/2001 14,458 13,363 02/28/2001 12,890 12,339 03/31/2001 12,383 11,837 04/30/2001 13,314 12,634 05/31/2001 12,989 12,562 06/30/2001 12,451 12,324 07/31/2001 12,059 12,081 08/31/2001 11,907 11,772 09/30/2001 11,269 10,968
The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The portfolio's risk/reward profile is then dynamically managed in order to modestly participate with rising equity prices while protecting again declines. Disciplined company/credit analysis maximizes the portfolio's capital appreciation potential. Past Performance is no Guarantee Of Future Results. The Fund may invest up to 35% of its assets in high yield securities which are lower rated securities, 20% in foreign currencies which can involve special risks due to foreign economic and political developments, emerging markets, and investing in smaller companies. The Fund may have to convert securities before it would otherwise choose to, which may have an adverse effect on the Fund's ability to achieve its investment objective. SEE PAGE 38 FOR ADDITIONAL FOOTNOTES, WHICH INCLUDE ADDITIONAL INFORMATION. 9.30.01 | PIMCO Funds Semi-Annual Report 9 AN INTERNATIONAL BOND FUND PIMCO Emerging Markets Bond Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Emerging market fixed income securities. DURATION RANGE: 0-8 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $66.2 million PORTFOLIO MANAGER: Mohamed El-Erian [PHOTO] Mohamed EL-Erian Fund Manager Dr. El-Erian is a managing director and head of the firm's emerging markets portfolio management team. His past experience includes 15 years with the IMF leading policy work on debt and country issues. Fund's performance trounced index and peer group. For the six-month period ended September 30, 2001, the Fund's Class D shares posted an 8.05% gain, solidly beating the J.P. Morgan Emerging Markets Bond Index Plus and Lipper Emerging Markets Debt Fund Average, which returned -1.91% and -0.02% respectively. In addition, the Fund's one-year return of 15.63% strongly outperformed the index and average, exceeding their returns by 13.85% and 12.79%, respectively. Emerging markets bonds held up relatively well amid the slowdown. The synchronized global slowdown, which was advanced by the events of September 11, proved detrimental to emerging markets bonds in the past six months. Still, the area fared better than many other fixed-income and equity markets in the wake of the attacks, reflecting the defensive positioning that had already been adopted by many investors in the sector. The J.P. Morgan Emerging Markets Index shed 5.77% for the month of September. Generally, higher quality issues outperformed during the period, while weaker economies (i.e., Argentina) posted the worst results. Low Argentine exposure greatly enhanced Fund performance. A significant underweight to Argentina was the primary source of the Fund's outperformance, as the country's problems mounted and investor confidence in the current policy regime deteriorated. Slight overweight positions in Russia and Mexico enhanced returns as both economies showed signs of fundamental strength. At the same time, an underweight position in Turkey detracted from returns as geopolitical considerations garnered international community support despite deteriorating country fundamentals. Defensive positioning should be key to near-term results. In the short-term, we expect emerging markets bonds to be subject to higher- than-normal uncertainty due to the fluid international environment. Market sentiment will likely be determined by the outlook for developed countries, the progress of the U.S.-led response to terrorism and the outcome of the Argentine situation. In light of these variables, we intend to retain a defensive posture for the Fund in terms of cash holdings, average credit quality and duration exposure. We anticipate maintaining our underweight positions in Argentina and Turkey and our overweight position in Brazil, which serves as a higher-quality substitute for regional Latin America exposure. Looking ahead, we remain confident that our long-term strategy, which favors quality and liquidity, will reward investors as the global economy begins to rebound. 10 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Emerging Markets Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO Emerging Markets Bond Fund D Shares 15.63% 22.22% -- -- 8.18% Lipper Emerging Markets Debt Fund Average 2.84% 16.53% -- -- -- J.P. Morgan Emerging Markets Bond Index Plus 1.78% 17.03% -- -- --
MATURITY PROFILE Less than 1 year 30% 1-5 years 4% 5-10 years 33% 10-20 years 17% 20-30 years 14% Over 30 years 2% Duration 4.9 years COUNTRY ALLOCATION Brazil 23.1% Short-Term Instruments 15.2% Mexico 14.1% Russia 13.5% Other 34.1% QUALITY BREAKDOWN AAA 14.5% AA 4.7% BBB 25.8% BB 32.2% B 22.8% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
J.P. Morgan PIMCO Emerging Markets Month Emerging Markets D Bond Index Plus ===== ================== =============== 07/31/1997 10,000 10,000 08/31/1997 9,879 9,960 09/30/1997 10,150 10,264 10/31/1997 8,992 9,082 11/30/1997 9,464 9,513 12/31/1997 9,703 9,841 01/31/1998 9,714 9,822 02/28/1998 9,988 10,103 03/31/1998 10,283 10,354 04/30/1998 10,306 10,379 05/31/1998 9,971 10,025 06/30/1998 9,641 9,735 07/31/1998 9,786 9,802 08/31/1998 7,056 6,985 09/30/1998 7,603 7,668 10/31/1998 7,999 8,165 11/30/1998 8,635 8,645 12/31/1998 8,529 8,429 01/31/1999 8,231 8,117 02/28/1999 8,393 8,233 03/31/1999 8,958 8,857 04/30/1999 9,703 9,462 05/31/1999 9,093 8,922 06/30/1999 9,364 9,321 07/31/1999 9,302 9,128 08/31/1999 9,283 9,115 09/30/1999 9,696 9,434 10/31/1999 10,006 9,798 11/30/1999 10,274 10,075 12/31/1999 10,754 10,620 01/31/2000 10,514 10,410 02/29/2000 11,133 11,080 03/31/2000 11,412 11,429 04/30/2000 11,193 11,211 05/31/2000 10,973 10,925 06/30/2000 11,485 11,479 07/31/2000 11,761 11,826 08/31/2000 12,169 12,243 09/30/2000 12,006 12,077 10/31/2000 11,802 11,805 11/30/2000 11,859 11,745 12/31/2000 12,276 12,284 01/31/2001 12,792 12,911 02/28/2001 12,745 12,706 03/31/2001 12,848 12,532 04/30/2001 12,922 12,458 05/31/2001 13,208 12,766 06/30/2001 13,606 12,962 07/31/2001 13,707 12,159 08/31/2001 14,407 12,760 09/30/2001 13,883 12,292
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager is guided by risk- adjusted real yields. His goal is to identify not only which countries to overweight or underweight, but where on each country's yield curve the Fund should take an exposure. Past performance is no guarantee of future results. This Fund may invest at least 80% of its assets in issuers that economically are tied to countries with emerging securities markets. Investing in foreign securities may entail greater risk due to foreign economic and political developments, this risk may be enhanced when investing in emerging markets. The Fund may also invest in high yield securities, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See Page 38 For Additional Footnotes, Which Include Additional Information. 9.30.01 | PIMCO Funds Semi-Annual Report 11 AN INTERNATIONAL BOND FUND PIMCO Foreign Bond Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Intermediate maturity hedged non-U.S. fixed income securities. DURATION RANGE: 3-7 years FUND INCEPTION DATE: 12/02/92 TOTAL NET ASSETS: $755.0 million PORTFOLIO MANAGER: Sudi Mariappa [PHOTO] Sudi Mariappa Fund Manager Mr. Mariappa is lead portfolio manager of PIMCO Foreign Bond and Global Bond II Funds and oversees the firm's Asian trading and portfolio management group in Japan. He has 12 years of investment experience. Fund outpaced its benchmark for the six-month period. For the six-month period ended September 30, 2001, PIMCO Foreign Bond Fund's Class D shares returned 3.34%, handily outpacing the portfolio's benchmark, the J.P. Morgan Non-U.S. Index (Hedged), which returned 2.57%. The Fund also outperformed the index over the one-year period, posting a gain of 10.56% versus 9.41% for the index. While the Fund slightly trailed its average Lipper peer in the past six-months, it remains well ahead of the pack over longer time periods, beating its average by 3.89% and 4.96% over the past one and three years, respectively. Plunging short-term rates, steepening yield curves dominated foreign markets. Given an environment of flagging global growth, most economies faced significant challenges prior to the events of September 11 and were further weakened in wake of the attacks. As result, the global economy is most likely suffering from its most severe slowdown since the 1974 oil price shock. In a coordinated effort, central banks worldwide cut interest rates, attempting to instill confidence, provide liquidity and revive growth. Short-term rates plunged and yield curves steepened in response, as heightened uncertainty raised expectations for further monetary easing. Duration posture and yield curve positioning added to fund returns. The Fund's strategy of extending duration through exposure to longer-term European bonds added to relative returns during the past six months, as these yields fell amid the global slowdown. In addition, our yield curve strategy, which focused on shorter-dated securities in Europe and the U.K., enhanced returns over the course of the period. While a focus on global mortgages and an underweight position in Japan were positive for performance, the Fund's allocation to real return bonds detracted from results, as these issues rallied less than conventional securities with similar maturities. Economic conditions bode well for core european bonds. PIMCO's long-term forecast of sluggish global growth remains intact after weighing the potential impact of the terrorist attacks. However, we believe that over the next year, a V-shaped U.S. recovery will lead a global economic turnaround. Moving forward, we expect to keep duration close to the benchmark and to move to a more neutral yield curve stance. We are likely to overweight core European bonds, as slow global growth and the European Central Bank (ECB)'s mandate to fight inflation should create a positive bond environment. 12 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Foreign Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/2/92) PIMCO Foreign Bond Fund D Shares 10.56% 6.08% 8.28% -- 9.29% Lipper International Income Fund Average 6.67% 1.12% 3.08% -- -- J.P. Morgan Non-U.S. Index (Hedged) 9.41% 6.13% 8.97% -- --
MATURITY PROFILE 1-5 years 17% 5-10 years 44% 10-20 years 31% 20-30 years 8% Duration 5.0 years COUNTRY ALLOCATION United States 46.3% Germany 9.2% Italy 8.4% Short-Term Instruments 7.2% United Kingdom 6.1% France 5.6% Canada 5.1% Other 12.1% QUALITY BREAKDOWN AAA 68.8% AA 18.6% A 7.7% BBB 3.8% BB 1.0% B 0.1% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
J.P. Morgan PIMCO Non-U.S. Month Foreign D Index (Hedged) ===== ========= ============== 12/31/1992 10,000 10,000 01/31/1993 10,079 10,091 02/28/1993 10,297 10,274 03/31/1993 10,332 10,280 04/30/1993 10,328 10,281 05/31/1993 10,417 10,338 06/30/1993 10,660 10,549 07/31/1993 10,824 10,667 08/31/1993 11,083 10,889 09/30/1993 11,123 10,936 10/31/1993 11,284 11,082 11/30/1993 11,312 11,159 12/31/1993 11,590 11,390 01/31/1994 11,601 11,333 02/28/1994 11,290 11,078 03/31/1994 11,089 10,977 04/30/1994 10,981 10,899 05/31/1994 10,816 10,779 06/30/1994 10,613 10,669 07/31/1994 10,675 10,739 08/31/1994 10,566 10,636 09/30/1994 10,580 10,645 10/31/1994 10,617 10,687 11/30/1994 10,770 10,838 12/31/1994 10,696 10,813 01/31/1995 10,764 10,931 02/28/1995 10,831 11,072 03/31/1995 10,834 11,297 04/30/1995 11,095 11,477 05/31/1995 11,527 11,854 06/30/1995 11,453 11,814 07/31/1995 11,667 11,963 08/31/1995 11,885 12,067 09/30/1995 12,051 12,258 10/31/1995 12,248 12,395 11/30/1995 12,725 12,667 12/31/1995 12,909 12,785 01/31/1996 13,222 12,939 02/29/1996 12,936 12,787 03/31/1996 13,142 12,893 04/30/1996 13,456 13,047 05/31/1996 13,503 13,136 06/30/1996 13,651 13,245 07/31/1996 13,780 13,345 08/31/1996 14,113 13,522 09/30/1996 14,504 13,810 10/31/1996 14,858 14,038 11/30/1996 15,213 14,319 12/31/1996 15,289 14,339 01/31/1997 15,528 14,518 02/28/1997 15,607 14,611 03/31/1997 15,407 14,533 04/30/1997 15,546 14,690 05/31/1997 15,622 14,767 06/30/1997 15,931 15,018 07/31/1997 16,162 15,257 08/31/1997 16,091 15,275 09/30/1997 16,434 15,545 10/31/1997 16,237 15,645 11/30/1997 16,451 15,757 12/31/1997 16,686 15,962 01/31/1998 16,922 16,174 02/28/1998 17,072 16,318 03/31/1998 17,280 16,464 04/30/1998 17,336 16,548 05/31/1998 17,476 16,774 06/30/1998 17,560 16,847 07/31/1998 17,834 17,003 08/31/1998 17,686 17,338 09/30/1998 18,086 17,749 10/31/1998 17,706 17,722 11/30/1998 18,032 17,914 12/31/1998 18,279 17,892 01/31/1999 18,648 18,114 02/28/1999 18,460 17,993 03/31/1999 18,567 18,207 04/30/1999 18,801 18,438 05/31/1999 18,500 18,363 06/30/1999 18,268 18,078 07/31/1999 18,270 18,031 08/31/1999 18,133 18,063 09/30/1999 18,224 18,132 10/31/1999 18,300 18,176 11/30/1999 18,330 18,281 12/31/1999 18,484 18,336 01/31/2000 18,382 18,338 02/29/2000 18,586 18,473 03/31/2000 18,846 18,743 04/30/2000 18,907 18,844 05/31/2000 19,014 18,995 06/30/2000 19,151 19,086 07/31/2000 19,306 19,224 08/31/2000 19,281 19,227 09/30/2000 19,528 19,393 10/31/2000 19,571 19,550 11/30/2000 19,855 19,896 12/31/2000 20,218 20,117 01/31/2001 20,511 20,355 02/28/2001 20,622 20,530 03/31/2001 20,892 20,685 04/30/2001 20,759 20,545 05/31/2001 20,800 20,652 06/30/2001 20,781 20,765 07/31/2001 21,263 20,954 08/31/2001 21,446 21,130 09/30/2001 21,590 21,217
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then uses a top-down country bond allocation model to determine the countries with the best risk- adjusted yields. Bottom-up strategies, including sector rotation and credit research, aid in issue selection. Past performance is no guarantee of future results. This Fund may invest at least 85% of its assets in foreign securities, which may entail greater risk due to foreign economic and political developments, may at times invest in derivatives and mortgage related securities. The Fund may invest up to 10% in high yield securities, lower rated securities generally involves greater risk to principal than investment in higher rated securities. This Fund is non- diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 13 A MORTGAGE - BACKED BOND FUND PIMCO GNMA Fund OBJECTIVE: Seeks maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Mortgage-related fixed income securities with a short to intermediate maturity. DURATION RANGE: 1-7 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $41.5 million PORTFOLIO MANAGER: Scott Mather (Note: W. Scott Simon--head of PIMCO's Mortgage-backed Securities area has assumed portfolio management responsibilities as of 10/1/01.) [PHOTO] Scott Mather Fund Manager Mr. Mather is an Executive Vice President and a senior member of PIMCO's portfolio management and strategy groups. He has over 7 years of investment experience specializing in mortgage-backed securities. Superior performance earned #1 Lipper ranking over multiple time periods. For the six-month period ended September 30, 2001, the Fund's Class D shares returned 6.57%, strongly outperforming the Lehman Brothers GNMA Index and Lipper GNMA Fund Average, which returned 5.19% and 4.83%, respectively. In addition, the Fund achieved similar results over the one-year period, returning 16.07% compared to 11.93% and 11.35% for the index and average, respectively. Its strong performance ranked the Fund #1 in its Lipper category over the past one-, three-year and since-inception time periods (1/59, 1/48, 1/42). High quality sectors rallied as economic uncertainty intensified. The economy slowed significantly over the past six months as layoffs mounted, corporate profits deteriorated, and confidence fell. The September 11 attacks magnified these trends, heightening economic uncertainty and fueling a flight to quality in the financial markets. In response, the Fed injected liquidity into the markets, slashing interest rates to their lowest levels since the early 1960s. High-quality assets rallied in this environment. Treasury and mortgage yields fell sharply, causing their prices to rise, as investors sought the high credit quality and safety offered by these sectors. Strong security and issue selection greatly enhanced Fund returns. While the Fund benefited from the overall strength in the mortgage sector in the past six months, we attribute its outperformance to a number of success-ful management strategies. In particular, strong security selection enhanced returns. The Fund's holdings of GNMA II adjustable-rate mortgages boosted performance as they provided attractive relative yields. Exposure to Collateralized Mortgage Obligations (CMOs) also enhanced returns, as they augmented portfolio yield and provided protection against increasing prepayment activity. Finally, issue selection contributed positively to performance, as the Fund's higher-coupon exposure proved to be an effective relative value strategy. Outlook for GNMAS remains favorable. After weighing the impact of the September 11 attacks, PIMCO is maintaining its secular outlook for weak global growth. However, we now foresee a sharper, V- shaped U.S. recovery. Near-term economic contraction should be followed by a strong snap-back later next year as increased fiscal and monetary stimulus takes effect. Given this environment, GNMAs should continue to perform strongly, as investors are likely to remain drawn to their relatively high yields and top credit quality. Moving forward, we will look to protect the portfolio from potential refinancing activity and rising interest rates, largely through ongoing security and issue selection. 14 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO GNMA Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO GNMA Fund D Shares 16.07% 8.15% -- -- 8.34% Lipper GNMA Fund Average 11.35% 6.17% -- -- -- Lehman Brothers GNMA Index 11.93% 7.27% -- -- --
MATURITY PROFILE Less than 1 year 35% 1-5 years 59% 5-10 years 4% 10-20 years 1% 20-30 years 1% Duration 1.7 years SECTOR BREAKDOWN Mortgage-Backed Securities 46.9% Short-Term Instruments 45.7% Other 7.4% QUALITY BREAKDOWN AAA 89.3% AA 8.5% A 1.7% BBB 0.5% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman PIMCO Brothers Month GNMA FUND D GNMA Index ----- 07/31/1997 10,000 10,000 08/31/1997 10,033 9,979 09/30/1997 10,217 10,111 10/31/1997 10,310 10,217 11/30/1997 10,331 10,248 12/31/1997 10,420 10,340 01/31/1998 10,500 10,440 02/28/1998 10,548 10,464 03/31/1998 10,558 10,508 04/30/1998 10,592 10,569 05/31/1998 10,668 10,641 06/30/1998 10,745 10,686 07/31/1998 10,774 10,746 08/31/1998 10,908 10,831 09/30/1998 11,036 10,959 10/31/1998 10,984 10,949 11/30/1998 10,939 11,011 12/31/1998 11,010 11,057 01/31/1999 11,090 11,135 02/28/1999 10,988 11,100 03/31/1999 11,116 11,167 04/30/1999 11,167 11,221 05/31/1999 11,242 11,164 06/30/1999 11,221 11,120 07/31/1999 11,229 11,047 08/31/1999 11,224 11,043 09/30/1999 11,345 11,221 10/31/1999 11,377 11,287 11/30/1999 11,367 11,292 12/31/1999 11,281 11,270 01/31/2000 11,381 11,168 02/29/2000 11,466 11,311 03/31/2000 11,644 11,489 04/30/2000 11,618 11,479 05/31/2000 11,632 11,521 06/30/2000 11,764 11,733 07/31/2000 11,840 11,795 08/31/2000 11,947 11,974 09/30/2000 12,029 12,085 10/31/2000 12,136 12,174 11/30/2000 12,408 12,346 12/31/2000 12,540 12,521 01/31/2001 12,738 12,725 02/28/2001 12,967 12,783 03/31/2001 13,103 12,859 04/30/2001 13,098 12,881 05/31/2001 13,234 12,988 06/30/2001 13,355 13,026 07/31/2001 13,670 13,249 08/31/2001 13,770 13,345 09/30/2001 13,962 13,527
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. While the Fund invests primarily in Government National Mortgage Association (GNMA) insured bonds, the manager takes advantage of opportunities throughout the mortgage market to add diversification and spread risk. Interest rate strategies and PIMCO's advanced proprietary analytics are also emphasized to add value. Past performance is no guarantee of future results. The Fund invests at least 65% of its assets in GNMA securities. The Fund can invest a small portion of its assets in foreign securities, which can entail special risks due to foreign economic and political developments and may at times invest in derivatives. Even though government bond funds may invest their assets in U.S. government securities, the government does not guarantee the fund's shares and they will fluctuate in value as market conditions change. The guarantee is to timely repayment of interest and does not eliminate market risk. GNMAs are a type of mortgage-backed security and may be sensitive to changes in prevailing interest rates and therefore may entail risk. See page 38 for footnotes, which include additional details. 9.30.01 | PIMCO Funds Semi-Annual Report 15 A HIGH YIELD BOND FUND PIMCO High Yield Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Higher yielding fixed income securities. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 12/15/92 TOTAL NET ASSETS: $3.0 billion PORTFOLIO MANAGER: Ben Trosky [PHOTO] Ben Trosky Fund Manager Mr. Trosky is Managing Director and a senior member of PIMCO's portfolio management and investment strategy groups. He has over 20 years of investment experience. Fund solidly outperformed average high yield fund. For the six-month period ended September 30, 2001, PIMCO High Yield Fund Class D shares returned -3.01%, outperforming the Lipper Current High Yield Fund Average, which fell -7.04%, but underperforming the Fund's benchmark, the Lehman Brothers BB U.S. High Yield Index, which dropped 0.66%. Over the longer term, the Fund continues to deliver superior performance, returning 8.10% annually since inception, outpacing both its Lipper peer group and its benchmark, which have returned 4.71% and 8.05% respectively, over the same time periods. A slumping economy causes high yield to reverse course. Early in the period, high yield issues continued their solid performance as the Federal Reserve extended its aggressive easing campaign, fueling optimism for an economic recovery. However, as evidence mounted that recovery would be significantly delayed and corporate profits eroded further, high yield spreads widened. The attacks of September 11 amplified these concerns, and heightened risk aversion among investors. As a result, high yield bonds suffered as investors sought the safety of Treasuries amid the turmoil. Higher quality bias, solid issue selection, contribute to returns. The Fund's emphasis on the upper credit quality tiers of the high-yield sector was positive for returns as these issues significantly outperformed lower-rated, more speculative debt. The Fund's underexposure to consumer cyclical sectors, such as retail and basic materials, enhanced returns as these credits did poorly as the economy slowed and consumer confidence declined. An overweight in telecom issues detracted from returns, as it was the worst performing high-yield sector. However, strong issue selection mitigated its impact. The Fund's avoidance of "fallen angels" such as Lucent and Xerox also hurt returns as these issues rebounded strongly from distressed pricing levels. High quality focus should continue as we watch for a recovery. After weighing the potential impact of the September 11 attacks, our secular outlook for slower global growth remains intact. In the near term, heightened uncertainty among businesses and consumers should lead to further economic weakness followed by a stronger, V-shaped recovery fueled by aggressive fiscal and monetary stimulus. In this environment, we expect to continue to focus on higher-quality high-yield bonds, while selectively adding lower quality issues that offer compelling values. We intend to maintain our emphasis on conservative industries with stable cash flows such has health-care and utilities. 16 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO High Yield Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/15/92) PIMCO High Yield Fund D Shares -1.14% 1.94% 5.00% -- 8.10% Lipper Current High Yield Fund Average -9.22% -2.12% 0.90% -- -- Lehman Bros. BB U.S. High Yield Index 4.76% 4.17% 6.27% -- --
MATURITY PROFILE Less than 1 year 13% 1-5 years 31% 5-10 years 50% 10-20 years 5% 20-30 years 1% Duration 3.8 years SECTOR BREAKDOWN Corporate Bonds & Notes 74.5% Short-Term Instruments 7.8% Asset-Backed Securities 7.5% Other 10.2% QUALITY BREAKDOWN AAA 10.3% AA 1.8% A 0.8% BBB 21.0% BB 46.3% B 19.8% CHANGE IN VALUE For periods ended 9/30/01
PIMCO Lehman Brothers High BB U.S. High Month Yield D Yield Index ===== ======= =========== 12/31/1992 10,000 10,000 01/31/1993 10,224 10,211 02/28/1993 10,409 10,361 03/31/1993 10,616 10,478 04/30/1993 10,726 10,566 05/31/1993 10,801 10,644 06/30/1993 11,091 10,870 07/31/1993 11,167 10,980 08/31/1993 11,288 11,107 09/30/1993 11,341 11,188 10/31/1993 11,642 11,338 11/30/1993 11,728 11,368 12/31/1993 11,825 11,465 01/31/1994 12,074 11,657 02/28/1994 12,068 11,644 03/31/1994 11,703 11,288 04/30/1994 11,598 11,221 05/31/1994 11,679 11,231 06/30/1994 11,692 11,265 07/31/1994 11,798 11,402 08/31/1994 11,894 11,523 09/30/1994 11,972 11,544 10/31/1994 11,975 11,571 11/30/1994 11,923 11,492 12/31/1994 12,063 11,563 01/31/1995 12,177 11,749 02/28/1995 12,507 12,106 03/31/1995 12,686 12,220 04/30/1995 12,959 12,465 05/31/1995 13,331 12,831 06/30/1995 13,436 12,944 07/31/1995 13,612 13,062 08/31/1995 13,713 13,138 09/30/1995 13,901 13,280 10/31/1995 14,100 13,384 11/30/1995 14,267 13,553 12/31/1995 14,504 13,767 01/31/1996 14,735 13,990 02/29/1996 14,747 13,940 03/31/1996 14,626 13,867 04/30/1996 14,686 13,862 05/31/1996 14,731 13,881 06/30/1996 14,787 14,031 07/31/1996 14,914 14,107 08/31/1996 15,153 14,221 09/30/1996 15,502 14,527 10/31/1996 15,652 14,729 11/30/1996 15,987 15,026 12/31/1996 16,142 15,059 01/31/1997 16,303 15,203 02/28/1997 16,550 15,386 03/31/1997 16,328 15,203 04/30/1997 16,498 15,392 05/31/1997 16,869 15,655 06/30/1997 17,113 15,857 07/31/1997 17,550 16,330 08/31/1997 17,539 16,174 09/30/1997 17,830 16,428 10/31/1997 17,843 16,484 11/30/1997 18,009 16,600 12/31/1997 18,209 16,752 01/31/1998 18,516 16,953 02/28/1998 18,611 17,031 03/31/1998 18,752 17,140 04/30/1998 18,795 17,228 05/31/1998 18,888 17,340 06/30/1998 19,022 17,446 07/31/1998 19,218 17,536 08/31/1998 18,441 17,052 09/30/1998 18,670 17,414 10/31/1998 18,479 17,191 11/30/1998 19,254 17,603 12/31/1998 19,331 17,714 01/31/1999 19,582 17,897 02/28/1999 19,416 17,764 03/31/1999 19,571 17,892 04/30/1999 19,892 18,075 05/31/1999 19,506 17,856 06/30/1999 19,496 17,815 07/31/1999 19,543 17,883 08/31/1999 19,461 17,770 09/30/1999 19,467 17,843 10/31/1999 19,438 17,782 11/30/1999 19,700 17,933 12/31/1999 19,796 18,104 01/31/2000 19,701 17,975 02/29/2000 19,743 18,009 03/31/2000 19,342 17,838 04/30/2000 19,379 17,899 05/31/2000 19,276 17,906 06/30/2000 19,638 18,293 07/31/2000 19,788 18,597 08/31/2000 20,069 18,883 09/30/2000 20,003 18,790 10/31/2000 19,588 18,507 11/30/2000 19,212 18,410 12/31/2000 19,622 18,779 01/31/2001 20,424 19,470 02/28/2001 20,634 19,748 03/31/2001 20,387 19,815 04/30/2001 20,230 20,017 05/31/2001 20,454 20,308 06/30/2001 20,129 20,157 07/31/2001 20,437 20,480 08/31/2001 20,607 20,699 09/30/2001 19,774 19,685
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The Fund focuses on upper-tier credits of the high yield market because historically they have delivered the best risk-return profile. Importantly, income, capital appreciation and capital preservation are all considered in structuring the portfolio. Past performance is no guarantee of future results. This Fund may invest at least 65% of its assets in high yield securities rated below investment grade but rated at least B by Moody's or S&P. This Fund may also invest in foreign securities, which may entail greater risk due to foreign economic and political developments, and may at times invest in derivatives and mortgage-related securities. An investment in high yield securities, lower rated securities generally involves greater risk to principal than an investment in higher-rated bonds. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 17 A SHORT DURATION BOND FUND PIMCO Low Duration Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Short maturity fixed income securities. DURATION RANGE: 1-3 years Fund Inception Date: 5/11/87 TOTAL NET ASSETS: $5.1 billion PORTFOLIO MANAGER: Bill Gross [Photo] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund returned a solid 4.61% for the six-month period. PIMCO Low Duration Fund's Class D shares returned 4.61% for the six-month period ended September 30, 2001, outperforming its Lipper category average, which returned 4.08%. The Fund's performance was slightly ahead of that of its benchmark, the Merrill Lynch 1-3 Year Treasury Index, which returned 4.59% for the same time period. Weakening economic picture prompted a rally in high-quality sectors. Worldwide, interest rates plunged and yield curves steepened as the events of September 11 exacerbated weakness in the global economy and heightened uncertainty among investors. The U.S. Federal Reserve, already well into its easing campaign, responded by injecting further liquidity into the banking system, leading central banks around the globe in cutting interest rates. Within this environment, Treasuries and mortgages were the best performing bond market sectors, as higher quality assets rallied amid a flight to safety in the financial markets. Conservative positioning benefited fund performance. Based on PIMCO's long-term outlook for sluggish global growth, we had positioned the portfolio for weak corporate profits and easy monetary policy going into the period. This conservative posture helped the Fund's performance during the past six months, as poor corporate earnings and uncertainty after the September 11 attacks altered any expectations for a quick economic recovery. In addition, prescient duration positioning boosted returns throughout the period. Initially, above-benchmark duration was a moderate positive as short- dated yields fell. Later, our decision to move the duration closer to the benchmark worked to the Fund's advantage as lower yields fully reflected the economic weakness. Exposure to high-quality issues, including mortgages and asset-backed bonds, was also beneficial. However, our relatively broad maturity structure hindered returns as shorter yields fell the most during the period. High quality bias should continue in the months ahead. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, over the near-term, we foresee a V-shaped U.S. economic recovery in the next year. In our view, this will likely entail at least two quarters of contraction followed by a snap-back driven by fiscal and monetary stimulus. After the strong rally in the U.S. bond markets, we expect to remain neutral regarding duration positioning in the coming months. In addition, we intend to remain focused on high quality assets while we assess the changing economic landscape. 18 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Low Duration Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/11/87) PIMCO Low Duration Fund D Shares 9.87% 6.21% 6.97% 6.82% 7.61% Lipper Short Inv. Grade Debt Fund Average 9.38% 5.93% 6.28% 6.14% -- Merrill Lynch 1-3 Year Treasury Index 10.38% 6.42% 6.83% 6.39% --
MATURITY PROFILE Less than one year 41% 1-5 years 52% 5-10 years 5% 10-20 years 1% Over 30 years 1% Duration 1.5 years SECTOR BREAKDOWN Mortgage-Backed Securities 57.5% Corporate Bonds & Notes 25.1% Short-Term Instruments 5.9% U.S. Treasury Obligations 5.4% Other 6.1% QUALITY BREAKDOWN AAA 71.8% AA 4.0% A 12.6% BBB 9.8% BB 1.8% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Merrill Lynch PIMCO 1-3 yr. Treas. Month Low Duration D Index ========== ============== ============== 05/31/1987 10,000 10,000 06/30/1987 10,091 10,109 07/31/1987 10,125 10,158 08/31/1987 10,121 10,167 09/30/1987 10,094 10,127 10/31/1987 10,254 10,351 11/30/1987 10,367 10,414 12/31/1987 10,425 10,480 01/31/1988 10,595 10,648 02/29/1988 10,669 10,735 03/31/1988 10,733 10,756 04/30/1988 10,775 10,772 05/31/1988 10,797 10,756 06/30/1988 10,895 10,868 07/31/1988 10,950 10,876 08/31/1988 10,991 10,899 09/30/1988 11,090 11,026 10/31/1988 11,190 11,136 11/30/1988 11,201 11,106 12/31/1988 11,248 11,132 01/31/1989 11,339 11,219 02/28/1989 11,354 11,219 03/31/1989 11,395 11,270 04/30/1989 11,527 11,443 05/31/1989 11,761 11,614 06/30/1989 12,015 11,831 07/31/1989 12,188 12,006 08/31/1989 12,128 11,932 09/30/1989 12,187 12,003 10/31/1989 12,345 12,184 11/30/1989 12,454 12,299 12/31/1989 12,513 12,348 01/31/1990 12,502 12,358 02/28/1990 12,585 12,416 03/31/1990 12,649 12,457 04/30/1990 12,637 12,482 05/31/1990 12,847 12,673 06/30/1990 12,982 12,806 07/31/1990 13,121 12,966 08/31/1990 13,143 13,005 09/30/1990 13,212 13,111 10/31/1990 13,304 13,255 11/30/1990 13,460 13,386 12/31/1990 13,601 13,548 01/31/1991 13,724 13,672 02/28/1991 13,829 13,754 03/31/1991 13,943 13,846 04/30/1991 14,109 13,977 05/31/1991 14,216 14,062 06/30/1991 14,302 14,119 07/31/1991 14,457 14,242 08/31/1991 14,661 14,437 09/30/1991 14,848 14,593 10/31/1991 14,973 14,750 11/30/1991 15,132 14,903 12/31/1991 15,383 15,131 01/31/1992 15,392 15,107 02/29/1992 15,465 15,160 03/31/1992 15,469 15,154 04/30/1992 15,574 15,293 05/31/1992 15,729 15,432 06/30/1992 15,872 15,590 07/31/1992 16,078 15,765 08/31/1992 16,181 15,903 09/30/1992 16,338 16,055 10/31/1992 16,340 15,959 11/30/1992 16,345 15,933 12/31/1992 16,511 16,084 01/31/1993 16,663 16,251 02/28/1993 16,856 16,390 03/31/1993 16,947 16,439 04/30/1993 17,024 16,541 05/31/1993 17,039 16,495 06/30/1993 17,204 16,616 07/31/1993 17,259 16,655 08/31/1993 17,423 16,800 09/30/1993 17,486 16,855 10/31/1993 17,603 16,888 11/30/1993 17,616 16,892 12/31/1993 17,735 16,954 01/31/1994 17,828 17,063 02/28/1994 17,747 16,954 03/31/1994 17,666 16,870 04/30/1994 17,604 16,810 05/31/1994 17,581 16,834 06/30/1994 17,613 16,884 07/31/1994 17,773 17,029 08/31/1994 17,844 17,089 09/30/1994 17,814 17,050 10/31/1994 17,808 17,088 11/30/1994 17,808 17,012 12/31/1994 17,794 17,050 01/31/1995 17,954 17,288 02/28/1995 18,177 17,525 03/31/1995 18,246 17,623 04/30/1995 18,470 17,780 05/31/1995 18,801 18,091 06/30/1995 18,893 18,188 07/31/1995 18,895 18,263 08/31/1995 19,095 18,372 09/30/1995 19,261 18,461 10/31/1995 19,402 18,617 11/30/1995 19,623 18,782 12/31/1995 19,851 18,926 01/31/1996 19,992 19,087 02/29/1996 19,858 19,006 03/31/1996 19,844 18,989 04/30/1996 19,848 19,005 05/31/1996 19,862 19,044 06/30/1996 20,058 19,181 07/31/1996 20,121 19,256 08/31/1996 20,215 19,323 09/30/1996 20,496 19,498 10/31/1996 20,787 19,717 11/30/1996 21,064 19,868 12/31/1996 21,003 19,868 01/31/1997 21,173 19,962 02/28/1997 21,253 20,007 03/31/1997 21,162 20,000 04/30/1997 21,414 20,163 05/31/1997 21,589 20,301 06/30/1997 21,753 20,440 07/31/1997 22,099 20,665 08/31/1997 22,081 20,684 09/30/1997 22,271 20,841 10/31/1997 22,432 20,996 11/30/1997 22,492 21,047 12/31/1997 22,661 21,191 01/31/1998 22,829 21,396 02/28/1998 22,902 21,415 03/31/1998 22,996 21,502 04/30/1998 23,113 21,603 05/31/1998 23,256 21,718 06/30/1998 23,307 21,831 07/31/1998 23,412 21,933 08/31/1998 23,499 22,209 09/30/1998 23,971 22,503 10/31/1998 23,930 22,613 11/30/1998 24,064 22,594 12/31/1998 24,206 22,673 01/31/1999 24,308 22,763 02/28/1999 24,174 22,652 03/31/1999 24,375 22,810 04/30/1999 24,497 22,883 05/31/1999 24,414 22,868 06/30/1999 24,421 22,940 07/31/1999 24,419 23,012 08/31/1999 24,431 23,079 09/30/1999 24,609 23,229 10/31/1999 24,705 23,291 11/30/1999 24,806 23,335 12/31/1999 24,849 23,368 01/31/2000 24,814 23,359 02/29/2000 24,987 23,515 03/31/2000 25,165 23,661 04/30/2000 25,215 23,722 05/31/2000 25,286 23,820 06/30/2000 25,584 24,067 07/31/2000 25,733 24,219 08/31/2000 26,013 24,398 09/30/2000 26,138 24,573 10/31/2000 26,133 24,705 11/30/2000 26,331 24,939 12/31/2000 26,674 25,236 01/31/2001 27,103 25,552 02/28/2001 27,230 25,718 03/31/2001 27,451 25,933 04/30/2001 27,525 26,002 05/31/2001 27,743 26,149 06/30/2001 27,806 26,238 07/31/2001 28,273 26,532 08/31/2001 28,440 26,685 09/30/2001 28,716 27,124
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then employs a number of value-adding strategies, including duration management, sector allocation and liquidity management. Investment in a wide range of short-term instruments further enhances total return potential. Past performance is no guarantee of future results. The Fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. The Fund may invest up to 10% in high yield securities, lower rated securities generally involves greater risk to principal than investment in higher rated securities, may at times invest in derivatives and mortgage related securities. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 19 A TAX - EXEMPT BOND FUND PIMCO Municipal Bond Fund OBJECTIVE: High current income exempt from federal income tax, consistent with preservation of capital. PORTFOLIO: Intermediate to long-term maturity municipal securities, exempt from Federal income tax. DURATION RANGE: 3-10 years FUND INCEPTION DATE: 12/31/97 TOTAL NET ASSETS: $109.1 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Six-month, one-year results beat index and peer group. For the six-month period ended September 30, 2001, the Fund's Class D shares returned 4.32%, outperforming the Lehman General Municipal Bond Index, which returned 3.48%, and the Lipper General Municipal Debt Fund Average, which returned 3.07%. The Fund also posted strong results over the one-year period, gaining 11.10% versus 10.41% and 9.54% for the index and average, respectively. Municipals trailed taxable debt amid a flight to safety. The economy experienced a significant slowdown over the past six months as corporate profits weakened, layoffs mounted and confidence declined. The September 11 attacks exacerbated these weaknesses, causing heightened uncertainty among investors and businesses. Generally, municipal yields fell throughout the period. However, longer-term yields rose and short-term yields fell further after the attacks in response to Fed easing and an anticipated increase in fiscal stimulus. Municipal bonds underperformed taxable debt in this environment, as investors favored Treasuries and agencies in a flight to safety. Above-benchmark duration contributed the most to Fund returns. The Fund's above-benchmark duration contributed strongly to performance as municipal yields fell across all maturities. In addition, yield curve positioning boosted returns as our overweight in intermediate maturities proved successful; these yields fell further than long-term issues. The Fund's high- quality focus also aided results as lower-tier credit premiums increased. However, the portfolio's exposure to transportation bonds, specifically airport issues, lowered relative returns, as revenues and debt servicing ability were impaired by the September 11 attacks. Municipal bonds should continue to offer strong relative values. After weighing the impact of the September 11 terrorist attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, with near-term economic contraction followed by a snapback later next year. Given this environment, municipal bonds should continue to provide strong relative values as they offer high credit quality and attractive tax-adjusted yields. For now, we intend to target duration near the benchmark and retain our high-quality focus, as we believe that long-term yields are unlikely to fall much further and premiums on lower-rated municipals are likely to widen. 20 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (12/31/97) PIMCO Municipal Bond Fund D Shares 11.10% 4.43% -- -- 5.05% Lipper General Municipal Debt Fund Average 9.54% 3.63% -- -- -- Lehman Brothers General Municipal Bond Index 10.41% 5.19% -- -- --
MATURITY PROFILE 1-5 years 18% 5-10 years 49% 10-20 years 31% 20-30 years 1% Over 30 years 1% Duration 7.0 years SECTOR BREAKDOWN Municipal Bonds& Notes 99.5% Other 0.5% QUALITY BREAKDOWN AAA 46.8% AA 19.6% A 6.9% BBB 17.5% BB 9.2% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO General Municipal Month Municipal Bond D Bond Index ========== ================ ================= 12/31/1997 10,000 10,000 01/31/1998 10,115 10,103 02/28/1998 10,065 10,106 03/31/1998 10,070 10,115 04/30/1998 10,001 10,070 05/31/1998 10,196 10,229 06/30/1998 10,228 10,269 07/31/1998 10,236 10,294 08/31/1998 10,423 10,454 09/30/1998 10,560 10,585 10/31/1998 10,535 10,585 11/30/1998 10,560 10,622 12/31/1998 10,569 10,648 01/31/1999 10,706 10,775 02/28/1999 10,635 10,727 03/31/1999 10,641 10,742 04/30/1999 10,659 10,769 05/31/1999 10,578 10,707 06/30/1999 10,381 10,553 07/31/1999 10,399 10,591 08/31/1999 10,287 10,506 09/30/1999 10,270 10,510 10/31/1999 10,136 10,397 11/30/1999 10,238 10,507 12/31/1999 10,139 10,428 01/31/2000 10,078 10,383 02/29/2000 10,182 10,504 03/31/2000 10,411 10,734 04/30/2000 10,358 10,670 05/31/2000 10,309 10,615 06/30/2000 10,541 10,896 07/31/2000 10,668 11,048 08/31/2000 10,834 11,218 09/30/2000 10,824 11,159 10/31/2000 10,924 11,281 11/30/2000 10,895 11,367 12/31/2000 11,143 11,647 01/31/2001 11,242 11,763 02/28/2001 11,406 11,800 03/31/2001 11,529 11,907 04/30/2001 11,374 11,778 05/31/2001 11,592 11,905 06/30/2001 11,706 11,985 07/31/2001 11,903 12,162 08/31/2001 12,176 12,363 09/30/2001 12,027 12,321
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the overall municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest more than 25% of its assets in bond issuers of California and New York. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It is important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 21 A TAX - EXEMPT BOND FUND PIMCO NY Municipal Bond Fund OBJECTIVE: Seek high current income exempt from federal and New York income tax. Capital appreciation is a secondary objective. PORTFOLIO: Primarily intermediate to long-term maturity municipal securities (exempt from federal and New York income tax). FUND INCEPTION DATE: 8/31/99 DURATION RANGE: 3-12 years TOTAL NET ASSETS: $5.0 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund generated solid returns for the six-month and one-year periods. For the six-month period ended September 30, PIMCO New York Municipal Bond Fund delivered strong results for its shareholders, with the Fund's Class D shares returning 3.73%. These results compared favorably to the Lehman Brothers New York Insured Municipal Bond Index, which returned 3.09%, and the Fund's Lipper category average, which returned 2.90%. In addition, the Fund continued its strong track record over the past year, posting a solid 11.32% gain for the one- year period and once again and beating its benchmark and peers. NY municipals underperformed the national market amid investor uncertainty. The economy slowed drastically during the period as corporate profits eroded, layoffs mounted and confidence declined. The September 11 attacks exacerbated these weaknesses, causing heightened uncertainty among investors and businesses. Generally, municipal yields fell throughout the period. However, longer-term yields rose and short-term yields fell further after the attacks in response to Fed easing and an anticipated increase in fiscal stimulus. New York underperformed the national market during this time as concerns surfaced over the financial impact of the terrorist attacks on the local economy. Duration posture, issue selection bolstered Fund returns. Although the New York municipal market softened in the wake of the September 11 attacks, the Fund was able to achieve above-average results through yield curve positioning and overall strong issue selection. Specifically, an overweight in intermediate maturity issues added to returns as these yields fell further than longer-term issues, resulting in significant price appreciation. Issue selection in revenue and healthcare bonds also boosted returns as the Fund's individual holdings outperformed these segments as a whole. A below-benchmark duration was negative for performance as New York municipal yields fell across all maturities. Also, modest exposure to transportation issues, especially airport revenue bonds, detracted from results as investors demanded higher credit premiums for these issues. NY municipals remain attractive moving forward. After weighing the impact of the September 11 terrorist attacks, PIMCO's long- term outlook for weak global growth remains intact. However, we now anticipate a V-shaped U.S. recovery, with near-term economic contraction followed by a snapback later next year. Given this outlook, New York municipals remain attractive--regardless of recessionary conditions--as they offer favorable tax- adjusted yields relative to Treasury and agency bonds. For now, we intend to keep duration close to the benchmark and to target high credit quality issues, as New York credit risk premiums could increase amid substantial new issuance and potential budget deficits. 22 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO NY Municipal Bond Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (8/31/99) PIMCO NY Municipal Bond Fund D Shares 11.32% -- -- -- 8.54% Lipper New York Intermediate Municipal Debt Fund Average 9.74% -- -- -- -- Lehman Brothers NY Ins. Municipal Bond Index 10.85% -- -- -- --
MATURITY PROFILE Less than 1 year 5% 1-5 years 9% 5-10 years 53% 10-20 years 6% 20-30 years 21% Over 30 years 6% Duration 6.9 years SECTOR BREAKDOWN Municipal Bonds & Notes 98.3% Other 1.7% QUALITY BREAKDOWN AAA 26.1% AA 15.4% A 15.4% BBB 43.1% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Brothers PIMCO NY Interm. NY Ins. NY Municipal Municipal Bond Municipal Bond Month Bond D Index Index ========== ============ ============== =============== 08/31/1999 10,000 10,000 10,000 09/30/1999 10,036 10,031 9,987 10/31/1999 9,954 9,983 9,848 11/30/1999 10,041 10,062 9,986 12/31/1999 10,001 10,019 9,883 01/31/2000 9,951 9,983 9,826 02/29/2000 10,013 10,037 9,973 03/31/2000 10,171 10,183 10,227 04/30/2000 10,110 10,146 10,128 05/31/2000 10,073 10,116 9,923 06/30/2000 10,315 10,363 10,245 07/31/2000 10,430 10,499 10,381 08/31/2000 10,641 10,652 10,564 09/30/2000 10,656 10,612 10,499 10/31/2000 10,784 10,707 10,632 11/30/2000 10,849 10,763 10,725 12/31/2000 11,062 10,993 11,060 01/31/2001 11,210 11,176 11,156 02/28/2001 11,295 11,162 11,166 03/31/2001 11,435 11,276 11,288 04/30/2001 11,344 11,189 11,178 05/31/2001 11,651 11,306 11,309 06/30/2001 11,743 11,362 11,373 07/31/2001 11,965 11,507 11,549 08/31/2001 12,271 11,691 11,743 09/30/2001 11,863 - 11,638
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the NY municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest 10% of its assets in high yield bonds, lower-rated securities generally involve greater risk to principal than investments in higher-rated securities and may at times invest in derivatives and mortgage related securities. The Fund may invest at least 65% of its assets in bond issuers of New York exempt from regular federal income tax and New York income tax. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It's important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. This Fund is non-diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified Fund. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 23 AN INFLATION - INDEXED BOND FUND PIMCO Real Return Fund OBJECTIVE: Maximum real return, consistent with preservation of real capital and prudent investment management. PORTFOLIO: Primarily inflation-indexed fixed income securities. DURATION RANGE: N/A FUND INCEPTION DATE: 1/29/97 TOTAL NET ASSETS: $1.9 billion PORTFOLIO MANAGER: John Brynjolfsson [PHOTO] John Brynjolfsson Fund Manager A renowned expert in his field, Mr. Brynjolfsson is co-author of Inflation- Protection Bonds and co-editor of The Handbook of Inflation-Indexed Bonds. He has 15 years of investment experience. Fund delivered a strong 13.50% return for the past year. As of September 30, 2001, PIMCO Real Return Class D shares posted solid results for shareholders, returning 4.34% and 13.50% for the six-month and one-year periods, respectively. These returns compared favorably to the Fund's benchmark, the Lehman Brothers Global Real: U.S. TIPS Index, which returned 4.07% and 13.20%, respectively, for the same time periods. Shifting economic picture stole Treasury Inflation-Protected Securitie's momentum. Early in the six-month period, short maturity real yields fell in response to Fed easing while intermediate real yields rose amid anticipation that economic growth would rebound quickly, TIPS, in general, outperformed at this time as large inflation increases worked to the asset class' advantage. However, TIPS trailed conventional Treasuries later in the period as it became clear that the economic recovery would be delayed. The September 11 attacks served to exacerbate weakness in the global economy, causing investors to favor conventional Treasuries over other fixed-income assets. Exposure to shorter maturities was beneficial. The Fund's overweight position in short- and intermediate-maturity TIPS was strongly positive for performance as intermediate real yields dropped substantially more than long-term real yields. In addition, limited exposure to high-quality non-U.S. securities, including French OATi and Swedish linkers, added to returns as non-U.S. real return bonds appreciated during the period. Allocations to short-duration conventional corporates modestly reduced returns-- the result of increasing credit premiums as economic growth slowed and corporate profits declined. Below-benchmark duration hindered performance later in the period as the yield curve shifted in parallel. Inflation outlook bodes well for real return bonds. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, in the near-term, we are now expecting a sharper, V-shaped U.S. recovery, as heightened uncertainty should be followed by a snapback driven by accelerated fiscal and monetary stimulus. We believe TIPS should perform in line with high-quality, conventional debt while inflation remains muted, but should outperform further out on the horizon as positive growth returns and inflation expectations increase. For now, we expect to keep duration near the benchmark as mild inflation rates will keep potential real yields in check. In addition, we intend to focus on intermediate-maturity TIPS, which offer attractive real yields and could benefit substantially when inflation begins to rise. 24 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Real Return Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (1/29/97) PIMCO Real Return Fund D Shares 13.50% 9.25% -- -- 7.78% Lipper Intermediate U.S. Treasury Fund Average 13.16% 6.98% -- -- -- Lehman Brothers Global Real: U.S. TIPS Index 13.20% 7.94% -- -- --
MATURITY PROFILE 5-10 years 72% 10-20 years 1% 20-30 years 27% Duration 2.8 years SECTOR BREAKDOWN U.S. Treasury Obligations 80.6% Corporate Bonds & Notes 13.4% Other 6.0% QUALITY BREAKDOWN AAA 85.0% AA 3.6% A 7.2% BBB 2.4% BB 1.8% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. Global PIMCO Real: U.S. TIPS MONTH Real Return D Index ===== ============= ===== 01/31/1997 10,000 10,000 02/28/1997 10,031 10,033 03/31/1997 9,938 9,896 04/30/1997 9,996 9,956 05/31/1997 10,053 10,010 06/30/1997 10,028 9,978 07/31/1997 10,149 10,072 08/31/1997 10,167 10,103 09/30/1997 10,183 10,123 10/31/1997 10,308 10,227 11/30/1997 10,359 10,284 12/31/1997 10,302 10,241 01/31/1998 10,359 10,291 02/28/1998 10,344 10,282 03/31/1998 10,364 10,277 04/30/1998 10,417 10,315 05/31/1998 10,456 10,388 06/30/1998 10,489 10,414 07/31/1998 10,566 10,463 08/31/1998 10,570 10,486 09/30/1998 10,812 10,697 10/31/1998 10,865 10,721 11/30/1998 10,846 10,710 12/31/1998 10,796 10,646 01/31/1999 10,951 10,769 02/28/1999 10,923 10,693 03/31/1999 10,985 10,689 04/30/1999 11,163 10,760 05/31/1999 11,240 10,834 06/30/1999 11,223 10,841 07/31/1999 11,239 10,835 08/31/1999 11,293 10,854 09/30/1999 11,337 10,896 10/31/1999 11,355 10,918 11/30/1999 11,439 10,984 12/31/1999 11,369 10,896 01/31/2000 11,434 10,945 02/29/2000 11,514 11,047 03/31/2000 11,857 11,369 04/30/2000 12,004 11,520 05/31/2000 11,967 11,490 06/30/2000 12,123 11,635 07/31/2000 12,215 11,734 08/31/2000 12,327 11,821 09/30/2000 12,425 11,883 10/31/2000 12,554 12,026 11/30/2000 12,735 12,201 12/31/2000 12,851 12,332 01/31/2001 13,176 12,590 02/28/2001 13,417 12,803 03/31/2001 13,517 12,926 04/30/2001 13,617 12,998 05/31/2001 13,793 13,152 06/30/2001 13,774 13,136 07/31/2001 13,994 13,355 08/31/2001 14,029 13,374 09/30/2001 14,105 13,451
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager focuses on duration management and manages yield curve exposure based on the firm's outlook for real yields. Although the Fund is mainly invested in U.S. Treasury-Inflation Protection Securities (TIPS), sector rotation allows the manager to invest in other areas where he finds value on an inflation-adjusted basis. Past performance is no guarantee of future results. This Fund may invest up to 35% in foreign securities, which may entail greater risk due to foreign economic and political developments. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 25 AN INTERMEDIATE DURATION BOND FUND PIMCO Short Duration Municipal Income Fund OBJECTIVE: Seeks high current income exempt from Federal income tax consistent with preservation of capital. PORTFOLIO: Short and intermediate maturity municipal securities. DURATION RANGE: 0-2 years FUND INCEPTION DATE: 8/31/99 TOTAL NET ASSETS: $14.6 million PORTFOLIO MANAGER: Mark McCray [PHOTO] Mark McCray Fund Manager Mr. McCray is responsible for municipal bond portfolios at PIMCO. Previously Co- Head of Municipal Bond Trading at Goldman Sachs & Co., he has over 10 years of investment experience. Fund returned a respectable 2.51% for the six-month period. Consistent with the overall strength in the municipal bond market, the Fund's Class D shares returned 2.51% for the six-month period ended September 30, 2001. These results slightly trailed the Lehman 1-Year Municipal Bond Index and Lipper Short Municipal Debt Fund Average, which returned 2.85% and 2.63%, respectively, for the same time period. In addition, the Fund provided solid results for shareholders in the past year, returning 5.85% over that time. High-quality bond sectors rallied amid a flight to safety. The economy slowed significantly during the period as corporate profits eroded, layoffs mounted and confidence declined. This environment was generally positive for municipal bond investors, as yields fell and prices rose across all maturities. The September 11 attacks exacerbated the already weak U.S. economic picture, causing short-term Treasury and mortgage yields to rally in a flight to quality by investors. However, short-term municipals under-performed similar- maturity Treasuries in the wake of the attacks, as investors favored the safety of U.S. government securities. Above-benchmark duration enhanced performance. During the period, the Fund's above-benchmark duration boosted returns as municipal yields fell across all maturities. However, the Fund's extended maturity mix, which combined short-term issues with longer-term bonds detracted from results, as long-term yields fell less than those of shorter-term issues. Modest exposure to transportation issues, especially airport bonds, was also negative for relative performance, since the revenue sources and debt servicing of these issues were adversely affected by the terrorist attacks. Short-term municipals remain attractive on a tax-adjusted basis. After weighing the impact of the September 11 terrorist attacks, PIMCO is maintaining its long-term outlook for weak global growth. However, we now anticipate a V-shaped U.S. recovery, with near-term economic contraction followed by a snapback later next year. Given this environment, municipal bonds remain attractive on a tax-adjusted basis, as they continue to offer compelling yields relative to Treasuries. For now, we intend to keep duration above the benchmark, as we believe that short-term municipal yields could fall further in response to a sluggish economy and further Fed easing. We also plan to maintain a broader-than-index maturity structure to take advantage of a potentially steepening municipal yield curve. 26 PIMCO Funds Semi-Annual Report | 9:30.01 PIMCO Short Duration Muni. Income Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (8/31/99) PIMCO Short Duration Municipal Bond Fund D Shares 5.85% -- -- -- 4.93% Lipper Short Municipal Debt Fund Average 6.17% -- -- -- -- Lehman Bros. 1 Yr. Municipal Bond Index 6.65% -- -- -- --
MATURITY PROFILE Less than 1 year 44% 1-5 years 35% 5-10 years 21% Duration 1.86 years SECTOR BREAKDOWN Municipal Bonds & Notes 99.7% Short-Term Instruments 0.3% QUALITY BREAKDOWN AAA 38.5% AA 34.6% A 5.3% BBB 21.6% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO Short 1 year Muni. MONTH Duration D Bond Index ========== =========== ============ 08/31/1999 10,000 10,000 09/30/1999 10,027 10,024 10/31/1999 10,047 10,046 11/30/1999 10,076 10,077 12/31/1999 10,099 10,085 01/31/2000 10,137 10,124 02/29/2000 10,152 10,154 03/31/2000 10,195 10,198 04/30/2000 10,207 10,222 05/31/2000 10,222 10,238 06/30/2000 10,288 10,322 07/31/2000 10,339 10,380 08/31/2000 10,396 10,433 09/30/2000 10,445 10,456 10/31/2000 10,512 10,505 11/30/2000 10,537 10,545 12/31/2000 10,644 10,624 01/31/2001 10,700 10,751 02/28/2001 10,748 10,786 03/31/2001 10,786 10,842 04/30/2001 10,779 10,863 05/31/2001 10,842 10,940 06/30/2001 10,917 10,983 07/31/2001 10,973 11,031 08/31/2001 11,077 11,097 09/30/2001 11,057 11,152
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. Rather than stretch for maximum yield, PIMCO's municipal bond team seeks to maximize after-tax total return. The portfolio is scrutinized using a process that models the potential changes in yield and price as the underlying variables of the overall municipal marketplace change. Past performance is no guarantee of future results. The Fund may invest at least 80% of its assets in debt securities exempt from federal income tax. The Fund may invest at times invest in derivatives and mortgage related securities. The Fund may invest more than 25% of its assets in bond issuers of California and New York. The Fund may realize gains and shareholders will incur a tax liability from time to time. Income from the Fund is subject to state and local taxes & may at times be subject to the alternative minimum tax. It's important to note that a fund concentrating in a single state is subject to greater risk of adverse economic conditions and regulatory changes than a fund with broader geographical diversification. See page 38 for additional footnotes, which includes additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 27 A SHORT DURATION BOND FUND PIMCO Short-Term Fund OBJECTIVE: Maximum current income, consistent with preservation of capital and daily liquidity. PORTFOLIO: Money market instruments and short maturity fixed income securities. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 10/07/87 TOTAL NET ASSETS: $1.5 billion PORTFOLIO MANAGER: Paul McCulley [PHOTO] Paul MCCulley Fund Manager Mr. McCulley is Managing Director responsible for supervising short-term investment strategies at PIMCO. He has 19 years of investment experience. Fund continued its record of outperformance. In keeping with its long-term track record, PIMCO Short-Term Fund outperformed its benchmark, the Salomon 3-Month T-Bill Index, for the six-month period ended September 30, 2001. Class D shares returned 2.75% compared to 2.00% for the index. The Fund slightly outperformed the Lipper Ultra-Short Obligations Fund Average for the same period and remained solidly ahead of its category for the past year, returning 6.77%. Heightened uncertainty sparked further global weakening. The events of September 11 had a meaningful impact on the reporting period as a whole, as the attacks accentuated weakness in the global economy and heightened risk aversion among investors, consumers and businesses. To counter the economic turmoil, a number of central banks joined an already accommodative U.S. Federal Reserve in cutting interest rates and injecting liquidity into the markets. Bonds performed relatively well in this environment, with shorter-maturity, higher-quality assets, such as Treasuries and mortgages, performing the best. Positioning paid off as short-term interest rates fell. Strategies that focused on the short end of the yield curve were strongly positive for Fund performance, as this part of the curve benefited the most from the flight to quality. The Fund's above-benchmark duration, which had been its emphasis for some time, enhanced performance as short-term interest rates fell. In addition, a focus on high-quality, mortgage-related securities boosted returns as they provided a relatively safe source of incremental yield. However, exposure to real return bonds detracted from relative performance as an exacerbated U.S. slowdown diminished inflation expectations. Long-term outlook remains intact. After weighing the potential impact of the terrorist attacks, we believe that our long-term outlook for weak global growth remains on target. However, in the short-term, we are now expecting a sharper, V-shaped recovery for the U.S. economy. Heightened uncertainty over the next few quarters should be followed by a snapback driven by accelerated fiscal and monetary stimulus. To capitalize on these trends, we plan to target a near-benchmark duration and to maintain our focus on high quality assets, including mortgages, in the coming months. In addition, we anticipate retaining short-maturity corporates to benefit from wide yield premiums in this sector, and will look to build out this position if markets decline to even more attractive levels. 28 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Short-Term Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (10/7/87) PIMCO Short-Term Fund D Shares 6.77% 5.90% 6.06% 5.50% 6.17% Lipper Ultra-Short Obligations Fund Average 6.59% 5.63% 5.77% 5.28% -- Salomon 3-Mo. T-Bill Index 5.05% 5.10% 5.15% 4.75% --
MATURITY PROFILE Less than 1 year 90% 1-5 years 7% 5-10 years 3% Duration 0.3 years SECTOR BREAKDOWN Short-Term Instruments 35.0% Corporate Bonds & Notes 30.7% Asset-Backed Securities 13.5% Mortgage-Backed Securities 11.3% U.S. Treasury Obligations 8.0% Other 1.5% QUALITY BREAKDOWN AAA 56.0% AA 13.9% A 18.2% BBB 11.0% BB 0.8% B 0.1% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO Salomon Month Short-Term D 3-month T-Bill ===== ============ ============== 10/31/1987 10,000 10,000 11/30/1987 10,056 10,051 12/31/1987 10,114 10,099 01/31/1988 10,181 10,148 02/29/1988 10,222 10,194 03/31/1988 10,276 10,244 04/30/1988 10,330 10,294 05/31/1988 10,386 10,347 06/30/1988 10,443 10,401 07/31/1988 10,495 10,460 08/31/1988 10,560 10,520 09/30/1988 10,627 10,583 10/31/1988 10,718 10,648 11/30/1988 10,787 10,715 12/31/1988 10,849 10,785 01/31/1989 10,925 10,858 02/28/1989 11,000 10,934 03/31/1989 11,093 11,013 04/30/1989 11,176 11,095 05/31/1989 11,275 11,179 06/30/1989 11,358 11,257 07/31/1989 11,452 11,336 08/31/1989 11,511 11,413 09/30/1989 11,588 11,487 10/31/1989 11,695 11,565 11/30/1989 11,771 11,640 12/31/1989 11,837 11,717 01/31/1990 11,892 11,794 02/28/1990 11,964 11,865 03/31/1990 12,042 11,945 04/30/1990 12,090 12,022 05/31/1990 12,202 12,104 06/30/1990 12,280 12,183 07/31/1990 12,364 12,263 08/31/1990 12,428 12,343 09/30/1990 12,509 12,418 10/31/1990 12,603 12,495 11/30/1990 12,702 12,569 12/31/1990 12,803 12,650 01/31/1991 12,893 12,723 02/28/1991 12,962 12,785 03/31/1991 13,020 12,851 04/30/1991 13,100 12,913 05/31/1991 13,172 12,975 06/30/1991 13,219 13,035 07/31/1991 13,296 13,097 08/31/1991 13,379 13,159 09/30/1991 13,452 13,217 10/31/1991 13,528 13,275 11/30/1991 13,561 13,328 12/31/1991 13,615 13,377 01/31/1992 13,665 13,424 02/29/1992 13,691 13,466 03/31/1992 13,716 13,512 04/30/1992 13,772 13,555 05/31/1992 13,814 13,600 06/30/1992 13,868 13,640 07/31/1992 13,923 13,681 08/31/1992 13,958 13,720 09/30/1992 13,994 13,754 10/31/1992 14,008 13,788 11/30/1992 14,025 13,823 12/31/1992 14,066 13,860 01/31/1993 14,112 13,897 02/28/1993 14,149 13,929 03/31/1993 14,214 13,964 04/30/1993 14,262 13,998 05/31/1993 14,318 14,033 06/30/1993 14,374 14,068 07/31/1993 14,425 14,104 08/31/1993 14,463 14,141 09/30/1993 14,499 14,176 10/31/1993 14,550 14,213 11/30/1993 14,604 14,249 12/31/1993 14,672 14,286 01/31/1994 14,697 14,323 02/28/1994 14,713 14,357 03/31/1994 14,690 14,398 04/30/1994 14,713 14,441 05/31/1994 14,724 14,488 06/30/1994 14,791 14,538 07/31/1994 14,861 14,590 08/31/1994 14,919 14,644 09/30/1994 14,935 14,698 10/31/1994 14,974 14,758 11/30/1994 14,986 14,820 12/31/1994 15,050 14,889 01/31/1995 15,126 14,957 02/28/1995 15,265 15,023 03/31/1995 15,298 15,097 04/30/1995 15,462 15,169 05/31/1995 15,618 15,243 06/30/1995 15,670 15,315 07/31/1995 15,764 15,388 08/31/1995 15,836 15,461 09/30/1995 15,984 15,530 10/31/1995 16,099 15,602 11/30/1995 16,248 15,670 12/31/1995 16,386 15,743 01/31/1996 16,465 15,813 02/29/1996 16,495 15,878 03/31/1996 16,548 15,945 04/30/1996 16,625 16,010 05/31/1996 16,712 16,079 06/30/1996 16,804 16,147 07/31/1996 16,851 16,216 08/31/1996 16,957 16,287 09/30/1996 17,120 16,357 10/31/1996 17,257 16,429 11/30/1996 17,412 16,498 12/31/1996 17,480 16,569 01/31/1997 17,583 16,641 02/28/1997 17,662 16,706 03/31/1997 17,671 16,779 04/30/1997 17,772 16,851 05/31/1997 17,900 16,925 06/30/1997 18,018 16,996 07/31/1997 18,158 17,070 08/31/1997 18,213 17,143 09/30/1997 18,335 17,215 10/31/1997 18,377 17,291 11/30/1997 18,460 17,363 12/31/1997 18,563 17,438 01/31/1998 18,673 17,515 02/28/1998 18,738 17,585 03/31/1998 18,863 17,662 04/30/1998 18,950 17,736 05/31/1998 19,036 17,813 06/30/1998 19,100 17,886 07/31/1998 19,215 17,961 08/31/1998 19,223 18,038 09/30/1998 19,351 18,112 10/31/1998 19,425 18,184 11/30/1998 19,491 18,252 12/31/1998 19,573 18,319 01/31/1999 19,649 18,387 02/28/1999 19,730 18,449 03/31/1999 19,870 18,520 04/30/1999 19,961 18,588 05/31/1999 19,965 18,659 06/30/1999 20,035 18,728 07/31/1999 20,105 18,801 08/31/1999 20,171 18,876 09/30/1999 20,262 18,950 10/31/1999 20,360 19,027 11/30/1999 20,455 19,103 12/31/1999 20,537 19,186 01/31/2000 20,584 19,270 02/29/2000 20,704 19,353 03/31/2000 20,838 19,444 04/30/2000 20,915 19,535 05/31/2000 21,028 19,631 06/30/2000 21,159 19,723 07/31/2000 21,269 19,818 08/31/2000 21,403 19,916 09/30/2000 21,527 20,016 10/31/2000 21,622 20,120 11/30/2000 21,797 20,223 12/31/2000 21,971 20,330 01/31/2001 22,123 20,436 02/28/2001 22,269 20,524 03/31/2001 22,369 20,614 04/30/2001 22,434 20,693 05/31/2001 22,609 20,770 06/30/2001 22,647 20,836 07/31/2001 22,803 20,901 08/31/2001 22,883 20,965 09/30/2001 22,986 21,025
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The Fund then employs a variety of value-added strategies geared to enhance yield, including duration extension, credit quality positioning, cost-effective trading and investment in an expanded set of financial instruments. Past performance is no guarantee of future results. The Fund may invest up to 5% in foreign securities, which may entail greater risk due to foreign economic and political developments. Investment in high yield, lower rated securities generally involves greater risk to principal than investment in higher rated securities. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 29 AN ENHANCED INDEX STOCK FUND PIMCO StocksPLUS Fund Performance & Statistics OBJECTIVE: Total return which exceeds that of the S&P 500. PORTFOLIO: S&P 500 Stock Index futures backed by short-term fixed income securities. DURATION RANGE: 0-1 year FUND INCEPTION DATE: 5/13/93 TOTAL NET ASSETS: $878.3 million PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund outpaced the S&P 500 Index over the six-month period. For the six-month period ended September 30, 2001, the Fund's Class D shares returned -9.60%, slightly outperforming the S&P 500 Index, which returned - 9.68%. These results were consistent with the Fund's objective of providing incremental returns above the performance of the index. In addition, the Fund continued its record of outperformance over the long term, returning 13.08% since inception compared to 12.71% for the S&P 500 Index over the same period. Weakening economic picture erased equity gains. Early in the six-month period, U.S. equity markets performed well as investor optimism was boosted by the Federal Reserve's aggressive easing campaign. However, the events of September 11 further weakened an already flagging U.S. economy, heightening risk aversion among investors and causing a flight to quality in the financial markets. The Fed responded by injecting liquidity into the markets, slashing its key federal funds rate to 2.5%--its lowest level since the early 1960s. Nonetheless, stocks took back these gains and more later in the period as it became evident that an economic recovery would be substantially delayed. Extended duration, quality focus aided performance. The Fund's extended duration enhanced performance as short-term yields fell sharply in response to the pronounced economic weakness. In addition, an emphasis on mortgages aided results as they offered attractive relative yields with minimal credit risk. The Fund's exposure to short-maturity, investment grade corporates was also positive as these issues benefited from increased optimism early in the period and relatively high yields later in the period, which more than offset falling prices. Yet these successful bond management efforts were overshadowed by the equity market's sharp decline, a reality that was reflected in the Fund's overall performance. High quality bias should continue in the months ahead. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, we now anticipate a sharper, V- shaped U.S. economic recovery in the next year, as near-term contraction should be followed by a snap-back driven by aggressive fiscal and monetary stimulus. In the months ahead, we plan to watch business and consumer spending closely, as these trends will be critical indicators of a recovery. We expect to maintain duration near six months to capture additional yield and limit overall interest rate sensitivity. 30 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO StocksPLUS Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5year 10 year Inception (5/13/93) PIMCO StockPLUS Fund D Shares -26.35% 1.72% 9.73% -- 13.08% Lipper Large-Cap Core Fund Avg. -27.39% 1.48% 7.52% -- -- S&P 500 Index -26.62% 2.04% 10.23% -- --
MATURITY PROFILE Less than 1 year 71% 1-5 years 29% Duration 0.5 years SECTOR BREAKDOWN Mortgage-Backed Securities 41.3% Corporate Bonds & Notes 19.5% Short-Term Instruments 18.8% U.S. Treasury Obligations 10.9% Asset-Backed Securities 5.3% Other 4.2% QUALITY BREAKDOWN AAA 78.1% AA 2.9% A 5.0% BBB 10.0% BB 3.3% B 0.7% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO S&P 500 Month StocksPLUS D Index ===== ============ ===== 05/31/1993 10,000 10,000 06/30/1993 10,054 10,029 07/31/1993 10,025 9,989 08/31/1993 10,411 10,368 09/30/1993 10,301 10,288 10/31/1993 10,526 10,501 11/30/1993 10,409 10,401 12/31/1993 10,585 10,527 01/31/1994 10,939 10,885 02/28/1994 10,595 10,589 03/31/1994 10,123 10,128 04/30/1994 10,248 10,258 05/31/1994 10,437 10,426 06/30/1994 10,207 10,170 07/31/1994 10,600 10,504 08/31/1994 11,078 10,935 09/30/1994 10,891 10,668 10/31/1994 11,064 10,907 11/30/1994 10,719 10,510 12/31/1994 10,857 10,666 01/31/1995 11,155 10,943 02/28/1995 11,650 11,369 03/31/1995 11,964 11,705 04/30/1995 12,349 12,049 05/31/1995 12,903 12,531 06/30/1995 13,183 12,822 07/31/1995 13,586 13,247 08/31/1995 13,679 13,280 09/30/1995 14,255 13,841 10/31/1995 14,232 13,791 11/30/1995 14,912 14,397 12/31/1995 15,185 14,674 01/31/1996 15,726 15,174 02/29/1996 15,767 15,314 03/31/1996 15,975 15,462 04/30/1996 16,174 15,690 05/31/1996 16,530 16,094 06/30/1996 16,687 16,156 07/31/1996 15,903 15,442 08/31/1996 16,237 15,768 09/30/1996 17,182 16,655 10/31/1996 17,726 17,114 11/30/1996 19,038 18,408 12/31/1996 18,619 18,043 01/31/1997 19,761 19,171 02/28/1997 19,907 19,321 03/31/1997 18,999 18,527 04/30/1997 20,172 19,633 05/31/1997 21,444 20,828 06/30/1997 22,332 21,761 07/31/1997 24,168 23,493 08/31/1997 22,851 22,177 09/30/1997 24,037 23,392 10/31/1997 23,258 22,610 11/30/1997 24,204 23,657 12/31/1997 24,640 24,063 01/31/1998 24,975 24,329 02/28/1998 26,649 26,084 03/31/1998 27,970 27,420 04/30/1998 28,309 27,695 05/31/1998 27,734 27,219 06/30/1998 28,816 28,325 07/31/1998 28,496 28,023 08/31/1998 24,133 23,972 09/30/1998 25,972 25,507 10/31/1998 28,021 27,582 11/30/1998 29,610 29,254 12/31/1998 31,470 30,940 01/31/1999 32,524 32,233 02/28/1999 31,425 31,232 03/31/1999 32,735 32,481 04/30/1999 34,041 33,739 05/31/1999 33,146 32,943 06/30/1999 35,058 34,771 07/31/1999 33,901 33,685 08/31/1999 33,715 33,519 09/30/1999 32,953 32,600 10/31/1999 35,049 34,663 11/30/1999 35,610 35,367 12/31/1999 37,625 37,451 01/31/2000 35,672 35,570 02/29/2000 35,102 34,896 03/31/2000 38,401 38,310 04/30/2000 37,203 37,157 05/31/2000 36,411 36,394 06/30/2000 37,314 37,292 07/31/2000 36,817 36,708 08/31/2000 39,266 38,988 09/30/2000 37,110 36,930 10/31/2000 36,917 36,774 11/30/2000 34,115 33,875 12/31/2000 34,419 34,040 01/31/2001 35,733 35,248 02/28/2001 32,417 32,034 03/31/2001 30,236 30,005 04/30/2001 32,567 32,336 05/31/2001 32,896 32,553 06/30/2001 32,129 31,761 07/31/2001 31,888 31,448 08/31/2001 29,867 29,479 09/30/2001 27,334 27,099
- -------------------------------------------------------------------------------- Taking an innovative approach, the Fund combines a non-leveraged position in S&P 500 Index futures with an actively managed, short duration fixed-income portfolio. In doing so, the Fund seeks to capture the performance of the S&P 500 Index plus an incremental return based on the fixed income component. The manager adds value primarily through duration management, credit risk management and investment in a variety of high quality, short-term securities. Past performance is no guarantee of future results. This Fund may invest substantially all of its assets in S&P 500 derivatives, backed by a portfolio of Fixed Income Instruments. The Fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. The Fund may invest up to 10% in high yield securities, lower rated securities generally involves greater risk to principal than investment in higher rated securities, may at times invest in derivatives and mortgage related securities. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 31 A STOCK AND BOND FUND PIMCO Strategic Balanced Fund OBJECTIVE: Maximum total return consistent with preservation of capital and prudent investment management. PORTFOLIO: 45-75% PIMCO StocksPLUS Fund; 25-55% Total Return Fund. DURATION RANGE (OF UNDERLYING FUNDS): 0-6 years FUND INCEPTION DATE: 6/28/96 TOTAL NET ASSETS: $73.6 million PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund outpaced its benchmark and peer group. Class D shares returned -3.44% for the six month period ended September 30, 2001, slightly outperforming the Fund's benchmark--a blend of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Bond Index (LBAG)--which returned -3.73%. In addition, the Fund substantially outperformed the Lipper Balanced Fund Average, which returned -4.91%. Importantly, the Fund's one-year performance of -10.91% also bested both its benchmark and peer group, which returned -12.28% and - -11.76%, respectively. Bonds outperformed stocks amid flight to quality. Early in the six-month period, U.S. equity markets performed well as investor optimism was boosted by the Fed's aggressive easing campaign. However, the events of September 11 further weakened an already flagging U.S. economy, heightening risk aversion among investors and causing a flight to quality in the financial markets. The Fed responded by injecting liquidity into the markets, slashing rates to their lowest levels since the early 1960s. Nonetheless, stocks took back these gains and more as it became evident that an economic recovery would be delayed. Bonds performed relatively well in this environment, led by high quality assets such as Treasuries and mortgages. Fixed income returns helped offset equity losses. Asset allocation had only a minor impact on returns over the period, since the Fund remained near a standard 60/40 mix of equities and fixed income. The equity portfolio, consisting of PIMCO's StocksPLUS Fund, performed in line with its stated objective, modestly outpacing the S&P 500 Index. On the bond side, PIMCO Total Return Fund provided a relative stronghold, solidly outperforming the LBAG. These results were largely due to the Fund's overweight position in short- maturity securities, which rallied as investors anticipated further Fed easing. In addition, the Fund's emphasis on mortgages boosted returns. Nonetheless, the bond portfolio's strong results were overshadowed by equity weakness, resulting in negative net performance. Neutral allocation should continue pending an economic recovery. After weighing the impact of the September 11 attacks, we are maintaining our secular outlook for weak global growth. However, we now anticipate a sharper, V- shaped U.S. economic recovery in the next year, as near-term contraction should be followed by a snap-back driven by fiscal and monetary stimulus. For now, we plan to target a neutral mix of 60% stocks/40% bonds in light of the full valuation of the short and intermediate portion of the yield curve, continuing uncertainty for corporate profits and still lofty equity valuations. 32 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Strategic Balanced Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (6/28/96) PIMCO Strategic Balanced Fund D Shares -10.91% 3.37% 9.15% -- 9.38% Lipper Balanced Fund Average -11.76% 3.51% 7.35% -- -- 60% S&P 500 and 40% LBAG -12.28% 4.16% 9.77% -- -- S&P 500 Index -26.62% 2.04% 10.23% -- --
SECTOR BREAKDOWN StocksPLUS Fund 57.4% Total Return Fund 42.6% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
60% S&P 500 PIMCO and S&P 500 Month Strategic Balanced D 40% LBAG Index ===== ==================== ======== ===== 06/30/1996 10,000 10,000 10,000 07/31/1996 9,732 9,746 9,558 08/31/1996 9,881 9,863 9,760 09/30/1996 10,348 10,264 10,309 10/31/1996 10,626 10,525 10,593 11/30/1996 11,213 11,075 11,394 12/31/1996 11,007 10,902 11,168 01/31/1997 11,467 11,324 11,866 02/28/1997 11,532 11,388 11,959 03/31/1997 11,156 11,057 11,468 04/30/1997 11,661 11,520 12,152 05/31/1997 12,145 11,984 12,892 06/30/1997 12,504 12,363 13,470 07/31/1997 13,267 13,086 14,542 08/31/1997 12,798 12,602 13,727 09/30/1997 13,255 13,090 14,479 10/31/1997 13,068 12,904 13,995 11/30/1997 13,409 13,286 14,643 12/31/1997 13,611 13,477 14,895 01/31/1998 13,798 13,635 15,059 02/28/1998 14,345 14,221 16,145 03/31/1998 14,823 14,678 16,972 04/30/1998 14,952 14,797 17,143 05/31/1998 14,787 14,700 16,848 06/30/1998 15,216 15,109 17,533 07/31/1998 15,122 15,025 17,346 08/31/1998 13,711 13,819 14,838 09/30/1998 14,513 14,480 15,789 10/31/1998 15,155 15,156 17,073 11/30/1998 15,631 15,742 18,108 12/31/1998 16,218 16,305 19,151 01/31/1999 16,608 16,760 19,952 02/28/1999 16,063 16,331 19,332 03/31/1999 16,585 16,759 20,105 04/30/1999 16,988 17,170 20,884 05/31/1999 16,636 16,866 20,391 06/30/1999 17,252 17,406 21,522 07/31/1999 16,872 17,051 20,851 08/31/1999 16,806 16,996 20,747 09/30/1999 16,627 16,796 20,179 10/31/1999 17,287 17,459 21,456 11/30/1999 17,458 17,671 21,892 12/31/1999 18,013 18,261 23,181 01/31/2000 17,238 17,687 22,017 02/29/2000 17,097 17,572 21,600 03/31/2000 18,169 18,696 23,713 04/30/2000 17,757 18,337 22,999 05/31/2000 17,643 18,108 22,527 06/30/2000 17,890 18,526 23,083 07/31/2000 17,847 18,420 22,722 08/31/2000 18,648 19,213 24,133 09/30/2000 17,992 18,653 22,859 10/31/2000 17,978 18,655 22,762 11/30/2000 17,433 17,894 20,968 12/31/2000 17,644 18,079 21,070 01/31/2001 18,117 18,583 21,818 02/28/2001 17,234 17,631 19,828 03/31/2001 16,598 16,996 18,572 04/30/2001 17,266 17,760 20,016 05/31/2001 17,409 17,874 20,150 06/30/2001 17,183 17,640 19,659 07/31/2001 17,327 17,694 19,466 08/31/2001 16,752 17,110 18,247 09/30/2001 16,030 16,361 16,774
- -------------------------------------------------------------------------------- The Strategic Balanced Fund seeks to provide broad exposure to both equity and fixed income classes. The Fund's equity exposure is achieved by investment in the PIMCO StocksPLUS Fund and the fixed income exposure is obtained by investment in the PIMCO Total Return Fund. Allocation decisions are based on PIMCO's consensus economic forecasts of business cycle phases. Past performance is no guarantee of future results. The Portfolio's investment performance depends on how its assets are allocated and reallocated among particular underlying Funds. The portfolio's allocation among the underlying Funds will vary, the investment may be subject to any and all of the following risks at different times and to different degrees. See page 38 for footnotes, which include additional details. 9.30.01 | PIMCO Funds Semi-Annual Report 33 AN INTERMEDIATE DURATION BOND FUND PIMCO Total Return Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Intermediate maturity fixed income securities. DURATION RANGE: 3-6 years FUND INCEPTION DATE: 5/11/87 TOTAL NET ASSETS: $48.4 billion PORTFOLIO MANAGER: Bill Gross [PHOTO] Bill Gross Fund Manager Managing Director and co-founder of PIMCO, Mr. Gross is widely regarded as the world's foremost fixed income authority. He has over 30 years of investment experience. Mr. Gross and the PIMCO bond team were named Morningstar's 2000 Fixed Income Manager of the Year--making them the only two-time winner of the prestigious award. Fund solidly outperformed the LBAG in the past year. For the six-month period ended September 30, 2001, PIMCO Total Return Class D shares returned 6.05%, outperforming the Lehman Brothers Aggregate Bond Index (LBAG), which returned 5.20% over the same time period. For the last twelve months, the Fund has also delivered superior performance versus its benchmark, returning 14.02%, compared to 12.95% for the LBAG. Aggressive Fed, deteriorating economy, flight to quality fuel bond returns. The U.S economy slowed significantly over the last six months, despite a supportive Federal Reserve, which lowered short-term rates by four percentage points since the beginning of the year. Eroding profits, mounting layoffs and lower consumer confidence all contributed to the weakening of the economy and were exacerbated by the terrorist attacks on September 11th. High quality assets, such as Treasuries and mortgages, outperformed other fixed income assets--as well as stocks--as investors sought safety amid the turmoil. Short-Term focus drives returns. The Fund's overweight position in short-maturity securities significantly enhanced returns during the six-month period. These yields were driven sharply lower by investor flight-to-quality in anticipation of further Fed easing. An emphasis on mortgage-backed securities also helped returns as they offered attractive yield premiums with minimal credit risk. In addition, the Fund benefited from duration positioning, taking advantage of falling yields early in the period. A modest underweight in corporate issues detracted slightly from returns as investors grew confident that growth and profits would continue to improve. Stronger rebound could follow near-term weakness. While our secular outlook for weaker global growth remains intact, we do anticipate that sometime next year economic growth could rebound sharply due to the convergence of aggressive monetary easing and increased fiscal stimulus. In the near-term however, the risks remain weighted towards continued economic weakness. As a result, we intend to maintain our focus on high-quality issues. We expect to maintain duration at or near the benchmark as we feel that U.S. bonds, especially short-term bonds, are fully valued after the strong rally in September. Renewed confidence and risk taking among consumers and businesses will be vital for a recovery to take place. We will be closely watching these trends as indicators of a recovery, and will look to build positions in credit- sensitive sectors as a turning point becomes evident. 34 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Total Return Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (5/11/87) PIMCO Total Return Fund D Shares 14.02% 6.66% 8.56% 8.46% 9.10% Lipper Intermediate Investment Grade Debt Fund Avg. 11.71% 5.44% 7.06% 7.31% -- Lehman Bros. Aggregate Bond Index 12.95% 6.39% 8.06% 7.76% --
MATURITY PROFILE Less than 1 year 16% 1-5 years 59% 5-10 years 5% 10-20 years 9% 20-30 years 11% Duration 4.4 years SECTOR BREAKDOWN Mortgage-Backed Securities 54.4% Corporate Bonds & Notes 24.5% Short-Term Instruments 6.9% U.S. Treasury Obligations 5.4% Other 8.8% QUALITY BREAKDOWN AAA 72.1% AA 4.9% A 15.3% BBB 6.1% BB 1.6% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
Lehman Bros. PIMCO Agg. Bond Month Total Return D Index ===== ============== ===== 05/31/1987 10,000 10,000 06/30/1987 10,125 10,138 07/31/1987 10,098 10,130 08/31/1987 10,072 10,076 09/30/1987 9,819 9,861 10/31/1987 10,129 10,212 11/30/1987 10,201 10,294 12/31/1987 10,291 10,434 01/31/1988 10,708 10,801 02/29/1988 10,828 10,929 03/31/1988 10,729 10,827 04/30/1988 10,671 10,768 05/31/1988 10,615 10,696 06/30/1988 10,867 10,954 07/31/1988 10,849 10,897 08/31/1988 10,899 10,925 09/30/1988 11,103 11,172 10/31/1988 11,275 11,383 11/30/1988 11,172 11,244 12/31/1988 11,218 11,257 01/31/1989 11,354 11,419 02/28/1989 11,279 11,336 03/31/1989 11,330 11,385 04/30/1989 11,580 11,624 05/31/1989 11,859 11,929 06/30/1989 12,256 12,292 07/31/1989 12,512 12,554 08/31/1989 12,293 12,368 09/30/1989 12,352 12,431 10/31/1989 12,645 12,737 11/30/1989 12,752 12,858 12/31/1989 12,775 12,893 01/31/1990 12,558 12,740 02/28/1990 12,588 12,781 03/31/1990 12,575 12,790 04/30/1990 12,394 12,673 05/31/1990 12,797 13,048 06/30/1990 13,011 13,258 07/31/1990 13,219 13,441 08/31/1990 13,007 13,261 09/30/1990 13,018 13,371 10/31/1990 13,195 13,541 11/30/1990 13,525 13,832 12/31/1990 13,759 14,048 01/31/1991 13,892 14,222 02/28/1991 14,083 14,343 03/31/1991 14,257 14,442 04/30/1991 14,487 14,598 05/31/1991 14,591 14,684 06/30/1991 14,610 14,676 07/31/1991 14,817 14,880 08/31/1991 15,216 15,202 09/30/1991 15,572 15,510 10/31/1991 15,728 15,682 11/30/1991 15,860 15,826 12/31/1991 16,396 16,296 01/31/1992 16,258 16,074 02/29/1992 16,398 16,179 03/31/1992 16,331 16,088 04/30/1992 16,412 16,204 05/31/1992 16,749 16,510 06/30/1992 16,957 16,737 07/31/1992 17,367 17,078 08/31/1992 17,511 17,251 09/30/1992 17,784 17,456 10/31/1992 17,624 17,224 11/30/1992 17,635 17,228 12/31/1992 17,940 17,502 01/31/1993 18,266 17,838 02/28/1993 18,670 18,150 03/31/1993 18,775 18,226 04/30/1993 18,934 18,353 05/31/1993 18,974 18,376 06/30/1993 19,382 18,709 07/31/1993 19,496 18,815 08/31/1993 19,935 19,145 09/30/1993 20,011 19,197 10/31/1993 20,149 19,269 11/30/1993 19,967 19,105 12/31/1993 20,129 19,209 01/31/1994 20,369 19,468 02/28/1994 20,000 19,130 03/31/1994 19,572 18,658 04/30/1994 19,374 18,509 05/31/1994 19,277 18,507 06/30/1994 19,202 18,466 07/31/1994 19,592 18,832 08/31/1994 19,643 18,856 09/30/1994 19,390 18,578 10/31/1994 19,362 18,562 11/30/1994 19,361 18,521 12/31/1994 19,349 18,648 01/31/1995 19,691 19,017 02/28/1995 20,148 19,470 03/31/1995 20,336 19,589 04/30/1995 20,687 19,863 05/31/1995 21,337 20,631 06/30/1995 21,320 20,783 07/31/1995 21,326 20,736 08/31/1995 21,651 20,986 09/30/1995 21,917 21,191 10/31/1995 22,243 21,466 11/30/1995 22,719 21,788 12/31/1995 23,106 22,094 01/31/1996 23,290 22,240 02/29/1996 22,718 21,854 03/31/1996 22,536 21,702 04/30/1996 22,437 21,580 05/31/1996 22,372 21,536 06/30/1996 22,725 21,825 07/31/1996 22,780 21,885 08/31/1996 22,754 21,848 09/30/1996 23,271 22,229 10/31/1996 23,869 22,721 11/30/1996 24,428 23,111 12/31/1996 24,117 22,896 01/31/1997 24,202 22,966 02/28/1997 24,250 23,023 03/31/1997 23,950 22,768 04/30/1997 24,376 23,109 05/31/1997 24,620 23,327 06/30/1997 24,903 23,604 07/31/1997 25,592 24,240 08/31/1997 25,365 24,034 09/30/1997 25,771 24,388 10/31/1997 26,075 24,742 11/30/1997 26,189 24,856 12/31/1997 26,491 25,106 01/31/1998 26,896 25,428 02/28/1998 26,815 25,408 03/31/1998 26,898 25,497 04/30/1998 26,998 25,630 05/31/1998 27,306 25,873 06/30/1998 27,565 26,092 07/31/1998 27,650 26,148 08/31/1998 28,085 26,573 09/30/1998 28,919 27,196 10/31/1998 28,716 27,052 11/30/1998 28,817 27,205 12/31/1998 28,987 27,287 01/31/1999 29,155 27,482 02/28/1999 28,613 27,002 03/31/1999 28,850 27,152 04/30/1999 28,986 27,238 05/31/1999 28,667 26,999 06/30/1999 28,612 26,913 07/31/1999 28,498 26,799 08/31/1999 28,515 26,785 09/30/1999 28,826 27,096 10/31/1999 28,915 27,196 11/30/1999 28,976 27,194 12/31/1999 28,817 27,063 01/31/2000 28,664 26,974 02/29/2000 29,011 27,300 03/31/2000 29,431 27,660 04/30/2000 29,343 27,581 05/31/2000 29,331 27,568 06/30/2000 29,944 28,142 07/31/2000 30,214 28,397 08/31/2000 30,682 28,809 09/30/2000 30,783 28,990 10/31/2000 30,971 29,182 11/30/2000 31,569 29,659 12/31/2000 32,203 30,209 01/31/2001 32,667 30,703 02/28/2001 32,974 30,971 03/31/2001 33,100 31,126 04/30/2001 32,788 30,997 05/31/2001 32,906 31,184 06/30/2001 32,989 31,302 07/31/2001 34,124 32,001 08/31/2001 34,540 32,368 09/30/2001 35,106 32,745
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO investment professionals develop a 3- to 5-year outlook for the global economy and interest rates. Quarterly meetings are then held to forecast specific influencing factors, including interest rate volatility, yield curve movements and credit trends. Taken together, these sessions set the basic portfolio parameters. Bottom-up strategies are then meshed with the top-down strategies to create value. Past performance is no guarantee of future results. The Fund may invest up to 20% in foreign securities, which may entail greater risk due to foreign economic and political developments. Investment in high yield, lower rated securities generally involves greater risk to principal than investment in higher rated securities. Mortgage-backed securities may be sensitive to changes in prevailing interest rates, when they rise the value generally declines. There is no assurance that the private guarantors or insurers will meet their obligations. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 35 A MORTGAGE - BACKED BOND FUND PIMCO Total Return Mortgage Fund OBJECTIVE: Maximum total return, consistent with preservation of capital and prudent investment management. PORTFOLIO: Primarily mortgage-backed securities of intermediate maturities. DURATION RANGE: 2-6 years FUND INCEPTION DATE: 7/31/97 TOTAL NET ASSETS: $46.0 million PORTFOLIO MANAGER: Scott Simon [PHOTO] Scott Simon Fund Manager An acclaimed expert in his field, Mr. Simon is head of mortgage securities at PIMCO and is a senior member of its portfolio management and investment strategy groups. He has 18 years of investment experience. Fund returned 13.52% in the past year, ahead of its index and peers. PIMCO Total Return Mortgage Fund's Class D shares outpaced its benchmark over the past six months, returning 5.83% compared to 5.27% for the Lehman Brothers Mortgage Index. In addition, the Fund solidly outperformed its Lipper category average, which returned 4.95% for the same time period. The Fund's Class D 13.52% gain for the one-year period also remained ahead of the index and average, which returned 12.34% and 11.72%, respectively. High-quality sectors rallied amid a weakening economic outlook. The economy slowed significantly over the past six months as layoffs mounted, corporate profits deteriorated, and confidence fell. The September 11 attacks magnified these trends, heightening economic uncertainty and fueling a flight to quality in the financial markets. In response, the Fed injected liquidity into the markets, slashing interest rates to their lowest levels since the early 1960s. High-quality assets rallied in this environment. Treasury and mortgage yields fell sharply as investors sought the high credit quality and safety offered by these sectors. Security selection contributed strongly to outperformance. The Fund benefited from the overall strength in the mortgage sector in the past six months. Yet we attribute its outperformance to a number of successful management strategies. Broader-than-index security selection enhanced returns, particularly exposure to CMOs, which augmented portfolio yield while providing prepayment protection, and Fannie Mae/Freddie Mac issues, which outperformed Ginnie Maes. The Fund's modest holdings of asset-backed securities also performed well as their stable cash flows sparked investor demand. Finally, agency debt issues added value as these securities were not subject to refinancing risk and enjoyed positive price performance. Outlook for mortgages remains favorable. After weighing the impact of the September 11 attacks, PIMCO is maintaining its secular outlook for weak global growth. However, we now foresee a sharper, V- shaped U.S. recovery. Near-term economic contraction should be followed by a strong snapback later next year as increased fiscal and monetary stimulus takes effect. Given this environment, mortgages should remain solid performers, as investors will likely continue to find their attractive yields and high credit quality appealing. Moving forward, we will look to protect the portfolio from potential refinancing activity and rising interest rates, largely through security selection. 36 PIMCO Funds Semi-Annual Report | 9.30.01 PIMCO Total Return Mortgage Fund Performance & Statistics AVERAGE ANNUAL TOTAL RETURN For periods ended 9/30/01
1 year 3 year 5 year 10 year Inception (7/31/97) PIMCO Total Return Mortgage Fund D Shares 13.52% 7.59% -- -- 8.22% Lipper U.S. Mortgage Fund Avg. 11.72% 6.32% -- -- -- Lehman Brothers Mortgage Index 12.34% 7.27% -- -- --
MATURITY PROFILE Less than 1 year 33% 1-5 years 64% 5-10 years 2% 10-20 years 1% Duration 2.1 years SECTOR BREAKDOWN Mortgage-Backed Securities 80.1% Short-Term Instruments 17.5% Other 2.4% QUALITY BREAKDOWN AAA 96.1% AA 3.9% CHANGE IN VALUE For periods ended 9/30/01 [GRAPH]
PIMCO Lehman Brothers Total Return Mort. Mortgage Month Fund D Index ===== ====== ===== 07/31/1997 10,000 10,000 08/31/1997 10,007 9,976 09/30/1997 10,162 10,103 10/31/1997 10,310 10,215 11/30/1997 10,356 10,248 12/31/1997 10,475 10,342 01/31/1998 10,587 10,445 02/28/1998 10,604 10,467 03/31/1998 10,641 10,511 04/30/1998 10,711 10,570 05/31/1998 10,801 10,641 06/30/1998 10,869 10,691 07/31/1998 10,910 10,746 08/31/1998 11,038 10,843 09/30/1998 11,160 10,974 10/31/1998 11,113 10,960 11/30/1998 11,159 11,015 12/31/1998 11,187 11,061 01/31/1999 11,253 11,140 02/28/1999 11,192 11,096 03/31/1999 11,262 11,170 04/30/1999 11,315 11,222 05/31/1999 11,252 11,159 06/30/1999 11,237 11,120 07/31/1999 11,193 11,045 08/31/1999 11,184 11,044 09/30/1999 11,324 11,223 10/31/1999 11,386 11,288 11/30/1999 11,439 11,294 12/31/1999 11,411 11,267 01/31/2000 11,335 11,169 02/29/2000 11,502 11,298 03/31/2000 11,653 11,422 04/30/2000 11,611 11,430 05/31/2000 11,603 11,435 06/30/2000 11,817 11,680 07/31/2000 11,931 11,755 08/31/2000 12,126 11,933 09/30/2000 12,245 12,056 10/31/2000 12,327 12,143 11/30/2000 12,523 12,326 12/31/2000 12,759 12,524 01/31/2001 12,957 12,719 02/28/2001 13,075 12,792 03/31/2001 13,135 12,866 04/30/2001 13,127 12,884 05/31/2001 13,252 12,970 06/30/2001 13,294 12,997 07/31/2001 13,587 13,228 08/31/2001 13,706 13,345 09/30/2001 13,901 13,545
- -------------------------------------------------------------------------------- The top-down investment process starts with an annual secular forum at which PIMCO develops a 3- to 5-year outlook for the global economy and interest rates. This helps set the basic portfolio parameters. The manager then seeks to add value primarily through interest rate strategies and by exploiting many areas of the mortgage market. PIMCO's advanced proprietary analytics are critical to issue selection and risk management. Past performance is no guarantee of future results. This Fund concentrates on investments in mortgage securities, which may entail greater risk than a fully diversified fund. The Fund may invest in U.S. dollar-denominated securities of foreign issuers, securities less than AAA ratings but not lower than BBB ratings and may invest in derivative instruments. See page 38 for additional footnotes, which include additional information. 9.30.01 | PIMCO Funds Semi-Annual Report 37 FOOTNOTES A few footnotes and definitions are needed for a complete understanding of the performance figures. Past performance is no guarantee of future results. Investment return will fluctuate and the value of an investor's shares will fluctuate and may be worth more or less than original cost when redeemed. The average annual total return measures performance assuming that all dividend and capital gain distributions were reinvested. Returns shown do not reflect the deduction of taxes that a shareholder would pay (i) on fund distributions or (ii) the redemption of fund shares. Emerging Markets Bond, Global Bond II & Real Return Bond Fund Instl. shares and retail shares commenced operations on the same day but for the rest of the PIMS Funds the returns represent the blended performance of the Fund's retail shares (Class A, B or C) and the prior performance of the Fund's Institutional shares, adjusted, as necessary, to reflect retail share current sales charges and different operating expenses. The retail shares were first offered in April 1998 for the PIMS Funds except CA Int. Muni Bond D on 1/00, CA Muni D on 7/00, Convertible D on 3/00, Emerging Markets D on 3/00, GNMA D on 5/01, NY Muni Bond D on 1/00 and Short Duration Municipal Income D on 1/00. Returns for Class A shares adjusted include the effect of the 4.5% maximum initial sales charge for the PIMS Funds except for CA Intermediate Municipal, CA Municipal, Low Duration, Municipal, NY Municipal, Real Return & StocksPLUS are all 3% and Short-Term Bond Fund is 2%, respectively. Returns for Class B shares include the effect of paying the contingent deferred sales charge (CDSC), which declines from 5% in the first year to 0% at the beginning of the seventh year. Returns are for Class C shares. Returns for Class C shares have a 1% CDSC, which may apply in the first year of ownership. The credit quality of the investment in the portfolio does not apply to the stability or safety of the fund. Duration is a measure of the Fund's price sensitivity expressed in years. The Growth of $10,000 does include the effect of the maximum initial sales charge only associated with class A shares. Money market funds are neither insured nor guaranteed by FDIC or any other government agency and there can be no assurance that any money market fund will be able to maintain a net asset value of $1.00 per share. Savings accounts & CDs are guaranteed as to repayment of principal and interest by an agency of the U.S. government. However, the investment return and principal value of bonds and bond funds will fluctuate. The Lipper Averages are calculated by Lipper, Inc. It is the total return performance average of funds that are tracked by Lipper that have the same Fund Classification. Lipper does not take into account sales charges. The GNMA Lipper rankings are based on the oldest share class, Institutional shares. Class D shares were first offered 6/01 and have not yet been ranked by Lipper. Lehman CA Intermediate Index is an unmanaged index comprised of California Municipal Bond issues with a maturity range of 5-10 Years. Lehman CA Insured Muni. is an unmanaged index comprised of insured California Municipal Bond Issues. First Boston Convertible Bond Index is an unmanaged market index comprised of convertible bonds. J.P. Morgan Emerging Markets Bond Index tracks total returns for Brady Bonds. Countries covered are Argentina, Brazil, Bulgaria, Ecuador, Mexico, Nigeria, Panama, Peru, Poland and Venezuela. J.P. Morgan Non-U.S. (Hedged) is an unmanaged market index representative of the total return performance in U.S. dollars of major non-U.S. bond markets. J.P. Morgan Global (Hedged) is an unmanaged market index representative of the total return performance in U.S. dollars on a hedged basis of major world bond markets. Lehman Brothers Intermediate BB U.S. High Yield is an unmanaged market index comprised of various fixed income securities rated BB. Lehman Long-Term Treasury is an unmanaged index comprised of various fixed income maturities greater than 10 years. Merrill Lynch 1-3 Yr. Treasury is an unmanaged market index made up of U.S. Treasury issues with maturities from 1-3 years. Salomon 3- month T-Bill is an unmanaged index representing monthly return equivalents of yield averages of the last 3-month Treasury Bill issues. Lehman General Municipal is an unmanaged index representative of the tax-exempt bond market. The index is made up of all investment grade municipal bonds issued after 12/31/90 having a remaining maturity of at least one-year. Lehman NY Insured Muni is an unmanaged index comprised of insured New York Municipal Bond issues. Lehman Inflation Linked Treasury is an unmanaged market index comprised of all U.S. Inflation Linked Treasuries. S&P 500 Index is an unmanaged market index generally considered to be representative of the stock market as a whole. 60% S&P/ 40% LBAG is an unmanaged index comprised of 60% of the return of the S&P 500 Index and 40% of the Lehman Brothers Aggregate Bond Index. Lehman Aggregate Bond is an unmanaged market index representative of the U.S. Taxable fixed income universe. Lehman Mortgage is an unmanaged market index representing fixed rate mortgage issued by GNMA, FNMA and FHLMC. It is not possible to invest directly in an unmanaged index. The funds also offer other share classes, which are subject to different fees and expenses (which may affect performance), have different minimum investment requirements and are entitled to different services. Information regarding such classes may be obtained by calling 1-888-87-PIMCO. For additional details on the funds, contact your financial advisor to receive a current prospectus that contains more complete information, including charges and expenses. Please read the prospectus carefully before you invest or send money. PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT, 06902, www.pimcofunds.com, 1-888-87-PIMCO. An investment in a (the) Fund is not a deposit of a bank and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. In addition, it is possible to lose money on investments in a (the) Fund. 38 PIMCO Funds Annual Report | 9.30.01 PIMCO Schedule of Investments Class D California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 101.3% California 66.7% A B C California Unified School District General Obligation Bonds, (FGIC Insured), Series 2001 0.000% due 08/01/2030 $ 1,850 $ 397 0.000% due 08/01/2031 1,285 262 0.000% due 08/01/2032 1,965 378 0.000% due 08/01/2033 1,670 304 0.000% due 08/01/2034 1,755 302 Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.500% due 09/02/2012 3,500 3,572 Anaheim, California Public Financing Authority Revenue Bonds, (AMBAC Insured), Series 1999 4.625% due 10/01/2027 150 160 Antioch, California Public Financing Authority Reassessment Revenue Bonds, Series 1998-B 5.500% due 09/02/2008 490 506 Bay Area, California Toll Bridge Authority Revenue Bonds, (AMBAC Insured), Series 2001 2.600% due 04/01/2036 (d) 1,300 1,300 California Educational Facilities Authority Revenue Bonds, Series 1997-A 5.700% due 10/01/2015 135 149 California Health Facilities Financing Authority Revenue Bonds, (CA MTG Insured), Series 2000 5.000% due 09/01/2010 350 376 California Health Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 1998 2.550% due 09/01/2028 (d) 1,700 1,700 California Housing Finance Agency Revenue Bonds, (Gov of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) 700 700 California Housing Financial Agency Revenue Bonds, (AMBAC FHA Insured), Series 1996 5.950% due 02/01/2011 100 108 California Pollution Control Financing Authority Revenue Bonds, Series 1999-A 4.500% due 08/01/2003 150 153 California State Department Veteran Affairs Home Revenue Bonds, Series 2000-B 4.900% due 12/01/2005 500 505 California State General Obligation Bonds, (FGIC Insured), Series 1997 5.000% due 10/01/2004 325 347 California State General Obligation Bonds, (MBIA Insured), Series 1991 6.600% due 02/01/2011 1,000 1,204 California State General Obligation Bonds, (MBIA Insured), Series 1992 7.500% due 10/01/2007 400 486 California State General Obligation Bonds, Series 1991 6.500% due 09/01/2010 1,730 2,054 California State General Obligation Bonds, Series 1997-BL 5.300% due 12/01/2012 400 419 California State General Obligation Bonds, Series 2000 5.250% due 03/01/2005 100 107 5.250% due 03/01/2013 300 323 5.000% due 03/01/2009 750 807 California State Public Works Board Lease Revenue Bonds, Series 1994-A 6.375% due 11/01/2014 500 566 California Statewide Communities Development Authority Apartment Development Revenue Bonds, Series 1998-A-3 5.100% due 05/15/2025 2,000 2,048 California Statewide Communities Development Authority Certificates of Participation Bonds, Series 1994 6.500% due 07/01/2015 1,000 1,124 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1997 7.100% due 09/01/2021 2,000 2,401 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 1,500 1,500 Chico, California Public Financing Authority Revenue Bonds, (FSA Insured), Series 1996 5.200% due 04/01/2011 485 514 Chula Vista, California Special Tax Bonds, Series 2000-1 6.350% due 09/01/2017 230 239 6.400% due 09/01/2018 120 124 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 1,000 1,010 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 7.970% due 06/01/2020 (d) 6,000 6,570 7.870% due 06/01/2013 (d) 3,450 3,809 Evergreen, California School District General Obligation Bonds, (FGIC Insured), Series 2000-C 10.000% due 09/01/2005 465 582 10.000% due 09/01/2006 380 494 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 5.875% due 01/15/2027 2,500 1,706 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Fresno, California Special Tax Bonds, Series 1998 4.750% due 09/01/2005 935 940 Irvine, California Improvement Bond Act 1915 Special Assessment Revenue Bonds, (Canadian Imperial Bank Insured), Series 1994 2.500% due 09/02/2020 (d) 1,000 1,000 Long Beach, California Harbor Revenue Bonds, (MBIA Insured), Series 1995 6.500% due 05/15/2005 220 245 Long Beach, California Harbor Revenue Bonds, Series 1993 4.700% due 05/15/2004 150 157 Los Altos, California School District General Obligation Bonds, Series 2001 5.000% due 08/01/2016 200 208 Los Angeles County, California Transportation Commission Certificates of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Community Redevelopment Agency Certificates of Participation Bonds, Series 1984 7.550% due 11/01/2008 390 433 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 39 PIMCO Schedule of Investments Class D (Cont.) California Intermediate Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Los Angeles, California State Building Authority Lease Revenue Bonds, Series 1999-A 4.600% due 10/01/2007 $ 150 $ 159 Los Angeles, California Unified School District General Obligation Bonds, (MBIA Insured), Series 1999-C 4.750% due 07/01/2010 30 32 Metropolitan Water District Southern California General Obligation Bonds, Series 1993-A1 7.250% due 03/01/2007 150 178 Metropolitan Water District Southern California Revenue Bonds, Series 1993 6.050% due 10/30/2020 (d) 600 694 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 580 592 6.400% due 09/01/2031 700 708 Orange County, California Community Facilities District Special Tax Bonds, Series 2000 5.600% due 08/15/2011 455 461 5.700% due 08/15/2012 485 490 5.800% due 08/15/2013 600 605 6.200% due 08/15/2018 1,025 1,039 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 3,250 3,835 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 1,000 1,159 Oxnard, California Improvement Bond Act 1915 Special Assessment Bonds, Series 1997 5.500% due 09/02/2004 1,190 1,221 Pacific Housing & Finance Agency, California Revenue Bonds, (MBIA Insured), Series 1999 4.625% due 12/01/2004 250 260 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 1,000 1,015 Port of Oakland, California Revenue Bonds, (FGIC Insured), Series 2000 5.500% due 11/01/2009 500 556 Rancho, California Water District Financing Authority Revenue Bonds, (FGIC Insured), Series 1995 5.875% due 11/01/2010 900 985 Redding, California Electric System Revenue Certificates of Participation, (FGIC Insured), Series 1993 5.684% due 06/28/2019 500 518 Riverside County, California Asset Leasing Corp. Revenue Bonds, (MBIA Insured), Series 2000 5.200% due 11/01/2010 250 276 Sacramento County, California Sanitation District Financing Authority Revenue Bonds, Series 2000-A 4.900% due 12/01/2007 1,000 1,087 5.100% due 12/01/2009 1,000 1,101 5.100% due 12/01/2010 1,000 1,099 Sacramento, California Municipal Utility District Revenue Bonds, Series 1983-M 9.000% due 04/01/2013 960 1,282 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FGIC Insured), Series 1996-12-A 5.625% due 05/01/2005 400 434 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (FSA Insured), Series 1998-16A 5.500% due 05/01/2015 300 316 San Francisco, California City & County Airport Commission International Airport Revenue Bonds, (MBIA Insured), Series 1996-14A 8.000% due 05/01/2005 500 581 San Jose, California Multifamily Housing Revenue Bonds, (Bay View Bank & Federal Home Loan Bank Insured), Series 1999 4.950% due 06/01/2039 1,000 1,051 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 600 697 San Pablo, California Redevelopment Agency Revenue Bonds, Series 1979 8.000% due 10/01/2011 135 161 Santa Margarita/Dana Point Authority, California Revenue Bonds, (MBIA Insured), Series 1994-A 7.250% due 08/01/2006 150 177 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 150 156 Stockton, California Certificates of Participation, Series 1999 4.750% due 08/01/2006 120 128 Tustin, California Import Bridge Act 1915 Special Assessment Bond, (LOC- KBC Bank Insured), Series 1996 2.500% due 09/02/2013 200 200 West Sacramento California Import Bridge Act 1915, Series 1998 4.800% due 09/02/2002 1,160 1,177 ------- 67,528 ======= Illinois 1.6% Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 (d) 1,400 1,569 ------- New Hampshire 2.7% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.250% due 07/01/2014 2,690 2,784 ------- Puerto Rico 25.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 4,715 5,034 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 4,330 5,119 Puerto Rico Commonwealth General Obligation Bonds, (MBIA Insured), Series 1995 5.200% due 07/01/2006 410 446 Puerto Rico Commonwealth Highway & Transportation Authority Highway Revenue Bonds, Series 1993-X 5.200% due 07/01/2003 500 525 5.350% due 07/01/2005 5,000 5,254 Puerto Rico Commonwealth Infrastructure Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998-A 5.250% due 07/01/2010 150 164 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) 3,000 3,255 40 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Puerto Rico Electric Power Authority Revenue Bonds, Series 1995-X 6.125% due 07/01/2021 $ 500 $ 570 Puerto Rico Industrial Tourist Educational, Medical & Environmental Control Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2005 250 267 Puerto Rico Industrial Tourist Environmental Central Facilities Revenue Bonds, Series 2000 5.300% due 11/15/2004 150 159 Puerto Rico Municipal Finance Agency General Obligation Bonds, (FSA Insured), Series 1999-A 5.000% due 08/01/2004 1,000 1,066 Puerto Rico Public Finance Corp. Revenue Bonds, (AMBAC Insured), Series 1998-A 5.000% due 06/01/2007 500 543 University of Puerto Rico Revenue Bonds, (MBIA Insured), Series 1995 6.250% due 06/01/2006 3,000 3,413 --------- 25,815 ========= Virgin Islands 4.8% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 3,000 3,221 5.500% due 10/01/2007 1,500 1,614 --------- 4,835 --------- Total Municipal Bonds & Notes 102,531 ========= (Cost $97,106) SHORT-TERM INSTRUMENTS 0.4% Commercial Paper 0.3% Reich & Tang California Money Market 1.660% due 10/01/2001 (b) 348 348 --------- U.S. Treasury Bills 0.1% 3.380% due 10/18/2001 (c) 95 95 --------- Total Short-Term Instruments 443 ========= (Cost $443) Total Investments (a) 101.7% $ 102,974 (Cost $97,549) Other Assets and Liabilities (Net) (1.7%) (1,735) --------- Net Assets 100.0% $ 101,239 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 5,425 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value 0 --------- Unrealized appreciation-net $ 5,425 ========= (b) Securities with an aggregate market value of $347 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contract (Depreciation) - -------------------------------------------------------------------------------- Municipal Bond (12/2001) 44 $ (22) U.S. Treasury 30 Year Bond (12/2001) 75 (143) --------- $ (165) ========= (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. (d) Variable rate security. The rate listed is as of September 30, 2001. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 41 PIMCO Schedule of Investments Class D California Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 97.6% California 78.6% California Housing Finance Agency Revenue Bonds, (Gov of Agy Insured), Series 2000 2.400% due 02/01/2031 (d) $ 800 $ 800 California Housing Finance Agency Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 2001 2.400% due 02/01/2033 (d) 800 800 California Pollution Control Financing Authority Revenue Bonds, Series 1991 2.450% due 10/01/2011 (d) 300 300 California State Department Water Center Revenue Bonds, Series 1993 8.375% due 12/01/2003 150 168 California State General Obligation Bonds, (FGIC Insured) 2.650% due 09/01/2030 (d) 200 200 California State General Obligation Bonds, Series 2001 5.125% due 03/01/2031 625 630 California Statewide Communities Development Authority Certificates of Participation Bonds, (AMBAC Insured), Series 1995 2.500% due 07/01/2015 (d) 300 300 California Statewide Communities Development Authority Certificates of Participation, (Bank of Scotland Insured) Series 1998 2.500% due 11/15/2028 (d) 300 300 California Statewide Communities Development Authority Revenue Bonds, Series 2001 5.125% due 10/01/2030 400 396 Capistrano, California Unified School District Community Facilities Special Tax Bonds, Series 1999 5.700% due 09/01/2020 400 400 Chula Vista, California Special Tax Bonds, Series 2000-1 6.400% due 09/01/2018 125 129 Corona, California Community Facilities District Special Tax Bonds, Series 1998 5.875% due 09/01/2023 150 152 East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.620% due 06/01/2013 (d) 400 442 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 500 341 Irvine Ranch California Water District General Obligation Bonds, (Helaba Insured), Series 1985 2.400% due 10/01/2009 (d) 300 300 Irvine Ranch, California Water District Revenue Bonds, (Landesbank Hessen-Thrgn Insured), Series 1985 2.500% due 10/01/2010 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (Bank of America N.A. Insured), Series 2000 2.450% due 09/02/2025 (d) 200 200 Irvine, California Improvement Bond Act of 1915 Special Assessment Bonds, (KBC Bank N.V. Insured), Series 1999 2.500% due 09/02/2024 (d) 91 91 Livermore-Amador Water Management Agency California Revenue Bonds, (AMBAC Insured), Series 2001 5.000% due 08/01/2031 200 200 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue Bonds, Series 1999 4.750% due 07/01/2026 500 487 Los Angeles County, California Transportation Commission Certificate of Participation Bonds, Series 1992-B 6.250% due 07/01/2004 500 525 Los Angeles, California Department of Water & Power Waterworks Revenue Bonds, (MBIA Insured), Series 1994 6.375% due 07/01/2034 350 389 Metropolitan Water District Southern California Revenue Bonds, Series 1993 7.267% due 10/30/2020 (d) 200 231 Murrieta Valley, California Unified School District Special Tax Bonds, (Keybank N.A. Insured), Series 2001 6.350% due 09/01/2025 55 56 Orange County, California Local Transportation Authority Sales Tax Revenue Bonds, (AMBAC-TCRS Insured), Series 1992 6.200% due 02/14/2011 750 885 Orange County, California Revenue Bonds, (MBIA Insured), Series 1995-A 6.000% due 06/01/2010 400 464 Orange County, California Sanitation Districts Certificates of Participation Bonds, (AMBAC Gov of Dist Insured), Series 1993 2.500% due 08/01/2016 (d) 200 200 Orange County, California Sanitation Districts Certificates of Participation Bonds, (Dexia Public Finance Bank Insured), Series 2000 2.500% due 08/01/2004 (d) 300 300 Orange County, California Santa Ana District Certificate Participation Bonds, (SPA-DEXIA Public Finance Insured), Series 2000 2.500% due 08/01/2030 (d) 300 300 Pioneers Memorial Healthcare District, California General Obligation Bonds, (AMBAC Insured), Series 1998 5.125% due 10/01/2024 400 405 San Francisco, California City & County Airport Common International Airport Revenue Bonds, Series 1998 4.500% due 05/01/2026 500 467 San Jose, California Redevelopment Agency Tax Allocation Bonds, (MBIA Insured), Series 1993 6.000% due 08/01/2010 300 349 Southern California Public Power Authority Revenue Bonds, (FSA-CR Insured), Series 1993 5.000% due 07/01/2015 110 113 Tustin, California Import Bridge Act 1915 Special Assessment Bonds, (KBC Bank Insured), Series 1996 2.500% due 09/02/2013 (d) 300 300 Western Riverside County, California Regional Wastewater Authority Revenue Bonds, (Dexia Credit Local France Insured), Series 1996 2.500% due 04/01/2028 (d) 100 100 -------- 11,920 ======== New Jersey 3.8% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 555 580 Puerto Rico 12.3% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2020 470 502 Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue Bonds, (FSA Surety Bond Insured), Series 1985-A 9.000% due 07/01/2009 230 272 42 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) $ 1,000 $ 1,085 ----------- 1,859 =========== Virgin Islands 2.9% Virgin Islands Public Finance Authority Revenue Bonds, Series 1998-C 5.500% due 10/01/2008 405 435 ----------- Total Municipal Bonds & Notes 14,794 (Cost $14,252) =========== U.S. TREASURY OBLIGATIONS 0.7% Treasury Inflation Protected Securities 3.625% due 07/15/2002 (b)(c) 111 113 ----------- Total U.S. Treasury Obligations 113 (Cost $113) =========== SHORT-TERM INSTRUMENTS 0.8% Money Market Fund 0.8% Reich & Tang California Money Market 1.660% due 10/01/2001 118 118 ----------- Total Short-Term Instruments 118 (Cost $118) =========== Total Investments (a) 99.1% $ 15,025 (Cost $14,483) Other Assets and Liabilities (Net) 0.9% 146 ----------- Net Assets 100.0% $ 15,171 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 542 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. 0 ----------- Unrealized appreciation-net $ 542 =========== (b) Securities with an aggregate market value of $113 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Municipal Bond CBT (12/2001) 5 $ (3) U.S Treasury 30 Year Bond (12/2001) 20 23 ----------- $ 20 =========== (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 43 Schedule of Investments Class D Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ CONVERTIBLE BONDS & NOTES (c) 67.9% Banking & Finance 14.8% CIBA Specialty Chemical Investments Ltd. 1.250% due 07/24/2003 $ 500 $ 474 Hellenic Finance 2.000% due 07/15/2003 EC 500 456 JMH Finance Ltd. 4.750% due 09/06/2007 $ 800 767 Merrill Lynch & Co. 0.000% due 05/23/2031 1,900 903 PMI Group, Inc. 2.500% due 07/15/2021 150 151 Swiss Life Finance Ltd. 2.000% due 05/20/2003 EC 1,300 1,248 2.000% due 05/20/2005 $ 800 824 Verizon Global Funding 4.250% due 09/15/2005 900 908 0.000% due 05/15/2021 1,200 672 ----------- 6,403 =========== Energy 2.7% Diamond Offshore Drilling, Inc. 0.000% due 06/06/2020 1,000 488 1.500% due 04/15/2031 800 679 ----------- 1,167 =========== Health Care 9.0% Allergan, Inc. 0.000% due 11/01/2020 450 275 ALZA Corp. 0.000% due 07/28/2020 900 709 Baxter International, Inc. 1.250% due 06/01/2021 900 942 Roche Holdings, Inc. 0.000% due 01/19/2015 1,150 812 Total Renal Care Holdings 7.000% due 05/15/2009 500 475 Wellpoint Health Network, Inc. 0.000% due 07/02/2019 800 662 ----------- 3,875 =========== Industrial 21.5% Burr-Brown Corp. 4.250% due 02/15/2007 500 518 Cendant Corp. 0.000% due 05/04/2021 800 772 Clear Channel Communications, Inc. 2.625% due 04/01/2003 1,000 1,005 Comverse Technology, Inc. 1.500% due 12/01/2005 500 363 Exchangeable Certificates Corp. 1.500% due 04/11/2006 500 549 Lowe's Cos., Inc. 0.000% due 02/16/2021 1,500 1,014 Omnicom Group 2.250% due 01/06/2013 500 679 Sanmina Corp. 4.250% due 05/01/2004 500 466 Siemens Nederland NV 1.000% due 08/10/2005 EC 1,100 903 Solectron Corp. 0.000% due 05/08/2020 $ 1,500 761 Universal Health Services 0.426% due 06/23/2020 2,000 1,260 Waste Management, Inc. 4.000% due 02/01/2002 1,000 1,004 ----------- 9,294 =========== Technology 8.6% Affiliated Computer Services, Inc. 3.500% due 02/15/2006 600 701 Analog Devices, Inc. 4.750% due 10/01/2005 300 277 First Data Corp. 2.000% due 03/01/2008 700 716 Lam Research Corp. 4.000% due 06/01/2006 300 232 Lattice Semiconductor Co. 4.750% due 11/01/2006 600 609 Nvidia Corp. 4.750% due 10/15/2007 500 456 STMicroelectronics NV 0.000% due 09/22/2009 400 335 Veritas Software Corp. 1.856% due 08/13/2006 500 403 ----------- 3,729 =========== Utilities 11.3% AES Corp. 4.500% due 08/15/2005 250 198 AT&T - Liberty Media Group 4.000% due 11/15/2029 1,000 775 Charter Communications, Inc. 4.750% due 06/01/2006 850 645 Cienna Corp. 3.750% due 02/01/2008 1,000 603 Comcast Corp. 0.000% due 12/19/2020 1,000 785 Fullerton Global Corp. 0.000% due 04/02/2003 1,000 1,172 Nabors Industries, Inc. 0.000% due 06/20/2020 400 249 NTL Communications Corp. 6.750% due 05/15/2008 1,100 459 ----------- 4,886 ----------- Total Convertible Bonds & Notes 29,354 (Cost $32,658) =========== CONVERTIBLE PREFERRED STOCK 22.4% Shares Banking & Finance 4.3% Equity Residentials Properties Trust 7.250% due 12/31/2049 15,200 387 Metlife Capital Trust I Cvt. Pfd. 8.000% due 05/15/2003 13,200 1,230 Washington Mutual, Inc. Cvt. Pfd. 5.375% due 05/01/2041 4,300 241 ----------- 1,858 =========== Energy 9.7% Apache Corp. Cvt. Pfd. 6.500% due 05/15/2002 27,000 991 Calpine Capital Trust II Cvt. Pfd. 5.500% due 02/01/2005 10,000 450 Kerr-McGee Corp. Cvt. Pfd. 5.500% due 08/01/2004 28,900 979 PPL Capital Funding Trust Cvt. Pfd. 7.750% due 05/18/2004 50,000 908 Valero Energy Cvt. Pfd. 7.750% due 08/18/2003 28,500 845 ----------- 4,173 =========== Industrial 7.3% Cox Communications Inc. Cvt. Pfd. 7.000% due 08/16/2002 11,000 600 Electronic Data Systems Corp. Cvt. Pfd 7.625% due 08/17/2004 8,400 427 Express Scripts Exchange Trust Cvt. Pfd. 7.000% due 11/15/2003 8,000 808 Kmart Financing Cvt. Pfd. 7.750% due 06/15/2016 20,000 744 Tribune Co. Cvt. Pfd. 2.000% due 05/15/2029 6,600 595 ----------- 3,174 =========== Utilities 1.1% Enron Corp. Cvt. Pfd. 7.000% due 07/31/2002 18,000 478 ----------- Total Convertible Preferred Stock 9,683 (Cost $11,085) ----------- COMMON STOCKS 1.1% Health Care 1.1% Elan Corp. PLC SP - ADR (b) 10,114 490 ----------- Total Common Stocks 490 (Cost $374) =========== 44 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ SHORT-TERM INSTRUMENTS 6.7% Commercial Paper 6.3% Abbey National North America 3.470% due 10/31/2001 $ 1,000 $ 997 Fannie Mae 3.150% due 10/01/2001 1,700 1,700 -------- 2,697 ======== Repurchase Agreement 0.4% State Street Bank 2.600% due 10/01/2001 183 183 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $191. Repurchase proceeds are $183.) -------- Total Short-Term Instruments 2,880 (Cost $2,880) ======== Total Investments (a) 98.1% $ 42,407 (Cost $46,997) Other Assets and Liabilities (Net) 1.9% 818 -------- Net Assets 100.0% $ 43,225 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was and excess of value over tax cost. $ 1,409 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (5,999) -------- Unrealized depreciation-net $ (4,590) ======== (b) Non-income producing security. (c) Principal amount denoted in indicated currency: EC - Euro See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 45 PIMCO Schedule of Investments Class D Emerging Markets Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- ARGENTINA 4.0% Republic of Argentina 5.562% due 03/31/2005 (d) $ 3,520 $ 2,481 7.000% due 12/19/2008 (d) 250 150 -------- Total Argentina 2,631 (Cost $2,600) ======== BERMUDA 0.1% IMEXA Export Trust 10.125% due 05/31/2003 $ 63 62 -------- Total Bermuda 62 (Cost $62) ======== BRAZIL 26.2% Republic of Brazil 9.625% due 07/15/2005 $ 1,000 863 5.437% due 04/15/2006 (d) 3,472 2,890 5.500% due 04/15/2009 (d) 2,059 1,527 14.500% due 10/15/2009 500 472 8.000% due 04/15/2014 4,428 2,998 6.000% due 04/15/2024 750 474 8.875% due 04/15/2024 (c) 3,350 1,884 7.625% due 04/15/2024 (d) 1,100 709 8.875% due 04/15/2025 500 289 12.250% due 03/06/2030 (c) 5,100 3,710 11.000% due 08/17/2040 (c) 2,400 1,560 -------- Total Brazil 17,376 (Cost $19,311) ======== BULGARIA 3.1% Republic of Bulgaria 6.312% due 07/28/2011 (d) $ 198 154 3.000% due 07/28/2012 1,250 984 6.312% due 07/28/2024 (d) 1,150 883 -------- Total Bulgaria 2,021 (Cost $2,057) ======== CROATIA 0.6% Republic of Croatia 7.000% due 02/27/2002 $ 410 414 -------- Total Croatia 414 (Cost $413) ======== ECUADOR 3.3% Republic of Ecuador 12.000% due 11/15/2012 $ 500 325 4.000% due 08/15/2030 4,700 1,875 -------- Total Ecuador 2,200 (Cost $2,266) ======== EGYPT 3.1% Republic of Egypt 8.750% due 07/11/2011 $ 2,250 2,030 -------- Total Egypt 2,030 (Cost $2,006) ======== MEXICO 16.0% Telefonos De Mexico, S.A. 8.250% due 01/26/2006 $ 1,000 1,010 United Mexican States 10.375% due 02/17/2009 835 925 9.875% due 02/01/2010 100 107 8.375% due 01/14/2011 1,700 1,688 11.375% due 09/15/2016 450 520 8.125% due 12/30/2019 (c) 1,500 1,352 6.250% due 12/31/2019 (c) 1,110 1,023 7.532% due 12/31/2019 1,150 1,150 6.250% due 12/31/2019 2,475 2,252 11.500% due 15/31/2026 425 504 United Mexican States - Recovery Rights 0.000% due 06/30/2003 9,459 75 -------- Total Mexico 10,609 (Cost $10,501) ======== MOROCCO 1.1% Kingdom of Morocco 5.093% due 01/05/2009 (d) $ 250 216 Morroco Restructured 7.562% due 01/01/2009 617 534 -------- Total Morocco 750 (Cost $781) ======== NIGERIA 2.2% Central Bank of Nigeria 6.250% due 11/15/2020 $ 2,250 1,438 Central Bank of Nigeria - Warrant 0.000% due 11/15/2022 1 0 -------- Total Nigeria 1,438 (Cost $1,394) ======== PANAMA 4.9% Republic of Panama 7.733% due 05/10/2002 (d) $ 200 201 9.625% due 02/08/2011 250 250 4.500% due 07/17/2014 2,258 1,999 6.015% due 09/30/2016 (d) 181 139 8.875% due 09/30/2027 500 441 9.375% due 04/01/2029 175 179 -------- Total Panama 3,209 (Cost $3,106) ======== PERU 2.3% Republic of Peru 4.500% due 03/07/2017 (b) $ 250 175 4.000% due 03/07/2017 2,100 1,347 -------- Total Peru 1,522 (Cost $1,485) ======== PHILIPPINES 0.6% Republic of Philippines 6.500% due 12/01/2017 $ 500 425 -------- Total Philippines 425 (Cost $392) ======== POLAND 2.4% Republic of Poland 6.000% due 10/27/2014 (b) $ 1,315 1,300 3.750% due 10/27/2024 (b) 400 288 -------- Total Poland 1,588 (Cost $1,510) ======== QATAR 2.3% State of Qatar 9.750% due 06/15/2030 $ 1,425 1,539 -------- Total Qatar 1,539 (Cost $1,524) ======== 46 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- RUSSIA 15.4% Russian Federation 11.750% due 06/10/2003 (c) $ 1,380 $ 1,440 8.250% due 03/31/2010 1,053 799 11.000% due 07/24/2018 1,450 1,288 12.750% due 06/24/2028 (c) 1,600 1,571 2.250% due 03/31/2030 (b) 1,397 639 5.000% due 03/31/2030 (c)(d) 9,704 4,428 ---------- Total Russia 10,165 ========== (Cost $9,391) SOUTH AFRICA 0.8% Republic of South Africa 9.125% due 05/19/2009 $ 500 546 ---------- Total South Africa 546 ========== (Cost $546) SOUTH KOREA 3.1% Korea Development Bank 7.625% due 10/01/2002 $ 750 779 Republic of Korea 8.875% due 04/15/2008 1,100 1,273 ---------- Total South Korea 2,052 ========== (Cost $1,921) UKRAINE 0.6% Republic of Ukraine 11.000% due 03/15/2007 $ 485 404 ---------- Total Ukraine 404 ========== (Cost $393) VENEZUELA 4.3% Republic of Venezuela 7.375% due 12/18/2007 (d) $ 2,167 1,717 6.750% due 03/31/2020 700 532 9.250% due 09/15/2027 1,360 624 Republic of Venezuela - Warrant 0.000% due 04/15/2020 6 0 ---------- Total Venezuela 2,873 ========== (Cost $2,975) SHORT-TERM INSTRUMENTS 17.3% Commercial Paper 17.3% Abbey National North America 3.470% due 10/26/2001 $ 4,000 3,990 Anz, Inc. 3.240% due 11/21/2001 4,000 3,982 Fannie Mae 3.150% due 10/01/2001 2,000 2,000 4.060% due 10/25/2001 100 100 General Electric Capital Corp. 3.700% due 10/31/2001 400 399 Swedbank, Inc. 3.570% due 11/20/2001 1,000 995 ---------- Total Short-Term Instruments 11,466 ========== (Cost $11,466) Total Investments (a) 113.7% $ 75,320 (Cost $76,100) Other Assets and Liabilities (Net) (13.7%) (9,080) ---------- Net Assets 100.0% $ 66,240 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax $ 1,553 cost. Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,333) --------- Unrealized depreciation-net $ (780) ========= (b) Step-up bond. (c) Subject to financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount Appreciation - -------------------------------------------------------------------------------- Pay a fixed rate equal to 5.000% and the Fund will receive from the counterparty at par in the event of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2002 $ 2,000 $ 0 Recevice a fixed rate equal to 9.050% and the Fund will pay to the counterparty at par in the vent of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2003 2,000 0 --------- $ 0 ========= (f) Foreign forward currency contracts outstanding at September 30,2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ------------------------------------------------------------------ Buy EC 1,900 10/2001 $ 39 Buy HF 359,150 11/2001 92 ------------- $ 131 ============= (g) Principal amount denoted in indicated currency: EC - Euro HF - Hungarian, Forint See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 47 PIMCO Schedule of Investments Class D Foreign Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - --------------------------------------------------------------------- Australia (e)(f) 2.7% General Electric Capital Australia Funding 6.750% due 09/15/2007 A$ 750 $ 392 General Motors Acceptance Corp. 4.633% due 03/25/2002(d) EC 10,300 9,368 Homeside Mortgage Securities Trust 3.950% due 01/20/2027(d) $ 2,420 2,417 Medallion Trust 4.020% due 07/12/2031(d) 4,232 4,238 Rams Mortgage Corporation Ltd. 4.680% due 09/26/2032(d) EC 1,518 1,381 Torrens Trust 3.750% due 07/15/2031(d) $ 2,292 2,292 -------- Total Australia 20,088 ======== (Cost $20,809) AUSTRIA (e)(f) 0.1% Republic of Austria 5.500% due 01/15/2010(i) EC 1,200 1,132 -------- 1,132 ======== Total Austria (Cost $1,041) BELGIUM (e)(f) 2.1% Kingdom of Belgium 9.000% due 03/28/2003 EC 5 5 6.750% due 11/21/2004(d) BF 183,200 4,478 7.500% due 07/29/2008(i) EC 10,500 11,082 -------- Total Belgium 15,565 ======== (Cost $17,257) BRAZIL 0.7% Republic of Brazil 5.437% due 04/15/2006(d) $ 6,400 5,328 -------- Total Brazil 5,328 ======== (Cost $5,588) CANADA (e)(f) 8.4% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 3,440 2,211 Commonwealth of Canada 5.250% due 09/01/2003 640 418 6.000% due 09/01/2005(i) 52,500 35,114 7.250% due 06/01/2007(i) 34,500 24,490 5.500% due 06/01/2010 1,800 1,158 -------- Total Canada 63,391 ======== (Cost $63,533) CAYMAN ISLANDS(e)(f) 1.7% International Credit Recovery-Japan 0.370% due 08/25/2005(d) JY 71,996 604 0.475% due 08/25/2005(d) 50,000 418 0.351% due 05/22/2006(d) 378,827 3,178 MBNA Master Credit Card Trust 4.486% due 05/19/2004(d) EC 8,100 7,372 SHL Corp. Ltd. 0.470% due 12/25/2024(d) JY 47,201 396 0.770% due 12/25/2024(d) 76,000 638 -------- Total Cayman Islands 12,606 ======== (Cost $13,850) DENMARK (e)(f) 0.9% Nykredit 6.000% due 10/01/2029 DK 29,562 3,551 Unikredit Realkredit 6.000% due 07/01/2029 26,729 3,210 -------- Total Denmark 6,761 ======== (Cost $6,223) EGYPT 0.3% Republic of Egypt 8.750% due 07/11/2011 $ 2,300 $ 2,053 -------- Total Egypt 2,053 ======== (Cost $2,300) FRANCE (e)(f) 9.3% Republic of France 5.500% due 04/25/2007(i) EC 7,890 7,590 4.000% due 04/25/2009(i) 8,250 7,170 3.000% due 07/25/2009 3,166 2,803 4.000% due 10/25/2009(i) 46,070 39,788 5.500% due 04/25/2010 13,960 13,295 -------- Total France 70,646 ======== (Cost $70,330) GERMANY (e)(f) 15.3% Commerzbank AG 5.204% due 10/25/2032(d) EC 6,200 5,648 Depfa Pfandbriefbank 4.750% due 07/15/2008 3,590 3,257 5.750% due 03/04/2009 3,560 3,408 DT Hypothekenbank 3.500% due 07/03/2006 7,000 6,131 Hypothekenbank in Essen AG 5.500% due 02/20/2007 1,690 1,605 Landesbank Baden-Wuerttemberg AG 5.500% due 04/02/2007 3,240 3,085 Landesbank Rheinland-Pfalz 4.750% due 04/04/2008 5,330 4,851 Republic of Germany 5.250% due 01/04/2008 4,830 4,600 4.125% due 07/04/2008(i) 21,500 19,185 4.500% due 07/04/2009(i) 17,500 15,759 4.000% due 07/04/2009 1,600 1,395 5.375% due 01/04/2010 2,790 2,652 6.250% due 01/04/2024(i) 1,880 1,858 6.500% due 07/04/2027(i) 20,800 21,234 6.250% due 01/04/2030 1,700 1,695 5.500% due 01/04/2031(i) 14,100 12,742 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 5,280 4,637 WestDeutsche Landersbank 4.750% due 09/28/2007 1,630 1,494 -------- Total Germany 115,236 ======== Cost $112,522) GREECE (e)(f) 0.2% Hellenic Republic 7.850% due 05/19/2003(d) EC 293 270 5.580% due 06/17/2003(d) 315 293 7.080% due 10/23/2003(d) 1,103 1,038 -------- Total Greece 1,601 ======== (Cost $2,233) IRELAND (e)(f) 0.5% Emerald Mortgages PLC 4.557% due 04/30/2028(d) EC 4,314 3,927 -------- Total Ireland 3,927 ======== (Cost $3,793) ITALY (e)(f) 14.0% First Italian Auto Transaction 4.690% due 07/01/2008(d) EC 10,030 9,087 International Credit Recovery 4.514% due 03/30/2010(d) 1,800 1,639 Island Finance 5.109% due 01/15/2015(d) 2,532 2,311 48 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Republic of Italy 5.750% due 09/15/2002 (i) EC 26,400 $ 24,536 7.750% due 11/01/2006 (i) 5,700 5,954 4.500% due 05/01/2009 (i) 64,110 57,217 4.250% due 11/01/2009 (i) 5,560 4,837 ---------- Total Italy 105,581 (Cost $104,353) ========== MEXICO (e)(f) 0.9% Bancomext Trust 8.000% due 08/05/2003 $ 390 400 Petroleos Mexicanos 8.850% due 09/15/2007 1,040 1,069 9.375% due 12/02/2008 1,290 1,348 United Mexican States 8.750% due 05/30/2002 BP 960 1,420 10.375% due 01/29/2003 DM 2,575 1,253 4.000% due 03/11/2004 JY 130,000 1,128 ---------- Total Mexico 6,618 (Cost $6,816) ========== NEW ZEALAND (e)(f) 0.8% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 13,430 5,892 ---------- Total New Zealand 5,892 (Cost $7,507) ========== PANAMA 0.2% Republic of Panama 9.625% due 02/08/2011 $ 1,600 1,598 ---------- Total Panama 1,598 (Cost $1,630) ========== PERU 0.2% Republic of Peru 4.500% due 03/07/2017 (d) 2,100 1,478 ---------- Total Peru 1,478 (Cost $1,472) ========== SOUTH KOREA (e)(f) 1.0% Export-Import Bank Korea 6.500% due 02/10/2002 $ 800 807 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 2,800 2,784 Korea Development Bank 1.875% due 02/13/2002 JY 466,000 3,917 ---------- Total South Korea 7,508 (Cost $7,391) ========== SPAIN (e)(f) 4.4% Hipotebansa V. Hipotecaria 4.755% due 01/18/2018 (d) SP 587,964 3,222 4.670% due 07/18/2022 (d) 723,126 3,942 Kingdom of Spain 5.150% due 07/30/2009 (i) EC 28,430 26,385 ---------- Total Spain 33,549 (Cost $35,191) ========== SUPRANATIONAL (e)(f) 2.1% Eurofima 4.750% due 07/07/2004 (i) SK 60,900 5,680 European Investment Bank 6.000% due 05/07/2003 BP 3,250 4,863 8.000% due 06/10/2003 3,250 5,026 ---------- Total Supranational 15,569 (Cost $16,433) ========== SWEDEN (e)(f) 0.3% Kingdom of Sweden 5.000% due 01/28/2009 SK 27,000 $ 2,502 ---------- Total Sweden 2,502 (Cost $2,673) ========== UNITED KINGDOM (e)(f) 10.1% Abbey National Treasury Service PLC 5.250% due 01/21/2004 BP 2,670 3,936 Bauhaus Securities Ltd. 5.099% due 10/30/2052 (d) EC 6,000 5,455 British Telecom PLC 4.445% due 12/15/2003 (d) $ 20,380 20,788 Core 3.345% due 03/17/2009 (d) 2,679 2,668 Haus Ltd. 4.836% due 12/14/2037 (d) EC 8,500 7,749 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 5,540 5,541 4.727% due 07/15/2040 (d) EC 1,100 1,002 Lloyds TSB Capital 7.375% due 02/07/2049 500 485 Ocwen Mortgage Loans 4.847% due 12/15/2031 (d) 1,021 932 Royal Bank of Scotland Group PLC 6.070% due 09/30/2031 $ 4,500 4,549 United Kingdom Gilt 7.500% due 12/07/2006 BP 4,800 7,889 7.250% due 12/07/2007 4,800 7,925 5.750% due 12/07/2009 (i) 4,690 7,264 ---------- Total United Kingdom 76,183 (Cost $75,821) ========== UNITED STATES (e)(f) 77.0% Asset-Backed Securities 18.6% Advanta Mortgage Loan Trust 3.945% due 07/25/2026 (d) $ 176 176 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 561 561 2.961% due 07/25/2030 (d) 5,919 5,930 2.941% due 01/25/2031 (d) 11,247 11,225 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 100 101 Amresco Residential Securities Mortgage Loan Trust 4.050% due 06/25/2029 (d) 7,988 8,010 Bank One Auto Grantor Trust 6.290% due 07/20/2004 192 194 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 252 253 4.182% due 11/25/2030 (d) 9,400 9,435 Chase Funding Loan Acquisition Trust 3.970% due 04/25/2031 (d) 14,238 14,151 Conseco Finance 3.857% due 10/15/2031 (d) 831 835 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 12,279 7,666 3.930% due 08/25/2031 (d) 491 491 Delta Funding Home Equity Loan Trust 7.380% due 12/15/2017 71 72 EQCC Home Equity Loan Trust 3.307% due 03/20/2030 277 277 First Alliance Mortgage Loan Trust 3.287% due 12/20/2027 (d) 167 167 GMAC Mortgage Corp. Loan Trust 3.696% due 11/18/2015 (d) 3,320 3,325 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 2,500 2,503
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 49 PIMCO Schedule of Investments Class D (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Home Loan Trust 5.074% due 01/25/2014 4,743 $ 4,791 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 4,068 4,118 Irwin Home Equity Loan Trust 2.820% due 11/25/2011 (d) 7,730 7,730 Long Beach Mortgage Loan Trust 3.860% due 01/21/2031 (d) 6,680 6,689 2.863% due 09/25/2031 (d) 800 800 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 2,979 2,990 Nissan Auto Receivables Grantor Trust 5.450% due 04/15/2004 639 642 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 1,326 1,320 Providian Gateway Master Trust 3.707% due 03/15/2007 (d) 13,300 13,347 Providian Home Equity Loan Trust 3.870% due 06/25/2025 (d) 2,513 2,517 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 33 33 Residential Asset Securities Corp. 3.806% due 09/25/2031 (d) 5,500 5,500 2.901% due 01/25/2032 (d) 9,116 9,128 Salomon Brothers Mortgage Securities VII 3.907% due 11/15/2029 (d) 1,712 0 3.001% due 02/25/2030 (d) 13,277 5,921 2.921% due 02/25/2031 (d) 3,853 3,851 United Panama Mortgage Loan 3.111% due 10/25/2029 (d) 5,601 5,606 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 283 285 ---------- 140,640 ========== Convertible Bonds & Notes 0.3% Axa 2.500% due 01/01/2014 835 684 Finmeccanica SpA 2.000% due 06/08/2005 544 489 Hellenic Finance 2.000% due 07/15/2003 1,600 1,459 ---------- 2,632 ========== Corporate Bonds & Notes 14.3% Abbey National Capital Trust I 8.963% due 12/29/2049 2,000 2,261 Allegheny Energy Supply 5.113% due 05/01/2002 (d) 2,900 2,904 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 2,670 2,669 Beckman Coulter, Inc. 7.100% due 03/04/2003 344 352 Capital One Bank 4.415% due 07/28/2003 (d) 12,000 11,867 CIT Group, Inc. 4.270% due 04/07/2003 (d) 138 138 DaimlerChrysler North America Holding Corp. 3.797% due 08/23/2002 (d) 3,900 3,902 DQE Capital Corp. 4.270% due 01/15/2002 (d) 800 801 Finova Group, Inc. 7.500% due 11/15/2009 1,710 671 Ford Motor Credit Co. 3.255% due 06/20/2003 (d) 5,200 5,138 1.000% due 12/22/2003 JY 107,000 904 4.110% due 07/19/2004 (d) $ 2,800 2,751 1.200% due 02/07/2005 JY 619,000 5,238 General Electric Finance Assurance 1.600% due 06/20/2011 520,000 4,285 General Motors Acceptance Corp. 3.661% due 08/18/2003 (d) $ 4,790 4,719 General Motors Corp. 1.250% due 12/20/2004 JY 208,000 1,770 Goldman Sachs Group, Inc. 3.790% due 12/07/2001 (d) $ 8,000 8,016 International Game Technology 7.875% due 05/15/2004 1,600 1,608 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) $ 4,670 $ 4,555 Jones Intercable, Inc. 8.875% due 04/01/2007 427 466 MGM Mirage, Inc. 6.950% due 02/01/2005 180 182 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 7,300 7,309 NeHi, Inc. 7.600% due 06/09/2003 (d) 2,000 2,010 Pfizer, Inc. 0.800% due 03/18/2008 JY 637,000 5,344 Protective Life Funding Trust 4.110% due 01/17/2003 (d) $ 1,200 1,204 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 13,564 13,634 3.815% due 02/11/2003 (d) 400 401 Sprint Capital Corp. 5.875% due 05/01/2004 690 706 Texas Utilities Corp. 3.715% due 12/20/2002 (d) 1,500 1,502 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 7,600 7,610 WorldCom, Inc. 7.375% due 01/15/2003 3,100 3,208 ---------- 108,125 ========== Mortgage-Backed Securities 19.3% Bank of America Mortgage Securities, Inc. 6.500% due 05/25/2029 283 281 Bear Stearns Adjustable Rate Mortgage Trust 5.920% due 02/25/2031 (d) 6,800 6,883 7.007% due 02/25/2031 (d) 3,757 3,776 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,406 1,429 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,227 1,235 6.500% due 03/25/2029 140 142 Crusade Global Trust 3.900% due 05/15/2021 (d) 10,680 10,712 Fannie Mae 6.527% due 07/01/2021 (d) 457 471 8.374% due 11/01/2022 (d) 411 423 8.209% due 01/01/2023 (d) 839 865 7.040% due 08/01/2023 (d) 816 840 6.768% due 12/01/2030 (d) 3,487 3,632 Freddie Mac 6.000% due 03/15/2008 244 244 5.750% due 09/15/2010 EC 1,600 1,521 5.000% due 01/15/2012 1,700 1,538 9.050% due 06/15/2019 $ 44 47 6.595% due 06/01/2022 (d) 964 968 8.146% due 08/01/2022 (d) 336 347 General Electric Capital Mortgage Services, Inc. 6.250% due 07/25/2029 500 514 Government National Mortgage Association 7.625% due 11/20/2021 (d) 379 392 7.375% due 05/20/2022 (d) 38 38 7.750% due 07/20/2022 (d) 387 399 7.750% due 09/20/2022 (d) 243 251 6.375% due 05/20/2023 (d) 416 427 7.750% due 07/20/2023 (d) 396 408 7.750% due 07/20/2023 (d) 197 203 7.750% due 08/20/2023 (d) 178 184 7.750% due 09/20/2023 (d) 1,060 1,093 7.750% due 09/20/2023 (d) 469 484 7.625% due 10/20/2023 (d) 1,938 2,004 7.625% due 10/20/2024 (d) 162 167 6.375% due 04/20/2025 (d) 126 129 7.750% due 07/20/2025 (d) 2,360 2,433 7.750% due 09/20/2025 (d) 488 503 7.625% due 12/20/2025 (d) 199 206 6.375% due 05/20/2026 (d) 1,148 1,174
50 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 7.750% due 09/20/2026 (d) $ 382 $ 394 6.375% due 04/20/2027 (d) 981 1,003 7.750% due 08/20/2027 (d) 1,270 1,309 6.375% due 04/20/2028 (d) 801 817 6.000% due 10/15/2028-05/20/2030 (d)(g) 19,920 11,335 5.250% due 04/20/2030-05/20/2030 (d)(g) 14,207 10,701 6.500% due 10/22/2031 (d) 43,060 44,055 8.500% due 10/22/2031 (d) 2,000 2,123 Prudential Home Mortgage Securities 6.800% due 05/25/2024 493 517 Residential Funding Mortgage Securities, Inc. 6.500% due 05/25/2029 1,361 1,308 4.430% due 05/12/2032 (d) 9,450 9,465 Small Business Investment Cos. 6.640% due 02/10/2011 4,400 4,590 6.334% due 08/10/2011 6,000 6,150 Structured Asset Mortgage Investments, Inc. 6.576% due 06/25/2029 (d) 2,738 2,814 Washington Mutual, Inc. 6.818% due 12/25/2040 (d) 2,966 2,976 --------- 145,920 ========= Municipal Bonds & Notes 0.1% Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 20 7.180% due 01/01/2037 (d) 500 463 --------- U.S. Government Agencies 4.7% Fannie Mae 5.375% due 03/08/2004 10,100 10,228 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 14,000 14,067 5.665% due 03/22/2006 3,200 3,383 5.660% due 04/26/2006 1,200 1,269 5.375% due 05/15/2006 6,200 6,481 --------- 35,428 ========= U.S. Treasury Obligations 18.8% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 5,209 5,300 3.875% due 01/15/2009 2,381 2,505 3.625% due 04/15/2028 4,829 4,960 3.875% due 04/15/2029 216 233 U.S. Treasury Bonds 6.250% due 08/15/2023 8,700 9,547 6.250% due 05/15/2030 4,500 4,992 U.S. Treasury Notes 5.625% due 05/15/2008 50,700 54,688 6.000% due 08/15/2009 54,300 59,817 --------- 142,042 ========= Shares Preferred Security 0.9% DG Funding Trust 5.960% due 12/29/2049 (d) 640 6,592 Total United States --------- (Cost $578,482) 581,842 ========= PURCHASED CALL OPTIONS 0.4% Eurodollar December Futures (CME) Strike @ 96.250 Exp. 12/16/2002 $ 595,000 662 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 127,900 2,128 U.S. Treasury Note (OTC) 5.625% due 05/15/2008 Strike @ 113.750 Exp. 11/01/2001 51,000 0 --------- Total Purchased Call Options 2,790 ========= (Cost $1,357) PURCHASED PUT OPTIONS 0.8% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/17/2001 $ 80,000 $ 10 Eurodollar December Futures (CME) Strike @ 93.500 Exp. 12/17/2001 173,000 4 Interest Rate Swap (OTC) 7.500% due 05/01/2031 Strike @ 7.500 Exp. 04/29/2002 11,200 32 Japanese Government Bond (OTC) 6.000% due 12/31/2001 Strike @ 129.000 Exp. 12/03/2001 2,000,000 2 U.S. Treasury Note (OTC) 6.000% due 08/15/2009 Strike @ 116.470 Exp. 10/01/2001 88,300 5,800 ----------- Total Purchased Put Options 5,848 =========== (Cost $11,548) SHORT-TERM INSTRUMENTS 11.9% Commercial Paper 11.4% Abbey National North America 2.550% due 10/24/2001-10/29/2001 (g) 19,000 9,774 American Electric Power, Inc. 4.260% due 02/13/2002 5,310 5,260 CBA (de) Finance 3.560% due 10/26/2001 34,000 33,915 3.530% due 10/29/2001 5,000 4,986 Fannie Mae 2.450% due 11/01/2001 700 698 General Electric Capital Corp. 3.550% due 10/02/2001 5,500 5,498 3.670% due 12/26/2001 1,600 1,590 3.650% due 12/27/2001 15,000 14,906 General Motors Acceptance Corp. 3.550% due 11/21/2001 2,200 2,189 Swedbank, Inc. 3.570% due 11/20/2001 1,700 1,692 UBS Finance, Inc. 3.240% due 11/19/2001 2,000 1,991 3.550% due 12/19/2001 3,300 3,281 ----------- 85,780 =========== Repurchase Agreement 0.0% State Street Bank 2.600% due 10/01/2001 137 137 ----------- (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $141. Repurchase proceeds are $137.) U.S. Treasury Bills 0.5% 2.600% due 10/18/2001 (b)(g) 4,150 4,145 ----------- Total Short-Term Instruments 90,062 =========== (Cost $89,978) Total Investments (a) 166.3% $ 1,255,354 (Cost $1,260,131) Written Options (c) (0.4%) (2,854) (Premiums $2,279) Other Assets and Liabilities (Net) (65.9%) (497,491) ------------ Net Assets 100.0% $ 755,009 ============ See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 51 PIMCO Schedule of Investments Class D (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) - -------------------------------------------------------------------------------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 15,185 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (19,962) ----------- Unrealized depreciation-net $ (4,777) =========== (b) Securities with an aggregate market value of $9,145 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contract (Depreciation) - -------------------------------------------------------------------------------- EuroBond 10 Year Note (12/2001) 119 $ 28 Government of Japan 10 Year Note (12/2001) 174 (980) ----------- $ (952) =========== (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 88 $ 31 $ 1 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 555 353 954 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 266 98 2 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 619 250 4 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 5,700,000 129 263 Call - CME Eurodollar June Futures Strike @ 97.250 Exp. 06/17/2002 595 447 394 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 26,500,000 609 1,222 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.500 Exp. 04/29/2002 16,000,000 362 14 ------------------ $ 2,279 $ 2,854 ================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - -------------------------------------------------------------------------------- Sell A$ 984 10/2001 $ 34 Sell BP 24,219 10/2001 7 Sell C$ 7,582 10/2001 46 Sell DK 57,839 12/2001 96 Buy EC 10,301 10/2001 (86) Sell 156,398 10/2001 881 Buy H$ 33,776 11/2001 (1) Buy JY 231,000 10/2001 27 Sell 5,390,597 10/2001 (348) Sell N$ 14,985 10/2001 476 Buy SF 20,702 11/2001 (370) Sell 46,561 11/2001 286 Buy SK 8,900 10/2001 (30) Sell 44,746 10/2001 125 -------- $ 1,143 ======== (f) Principal amount denoted in indicated currency: A$ - Australian Dollar BF - Belgium Franc BP - British Pound C$ - Canadian Dollar- DK - Danish Krone EC - Euro DM - German Mark H$ - Hong Kong Dollar JY - Japanese Yen N$ - New Zealand Dollar SP - Spanish Peseta SF - Swiss Franc SK - Swedish Krona (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 JY 6,290,000 $ (70) Receive a fixed rate equal to 6.949% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 08/06/2003 BP 4,500 236 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 293,000 (3,956) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 101,600 (745) 52 PIMCO Funds Semi-Annual Report | 9.30.0 | See accompanying notes Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 24,330 $ (317) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 1,776,000 (997) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 EC 47,500 (108) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 46,760 (250) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2031 14,100 (235) Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 37,200 3,573 Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.906%. Broker: Goldman Sachs Exp. 07/11/2006 H$ 419,000 (3,339) Receive a fixed rate equal to 5.710% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 07/11/2006 $ 53,700 2,896 Receive a fixed rate equal to 5.440% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 9,500 402 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 73,800 (478) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 BP 30,200 78 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 145,900 704 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 BP 25,900 $ (28) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 11,000 167 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 11,000 (120) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 53,370 481 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 13,030 648 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 152,400 8,146 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 16,800 916 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 6,600 373 Receive floating rate based on 3-month LIBOR and pay fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 38,400 (1,960) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2031 EC 4,000 (76) Pay total return on Lehman Intermediate Government Index and receive floating rate based on 1-month LIBOR less 0.250%. Broker: Lehman Brothers Exp. 10/01/2002 $ 34,400 (201) Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 5,300 1 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 53 Schedule of Investments (Cont.) Foreign Bond Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 $ 5,000 $ 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 6,700 0 ------------ $ 5,741 ============ Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - ------------------------------------------------------------------------------- Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.787 $ 110,400 $ 182 Receive the 30-year Swap Spread and pay a fixed spread. The 30-year Swap Spread is the difference between the 30-year Swap Rate and the 30-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.675 19,500 (603) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 11/15/2001 0.896 61,000 325 ------------ $ (96) ============ (k) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury Note 6.000 08/15/2009 54,300 $ 59,818 $ 57,463 U.S. Treasury Note 5.625 05/15/2008 50,700 54,689 52,847 Republic of Argentina 1.000 03/31/2005 6,328 4,458 4,206 U.S. Treasury Bonds 6.250 05/15/2030 4,500 4,993 4,955 --------------------------- $ 123,958 $ 119,471 =========================== 54 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D GNMA Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ U.S. GOVERNMENT AGENCIES 3.8% Federal Farm Credit Bank 5.750% due 01/18/2011 $ 1,000 $ 1,036 Small Business Administration 7.449% due 08/01/2010 497 543 --------- Total U.S. Government Agencies 1,579 ========= (Cost $1,495) U.S. TREASURY OBLIGATIONS 1.3% Treasury Inflation Protected Securities 3.625% due 01/15/2008(b)(c) 110 114 U.S. Treasury Strips 0.000% due 11/15/2016 1,000 429 --------- Total U.S. Treasury Obligations 543 ========= (Cost $534) MORTGAGE-BACKED SECURITIES 67.8% Collateralized Mortgage Obligations 11.0% ABN AMRO Mortgage Corp. 6.750% due 04/25/2029 235 213 Fannie Mae 7.000% due 05/25/2006 18 18 6.000% due 11/18/2017 100 101 6.500% due 02/25/2019 261 261 6.500% due 09/25/2023 299 297 Freddie Mac 6.500% due 11/25/2023 132 122 General Electric Capital Mortgage Services, Inc. 6.750% due 06/25/2028 50 51 Government National Mortgage Association 7.300% due 09/20/2028 2,106 2,159 3.940% due 08/16/2031 967 966 Hilton Hotel Pool Trust 1.000% due 10/01/2016 2,972 125 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 240 241 --------- 4,554 ========= Fannie Mae 0.1% 8.271% due 03/01/2018(d) 36 36 9.000% due 07/01/2018 23 26 --------- 62 ========= Federal Housing Administration 1.6% 7.430% due 03/01/2022 161 163 8.137% due 09/01/2040 475 495 --------- 658 ========= Freddie Mac 0.4% 6.598% due 06/01/2030(d) 91 93 7.050% due 05/01/2019(d) 53 54 --------- 147 ========= Government National Mortgage Association 53.8% 6.375(d)(e) due 02/20/2018-02/20/2026 563 574 6.500% due 02/25/2018(d) 4,000 4,092 7.000% due 02/22/2031(d) 11,000 11,423 7.375(d)(e) due 05/20/2016-06/20/2025 190 195 7.500(d)(e) due 10/20/2031-10/22/2031 5,371 5,608 7.625% due 12/20/2017(d) 70 73 7.750(d)(e) due 07/20/2018-08/20/2025 201 208 11.250% due 07/20/2015 116 131 --------- 22,304 ========= Stripped Mortgage-Backed Securities 0.9% Fannie Mae (IO) 7.000% due 09/25/2021 1,607 111 Freddie Mac (IO) 3.975% due 07/15/2020(d) 3,117 111 7.500% due 08/15/2029 792 133 --------- 355 --------- Total Mortgage-Backed Securities 28,080 ========= (Cost $27,851) ASSET-BACKED SECURITIES 5.6% Advanta Business Card Master Trust 5.533% due 04/20/2008 (d) 100 101 Chase Funding Mortgage Loan Asset-Backed Certificates 4.461% due 10/25/2030 (d) 200 198 Conseco Finance 9.290% due 12/15/2029 500 545 CS First Boston Mortgage Securities Corp. 4.580% due 08/25/2031 (d) 700 700 General Electric Capital Mortgage Services, Inc. 7.200% due 04/25/2029 290 296 Indymac Home Equity Loan Asset-Backed Trust 5.158% due 12/25/2031 (d) 200 200 NPF XII, Inc. 4.303% due 10/01/2003 (d) 300 301 --------- Total Asset-Backed Securities 2,341 ========= (Cost $2,270) SHORT-TERM INSTRUMENTS 66.0% Commercial Paper 61.4% Abbey National North America 3.470% due 10/31/2001 500 499 Anz, Inc. 3.240% due 11/21/2001 1,000 995 CBA (de) Finance 3.470% due 10/29/2001 600 598 Fannie Mae 3.150% due 10/01/2001 19,000 19,000 4.020% due 10/04/2001 100 100 3.540% due 10/18/2001 600 599 3.520% due 10/25/2001 600 599 Federal Home Loan Bank 3.460% due 10/12/2001 600 599 General Electric Capital Corp. 3.560% due 12/26/2001 500 497 Swedbank, Inc. 3.510% due 10/24/2001 500 499 3.570% due 11/20/2001 300 299 UBS Finance, Inc. 3.240% due 11/19/2001 400 398 3.420% due 12/19/2001 200 199 3.550% due 12/19/2001 200 199 3.360% due 12/20/2001 400 397 --------- 25,477 ========= Repurchase Agreement 4.6% State Street Bank 2.600% due 10/01/2001 1,895 1,895 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $1,933. Repurchase proceeds are $1,895.) --------- Total Short-Term Instruments 27,372 ========= (Cost $27,369) Total Investments (a) 144.5% $ 59,915 (Cost $59,519) Other Assets and Liabilities (Net) (44.5%) (18,459) --------- Net Assets 100.0% $ 41,456 ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 55 PIMCO Schedule of Investments Class D (Cont.) GNMA Fund September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 466 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (70) -------- Unrealized appreciation-net $ 396 ======== (b) Subject to financing transaction. (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. 56 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - --------------------------------------------------------------- CORPORATE BONDS & NOTES 74.5% Banking & Finance 3.8% Americo Life, Inc. 9.250% due 06/01/2005 $ 198 $ 195 Arvin Capital 9.500% due 02/01/2027 17,500 12,662 Beaver Valley Funding Corp. 8.625% due 06/01/2007 14,197 15,290 9.000% due 06/01/2017 9,432 10,480 Caithness Coso Funding Corp. 6.800% due 12/15/2001 72 72 Choctaw Resort Development Enterprise 9.250% due 04/01/2009 6,675 6,642 Finova Group, Inc. 7.500% due 11/15/2009 37,175 14,587 Forest City Enterprises, Inc. 8.500% due 03/15/2008 12,869 11,646 General Motors Acceptance Corp. 4.530% due05/16/2003(d) 631 626 Golden State Holdings 7.000% due 08/01/2003 4,573 4,688 7.125% due 08/01/2005 5,137 5,234 Hollinger Participation Trust 12.125% due 11/15/2010 10,850 8,843 Presidential Life Insurance Corp. 7.875% due 02/15/2009 7,451 7,406 Reliance Group Holdings, Inc. 9.000% due 11/15/2049(e) 3,769 151 Trizec Finance Ltd. 10.875% due 10/15/2005 13,772 14,202 ------- 112,724 ======= Industrials 58.6% 360 Networks, Inc. 13.000% due 05/01/2008(e) 5,740 43 12.000% due 08/01/2009(e) 5,969 45 Adelphia Business Solutions,Inc. 12.250% due 09/01/2004 6,379 3,604 Adelphia Communications Corp. 7.875% due 05/01/2009 50 41 9.375% due 11/15/2009 300 258 10.875% due 10/01/2010 15 13 10.250% due 06/15/2011 5,000 4,375 Airgas, Inc. 9.125% due 10/01/2011 9,650 9,795 Alliant Techsystems Inc. 8.500% due 05/15/2011 10,400 10,712 Allied Waste Industries, Inc. 6.100% due 01/15/2003 3,234 3,236 7.375% due 01/01/2004 13,910 13,771 7.875% due 03/15/2005 1,578 1,628 7.625% due 01/01/2006 8,204 8,040 6.375% due 01/15/2008 1,100 1,032 8.875% due 04/01/2008 8,000 8,200 7.875% due 01/01/2009 19,910 19,412 American Airlines, Inc. 10.610% due 03/04/2010 650 691 6.978% due 04/01/2011 2,000 2,016 7.858% due 10/01/2011 3,100 3,128 American Cellular Corp. 9.500% due 10/15/2009 8,000 7,480 American Media Operation, Inc. 10.250% due 05/01/2009 2,489 2,452 American Standard Cos., Inc. 7.375% due 04/15/2005 2,735 2,749 7.375% due 02/01/2008 2,150 2,139 9.250% due 12/01/2016 1,177 1,160 AmeriGas Partners LP 10.000% due 04/15/2006 9,000 9,803 10.125% due 04/15/2007 5,167 5,341 8.875% due 05/20/2011 1,400 1,414 AmerisourceBergen Corp. 8.125% due 09/01/2008 14,200 14,733 AM-FM, Inc. 8.750% due 06/15/2007 4,457 4,658 8.125% due 12/15/2007 1,500 1,556 8.000% due 11/01/2008 5,244 5,467 Amphenol Corp. 9.875% due 05/15/2007 7,276 7,676 Archibald Candy Corp. 10.250% due 07/01/2004 3,250 1,966 Arco Chemical Co. 9.375% due 12/15/2005 7,375 7,619 10.250% due 11/01/2010 5,400 5,716 Argosy Gaming Co. 9.000% due 09/01/2011 4,800 4,800 Armkel LLC 9.500% due 08/15/2009 4,300 4,375 Ball Corp. 7.750% due 08/01/2006 7,854 7,893 8.250% due 08/01/2008 5,500 5,528 Beckman Coulter, Inc. 7.100% due 03/04/2003 9,923 10,150 7.450% due 03/04/2008 12,717 13,133 7.050% due 06/01/2026 275 293 Bergen Brunswig Corp. 7.375% due 01/15/2003 11,125 11,327 7.250% due 06/01/2005 500 510 Beverly Enterprises, Inc. 9.000% due 02/15/2006 15,320 15,588 9.625% due 04/15/2009 4,900 5,096 Briggs & Stratton Corp. 8.875% due 03/15/2011 4,100 3,998 British Sky Broadcasting Group PLC 7.300% due 10/15/2006 6,733 6,774 8.200% due 07/15/2009 21,949 22,136 British Sky Broadcasting PLC 6.875% due 02/23/2009 10,000 9,382 Building Materials Corp. 7.750% due 07/15/2005 971 675 8.000% due 10/15/2007 1,007 650 8.000% due 12/01/2008 9,851 6,255 Cadmus Communications Corp. 9.750% due 06/01/2009 2,250 2,194 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 6,172 6,018 Canwest Media, Inc. 10.625% due 05/15/2011 4,000 3,960 Century Aluminum Co. 11.750% due 04/15/2008 5,350 5,270 Century Communications Corp. 9.750% due 02/15/2002 513 501 0.000% due 03/15/2003 14,993 12,144 9.500% due 03/01/2005 10,500 9,818 8.750% due 10/01/2007 5,800 5,104 CF Cable TV, Inc. 9.125% due 07/15/2007 9,149 9,484 Charter Communications Holdings LLC 8.250% due 04/01/2007 11,995 10,796 10.000% due 04/01/2009 5,347 5,173 8.625% due 04/01/2009 4,594 4,123 9.625% due 11/15/2009 6,900 6,590 0.000% due 04/01/2011 (c) 8,000 5,180 10.000% due 05/15/2011 2,000 1,920 Columbus McKinnon 8.500% due 04/01/2008 5,256 4,809 Consolidated Container 10.125% due 07/15/2009 6,778 6,270 Constellation Brands, Inc 8.000% due 02/15/2008 6,000 6,000 8.500% due 03/01/2009 10,500 10,658 Container Corp. of America 9.750% due 04/01/2003 789 805 Continental Airlines, Inc. 7.033% due 06/15/2011 7,900 7,148 Continental Cablevision 9.500% due 08/01/2013 7,900 8,936 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 57 PIMCO Schedule of Investments Class D (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - --------------------------------------------------------------------- Crown Castle International Corp. 0.000% due 11/15/2007 (c) $ 1,775 $ 1,385 10.750% due 08/01/2011 CSC Holdings, Inc. 12,755 11,766 9.250% due 11/01/2005 9.875% due 05/15/2006 789 809 7.875% due 12/15/2007 1,021 1,058 7.250% due 07/15/2008 79 81 8.125% due 07/15/2009 100 98 7.625% due 04/01/2011 300 308 9.875% due 02/15/2013 34,900 34,585 9.875% due 04/01/2023 2,595 2,803 DaVita, Inc. 3,155 3,407 9.250% due 04/15/2011 Delta Air Lines, Inc. 850 880 9.300% due 01/02/2010 10.790% due 03/26/2014 1,800 1,500 Diamond Cable Communication Co 2,264 2,071 13.250% due 09/30/2004 11.750% due 12/15/2005 1,184 539 Dresser, Inc. 6,887 2,858 9.375% due 04/15/2011 Echostar Broadband Corp. 10,000 10,000 10.375% due 10/01/2007 Echostar Communications Corp. 500 508 9.250% due 02/01/2006 9.375% due 02/01/2009 19,727 19,480 Electric Lightwave, Inc. 7,454 7,324 6.050% due 05/15/2004 Equistar Chemicals LP 1,450 1,410 10.125% due 09/01/2008 8.750% due 02/15/2009 9,845 9,131 Extended Stay America, Inc. 5,800 5,128 9.875% due 06/15/2011 Extendicare Health Services 5,700 5,073 9.350% due 12/15/2007 Fairpoint Communications, Inc 1,150 1,024 9.500% due 05/01/2008 10.908% due 05/01/2008 (d) 4,912 3,266 Ferrellgas Partners LP 3,550 2,250 9.375% due 06/15/2006 Fisher Scientific International 14,331 14,403 7.125% due 12/15/2005 9.000% due 02/01/2008 10,845 10,720 Flag Ltd. 12,949 12,917 8.250% due 01/30/2008 Forest Oil Corp. 16,991 10,449 10.500% due 01/15/2006 8.000% due 06/15/2008 2,828 2,976 Fox/Liberty Networks LLC 3,850 3,792 0.000% due 08/15/2007(c) 7,690 7,382 8.875% due 08/15/2007 Garden State Newspapers 9,075 9,438 8.750% due 10/01/2009 8.625% due 07/01/2011 9,560 8,222 Golden Northwest Aluminum 4,626 3,886 12.000% due 12/15/2006 Harrahs Operating Co., Inc. 2,450 1,103 7.875% due 12/15/2005 7.125% due 06/01/2007 25,606 25,542 7.500% due 01/15/2009 500 484 HCA - The Healthcare Co. 20,207 19,401 6.870% due 09/15/2003 6.910% due 06/15/2005 1,026 1,055 7.125% due 06/01/2006 2,986 3,010 8.850% due 01/01/2007 12,525 12,854 7.000% due 07/01/2007 16,485 18,223 8.700% due 02/10/2010 18,893 18,974 8.750% due 09/01/2010 13,980 15,182 7.875% due 02/01/2011 3,950 4,271 8.360% due 04/15/2024 1,500 1,545 6.730% due 07/15/2045 4,733 4,652 HEALTHSOUTH Corp. 3,944 4,052 8.500% due 02/01/2008 2,630 2,729 7.000% due 06/15/2008 1,000 955 10.750% due 10/01/2008 900 981 8.375% due 10/01/2011 12,500 12,703 Hercules, Inc. 11.125% due 11/15/2007 7,454 7,193 HMH Properties, Inc. 7.875% due 08/01/2005 26,184 23,173 8.450% due 12/01/2008 250 215 Hollinger International Publishing 8.625% due 03/15/2005 1,948 1,824 9.250% due 02/01/2006 7,879 7,377 9.250% due 03/15/2007 1,737 1,626 Horseshoe Gaming Holding 8.625% due 05/15/2009 15,775 15,538 Host Marriott LP 8.375% due 02/15/2006 10,697 9,574 9.250% due 10/01/2007 5,100 4,565 HS Resources, Inc. 9.250% due 11/15/2006 16,465 17,247 Huntsman Corp. 6.562% due 06/30/2007 538 423 9.500% due 07/01/2007 10,218 2,504 Huntsman ICI Chemicals LLC 7.437% due 06/30/2007 1,252 1,206 10.125% due 07/01/2009 2,196 1,900 Huntsman Polymers Corp. 11.750% due 12/01/2004 4,600 1,173 International Game Technology 7.875% due 05/15/2004 12,394 12,456 8.375% due 05/15/2009 18,876 19,111 ISP Holdings, Inc. 9.750% due 02/15/2002 5,100 5,126 9.000% due 10/15/2003 18,374 17,823 10.250% due 07/01/2011 9,550 9,216 John Q. Hammons Hotels 8.875% due 02/15/2004 2,784 2,464 9.750% due 10/01/2005 1,633 1,462 Jones Intercable, Inc. 8.875% due 04/01/2007 3,991 4,360 Jupiters Ltd. 8.500% due 03/01/2006 12,400 12,090 Kmart Corp. 12.350% due 01/01/2008(b) 3,680 4,215 8.800% due 07/01/2010 811 798 9.350% due 01/02/2020 10,203 8,672 9.780% due 01/05/2020 7,552 6,325 Koninklijke KPN NV 8.000% due 10/01/2010 14,200 10,966 KPNQWest BV 8.125% due 06/01/2009 19,560 8,313 L-3 Communications Corp. 10.375% due 05/01/2007 5,938 6,265 8.500% due 05/15/2008 466 480 Lamar Media Corp. 9.625% due 12/01/2006 100 101 Lear Corp. 7.960% due 05/15/2005 13,015 12,848 Lenfest Communications 8.375% due 11/01/2005 8,400 9,238 10.500% due 06/15/2006 415 490 Level 3 Communications, Inc. 11.000% due 03/15/2008 6,438 2,897 9.125% due 05/01/2008 18,405 7,776 0.000% due 12/01/2008(c) 5,375 1,424 0.000% due 03/15/2010(c) 18,000 3,690 11.250% due 03/15/2010 789 343 Leviathan Gas Corp. 10.375% due 06/01/2009 4,373 4,657 Lin Television Corp. 8.375% due 03/01/2008 100 90 58 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------- Lyondell Chemical Co. 9.625% due 05/01/2007 $ 5,674 $ 5,234 9.875% due 05/01/2007 900 830 Macdermid, Inc. 9.125% due 07/15/2011 9,470 8,712 Mail-Well Corp. 8.750% due 12/15/2008 1,000 735 Mandalay Resort Group 6.750% due 07/15/2003 18,177 16,541 9.250% due 12/01/2005 4,812 4,403 6.450% due 02/01/2006 79 76 10.250% due 08/01/2007 198 183 6.700% due 11/15/2096 1,500 1,497 Manor Care, Inc. 8.000% due 03/01/2008 7,655 7,913 Marsh Supermarkets, Inc. 8.875% due 08/01/2007 5,916 5,709 McLeodUSA, Inc. 0.000% due 03/01/2007 (c) 17,064 5,290 8.375% due 03/15/2008 4,023 1,026 9.500% due 11/01/2008 14,997 3,974 11.375% due 01/01/2009 250 74 8.125% due 02/15/2009 2,715 686 11.500% due 05/01/2009 789 225 Mediacom LLC 9.500% due 01/15/2013 575 574 Metromedia Fiber Network, Inc. 10.000% due 11/15/2008 18,051 2,256 10.000% due 12/15/2009 6,910 864 MGM Mirage, Inc. 6.950% due 02/01/2005 27,393 27,656 8.500% due 09/15/2010 15,500 14,975 8.375% due 02/01/2011 1,500 1,358 Midwest Generation LLC 8.300% due 07/02/2009 1,750 1,705 Millenium America, Inc. 9.250% due 06/15/2008 875 827 Mirage Resorts, Inc. 6.625% due 02/01/2005 2,761 2,758 7.250% due 10/15/2006 3,556 3,246 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 2,650 2,677 Netia Holdings SA SP - ADR 10.250% due 11/01/2007 3,400 289 Newpark Resources, Inc. 8.625% due 12/15/2007 8,870 8,183 Nextel Communications, Inc. 0.000% due 09/15/2007 (c) 6,950 4,187 9.375% due 11/15/2009 4,083 2,542 Nextel Partners, Inc. 0.000% due 02/01/2009 (c) 11,013 5,424 11.000% due 03/15/2010 2,958 1,960 Nextlink Communications, Inc. 9.625% due 10/01/2007 7,099 1,313 10.500% due 12/01/2009 6,837 1,265 NL Industries, Inc. 11.750% due 10/15/2003 1,135 1,146 NTL, Inc. 12.750% due 04/15/2005 553 307 Octel Developments PLC 10.000% due 05/01/2006 1,499 1,536 Omnicare, Inc. 8.125% due 03/15/2011 16,840 17,472 Orion Network Systems, Inc. 11.250% due 01/15/2007 10,335 3,824 Owens & Minor, Inc. 8.500% due 07/15/2011 3,700 3,839 P&L Coal Holdings 8.875% due 05/15/2008 12,074 12,496 Park Place Entertainment Corp. 7.875% due 12/15/2005 1,000 953 8.875% due 09/15/2008 4,883 4,651 8.125% due 05/15/2011 8,000 7,360 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 10,000 10,038 Piedmont Aviation, Inc. 10.200% due 01/15/2005 1,163 874 10.250% due 03/28/2005 571 421 9.900% due 11/08/2006 1,216 833 Pioneer National Resources Co. 8.875% due 04/15/2005 15,853 17,249 8.250% due 08/15/2007 8,577 8,875 6.500% due 01/15/2008 5,482 5,138 Price Communications Wireless, Inc. 9.125% due 12/15/2006 15,467 15,854 Pride International, Inc. 9.375% due 05/01/2007 14,586 15,060 Primedia, Inc. 10.250% due 06/01/2004 3,155 2,855 8.500% due 02/01/2006 6,671 5,504 7.625% due 04/01/2008 6,507 4,913 8.875% due 05/15/2011 8,050 6,078 PSS World Medical, Inc. 8.500% due 10/01/2007 9,425 8,624 Quebecor Media, Inc. 11.125% due 07/15/2011 18,350 18,258 R & B Falcon Corp. 9.125% due 12/15/2003 1,250 1,306 R.H. Donnelly, Inc. 9.125% due 06/01/2008 5,455 5,482 Racers 8.375% due 10/01/2007 21,206 17,894 Renaissance Media Group 0.000% due 04/15/2008 (c) 16,960 13,314 Rogers Cablesystems Ltd. 10.000% due 03/15/2005 4,000 4,280 Rogers Cantel, Inc. 8.300% due 10/01/2007 3,524 3,339 8.800% due 10/01/2007 2,315 2,147 9.375% due 06/01/2008 30,824 30,208 Rural Cellular Corp. 9.625% due 05/15/2008 9,502 9,264 Safety-Kleen Corp. 9.250% due 06/01/2008 (e) 22,459 2 9.250% due 05/15/2009 (e) 11,042 1 SC International Services, Inc. 9.250% due 09/01/2007 15,020 11,791 Scotia Pacific Co. LLC 7.710% due 01/20/2014 142 114 Select Medical Corp. 9.500% due 06/15/2009 2,000 1,890 Silgan Holdings, Inc. 9.000% due 06/01/2009 7,556 7,480 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 222 246 Starwood Hotels & Resorts 6.330% due 02/23/2003 10,250 9,968 6.750% due 11/15/2005 1,900 1,727 Station Casinos, Inc. 9.750% due 04/15/2007 5,403 4,998 8.375% due 02/15/2008 3,200 3,024 8.875% due 12/01/2008 2,071 1,812 9.875% due 07/01/2010 789 718 Stone Container Corp. 7.312% due 10/01/2005 1,116 1,116 11.500% due 08/15/2006 2,476 2,612 Synder Oil Corp. 8.750% due 06/15/2007 3,250 3,413 Telecorp PCS, Inc. 10.625% due 07/15/2010 11,338 10,034 Telewest Communications PLC 11.000% due 10/01/2007 7,999 5,119 0.000% due 04/15/2009 (c) 3,546 1,268 Tembec Industries, Inc. 8.625% due 06/30/2009 1,300 1,320 8.500% due 02/01/2011 9,550 9,693 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 59 PIMCO Schedule of Investments Class D (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------ Tenet Healthcare Corp. 8.625% due 01/15/2007 $ 10,385 $ 10,930 8.125% due 12/01/2008 15,400 16,517 Time Warner Telecom, Inc. 10.125% due 02/01/2011 5,450 3,570 Triad Hospitals, Inc. 8.750% due 05/01/2009 2,700 2,781 11.000% due 05/15/2009 3,213 3,478 Tritel PCS, Inc. 10.375% due 01/15/2011 14,750 12,611 U.S. Airways, Inc. 9.625% due 09/01/2003 21,663 22,251 9.330% due 01/01/2006 3,785 3,806 United Pan-Europe Communications NV 10.875% due 11/01/2007 1,750 245 0.000% due 02/01/2009 (c) 6,502 878 10.875% due 08/01/2009 0 0 0.000% due 11/01/2009 (c) 5,000 325 Univision Communications, Inc. 7.850% due 07/15/2011 16,450 17,029 Vintage Petroleum, Inc. 9.000% due 12/15/2005 9,311 9,497 9.750% due 06/30/2009 2,009 2,114 7.875% due 05/15/2011 5,400 5,373 VoiceStream Wireless Corp. 10.375% due 11/15/2009 3,155 3,565 Waste Management, Inc. 6.375% due 12/01/2003 2,925 3,016 7.000% due 05/15/2005 513 539 7.375% due 08/01/2010 3,925 4,124 WCG Corp. 8.250% due 03/15/2004 17,625 18,006 Western Gas Resources, Inc. 10.000% due 06/15/2009 5,700 5,843 Williams Communications Group, Inc. 10.700% due 10/01/2007 7,493 3,147 10.875% due 10/01/2009 3,092 1,299 11.875% due 08/01/2010 4,000 1,680 World Color Press, Inc. 8.375% due 11/15/2008 513 538 7.750% due 02/15/2009 7,546 7,664 XO Communications, Inc. 0.000% due 06/01/2009 (c) 800 68 0.000% due 12/01/2009 (c) 5,000 425 XTO Energy Inc. 9.250% due 04/01/2007 1,136 1,176 8.750% due 11/01/2009 3,800 3,895 Young Broadcasting, Inc. 9.000% due 01/15/2006 11,440 9,552 8.750% due 06/15/2007 127 105 10.000% due 03/01/2011 10,425 8,340 ------------ 1,734,602 ============ Utilities 12.1% AES Corp. 8.750% due 12/15/2002 3,000 2,955 8.750% due 06/15/2008 1,800 1,562 9.500% due 06/01/2009 17,194 15,131 9.375% due 09/15/2010 14,815 12,815 8.875% due 02/15/2011 8,200 6,970 AT&T Canada, Inc. 0.000% due 06/15/2008 (c) 25,094 8,536 10.625% due 11/01/2008 4,572 2,512 AT&T Wireless Services, Inc. 7.875% due 03/01/2011 14,750 15,837 Azurix Corp. 10.375% due 02/15/2007 7,544 7,506 Calpine Corp. 7.625% due 04/15/2006 4,925 4,856 8.750% due 07/15/2007 19,441 19,414 7.875% due 04/01/2008 7,248 6,955 8.500% due 05/01/2008 28,500 27,863 7.750% due 04/15/2009 789 744 8.625% due 08/15/2010 150 147 8.500% due 02/15/2011 2,200 2,136 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 2,288 2,277 Citizens Communications Co. 8.500% due 05/15/2006 9,400 10,138 7.625% due 08/15/2008 4,170 4,264 9.250% due 05/15/2011 4,000 4,429 CMS Energy Corp. 8.125% due 05/15/2002 3,579 3,605 6.750% due 01/15/2004 4,492 4,362 7.000% due 01/15/2005 10,637 10,647 9.875% due 10/15/2007 6,113 6,327 8.900% due 07/15/2008 5,000 5,004 7.500% due 01/15/2009 3,800 3,598 8.500% due 04/15/2011 7,750 7,586 Commonwealth Edison Co. 6.625% due 12/31/2004 2,000 1,995 El Paso Energy Corp. 8.500% due 06/01/2011 8,950 9,040 France Telecom 7.750% due 03/01/2011 16,700 17,775 Hanover Equipment Trust 8.500% due 09/01/2008 7,525 7,581 Insight Midwest LP 10.500% due 11/01/2010 3,000 3,150 Key Energy Services, Inc. 8.375% due 03/01/2008 4,620 4,528 LIN Television Corp. 8.000% due 01/15/2008 18,300 17,568 Mastec, Inc. 7.750% due 02/01/2008 6,150 5,012 Mediacom Broadband LLC 11.000% due 07/15/2013 16,020 16,421 Mission Energy Holding Co. 13.500% due 07/15/2008 6,750 6,851 Niagara Mohawk Power Co. 0.000% due 07/01/2010 16,700 15,696 NRG Northeast Generating LLC 8.842% due 12/15/2015 1,400 1,543 Pogo Producing Co. 8.250% due 04/15/2011 5,950 5,905 Rocky River Realty 8.810% due 04/14/2007 (b) 2,620 2,939 Rogers Communications 9.125% due 01/15/2006 4,000 3,990 SESI, LLC 8.875% due 05/15/2011 10,100 9,292 Telewest Credit Links 10.875% due 02/07/2005 16,000 15,543 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 4,812 4,819 Wilmington Trust Co. - Tucson Electric 10.210% due 01/01/2009 (b) 500 566 10.732% due 01/01/2013 (b) 7,015 8,227 ------------ 356,617 ------------ Total Corporate Bonds & Notes 2,203,943 ============ (Cost $2,489,701) MORTGAGE-BACKED SECURITIES 4.0% Collateralized Mortgage Obligations 2.2% LTC Commercial Corp. 9.200% due 08/04/2023 2,235 2,017 7.970% due 04/15/2028 3,993 3,818 NationsBanc Mortgage Capital Corp. 8.035% due 05/25/2028 3,035 2,750 Red Mountain Funding Corp. 9.150% due 11/28/2027 4,517 3,045 Resolution Trust Corp. 6.900% due 02/25/2027 3,215 3,191 Sasco Floating Rate Commercial Mortgage Trust 4.130% due 04/25/2003 (d) 23,504 23,521 Washington Mutual, Inc. 6.398% due 10/25/2039 25,000 25,940 ---------- 64,282 ========== 60 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Fannie Mae 1.8% 6.000% due 10/18/2016 $ 52,000 $ 52,861 ----------- Stripped Mortgage-Backed Securities 0.0% Fannie Mae (IO) 7.000% due 07/25/2008 1,082 133 7.000% due 04/25/2019 3,558 93 7.000% due 12/25/2021 1,729 165 ----------- 391 ----------- Total Mortgage-Backed Securities 117,534 =========== (Cost $116,594) ASSET-BACKED SECURITIES 7.5% Acterna LLC 5.841% due 09/01/2007 1,465 1,304 Adelphia Communications Corp. 6.790% due 10/01/2002 4,500 4,402 Airplanes Pass Through Trust 10.875% due 03/15/2019 21,515 11,138 Airtrust 0.000% due 06/01/2013 8,777 3,160 Allied Waste Industries, Inc. 5.562% due 07/30/2006 1,824 1,805 6.125% due 07/30/2006 8,056 7,972 6.375% due 07/21/2007 912 902 5.812% due 07/30/2007(d) 913 904 6.187% due 07/30/2007(d) 4,559 4,511 6.375% due 07/30/2007(d) 3,191 3,158 6.625% due 07/30/2007(d) 2,280 2,256 Charter Commercial Holdings LLC 6.210% due 03/31/2008 23,000 22,336 Conseco Finance 9.300% due 10/15/2030 8,000 8,742 Continental Airlines, Inc. 4.038% due 07/30/2004 9,930 9,541 Da Vita 7.000% due 04/30/2006 1,975 1,986 Emmis Communications Corp. 6.562% due 08/31/2009 8,233 8,018 Flag Ltd. 5.625% due 03/31/2006 2,292 2,188 Global Crossing Holding Ltd. 6.460% due 08/15/2006 3,000 2,549 Green Tree Financial Corp. 8.000% due 07/15/2018 6,000 5,213 Greif 6.950% due 03/15/2008 4 4 Huntsman Corp. 9.500% due 07/31/2004 787 627 9.500% due 06/30/2005 3,049 2,302 9.571% due 06/30/2005 102 77 9.500% due 06/30/2005 1,052 794 5.750% due 06/30/2007 659 635 10.250% due 07/01/2007 5,000 4,959 Impress Metal 6.961% due 12/01/2006 1,010 929 Insight Midwest 6.562% due 12/15/2009 7,000 6,995 Island Inland Co. 9.508% due 07/09/2003 3,000 2,325 Kinetic Concepts, Inc. 5.960% due 12/31/2004 3,028 3,015 Lyondell Petroleum 10.495% due 05/17/2006 2,000 2,032 Mission Energy 11.290% due 07/25/2006 1,000 995 Nextel Communications, Inc. 6.562% due 03/31/2008 12,169 10,668 OM Group 6.570% due 03/31/2007 2,000 1,980 SPX Corp. 9.400% due 06/14/2005 15,400 16,044 Stone Container Corp. 7.125% due 04/01/2003 (d) 1,466 1,467 7.125% due 10/01/2003 (d) 9,652 9,655 7.125% due 10/01/2005 (d) 1,114 1,111 Suiza Foods 7.875% due 07/15/2008 5,000 5,022 Timber Corp. 4.830% due 11/30/2001 47,300 47,300 Triad Hospitals, Inc. 6.530% due 04/30/2003 1,054 1,055 ----------- Total Asset-Backed Securities 222,076 =========== (Cost $235,851) SOVEREIGN ISSUES 0.6% Republic of Egypt 8.750% due 07/11/2011 11,250 10,041 United Mexican States 10.375% due 02/17/2009 6,500 7,187 ----------- Total Sovereign Issues 17,228 =========== (Cost $18,564) CONVERTIBLE BONDS & NOTES 2.7% Health Care 0.9% Omnicare, Inc. 5.000% due 12/01/2007 8,200 7,288 Tenet Healthcare Corp. 6.000% due 12/01/2005 3,664 3,328 Total Renal Care Holdings 7.000% due 05/15/2009 15,953 15,155 ----------- 25,771 =========== Industrial 1.6% American Tower Corp. 5.000% due 02/15/2010 15,100 10,966 Mail-Well, Inc. 5.000% due 11/01/2002 6,650 5,952 Pride International, Inc. 0.000% due 04/24/2018 14,000 6,020 Waste Management, Inc. 4.000% due 02/01/2002 24,338 24,338 ----------- 47,276 =========== Utilities 0.2% Nextel Communications, Inc. 5.250% due 01/15/2010 5,500 2,812 Rogers Communication, Inc. 2.000% due 11/26/2005 4,500 3,443 ----------- 6,255 ----------- Total Convertible Bonds & Notes 79,302 =========== (Cost $79,081) PREFERRED STOCK 2.9% Shares Adelphia Communications Corp. 13.000% due 07/15/2009 9,000 767 CSC Holdings, Inc. 11.125% due 04/01/2008 161,572 16,521 Fresenius Medical Care 7.875% due 02/01/2008 27,675 27,467 9.000% due 12/01/2006 34,025 34,791 7.875% due 06/15/2011 1,000,000 995 Newscorp Overseas Ltd. 8.625% due 12/31/2049 105,100 2,533 Primedia, Inc. 4.200% due 11/01/2009 55,300 2,226 8.625% due 04/01/2010 39,500 1,590 ----------- Total Preferred Stock 86,890 =========== (Cost $94,251) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 61 PIMCO Schedule of Investments Class D (Cont.) High Yield Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 7.8% Commercial Paper 7.6% CDC 3.380% due 10/01/2001 $ 95,000 $ 95,000 Fannie Mae 4.005% due 11/01/2001 20,000 19,931 3.630% due 12/27/2001 7,500 7,453 3.540% due 01/03/2002 5,200 5,165 Federal Home Loan Bank 4.000% due 10/31/2001 10,000 9,966 General Electric Capital Corp. 3.860% due 10/02/2001 13,500 13,499 3.500% due 12/27/2001 26,300 26,135 3.600% due 12/28/2001 5,400 5,366 Swedbank, Inc. 3.550% due 10/24/2001 10,500 10,476 UBS Finance, Inc. 3.870% due 10/02/2001 7,800 7,799 3.510% due 12/20/2001 24,300 24,162 ----------- 224,952 =========== Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 7,000 7,000 (Dated 09/28/2001. Collateralized by Federal Farm Credit Bank 5.450% due 01/23/2003 valued at $7,145. Repurchase proceeds are $7,002.) ----------- Total Short-Term Instruments 231,952 =========== (Cost $231,798) Total Investments (a) 100.0% $ 2,958,925 (Cost $3,265,840) Other Assets and Liabilities (Net) (0.0%) (990) ----------- Net Assets 100.0% $ 2,957,935 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 40,532 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (347,447) ----------- Unrealized depreciation-net $ (306,915) =========== (b) Restricted security. (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ------------------------------------------------------------------------------- Sell EC 2,270 10/2001 $ 14 ------------- (g) Principal amount denoted in indicated currency: EC - Euro 62 PIMCO Funds Semi-Annual Report |9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 37.0% Banking & Finance 18.5% American General Finance 6.875% due 12/14/2001 $ 25,000 $ 25,208 Associates Corp. of North America 6.875% due 06/20/2002 20,000 20,514 6.950% due 08/01/2002 1,000 1,035 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 1,800 1,850 Bank of America Corp. 7.200% due 09/15/2002 100 104 7.875% due 12/01/2002 100 105 6.625% due 06/15/2004 1,000 1,067 Bank One Corp. 7.250% due 08/01/2002 500 518 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 2,800 2,805 6.125% due 02/01/2003 3,000 3,103 2.941% due 03/28/2003 (d) 8,600 8,596 6.200% due 03/30/2003 9,700 10,075 4.113% due 05/24/2004 (d) 2,000 2,004 3.883% due 06/01/2004 (d) 3,000 3,007 Beaver Valley Funding Corp. 8.250% due 06/01/2003 1,554 1,607 Beneficial Corp. 3.727% due 01/09/2002 (d) 10,000 10,005 6.650% due 09/12/2002 5,000 5,173 6.575% due 12/16/2002 5,440 5,645 Capital One Bank 3.553% due 06/23/2003 (d) 1,100 1,096 Chrysler Financial Corp. LLC 3.524% due 08/08/2002 (d) 8,000 7,941 CIT Group, Inc. 3.510% due 09/13/2002 (d) 19,900 19,939 7.375% due 03/15/2003 1,000 1,053 5.260% due 04/07/2003 (d) 2,600 2,609 Credit Asset Receivable LLC 6.274% due 10/31/2003 24,972 25,030 Export-Import Bank Korea 6.500% due 02/10/2002 7,500 7,569 6.500% due 11/15/2006 6,700 6,910 7.100% due 03/15/2007 6,700 6,773 Finova Capital Corp. 7.500% due 11/15/2009 2,100 824 Ford Motor Credit Co. 6.520% due 08/12/2002 13,000 13,354 6.000% due 01/14/2003 15,000 15,374 3.720% due 02/13/2003 (d) 2,000 1,976 3.340% due 03/17/2003 (d) 3,000 2,962 6.125% due 04/28/2003 14,000 14,367 3.303% due 06/23/2003 (d) 9,800 9,713 4.320% due 03/08/2004 (d) 18,900 18,840 3.950% due 04/26/2004 (d) 19,000 18,661 7.500% due 03/15/2005 1,000 1,063 5.219% due 07/18/2005 (d) 400 390 General Motors Acceptance Corp. 3.695% due 11/12/2002 (d) 17,400 17,276 5.875% due 01/22/2003 500 512 6.750% due 03/15/2003 3,700 3,835 4.529% due 07/20/2003 (d) 7,755 7,755 5.924% due 07/21/2003 (d) 200 197 3.986% due 08/04/2003 (d) 98,420 97,095 5.550% due 09/15/2003 3,000 3,058 5.750% due 11/10/2003 5,000 5,121 4.480% due 01/20/2004 (d) 9,400 9,292 3.453% due 03/22/2004 (d) 5,000 4,939 4.070% due 04/05/2004 (d) 700 686 7.625% due 06/15/2004 1,000 1,065 6.850% due 06/17/2004 1,000 1,045 4.060% due 07/21/2004 (d) 600 583 Great Western Financial 8.600% due 02/01/2002 4,000 4,067 Heller Financial, Inc. 4.740% due 10/22/2001(d) 1,000 1,001 3.920% due 01/22/2002(d) 13,600 13,615 3.965% due 04/28/2003(d) 20,000 20,030 Household Finance Corp. 7.625% due 01/15/2003 10,849 11,388 6.125% due 02/27/2003 1,500 1,542 2.863% due 06/24/2003(d) 1,500 1,503 6.125% due 07/15/2012 11,000 11,217 Industrial Bank of Korea 8.375% due 09/30/2002 5,000 5,225 Key Bank NA 6.052% due 04/24/2003 12,900 13,385 KFW International Finance, Inc. 5.000% due 01/22/2002 7,690 7,739 5.500% due 02/19/2002 7,887 7,965 5.375% due 05/10/2002 12,282 12,463 6.125% due 07/08/2002 18,589 19,035 Korea Development Bank 7.900% due 02/01/2002 6,100 6,181 7.625% due 10/01/2002 21,200 22,033 6.500% due 11/15/2002 5,898 6,085 7.800% due 06/16/2000(d) 3,500 3,430 6.625% due 11/21/2003 20,300 21,200 Lehman Brothers Holdings, Inc. 4.356% due 05/07/2002(d) 5,000 5,019 4.466% due 12/12/2002(d) 1,500 1,507 4.220% due 04/04/2003(d) 7,900 7,915 4.220% due 07/06/2004(d) 1,500 1,501 Marsh & McLennan Cos., Inc. 6.625% due 06/15/2004 1,000 1,062 Merrill Lynch & Co. 6.130% due 04/07/2003 7,770 8,060 8.770% due 05/21/2004(d) 110,890 111,088 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 17,850 18,643 Middletown Trust 11.750% due 07/15/2010 865 86 Midland Funding I 10.330% due 07/23/2002 909 92 Morgan Stanley Group, Inc. 3.548% due 03/11/2003(d) 5,000 5,005 Nacional Financiera 10.625% due 11/22/2001 7,500 7,590 5.464% due 05/08/2003(d) 7,000 7,005 Pemex Finance Ltd. 6.125% due 11/15/2003 11,400 11,632 PNC Bank NA 2.714% due 01/24/2002(d) 20,000 20,005 Rothmans Holdings 6.500% due 05/06/2003 14,000 14,453 Salomon Inc. 7.300% due 05/15/2002 15,000 15,407 7.500% due 02/01/2003 3,000 3,164 Salomon Smith Barney Holdings 3.650% due 02/14/2002(i) 1,119 1,125 3.980% due 05/04/2004(d) 32,760 32,812 Seismic Ltd. 8.336% due 01/01/2002(d) 10,000 9,985 Shopping Center Associates 6.750% due 01/15/2004 11,725 11,971 Spieker Properties, Inc. 6.800% due 05/01/2004 2,000 2,095 Toyota Motor Credit Corp. 7.586% due 02/15/2002(d) 11,600 11,646 Transamerica Finance Corp. 6.125% due 11/01/2001 5,000 5,008 Trinom Ltd. 7.150% due 06/18/2004(d) 5,700 5,700 Wells Fargo & Co. 6.625% due 07/15/2004 1,000 1,070 --------- 942,685 ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 63 PIMCO Schedule of Investments Class D (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------ Industrials Allied Waste Industries, Inc. 7.375% due 01/01/2004 $ 5,000 $ 4,950 AMR Corp. 9.125% due 10/24/2001 4,250 4,261 Atlas Air, Inc. 8.010% due 01/02/2010 9,778 9,382 Cemex SA de CV 8.625% due 07/18/2003 10,000 10,425 Coastal Corp. 3.913% due 03/06/2002(d) 32,200 32,251 Conoco, Inc. 5.900% due 04/15/2004 3,100 3,198 Cox Enterprises, Inc. 6.625% due 06/14/2002 3,000 3,051 4.579% due 05/01/2033(d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002(d) 13,400 13,476 3.880% due 08/16/2004(d) 1,000 981 6.900% due 09/01/2004 1,000 1,057 Delta Air Lines, Inc. 6.650% due 03/15/2004 2,925 2,586 Eastman Chemical Co. 6.375% due 01/15/2004 250 256 Electric Lightwave, Inc. 6.050% due 05/15/2004 3,000 2,917 Enron Corp. 8.000% due 08/15/2005 8,300 8,587 Federal-Mogul Corp. 7.500% due 07/01/2004(j) 28,600 2,360 General Motors Corp. 6.250% due 05/01/2005 7,000 7,174 Georgia-Pacific Group 9.950% due 06/15/2002 11,000 11,401 Global Crossing Holding Ltd. 6.000% due 10/15/2013 7,500 4,538 HCA - The Healthcare Co. 8.130% due 08/04/2003 5,000 5,250 6.630% due 07/15/2045 7,000 7,188 HMH Properties, Inc. 7.875% due 08/01/2005 5,000 4,425 IMEXSA Export Trust 10.125% due 05/31/2003 3,926 3,881 International Game Technology 7.875% due 05/15/2004 500 503 International Paper Co. 8.000% due 07/08/2003 10,000 10,602 Kinder Morgan, Inc. 6.450% due 11/30/2001 440 442 Kroger Co. 7.150% due 03/01/2003 13,500 14,140 Nabisco, Inc. 6.700% due 06/15/2002 21,100 21,524 Occidental Petroleum Corp. 6.400% due 04/01/2003 27,945 28,836 Park Place Entertainment Corp. 7.950% due 08/01/2003 15,955 16,195 Petroleos Mexicanos 7.185% due 07/15/2005(d) 10,173 10,396 6.906% due 07/15/2005(d) 10,400 10,439 9.375% due 12/02/2008 5,500 5,748 Philip Morris Cos., Inc. 7.500% due 01/15/2002 200 202 7.250% due 01/15/2003 4,050 4,221 8.250% due 10/15/2003 1,000 1,080 6.950% due 06/01/2006 25,000 26,582 Phillips Petroleum Co. 8.500% due 05/25/2005 2,000 2,228 Qwest Corp. 6.125% due 07/15/2002 5,250 5,334 5.650% due 11/01/2004 9,250 9,263 R & B Falcon Corp. 6.500% due 04/15/2003 11,000 11,357 Rollins Truck Leasing Co. 8.000% due 02/15/2003 $ 3,000 $ 3,157 Shoppers Food Warehouse Corp. 9.750% due 06/15/2004 10,500 10,962 SR Wind Ltd. 8.888% due 05/18/2005 (d) 6,000 5,980 9.388% due 05/18/2005 (d) 3,000 3,031 Starwood Hotels & Resorts 6.750% due 11/15/2005 2,000 1,818 TCI Communications, Inc. 3.810% due 03/11/2003 (d) 3,000 3,018 Tenet Healthcare Corp. 7.875% due 01/15/2003 5,300 5,512 8.625% due 12/01/2003 9,700 10,379 Time Warner, Inc. 6.100% due 12/30/2001 250 251 7.975% due 08/15/2004 1,950 2,137 TTX Co. 7.820% due 07/21/2003 61,000 65,039 Tyco International Group SA 6.875% due 09/05/2002 18,805 19,278 Waste Management, Inc. 6.500% due 05/15/2004 45,000 46,566 -------- 501,829 ======== Utilities 8.7% Arizona Public Service Co. 5.875% due 02/15/2004 5,600 5,755 Arkansas Power & Light 6.000% due 10/01/2003 450 450 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 3,000 3,058 British Telecom PLC 4.445% due 12/15/2003 (d) 9,900 10,098 7.625% due 12/15/2005 73,400 79,410 CenturyTel, Inc. 7.750% due 10/15/2012 32,000 32,990 Cinergy Corp. 6.125% due 04/15/2004 13,000 13,177 Cleveland Electric Illuminating Co. 8.550% due 11/15/2001 2,075 2,088 7.850% due 07/30/2002 3,500 3,630 9.500% due 05/15/2005 9,000 9,277 CMS Energy Corp. 8.125% due 05/15/2002 5,000 5,037 8.375% due 07/01/2003 7,750 8,018 7.625% due 11/15/2004 15,400 15,172 DTE Energy Co. 7.110% due 11/15/2038 21,000 21,818 Duke Energy Field Services 7.500% due 08/16/2005 1,000 1,074 Entergy Louisiana, Inc. 7.740% due 07/01/2002 3,308 3,317 8.500% due 06/01/2003 4,000 4,269 Entergy Mississippi, Inc. 7.750% due 02/15/2003 35,000 36,626 France Telecom 3.396% due 07/16/2003 (d) 11,700 11,707 7.200% due 03/01/2006 29,300 31,045 Illinois Power Co. 6.250% due 07/15/2002 10,000 10,173 6.000% due 09/15/2003 12,500 12,913 Kentucky Power Co. 6.650% due 05/01/2003 1,000 1,002 Niagara Mohawk Power Co. 7.250% due 10/01/2002 16,634 17,122 Noram Energy Corp. 6.375% due 11/01/2003 2,000 2,092 Ohio Edison Co. 8.625% due 09/15/2003 5,000 5,394 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(j) 46,700 40,162 Scana Corp. 4.150% due 02/08/2002 (d) 1,000 1,001 Sprint Capital Corp. 9.500% due 04/01/2003 5,800 6,258 64 PIMCO Funds Semi-Annual Report |9.30.1| See accompanying notes
Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- Texas Utilities Corp. 5.940% due 10/15/2001 $ 13,405 $ 13,429 6.500% due 08/16/2002 1,000 1,022 9.700% due 02/28/2003 4,695 5,052 6.750% due 03/01/2003 925 958 6.750% due 04/01/2003 3,875 4,027 6.875% due 08/01/2005 2,000 2,110 Toledo Edison Co. 8.180% due 07/30/2002 2,500 2,590 United Illuminating Co. 6.000% due 12/15/2003 13,000 13,398 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 6,200 6,209 WorldCom, Inc. 6.125% due 04/15/2012 4,300 4,359 --------- 447,287 --------- Total Corporate Bonds & Notes 1,891,801 (Cost $1,885,673) ========= U.S. GOVERNMENT AGENCIES 2.2% Fannie Mae 4.625% due 10/15/2001 535 535 6.850% due 11/06/2003 30,000 30,127 5.375% due 03/15/2004 37,000 37,490 7.125% due 09/19/2005 25,000 26,104 7.000% due 11/14/2005 15,085 15,819 Freddie Mac 6.500% due 02/04/2013 1,200 1,209 6.625% due 07/02/2013 1,195 1,198 Small Business Administration 8.250% due 01/25/2013 (d) 244 252 8.250% due 02/25/2014 (d) 461 459 ------- Total U.S. Government Agencies 113,193 (Cost $111,442) ======= U.S. TREASURY OBLIGATIONS 8.0% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) 141,876 144,360 3.375% due 01/15/2007 (i) 72,999 75,120 3.625% due 01/15/2008 (i) 108,342 112,438 3.875% due 01/15/2009 (i) 65,270 68,676 3.500% due 01/15/2011 (i) 6,120 6,296 ------- Total U.S. Treasury Obligations 406,890 (Cost $392,019) ======= MORTGAGE-BACKED SECURITIES 84.8% Collateralized Mortgage Obligations 21.4% Bear Stearns Adjustable Rate Mortgage Trust 7.482% due 12/25/2030 (d) 7,833 7,957 7.491% due 12/25/2030 (d) 10,431 10,576 6.397% due 09/25/2031 (d) 27,269 27,646 Cendant Mortgage Corp. 6.500% due 01/18/2016 345 350 6.750% due 04/25/2031 10,254 10,308 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 111 118 Chase Mortgage Finance Corp. 6.500% due 06/25/2013 4,525 4,612 8.257% due 04/25/2025 (d) 392 399 6.750% due 06/25/2028 11,250 11,583 6.350% due 07/25/2029 3,534 3,630 Citicorp Mortgage Securities, Inc. 6.500% due 12/01/2019 (d) 270 269 6.750% due 05/25/2028 6,266 6,448 CMC Securities Corp. IV 7.250% due 10/25/2027 11,593 11,999 7.250% due 11/25/2027 10,038 10,446 CNL Commercial Loan Trust 3.698% due 10/20/2027 (d) 59,639 59,639 Commercial Trust 6.670% due 12/15/2003 (d) 2,718 2,669 Countrywide Funding Corp. 6.500% due 01/25/2035 (d) 939 941 Countrywide Home Loans 6.900% due 12/25/2027 18,061 18,845 Criimi Mae Financial Corp. 7.000% due 01/01/2033 7,377 7,670 CS First Boston Mortgag Securities Corp. 6.960% due 06/20/2029 82 84 7.500% due 02/25/2031 48,391 50,155 7.500% due 03/25/2031 22,130 22,246 6.400% due 01/17/2035 107 111 Dime Savings 7.317% due 11/01/2018 (d) 744 726 DLJ Commercial Mortgage Corp. 4.334% due 07/05/2008 (d) 740 743 DLJ Mortgage Acceptance Corp. 11.000% due 08/01/2019 549 629 8.603% due 05/25/2024 (d) 667 683 4.125% due 06/25/2026 (d) 6,460 6,483 6.850% due 12/17/2027 165 175 Drexel Burnham Lambert Trust 4.625% due 05/01/2016 (d) 18 18 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2025 80 81 Fannie Mae 8.950% due 05/25/2003 6 6 9.400% due 07/25/2003 18 18 9.000% due 07/25/2003 62 63 6.875% due 06/25/2009 662 667 7.000% due 09/25/2016 10,368 10,476 9.250% due 10/25/2018 52 56 9.500% due 03/25/2020 4,068 4,542 9.500% due 05/25/2020 906 999 9.000% due 03/25/2021 2,429 2,641 9.000% due 04/25/2021 81 89 8.000% due 12/25/2021 1,945 2,118 8.000% due 03/25/2022 9 9 3.288% due 04/25/2022 (d) 146 147 Federal Housing Administration 6.750% due 10/30/2031 16,200 16,476 First Nationwide Trust 7.750% due 10/25/2030 44,034 45,582 Freddie Mac 8.000% due 07/01/2006 29 31 6.000% due 07/15/2006 134 134 6.500% due 08/15/2006 778 785 8.500% due 01/01/2007 51 54 8.000% due 09/15/2007 621 629 5.750% due 01/15/2008 2,310 2,328 9.500% due 07/01/2010 54 59 6.500% due 08/15/2011 14,086 14,616 8.000% due 01/01/2012 78 79 12.500% due 09/30/2013 425 480 11.750% due 02/01/2014 1 2 10.000% due 07/15/2019 171 185 9.000% due 11/15/2019 102 103 10.000% due 05/15/2020 123 130 9.000% due 12/15/2020 1,938 2,027 7.500% due 12/15/2020 241 242 9.500% due 01/15/2021 710 764 6.500% due 02/15/2021 456 459 8.000% due 04/15/2021 844 879 9.000% due 05/15/2021 142 152 9.500% due 09/01/2021 25 27 8.000% due 04/01/2022 346 370 8.000% due 11/01/2022 237 253 7.500% due 01/20/2024 310 310 8.500% due 08/01/2024 91 98 8.500% due 11/01/2024 756 808 6.250% due 04/15/2028 6,436 6,558 6.500% due 10/01/2028 57 59 6.303% due 08/15/2032 (d) 4,630 4,711
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 65 PIMCO Schedule of Investments Class D (Cont.) Low Duration Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 1,556 $ 1,567 7.500% due 11/25/2030 11,388 11,538 German American Capital Corp. 7.000% due 08/12/2010 (d) 6,800 7,428 Glendale Federal Savings & Loan 11.000% due 03/01/2010 14 15 5.386% due 03/25/2030 (d) 677 685 GMAC Commercial Mortgage Corp. 4.060% due 02/20/2003 (d) 1,160 1,160 3.990% due 09/20/2005 (d) 200 200 Golden Mortgage Loan 7.875% due 02/25/2031 (d) 15,384 15,624 GS Mortgage Securities Corp. 6.044% due 08/15/2018 24,074 24,752 6.526% due 08/15/2018 21,600 22,328 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 20 20 Home Savings of America 5.685% due 05/25/2027 (d) 978 970 Impac Secured Assets CMN Owner Trust 8.000% due 07/25/2030 70,250 72,461 Imperial Savings Association 8.839% due 07/25/2017 (d) 28 28 9.900% due 02/25/2018 229 232 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 80 94 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 101 105 Mellon Residential Funding Corp. 6.400% due 06/25/2028 16,661 17,077 6.580% due 07/25/2029 (d) 17,411 18,450 Morgan Stanley Capital I 7.460% due 02/15/2020 22,300 23,886 7.188% due 08/15/2023 85 91 7.266% due 11/15/2028 197 211 Morgan Stanley Dean Witter Capital I 3.818% due 10/15/2026 (d) 262 260 Mortgage Capital Funding, Inc. 6.325% due 10/18/2007 18,217 19,097 Nationslink Funding Corp. 6.297% due 11/10/2002 5,000 5,197 Norwest Asset Securities Corp. 6.500% due 04/25/2028 1,107 1,137 6.500% due 01/25/2029 6,000 6,204 PNC Mortgage Securities Corp. 6.500% due 02/25/2028 252 251 6.750% due 05/25/2028 3,082 3,100 6.300% due 06/25/2029 19,210 19,828 7.750% due 07/25/2030 25,213 25,509 7.500% due 05/25/2040 (d) 160 163 Prudential Home Mortgage Securities 7.500% due 09/25/2007 608 628 7.000% due 01/25/2008 10,000 10,080 6.750% due 11/25/2008 5,405 5,650 7.000% due 08/25/2009 4,000 4,087 7.000% due 06/25/2023 663 668 6.050% due 04/25/2024 25 25 7.300% due 06/25/2024 519 520 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 16 16 8.400% due 03/20/2021 2,553 2,686 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 3,833 3,833 6.500% due 04/19/2029 20,687 21,223 Residential Accredit Loans, Inc. 6.500% due 02/25/2029 (d) 18,018 18,450 7.000% due 07/25/2029 367 373 Residential Asset Securitization Trust 6.500% due 09/25/2014 357 366 Residential Funding Mortgage Securities, Inc. 6.500% due 04/25/2009 8 8 7.500% due 08/25/2023 238 239 7.500% due 12/25/2025 894 924 7.000% due 10/25/2027 10,000 10,427 7.250% due 10/25/2027 2,497 2,491 6.250% due 11/25/2028 6,000 6,003 7.500% due 11/25/2030 34,899 35,683 Resolution Trust Corp. 5.998% due 05/25/2019 (d) 2,231 2,224 4.860% due 08/25/2019 (d) 1,975 1,976 7.017% due 10/25/2021 (d) 42 43 8.625% due 10/25/2021 7,597 7,584 9.332% due 10/25/2021 188 187 6.900% due 02/25/2027 2,506 2,488 6.096% due 10/25/2028 (d) 1,388 1,423 7.263% due 10/25/2028 (d) 619 618 7.414% due 05/25/2029 (d) 1,760 1,836 Ryland Mortgage Securities Corp. 7.049% due 11/25/2021 (d) 127 127 Salomon Brothers Mortgage Securities VII 7.400% due 12/25/2017 (d) 1,197 1,221 7.932% due 03/25/2024 (d) 650 661 8.153% due 10/25/2024 (d) 140 142 7.601% due 12/25/2030 5,908 6,003 Sasco Floating Rate Commercial Mortgage Trust 3.658% due 10/21/2013 (d) 877 878 Sears Mortgage Securities 12.000% due 02/25/2014 46 49 7.431% due 10/25/2022 (d) 1,402 1,418 SLH Mortgage Trust 9.600% due 03/25/2021 176 175 Structured Asset Mortgage Investments, Inc. 6.904% due 06/25/2028 (d) 5,778 5,887 9.081% due 06/25/2029 (d) 5,721 6,173 6.577% due 06/25/2029 (d) 27,071 27,828 6.750% due 05/02/2030 3,072 3,111 Structured Asset Securities Corp. 6.750% due 07/25/2029 12,021 12,460 7.750% due 07/25/2030 17,906 18,163 4.355% due 05/25/2031 (d) 34,401 34,531 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 7,521 7,521 Torrens Trust 3.750% due 07/15/2031 (d) 7,482 7,482 Union Planters Mortgage Finance Corp. 6.450% due 01/25/2028 6,000 6,018 Wells Fargo Mortgage-Backed Securities Trust 7.000% due 02/25/2016 99,281 102,533 6.125% due 07/25/2031 10,000 10,110 ---------- 1,094,378 ========== Fannie Mae 7.8% 5.500% due 04/01/2009 12,286 12,614 5.740% due 06/01/2017 (d) 63 64 5.990% due 08/01/2017 (d) 32 33 5.995% due 12/01/2017-12/01/2023 (d)(g) 315 318 6.000% due 05/01/2011 104 107 6.027% due 04/01/2018 (d) 5,508 5,570 6.318% due 08/01/2029 16,273 16,843 6.500% due 09/01/2005-07/01/2017 (d)(g) 829 852 6.748% due 11/01/2017 (d) 110 112 6.793% due 11/01/2017 (d) 239 241 6.870% due 01/01/2021 (d) 282 280 7.000% due 04/01/2002-05/01/2012 (g) 207 216 7.240% due 07/25/2017 (d) 1,741 1,768 7.265% due 02/01/2028 (d) 3,150 3,247 7.292% due 11/01/2018 (d) 71 71 7.607% due 07/01/2017 (d) 364 370 7.815% due 04/01/2024 (d) 1,454 1,491 7.917% due 07/01/2023 (d) 724 730 8.000% due 03/01/2004-10/15/2031 (d)(g) 325,033 340,774 8.261% due 01/01/2024 (d) 54 56 8.290% due 10/01/2024 (d) 2,047 2,085 8.476% due 01/01/2024 (d) 1,625 1,683 8.500% due 03/01/2008-01/01/2026 (g) 2,494 2,665
66 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ---------------------------------------------------------------------------- 8.585% due 01/01/2024 (d) $ 15 $ 16 9.000% due 01/01/2025 3 3 9.500% due 07/01/2024-11/01/2025 (g) 2,725 2,954 10.000% due 02/01/2004-01/01/2025 (g) 738 804 10.500% due 06/01/2005-12/01/2024 (g) 96 102 11.000% due 11/01/2020 32 36 11.250% due 12/01/2010-10/01/2015 (g) 89 99 11.500% due 12/01/2008-02/01/2020 (g) 47 55 11.750% due 02/01/2016 34 39 12.000% due 01/01/2015-10/01/2015 (g) 6 6 13.000% due 07/01/2015 5 6 13.250% due 09/01/2011 11 13 13.500% due 04/01/2014 3 3 15.500% due 10/01/2012-12/01/2012 (g) 47 56 15.750% due 12/01/2011 19 23 16.000% due 09/01/2012-12/01/2012 (g) 8 10 ---------- 396,415 ========== Federal Housing Administration 1.1% 6.950% due 04/01/2014 1,981 1,965 7.400% due 02/01/2019 90 92 7.421% due 11/01/2019 398 405 7.430% due 10/01/2019-11/01/2025 (g)(j) 51,302 52,074 ---------- 54,536 ========== Freddie Mac 0.7% 6.000% due 09/01/2006-10/16/2030 (g) 13,905 14,145 6.375% due 03/01/2017 (d) 160 162 6.500% due 02/01/2005 1 1 6.529% due 07/01/2018 (d) 197 202 6.806% due 12/01/2022 (d) 413 425 6.867% due 10/01/2027 (d) 800 830 6.928% due 02/01/2020 (d) 1,735 1,772 7.001% due 09/01/2023 (d) 182 188 7.500% due 09/01/2006 38 39 7.598% due 06/01/2024 (d) 448 459 7.625% due 01/01/2017 (d) 28 28 8.000% due 03/01/2007-12/01/2024 (g) 3,053 3,246 8.243% due 10/01/2023 (d) 766 784 8.250% due 10/01/2007-11/01/2007 (g) 17 18 8.338% due 11/01/2022 (d) 1,294 1,324 8.365% due 11/01/2023 (d) 327 335 8.369% due 03/01/2024 (d) 38 39 8.459% due 01/01/2024 (d) 1,247 1,281 8.465% due 01/01/2024 (d) 534 552 8.500% due 10/01/2002-11/01/2025 (g) 8,595 9,171 8.750% due 04/01/2002 4 4 9.000% due 05/01/2002-08/01/2022 (g) 2,357 2,542 9.500% due 12/01/2004-02/01/2025 (g) 211 229 9.750% due 08/01/2002-11/01/2008 (g) 442 482 10.000% due 04/01/2015-10/01/2019 (g) 74 83 10.500% due 10/01/2010-02/01/2016 (g) 18 20 10.750% due 09/01/2009-08/01/2011 (g) 243 268 11.500% due 10/01/2015-01/01/2016 (g) 39 44 11.750% due 11/01/2010-08/01/2015 (g) 10 11 12.000% due 09/01/2013 2 2 14.000% due 09/01/2012-04/01/2016 (g) 9 10 14.500% due 12/01/2010 2 3 15.000% due 08/01/2011-12/01/2011 (g) 3 4 ---------- 38,703 ========== Government National Mortgage Association 53.7% 6.375% due 04/20/2016-06/20/2027 (d)(g) 30,702 31,387 6.500% due 05/15/2023-10/15/2023 (g) 477 492 7.000% due 03/15/2011-01/15/2030 (g) 4,681 4,889 7.125% due 11/20/2026 (d) 183 189 7.375% due 03/20/2017-03/20/2019 (d)(g) 212 216 7.500% due 01/15/2007-10/22/2031 (g) 1,364,094 1,424,342 7.625% due 10/20/2023-12/20/2027 (d)(g) 35,876 37,085 7.750% due 08/20/2022-07/20/2027 (d)(g) 46,902 48,347 8.000% due 11/15/2006-10/22/2031 (d)(g) 1,033,708 1,087,352 8.500% due 12/15/2021-02/15/2031 (g) 78,109 82,675 9.000% due 06/20/2016-12/15/2030 (g) 22,327 23,712 9.500% due 10/15/2016-06/15/2025 (g) 93 102 9.750% due 07/15/2017-10/15/2017 (g) 363 402 10.000% due 10/15/2013-11/15/2025 (g) 81 91 10.500% due 11/15/2019-02/15/2021 (g) 13 16 11.000% due 09/15/2010 5 6 11.500% due 08/15/2018 29 33 11.750% due 08/15/2013-08/15/2015 (g) 45 52 12.000% due 06/20/2015 7 8 13.000% due 10/15/2013 6 7 13.500% due 05/15/2011-11/15/2012 (g) 20 24 16.000% due 12/15/2011-02/15/2012 (g) 20 25 ---------- 2,741,452 ========== Stripped Mortgage-Backed Securities 0.1% Fannie Mae (IO) 727.220% due 09/25/2006 9 22 6.000% due 02/25/2008 809 22 256.000% due 11/01/2008 16 64 6.500% due 03/25/2009 3,038 291 0.950% due 03/25/2009 (d) 10,825 200 7.500% due 03/25/2019 624 6 6.500% due 05/25/2019 5,056 221 6.500% due 04/25/2020 2,736 114 7.000% due 05/25/2021 1,934 96 859.770% due 02/25/2022 13 153 6.500% due 03/25/2023 1,984 232 4.875% due 03/25/2024 (d) 4,836 251 Fannie Mae (PO) 0.000% due 09/25/2022 17 16 Freddie Mac (IO) 6.000% due 10/15/2007 111 2 6.000% due 02/15/2008 353 9 7.000% due 08/15/2018 2,553 50 6.500% due 05/15/2019 1,839 58 6.500% due 06/15/2019 960 33 1049.620% due 04/15/2021 7 47 6.500% due 04/15/2022 1,654 152 7.000% due 05/15/2023 221 24 4.000% due 01/15/2024 20,919 3,421 Prudential Home Mortgage Securities (IO) 0.300% due 04/25/2009 (d) 39,053 177 ---------- 5,661 ---------- 4,331,145 ========== Total Mortgage-Backed Securities (Cost $4,278,725) ASSET-BACKED SECURITIES 4.1% Advanta Equipment Receivables 6.640% due 09/16/2002 89 89 Advanta Mortgage Loan Trust 7.760% due 05/25/2018 22,700 24,247 Amortizing Residential Collateral Trust 4.053% due 09/25/2030 (d) 12,070 12,088 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 85 85 Bombardier Capital Mortgage 6.605% due 09/15/2010 4,576 4,637 Capital Asset Research Funding LP 6.400% due 12/15/2004 49 49 Cento 6.013% due 03/01/2002 141 143 Circuit City Credit Card Master Trust 3.718% due 02/15/2006 (d) 250 250 CIT Marine Trust 5.800% due 04/15/2010 167 170 Community Program Loan Trust 4.500% due 10/01/2018 14,487 14,125 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 32,000 31,990 Conseco Finance 6.940% due 11/15/2014 119 120 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 517 521 Duck Auto Grantor Trust 5.650% due 03/15/2004 1,001 1,003 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 4,900 4,900 EQCC Home Equity Loan Trust 3.648% due 10/15/2027 (d) 196 196 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 67 PIMCO Schedule of Investments Class D (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------- Equity One ABS, Inc. 7.325% due 03/25/2014 $ 9,400 $ 9,758 GF Funding Corp. 6.890% due 01/20/2006 12,105 12,281 Green Tree Financial Corp. 6.550% due 02/15/2027 6,883 7,100 7.400% due 06/15/2027 12,735 13,568 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 1,000 1,003 Green Tree Home Improvement Loan Trust 3.658% due 08/15/2029 (d) 410 410 IMC Home Equity Loan Trust 3.273% due 10/20/2027 (d) 2,599 2,602 Irwin Home Equity Loan Trust 7.460% due 09/25/2014 18,321 18,935 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 7,220 7,148 Merit Securities Corp. 7.040% due 12/28/2033 10,879 10,961 New York City Tax Lien 6.350% due 07/10/2007 3,336 3,175 Oakwood Mortgage Investors, Inc. 6.950% due 08/15/2027 1,379 1,388 Ocwen Mortgage Loan Trust 3.935% due 10/25/2029 (d) 374 375 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 4,198 4,208 Pacificamerica Home Equity Loan 3.800% due 04/25/2028 (d) 181 180 Providian Gateway Master Trust 3.768% due 03/16/2009 (d) 8,000 8,015 SallieMae 4.041% due 07/25/2004 (d) 14 14 4.263% due 04/25/2006 (d) 5,238 5,233 Saxon Asset Securities Trust 7.205% due 01/25/2019 275 285 2.891% due 05/25/2029 (d) 558 559 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 258 258 The Money Store Home Equity Trust 3.668% due 06/15/2029 (d) 432 432 Timber Corp. 4.830% due 11/30/2001 5,000 5,000 ----------- Total Asset-Backed Securities 207,501 =========== (Cost $202,822) SOVEREIGN ISSUES 0.5% Province of Quebec 6.625% due 10/25/2001 (d) 250 250 Republic of Brazil 5.438% due 04/15/2006 (d) 5,680 4,729 United Mexican States 7.570% due 04/07/2004 (d) 21,530 22,163 ----------- Total Sovereign Issues 27,142 =========== (Cost $27,144) FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1% Korea Development Bank 2.700% due 08/16/2002 JY 2,000,000 16,846 Republic of Austria 5.500% due 01/15/2010 (i) EC 8,900 8,388 Republic of Colombia 7.000% due 03/06/2002 IL 36,220,000 16,957 United Mexican States 6.000% due 03/28/2002 JY 960,000 8,250 8.750% due 05/30/2002 3,000 4,438 ----------- Total Foreign Currency-Denominated Issues 54,879 =========== (Cost $60,270) PURCHASED PUT OPTIONS 0.0% PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 300 0 ----------- Total Purchased Put Options 0 =========== (Cost $0) PREFERRED STOCK 1.1% Shares Home Ownership Funding 13.330% due 12/31/2049 3,000 2,157 Rhone-Poulenc SA 8.125% due 12/31/2049 13,000 327 TCI Communications, Inc. 9.720% due 224,700 5,685 8.720% due 01/31/2045 1,170,100 28,714 10.000% due 05/31/2045 800,300 20,072 ----------- Total Preferred Stock 56,955 =========== (Cost $61,898) SHORT-TERM INSTRUMENTS 8.7% Principal Amount (000s) Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 5,000 5,077 ---------- Commercial Paper 8.0% Abbey National North America 3.520% due 10/29/2001 5,000 4,986 3.550% due 10/29/2001 3,200 3,191 BP Amoco PLC 3.450% due 10/01/2001 25,000 25,000 Federal Home Loan Bank 3.000% due 10/01/2001 30,000 30,000 4.000% due 10/31/2001 500 498 General Electric Capital Corp. 3.470% due 10/02/2001 7,400 7,399 3.420% due 12/24/2001 40,000 39,762 3.420% due 12/26/2001 3,800 3,777 3.670% due 12/26/2001 11,500 11,430 3.520% due 12/27/2001 32,000 31,799 3.490% due 12/27/2001 5,400 5,366 KFW International Finance, Inc. 3.420% due 12/20/2001 1,100 1,094 PepsiCo, Inc. 3.410% due 10/01/2001 35,000 35,000 Queensland Treasury Corp. 3.560% due 10/23/2001 3,400 3,393 SBC Communications, Inc. 3.430% due 11/29/2001 1,000 996 UBS Finance, Inc. 3.450% due 10/01/2001 200,000 200,000 3.420% due 12/19/2001 300 298 3.550% due 12/19/2001 100 99 3.360% due 12/20/2001 2,900 2,884 ---------- 406,972 ========== Repurchase Agreement 0.6% State Street Bank 2.600% due 10/01/2001 31,917 31,917 ---------- (Dated 09/28/2001. Collateralized by Fannie Mae 6.625% due 09/15/2009 valued at $7,055 and Fannie Mae 4.570% due 05/16/2003 valued at $25,501. Repurchase proceeds are $31,923.) U.S. Treasury Bills 0.0% 3.136% due 10/18/2001 (b)(g) 750 749 ---------- Total Short-Term Instruments 444,175 ========== (Cost $444,463) 68 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Value (000s) Total Investments (a) 147.5% $ 7,534,221 (Cost $7,464,456) Written Options (c) (0.0%) (65) (Premiums $1,783) Other Assets and Liabilities (Net) (47.5%) (2,426,742) ------------ Net Assets 100.0% $ 5,107,414 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 123,646 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (53,881) ------------ Unrealized appreciation-net $ 69,765 ============ (b) Securities with an aggregate market value of $6,856 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 15 $ 68 Eurodollar September Futures (09/2002) 13 53 Eurodollar December Futures (12/2002) 20 70 Eurodollar March Futures (03/2003) 20 57 U.S. Treasury 10 Year Note (12/2001) 42 29 U.S. Treasury 30 Year Bond (12/2001) 38 (7) ------------ $ 270 ============ (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 19,200,000 $ 587 $ 2 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 19,200,000 542 3 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 856 633 56 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 18 11 2 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 14 10 2 --------------------------- $ 1,783 $ 65 =========================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Buy EC 54,633 10/2001 $ (366) Sell BP 7,056 10/2001 2 Sell JY 11,104,000 10/2001 (625) ------------ $ (989) ============ (f) Principal amount denoted in indicated currency: BP - British Pound EC - Euro IL - Italian Lira JY - Japanese Yen (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Subject to financing transaction. (j) Security is in default. (k) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.805%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 JY 3,285,600 $ (1,174) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 175,100 2,295 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 94,300 1,236 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 77,600 1,559 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 23,300 471 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 $ 2,900 164 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 20,000 (8) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 69 PIMCO Schedule of Investments Class D (Cont.) Low Duration Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS-Warburg Exp. 01/14/2003 $ 43,000 $ (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 5,000 (22) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. due 12/19/2001. Broker: Lehman Brothers Exp. 12/19/2001 25,000 (23) Receive a fixed rate equal to 0.810% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Goldman Sachs Exp. 06/15/2004 50,000 (120) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 30,000 (40) ------------ $ 4,326 ============ (l) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury Notes 5.875 11/15/2004 50,000 $ 53,633 $ 52,303 U.S. Treasury Notes 5.875 11/15/2004 44,080 47,283 46,110 U.S. Treasury Notes 6.000 08/15/2004 50,000 53,729 52,436 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 50,000 51,716 51,596 U.S. Treasury Notes 5.750 10/31/2002 23,200 23,996 23,941 U.S. Treasury Notes 5.750 11/15/2005 23,000 24,756 24,203 U.S. Treasury Notes 4.250 11/15/2003 50,000 51,408 51,288 U.S. Treasury Notes 4.250 11/15/2003 46,000 47,296 47,185 U.S. Treasury Notes 4.625 05/15/2006 18,600 19,263 19,175 ------------------------- $ 424,796 $ 419,833 ========================= 70 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 105.5% Arizona 2.8% Phoenix Industrial Development Authority Revenue Bonds, (GNMA/FNMA/FHLMC Insured), Series 2000-1A 5.875% due 06/01/2016 $ 780 $ 822 Pima County, Arizona Industrial Development Authority Multi-Family Revenue Bonds, (HUD SECT 8 Insured), Series 1998 5.375% due 06/01/2010 1,210 1,293 Scottsdale, Arizona Industrial Development Authority Hospital Revenue Bonds, (AMBAC Insured), Series 1997-A 6.500% due 09/01/2004 880 969 --------- 3,084 ========= California 7.9% Alameda, California Harbor Bay Business Park Assessment Revenue Bonds, Series 1998 5.000% due 09/02/2006 360 368 Capistrano, California Unified School District Special Tax Bonds, Series 1999 5.000% due 350 358 09/01/2008 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 1,500 1,023 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2026 1,565 1,071 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 Irvine, California Special Assessment Bonds, (MBIA-IBC Insured), Series 1998 4.800% due 09/02/2004 150 154 4.900% due 09/02/2005 310 320 5.000% due 09/02/2006 150 155 Irvine, California Special Assessment Bonds, Series 1999 5.000% due 09/02/2005 350 362 5.100% due 09/02/2006 535 553 5.200% due 09/02/2007 255 263 Lake Elsinore, California School Refunding Bonds, Series 1998 5.000% due 09/01/2006 350 366 Los Angeles, California Community Redevelopment Agency Certificates of Participation Revenue Bonds, Series 1984 7.550% due 11/01/2008 1,075 1,193 Orange County, California Improvement Bonds, Series 1998-A 4.900% due 09/02/2005 245 252 Pittsburg, California Infrastructure Refunding Bonds, Series 1998-A 4.900% due 09/02/2003 150 156 5.000% due 09/02/2004 150 158 Riverside County, California Special Tax Refunding Bonds, Series 1999 4.700% due 09/01/2005 170 173 Roseville, California Special Tax Bonds, Series 1999 5.000% due 09/01/2004 345 350 Sacramento County, California Refunding Bonds, Series 1998 4.900% due 09/02/2005 300 304 South Tahoe, California Joint Powers Financing Authority Revenue Bonds, Series 1999-A 7.300% due 10/01/2007 350 364 West Sacramento, California Refunding Bonds, Series 1998 5.000% due 09/02/2004 350 355 --------- 8,582 ========= Colorado 4.2% Colorado Housing & Finance Authority Revenue Bonds, (FHA/VA Mortgages Insured), Series 2000-C3 5.700% due 10/01/2022 $ 1,000 $ 1,049 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-B3 6.700% due 10/01/2016 250 280 Colorado Housing & Finance Authority Revenue Bonds, Series 2000-D3 6.750% due 04/01/2015 250 286 Colorado Housing & Financial Authority Revenue Bonds, Series 2000 5.150% due 08/01/2007 500 513 Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2009 1,390 1,378 Meridian Metro District of Colorado General Obligation Bonds, (Asset Guaranty), Series 2001 4.125% due 12/01/2009 1,075 1,068 --------- 4,574 ========= Connecticut 5.7% Connecticut State General Obligation Bonds, Series 2001 7.010% due 12/15/2012 5,000 6,224 --------- Florida 1.0% Gainesville, Florida Revenue Bonds, Series 1979 6.200% due 10/01/2002 210 214 Orange County, Florida Health Facilities Authority Revenue Bonds, (MBIA Insured), Series 1996 6.250% due 10/01/2011 290 338 Orlando, Florida Waste Water System Revenue Bonds, Series 1997-A 6.043% due 10/01/2015 500 500 --------- 1,052 ========= Georgia 0.2% Georgia Municipal Electric Authority Revenue Bonds, (MBIA-IBC Insured), Series 1997 6.500% due 01/01/2012 200 231 --------- Hawaii 2.4% Hawaii State Housing Financial & Development Corporation Single Family Mortgage Pure Revenue Bonds, Series 1998 4.850% due 07/01/2029 1,470 1,485 Honolulu Hawaii City & County General Obligation Bonds, (MBIA-IBC Insured), Series 1993 5.450% due 09/11/2008 1,000 1,097 --------- 2,582 ========= Illinois 5.2% Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 1,000 361 Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001 0.000% due 01/01/2020 (c) 1,290 812 Fox Lake, Illinois Water & Sewer Revenue Bonds, (AMBAC Insured), Series 1996 5.750% due 05/01/2013 1,135 1,221 Illinois Educational Facilities Authority Revenue Bonds, Series 1993 8.320% due 07/01/2012 2,000 2,242 Palatine Illinois Tax Increment Revenue Bonds, (AMBAC Insured), Series 1998 5.250% due 01/01/2017 1,000 1,031 --------- 5,667 ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 71 PIMCO Schedule of Investments Class D (Cont.) Municipal Bond Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - ----------------------------------------------------------------------------------- Indiana 5.7% Danville, Indiana Multi-School Building General Obligation Bonds, (FSA Insured), Series 2001 3.900% due 07/15/2008 $ 485 $ 487 4.750% due 07/15/2009 200 210 5.000% due 07/15/2010 180 192 4.250% due 07/15/2011 290 291 4.400% due 01/15/2012 170 170 4.500% due 01/15/2013 190 190 4.650% due 01/15/2014 210 210 4.750% due 01/15/2015 235 235 4.850% due 01/15/2016 295 295 Hamilton Southeastern Indiana Construction School Building Revenue Bonds, (FSA State Aid Withholding Insured), Series 2001 5.000% due 07/15/2010 760 808 Indianapolis, Indiana Local Public Improvement Bonds Bank Transportation Revenue Bonds, Series 1992 6.750% due 02/01/2014 1,000 1,198 La Porte Indiana Multi School Building Revenue Bonds, (MBIA Insured), Series 2001 5.250% due 01/15/2013 1,000 1,067 South Bend, Indiana Redevelopment Authority Lease Revenue Bonds, Series 2000 5.100% due 02/01/2011 405 425 5.200% due 02/01/2012 230 242 5.500% due 02/01/2015 180 188 -------- 6,208 ======== Kentucky 5.3% Kentucky State Turnpike Authority Economic Development Road Revenue Bonds, Series 1993 8.440% due 06/06/2012 (d) 5,000 5,750 -------- Louisiana 0.2% Louisiana Local Government Revenue Bonds, (MBIA Insured), Series 2000 5.700% due 01/01/2010 250 270 -------- Massachusetts 3.8% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 1,500 1,580 Massachusetts State Development Finance Agency Revenue Bonds, (ACA Insured), Series 1999 4.600% due 03/01/2009 400 400 Massachusetts State Development Finance Agency Revenue Bonds, Series 1998 4.700% due 11/01/2007 210 217 4.800% due 11/01/2008 90 93 Massachusetts State General Obligation Ltd. Bonds, (MBIA-IBC Insured), Series 1993 5.500% due 02/01/2011 1,000 1,053 Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 2001 6.000% due 07/01/2014 500 550 Massachusetts State Health Facilities Authority Revenue Bonds, Series 1993 5.500% due 10/01/2002 270 269 -------- 4,162 ======== Michigan 3.0% Michigan State Environmental Protection General Obligation Bonds, Series 1992 6.250% due 11/01/2012 1,100 1,290 Michigan State Strategic Fund Ltd. Obligation Revenue Bonds, Series 2001 5.450% due 09/01/2029 2,000 2,002 -------- 3,292 ======== Minnesota 1.0% New Richland, Minnesota Revenue Bonds, Series 1998 4.500% due 08/01/2004 $ 1,000 $ 1,039 -------- Missouri 0.9% Missouri State Housing Development Community Revenue Bonds, (FHA Insured), Series 2001 5.250% due 12/01/2016 1,000 1,029 -------- Nevada 0.4% Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 7.580% due 05/15/2028 (d) 500 480 -------- New Hampshire 2.8% New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.125% due 07/01/2016 2,980 3,031 -------- New Jersey 21.6% New Jersey Economic Development Authority Revenue Bonds, (GTY AGMT Insured), Series 1998 6.000% due 11/01/2028 4,000 3,845 New Jersey Economic Development Authority Revenue Bonds, Series 1998 5.600% due 01/01/2012 1,000 943 6.375% due 04/01/2018 1,500 1,572 6.375% due 04/01/2031 8,000 8,356 6.500% due 04/01/2031 2,115 2,244 0.000% due 04/01/2013 1,595 836 New Jersey Economic Development Authority Revenue Bonds, Series 1999 6.625% due 09/15/2012 3,500 3,118 New Jersey State Highway Authority Garden Street Parkway General Revenue Bonds, (FGIC Insured), Series 2001 5.500% due 01/01/2015 2,500 2,721 -------- 23,635 ======== New Mexico 0.3% Santa Fe County, New Mexico El Castillo Retirement Nursing Home Bonds, Series 1998-A 5.250% due 05/15/2007 315 300 -------- New York 1.9% Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 1,000 1,070 New York State Dormitory Authority Revenue Bonds, (ACA Insured), Series 2000 5.850% due 07/01/2010 1,000 1,060 -------- 2,130 ======== North Dakota 1.9% Mercer County, North Dakota Pollution Control Revenue Bonds, Series 1991 6.900% due 02/01/2019 2,000 2,045 -------- Oklahoma 0.9% Oklahoma Housing Finance Agency Single Family Revenue Bonds, Series 2001 0.000% due 09/01/2032 6,750 1,025 -------- Pennsylvania 2.9% Delaware County, Pennsylvania Hospital Revenue Bonds, Series 1998 4.900% due 12/01/2008 100 98 Delaware County, Pennsylvania Industrial Development Authority Revenue Bonds, Series 1997 6.500% due 01/01/2008 725 786 Pennsylvania Convention Center Revenue Bonds, (MBIA-IBC Insured), Series 1994 6.750% due 09/01/2019 2,000 2,234 -------- 3,118 ========
72 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Puerto Rico 0.9% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2010 $ 750 $ 829 6.000% due 07/01/2026 150 161 ------------ 990 ============ South Carolina 2.6% Medical University South Carolina Hospital Facilities Revenue Bonds, Series 1999 5.700% due 07/01/2012 1,000 1,033 South Carolina State Public Service Authority Revenue Bonds, Series 1993 6.838% due 06/28/2013 (d) 1,700 1,842 ------------ 2,875 ============ Tennessee 1.7% Nashville & Davidson County, Tennessee Revenue Bonds, Series 1998 4.450% due 08/01/2007 1,000 1,031 Sullivan County, Tennessee Industrial Development Revenue Bonds, (GNMA Insured), Series 1995 6.250% due 07/20/2015 750 803 ------------ 1,834 ============ Texas 13.1% Bexar County, Texas Housing Finance Corporate Multi-Family Revenue Bonds, (FNMA Insured), Series 2001 4.875% due 06/15/2011 900 928 Bexar, Texas Metro Water District Waterworks System Revenue Bonds, (MBIA Insured), Series 1998 0.000% due 05/01/2035 2,190 338 Brazos River Authority Texas Revenue Bonds, (MBIA Insured), Series 1998 4.900% due 10/01/2015 1,500 1,531 Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 1,000 967 Del Rio Texas Waterworks & Sewer System Revenue Bonds, (MBIA Insured), Series 1993 5.500% due 06/01/2015 2,400 2,476 Houston, Texas Airport System Revenue Bonds, Series 2001 6.750% due 07/01/2029 1,000 782 Houston, Texas Water & Sewer System Revenue Bonds, (FSA Insured), Series 2001 5.500% due 12/01/2017 1,000 1,049 Katy, Texas Independent School District General Obligation Ltd. Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2024 1,500 1,399 Lamar, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2020 1,750 1,671 Midlothian, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 1999 0.000% due 02/15/2018 1,000 382 Red River, Texas Educational Finance Revenue Bonds, Series 2000 5.750% due 05/15/2017 750 800 Rio Grande City, Texas Construction Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2000 5.875% due 08/15/2018 1,825 1,970 ------------ 14,293 ============ Virginia 1.1% Roanoke, Virginia Industrial Development Authority Hospital Revenue Bonds, Series 1995 2.750% due 07/01/2019 (d) 1,200 1,200 ------------ Washington State 2.9% Washington State General Obligation Bonds, Series 1998 5.250% due 07/01/2012 $ 3,000 $ 3,168 ------------ West Virginia 1.2% West Virginia State Parkways Economic Development & Tourism Authority Revenue Bonds, (FGIC Insured), Series 1993 8.995% due 05/16/2019 (d) 1,200 1,308 ------------ Total Municipal Bonds & Notes 115,178 (Cost $111,647) ============ U.S. TREASURY OBLIGATIONS 0.3% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (b)(e) 280 288 ------------ Total U.S. Treasury Obligations 288 (Cost $285) ============ SHORT-TERM INSTRUMENTS 0.3% Money Market Fund 0.3% SSgA Tax Free Money Market 1.940% due 10/01/2001 334 334 ------------ Total Short-Term Instruments 334 (Cost $334) ============ Total Investments (a) 106.1% $ 115,800 (Cost $112,266) Other Assets and Liabilities (Net) (6.1%) (6,676) ------------ Net Assets 100.0% $ 109,124 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 4,316 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (782) ------------ Unrealized appreciation-net $ 3,534 ============ (b) Securities with an aggregate market value of $288 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contract (Depreciation) - ------------------------------------------------------------------------------- Municipal Bond (12/2001) 45 $ (21) U.S. Treasury 30 Year Bond (12/2001) 75 (143) ------------ $ (164) ============ (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of the security is adjusted for inflation. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 73 PIMCO Schedule of Investments Class D New York Municipal Bond Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 96.8% New Jersey 17.7% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2031 $ 850 $ 888 New York 71.6% Amherst, New York General Obligation Bonds, (FGIC Insured), Series 1999-A 5.500% due 12/01/2008 150 167 Edmeston, New York Central School District General Obligation Bonds, (MBIA Insured), Series 1999 5.100% due 06/15/2007 150 163 Nassau County, New York Tobacco Settlement Corp. Revenue Bonds, Series 1999 5.250% due 07/15/2011 150 160 New York City, New York Individual Development Agency Special Facilities Revenue Bonds, Series 1998 5.250% due 12/01/2032 400 302 New York City, New York Individual Development Revenue Bonds, Series 1997 5.650% due 10/01/2028 150 148 New York City, New York Industrial Development Agency Pipeline Airport Facility Revenue Bonds, Series 2001 5.500% due 07/01/2028 1,000 925 New York City, New York Trust Cultural Reserve Revenue Bonds, Series 1990 2.550% due 12/01/2015 (c) 147 147 New York State General Obligation Bonds, Series 1997-D 5.250% due 08/01/2021 100 100 New York State Dormitory Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 07/01/2002 150 153 New York State Dormitory Authority Revenue Bonds, (FSA Insured), Series 1998 4.750% due 07/01/2008 150 158 New York State Dormitory Authority Revenue Bonds, Series 2000 6.000% due 07/01/2010 150 163 New York State Dormitory Authority Revenue Bonds, Series 2001 5.500% due 07/01/2030 200 203 New York State Energy Research & Development Authority Pollution Control Revenue Bonds, Series 1985 2.650% due 07/01/2015 (c) 100 100 New York State Local Government Assistance Corp. Revenue Bonds, (MBIA Insured), Series 1997-B 5.125% due 04/01/2013 150 158 New York State Power Authority Revenue & General Purpose Bonds, Series 1972-E 5.500% due 01/01/2010 125 137 New York State Urban Development Corp. Revenue Bonds, Series 1999 5.000% due 01/01/2005 150 158 Rockland County, New York Solid Waste Management Authority Revenue Bonds, Series 1999-A 4.800% due 12/15/2005 145 153 Suffolk County, New York Individual Development Agency Research Facility Revenue Bonds, (LOC-Morgan Guaranty Trust), Series 1993 2.750% due 07/01/2023 (c) 100 100 ------------ 3,595 ============ Puerto Rico 7.5% Childrens Trust Fund Tobacco Settlement Revenue Bonds, 2000 6.000% due 07/01/2026 $ 100 $ 107 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (c) 250 271 ------------ 378 ------------ Total Municipal Bonds & Notes 4,861 (Cost $4,790) ============ SHORT-TERM INSTRUMENTS 1.7% Money Market Fund 1.7% Reich & Tang New York Money Market 1.890% due 10/01/2001 (b) 86 86 ------------ Total Short-Term Instruments 86 (Cost $86) ============ Total Investments (a) 98.5% $ 4,947 (Cost $4,876) Other Assets and Liabilities (Net) 1.5% 77 ------------ Net Assets 100.0% $ 5,024 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 163 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (92) ------------ Unrealized appreciation-net $ 71 ============ (b) Securities with an aggregate market value of $11 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contract (Depreciation) - ------------------------------------------------------------------------------- Municipal Bond (12/2001) 5 $ (3) ------------ (c) Variable rate security. The rate listed is as of September 30, 2001. 74 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D Real Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 20.2% Banking & Finance 12.9% Allstate Financial Global Funding 7.125% due 09/26/2005 $ 2,500 $ 2,693 Associates Corp. of North America 3.900% due 05/08/2003 (d) 1,500 1,506 Atlas Reinsurance PLC 6.520% due 04/04/2003 (d) 6,700 6,700 7.520% due 10/04/2004 (d) 4,400 4,400 Bear Stearns Co., Inc. 3.850% due 12/01/2003 (d) 500 501 4.147% due 09/21/2004 (d) 1,000 1,000 Boeing Capital Corp. 5.650% due 05/15/2006 5,000 5,025 Chase Manhanttan Corp. 3.820% due 12/10/2001 (d) 500 501 CIT Group, Inc. 4.270% due 04/07/2003 (d) 300 301 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 7,500 7,528 DQE Capital Corp. 4.270% due 01/15/2002 (d) 1,000 1,001 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,578 Finova Group, Inc. 7.500% due 11/15/2009 840 330 First Union Corp. 7.550% due 08/18/2005 10,000 10,945 Florida Windstorm Underwriting Association 6.700% due 08/25/2004 500 528 Ford Motor Credit Co. 3.720% due 02/13/2003 (d) 350 346 4.076% due 06/20/2003 (d) 18,500 18,278 3.303% due 06/23/2003 (d) 1,000 991 4.120% due 01/26/2004 (d) 8,200 8,100 General Motors Acceptance Corp. 3.720% due 12/09/2002 (d) 2,000 1,983 3.985% due 07/21/2003 (d) 3,500 3,442 3.986% due 08/04/2003 (d) 5,000 4,934 Halyard RE 10.376% due 04/05/2002 (d) 800 801 Heller Financial, Inc. 3.880% due 04/26/2002 (d) 250 250 6.500% due 07/22/2002 1,000 1,030 7.500% due 08/23/2002 10,200 10,591 3.965% due 04/28/2003 (d) 3,000 3,005 Household Finance Corp. 4.025% due 08/06/2002 (d) 2,000 2,007 J.P. Morgan & Co., Inc. 8.381% due 02/15/2012 (d) 6,370 6,213 Juno RE Ltd. 10.367% due 06/26/2002 (d) 9,050 9,036 Korea Development Bank 6.118% due 03/01/2002 (d) 500 496 8.294% due 06/16/2003 (d) 500 490 Lehman Brothers Holdings, Inc. 4.290% due 06/03/2002 (d) 2,500 2,505 4.570% due 07/15/2002 (d) 600 603 4.290% due 09/03/2002 (d) 2,000 2,003 MBNA America Bank NA 3.950% due 04/25/2002 (d) 500 499 Merrill Lynch & Co. 3.850% due 02/04/2003 (d) 2,000 2,001 3.958% due 08/01/2003 (d) 4,000 4,012 3.847% due 05/21/2004 (d) 2,100 2,104 Monumental Global Funding II 3.980% due 09/26/2003 (d) 2,000 2,000 Morgan Stanley, Dean Witter & Co. 3.920% due 04/15/2002 (d) 1,000 1,001 3.747% due 02/21/2003 (d) 1,500 1,502 4.097% due 03/11/2003 (d) 2,000 2,002 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 1,500 1,504 National Rural Utilities Cooperative Finance Corp. 5.393% due 05/31/2002 (d) 1,900 1,903 3.790% due 07/17/2003 (d) 10,000 10,006 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 3,500 3,509 NeHi, Inc. 7.600% due 06/09/2003 (d) 3,000 3,015 Old Kent Bank 4.428% due 11/01/2005 (d) 1,000 999 Pemex Finance Ltd. 6.125% due 11/15/2003 300 306 Premium Asset Trust 3.837% due 11/27/2004 (d) 5,000 5,014 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 1,000 1,003 Prudential Funding Corp. 3.990% due 10/18/2001 (d) 3,000 3,002 6.375% due 07/23/2006 7,000 7,312 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 1,300 1,302 Residential Reinsurance 8.510% due 06/01/2004 5,500 5,500 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (g) 22,218 22,332 3.955% due 04/28/2003 (d) 3,000 3,005 Seismic Ltd. 8.336% due 01/01/2002 (d) 2,500 2,496 Textron Financial Corp. 3.950% due 10/26/2001 (d) 2,500 2,502 4.058% due 09/17/2002 (d) 5,000 5,009 3.870% due 12/09/2002 (d) 1,000 1,004 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 400 402 Trinom Ltd. 7.910% due 12/18/2004 (d) 6,500 6,500 Washington Mutual Capital I 3.860% due 05/17/2004 (d) 20,000 20,040 Western Capital 9.440% due 01/07/2003 (d) 5,000 5,000 ------------ 250,427 ============ Industrials 4.8% AIC Corp. 5.026% due 10/02/2002 (d) 250 251 American Airlines, Inc. 6.978% due 04/01/2011 3,000 3,024 Coastal Corp. 4.278% due 07/21/2003 (d) 8,000 8,027 Cox Enterprises, Inc. 4.578% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002 (d) 2,000 2,011 3.880% due 08/16/2004 (d) 5,000 4,904 8.500% due 01/18/2031 16,900 17,879 Delta Air Lines, Inc. 8.540% due 01/02/2007 3,734 3,578 Enron Corp. 8.000% due 08/15/2005 4,000 4,139 Fred Meyer, Inc. 7.375% due 03/01/2005 2,000 2,143 Global Crossing Holding Ltd. 6.000% due 10/15/2013 1,250 756 HCA - The Healthcare Co. 5.351% due 09/19/2002 (d) 8,000 8,011 Petroleos Mexicanos 9.500% due 09/15/2027 4,750 5,047 Qwest Capital Funding, Inc. 4.270% due 07/08/2002 (d) 2,500 2,503 SR Wind Ltd. 8.887% due 05/18/2005 (d) 6,000 5,980 9.387% due 05/18/2005 (d) 2,500 2,526 Staples, Inc. 4.362% due 11/26/2001 (d) 2,000 2,003 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 75 PIMCO Schedule of Investments Class D (Cont.) Real Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- United Air Lines, Inc. 3.682% due 12/02/2002 (d) $ 1,149 $ 1,154 Walt Disney Co. 4.500% due 09/15/2004 15,000 15,064 Waste Management, Inc. 7.100% due 08/01/2026 1,500 1,564 ------------ 92,578 ============ Utilities 2.5% Allete 4.610% due 10/20/2003 (d) 2,500 2,506 Commonwealth Edison Co. 4.210% due 09/30/2002 (d) 1,000 1,001 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,689 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 3,500 3,519 7.600% due 07/15/2003 5,000 5,312 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 4,500 4,514 Hawaiian Electric Industries, Inc. 4.820% due 04/15/2003 (d) 2,000 2,004 Oneok, Inc. 4.358% due 04/24/2002 (d) 2,000 2,003 Scana Corp. 4.150% due 02/08/2002 (d) 1,900 1,901 4.420% due 07/15/2002 (d) 3,900 3,904 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 1,000 1,001 3.870% due 06/10/2002 (d) 3,000 3,008 Vodafone Group PLC 3.957% due 12/19/2001 (d) 6,500 6,509 WorldCom, Inc. 7.375% due 01/15/2003 1,000 1,035 ------------ 48,906 ------------ Total Corporate Bonds & Notes 391,911 (Cost $389,246) ============ MUNICIPAL BONDS & NOTES 0.0% New Mexico 0.0% New Mexico Mortgage Finance Authorities Revenue Bonds, (GNMA,FNMA, FHLMC Insured), Series 1997 7.000% due 07/01/2006 140 153 ------------ New York 0.0% New York City General Obligation Bonds, Series 1997 3.897% due08/01/2002 (d) 24 24 ------------ Total Municipal Bonds & Notes 177 (Cost $164) ============ U.S. GOVERNMENT AGENCIES 0.6% Fannie Mae 5.440% due 03/13/2002 (d) 7,600 7,642 Federal Farm Credit Bank 3.654% due 02/14/2002 (d) 600 603 Federal Home Loan Bank 7.535% due 02/15/2002 (d) 2,485 2,497 SallieMae 4.373% due 01/25/2007 (d) 208 208 ------------ Total U.S. Government Agencies 10,950 (Cost $10,872) ============ U.S. TREASURY OBLIGATIONS 121.5% Treasury Inflation Protected Securities (g)(h) 3.625% due 07/15/2002 (b) 466,208 474,367 3.375% due 01/15/2007 265,757 273,481 3.625% due 01/15/2008 248,006 257,384 3.875% due 01/15/2009 582,284 612,672 4.250% due 01/15/2010 197,177 212,890 3.500% due 01/15/2011 16,325 16,795 3.625% due 04/15/2028 228,233 234,439 3.875% due 04/15/2029 260,239 279,514 ------------ Total U.S. Treasury Obligations 2,361,542 (Cost $2,321,841) ============ MORTGAGE-BACKED SECURITIES 0.8% Collateralized Mortgage Obligations 0.8% Bear Stearns Adjustable Rate Mortgage Trust 6.820% due 11/25/2030 (d) $ 3,837 $ 3,909 Freddie Mac 7.000% due 07/15/2022 204 204 6.500% due 01/25/2028 100 99 7.000% due 10/15/2030 3,000 3,157 GMAC Commercial Mortgage Asset Corp. 3.357% due 07/20/2002 7,304 7,304 ------------ 14,673 ============ Fannie Mae 0.0% 8.054% due 10/01/2024 (d) 254 272 ------------ Federal Housing Administration 0.0% 7.430% due 12/01/2020 293 302 ------------ Total Mortgage-Backed Securities 15,247 (Cost $15,011) ============ ASSET-BACKED SECURITIES 1.3% AESOP Funding II LLC 3.860% due 11/20/2006 (d) 14,000 13,925 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 140 140 American Residential Eagle Trust 4.132% due 07/25/2029 (d) 3,490 3,499 Asset Backed Securities Corp. Home Equity 3.155% due 06/21/2029 (d) 2,164 2,172 Conseco Finance 7.890% due 07/15/2018 2,000 2,114 8.170% due 12/15/2025 2,000 2,169 Conseco Finance Home Loan Trust 8.880% due 06/15/2024 750 819 EQCC Home Equity Loan Trust 3.307% due 03/20/2029 (d) 138 138 SallieMae 4.143% due 07/25/2004 (d) 35 35 4.173% due 10/25/2004 (d) 33 33 5.261% due 04/25/2006 (d) 999 998 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 105 106 ------------ Total Asset-Backed Securities 26,148 (Cost $25,851) ============ SOVEREIGN ISSUES 0.0% United Mexican States 0.000% due 06/30/2003 (d) 718 6 ------------ Total Sovereign Issues 6 (Cost $0) ============ FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 2.3% Caisse D'amort Dette Soc 3.800% due 07/25/2006 EC 5,169 4,807 Commonwealth of Canada 4.000% due 12/01/2031 C$ 22 14 Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 33,500 14,695 Republic of France 3.000% due 07/25/2009 EC 28,552 25,282 ------------ Total Foreign Currency-Denominated Issues 44,798 (Cost $44,430) ============ CONVERTIBLE BONDS & NOTES 0.2% Utilities 0.2% Nabors Industries, Inc. 0.000% due 06/20/2020 $ 5,000 3,106 ------------ Total Convertible Bonds & Notes 3,106 (Cost $3,136) ============ 76 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 3.8% Commercial Paper 2.9% CDC 3.380% due 10/01/2001 $ 40,000 $ 40,000 General Electric Capital Corp. 3.530% due 12/27/2001 100 99 UBS Finance, Inc. 3.450% due 10/01/2001 15,000 15,000 3.870% due 10/02/2001 100 100 3.740% due 12/19/2001 1,900 1,889 ------------ 57,088 ============ Repurchase Agreement 0.9% State Street Bank 2.600% due 10/01/2001 17,000 17,000 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 02/03/2003 valued at $17,343. Repurchase proceeds are $17,004.) U.S. Treasury Bills 0.0% 3.518% due 10/18/2001 (b)(i) 800 799 ------------ Total Short-Term Instruments 74,887 (Cost $74,882) ============ Total Investments (a) 150.7% $ 2,928,772 (Cost $2,885,433) Other Assets and Liabilities (Net) (50.7%) (984,888) ------------ Net Assets 100.0% $ 1,943,884 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 46,027 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,688) ------------ Unrealized appreciation-net $ 43,339 ============ (b) Securities with an aggregate market value of $911 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar June Futures (06/2003) 378 $ 902 Eurodollar September Futures (09/2002) 300 0 U.S. Treasury 5 Year Note (12/2001) 24 (23) ------------ $ 879 ============ (c) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 10,000 $ (1,062) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 5,000 (334) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $5,000 in exchange for shares of Nabors Industries, Inc. due 6/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Dean Witter Exp. 06/20/2003 3,042 (20) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Bank of America Exp. 06/15/2003 15,900 (345) Receive a fixed rate equal to 0.410% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Goldman Sachs Exp. 11/10/2002s 1,000 (1) ------------ $ (1,762) ============ (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Buy C$ 28,552 10/2001 $ (29) Sell 57,380 10/2001 126 Sell EC 24,613 10/2001 153 Sell JY 78,994 10/2001 (5) Sell N$ 36,053 10/2001 1,149 ------------ $ 1,394 ============ (f) Principal amount denoted in indicated currency: C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Subject to financing transaction. (i) Securities are grouped together by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 77 PIMCO Schedule of Investments Class D Short Duration Municipal Income Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- MUNICIPAL BONDS & NOTES 98.2% Alaska 0.7% Valdez, Alaska Marine Term Ref-Exxon Pipeline Co. Revenue Bonds, Series 1993 2.650% due 12/01/2033 (b) $ 100 $ 100 ------------ Arizona 3.4% Maricopa County, Arizona Pollution Control Revenue Bonds, Series 1994 2.650% due 05/01/2029 (b) 500 500 ------------ California 7.2% East Bay, California Municipal Utility District Water System Revenue Bonds, (MBIA Insured), Series 1993 5.200% due 06/01/2008 1,000 1,056 ------------ Colorado 3.5% Denver, Colorado Health & Hospital Revenue Bonds, Series 1998-A 5.000% due 12/01/2002 500 506 ------------ Florida 16.8% Atlantic Beach, Florida Health Care Revenue Bonds, (ACA Insured), Series 1999 5.000% due 10/01/2001 500 500 Gulf Breeze, Florida Revenue Bonds, (MBIA Insured), Series 1997 4.840% due 12/01/2017 (b) 500 465 Orange County, Florida School Board Certificate of Participation Bonds, (AMBAC Insured), Series 2000 2.650% due 08/01/2025 (b) 195 195 Orlando, Florida Waste Water System Revenue Bonds, Series 1997-A 4.143% due 10/01/2015 (b) 750 750 Palm Beach County, Florida Health Facilities Authority Revenue Bonds, (MBIA-IBC Insured), Series 1993 6.300% due 10/01/2022 500 542 ------------ 2,452 ============ Illinois 6.6% Illinois Educational Facilities Authority Revenue Bonds, Series 1993 6.520% due 07/01/2012 (b) 300 336 Illinois Health Facilities Authority Revenue Bonds, Series 1977 6.700% due 10/01/2005 580 624 ------------ 960 ============ Kansas 3.5% Burlington, Kansas Pollution Control Revenue Bonds, (MBIA Insured), Series 1991 7.000% due 06/01/2031 500 512 ------------ Louisiana 2.1% Louisiana State Offshore Terminal Authority Deepwater Port Revenue Bonds, Series 1992 2.650% due 09/01/2008 (b) 300 300 ------------ Maine 3.9% Eastport, Maine Industrial Development Revenue Bonds, (Wachovia Bank Insured), Series 1989 4.750% due 11/15/2001 250 251 5.100% due 11/15/2003 300 312 ------------ 563 ============ Massachusetts 2.5% Massachusetts Housing Finance Agency Revenue Bonds, (AMBAC Insured), Series 1993 5.950% due 10/01/2008 250 263 Massachusetts State Health & Educational Facilities Authority Revenue Bonds, Series 1985 2.650% due 01/01/2035 (b) 100 100 ------------ 363 ============ Michigan 4.1% University of Michigan Revenue Bonds, Series 1992 1.000% due 12/01/2019 (b) $ 300 $ 300 University of Michigan Revenue Bonds, Series 1998 2.700% due 12/01/2024 (b) 300 300 ------------ 600 ============ Missouri 5.8% Kansas City, Missouri Industrial Development Authority Hospital Revenue Bonds, (MBIA Insured), Series 1985 2.650% due 04/15/2015 (b) 100 100 Missouri State Development Finance Board Infrastructure Facility Revenue Bonds, (Canadian Imperial Bank Insured), Series 1997 2.650% due 12/01/2003 (b) 100 100 Missouri State Housing Development Community Mortgage Revenue Bonds, (GNMA/FNMA Insured), Series 1996 7.100% due 09/01/2027 140 145 St. Louis, Missouri Airport Revenue Bonds, Series 2000 6.250% due 01/01/2002 500 503 ------------ 848 ============ New Jersey 10.8% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2018 500 524 6.375% due 04/01/2031 1,000 1,045 ------------ 1,569 ============ New York 4.2% New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1992 5.900% due 07/01/2005 100 102 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 1999 4.300% due 07/01/2002 500 508 ------------ 610 ============ Ohio 4.8% Ohio State Air Quality Development Authority Revenue Bonds, (Barclays Bank PLC Insured), Series 1995 2.600% due 09/01/2030 (b) 300 300 Ohio State Air Quality Development Authority Revenue Bonds, (Morgan Guaranty Trust Insured), Series 1985 2.700% due 12/01/2015 (b) 400 400 ------------ 700 ============ Pennsylvania 0.7% Pennsylvania State Higher Educational Facilities Authority College & University Revenue Bonds, Series 1986 7.200% due 10/01/2001 100 100 ------------ Puerto Rico 6.4% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 5.750% due 07/01/2010 250 276 Puerto Rico Electric Power Authority Revenue Bonds, (FSA Insured), Series 1992 9.178% due 07/01/2023 (b) 600 651 ------------ 927 ============ Texas 3.3% Dallas-Fort Worth International Airport Facility Improvement Corp. Revenue Bonds, Series 2000 5.950% due 05/01/2029 500 484 ------------ Virginia 2.1% Roanoke, Virginia Industrial Development Authority Hospital Revenue Bonds, (First Union National Bank Insured), Series 1995 2.750% due 07/01/2019 (b) 300 300 ------------ Washington State 4.8% Washington State Health Care Facilities Authority Revenue Bonds, (Morgan Guaranty Trust Insured), Series 1991 2.650% due 01/01/2018 (b) 700 700 ------------ 78 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - --------------------------------------------------------------- Wisconsin 1.0% Oshkosh, Wisconsin Water Revenue Bonds, Series 1999 4.700% due 01/01/2002 $ 150 $ 150 -------- Total Municipal Bonds & Notes 14,300 ======== (Cost $13,999) SHORT-TERM INSTRUMENTS 0.3% Money Market Fund 0.3% SSgA Tax Free Money Market 1.940% due 10/01/2001 47 47 -------- Total Short-Term Instruments 47 ======== (Cost $47) Total Investments (a) 98.5% $ 14,347 (Cost $14,046) 1.5% Other Assets and Liabilities (Net) 219 -------- Net Assets 100.0% $ 14,566 ======== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 328 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (27) --------- Unrealized appreciation-net $ 301 ========= (b) Variable rate security. The rate listed is as of September 30, 2001.
See accompanying notes | 9.30.01 | PIMCO Funds 79 PIMCO Schedule of Investments Class D Short-Term Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------- CORPORATE BONDS & NOTES 33.0% Banking & Finance 16.6% ABN AMRO Bank 6.625% due 10/31/2001 $ 2,000 $ 2,006 Banco Nacional Obra Services 9.625% due 11/15/2003 3,900 4,006 Bank One Corp. 4.517% due 01/24/20(d) 2,000 2,003 BankBoston Corp. 6.125% due 03/15/2002 1,000 1,016 Bankunited FSB 5.400% due 02/02/2004 4,000 4,135 Bear Stearns Co., Inc. 5.125% due 02/22/20(d) 4,200 4,135 5.270% due 09/21/20(d) 3,900 3,901 Chrysler Financial Corp. LLC 5.250% due 10/22/2001 2,800 2,803 5.690% due 11/15/2001 1,200 1,204 CIT Group, Inc. 3.510% due 09/13/20(d) 6,300 6,312 Citigroup, Inc. 5.500% due 08/19/20(d) 11,040 11,529 Countrywide Funding Corp. 8.760% due 03/05/2002 500 512 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/20(d) 8,000 8,028 DQE Capital Corp. 5.260% due 01/15/20(d) 2,000 2,001 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 1,014 First Union Corp. 8.125% due 06/24/2002 1,350 1,398 First USA Bank 4.140% due 05/15/20(d) 6,000 6,010 Ford Credit Canada 3.310% due 12/16/20(d) 10,000 10,006 Ford Motor Credit Co. 3.732% due 06/02/20(d) 2,500 2,474 4.320% due 03/08/20(d) 4,300 4,286 3.747% due 05/21/20(d) 3,300 3,236 4.200% due 07/18/20(d) 10,000 9,760 General Motors Acceptance Corp. 5.800% due 03/12/2003 1,500 1,542 5.950% due 03/14/2003 1,700 1,743 4.130% due 08/18/20(d) 16,575 16,329 3.956% due 11/07/20(d) 8,700 8,548 5.547% due 01/20/20(d) 3,900 3,498 4.450% due 05/04/20(d) 4,000 3,945 Golden West Financial Corp. 7.875% due 01/15/2002 3,450 3,498 6.700% due 07/01/2002 6,870 7,053 Goldman Sachs Group, Inc. 3.988% due 01/17/20(d) 5,000 5,005 Heller Financial, Inc. 3.950% due 04/22/20(d) 12,900 12,923 6.500% due 07/22/2002 1,000 1,030 Korea Development Bank 7.900% due 02/01/2002 900 912 7.625% due 10/01/2002 2,500 2,598 Lehman Brothers Holdings, Inc. 4.356% due 05/07/20(d) 3,000 3,012 4.220% due 04/04/20(d) 3,000 3,006 3.712% due 06/03/20(d) 2,800 2,788 Meridian Bancorp, Inc. 7.875% due 07/15/2002 1,500 1,551 Merrill Lynch & Co. 4.593% due 08/01/20(d) 4,000 4,012 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/20(d) 8,600 8,611 National Consumer Coop Bank 4.500% due 10/26/20(d) 10,000 10,008 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/20(d) 17,200 17,210 Paine Webber Group, Inc. 4.330% due 07/15/2002 (d) $10,000 $ 10,035 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 2,000 2,007 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 2,000 2,004 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,358 3,375 4.040% due 07/18/2007 (d) 5,000 5,013 Transamerica Finance Corp. 3.406% due 12/14/2001 (d) 4,000 4,005 U.S. Bancorp 4.543% due 02/03/2003 (d) 3,700 3,715 USAA Capital Corp. 7.050% due 11/08/2006 445 486 Verizon Global Funding Corp. 6.750% due 12/01/2005 3,000 3,198 ------- 245,164 ======= Industrials 6.9% Air Canada 6.037% due 07/31/2005 (d) 1,455 1,389 AOL Time Warner, Inc. 6.125% due 04/15/2006 3,000 3,100 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 900 903 Coastal Corp. 4.913% due 07/21/2003 (d) 5,000 5,017 Conagra Foods, Inc. 5.500% due 10/15/2002 3,300 3,366 4.220% due 09/10/2003 (d) 11,800 11,822 DaimlerChrysler North America Holding Corp. 6.670% due 02/15/2002 5,900 5,972 6.590% due 06/18/2002 5,000 5,113 3.797% due 08/23/2002 (d) 5,800 5,802 3.270% due 09/16/2002 (d) 7,000 6,959 3.920% due 12/16/2002 (d) 2,100 2,112 1.000% due 08/01/2003 (d) 2,800 2,775 3.880% due 08/16/2004 (d) 2,800 2,746 HCA - The Healthcare Co. 4.610% due 09/19/2002 (d) 10,000 10,013 Kroger Co. 4.310% due 08/16/2012 (d) 5,000 5,006 McDonald's Corp. 6.000% due 06/23/2002 475 486 Racers 3.712% due 03/03/2003 (d) 10,000 10,021 Safeway, Inc. 5.875% due 11/15/2001 1,900 1,906 7.000% due 09/15/2002 9,300 9,541 Staples, Inc. 4.925% due 11/26/2001 (d) 1,400 1,402 Time Warner, Inc. 6.100% due 12/30/2001 3,000 3,016 9.625% due 05/01/2002 3,000 3,100 ------- 101,567 ======= Utilities 9.5% Allete 4.610% due 10/20/2003 (d) 8,800 8,817 British Telecom PLC 4.445% due 12/15/2003 (d) 16,000 16,320 Central Power & Light Co. 3.978% due 02/22/2002 (d) 2,000 2,003 CenturyTel, Inc. 7.750% due 10/15/2002 2,000 2,062 Commonwealth Edison Co. 5.527% due 09/30/2003 (d) 2,000 2,001 Deutsche Telekom AG 7.750% due 06/15/2005 8,000 8,551 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 6,500 6,535 Entergy Gulf States, Inc. 4.847% due 09/01/2004 (d) 10,000 10,009 Exelon Corp. 5.625% due 11/01/2001 2,000 2,003 80 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- France Telecom 5.148% due 03/14/2003(d) $ 1,500 $ 1,517 3.207% due 07/16/2003(d) 6,600 6,604 Indiana Michigan Power Co. 4.087% due 09/03/2002(d) 1,000 1,002 Oneok, Inc. 4.358% due 04/24/2002(d) 5,000 5,007 Pacific Gas & Electric Co. 7.057% due 10/31/2001(c)(d) 1,900 1,634 Sierra Pacific Resources 5.477% due 04/20/2002(d) 3,000 2,972 5.427% due 04/20/2003(d) 5,000 4,846 Sprint Capital Corp. 7.625% due 06/10/2002 8,865 9,133 8.125% due 07/15/2002 1,000 1,032 Texas Utilities Corp. 3.715% due 12/20/2002(d) 3,090 3,094 6.750% due 04/01/2003(d) 1,665 1,730 3.750% due 06/15/2003(d) 15,800 15,810 Williams Cos., Inc. 4.070% due 11/15/2001(d) 7,500 7,510 4.571% due 07/31/2002(d) 15,000 15,023 WorldCom, Inc. 5.575% due 11/26/2001(d) 3,700 3,704 7.375% due 01/15/2003 1,500 1,552 ---------- 140,471 ---------- Total Corporate Bonds & Notes 487,202 ========== Cost $485,001) MUNICIPAL BONDS & NOTES 1.2% Connecticut 0.8% Bridgeport Connecticut General Obligation Bonds, Series 2001 4.350% due 07/18/2002 11,000 11,092 ---------- North Carolina 0.4% North Carolina State Education Assistance Authority Revenue Bonds, (GTD Insured), Series 2000 5.263% due 06/01/2009(d) 6,300 6,253 ---------- Total Municipal Bonds & Notes 17,345 ========== (Cost $17,300) U.S. GOVERNMENT AGENCIES 0.1% Fannie Mae 5.750% due 04/15/2003 850 87 6.000% due 03/12/2004 520 527 ---------- Total U.S. Government Agencies 1,414 ========== (Cost $1,363) U.S. TREASURY OBLIGATIONS 8.7% Treasury Inflation Protected Securities (g) 3.375% due 01/15/2007 (b) 112 115 3.625% due 01/15/2008 37,249 38,658 U.S. Treasury Notes 5.750% due 10/31/2002 87,500 89,102 ---------- Total U.S. Treasury Obligations 127,875 ========== (Cost $127,614) MORTGAGE-BACKED SECURITIES 12.2% Collateralized Mortgage Obligations 7.6% ABN AMRO Mortgage Corp. 6.500% due 04/25/2028 644 646 CDC Depositor Trust I 4.110% due 12/14/2001 (d) 336 337 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 861 875 Countrywide Home Loans 6.900% due 10/02/2001 2,300 2,300 Dime Savings 7.317% due 11/01/2018 (d) 111 108 DLJ Acceptance Trust 8.430% due 10/17/2020 (d) 362 372 DLJ Mortgage Acceptance Corp. 7.813% due 09/01/2021 (d) 18 18 Donaldson, Lufkin & Jenrette, Inc. 4.875% due 05/01/2026 (d) 9 9 Fannie Mae 7.250% due 04/25/2007 26 26 6.000% due 02/25/2008 677 687 5.248% due 07/25/2008 (d) 457 460 6.250% due 06/18/2015 160 160 6.000% due 08/18/2016 14,931 15,121 6.150% due 09/25/2016 910 909 7.000% due 09/18/2017 380 380 3.261% due 10/25/2017 (d) 3,757 3,790 6.350% due 03/25/2019 348 349 6.250% due 05/25/2019 471 479 7.000% due 12/25/2019 4,592 4,606 6.000% due 08/25/2020 890 890 5.000% due 04/25/2021 449 449 6.500% due 09/18/2023 932 943 8.907% due 06/25/2032 6,736 7,285 Freddie Mac 7.000% due 08/15/2006 2,480 2,512 6.750% due 03/15/2007 272 275 6.250% due 07/15/2007 270 273 6.500% due 10/25/2014 3,100 3,127 6.000% due 01/15/2019 462 467 6.000% due 07/15/2019 1,316 1,318 6.350% due 11/15/2019 764 766 5.500% due 02/15/2020 883 892 3.750% due 06/15/2023 (d) 207 207 General Electric Capital Mortgage Services, Inc. 6.750% due 12/25/2012 3,111 3,135 Greenwich Capital Acceptance, Inc. 7.709% due 04/25/2022 (d) 36 36 7.122% due 10/25/2022 (d) 6 6 Impac CMB Trust 3.860% due 11/25/2031 (d) 4,700 4,707 Independent National Mortgage Corp. 7.250% due 11/25/2010 2,551 2,585 Mellon Residential Funding Corp. 4.550% due 10/20/2029 (d) 10,000 9,690 Norwest Asset Securities Corp. 6.750% due 09/25/2027 4,392 4,430 Prudential Home Mortgage Securities 6.950% due 11/25/2022 233 237 6.800% due 05/25/2024 658 658 Prudential-Bache Trust 6.448% due 09/01/2018 (d) 16 16 Resolution Trust Corp. 6.745% due 05/25/2029 (d) 424 412 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 6,440 6,440 Washington Mutual, Inc. 3.740% due 07/26/2003 (d) 360 360 6.247% due 01/25/2041 (d) 2,431 2,443 Wells Fargo Mortgage-Backed Securities Trust 6.776% due 10/25/2031 (d) 25,000 25,427 ---------- 111,618 ========== Fannie Mae 0.4% 6.000% due 01/01/2004 140 143 6.375% due 09/25/2031 (d) 2,000 2,034 7.000% due 06/01/2003 1,484 1,528 8.500% due 01/01/2026 1,362 1,456 ---------- 5,161 ========== Freddie Mac 0.0% 7.500% due 11/01/2001 79 82 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 81 PIMCO Schedule of Investments Class D (Cont.) Short-Term Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Government National Mortgage Association 4.2% 5.250% due 04/20/2030-05/20/2030 (d)(i) $ 18,297 $ 18,522 6.250% due 03/20/2030(d) 15,356 15,580 6.375% due 02/20/2024-04/20/2025 (d)(i) 8,103 8,272 7.625% due 11/20/2026(d) 7,079 7,313 7.750% due 09/20/2023-08/20/2027 (d)(i) 4,469 4,605 8.000% due 10/22/2031(d) 4,000 4,209 8.500% due 06/20/2027 3,386 3,600 ---------- 62,101 ========== Stripped Mortgage-Backed Securities 0.0% ABN AMRO Mortgage Corp. (IO) 6.750% due 08/25/2029 473 33 Fannie Mae (IO) 7.000% due 07/25/2006 541 6 6.500% due 10/25/2023 972 110 Freddie Mac (IO) 6.500% due 11/15/2007 3,200 237 7.000% due 06/15/2019 2,413 77 ---------- 463 ---------- Total Mortgage-Backed Securities 179,425 ========== (Cost $178,294) ASSET-BACKED SECURITIES 14.6% Advanta Mortgage Loan Trust 6.320% due 05/25/2029(d) 3,034 3,081 Advanta Revolving Home Equity Loan Trust 3.031% due 01/25/2024(d) 143 144 AFC Home Equity Loan Trust 3.880% due 06/25/2030(d) 724 725 American Residential Eagle Trust 3.001% due 07/25/2029(d) 931 933 Brazos Student Loan Finance Co. 4.659% due 06/01/2023(d) 20,000 19,961 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,284 1,289 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030(d) 3,190 3,194 3.930% due 08/25/2031(d) 1,962 1,962 Delta Funding Home Equity Loan Trust 3.897% due 09/15/2029(d) 1,228 1,234 GMAC Mortgage Corp. Loan Trust 3.786% due 06/18/2027(d) 1,404 1,406 Green Tree Home Improvement Loan Trust 3.657% due 08/15/2029(d) 1,026 1,025 IMC Home Equity Loan Trust 6.360% due 08/20/2022 14,000 14,263 Metris Master Trust 7.110% due 10/20/2005 2,500 2,548 4.531% due 04/20/2006(d) 6,000 6,027 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025(d) 2,358 2,367 New York City Tax Lien 5.590% due 09/10/2014 4,536 4,658 Novastar Home Equity Loan 3.011% due 01/25/2031(d) 2,932 2,936 Onyx Acceptance Auto Trust 7.160% due 09/15/2004 32,309 33,537 Premier Auto Trust 6.430% due 03/08/2004 750 778 6.060% due 07/06/2004 15,375 15,577 5.920% due 10/06/2004 10,000 10,014 Residential Asset Securities Corp. 4.035% due 09/25/2031(d) 9,422 9,425 SallieMae 3.900% due 04/25/2011(d) 7,300 7,319 Salomon Brothers Mortgage Securities VII 3.011% due 07/25/2029(d) 1,283 1,286 3.907% due 11/15/2029(d) 990 994 4.067% due 12/15/2029(d) 2,000 2,007 4.428% due 12/25/2029(d) 12,074 12,109 Saxon Asset Securities Trust 7.585% due 12/25/2014 828 831 6.170% due 08/25/2021 3,530 3,611 Structured Product Asset Trust 1.000% due 06/20/2004 (d) 7,200 7,164 The Money Store Home Equity Trust 6.635% due 09/15/2014 938 941 UAF Auto Grantor Trust 6.100% due 06/15/2004 451 456 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 126 127 WFS Financial Owner Trust 5.750% due 08/20/2003 308 312 5.700% due 11/20/2003 12,990 13,254 6.420% due 07/20/2004 260 271 7.750% due 11/20/2004 10,000 10,432 World Financial Network Credit Card Master Trust 3.912% due 06/16/2008 (d) 17,000 17,075 ---------- Total Asset-Backed Securities 215,273 ========== (Cost $214,251) SOVEREIGN ISSUES 0.3% Republic of Brazil 5.437% due 04/15/2006 (d) 1,600 1,332 Republic of Croatia 7.000% due 02/27/2002 2,350 2,371 United Mexican States 0.000% due 06/30/2003 3,076 24 ---------- Total Sovereign Issues 3,727 ========== (Cost $3,878) SHORT-TERM INSTRUMENTS 37.8% Commercial Paper 37.6% Abbey National North America 3.550% due 10/24/2001 11,200 11,175 3.520% due 10/29/2001 8,300 8,277 3.550% due 10/29/2001 19,000 18,948 American Express Credit Corp. 3.450% due 10/01/2001 65,800 65,800 AT&T Corp. 4.525% due 08/06/2002 13,600 13,600 CBA (de) Finance 3.500% due 10/02/2001 66,000 65,994 CDC 3.380% due 10/01/2001 70,000 70,000 Fannie Mae 3.545% due 10/18/2001 2,300 2,296 4.030% due 10/18/2001 6,500 6,488 3.520% due 10/25/2001 19,300 19,255 3.550% due 12/20/2001 1,200 1,193 3.630% due 12/27/2001 3,000 2,981 Federal Home Loan Bank 3.000% due 10/01/2001 8,000 8,000 3.460% due 10/12/2001 5,300 5,294 4.030% due 10/26/2001 15,000 14,958 Freddie Mac 4.090% due 10/11/2001 17,800 17,780 3.570% due 12/28/2001 11,100 11,030 3.560% due 12/28/2001 16,500 16,396 General Electric Capital Corp. 3.420% due 12/26/2001 10,600 10,536 3.520% due 12/26/2001 4,000 3,976 3.670% due 12/26/2001 3,900 3,876 3.530% due 12/27/2001 10,000 9,937 3.650% due 12/27/2001 4,200 4,174 3.600% due 12/28/2001 12,400 12,321 Monsanto Co. 3.520% due 12/03/2001 8,200 8,162 PepsiCo, Inc. 3.410% due 10/01/2001 66,000 66,000 Queensland Treasury Corp. 3.560% due 10/23/2001 10,000 9,978 UBS Finance, Inc. 3.450% due 10/01/2001 56,200 56,200 3.870% due 10/02/2001 1,700 1,700 3.510% due 12/20/2001 6,800 6,761 ---------- 553,086 ========== 82 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 $ 3,080 $ 3,080 ---------- (Dated 09/28/2001. Collateralized by Federal Farm Credit Bank 4.450% due 05/16/2003 valued at $3,143. Repurchase proceeds are $3,081.) U.S. Treasury Bills 3.495% due 10/18/20 (b) 390 389 ---------- Total Short-Term Instruments 556,555 ========== (Cost $556,345) Total Investments (a) 107.9% $1,588,816 (Cost $1,584,046) Other Assets and Liabilities (Net) (7.9%) (115,777) ---------- Net Assets 100.0% $1,473,039 ========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 6,888 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (2,118) ---------- Unrealized appreciation-net $ 4,770 ========== (b) Securities with an aggregate market value of $504 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - ------------------------------------------------------------------------------- United Kingdom 90 Day LIBOR Futures (03/2002) 30 $ 62 United Kingdom 90 Day LIBOR Futures (06/2002) 30 59 United Kingdom 90 Day LIBOR Futures (09/2002) 30 46 United Kingdom 90 Day LIBOR Futures (12/2002) 30 33 ---------- $ 200 ========== (c) Security is in default. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ------------------------------------------------------------------------------- Sell BP 619 10/2001 $ 0 ---------- (f) Principal amount denoted in indicated currency: BP - British Pound (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notion Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 5,000 $ (531) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 7,900 (368) Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 07/11/2003 5,000 (2) Receive a fixed rate equal to 0.230% and the Fund will pay to the counterparty at par in the event of default of Associates Corp. 6.000% due 04/15/2003. Broker: UBS - Warburg Exp. 01/14/2003 4,000 (1) Receive a fixed rate equal to 1.450% and the Fund will pay to the couterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 1,600 0 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 11,800 (2) Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 13,300 0 ---------- $ (904) ========== (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury 5.750 10/31/2002 87,500 $ 89,613 $ 87,412 ---------------------- (k) Reverse repurchase agreements were entered into on September 25, 2001 paying interest at 2.440%. The following securities were segregated with collateral for reverse repurchase agreements: Type Maturity Value - ------------------------------------------------------------------------------- Government National Mortgage Assn. 6.375% 02/20/2024 $ 7,922 Government National Mortgage Assn. 7.625% 11/20/2026 7,313 Government National Mortgage Assn. 5.250% 05/20/2030 8,943 Government National Mortgage Assn. 5.250% 04/20/2030 9,579 --------- $ 33,757 ========= See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 83 PIMCO Schedule of Investments Class D StocksPLUS Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - --------------------------------------------------------------------------------- CORPORATE BONDS & NOTES 28.3% Banking & Finance 11.5% Atlas Reinsurance PLC 8.540% due 10/04/2004 (d) $ 7,000 $ 7,000 Bear Stearns Co., Inc. 6.125% due 02/01/2003 1,100 1,138 4.655% due 05/24/2004 (d) 21,600 21,646 Beaver Valley Funding Corp. 8.250% due 06/01/2003 560 579 Capital One Bank 3.552% due 06/23/2003 (d) 5,400 5,381 Chrysler Financial Corp. LLC 4.321% due 02/10/2003 (d) 9,600 9,487 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 6,900 6,926 Golden State Holdings 4.678% due 08/01/2003 (d) 6,000 5,901 Lehman Brothers Holdings, Inc. 3.762% due 06/03/2002 (d) 600 601 4.230% due 07/06/2004 (d) 3,005 3,007 Nacional Financiera 5.463% due 05/08/2003 (d) 6,000 6,096 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 11,700 11,731 NationsBank Corp. 3.733% due 02/18/2002 (d) 100 100 Old Kent Bank 4.428% due 11/01/2005 (d) 4,500 4,496 Republic New York Corp. 5.000% due 10/28/2002 (d) 100 102 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 3,454 3,472 4.305% due 02/11/2003 (d) 5,000 5,010 Trinom Ltd. 7.910% due 12/18/2004 (d) 1,200 1,200 Western Capital 9.440% due 01/07/2003 7,300 7,300 ---------- 101,173 ========== Industrials 11.2% Air Canada 6.037% due 07/31/2005(d) 8,727 8,332 Cemex SA de CV 9.250% due 06/17/2002 300 311 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 600 602 CSX Corp. 3.202% due 06/24/2002 (d) 6,900 6,905 Enron Corp. 8.000% due 08/15/2005 1,100 1,138 Kroger Co. 7.150% due 03/01/2003 12,115 12,689 Petroleos Mexicanos 6.905% due 07/15/2005 (d) 20,000 20,076 Philip Morris Cos., Inc. 4.240% due 12/04/2001 (d) 8,800 8,813 Rollins Truck Leasing Co. 8.250% due 05/01/2002 29,900 30,608 TCI Communications, Inc. 4.486% due 03/11/2003 (d) 4,000 4,025 Walt Disney Co. 3.900% due 09/15/2003 4,700 4,691 ---------- 98,190 ========== Utilities 5.6% Central Power & Light Co. 4.676% due 11/23/2001 (d) 3,600 3,605 Entergy Arkansas, Inc. 7.720% due 03/01/2003 3,700 3,878 Georgia Power Co. 5.250% due 05/08/2003 3,800 3,882 Sprint Capital Corp. 4.268% due 06/10/2002 (d) 1,100 1,103 Texas Utilities Corp. 5.940% due 10/15/2001 $ 28,725 $ 28,777 6.410% due 11/21/2001 1,000 1,004 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 6,900 6,910 ---------- 49,159 ---------- Total Corporate Bonds & Notes 248,522 ========== (Cost $246,279) U.S. TREASURY OBLIGATIONS 15.8% Treasury Inflation Protected Securities (g) 3.625% due 07/15/2002 (b) 108,287 110,183 3.625% due 01/15/2008 20,038 20,796 3.875% due 01/15/2009 1,518 1,598 U.S. Treasury Notes 5.625% due 11/30/2002 5,800 6,002 ---------- Total U.S. Treasury Obligations 138,579 ========== (Cost $135,374) MORTGAGE-BACKED SECURITIES 60.1% Collateralized Mortgage Obligations 7.8% Bank Mart 6.883% due 03/01/2019 (d)(j) 3,749 3,799 Countrywide Home Loans 6.050% due 04/25/2029 3,355 3,406 CS First Boston Mortgage Securities Corp. 6.960% due 06/20/2029 1,091 1,123 DLJ Acceptance Trust 7.620% due 10/17/2020 (d) 103 105 Fannie Mae 6.728% due 04/25/2020 (d) 17 17 6.500% due 05/18/2024 2,015 2,043 Freddie Mac 6.500% due 08/15/2023 4,017 4,067 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 78 77 General Electric Capital Mortgage Services, Inc. 6.300% due 09/25/2023 803 812 6.250% due 10/25/2028 429 433 6.250% due 12/25/2028 1,454 1,454 Government National Mortgage Association 4.010% due 09/20/2030 (d) 188 188 Greenwich Capital Acceptance, Inc. 7.084% due 04/25/2022 (d) 77 77 7.122% due 10/25/2022 (d) 2 2 Housing Securities, Inc. 7.320% due 07/25/2032 (d) 352 352 Norwest Asset Securities Corp. 6.750% due 08/25/2029 5,345 5,401 PNC Mortgage Securities Corp. 6.625% due 03/25/2028 4,845 4,873 7.500% due 10/25/2030 (d) 3,306 3,364 Resecuritization Mortgage Trust 4.040% due 04/26/2021 (d) 121 121 Residential Funding Mortgage Securities, Inc. 6.664% due 03/25/2018 (d) 1,249 1,246 Resolution Trust Corp. 8.000% due 06/25/2026 185 186 Salomon Brothers Mortgage Securities VII 1.000% due 12/25/2030 (d) 18,025 18,457 Structured Asset Mortgage Investments, Inc. 9.081% due 06/25/2029 (d) 12,503 13,489 Structured Asset Securities Corp. 7.209% due 09/25/2036 (d) 595 606 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 3,243 3,243 ---------- 68,941 ==========
84 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Fannie Mae 14.2% 6.252% due 12/01/2023 (d) $ 17 $ 17 6.328% due 11/01/2027-04/01/2028 (d)(i) 405 410 6.446% due 07/01/2018-08/01/2029 (d)(i) 1,450 1,468 6.500% due 09/01/2005 3,827 3,937 6.764% due 02/01/2027 (d) 29 29 6.867% due 04/01/2018 (d) 89 90 7.500% due 10/15/2031 80,000 83,174 7.900% due 05/01/2022 (d) 139 139 8.000% due 10/15/2031 (d) 34,000 35,647 ---------- 124,911 ========== Freddie Mac 0.6% 6.000% due 10/15/2031 (d) 2,000 1,996 6.768% due 07/01/2019 (d) 2,142 2,179 7.616% due 12/01/2022 (d) 422 432 8.161% due 06/01/2022 (d) 218 224 8.500% due 04/01/2025-06/01/2025 (i) 98 106 ---------- 4,937 ========== Government National Mortgage Association 37.4% 6.750% due 07/20/2018-08/20/2026 (d)(i) 11,321 11,672 7.000% due 10/22/2031 (d) 8,000 8,307 7.125% due 12/20/2022-12/20/2027 (d)(i) 4,636 4,792 7.375% due 02/20/2026-02/20/2028 (d)(i) 10,978 11,201 7.500% due 08/15/2028-10/22/2031 (i) 141,950 148,229 8.000% due 04/15/2030-10/22/2031 (i) 130,000 136,501 8.500% due 10/22/2031 (d) 7,000 7,431 ---------- 328,133 ========== Stripped Mortgage-Backed Securities 0.1% California Federal Bank (IO) 7.276% due 07/25/2018 (d) 16 16 Fannie Mae (IO) 7.000% due 07/25/2006 60 1 6.500% due 09/25/2008 116 9 6.500% due 02/25/2021 873 27 7.000% due 07/25/2021 446 43 6.500% due 03/25/2023 1,926 225 Freddie Mac (IO) 6.500% due 08/15/2006 362 6 J.P. Morgan & Co., Inc. (IO) 7.664% due 01/25/2018 (d) 122 119 ---------- 446 ---------- Total Mortgage-Backed Securities 527,368 ========== (Cost $522,768) ASSET-BACKED SECURITIES 7.7% AFC Home Equity Loan Trust 2.811% due 06/25/2028 (d) 4,624 4,612 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 15 15 Argentina Funding Corp. 3.317% due 05/20/2003 (d) 16,000 16,027 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 3,680 3,691 Cross Country Master Credit Card Trust II 3.987% due 06/15/2006 (d) 15,400 15,517 Green Tree Home Improvement Loan Trust 3.707% due 11/15/2029 (d) 4,386 4,391 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 502 507 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 1,863 1,864 SallieMae 5.141% due 07/25/2004 (d) 126 126 4.203% due 10/25/2005 (d) 4,328 4,335 4.263% due 04/25/2006 (d) 1,931 1,929 Starwood Hotel 7.241% due 02/23/2003 7,735 7,397 USAA Auto Loan Grantor Trust 6.100% due 02/15/2006 6,676 6,852 ---------- Total Asset-Backed Securities 67,263 ========== (Cost $67,081) SOVEREIGN ISSUES 3.8% Hydro-Quebec 5.187% due 09/29/2049 (d) 1,200 1,056 Republic of Brazil 7.375% due 04/15/2006 (d) 23,960 19,947 Republic of Croatia 7.000% due 02/27/2002 3,000 3,027 Republic of Panama 7.930% due 05/10/2002 549 548 United Mexican States 7.570% due 04/07/2004 (d) 9,000 9,203 ---------- Total Sovereign Issues 33,781 ========== (Cost $35,983) FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.4% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 9,750 4,277 United Mexican States 8.750% due 05/30/2002 BP 3,000 4,438 7.000% due 06/02/2003 C$ 6,000 3,833 ---------- Total Foreign Currency-Denominated Issues 12,548 ========== (Cost $15,271) PURCHASED CALL OPTIONS 0.0% U.S. Treasury Note (OTC) 6.000% due 12/31/2001 Strike @ 116.000 Exp. 11/26/2001 $ 95,000 15 ---------- Total Purchased Call Options 15 ========== (Cost $20) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 92.500 Exp. 12/14/2001 108,000 1 Strike @ 95.250 Exp. 12/17/2001 49,000 0 Strike @ 93.500 Exp. 12/17/2001 58,000 1 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 94,000 1 Fannie Mae (OTC) 7.500% due 12/13/2031 Strike @ 92.625 Exp. 12/06/2001 80,000 6 Government National Mortgage Association 8.000% due 10/22/2031 Strike @ 93.970 Exp. 10/22/2001 40,000 0 Government National Mortgage Association 8.000% due 12/20/2031 Strike @ 93.940 Exp. 12/13/2001 135,000 16 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 6,200 0 ---------- Total Purchased Put Options 25 ========== (Cost $38) PREFERRED SECURITY 0.1% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 110 1,133 ---------- Total Preferred Security 1,133 ========== (Cost $1,102) PREFERRED STOCK 0.9% TCI Communications, Inc. 9.720% due 12/31/2036 303,565 7,680 ---------- Total Preferred Stock 7,680 ========== (Cost $7,995) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 85 PIMCO Schedule of Investments Class D StocksPLUS Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- SHORT-TERM INSTRUMENTS 27.3% Commercial Paper 25.8% CDC 3.380% due 10/01/2001 $ 42,000 $ 42,000 Fannie Mae 3.150% due 10/01/2001 121,000 121,000 Federal Home Loan Bank 3.000% due 10/01/2001 22,000 22,000 UBS Finance, Inc. 3.450% due 10/01/2001 42,000 42,000 ------------ 227,000 ============ U.S. Treasury Bills 1.5% 2.869% due 10/18/2001-02/07/2002 (b)(i) 13,135 13,066 ------------ Total Short-Term Instruments 240,066 ============ (Cost $240,072) Total Investments (a) 145.4% $ 1,276,980 (Cost $1,271,983) Written Options (c) (0.0%) (28) (Premiums $236) Other Assets and Liabilities (Net) (45.4%) (398,702) ------------ Net Assets 100.0% $ 878,250 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 11,156 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (6,159) ------------ Unrealized appreciation-net $ 4,997 ============ (b) Securities with an aggregate market value of $98,839 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 47 $ 236 Eurodollar September Futures (09/2002) 52 247 Eurodollar December Futures (12/2002) 82 358 Eurodollar March Futures (03/2003) 82 321 S&P 500 Index (12/2001) 2,573 (80,155) U.S. Treasury 5 Year Note (12/2001) 977 (508) ------------ $ (79,501) ============ (c) Premiums received on written options: # of Type Contract Premium Value - ------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 184 $ 134 $ 11 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 94 57 9 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 60 45 8 ---------------------- $ 236 $ 28 ====================== (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Sell BP 3,902 10/2001 $ 0 Sell C$ 6,736 10/2001 41 Sell EC 2,737 10/2001 17 Sell JY 436,697 10/2001 (28) Sell N$ 10,942 10/2001 349 ------------ $ 379 ============ (f) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (g) Principal amount of the security is adjusted for inflation. (h) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.160%. Broker: J.P. Morgan Chase & Co. Exp. 09/24/2002 $ 33 $ 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.180%. Broker: J.P. Morgan Chase & Co. Exp. 10/03/2002 39 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.280%. Broker: J.P. Morgan Chase & Co. Exp. 04/30/2002 12 0 Receive total return on S&P 500 Index and pay floating rate based on 1-month LIBOR plus 0.320%. Broker: J.P. Morgan Chase & Co. Exp. 03/20/2002 55 0 Receive a fixed rate equal to 1.290% and the Fund will pay to the counterparty at par in the event of default of the United Mexican States 9.750% due 04/06/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/19/2002 15,500 14 Receive a fixed rate equal to 0.200% and the Fund will pay to the counterparty at par in the event of default of the Bank One Corp. 6.500% due 02/01/2006. Broker: Merrill Lynch Exp. 08/12/2002 17,000 (6) ------------ $ 8 ============ 86 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes (i) Securities are grouped by coupon or range of coupons and represent a range of maturities. (j) Restricted security. (k) Reverse repurchase agreements were entered into on September 21, 2001 paying interest at 2.500%. The following securities were segregated with collateral for reverse repurchase agreements:
Type Maturity Value - --------------------------------------------------------------------- Government National Mortgage Assn. 6.375% 03/20/2026 $ 2,450 Government National Mortgage Assn. 6.375% 02/20/2026 513 Government National Mortgage Assn. 6.375% 06/20/2027 219 Government National Mortgage Assn. 7.750% 08/20/2026 191 Government National Mortgage Assn. 7.750% 09/20/2022 2,920 Government National Mortgage Assn. 6.375% 04/20/2027 3,799 Government National Mortgage Assn. 6.375% 05/20/2026 1,857 Government National Mortgage Assn. 6.375% 01/20/2028 1,934 Government National Mortgage Assn. 7.500% 08/15/2029 819 Fannie Mae 6.500% 09/01/2005 3,937 -------- $ 18,639 ========
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 87 PIMCO Schedule of Investments Class D Strategic Balanced Fund September 30, 2001 (Unaudited) Value Shares (000s) - ------------------------------------------------------------------ PIMCO FUNDS (b) 99.9% StocksPLUS 4,611,013 $ 42,283 Total Return 2,881,434 31,321 ----------- Total Investments (a) 99.9% $ 73,604 (Cost $87,566) Other Assets and Liabilities (Net) 0.1% 41 ----------- Net Assets 100.0% $ 73,645 =========== Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,912 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (15,874) ----------- Unrealized depreciation-net $ (13,962) =========== (b) Institutional Class shares of each PIMCO fund. 88 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Schedule of Investments Class D Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------- CORPORATE BONDS & NOTES 33.1% Banking & Finance 21.1% AB Spintab 6.800% due 12/29/2049 $ 250 256 Abbey National Capital Trust I 8.963% due 12/29/2049 18,600 21,027 Abbey National PLC 6.700% due 06/29/2049 5,000 4,877 ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 150 163 Air 2 US 8.027% due 10/01/2020 285 290 Allstate Corp. 4.000% due 07/26/2004 (d) 5,000 4,985 7.875% due 05/01/2005 100 110 6.750% due 05/15/2018 280 268 6.900% due 05/15/2038 87,200 81,907 AMERCO 7.135% due 10/15/2002 15,000 15,358 American Express Co. 5.625% due 01/22/2004 14,700 15,176 7.450% due 08/10/2005 1,000 1,089 American General Finance 6.875% due 12/14/2001 1,600 1,613 7.450% due 07/01/2002 200 207 6.250% due 12/18/2002 1,165 1,208 6.375% due 03/01/2003 350 365 6.170% due 05/06/2003 3,200 3,329 8.125% due 03/15/2046 270 290 American Health Properties, Inc. 7.050% due 01/15/2002 700 704 Aon Capital Trust A 8.205% due 01/01/2027 725 730 Aristar, Inc. 7.375% due 09/01/2004 20,000 21,485 Associates Corp. of North America 6.450% due 10/15/2001 23,600 23,628 7.500% due 04/15/2002 185 190 6.375% due 07/15/2002 175 180 6.500% due 07/15/2002 750 771 6.000% due 12/01/2002 500 516 5.750% due 11/01/2003 5,425 5,637 5.800% due 04/20/2004 450 470 6.625% due 06/15/2005 100 106 AT&T Capital Corp. 6.900% due 01/30/2002 1,000 1,013 6.750% due 02/04/2002 1,925 1,947 Avalonbay Communities 7.375% due 09/15/2002 2,565 2,658 Banco Latinoamericano SA 5.080% due 11/30/2001 10,000 10,087 Banco Nacional de Comercio Exterior 7.250% due 02/02/2004 25,050 25,676 Banesto Delaware, Inc. 8.250% due 07/28/2002 43,900 45,517 Bank of America Corp. 8.125% due 06/15/2002 350 362 7.750% due 07/15/2002 510 529 7.750% due 08/01/2002 896 899 7.200% due 09/15/2002 1,000 1,038 7.500% due 10/15/2002 1,200 1,254 6.850% due 03/01/2003 65 68 6.875% due 06/01/2003 100 105 6.500% due 08/15/2003 150 158 6.125% due 07/15/2004 600 632 3.763% due 08/26/2005 (d) 32,800 32,822 6.750% due 09/15/2005 200 214 7.400% due 01/15/2011 25,000 27,338 8.570% due 11/15/2024 125 145 Bank One Corp. 3.965% due 09/26/2003 (d) 9,800 9,809 3.920% due 05/07/2004 (d) 8,200 8,213 4.499% due 05/10/2004 (d) 138,600 13,841 BankBoston Corp. 6.125% due 03/15/2002 15,500 15,742 Banponce Financial Corp. 6.463% due 11/13/2001 13,000 13,053 7.125% due 05/02/2002 4,700 4,813 Barclays Bank PLC 8.550% due 09/29/2049 195 222 Bayerische Landesbank NY 6.200% due 02/09/2006 250 257 Bear Stearns Co., Inc. 3.500% due 12/16/2002 (d) 48,900 48,990 6.125% due 02/01/2003 25 26 2.941% due 03/28/2003 (d) 95,440 95,392 6.750% due 04/15/2003 105 110 3.970% due 05/06/2003 (d) 25,000 25,000 3.885% due 05/16/2003 (d) 43,300 43,277 2.864% due 07/22/2003 (d) 19,000 18,922 6.700% due 08/01/2003 100 105 3.850% due 12/01/2003 (d) 100,900 101,043 6.625% due 01/15/2004 200 211 6.150% due 03/02/2004 200 208 8.750% due 03/15/2004 75 82 4.113% due 05/24/2004 (d) 29,300 29,361 3.883% due 06/01/2004 (d) 12,665 12,696 3.173% due 09/21/2004 (d) 5,300 5,302 4.253% due 03/18/2005 (d) 37,300 37,461 4.151% due 09/16/2005 (d) 16,000 15,763 Beaver Valley Funding Corp. 8.250% due 06/01/2003 190 196 Beneficial Corp. 4.190% due 03/01/2002 (d) 13,300 13,325 8.000% due 06/18/2002 400 414 6.030% due 01/14/2003 320 330 Bombardier Capital Trust I 4.440% due 06/09/2032 (d) 16,150 15,796 Bombardier Capital Trust II 3.700% due 06/09/2032 (d) 3,600 3,521 Bombardier Capital, Inc. 7.300% due 12/15/2002 9,000 9,366 Caithness Coso Funding Corp. 6.800% due 12/15/2001 3,316 3,324 Chase Manhanttan Corp. 8.500% due 02/15/2002 200 204 5.750% due 04/15/2004 150 157 6.000% due 11/01/2005 50 52 6.125% due 11/01/2008 400 406 Chrysler Financial Corp. LLC 5.690% due 11/15/2001 650 652 5.400% due 01/15/2002 15,750 15,832 6.950% due 03/25/2002 50 51 3.509% due 07/17/2002 (d) 20,000 19,886 3.524% due 08/08/2002 (d) 80,500 79,917 3.564% due 02/03/2003 (d) 50,000 49,426 3.554% due 02/10/2003 (d) 8,100 8,005 3.554% due 03/06/2003 (d) 35,000 34,931 3.544% due 03/10/2003 (d) 65,000 64,184 3.504% due 06/18/2003 39,500 38,833 Chubb Capital Corp. 6.875% due 02/01/2003 100 105 Cincinnati Financial Corp. 6.900% due 05/15/2028 111,870 104,323 CIT Group, Inc. 5.800% due 03/26/2002 1,000 1,015 3.510% due 09/13/2002 (d) 30,900 30,960 7.375% due 03/15/2003 500 526 5.260% due 04/07/2003 (d) 19,277 19,343 5.625% due 10/15/2003 250 258 Citicorp 8.000% due 02/01/2003 250 265 CitiFinancial Credit Co. 8.250% due 11/01/2001 2,500 2,510 6.875% due 05/01/2002 335 343 6.375% due 09/15/2002 115 119 7.750% due 03/01/2005 550 605
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 89 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - --------------------------------------------------------------------------------------- Citigroup, Inc. 5.800% due 03/15/2004 $ 200 $ 208 6.500% due 01/18/2011 34,500 36,063 CNA Financial Corp. 6.250% due 11/15/2003 65 65 Comerica Bank 7.250% due 06/15/2007 200 215 Countrywide Home Loans 6.250% due 04/15/2009 600 604 Credit Asset Receivable LLC 6.274% due 10/31/2003 27,927 27,991 Credit Industrial et Commercial (CIC) 5.600% due 02/28/2049 (d) 1,500 1,467 DBS Group Holdings Ltd. 7.875% due 08/10/2009 6,000 6,470 Donaldson, Lufkin & Jenrette, Inc. 4.150% due 04/25/2003 (d) 5,600 5,621 6.170% due 07/15/2003 20,000 20,839 6.259% due 07/18/2003 (d) 2,000 2,007 Dow Capital BV 7.125% due 01/15/2003 100 105 Duke Capital Corp. 7.250% due 10/01/2004 19,000 20,419 EOP Operating LP 7.000% due 07/15/2011 295 302 Export-Import Bank Korea 6.500% due 02/10/2002 26,641 26,886 6.500% due 11/15/2006 6,445 6,647 7.100% due 03/15/2007 20,100 20,318 Exxon Capital Corp. 6.125% due 09/08/2008 2,000 2,126 Farmers Insurance 8.625% due 05/01/2024 275 280 Finova Capital Corp. 7.500% due 11/15/2009 25,875 10,153 First Chicago Corp. 9.250% due 11/15/2001 250 252 3.190% due 03/11/2002 (d) 10,000 10,017 4.465% due 07/28/2003 (d) 50 50 First National Bank Chicago 8.080% due 01/05/2018 250 276 First Security Corp. 5.875% due 11/01/2003 9,325 9,674 First Union Corp. 8.125% due 06/24/2002 150 155 Ford Credit Canada 3.310% due 12/16/2002 (d) 95,600 95,661 Ford Motor Credit Co. 4.880% due 10/15/2001 (d) 13,000 13,003 4.271% due 11/16/2001 (d) 82,800 82,835 8.240% due 01/15/2002 85 86 8.200% due 02/15/2002 3,000 3,051 6.500% due 02/28/2002 1,710 1,731 8.000% due 06/15/2002 150 155 4.514% due 08/01/2002 (d) 56,000 55,741 6.550% due 09/10/2002 4,000 4,116 7.750% due 11/15/2002 5,730 5,987 6.000% due 01/14/2003 1,100 1,127 7.500% due 01/15/2003 250 261 4.476% due 02/03/2003 (d) 40,000 39,610 3.720% due 02/13/2003 (d) 286,185 282,728 3.340% due 03/17/2003 (d) 48,800 48,179 5.518% due 04/17/2003 (d) 64,600 64,258 6.125% due 04/28/2003 26,130 26,816 3.733% due 06/02/2003 (d) 72,500 71,739 3.255% due 06/20/2003 (d) 20,400 20,156 3.303% due 06/23/2003 (d) 147,150 145,841 6.625% due 06/30/2003 775 804 3.773% due 11/24/2003 (d) 47,000 46,339 5.750% due 02/23/2004 2,516 2,574 4.320% due 03/08/2004 (d) 93,400 93,101 3.950% due 04/26/2004 (d) 63,000 61,877 3.748% due 05/21/2004 (d) 37,200 36,476 3.663% due 06/02/2004 (d) 1,500 1,471 7.500% due 06/15/2004 100 107 4.471% due 06/21/2004 (d) 160,000 157,644 6.700% due 07/16/2004 92,905 96,635 4.110% due 07/19/2004 (d) 174,500 171,432 8.250% due 02/23/2005 2,500 2,721 7.500% due 03/15/2005 17,000 18,067 4.528% due 04/28/2005 (d) 58,000 56,153 3.041% due 06/30/2005 (d) 65,000 63,463 5.219% due 07/18/2005 (d) 230,800 225,259 7.600% due 08/01/2005 5,000 5,312 6.375% due 12/15/2005 100 102 6.875% due 02/01/2006 190 196 7.200% due 06/15/2007 25 26 5.800% due 01/12/2009 155 146 General Electric Capital Corp. 5.500% due 11/01/2001 50 50 5.650% due 03/31/2003 125 129 6.210% due 12/09/2005 400 431 7.875% due 12/01/2006 30 34 General Motors Acceptance Corp. 6.375% due 12/01/2001 765 769 5.500% due 12/15/2001 10,639 10,664 9.625% due 12/15/2001 5,650 5,721 6.625% due 01/10/2002 500 504 6.750% due 02/07/2002 1,590 1,609 7.750% due 03/25/2002 125 128 6.250% due 08/15/2002 100 103 7.000% due 09/15/2002 250 258 6.625% due 10/01/2002 5,000 5,132 3.695% due 11/12/2002 (d) 10,200 10,128 3.720% due 12/09/2002 (d) 64,050 63,510 6.750% due 12/10/2002 500 518 6.200% due 12/15/2002 500 515 5.480% due 12/16/2002 150 153 6.000% due 01/15/2003 990 1,015 5.875% due 01/22/2003 115,500 118,332 3.749% due 02/14/2003 (d) 12,600 12,444 3.670% due 03/10/2003 (d) 7,000 6,912 6.750% due 03/15/2003 49,725 51,537 7.125% due 05/01/2003 36,000 37,652 4.060% due 05/16/2003 (d) 105,575 104,740 4.529% due 07/20/2003 (d) 12,950 12,950 5.924% due 07/21/2003 (d) 33,900 33,336 3.986% due 08/04/2003 (d) 209,695 206,875 3.661% due 08/18/2003 (d) 133,390 131,402 5.550% due 09/15/2003 32,000 32,622 6.625% due 10/20/2003 2,000 2,079 5.750% due 11/10/2003 1,100 1,127 4.480% due 01/20/2004 (d) 399,042 394,447 3.453% due 03/22/2004 (d) 128,600 127,040 4.070% due 04/05/2004 (d) 60,600 59,389 4.338% due 05/10/2004 (d) 149,100 146,598 4.260% due 05/17/2004 (d) 36,300 35,687 4.280% due 05/28/2004 (d) 73,000 72,939 6.850% due 06/17/2004 1,200 1,254 4.190% due 07/20/2004 (d) 6,100 5,968 4.060% due 07/21/2004 (d) 69,600 67,672 4.105% due 07/30/2004 (d) 50,200 49,081 5.163% due 09/20/2004 (d) 19,864 19,839 6.650% due 11/17/2005 500 514 6.750% due 01/15/2006 440 453 6.150% due 04/05/2007 150 149 8.950% due 07/02/2009 14,961 16,320 Golden State Holdings 5.314% due 08/01/2003 (d) 500 492 Goldman Sachs Group, Inc. 4.990% due 01/17/2003 (d) 72,000 72,071 6.625% due 12/01/2004 275 293 7.625% due 08/17/2005 23,000 25,139 6.110% due 02/09/2009 (d) 10,000 10,052 6.500% due 02/25/2009 140 143 Great Western Finance Trust II 8.206% due 02/01/2027 150 152
90 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------------- Halyard RE 10.376% due 04/05/2002 (d) $ 1,800 $ 1,803 Hanvit Bank 12.750% due 03/01/2010 36 38 Hartford Life, Inc. 6.900% due 06/15/2004 600 639 Heller Financial, Inc. 4.740% due 10/22/20 (d) 35,900 35,927 6.500% due 11/01/2001 250 251 5.170% due 11/09/2001 (d) 6,700 6,713 4.090% due 03/13/2002 (d) 43,500 43,590 5.889% due 04/22/2002 (d) 2,100 2,102 4.540% due 04/26/2002 (d) 12,000 12,008 4.469% due 05/07/2002 (d) 25,700 25,747 3.765% due 05/13/2002 (d) 10,000 10,006 7.000% due 05/15/2002 3,300 3,381 6.500% due 07/22/2002 140 144 4.084% due 07/24/2002 (d) 16,200 16,256 4.689% due 08/01/2002 (d) 35,000 35,126 3.935% due 04/28/2003 (d) 26,000 26,010 3.965% due 04/28/2003 (d) 53,500 53,581 Hertz Corp. 7.000% due 07/15/2003 13,300 13,849 Hitachi Credit America 3.858% due 10/15/2003 (d) 11,500 11,505 Household Bank 4.571% due 10/22/2003 (d) 18,000 17,855 Household Capital Trust III 5.253% due 06/26/2004 (d) 23,925 23,528 Household Finance Corp. 4.464% due 11/01/2001 (d) 4,500 4,504 4.424% due 05/07/2002 (d) 43,450 43,452 7.080% due 06/03/2002 15,000 15,424 5.875% due 11/01/2002 200 205 6.125% due 02/27/2003 500 514 2.863% due 06/24/2003 (d) 32,900 32,970 4.420% due 05/28/2004 (d) 293,900 294,177 Household Netherlands BV 6.125% due 03/01/2003 18,100 18,680 HSBC Capital Funding LP 9.547% due 12/31/2049 76,400 89,238 10.176% due 12/31/2049 46,160 54,103 Industrial Bank of Korea 7.100% due 10/15/2001 3,290 3,294 Inter-American Development Bank 5.375% due 01/18/2006 131,000 136,373 8.875% due 06/01/2009 200 245 7.375% due 01/15/2010 4,200 4,839 International Bank for Reconstruction & Development 7.000% due 01/27/2005 1,000 1,096 International Lease Finance Corp. 5.930% due 07/15/2003 14,000 14,593 J.P. Morgan & Co., Inc. 6.700% due 11/01/2007 30 32 6.698% due 02/15/2012 (d) 600 585 JET Equipment Trust 10.000% due 06/15/2012 80 88 10.690% due 05/01/2015 100 124 John Hancock 7.375% due 02/15/2024 360 362 Juno RE Ltd. 7.930% due 06/26/2002 (d) 27,750 27,706 KBC Bank Fund Trust III 9.860% due 11/02/2049 (d) 5,700 6,587 Kern River Funding Corp. 6.720% due 09/30/2001 1,125 1,125 Key Bank USA NA 7.550% due 09/15/2006 350 383 Kimco Realty Corp. 6.500% due 10/01/2003 200 208 Korea Development Bank 7.900% due 02/01/2002 300 304 8.600% due 03/25/2002 6,600 6,781 7.625% due 10/01/2002 300 312 6.500% due 11/15/2002 440 454 6.625% due 11/21/2003 2,000 2,089 6.750% due 12/01/2005 55 57 7.250% due 05/15/2006 50 53 LB Rheinland - PFALZ 6.875% due 02/23/2028 3,400 3,383 Lehman Brothers Holdings, Inc. 4.305% due 01/30/2002 (d) 2,200 2,203 4.370% due 03/18/2002 (d) 10,000 10,016 6.375% due 05/07/2002 61,290 62,597 8.750% due 05/15/2002 219 226 4.290% due 06/03/2002 (d) 600 601 7.125% due 07/15/2002 100 103 4.380% due 08/12/2002 (d) 6,500 6,490 4.826% due 08/28/2002 (d) 6,500 6,540 4.290% due 09/03/2002 (d) 14,000 14,021 4.466% due 12/12/2002 (d) 60,100 60,386 4.220% due 04/04/2003 (d) 132,550 132,794 4.220% due 07/06/2004 (d) 105,751 105,822 7.625% due 06/01/2006 350 384 8.250% due 06/15/2007 70 78 LG&E Capital Corp. 6.205% due 05/01/2004 1,000 1,032 6.460% due 01/15/2008 3,000 3,004 Liberty Mutual Insurance 8.200% due 05/04/2007 17,510 18,666 Limestone Electron Trust 8.625% due 03/15/2003 71,350 74,795 Lion Connecticut Holdings 6.375% due 08/15/2003 200 208 7.250% due 08/15/2023 50 51 Lloyds TSB Bank PLC 4.456% due 08/25/2010 (d) 3,000 3,018 MBNA America Bank NA 4.634% due 04/25/2002 (d) 1,000 999 MCN Investment Corp. 7.120% due 01/16/2004 7,500 7,811 Merrill Lynch & Co. 8.000% due 02/01/2002 400 407 7.375% due 08/17/2002 300 311 8.300% due 11/01/2002 700 739 6.000% due 02/12/2003 500 518 6.875% due 03/01/2003 140 147 2.753% due 06/24/2003 (d) 32,000 32,008 3.959% due 08/01/2003 (d) 22,000 22,067 3.936% due 08/04/2003 (d) 29,000 29,089 8.770% due 05/21/2004 (d) 117,285 117,495 6.550% due 08/01/2004 400 427 7.000% due 04/27/2008 100 107 Metropolitan Life Insurance Co. 6.300% due 11/01/2003 6,800 7,102 MIC Financing Trust I 8.375% due 02/01/2027 36,000 33,342 Monumental Global Funding II 5.106% due 09/26/2003 (d) 58,500 58,511 Morgan Stanley Group, Inc. 3.548% due 03/11/2003 (d) 11,500 11,512 6.375% due 12/15/2003 150 157 5.625% due 01/20/2004 1,200 1,242 Morgan Stanley, Dean Witter & Co. 4.910% due 04/15/2002 (d) 550 551 3.850% due 05/05/2003 (d) 43,000 43,033 3.906% due 08/07/2003 (d) 143,400 143,626 4.660% due 04/22/2004 (d) 112,700 113,124 3.889% due 05/14/2004 (d) 179,200 179,272 Nacional Financiera 9.750% due 03/12/2002 10,000 10,238 5.464% due 05/08/2003 (d) 17,680 17,680 National Rural Utilities Cooperative Finance Corp. 3.700% due 05/31/2002 (d) 37,000 37,020 6.250% due 04/15/2003 50,000 51,743 National Westminster Bank PLC 3.650% due 09/16/2002 (d) 12,275 12,306 9.375% due 11/15/2003 200 222
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 91 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Newcourt Credit Group, Inc. 6.875% due 02/16/2005 $ 7,500 $ 7,877 Noble Affiliates, Inc. 8.950% due 12/15/2004 11,500 12,143 Nordbanken AB 8.950% due 11/29/2049 4,000 4,506 Nordstom Credit, Inc. 7.250% due 04/30/2002 1,000 1,026 Northern Rock PLC 8.000% due 12/31/2049 260 5,980 Old Kent Bank 4.429% due 11/01/2005 (d) 3,400 3,397 7.750% due 08/15/2010 19,500 20,977 Osprey Trust 8.310% due 01/15/2003 76,155 79,296 Pacific Life Insurance Co. 7.900% due 12/30/2023 8,000 8,338 Paine Webber Group, Inc. 3.480% due 05/20/2002 (d) 1,000 1,001 5.320% due 07/15/2002 (d) 200 201 Parker Retirement Savings Plan 6.340% due 07/15/2008 741 766 PDVSA Finance Ltd. 7.400% due 08/15/2016 1,200 1,128 Pemex Finance Ltd. 6.125% due 11/15/2003 15,000 15,305 PNC Funding Corp. 6.875% due 03/01/2003 100 105 7.000% due 09/01/2004 20,000 21,465 PNC Institutional Capital Trust 7.950% due 12/15/2026 150 153 Popular, Inc. 6.540% due 11/06/2001 18,705 18,770 6.625% due 01/15/2004 19,500 20,304 Premium Asset Trust 4.381% due 11/27/2004 (d) 48,900 49,035 5.110% due 10/06/2005 (d) 300 300 Prime Property Funding II 7.000% due 08/15/2004 110 115 Protective Life Funding Trust 5.159% due 01/17/2003 (d) 2,000 2,007 Prudential Funding Corp. 6.375% due 07/23/2006 100 104 6.625% due 04/01/2009 17,000 16,699 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 3,400 3,406 PSEG Capital Corp. 6.740% due 10/23/2001 1,400 1,403 Reliance Group Holdings, Inc. 9.750% due 11/15/2003 (e) 10,000 350 9.000% due 11/15/2049 (e) 19,000 760 Reliant Energy Financial Co. 4.156% due 12/10/2001 (d) 53,100 53,191 Residential Reinsurance 8.510% due 06/01/2004 88,200 88,200 Rothmans Holdings 6.500% due 05/06/2003 16,390 16,921 Royal & Sun Alliance Insurance Group PLC 8.950% due 10/15/2029 270 269 Royal Bank of Scotland Group PLC 8.817% due 03/31/2049 41,600 46,154 9.118% due 03/31/2049 66,400 76,451 Salomon, Inc. 7.000% due 03/04/2002 18,850 19,191 6.750% due 02/15/2003 450 471 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (j) 30,556 30,714 6.625% due 07/01/2002 55 56 6.125% due 01/15/2003 290 301 3.815% due 02/11/2003 (d) 44,200 44,292 3.955% due 04/28/2003 (d) 28,000 28,043 4.760% due 01/22/2004 10,000 10,000 7.000% due 03/15/2004 100 107 3.980% due 05/04/2004 (d) 10,020 10,036 3.859% due 05/21/2004 48,000 48,084 Sears Roebuck Acceptance Corp. 6.600% due 10/09/2001 17,000 17,011 6.360% due 12/04/2001 290 292 6.120% due 12/13/2001 260 261 6.950% due 05/15/2002 4,100 4,183 6.000% due 03/20/2003 149,750 153,916 7.260% due 04/21/2003 3,000 3,135 7.140% due 05/02/2003 5,000 5,219 6.560% due 11/20/2003 1,178 1,229 Seismic Ltd. 8.336% due 01/01/2002 (d) 32,500 32,450 Simon Property Group, Inc. 9.000% due 03/15/2002 2,000 2,043 Socgen Real Estate LLC 7.640% due 12/29/2049 20,000 21,091 Spieker Properties, Inc. 6.800% due 12/15/2001 5,500 5,534 6.950% due 12/15/2002 1,600 1,656 6.800% due 05/01/2004 1,000 1,047 Steers 8.049% due 08/07/2002 (d) 20,000 20,388 Sun Life of Canada (U.S.) 8.526% due 05/29/2049 250 257 Textron Financial Corp. 4.610% due 10/26/2001 (d) 11,200 11,209 4.406% due 05/28/2002 (d) 51,900 51,972 5.060% due 09/17/2002 (d) 2,000 2,004 The Money Store, Inc. 8.050% due 04/15/2002 300 308 7.300% due 12/01/2002 100 105 Toyota Motor Credit Corp. 7.586% due 02/15/2002 (d) 40,000 40,158 Transamerica Finance Corp. 6.125% due 11/01/2001 29,000 29,048 3.406% due 12/14/2001 (d) 64,300 64,386 5.920% due 03/29/2002 52,050 52,798 7.250% due 08/15/2002 86,195 89,249 7.500% due 03/15/2004 270 290 Trinom Ltd. 7.150% due 06/18/2004 (d) 48,700 48,700 U.S. Bancorp 4.180% due 03/06/2003 600 603 6.500% due 06/15/2004 600 633 US Bank National Association 5.700% due 12/15/2008 370 371 Wachovia Corp. 6.375% due 04/15/2003 200 209 Washington Mutual, Inc. 4.419% due 05/14/2004 (d) 138,200 138,470 4.403% due 05/17/2004 (d) 191,600 191,985 8.375% due 06/01/2027 235 242 Wells Fargo & Co. 8.750% due 05/01/2002 100 103 6.500% due 09/03/2002 100 103 6.625% due 07/15/2004 6,500 6,956 Wells Fargo Financial, Inc. 6.375% due 07/16/2002 500 513 6.250% due 11/01/2002 100 103 7.000% due 01/15/2003 380 398 6.000% due 02/01/2004 50 52 WestDeutsche Landersbank 6.750% due 06/15/2005 36,400 38,727 6.050% due 01/15/2009 164,600 168,239 Western Capital 8.796% due 01/07/2003 (d) 15,600 15,600 ----------- 10,207,627 =========== Industrials 6.7% Adelphia Communications Corp. 8.375% due 02/01/2008 25 21 7.875% due 05/01/2009 25 20 AdvancePCS 8.500% due 04/01/2008 25 25 AIC Corp. 3.940% due 10/02/2002 (d) 17,000 16,981
92 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Air Products & Chemicals, Inc. 6.250% due 06/15/2003 $ 2,500 $ 2,584 Akzo Nobel, Inc. 6.000% due 11/15/2003 32,000 33,136 Albertson's, Inc. 6.550% due 08/01/2004 240 252 Allied Waste Industries, Inc. 6.100% due 01/15/2003 6,000 6,003 7.375% due 01/01/2004 18,925 18,736 7.625% due 01/01/2006 25 25 AMERCO 7.230% due 01/21/2027 1,250 1,254 America West Airlines, Inc. 6.870% due 07/02/2018 1,776 1,524 American Airlines, Inc. 10.210% due 01/01/2010 6,500 6,767 10.610% due 03/04/2011 1,895 2,024 6.978% due 04/01/2011 40,200 40,527 7.858% due 10/01/2011 78,700 79,409 American Standard Cos., Inc. 7.375% due 02/01/2008 25 25 Amkor Technology, Inc. 9.250% due 05/01/2006 25 20 Amoco Corp. 6.250% due 10/15/2004 1,000 1,063 AMR Corp. 9.125% due 10/24/2001 750 752 9.130% due 10/25/2001 2,000 2,005 8.470% due 02/20/2002 2,000 1,994 8.500% due 02/26/2002 1,000 997 Anheuser-Busch Companies, Inc. 6.750% due 08/01/2003 500 534 AT&T Corp. 8.250% due 01/15/2003 43,125 45,390 Atlas Air, Inc. 7.540% due 04/04/2003 (d) 22,700 22,700 8.540% due 04/04/2003 (d) 3,000 3,000 Avis Group Holdings, Inc. 11.000% due 05/01/2009 25 26 Baxter International, Inc. 9.500% due 06/15/2008 200 240 Bayer Corp. 6.500% due 10/01/2002 250 258 Boeing Co. 6.350% due 06/15/2003 750 781 Buckeye Technologies, Inc. 8.000% due 10/15/2010 25 22 Building Materials Corp. 8.000% due 10/15/2007 15 10 Campbell Soup Co. 4.750% due 10/01/2003 700 711 Canadian National Railway Co. 6.375% due 10/15/2011 4,500 4,532 Cargill, Inc. 4.900% due 01/14/2002 (d) 3,000 3,001 Cemex SA de CV 9.250% due 06/17/2002 5,100 5,279 8.625% due 07/18/2003 48,250 50,301 Charter Communications Holdings LLC 8.250% due 04/01/2007 25 23 Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 20,000 20,065 Coastal Corp. 3.913% due 03/06/2002 (d) 149,350 149,586 8.125% due 09/15/2002 250 260 4.914% due 07/21/2003 (d) 7,700 7,726 Coca-Cola Enterprises, Inc. 7.875% due 02/01/2002 100 101 6.000% due 07/15/2003 250 261 5.750% due 11/01/2008 100 102 Colgate-Palmolive Co. 6.000% due 08/15/2003 45 47 Comcast Cable Communications 8.375% due 05/01/2007 145 162 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 20,500 20,538 Continental Airlines, Inc. 6.410% due 04/15/2007 325 325 6.800% due 07/02/2007 25 24 6.954% due 02/02/2011 12,918 12,233 6.900% due 01/02/2018 1,452 1,336 Cox Communications, Inc. 4.999% due 11/07/2002 (d) 16,000 16,072 Cox Enterprises, Inc. 6.625% due 06/14/2002 7,250 7,372 4.579% due 05/01/2033 (d) 1,100 1,108 Crown Castle International Corp. 13.250% due 11/15/2007 25 20 CSC Holdings, Inc. 8.125% due 07/15/2009 25 26 CSX Corp. 4.339% due 06/24/2002 (d) 32,100 32,122 7.900% due 05/01/2017 295 327 DaimlerChrysler North America Holding Corp. 3.885% due 01/18/2002 (d) 41,000 40,998 7.125% due 03/01/2002 46,500 47,126 3.830% due 03/22/2002 (d) 5,000 4,983 3.798% due 08/23/2002 (d) 37,710 37,726 3.270% due 09/16/2002 (d) 23,350 23,213 3.920% due 12/16/2002 (d) 99,100 99,660 7.750% due 05/27/2003 45,000 47,343 4.200% due 08/01/2003 (d) 5,700 5,649 4.270% due 08/21/2003 (d) 18,000 17,716 3.880% due 08/16/2004 (d) 76,600 75,125 Delta Air Lines Equipment Trust 9.230% due 07/02/2002 715 736 10.500% due 01/02/2007 6,627 7,869 10.370% due 01/02/2007 9,629 10,016 10.570% due 01/02/2007 15,881 16,231 9.550% due 01/02/2008 7,773 7,928 10.430% due 01/02/2011 3,755 3,430 10.140% due 08/14/2012 1,000 869 10.000% due 06/05/2013 10,828 9,483 Delta Air Lines, Inc. 6.650% due 03/15/2004 13,500 11,935 7.379% due 05/18/2010 9,794 10,147 7.570% due 05/18/2012 10,000 10,191 9.200% due 09/23/2014 6,000 4,986 10.500% due 04/30/2016 6,050 6,179 Duty Free International, Inc. 7.000% due 01/15/2004 175 182 Eastman Chemical Co. 6.375% due 01/15/2004 5,750 5,894 Echostar Communications Corp. 9.375% due 02/01/2009 25 25 Electric Lightwave, Inc. 6.050% due 05/15/2004 10,700 10,405 Eli Lilly & Co. 8.125% due 12/01/2001 500 504 6.250% due 03/15/2003 100 104 Elizabeth Arden, Inc. 11.750% due 02/01/2011 25 24 Enron Corp. 6.450% due 11/15/2001 5,275 5,294 8.000% due 08/15/2005 3,200 3,311 Federal Express Corp. 6.845% due 01/15/2019 805 761 Ferrellgas Partners LP 9.375% due 06/15/2006 25 25 Fisher Scientific International 7.125% due 12/15/2005 50 49 Flag Ltd. 8.250% due 01/30/2008 25 16 Ford Capital BV 9.500% due 06/01/2010 200 229 Ford Motor Co. 7.450% due 07/16/2031 295 279 Forest Oil Corp. 8.000% due 06/15/2008 25 25
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 93 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------ Fortune Brands, Inc. 8.500% due 10/01/2003 $ 500 $ 542 Fox Family Worldwide, Inc. 9.250% due 11/01/2007 25 26 Fox/Liberty Networks LLC 0.000% due 08/15/2007 50 48 Fred Meyer, Inc. 7.375% due 03/01/2005 38,100 40,830 General Motors Corp. 6.250% due 05/01/2005 300 307 Gillette Co. 6.250% due 08/15/2003 750 787 5.750% due 10/15/2005 1,500 1,546 Global Crossing Holding Ltd. 9.125% due 11/15/2006 25 11 Grupo Industrial Durango SA 12.625% due 08/01/2003 17 17 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 5,000 4,988 HCA - The Healthcare Co. 8.020% due 08/05/2002 9,000 9,320 4.610% due 09/19/2002 (d) 190,500 190,743 8.130% due 08/04/2003 7,300 7,665 6.910% due 06/15/2005 9,500 9,575 7.250% due 05/20/2008 1,450 1,438 6.630% due 07/15/2045 10,000 10,269 6.730% due 07/15/2045 22,560 23,177 HEALTHSOUTH Corp. 6.875% due 06/15/2005 1,500 1,476 10.750% due 10/01/2008 25 27 Heinz (H.J.) Co. 6.875% due 01/15/2003 100 104 Hilton Hotels Corp. 7.375% due 06/01/2002 1,000 1,007 HMH Properties, Inc. 7.875% due 08/01/2008 25 21 HNA Holdings, Inc. 6.125% due 02/01/2004 200 208 Honeywell, Inc. 6.750% due 03/15/2002 250 254 Houghton Mifflin Co. 5.990% due 12/03/2001 3,000 3,011 IBM Corp. 7.250% due 11/01/2002 625 651 7.875% due 12/01/2005 25 7 4.875% due 10/01/2006 15,000 14,929 ICI Wilmington, Inc. 6.750% due 09/15/2002 10,000 10,215 IMEXSA Export Trust 10.125% due 05/31/2003 5,676 5,610 Imperial Tobacco Overseas BV 7.125% due 04/01/2009 21,785 22,683 International Game Technology 7.875% due 05/15/2004 14,525 14,598 International Paper Co. 4.620% due 07/08/2002 (d) 50,200 50,264 Jack In The Box, Inc. 8.375% due 04/15/2008 25 25 Kerr-McGee Corp. 3.341% due 06/28/2004 (d) 85,100 84,901 6.875% due 09/15/2011 10,000 9,962 7.875% due 09/15/2031 25,000 25,136 Kinder Morgan, Inc. 6.450% due 11/30/2001 10,000 10,044 Kmart Corp. 9.875% due 06/15/2008 25 23 Kroger Co. 7.150% due 03/01/2003 13,000 13,616 4.310% due 08/16/2012 (d) 97,600 97,726 Mandalay Resort Group 6.750% due 07/15/2003 4,500 4,095 9.250% due 12/01/2005 25 23 Martin Marietta Corp. 6.500% due 04/15/2003 50 52 Mazda Manufacturing Corp. 10.500% due 07/01/2008 1,980 2,577 McLeodUSA, Inc. 0.000% due 03/01/2007 25 8 Mediacom Capital Corp. 8.500% due 04/15/2008 25 24 Meristar Hospitality Corp. 9.125% due 01/15/2011 25 20 MGM Grand, Inc. 9.750% due 06/01/2007 25 25 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 25 25 Nabisco, Inc. 6.700% due 06/15/2002 9,000 9,181 6.125% due 02/01/2033 15,000 15,398 News America Holdings, Inc. 8.625% due 02/01/2003 750 791 Nextel Communications, Inc. 9.375% due 11/15/2009 25 16 Norfolk Southern Corp. 6.950% due 05/01/2002 12,000 12,247 7.875% due 02/15/2004 50 54 Northwest Airlines, Inc. 8.970% due 01/02/2015 1,568 1,554 8.072% due 10/01/2019 398 410 Occidental Petroleum Corp. 8.500% due 11/09/2001 2,500 2,510 6.400% due 04/01/2003 17,710 18,275 Owens-Illinois, Inc. 7.350% due 05/15/2008 25 19 Park Place Entertainment Corp. 7.950% due 08/01/2003 18,500 18,779 Petroleos Mexicanos 7.185% due 07/15/2005 (d) 32,250 32,371 6.906% due 07/15/2005 (d) 94,500 94,854 8.850% due 09/15/2007 1,800 1,850 9.375% due 12/02/2008 39,650 41,434 9.500% due 09/15/2027 31,000 32,938 Philip Morris Cos., Inc. 7.500% due 01/15/2002 50 51 7.625% due 05/15/2002 8,300 8,493 6.800% due 12/01/2003 48,345 50,881 7.000% due 07/15/2005 15,125 16,062 6.950% due 06/01/2006 9,540 10,144 7.200% due 02/01/2007 34,000 36,443 Pioneer National Resources Co. 9.625% due 04/01/2010 50 54 Premium Asset Trust 3.895% due 09/08/2007 (d) 25,000 25,000 Procter & Gamble Co. 5.250% due 09/15/2003 35,900 37,111 Qwest Corp. 4.270% due 07/08/2002 (d) 21,100 21,129 7.000% due 08/03/2009 375 376 Racers 3.713% due 03/03/2003 (d) 282,400 282,985 4.960% due 04/01/2003 (d) 20,000 20,000 5.560% due 04/28/2003 (d) 45,000 46,103 3.800% due 09/15/2003 (d) 15,000 15,000 Raytheon Co. 4.630% due 03/01/2002 (d) 8,650 8,654 Rollins Truck Leasing Co. 8.250% due 05/01/2002 13,400 13,717 Safeway, Inc. 5.875% due 11/15/2001 43,060 43,195 7.000% due 09/15/2002 16,125 16,544 6.850% due 09/15/2004 250 267 Saks, Inc. 8.250% due 11/15/2008 25 18 Sara Lee Corp. 6.300% due 11/07/2005 500 517 SCL Terminal Aereo Santiago 6.950% due 07/01/2012 5,000 5,119 Scotia Pacific Co. LLC 7.710% due 01/20/2014 305 246
94 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Scotts Co. 8.625% due 01/15/2009 $ 25 $ 25 Sears, Roebuck & Co. 8.390% due 02/14/2002 240 244 6.250% due 01/15/2004 300 310 SmithKline Beecham Corp. 7.375% due 04/15/2005 150 164 SR Wind Ltd. 8.888% due 05/18/2005 (d) 12,000 11,960 9.388% due 05/18/2005 (d) 13,000 13,133 Stater Brothers Holdings 10.750% due 08/15/2006 25 25 Station Casinos, Inc. 8.875% due 12/01/2008 25 22 Sun Microsystems, Inc. 7.000% due 08/15/2002 200 204 Systems 2001 Asset Trust 7.156% due 12/15/2011 29,910 31,154 TCI Communications, Inc. 3.750% due 04/03/2002 (d) 19,300 19,357 3.810% due 03/11/2003 (d) 5,000 5,031 6.375% due 05/01/2003 3,280 3,389 8.650% due 09/15/2004 625 691 8.000% due 08/01/2005 450 492 Teleglobe, Inc. 7.200% due 07/20/2009 410 420 7.700% due 07/20/2009 255 249 Telewest Communications PLC 9.250% due 04/15/2009 50 18 Tenet Healthcare Corp. 7.875% due 01/15/2003 10,300 10,712 8.625% due 12/01/2003 6,200 6,634 8.125% due 12/01/2008 25 27 Texaco Capital, Inc. 8.500% due 02/15/2003 700 751 6.000% due 06/15/2005 400 419 Textron, Inc. 6.750% due 09/15/2002 225 231 Time Warner, Inc. 6.100% due 12/30/2001 45,875 46,115 9.625% due 05/01/2002 22,550 23,299 7.975% due 08/15/2004 15,032 16,474 10.150% due 05/01/2012 200 253 Times Mirror Co. 6.650% due 10/15/2001 300 300 Triad Hospitals, Inc. 11.000% due 05/15/2009 25 27 TRW, Inc. 6.625% due 06/01/2004 8,925 9,188 Tyco International Group SA 6.875% due 09/05/2002 3,175 3,255 6.125% due 11/01/2008 305 308 Union Pacific Corp. 5.780% due 10/15/2001 5,000 5,003 7.875% due 02/15/2002 14,055 14,273 5.426% due 07/01/2002 (d) 25,500 25,540 6.930% due 06/01/2003 1,000 1,046 6.120% due 02/01/2004 250 250 Unisys Corp. 9.210% due 01/21/2017 2,000 2,080 United Air Lines, Inc. 3.683% due 12/02/2002 (d) 16,619 16,687 9.200% due 03/22/2008 3,690 3,566 6.932% due 09/01/2001 (d) 10,500 9,917 10.360% due 11/13/2012 7,000 6,731 10.020% due 03/22/2014 6,925 7,067 10.850% due 07/05/2014 34,111 33,144 10.850% due 02/19/2015 2,100 2,155 10.125% due 03/22/2015 14,300 14,699 9.060% due 06/17/2015 5,000 5,170 United Technologies Corp. 7.125% due 11/15/2010 450 482 UnumProvident Corp. 7.625% due 03/01/2011 355 374 US Airways, Inc. 6.850% due 01/30/2018 141 129 UST, Inc. 7.250% due 06/01/2009 15,000 15,034 Viacom, Inc. 8.375% due 06/15/2002 2,800 2,895 6.625% due 05/15/2011 4,500 4,627 VoiceStream Wireless Corp. 10.375% due 11/15/2009 25 28 Wal-Mart Stores, Inc. 6.750% due 05/24/2002 170 174 6.500% due 06/01/2003 200 210 Walt Disney Co. 5.125% due 12/15/2003 500 512 Waste Management, Inc. 6.625% due 07/15/2002 13,153 13,309 6.500% due 12/15/2002 4,800 4,908 6.375% due 12/01/2003 200 206 6.500% due 05/15/2004 94,000 97,272 7.375% due 08/01/2010 525 552 Williams Communications Group, Inc. 10.700% due 10/01/2007 25 11 Winn-Dixie Stores, Inc. 8.875% due 04/01/2008 25 24 Witco Corp. 6.600% due 04/01/2003 100 102 ---------- 3,257,915 ========== Utilities 5.3% AES Corp. 9.500% due 06/01/2009 25 22 Alabama Power Co. 5.350% due 11/15/2003 1,600 1,643 Allegheny Energy Supply 6.325% due 05/01/2002 (d) 5,800 5,808 Allete, Inc. 4.610% due 10/20/2003 (d) 79,700 79,844 Amerada Hess Corp. 8.590% due 02/06/2002 35,000 35,921 American Tower Corp. 9.375% due 02/01/2009 25 24 Arizona Public Service Co. 4.290% due 11/15/2001 (d) 14,000 14,017 Ashland, Inc. 8.450% due 12/05/2001 3,000 3,029 4.540% due 03/07/2003 (d) 300 300 AT&T Canada, Inc. 0.000% due 11/01/2007 11,000 3,848 0.000% due 06/15/2008 6,030 2,051 AT&T Corp. 7.125% due 01/15/2002 275 277 Azurix Corp. 10.375% due 02/15/2007 25 25 Baltimore Gas & Electric 6.125% due 07/01/2003 150 156 Bell Atlantic Maryland, Inc. 8.000% due 10/15/2029 1,125 1,254 Bell Atlantic Virginia, Inc. 5.625% due 03/01/2007 500 498 BellSouth Telecommunications, Inc. 6.000% due 06/15/2002 10,000 10,195 6.250% due 05/15/2003 100 104 British Telecom PLC 4.445% due 12/15/2003 (d) 203,860 207,941 7.625% due 12/15/2005 6,800 7,357 8.125% due 12/15/2010 83,000 92,137 BRL Universal Equipment 8.875% due 02/15/2008 25 25 Calpine Corp. 7.750% due 04/15/2009 50 47 CE Electric Funding 6.853% due 12/30/2004 250 258 Central Maine Power Co. 7.430% due 08/25/2003 13,000 13,715 Central Power & Light Co. 4.676% due 11/23/2001 (d) 18,100 18,125
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 95 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Chesapeake Energy Corp. 8.125% due 04/01/2011 $ 25 $ 24 Cleveland Electric Illuminating Co. 9.500% due 05/15/2005 33,000 34,017 CMS Energy Corp. 8.375% due 07/01/2003 15,000 15,518 7.000% due 01/15/2005 41,325 41,368 7.500% due 01/15/2009 25 24 Cogentrix Energy, Inc. 8.750% due 10/15/2008 25 27 Columbia Energy Group 6.610% due 11/28/2002 5,000 5,157 Columbus Southern Power Co. 6.850% due 10/03/2005 10,000 10,464 Commonwealth Edison Co. 3.091% due 09/30/2002 (d) 10,900 10,911 6.625% due 07/15/2003 1,000 1,048 7.145% due 09/30/2003 (d) 22,700 22,708 9.875% due 06/15/2020 11,700 13,415 Conectiv, Inc. 4.210% due 06/13/2002 (d) 25,000 25,040 Consolidated Edison, Inc. 6.625% due 02/01/2002 100 101 3.950% due 06/15/2002 (d) 11,000 11,024 6.375% due 04/01/2003 1,000 1,037 Consolidated Natural Gas Co. 7.250% due 10/01/2004 43,750 46,998 Constellation Energy Group 4.270% due 04/04/2003 (d) 15,000 15,001 CSW Energy, Inc. 6.875% due 10/01/2001 2,000 2,000 Detroit Edison Co. 7.210% due 08/01/2002 1,000 1,035 4.360% due 07/15/2028 5,900 5,900 Deutsche Telekom AG 7.750% due 06/15/2005 97,100 103,791 8.000% due 06/15/2010 13,000 14,094 8.250% due 06/15/2030 50,000 52,962 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 20,000 20,109 7.600% due 07/15/2003 35,000 37,186 DTE Energy Co. 7.110% due 11/15/2038 90,750 94,283 El Paso Electric Co. 9.400% due 05/01/2011 7,455 8,447 El Paso Natural Gas Co. 7.750% due 01/15/2002 15,000 15,161 Entergy Arkansas, Inc. 7.000% due 03/01/2002 3,580 3,626 7.720% due 03/01/2003 1,300 1,363 Entergy Gulf States, Inc. 4.826% due 09/01/2004 (d) 6,400 6,406 Entergy Louisiana, Inc. 5.800% due 03/01/2002 16,500 16,633 7.740% due 07/01/2002 599 601 8.500% due 06/01/2003 3,000 3,202 Entergy Mississippi, Inc. 4.329% due 05/03/2004 (d) 31,000 31,048 Exelon Corp. 5.625% due 11/01/2001 22,350 22,389 Florida Power & Light 6.875% due 12/01/2005 4,000 4,307 France Telecom 5.149% due 03/14/2003 (d) 145,005 146,627 3.396% due 07/16/2003 (d) 138,700 138,787 7.750% due 03/01/2011 14,500 15,427 8.500% due 03/01/2031 50,000 53,674 Georgia Power Co. 2.664% due 02/22/2002 (d) 15,000 15,006 GTE California, Inc. 5.500% due 01/15/2009 100 98 GTE South, Inc. 7.250% due 08/01/2002 150 155 Houston Lighting & Power Co. 8.750% due 03/01/2022 10,000 10,372 Indiana Bell Telephone Co., Inc. 5.500% due 04/01/2007 (d) 500 489 Indiana Michigan Power Co. 4.088% due 09/03/20(d) 7,800 7,818 Indianapolis Power & Light Co. 7.375% due 08/01/2007 225 240 Kinder Morgan, Inc. 6.450% due 03/01/2003 240 248 Korea Electric Power Corp. 7.000% due 10/01/2002 380 389 6.375% due 12/01/2003 220 229 LIN Television Corp. 8.000% due 01/15/2008 25 24 Mirant Corp. 7.900% due 07/15/2009 175 181 Nevada Power Co. 6.200% due 04/15/2004 20,000 20,014 New England Telephone & Telegraph Co. 6.250% due 03/15/2003 50 52 6.375% due 09/01/2008 1,350 1,345 New York Telephone Co. 6.250% due 02/15/2004 150 157 6.000% due 04/15/2008 45 46 Niagara Mohawk Power Co. 7.250% due 10/01/2002 24,783 25,509 7.375% due 07/01/2003 39,162 41,063 7.375% due 08/01/2003 1,645 1,736 Noram Energy Corp. 6.375% due 11/01/2003 22,250 23,270 Nortel Networks Corp. 6.875% due 10/01/2002 200 193 NRG Energy, Inc. 8.000% due 11/01/2003 6,000 6,369 NRG Northeast Generating LLC 8.065% due 12/15/2004 352 367 Nuevo Energy Co. 8.875% due 06/01/2008 25 25 Ohio Bell Telephone Co. 5.375% due 03/01/2007 950 928 Ohio Power Co. 7.000% due 07/01/2004 24,000 25,324 Oneok, Inc. 5.068% due 04/24/2002 (d) 8,000 8,012 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(e) 33,700 28,982 5.875% due 10/01/2005 (e) 100 94 7.250% due 08/01/2026 (e) 10,000 9,050 Pacific Northwest Bell Telephone 4.375% due 09/01/2002 50 50 Portland General Electric Co. 7.660% due 01/14/2002 5,000 5,064 PP&L, Inc. 6.550% due 03/01/2006 500 522 Progress Energy, Inc. 7.100% due 03/01/2011 350 375 PSEG Energy Holdings, Inc. 9.125% due 02/10/2004 120 128 PSEG Power LLC 8.625% due 04/15/2031 210 238 Public Service Co. of Colorado 6.000% due 04/15/2003 750 775 Public Service Electric & Gas Co. 6.125% due 08/01/2002 1,000 1,018 6.250% due 01/01/2007 1,500 1,528 Ras Laffan Liquid Natural Gas 8.294% due 03/15/2014 145 153 RCN Corp. 10.125% due 01/15/2010 18 6 Scana Corp. 4.150% due 02/08/2002 (d) 13,900 13,907 4.420% due 07/15/2002 (d) 40,900 40,944
96 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- Sierra Pacific Resources 5.478% due 04/20/2002 (d) $ 4,500 $ 4,458 5.428% due 04/20/2003 (d) 4,000 3,877 Southern California Edison Co. 6.514% due 05/01/2002 (d) 24,000 20,760 6.500% due 06/01/2049 200 170 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 149,200 149,385 6.500% due 11/15/2001 14,365 14,422 7.625% due 06/10/2002 97,361 100,309 4.268% due 06/10/2002 (d) 14,400 14,438 2.953% due 06/24/2002 (d) 74,500 74,583 8.125% due 07/15/2002 10,378 10,707 6.125% due 11/15/2008 390 380 Telekomunikacja Polska SA 7.125% due 12/10/2003 12,200 12,745 7.750% due 12/10/2008 7,895 8,159 Texas Utilities Corp. 5.940% due 10/15/2001 6,250 6,261 6.500% due 08/16/2002 2,600 2,658 6.750% due 03/01/2003 150 155 3.750% due 06/15/2003 (d) 8,000 8,004 Toledo Edison Co. 8.180% due 07/30/2002 1,400 1,450 8.700% due 09/01/2002 24,500 25,263 7.850% due 03/31/2003 7,000 7,300 7.875% due 08/01/2004 500 544 TXU Eastern Funding Co. 6.150% due 05/15/2002 64,800 65,772 6.450% due 05/15/2005 15,270 15,686 Union Electric Co. 8.000% due 12/15/2022 1,000 1,020 Vodafone Group PLC 3.310% due 12/19/2001 (d) 27,800 27,840 7.750% due 02/15/2010 500 548 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 37,600 37,652 6.200% due 08/01/2002 5,000 5,083 7.625% due 07/15/2019 85 83 Wilmington Trust Co. - Tucson Electric 10.732% due 01/01/2013 991 1,126 WorldCom, Inc. 4.302% due 11/26/2001 (d) 10,300 10,311 7.375% due 01/15/2003 21,150 21,885 6.125% due 04/15/2012 39,360 39,901 8.250% due 05/15/2031 310 312 Xcel Energy, Inc. 7.000% due 12/01/2010 130 137 ---------- 2,537,438 ---------- Total Corporate Bonds & Notes 16,002,980 (Cost $15,896,786) ========== MUNICIPAL BONDS & NOTES 0.7% Alabama 0.0% Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-323 7.620% due 02/01/2029 (d) 4,500 4,438 Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-352 7.992% due 02/01/2036 (d) 625 617 Jefferson County, Alabama Sewer Revenue Bonds, (FGIC Insured), Series 2001 6.940% due 02/01/2039 5,500 5,253 Montgomery Alabama Special Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.410% due 11/15/2029 1,000 913 ---------- 11,221 ========== California 0.0% California State Department of Water Resources Center Valley Project Revenue Bonds, Series 2000 6.030% due 12/01/2029 2,500 2,466 Fairfield California Redevelopment Agency Tax Allocation Bonds, Series 1997 7.700% due 06/01/2002 5 5 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 9,000 2,574 0.000% due 01/01/2030 3,590 830 Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Bonds, (AMBAC Insured), Series 2000 7.870% due 07/01/2023 3,500 3,526 Modesto California Financing Authority Revenue Bonds, (AMBAC Insured), Series 1998 5.000% due 09/01/2029 300 300 Orange County School Board, Certificate of Participation, (MBIA Insured), Series 2000 I7.370% due 08/01/2024 3,500 3,395 San Diego Public Facilities Financing Authority Revenue Bonds, (FGIC Insured), Series 1999 5.000% due 05/15/2029 1,000 1,001 San Francisco, California City & County Common International Airport Revenue Bonds, (MBIA Insured), Series 2000 4.840% due 05/01/2028 3,350 2,822 ---------- 16,919 ========== Colorado 0.0% Denver Colorado City & County Airport Revenue Bonds, Series 2000 5.980% due 11/15/2025 2,500 2,375 ---------- Florida 0.0% Broward County Florida Airport System Revenue Bonds, (AMBAC Insured), Series 2000 6.870% due 10/01/2023 1,328 1,128 Florida State Board of Education General Obligation Bonds, (FGIC Insured), Series 2000 6.370% due 06/01/2023 3,500 2,874 Florida State Governmental Utility Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.370% due 10/01/2029 (d) 6,453 6,186 Florida State Turnpike Authority Revenue Bonds, (FGIC Insured), Series 2000 4.440% due 07/01/2027 6,323 5,034 Lakeland Florida Electric & Water Revenue Bonds, (MBIA Insured), Series 2000 5.000% due 10/01/2028 2,675 2,575 Modesto Public Financing Authority Lease Revenue Bonds, (AMBAC Insured), Series 2000 7.770% due 09/01/2029 2,500 2,500 ---------- 20,297 ========== Georgia 0.1% Atlanta, Georgia Water & Wastewater Revenue Bonds, (FGIC Insured), Series 2000 5.440% due 11/01/2036 22,300 20,615 Georgia Local Government Certificate Of Participation, (MBIA Insured), Series 2000 5.810% due 06/01/2028 (l) 9,950 8,657 ----------
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 97 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------------------------- 29,272 --------- Hawaii 0.0% Honolulu Hawaii City & County Wastewater System Revenue Bonds, (FGIC Insured), Series 2000 6.870% due 07/01/2028 $ 7,200 $ 6,030 --------- Illinois 0.1% Chicago, Illinois Board Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2027 15,000 3,619 Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 12,000 4,350 Chicago, Illinois General Obligation Bonds, (FGIC Insured), Series 2000 4,750 4,964 5.500% due 01/01/2040 3,000 3,071 Chicago, Illinois Residual General Obligation Bonds, (MBIA Insured), Series 2000 7.620% due 01/01/2028 (d) 3,100 2,972 Chicago, Illinois Sales Tax Revenue Bonds, (FGIC Insured), Series 1999 5.375% due 01/01/2030 15,000 15,173 Cook County Illinois General Obligation Bonds, (FGIC Insured), Series 2000 5.000% due 11/15/2028 3,220 2,950 --------- 37,099 ========= Massachusetts 0.2% Boston Massachussetts Water & Sewer Common Revenue Bonds, (FGIC Insured), Series 2000 5.510% due 11/01/2028 3,500 3,325 E-470 Public Highway Residual 144a Revenue Bonds, (MBIA Insured), Series 2000 7.370% due 09/01/2021 2,590 2,571 Massachusetts Bay Transportation Authority Revenue Bonds, (MBIA Insured), Series 2000 6.920% due 03/01/2021 5,150 4,706 Massachusetts State Turnpike Authority Metro Highway System Revenue Bonds, (MBIA Insured), Series 2001 5.000% due 01/01/2037 (d) 3,000 2,779 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 7.570% due 01/01/2039 (d) 10,250 9,468 Massachusetts State Turnpike Authority Revenue Bonds, (MBIA Insured), Series 2000 7.540% due 01/01/2037 21,950 20,304 Massachusetts State Water Reserve Authority Revenue Bonds, (FSA Insured), Series 2000 6.920% due 08/01/2037 (d) 500 428 Southbridge Associations Limited Liability Corporation Massachussetts Revenue Bonds, (MBIA-Insured), Series 2000 7.590% due 02/01/2022 31,105 33,788 --------- 77,369 ========= Mississippi 0.0% Mississippi Development Bank Special Obligation Bonds, (AMBAC Insured), Series 2000 7.500% due 07/01/2024 2,500 2,459 --------- Nevada 0.1% Clark County, Nevada General Obligation Ltd. Bonds, |(MBIA Insured), Series 2000 8.440% due 07/01/2030 (d) 20,913 21,671 Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 6.690% due 05/15/2028 (d) 10,000 9,363 --------- 31,034 ========= New Jersey 0.0% Essex County New Jersey Important Authority Lease Revenue Bonds, (FGIC Insured), Series 2000 7.090% due 10/01/2030 250 290 Mercer County New Jersey Important Authority Revenue Bonds, Series 2000 7.140% due 01/01/2018 3,103 3,793 New Jersey Health Care Facilities Financing Authority Revenue Bonds, (MBIA Insured), Series 2000 5.130% due 07/01/2028 2,000 1,780 --------- 5,863 ========= New York 0.1% Long Island Power Authority New York Electric System Revenue Bonds, (FSA Insured), Series 2001 7.040% due 12/01/2022 (d) 4,000 4,000 Long Island Power Authority Revenue Bonds, (FSA Insured), Series 2000 7.950% due 12/01/2022 4,500 4,494 Long Island Power Authority Revenue Bonds (MBIA Insured), Series 2000 8.200% due 12/01/2026 5,500 5,569 New York City Municipal Bonds, Series 1997 3.898% due 08/01/2002 (d) 1,937 1,937 New York City Municipal Water Finance Authority Revenue Bonds, (MBIA-IBC Insured), Series 2000 6.940% due 06/15/2025 6,565 5,777 New York City, New York General Obligation Bonds, Series 1997-D 4.545% due 08/01/2002 (d) 2,883 2,883 New York City, New York Municipal Water & Sewer System Financial Authority Revenue Bonds, (FSA Insured), Series 2000 5.510% due 06/15/2029 3,000 2,831 (d) New York City, New York Transitional Financial Authority Revenue Bonds, Series 2000 6.510% due 11/01/2024 (d) 1,250 1,209 New York City, New York Transitional Financing Authority Revenue Bonds, (FGIC-TCRS Insured), Series 2000 4.790% due 11/15/2023 2,500 2,169 New York State Dormitory Authority Lease Revenue Bonds, (MBIA Insured), Series 2001 4.750% due 01/15/2029 (d) 3,650 3,121 New York State Dormitory Authority Revenue Bonds, (MBIA Insured), Series 2000 7.570% due 02/15/2023 2,550 2,458 Niagara Frontier Airport Revenue Bonds, (MBIA Insured), Series 1999 5.625% due 04/01/2029 1,000 1,016 Port Authority New York & New Jersey Special Obligation Revenue Bonds, (MBIA Insured), Series 2000 7.600% due 12/01/2022 3,250 3,453 --------- 40,917 ========= North Dakota 0.0% Mercer County Improvement Authority Revenue Bonds, Series 1978 5.800% due 01/01/2018 55 61 --------- Ohio 0.0% Hamilton County Ohio Sales Tax Revenue Bonds, (MBIA Insured), Series 2000 5.720% due 12/01/2027 3,250 3,120 ---------
98 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes 98
Principal Amount Value (000s) (000s) - --------------------------------------------------------------------------------------------------- Pennsylvania 0.0% Allegheny County Hospital Development Authority Revenue Bonds, (MBIA Insured), Series 2000 A 6.500% due 11/15/2030 $ 1,000 $ 1,126 Allegheny County Pennsylvania Port Authority SPL Revenue Bonds, Series 2001 5.000% due 03/01/2025 1,000 981 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2000 6.870% due 04/01/2027 (d) 3,150 2,681 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2001 0.000% due 04/01/2027 500 426 Pittsburgh & Allegheny County Revenue Bonds, (AMBAC Insured), Series 1999 5.000% due 02/01/2029 500 487 ---------- 5,701 ========== Texas 0.1% Dallas-Fort Worth International Airport Revenue Bonds, (FGIC Insured), Series 2000 6.000% due 11/01/2028 4,000 4,200 Denton County, Texas Utility System Revenue Bonds, (MBIA Insured), Series 2000 5.680% due 12/01/2029 (d) 3,000 2,906 Grapevine-Colleyville Independent General Obligation Bonds, (PSF-GTD Insured), Series 2000 6.000% due 08/15/2029 10,500 8,754 Houston Independent School District General Obligation Bonds, (PSF Insured), Series 1999 4.750% due 02/15/2026 10,500 9,673 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2000 5.290% due 07/01/2025 2,750 2,506 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2001 7.570% due 07/01/2028 (d) 10,000 8,525 Houston, Texas Independent School District (PSF-GTD Insured), Series 2000 4.790% due 02/15/2026 15,088 12,787 Houston, Texas Water & Sewer System Revenue Bonds, (FGIC Insured), Series 2001 5.250% due 12/01/2030 (d) 500 500 North Texas Towey Authority Dallas North Towey System Revenue Bonds, (FGIC Insured), Series 1998 4.750% due 01/01/2029 4,000 3,665 ---------- 53,516 ========== Utah 0.0% Weber County, Utah Hospital Revenue Bonds, Series 1999 5.000% due 08/15/2030 500 472 ---------- Washington, DC 0.0% Washington D.C. Convention Center Authority Dedicated Tax Revenue Bonds, (AMBAC Insured), Series 2000 5.030% due 10/01/2028 6,500 5,444 ---------- Total Municipal Bonds & Notes 349,169 ========== (Cost $313,349) U.S. GOVERNMENT AGENCIES 0.6% A.I.D. Housing Guarantee - Peru 9.980% due 08/01/2008 770 804 Fannie Mae 5.375% due 03/15/2002 750 760 4.700% due 05/23/2003 815 827 4.750% due 05/23/2003 1,000 1,003 5.450% due 02/12/2004 2,200 2,224 6.500% due 08/15/2004 550 593 6.560% due 12/10/2007 190 197 5.870% due 01/28/2009 200 201 7.250% due 01/15/2010 900 1,032 7.125% due 06/15/2010 21,210 24,135 6.250% due 02/01/2011 1,200 1,264 6.000% due 05/15/2011 2,800 2,955 6.875% due 09/10/2012 1,000 1,085 6.930% due 09/17/2012 1,000 1,095 6.875% due 09/24/2012 2,000 2,183 7.250% due 05/15/2030 125 144 6.625% due 11/15/2030 610 652 Federal Farm Credit Bank 6.400% due 01/16/2002 100 101 6.060% due 05/28/2013 100 105 Federal Home Loan Bank 4.875% due 01/22/2002 115 116 5.805% due 02/15/2002 (d) 17,000 17,083 6.880% due 08/15/2003 1,000 1,068 5.060% due 10/16/2003 1,700 1,702 5.920% due 08/25/2008 500 530 6.026% due 01/22/2009 275 278 5.920% due 03/03/2009 500 529 6.500% due 08/14/2009 1,200 1,314 0.000% due 09/10/2018 15,000 4,577 0.000% due 12/21/2018 4,250 1,313 Freddie Mac 5.500% due 05/15/2002 435 443 4.500% due 03/15/2004 70 65 5.250% due 01/15/2006 165 156 6.000% due 02/21/2006 1,000 1,043 9.000% due 09/15/2008 18 19 10.250% due 03/15/2009 1 1 6.450% due 04/29/2009 100 102 5.750% due 09/15/2010 165 159 SallieMae 6.896% due 10/25/2004 (d) 7,784 7,783 Small Business Administration 7.449% due 08/01/2010 121,780 133,040 7.700% due 07/01/2016 672 729 6.950% due 11/01/2016 4,004 4,231 6.700% due 12/01/2016 15,208 15,922 7.150% due 03/01/2017 7,321 7,795 7.190% due 12/01/2019 470 501 7.630% due 06/01/2020 23,128 25,127 6.900% due 12/01/2020 9,858 10,345 6.340% due 03/01/2021 32,863 33,462 Tennessee Valley Authority 0.000% due 04/15/2042 6,055 3,089 ---------- Total U.S. Government Agencies 313,882 ========== (Cost $297,298) U.S. TREASURY OBLIGATIONS 7.3% Treasury Inflation Protected Securities (i)(j) 3.625% due 07/15/2002 (b) 1,093,385 1,112,521 3.375% due 01/15/2007 (b) 312,510 321,593 3.625% due 01/15/2008 922,587 957,472 3.875% due 01/15/2009 546,784 575,319 3.500% due 01/15/2011 57,015 58,654 3.625% due 04/15/2028 250,865 257,685 3.875% due 04/15/2029 159,188 170,978 U.S. Treasury Bonds 8.125% due 08/15/2021 900 1,193 8.000% due 11/15/2021 5,000 6,560 6.000% due 02/15/2026 10,100 10,778 5.500% due 08/15/2028 32,900 32,900 6.250% due 05/15/2030 1,215 1,353
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 99 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited)
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------ U.S. Treasury Notes 3.875% due 06/30/2003 $ 195 $ 199 5.250% due 05/15/2004 1,310 1,380 7.250% due 05/15/2004 990 1,092 4.625% due 05/15/2006 3,625 3,754 5.500% due 05/15/2009 1,150 1,229 6.500% due 02/15/2010 700 795 U.S. Treasury Strips 0.000% due 11/15/2001 43 43 0.000% due 05/15/2008 750 556 0.000% due 02/15/2012 375 222 0.000% due 11/15/2021 200 63 ---------- Total U.S. Treasury Obligations 3,516,339 ========== (Cost $3,421,861) MORTGAGE-BACKED SECURITIES 73.5% Collateralized Mortgage Obligations 23.8% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 3,765 3,873 6.750% due 11/25/2028 600 611 6.500% due 06/25/2029 7,093 7,151 American Southwest Financial Securities Corp. 7.400% due 11/17/2004 17,331 18,037 12.500% due 04/01/2015 208 210 7.248% due 11/25/2038 58,229 58,658 Amresco Commercial Mortgage Funding I 7.180% due 06/17/2029 55 59 Aurora Loan Services 4.493% due 05/25/2030 (d) 29,829 29,868 Bank of America Funding Corp. 6.750% due 11/20/2032 17,000 17,537 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 9,592 9,792 6.250% due 08/25/2028 25,000 24,811 6.500% due 05/25/2029 35,243 35,278 7.250% due 10/25/2029 11,015 11,462 7.500% due 04/25/2030 1,862 1,886 7.500% due 01/25/2031 98,600 100,365 7.500% due 02/25/2031 8,804 8,995 7.000% due 03/25/2032 53,400 55,566 Bear Stearns Adjustable Rate Mortgage Trust 7.275% due 11/25/2030 (d) 114,401 116,538 7.491% due 12/25/2030 (d) 103,109 104,540 7.482% due 12/25/2030 (d) 86,375 87,740 6.928% due 02/25/2031 (d) 27,499 27,641 7.013% due 02/25/2031 (d) 17,412 17,502 6.583% due 08/25/2031 (d) 15,900 16,152 6.688% due 09/25/2031 (d) 67,954 70,010 6.792% due 01/25/2032 (d) 62,171 64,049 Bear Stearns Commercial Mortgage Securities, Inc. 5.910% due 05/14/2008 126 131 7.000% due 05/20/2030 45,308 48,519 Bear Stearns Mortgage Securities, Inc. 4.555% due 10/25/2023 (d) 2,171 2,307 10.000% due 08/25/2024 5,000 5,820 7.000% due 03/25/2027 7,000 7,123 8.125% due 09/25/2027 2,422 2,519 7.000% due 02/25/2028 10,000 10,415 7.421% due 06/25/2030 (d) 5,196 5,155 Capco America Securitization Corp. 5.860% due 12/15/2007 43 45 CDC Depositor Trust I 3.918% due 01/15/2003 (d) 6,611 6,611 Cendant Mortgage Corp. 7.250% due 04/18/2013 456 462 6.506% due 11/18/2028 (d) 6,317 6,066 6.502% due 11/18/2028 (d) 13,308 13,379 Chase Commercial Mortgage Securities Corp. 7.631% due 07/15/2032 275 307 Chase Mortgage Finance Corp. 7.000% due 07/25/2024 1,132 1,130 7.000% due 08/25/2024 2,562 2,614 6.750% due 03/25/2025 12,109 12,079 8.257% due 04/25/2025 (d) 3,258 3,321 6.750% due 10/25/2028 39,000 40,325 6.350% due 07/25/2029 54,323 55,801 7.750% due 08/25/2030 10,214 10,738 Chemical Mortgage Securities, Inc. 7.250% due 01/25/2026 10,868 11,268 Citicorp Mortgage Securities, Inc. 7.873% due 10/25/2022 (d) 7,844 8,030 6.250% due 04/25/2024 11,796 11,627 6.250% due 05/25/2024 274 274 7.250% due 10/25/2027 20,462 21,128 6.500% due 11/25/2027 5,354 5,349 6.750% due 09/25/2028 9,282 9,628 7.000% due 09/25/2030 7,419 7,643 7.500% due 10/25/2030 11,873 12,531 7.000% due 02/25/2031 36,610 38,095 CMC Securities Corp. II 7.779% due 04/25/2025 (d) 86 88 CMC Securities Corp. III 6.750% due 05/25/2028 5,000 5,171 CMC Securities Corp. IV 7.250% due 11/25/2027 10,378 10,862 Collateralized Mortgage Obligation Trust 8.000% due 09/20/2021 4,959 5,095 Collateralized Mortgage Obligation Trust I 10.200% due 02/01/2016 1,747 1,797 Collateralized Mortgage Securities Corp. 11.450% due 11/01/2015 (d) 103 104 8.750% due 04/20/2019 309 323 8.800% due 04/20/2019 216 226 COMM 6.145% due 02/15/2008 13,742 14,341 4.300% due 12/16/2011 (d) 9,000 9,016 Commercial Mortgage Acceptance Corp. 7.030% due 05/15/2009 75 81 Commercial Mortgage Asset Trust 7.546% due 01/17/2010 500 555 6.640% due 09/17/2010 455 485 6.975% due 04/17/2013 145 156 Countrywide Alternative Loan Trust 8.000% due 07/25/2030 12,088 12,318 Countrywide Funding Corp. 6.625% due 02/25/2024 33,827 35,032 6.875% due 03/25/2024 9,080 9,382 6.750% due 03/25/2024 12,967 12,829 Countrywide Home Loans 6.500% due 07/25/2013 5,676 5,903 6.250% due 08/25/2014 3,625 3,700 6.750% due 11/25/2025 25,567 24,990 7.500% due 04/25/2027 1,514 1,578 7.500% due 06/25/2027 11,980 12,427 7.500% due 09/25/2027 20,000 20,434 7.250% due 12/25/2027 6,224 6,162 7.250% due 02/25/2028 57,846 59,774 6.750% due 06/25/2028 15,103 15,406 6.750% due 08/25/2028 2,511 2,507 6.750% due 10/25/2028 15,567 15,505 6.750% due 11/25/2028 5,000 5,105 6.500% due 01/25/2029 24,978 25,485 6.500% due 03/25/2029 21,744 21,958 6.050% due 04/25/2029 2,654 2,693 7.250% due 08/25/2029 7,200 7,357 7.750% due 04/25/2030 24,455 24,676 7.750% due 10/25/2030 46,309 47,927 7.750% due 01/25/2031 36,577 37,352 7.500% due 01/25/2031 1,051 1,093 6.099% due 07/19/2031 (d) 21,750 22,338 Credit-Based Asset Servicing and Securitization 4.215% due 09/25/2029 (d) 914 918 4.125% due 02/25/2030 (d) 40,811 40,870
100 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------ Crusade Global Trust 3.900% due 02/15/2030 (d) $ 74,167 $ 74,387 CS First Boston Mortgage Securities Corp. 6.520% due 07/17/2007 50 53 6.750% due 12/27/2028 13,409 13,396 6.960% due 06/20/2029 491 505 7.500% due 03/25/2031 39,770 39,979 4.130% due 06/25/2031 (d) 32,077 32,170 4.180% due 06/25/2031 (d) 68,822 69,113 7.290% due 09/15/2041 335 367 Dime Savings 7.317% due 11/01/2018 (d) 114 111 DLJ Commercial Mortgage Corp. 4.235% due 09/05/2001 (d) 426 427 4.095% due 05/05/2003 (d) 28,996 28,996 4.334% due 07/05/2008 (d) 1,314 1,320 7.300% due 06/10/2032 515 565 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 4,000 4,335 6.446% due 08/01/2021 (d) 3,269 3,316 7.793% due 09/01/2021 (d) 36 36 8.000% due 03/25/2022 96 96 8.230% due 12/25/2022 (d) 949 950 7.067% due 03/25/2023 171 173 8.938% due 03/25/2024 (d) 202 205 8.603% due 05/25/2024 (d) 69 71 9.234% due 10/25/2024 (d) 328 361 4.125% due 06/25/2026 (d) 1,146 1,151 6.850% due 12/17/2027 6,605 7,008 Drexel Burnham Lambert CMO Trust 9.500% due 11/20/2017 463 483 DVI Business Credit Receivable Corp. III 4.300% due 10/15/2003 (d) 3,850 3,871 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 26,293 26,737 Fannie Mae 7.500% due 05/25/2005 6,700 6,922 7.500% due 02/25/2006 375 383 7.000% due 05/25/2006 211 216 6.500% due 07/25/2006 16 17 8.000% due 11/25/2006 4 4 6.350% due 12/25/2006 3 3 7.500% due 05/25/2007 656 670 6.250% due 07/25/2007 26 26 6.000% due 07/25/2007 300 305 6.740% due 08/25/2007 145 155 6.270% due 09/25/2007 3,000 3,131 7.000% due 10/25/2007 200 211 6.500% due 05/25/2008 500 520 6.000% due 08/25/2008 27 27 10.500% due 08/25/2008 7,146 7,842 9.483% due 09/25/2008 (d) 1,606 1,602 6.500% due 11/18/2008 1,022 1,024 6.500% due 02/25/2009 51 53 4.000% due 02/25/2009 24 24 6.000% due 02/25/2009 1,400 1,453 6.500% due 03/25/2009 95 99 6.875% due 06/25/2009 60 61 6.500% due 08/25/2010 500 518 6.750% due 11/25/2010 307 308 6.500% due 04/25/2013 75 78 6.000% due 03/18/2015 3,377 3,376 6.450% due 09/25/2016 1,272 1,279 8.000% due 12/25/2016 146 152 6.750% due 07/18/2017 2,240 2,251 11.000% due 11/25/2017 856 951 9.250% due 04/25/2018 123 137 9.300% due 05/25/2018 530 569 4.144% due 06/25/2018 (d) 2 2 9.500% due 06/25/2018 445 481 9.500% due 11/25/2018 4,152 4,265 6.000% due 02/25/2019 1,647 1,659 6.500% due 03/25/2019 605 611 9.500% due 06/25/2019 1,110 1,195 9.300% due 08/25/2019 56 60 6.350% due 08/25/2019 32 32 9.000% due 12/25/2019 4,701 5,089 7.500% due 12/25/2019 5,722 6,073 7.000% due 03/25/2020 1,081 1,138 7.000% due 04/25/2020 18 18 7.500% due 05/25/2020 2,421 2,519 5.000% due 09/25/2020 200 201 7.000% due 09/25/2020 4,138 4,143 9.000% due 09/25/2020 2,552 2,725 8.000% due 12/25/2020 28,173 29,655 8.750% due 01/25/2021 2,529 2,743 9.000% due 01/25/2021 3,869 4,254 5.750% due 02/18/2021 100 101 9.000% due 03/25/2021 354 385 7.000% due 05/25/2021 300 308 6.500% due 06/25/2021 5,887 6,056 6.250% due 06/25/2021 658 665 8.000% due 07/25/2021 11,070 11,828 8.500% due 09/25/2021 4,024 4,351 7.000% due 10/25/2021 8,364 8,575 8.000% due 10/25/2021 17,422 17,739 7.000% due 11/25/2021 14,934 15,189 6.000% due 12/25/2021 11 11 5.000% due 12/25/2021 500 500 4.000% due 01/25/2022 126 127 7.750% due 01/25/2022 16,686 17,814 8.000% due 01/25/2022 18,871 19,228 8.000% due 03/25/2022 22 22 7.000% due 04/25/2022 17,091 17,525 5.000% due 04/25/2022 48 49 7.000% due 04/25/2022 145 157 7.500% due 05/25/2022 2,000 2,143 7.375% due 05/25/2022 9,870 10,438 8.000% due 06/25/2022 4,154 4,419 7.000% due 06/25/2022 1,014 1,062 7.000% due 07/25/2022 4,540 4,750 8.000% due 07/25/2022 56,546 59,732 7.800% due 10/25/2022 2,570 2,733 6.500% due 10/25/2022 4,272 4,393 7.000% due 03/25/2023 30,979 32,966 6.500% due 03/25/2023 2,000 2,061 6.500% due 05/18/2023 6,158 6,200 6.900% due 05/25/2023 169 172 7.000% due 06/25/2023 5,606 5,642 6.000% due 08/25/2023 14,131 12,666 6.500% due 08/25/2023 6 6 6.500% due 09/18/2023 559 566 1.000% due 09/25/2023 135 127 6.750% due 09/25/2023 4,224 4,181 7.000% due 09/25/2023 2,259 2,266 6.750% due 10/25/2023 635 630 6.500% due 10/25/2023 8,895 8,959 7.500% due 10/25/2023 27 28 6.500% due 11/25/2023 20 20 6.500% due 12/25/2023 165 168 5.000% due 01/25/2024 419 427 6.500% due 01/25/2024 48,562 49,126 6.500% due 02/25/2024 5,150 5,274 7.000% due 03/25/2024 10,267 10,658 7.500% due 06/20/2024 53 54 6.500% due 08/17/2024 17,000 17,535 6.000% due 12/25/2024 1,703 1,729 7.000% due 02/18/2025 37 37 6.600% due 05/18/2025 219 228 7.500% due 11/17/2025 289 305 7.500% due 12/25/2025 360 374 7.000% due 02/15/2026 132 136 6.950% due 03/25/2026 156 156 7.000% due 07/18/2026 450 458 6.500% due 09/18/2026 120 124 7.000% due 12/18/2026 17,287 17,912 6.000% due 12/25/2026 170 173 8.500% due 02/17/2027 1,474 1,641
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 101 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 6.000% due 03/25/2027 $ 320 $ 325 5.000% due 04/18/2027 1,000 989 6.000% due 05/17/2027 5,470 5,336 7.000% due 06/18/2027 684 719 7.000% due 07/18/2027 460 485 6.500% due 07/18/2027 184 190 7.500% due 08/20/2027 2,697 2,882 7.000% due 12/20/2027 13,188 13,634 4.481% due 04/18/2028 (d) 2,404 2,412 6.500% due 05/20/2028 1,228 1,159 6.500% due 06/25/2028 4,700 4,843 6.500% due 07/18/2028 67,412 67,707 6.000% due 07/18/2028 9,182 8,666 9.113% due 09/25/2028 14,608 16,444 6.500% due 10/25/2028 40,000 40,125 6.250% due 02/25/2029 3,500 3,482 7.500% due 04/25/2029 1,139 1,188 6.000% due 04/25/2029 11,362 9,952 7.500% due 06/19/2030 260 270 4.293% due 08/25/2030 (d) 55,474 55,609 5.506% due 10/18/2030 (d) 41,183 41,276 6.500% due 03/10/2031 54,031 52,073 7.500% due 07/25/2031 1,072 1,111 6.500% due 07/25/2031 12,065 11,228 6.750% due 08/21/2031 141,441 144,702 6.750% due 08/25/2031 148,672 145,901 4.210% due 09/25/2031 18,210 18,245 6.500% due 10/25/2031 10,057 9,693 6.500% due 10/30/2031 20,388 19,566 6.390% due 05/25/2036 32,688 30,773 6.500% due 06/17/2038 5,000 5,195 6.300% due 10/17/2038 16,303 15,677 Federal Housing Administration 6.750% due 10/30/2031 154,200 156,826 FFCA Secured Lending Corp. 7.850% due 10/18/2017 29,600 31,234 First Commonwealth Savings & Loan 10.375% due 04/01/2005 14 15 First Horizon Asset Securities, Inc. 7.000% due 02/25/2031 20,818 21,663 First Interstate Bancorp 8.875% due 01/01/2009 126 136 9.125% due 01/01/2009 (d) 8 8 First Nationwide Trust 6.500% due 03/25/2029 4,400 4,459 7.750% due 07/25/2030 6,000 6,263 First Union Residential Securitization,Inc. 7.000% due 04/25/2025 348 362 6.750% due 08/25/2028 9,048 9,152 First Union-Lehman Brothers Commercial Mortgage 7.150% due 02/18/2004 21 21 Freddie Mac 8.000% due 03/15/2002 36 36 7.000% due 10/15/2003 2,424 2,485 6.750% due 10/15/2003 9,124 9,238 7.000% due 12/15/2003 64 65 6.500% due 04/15/2005 403 405 10.150% due 04/15/2006 4 4 6.500% due 07/15/2006 977 992 6.500% due 08/15/2006 184 186 7.500% due 02/15/2007 581 598 7.750% due 04/01/2007 12 12 7.500% due 04/01/2007 10 11 7.000% due 07/01/2007 2 2 6.500% due 07/15/2007 3,891 3,924 8.000% due 10/01/2007 46 47 5.500% due 10/15/2007 660 660 6.500% due 05/15/2008 981 995 8.550% due 06/15/2008 (d) 99 96 6.000% due 11/15/2008 225 233 6.200% due 12/15/2008 4,748 4,980 8.500% due 03/01/2009 126 134 6.000% due 03/15/2009 265 276 11.250% due 10/01/2009 $ 2 $ 2 7.000% due 06/01/2010 12 13 7.550% due 03/15/2012 180 189 11.875% due 06/15/2013 81 87 8.500% due 08/15/2013 2,000 2,042 8.500% due 09/15/2013 4,745 4,84 6.000% due 11/15/2014 400 396 10.100% due 09/01/2016 233 258 7.500% due 11/15/2016 28,055 29,470 6.250% due 10/15/2017 6,233 6,263 6.350% due 03/25/2018 91 92 5.500% due 05/15/2018 225 227 6.400% due 02/15/2019 5,095 5,142 6.500% due 04/15/2019 1,066 1,083 10.000% due 11/15/2019 72 76 3.950% due 06/15/2020 (d) 66 67 5.250% due 07/15/2020 94 94 5.750% due 08/15/2020 232 235 9.000% due 09/15/2020 44 46 5.000% due 10/15/2020 927 935 5.500% due 10/15/2020 8 8 8.900% due 11/15/2020 8,710 8,978 9.500% due 11/15/2020 2,485 2,531 6.250% due 12/15/2020 145 150 6.000% due 12/15/2020 186 188 8.750% due 12/15/2020 986 1,039 9.000% due 12/15/2020 2,155 2,268 6.250% due 01/15/2021 200 203 9.500% due 01/15/2021 1,532 1,649 7.000% due 01/15/2021 1,634 1,641 7.000% due 02/15/2021 772 780 8.000% due 04/15/2021 66 68 6.500% due 05/15/2021 68 69 6.500% due 05/17/2021 24 24 6.000% due 06/15/2021 1,729 1,732 8.500% due 06/15/2021 18,766 19,788 9.000% due 07/15/2021 1,598 1,694 9.500% due 07/15/2021 687 697 6.950% due 07/15/2021 345 354 8.000% due 07/15/2021 1,553 1,555 6.000% due 07/15/2021 135 138 6.200% due 08/15/2021 596 605 6.950% due 08/15/2021 116 120 9.500% due 08/15/2021 1,329 1,406 8.000% due 08/15/2021 20,925 21,220 6.500% due 09/15/2021 739 754 7.000% due 09/15/2021 96 99 4.500% due 09/15/2021 222 223 6.500% due 09/15/2021 14,613 14,744 7.000% due 10/15/2021 1 2 6.000% due 11/15/2021 360 361 8.000% due 12/15/2021 19,348 20,535 6.850% due 01/15/2022 688 714 8.250% due 06/15/2022 3,911 4,090 7.000% due 07/15/2022 9,959 10,362 8.500% due 10/15/2022 5,700 5,973 6.000% due 11/15/2022 220 223 7.000% due 12/15/2022 21,000 21,916 7.500% due 01/15/2023 18,998 20,402 6.500% due 02/15/2023 1,250 1,305 7.500% due 05/01/2023 802 843 6.500% due 07/15/2023 240 250 7.000% due 07/15/2023 288 297 7.500% due 07/15/2023 395 416 6.500% due 08/15/2023 77,994 78,953 7.410% due 10/25/2023 2,102 2,150 7.400% due 10/25/2023 (d) 10,508 11,007 6.500% due 11/15/2023 145 146 6.500% due 01/15/2024 35 36 7.500% due 01/20/2024 17 17 5.000% due 02/15/2024 116 111 6.500% due 02/15/2024 12 12 7.500% due 03/15/2024 6,793 7,004 6.500% due 03/15/2024 340 343 102 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 8.000% due 04/25/2024 $ 511 $ 561 6.250% due 05/15/2024 14,142 14,257 8.500% due 08/01/2024 1,126 1,203 7.250% due 08/15/2024 132 134 8.000% due 09/15/2024 16,250 17,705 8.500% due 11/01/2024 482 515 5.650% due 11/15/2024 140 142 6.750% due 01/17/2025 3,305 3,335 6.000% due 02/15/2025 3,078 3,126 7.500% due 02/15/2025 1,705 1,729 7.000% due 09/17/2025 40 41 7.000% due 03/01/2026 81 85 6.500% due 03/15/2026 110 110 6.000% due 08/15/2026 2,400 2,438 3.631% due 09/15/2026 (d) 33,850 33,751 7.240% due 10/01/2026 (d) 2,191 2,232 6.000% due 11/15/2026 550 559 7.000% due 01/01/2027 92 96 7.500% due 01/15/2027 27,169 28,372 8.000% due 02/15/2027 37,222 40,623 7.000% due 03/01/2027 115 120 7.500% due 03/17/2027 20,000 21,600 6.890% due 05/01/2027 (d) 289 297 6.500% due 06/15/2027 10,786 10,672 6.000% due 06/15/2027 202 207 7.500% due 06/20/2027 20,956 22,365 6.500% due 08/15/2027 16,600 16,081 6.500% due 09/15/2027 73,000 74,427 6.500% due 10/15/2027 32,300 32,869 6.000% due 11/15/2027 665 670 6.500% due 01/25/2028 8,691 8,590 6.250% due 03/15/2028 10,000 9,963 6.500% due 04/15/2028 162,175 162,978 6.500% due 05/15/2028 57,770 57,758 6.500% due 06/15/2028 64,722 62,288 6.500% due 06/20/2028 24,690 23,188 7.000% due 07/01/2028 606 630 6.500% due 07/15/2028 74,335 70,852 6.500% due 08/15/2028 350,044 347,272 7.000% due 11/15/2028 9,000 9,296 6.000% due 12/01/2028 639 642 6.250% due 12/15/2028 1,762 1,712 6.000% due 12/15/2028 11,672 11,116 6.500% due 12/15/2028 7,449 7,212 6.000% due 12/15/2028 11,995 11,194 6.500% due 01/01/2029 1,877 1,925 6.500% due 01/15/2029 10,411 10,383 6.000% due 01/15/2029 3,484 3,105 6.000% due 02/15/2029 4,071 3,755 6.500% due 03/01/2029 555 569 6.500% due 03/15/2029 26,551 25,384 6.500% due 05/01/2029 814 834 6.500% due 06/01/2029 306 314 6.500% due 07/01/2029 1,549 1,586 7.500% due 02/01/2030 834 868 7.500% due 07/15/2030 1,000 1,081 7.500% due 08/15/2030 2,784 2,947 7.000% due 09/15/2030 (d) 19,184 19,059 4.140% due 09/15/2030 8,833 8,879 7.000% due 10/15/2030 15,966 16,082 7.500% due 10/15/2030 28,927 30,450 4.090% due 11/15/2030 (d) 1,128 1,130 6.303% due 08/15/2032 (d) 28,194 28,692 Fund America Investors Corp. II 7.380% due 06/25/2023 (d) 1,813 1,799 Gaston Oaks PLC 6.930% due 01/01/2036 1,292 1,352 General Electric Capital Mortgage Services, Inc. 6.000% due 02/25/2009 292 291 6.750% due 12/25/2012 1,562 1,573 6.500% due 09/25/2023 1,175 1,152 6.500% due 12/25/2023 8,631 8,349 6.500% due 01/25/2024 3,895 3,676 6.500% due 03/25/2024 68,826 69,303 6.500% due 04/25/2024 70,318 69,646 8.625% due 11/25/2024 234 237 7.250% due 05/25/2026 3,628 3,742 7.500% due 06/25/2027 16,396 16,783 7.500% due 07/25/2027 9,830 10,263 7.000% due 10/25/2027 28,496 29,179 7.000% due 11/25/2027 72,500 75,459 6.750% due 05/25/2028 23,934 23,047 6.650% due 05/25/2028 5,102 5,169 6.750% due 06/25/2028 20,517 21,111 6.550% due 06/25/2028 23,450 24,116 6.600% due 06/25/2028 4,361 4,428 6.750% due 06/25/2028 359 358 6.750% due 10/25/2028 12,114 12,457 6.250% due 12/25/2028 54,321 54,339 6.500% due 12/25/2028 19,500 19,786 6.750% due 05/25/2029 20,000 20,350 6.500% due 05/25/2029 9,858 9,964 6.000% due 07/25/2029 23,507 23,695 6.250% due 07/25/2029 132,674 136,366 5.950% due 07/25/2029 13,304 13,297 6.500% due 07/25/2029 95,240 95,969 7.250% due 08/25/2029 8,000 8,301 7.000% due 09/25/2029 16,154 16,739 German American Capital Corp. 4.305% due 07/01/2018 (d) 7,855 7,737 GGP - Homart 4.117% due 06/10/2003 (d) 9,084 9,093 GMAC Commercial Mortgage Asset Corp. 3.358% due 07/20/2002 15,103 15,103 GMAC Commercial Mortgage Securities, Inc. 6.566% due 11/15/2007 85 90 6.150% due 11/15/2007 204 213 6.700% due 03/15/2008 29,732 31,373 6.806% due 04/15/2008 1,000 1,046 6.974% due 05/15/2008 26,539 28,445 8.950% due 08/20/2017 420 462 6.570% due 09/15/2033 44,643 47,061 6.945% due 09/15/2033 25,060 26,715 GMAC Mortgage Corp. Loan Trust 7.500% due 05/25/2030 12,000 12,643 7.750% due 10/25/2030 14,713 14,798 Goldman Sachs Mortgage Corp. 6.000% due 12/31/2007 7,693 7,991 Government Lease Trust 4.000% due 05/18/2011 3,000 2,487 Government National Mortgage Association 6.250% due 06/20/2022 24,470 24,848 7.250% due 12/16/2023 4,060 4,122 8.000% due 05/16/2024 10 10 7.000% due 02/20/2025 4,793 4,847 7.000% due 10/20/2025 7,000 7,328 7.000% due 03/20/2026 320 333 6.000% due 03/20/2026 1,500 1,524 4.130% due 06/16/2026 (d) 932 933 7.000% due 08/20/2026 77 78 7.500% due 07/16/2027 31,842 33,987 7.000% due 12/20/2027 3,154 3,154 6.500% due 04/20/2028 12,147 12,075 6.750% due 06/20/2028 23,382 22,865 6.500% due 06/20/2028 32,684 32,510 7.250% due 07/16/2028 30 33 6.500% due 07/20/2028 41,299 38,099 6.500% due 09/20/2028 30,040 28,219 6.500% due 01/20/2029 29,398 28,508 7.000% due 02/16/2029 6,815 6,998 8.000% due 03/20/2029 7,151 7,511 6.500% due 03/20/2029 16,259 16,387 6.000% due 05/20/2029 11,385 10,268 7.000% due 01/16/2030 6,843 6,736 7.500% due 01/20/2030 336 350 3.988% due 02/16/2030 (d) 31,776 31,971 4.058% due 02/16/2030 (d) 18,812 18,962 4.088% due 02/16/2030 (d) 34,649 34,784 7.500% due 02/20/2030 18,301 19,072 3.458% due 06/20/2030 (d) 13,537 13,524 See accompanying notes |9.30.01| PIMCO Funds Semi-Annual Report 103 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - -------------------------------------------------------------------------------- 4.110% due 09/20/2030 (d) $ 7,577 $ 7,575 7.500% due 09/20/2030 5,321 5,722 4.280% due 10/16/2030 (d) 43,495 43,495 Greenwich Capital Acceptance, Inc. 8.305% due 04/25/2022 (d) 160 160 7.795% due 10/25/2022 (d) 11 11 8.153% due 01/25/2023 153 154 7.181% due 04/25/2023 (d) 945 944 8.434% due 04/25/2024 (d) 119 119 Guardian Savings & Loan Association 7.116% due 09/25/2018 (d) 56 56 G-Wing Ltd. 6.776% due 05/06/2004 (d) 6,200 6,200 Headlands Mortgage Securities, Inc. 7.250% due 11/25/2012 1,496 1,514 7.155% due 12/25/2012 544 554 7.250% due 11/25/2027 13,143 13,326 7.000% due 02/25/2028 145 145 Home Savings of America 8.464% due 08/01/2006 28 30 5.685% due 05/25/2027 (d) 2,229 2,210 7.042% due 08/20/2029 (d) 19,350 19,537 Housing Securities, Inc. 7.000% due 05/25/2008 1,000 1,021 HVMLT 7.470% due 08/19/2030 22,975 23,554 ICI Funding Corp. Secured Assets Corp. 7.250% due 09/25/2027 18,068 18,483 7.750% due 03/25/2028 1,844 1,906 Impac CMB Trust 4.113% due 07/25/2030 (d) 40,083 40,171 3.860% due 11/25/2031 (d) 14,900 14,924 Impac Secured Assets CMN Owner Trust 3.361% due 01/25/2030 (d) 1,863 1,868 4.280% due 10/25/2030 (d) 33,140 33,241 Imperial CMB Trust 6.650% due 11/25/2029 767 791 Imperial Savings Association 8.226% due 01/25/2017 (d) 49 49 8.839% due 07/25/2017 (d) 202 201 Independent National Mortgage Corp. 8.250% due 05/25/2010 110 112 6.650% due 10/25/2024 2,147 2,164 8.750% due 12/25/2024 28 28 8.417% due 01/25/2025 (d) 35 36 6.319% due 07/25/2025 (d) 4,245 4,248 7.500% due 09/25/2025 137 137 6.930% due 05/25/2026 58 58 Indymac Adjustable Rate Mortgage Trust 6.569% due 08/25/2031 (d) 15,628 15,907 6.490% due 09/25/2031 (d) 99,000 103,300 6.490% due 09/28/2031 (d) 25,100 25,587 International Mortgage Acceptance Corp. 12.250% due 03/01/2014 224 262 J.P. Morgan Commercial Mortgage Finance Corp. 8.228% due 02/25/2028 1,615 1,758 7.069% due 09/15/2029 65 69 6.533% due 01/15/2030 20,000 21,134 Kidder Peabody Acceptance Corp. 10.431% due 09/25/2024 (d) 1,731 1,749 LB Commercial Conduit Mortgage Trust 6.330% due 11/18/2004 36 37 Lehman Large Loan Trust 6.790% due 06/12/2004 54 56 Long Beach Mortgage Loan Trust 8.396% due 01/20/2017 (d) 40,699 46,081 LTC Commercial Corp. 7.100% due 11/28/2012 3,096 3,200 Mellon Residential Funding Corp. 6.500% due 02/25/2028 10,000 10,134 6.350% due 06/25/2028 22,000 22,465 5.652% due 06/26/2028 2,289 2,287 6.600% due 06/26/2028 7,660 7,831 6.110% due 01/25/2029 23,900 23,470 6.580% due 07/25/2029 (d) 55,565 58,881 6.460% due 07/25/2029 (d) 1,340 1,339 6.570% due 07/25/2029 (d) 44,000 44,549 Merrill Lynch Mortgage Investors, Inc. 7.598% due 06/15/2021 844 865 7.856% due 06/15/2021 (d) 3,800 3,936 7.596% due 06/15/2021 (d) 4,051 4,190 7.039% due 06/15/2021 1,773 1,846 6.950% due 06/18/2029 26,782 27,961 5.650% due 12/15/2030 7,279 7,503 Midland Realty Acceptance Corp. 7.020% due 01/25/2029 11,321 11,720 MLCC Mortgage Investors, Inc. 3.875% due 09/15/2026 (d) 14,512 14,527 Morgan Stanley Capital I 6.440% due 11/15/2002 17 17 5.990% due 03/15/2005 53 55 6.860% due 05/15/2006 (d) 1,430 1,505 6.190% due 01/15/2007 18,064 18,874 6.160% due 04/03/2009 12,348 12,873 7.460% due 02/15/2020 9,087 9,733 4.035% due 07/25/2027 (d) 306 305 6.220% due 06/01/2030 65 68 6.590% due 10/03/2030 6,400 6,730 Morgan Stanley, Dean Witter & Co. 3.818% due 10/15/2026 (d) 2,601 2,586 Mortgage Capital Funding, Inc. 7.800% due 04/15/2006 500 546 7.008% due 09/20/2006 15,545 16,645 6.001% due 11/18/2031 65 68 Mortgage Obligation Structured Trust 7.700% due 10/25/2018 24,453 24,688 NationsBanc Montgomery Funding Corp. 6.750% due 06/25/2028 10,000 10,279 6.500% due 07/25/2028 14,470 14,764 6.750% due 08/25/2028 20,009 20,146 6.250% due 10/25/2028 7,000 6,950 Nationslink Funding Corp. 6.654% due 02/10/2006 19,624 20,777 4.198% due 04/10/2007 (d) 16,763 16,770 Nomura Asset Acceptance Corp. 7.000% due 02/19/2030 2,097 2,225 Nomura Asset Securities Corp. 8.271% due 05/25/2024 (d) 464 475 6.590% due 03/15/2030 335 356 7.120% due 04/13/2039 460 497 Norwest Asset Securities Corp. 6.750% due 12/25/2012 12,829 13,313 6.500% due 04/25/2013 19,078 19,786 6.500% due 06/25/2013 12,313 12,755 7.500% due 03/25/2027 40,048 41,159 6.750% due 09/25/2027 2,055 2,073 6.350% due 04/25/2028 524 525 6.750% due 05/25/2028 40,707 41,417 6.750% due 07/25/2028 12,657 12,449 6.250% due 08/25/2028 2,334 2,352 6.250% due 09/25/2028 378 378 6.750% due 10/25/2028 38,008 39,183 6.500% due 12/25/2028 39,751 40,483 6.500% due 01/25/2029 393 395 6.500% due 02/25/2029 67,541 67,968 5.950% due 04/25/2029 74,651 75,095 6.300% due 04/25/2029 5,734 5,781 6.200% due 04/25/2029 77,385 78,632 6.500% due 04/25/2029 26,751 27,018 6.250% due 05/25/2029 427 434 6.000% due 05/25/2029 19,713 19,884 6.500% due 06/25/2029 46,178 47,002 6.750% due 08/25/2029 855 864 6.500% due 10/25/2029 1,960 1,972 7.000% due 11/25/2029 14,726 15,360 7.250% due 02/25/2030 19,756 20,744 104 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Norwest Integrated Structured Assets, Inc. 7.000% due 09/25/2029 $ 3,658 $ 3,752 Paine Webber Mortgage Acceptance Corp. 6.000% due 04/25/2009 11,951 12,158 Patten Mortgage Trust 7.250% due 08/01/2011 (d) 289 292 PHH Mortgage Services Corp. 7.178% due 11/18/2027 941 974 PNC Mortgage Securities Corp. 6.750% due 06/25/2016 5,039 5,107 7.000% due 10/25/2027 35,623 36,175 6.750% due 12/25/2027 7,230 7,199 7.000% due 02/25/2028 25,301 26,303 6.981% due 02/25/2028 9,395 9,660 6.500% due 02/25/2028 90 90 6.625% due 03/25/2028 1,274 1,281 7.000% due 05/25/2028 3,886 3,954 6.750% due 07/25/2028 3,527 3,628 6.550% due 07/25/2028 24,500 24,975 6.750% due 09/25/2028 3,996 4,111 6.750% due 10/25/2028 26,045 26,733 6.750% due 12/25/2028 21,709 22,231 6.500% due 01/25/2029 993 1,008 6.250% due 01/25/2029 9,263 9,290 6.300% due 03/25/2029 9,989 10,036 6.300% due 06/25/2029 30,400 31,378 6.200% due 06/25/2029 42,230 43,359 6.500% due 06/25/2029 48,600 48,822 7.000% due 06/25/2030 11,303 11,672 7.750% due 07/25/2030 36,332 36,760 4.263% due 12/25/2030 (d) 26,036 26,076 7.500% due 02/25/2031 68,468 70,458 7.500% due 05/25/2040 (d) 2,111 2,148 PNC Mortgage Trust 8.250% due 03/25/2030 45,539 46,870 Prudential Home Mortgage Securities 7.400% due 11/25/2007 1,202 1,233 7.000% due 01/25/2008 23,860 24,501 6.750% due 07/25/2008 836 848 6.400% due 04/25/2009 97 97 6.950% due 11/25/2022 222 226 7.000% due 07/25/2023 8,691 8,951 6.750% due 10/25/2023 10,166 10,121 5.900% due 12/25/2023 2,326 2,347 6.500% due 01/25/2024 351 354 6.050% due 04/25/2024 986 985 6.800% due 05/25/2024 11,608 12,158 6.450% due 11/25/2025 5,264 5,212 Prudential Securities Secured Financing Corp. 6.074% due 01/15/2008 11,349 11,841 Prudential-Bache Trust 5.748% due 09/01/2018 (d) 163 163 8.400% due 03/20/2021 4,724 4,970 PSB Financial Corp. II 11.050% due 12/01/2015 335 346 Regal Trust IV 6.926% due 09/29/2031 (d) 915 919 Resecuritization Mortgage Trust 3.830% due 04/26/2021 (d) 29 29 6.750% due 06/19/2028 18,022 18,484 6.500% due 04/19/2029 3,298 3,383 Residential Accredit Loans, Inc. 7.500% due 08/25/2027 15,000 15,395 7.000% due 02/25/2028 41,115 42,803 6.500% due 12/25/2028 400 406 6.500% due 05/25/2029 3,000 3,049 6.750% due 06/25/2029 1,149 1,163 7.000% due 07/25/2029 318 323 7.750% due 03/25/2030 1,218 1,223 Residential Asset Securitization Trust 7.375% due 03/25/2027 5,142 5,282 7.000% due 10/25/2027 19,264 19,928 7.000% due 01/25/2028 20,000 20,869 6.750% due 06/25/2028 11,847 11,905 6.500% due 12/25/2028 1,250 1,281 6.500% due 03/25/2029 22,700 23,416 8.000% due 02/25/2030 35,020 35,984 8.000% due 04/25/2030 5,286 5,344 4.505% due 09/25/2030 (d) 11,878 11,953 Residential Funding Mortgage Securities, Inc. 7.000% due 08/25/2008 1,523 1,525 7.500% due 09/25/2011 7,522 7,667 7.000% due 05/25/2012 3,095 3,186 6.500% due 12/25/2012 18,179 18,683 7.143% due 12/01/2018 (d) 1,803 1,807 7.750% due 09/25/2022 265 264 8.000% due 01/25/2023 1,781 1,782 8.000% due 02/25/2023 6,323 6,365 6.500% due 11/25/2023 1,660 1,680 7.500% due 09/25/2025 4,609 4,623 7.500% due 12/25/2025 901 931 7.750% due 11/25/2026 9,000 9,366 7.500% due 04/25/2027 4,579 4,679 7.500% due 06/25/2027 40,537 41,327 7.500% due 07/25/2027 24,748 25,451 7.250% due 08/25/2027 15,349 15,728 7.250% due 10/25/2027 26,561 27,310 7.000% due 11/25/2027 17,000 17,665 6.750% due 02/25/2028 29,709 30,457 6.750% due 05/25/2028 60,741 62,926 6.750% due 06/25/2028 62,987 63,727 6.750% due 07/25/2028 13,292 13,720 6.750% due 08/25/2028 35,000 35,733 6.750% due 09/25/2028 66,493 68,373 6.500% due 10/25/2028 52,000 52,797 6.250% due 11/25/2028 3,000 3,001 6.500% due 12/25/2028 23,400 23,685 6.500% due 01/25/2029 72,314 72,917 6.500% due 03/25/2029 27,960 28,336 6.200% due 05/25/2029 16,322 16,333 6.500% due 06/25/2029 11,964 11,385 6.750% due 07/25/2029 22,600 23,306 7.000% due 10/25/2029 25,260 26,286 7.500% due 11/25/2029 12,338 12,808 7.750% due 10/25/2030 9,637 9,792 7.500% due 11/25/2030 95,303 96,940 6.329% due 06/25/2031 64,784 65,674 Resolution Trust Corp. 5.530% due 10/25/2021 (d) 100 101 11.060% due 10/25/2021 44 46 8.625% due 10/25/2021 98 98 8.127% due 10/25/2021 (d) 108 107 8.784% due 05/25/2022 (d) 1,009 1,037 6.090% due 08/25/2023 (d) 1,442 1,457 8.835% due 12/25/2023 3,094 3,090 8.000% due 04/25/2025 152 151 8.000% due 06/25/2026 245 244 7.200% due 10/25/2028 (d) 10,872 10,856 7.598% due 10/25/2028 (d) 3,861 3,890 7.692% due 05/25/2029 (d) 2,158 2,225 7.582% due 05/25/2029 (d) 2,006 2,086 6.840% due 05/25/2029 (d) 2,558 2,546 RMF Commercial Mortgage Securities, Inc. 6.715% due 01/15/2019 (d) 235 244 Ryan Mortgage Acceptance Corp. IV 9.450% due 10/01/2016 62 68 Ryland Acceptance Corp. 11.500% due 12/25/2016 71 78 Ryland Mortgage Securities Corp. 8.200% due 06/25/2021 34 34 8.159% due 08/25/2022 (d) 1,429 1,428 7.899% due 08/25/2029 (d) 1,000 1,034 6.993% due 10/25/2031 (d) 937 938 14.000% due 11/25/2031 617 625 SACO I, Inc. 7.411% due 07/25/2030 136 136 8.072% due 07/25/2030 7,791 7,994 4.010% due 09/25/2040 (d) 383 383 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 105 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII 8.224% due 11/25/2022 (d) $ 275 $ 278 7.295% due 09/25/2023 4,474 4,573 7.591% due 10/25/2023 (d) 107 108 7.932% due 03/25/2024 (d) 216 219 8.449% due 07/01/2024 (d) 3,142 3,193 8.375% due 09/25/2024 (d) 147 147 8.153% due 10/25/2024 (d) 239 243 4.133% due 04/25/2029 (d) 6,109 6,126 4.173% due 04/25/2029 (d) 2,662 2,672 4.093% due 06/25/2029 (d) 19,306 19,293 4.193% due 09/25/2029 (d) 200 200 7.601% due 12/25/2030 60,609 61,576 Santa Barbara Savings & Loan Association 9.500% due 11/20/2018 1,604 1,665 Sasco Floating Rate Commercial Mortgage Trust 6.500% due 10/25/2031 (d) 155,200 157,189 Saxon Mortgage Securities Corp. 6.250% due 04/25/2009 1,401 1,419 7.375% due 09/25/2023 6,372 6,561 6.500% due 02/25/2024 1,066 1,069 Sears Mortgage Securities 12.000% due 02/25/2014 440 462 6.113% due 11/25/2021 (d) 380 394 7.431% due 10/25/2022 (d) 1,460 1,477 9.572% due 12/25/2028 244 243 Securitized Asset Sales, Inc. 8.108% due 06/25/2023 (d) 215 217 7.410% due 09/25/2024 (d) 8,612 8,758 Security Pacific National Bank 6.871% due 03/25/2018 (d) 72 74 7.430% due 09/25/2019 (d) 381 395 Sequoia Mortgage Trust 6.462% due 10/25/2024 (d) 46,944 47,563 6.350% due 09/25/2025 (d) 4,014 4,076 Small Business Investment Cos. 7.540% due 08/10/2009 91,241 100,414 8.017% due 02/10/2010 107,593 121,047 7.640% due 03/10/2010 71,485 78,803 7.452% due 09/01/2010 15,860 17,290 Starwood Asset Receivables Trust 5.350% due 09/25/2022 (d) 922 923 Starwood Commercial Mortgage Trust 6.600% due 02/03/2009 10,507 11,138 Structured Asset Mortgage Investments, Inc. 6.750% due 03/25/2028 22,137 22,420 6.904% due 06/25/2028 (d) 34,281 34,932 6.250% due 11/25/2028 14,878 14,832 6.750% due 01/25/2029 10,000 10,277 6.300% due 05/25/2029 16,147 16,260 6.577% due 06/25/2029 (d) 27,446 28,214 7.250% due 07/25/2029 12,616 12,735 7.205% due 02/25/2030 (d) 740 751 6.750% due 05/02/2030 25,000 24,896 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 (d) 15,126 15,434 Structured Asset Securities Corp. 7.000% due 02/25/2016 24,738 25,321 7.500% due 07/25/2016 53,121 54,718 7.000% due 12/25/2027 51,500 53,447 7.750% due 02/25/2028 3,940 4,147 3.411% due 02/25/2030 (d) 1,167 1,170 4.405% due 11/25/2030 (d) 28,001 27,833 4.243% due 05/25/2031 (d) 18,601 18,536 Structured Mortgage Asset Residential Trust 7.584% due 07/25/2024 178 186 Superannuation Members Home Loans Global Fund 4.140% due 06/15/2026 (d) 20,900 20,920 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 29,285 29,285 Torrens Trust 3.750% due 07/15/2031 (d) 9,833 9,833 Union Planters Mortgage Finance Corp. 6.750% due 01/25/2028 4,000 4,059 6.800% due 01/25/2028 15,000 15,730 United Mortgage Securities Corp. 7.253% due 06/25/2032 16,082 15,869 7.269% due 09/25/2033 (d) 891 874 Vendee Mortgage Trust 7.500% due 08/15/2017 71 71 7.750% due 05/15/2018 387 397 6.500% due 05/15/2020 30,510 31,687 7.750% due 05/15/2022 315 343 6.837% due 01/15/2030 14,880 15,538 Washington Mutual, Inc. 3.954% due 07/26/2003 (d) 43,188 43,188 7.500% due 11/19/2029 600 624 6.014% due 10/19/2039 3,000 3,109 6.394% due 10/19/2039 143,394 148,786 6.604% due 10/19/2039 (d) 90,270 90,982 7.371% due 12/25/2040 (d) 31,514 31,624 7.176% due 01/25/2041 (d) 91,163 91,597 Wells Fargo Mortgage-Backed Securities Trust 7.500% due 01/25/2031 5,223 5,335 6.660% due 10/25/2031 (d) 39,390 40,146 Western Federal Savings & Loan Association 7.997% due 06/25/2021 (d) 1,756 1,762 ----------- 11,451,379 =========== Fannie Mae 1.7% 5.500% due 01/01/2004-12/01/2030 (k) 22,284 21,714 5.909% due 09/01/2017 (d) 4,169 4,195 6.000% due 11/01/2003-07/01/2031 (d)(k) 151,285 151,258 6.090% due 12/01/2008 48 50 6.199% due 04/01/2027 (d) 72 74 6.206% due 09/01/2024 (d) 1,199 1,227 6.210% due 08/01/2010 50,536 52,699 6.219% due 09/01/2024 (d) 1,382 1,406 6.247% due 09/01/2029 (d) 532 549 6.255% due 09/01/2013 64,000 65,763 6.297% due 10/01/2040 (d) 17,034 17,398 6.320% due 10/01/2013 4,280 4,487 6.420% due 12/01/2007 150 159 6.498% due 10/01/2040 (d) 18,377 18,412 6.500% due 04/01/2003-06/01/2031 (k) 28,305 29,032 6.502% due 10/01/2030 (d) 23,625 24,130 6.550% due 01/01/2008 941 1,004 6.555% due 08/01/2028 2,223 2,240 6.566% due 04/01/2026 (d) 873 901 6.626% due 12/01/2027 (d) 5,533 5,739 6.663% due 01/01/2018 (d) 1,012 1,040 6.671% due 08/01/2027 (d) 25,681 26,239 6.723% due 05/01/2030 (d) 190 195 6.730% due 11/01/2007 1,127 1,212 6.750% due 08/01/2003 101 102 6.847% due 07/01/2003 61 62 6.883% due 06/01/2024 (d) 544 560 6.899% due 07/01/2024 (d) 3,070 3,151 6.925% due 10/01/2027 (d) 3,495 3,593 6.977% due 11/01/2025 (d) 346 357 6.982% due 06/01/2007 458 496 7.000% due 07/01/2003-09/01/2031 (k) 87,987 90,801 7.001% due 05/01/2024 (d) 1,606 1,628 7.103% due 09/01/2022 (d) 703 726 7.107% due 06/01/2023 (d) 1,069 1,099 7.192% due 05/01/2026 (d) 350 357 7.209% due 10/01/2024 (d) 235 241 7.240% due 11/01/2025 (d) 2,458 2,504 7.250% due 05/01/2002-01/01/2023 (k) 9,414 9,643 7.265% due 02/01/2028 (d) 705 727 7.324% due 05/01/2025 (d) 1,999 2,048 7.350% due 09/01/2027 (d) 1,092 1,122 7.370% due 11/01/2025 (d) 894 916 7.385% due 09/01/2022 (d) 594 608 7.425% due 06/01/2030 (d) 30,477 31,683 7.460% due 08/01/2029 3,925 4,297 7.474% due 05/01/2023 (d) 1,886 1,927 7.496% due 08/01/2026 (d) 1,232 1,264 7.500% due 10/01/2002-05/01/2031 (k) 19,333 20,357 7.505% due 04/01/2027 (d) 408 418 106 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- 7.598% due 07/01/2019 (d) $ 554 $ 568 7.663% due 09/01/2025 (d) 739 747 7.710% due 11/01/2025 (d) 1,395 1,426 7.717% due 03/01/2025 (d) 2,059 2,109 7.750% due 06/01/2009 135 142 7.780% due 01/01/2018 2,220 2,559 7.791% due 08/01/2027 (d) 705 731 7.850% due 07/01/2018 6,658 7,532 7.886% due 01/01/2026 (d) 712 733 7.900% due 08/01/2023 (d) 351 373 7.903% due 05/01/2022 (d) 419 419 7.920% due 03/01/2018 2,734 3,188 7.980% due 05/01/2030 6,652 7,012 7.995% due 10/01/2024 (d) 896 921 8.000% due 04/01/2002-06/01/2031 (d)(k) 156,767 164,523 8.038% due 10/01/2023 (d) 690 727 8.060% due 04/01/2030 1,847 1,948 8.080% due 04/01/2030 1,011 1,067 8.200% due 12/01/2023 (d) 587 591 8.250% due 10/01/2008-03/01/2030 (k) 2,116 2,404 8.252% due 03/01/2026 (d) 1,001 1,036 8.261% due 01/01/2024 (d) 368 378 8.315% due 01/01/2024 (d) 288 297 8.342% due 02/01/2026 (d) 390 403 8.361% due 01/01/2024 (d) 940 966 8.381% due 11/01/2023 (d) 418 429 8.401% due 12/01/2023 (d) 129 132 8.406% due 10/01/2023 (d) 216 221 8.425% due 09/01/2023 (d) 1,594 1,607 8.429% due 12/01/2023 (d) 717 741 8.490% due 06/01/2025 986 1,054 8.500% due 11/01/2001-09/01/2030 (k) 6,416 6,847 8.585% due 01/01/2024 (d) 61 63 8.664% due 11/01/2023 (d) 130 135 9.000% due 10/01/2004-12/01/2027 (k) 7,750 8,476 9.500% due 12/01/2006-07/01/2026 (k) 7,043 7,644 9.750% due 11/01/2008 40 44 10.000% due 09/01/2003-05/01/2022 (k) 1,337 1,478 10.500% due 11/01/2013-04/01/2022 (k) 491 544 10.750% due 03/01/2014 23 25 11.000% due 11/01/2013-11/01/2020 (k) 224 252 11.500% due 08/20/2016-11/01/2019 (k) 65 74 12.000% due 05/01/2016 7 8 12.500% due 10/01/2015 25 29 13.000% due 09/01/2013 21 25 13.250% due 09/01/2011 10 12 14.500% due 11/01/2011-01/01/2013 (k) 25 30 14.750% due 08/01/2012 129 157 15.000% due 10/01/2012 72 88 15.500% due 10/01/2012-12/01/2012 (k) 14 16 15.750% due 12/01/2011-08/01/2012 (k) 79 97 16.000% due 09/01/2012 89 108 ----------- 844,946 =========== Federal Housing Administration 1.0% 6.000% due 03/20/2028 4,195 4,190 6.750% due 07/15/2031 1,444 1,527 6.755% due 03/01/2041 16,168 16,259 6.780% due 07/25/2040 7,619 7,881 6.790% due 05/01/2039 10,781 10,619 6.830% due 12/01/2039 3,497 3,644 6.875% due 11/01/2015 3,153 3,177 6.880% due 10/01/2040-02/01/2041 (k) 21,659 21,766 6.896% due 07/01/2020 21,770 21,732 6.900% due 12/01/2040 22,769 23,861 6.930% due 07/01/2014-01/01/2036 (k) 20,950 21,947 6.961% due 05/01/2016 7,480 7,500 7.050% due 03/25/2040 4,517 4,773 7.110% due 05/01/2019 4,375 4,445 7.125% due 03/01/2034 4,382 4,425 7.150% due 01/25/2029 9,519 9,627 7.211% due 12/01/2021 2,632 2,619 7.250% due 06/01/2040 8,263 9,034 7.310% due 06/01/2041 23,622 25,147 7.315% due 08/01/2019 29,805 30,629 7.350% due 11/01/2020-11/01/2022 (k) 9,908 10,092 7.375% due 02/01/2018-01/01/2024 (k) 16,177 16,590 7.400% due 01/25/2020-02/01/2021 (k) 14,898 15,257 7.430% due 12/01/2016-06/25/2024 (k) 102,117 103,687 7.450% due 12/01/2021-10/01/2023 (k) 15,777 16,047 7.460% due 01/01/2023 2,210 2,251 7.465% due 11/01/2019 27,380 27,971 7.500% due 03/01/2032-03/31/2032 (k) 3,370 3,539 7.580% due 12/01/2040 7,413 7,644 7.630% due 08/01/2041 17,747 18,966 7.650% due 11/01/2018 134 139 7.750% due 11/15/2039 579 641 7.780% due 11/01/2040 7,405 7,737 7.880% due 03/01/2041 13,423 14,293 7.930% due 05/01/2016 1,850 1,937 8.250% due 10/29/2023-01/01/2041 (k) 9,438 10,007 8.378% due 11/07/2012 233 248 ----------- 491,848 =========== Freddie Mac 0.9% 5.000% due 12/15/2020 198 200 5.500% due 10/01/2008-10/14/2029 (k) 3,600 3,568 5.625% due 06/01/2017 (d) 14 14 6.000% due 01/01/2011-10/16/2030 (d)(k) 195,713 195,840 6.250% due 04/01/2017 (d) 26 27 6.408% due 06/01/2024 (d) 1,399 1,450 6.500% due 11/01/2002-07/01/2029 (k) 9,151 9,480 6.503% due 08/01/2023 (d) 573 580 6.531% due 11/01/2026 (d) 4,396 4,411 6.545% due 08/01/2024 (d) 166 171 6.571% due 09/01/2023 (d) 1,381 1,391 6.592% due 12/01/2026 (d) 4,644 4,744 6.606% due 07/01/2022 (d) 580 596 6.632% due 07/01/2023 (d) 407 413 6.638% due 08/01/2023 (d) 229 230 6.713% due 08/01/2023 (d) 3,599 3,647 6.755% due 11/01/2028 (d) 15,623 16,166 6.775% due 11/01/2003 46 45 6.834% due 06/01/2022 (d) 869 884 6.886% due 07/01/2025 (d) 4,994 5,082 6.896% due 10/01/2023 (d) 831 858 6.946% due 05/01/2023 (d) 515 530 7.000% due 10/01/2002-12/01/2030 (k) 53,294 55,275 7.233% due 09/01/2023 (d) 6,155 6,258 7.250% due 11/01/2008 125 130 7.252% due 07/01/2024 (d) 1,098 1,126 7.258% due 09/01/2027 (d) 1,898 2,002 7.439% due 08/01/2023 (d) 6 6 7.446% due 07/01/2023 (d) 1,223 1,226 7.481% due 10/01/2023 (d) 77 76 7.500% due 09/01/2003-02/01/2031 (k) 14,173 14,716 7.550% due 01/01/2020 (d) 199 204 7.566% due 05/01/2023 (d) 600 616 7.580% due 05/01/2023 (d) 1,033 1,080 7.598% due 06/01/2024 (d) 2,060 2,113 7.616% due 12/01/2022 (d) 208 213 7.621% due 09/01/2023 (d) 831 829 7.645% due 05/01/2025 2,653 2,920 7.688% due 04/01/2023 (d) 213 223 7.804% due 07/01/2030 (d) 73,771 78,531 7.835% due 08/01/2023 (d) 6,160 6,328 7.853% due 09/01/2023 (d) 849 868 7.856% due 11/01/2023 (d) 252 252 7.875% due 09/01/2018 (d) 478 489 7.980% due 11/01/2023 (d) 38 38 7.983% due 10/01/2023 (d) 856 861 8.000% due 01/01/2002-03/01/2030 (k) 5,682 5,954 8.111% due 11/01/2023 (d) 256 258 8.156% due 06/01/2022 (d) 290 299 8.172% due 04/01/2029 (d) 841 866 8.200% due 04/01/2024 (d) 4,840 4,955 8.243% due 10/01/2023 (d) 1,175 1,201 8.250% due 12/01/2002-01/01/2019 (d)(k) 170 175 8.329% due 10/01/2023 (d) 520 531 8.365% due 11/01/2023 (d) 73 74 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 107 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- 8.459% due 01/01/2024 (d) $ 311 $ 319 8.465% due 01/01/2024 (d) 267 277 8.500% due 10/01/2001-06/01/2030 (k) 3,771 3,998 8.664% due 12/01/2023 (d) 917 948 8.750% due 01/01/2007-12/01/2010 (k) 44 47 9.000% due 01/01/2002-07/01/2030 (k) 783 838 9.250% due 06/01/2009-11/01/2013 (k) 64 69 9.500% due 06/01/2002-12/01/2022 (k) 1,097 1,196 9.750% due 11/01/2004-05/01/2009 (k) 30 33 10.000% due 06/01/2004-03/01/2021 (k) 648 701 10.250% due 04/01/2009-05/01/2009 (k) 866 946 10.500% due 10/01/2017-01/01/2021 (k) 289 326 10.750% due 09/01/2010 32 35 11.000% due 11/01/2009-05/01/2020 (k) 519 581 11.250% due 10/01/2009-09/01/2015 (k) 17 19 11.500% due 01/01/2018 52 58 12.500% due 12/01/2012 13 15 13.250% due 10/01/2013 77 90 14.000% due 04/01/2016 15 18 15.500% due 08/01/2011-11/01/2011 (k) 10 13 16.250% due 05/01/2011 1 2 ----------- 451,549 =========== Government National Mortgage Association 46.1% 5.000% due 06/20/2022-06/20/2026 (d)(k) 778 794 5.500% due 05/20/2028-10/23/2030 (d)(k) 28,461 28,127 5.650% due 10/15/2012 10 10 5.875% due 02/20/2016 (d) 157 159 6.000% due 10/15/2008-07/15/2031 (d)(k) 3,039,696 3,056,297 6.375% due 05/20/2017-01/20/2028 (d)(k) 402,597 411,397 6.500% due 10/15/2008-09/15/2040 (d)(k) 11,402,794 11,666,216 6.625% due 01/15/2040 9,563 10,044 6.670% due 08/15/2040 957 1,002 6.750% due 01/15/2002-08/20/2026 (d)(k) 18,237 18,612 6.800% due 05/15/2040 2,981 3,149 6.820% due 04/15/2040 16,890 17,884 6.875% due 04/20/2023-02/15/2040 (d)(k) 1,207 1,275 7.000% due 10/15/2003-01/03/2041 (d)(k) 1,329,966 1,378,337 7.125% due 10/20/2019-11/20/2027 (d)(k) 19,604 20,256 7.250% due 08/20/2024 (d) 279 284 7.375% due 06/20/2021-05/20/2028 (d)(k) 26,028 26,550 7.500% due 01/15/2003-01/15/2041 (k) 2,910,571 3,038,932 7.625% due 12/20/2015-12/20/2027 (d)(k) 239,756 247,371 7.700% due 03/15/2041 6,741 6,888 7.750% due 01/15/2002-09/20/2027 (d)(k) 301,478 310,770 8.000% due 08/15/2005-10/22/2031 (d)(k) 1,857,680 1,952,959 8.125% due 05/15/2041 3,673 4,023 8.250% due 07/15/2002-08/20/2027 (d)(k) 1,023 1,094 8.500% due 03/20/2006-10/22/2031 (d)(k) 73,291 77,574 8.750% due 03/15/2007-07/20/2025 (d)(k) 254 269 9.000% due 12/15/2001-07/20/2022 (k) 5,195 5,666 9.250% due 07/15/2003-12/20/2016 (k) 112 120 9.500% due 12/15/2003-07/15/2025 (k) 4,886 5,414 9.750% due 09/15/2002-07/15/2004 (k) 43 46 10.000% due 08/20/2004-02/15/2025 (k) 4,307 4,832 10.250% due 02/20/2019 22 25 10.500% due 06/15/2004-09/15/2021 (k) 533 603 11.000% due 05/15/2004-04/20/2019 (k) 262 290 11.250% due 12/20/2015 29 33 11.500% due 10/15/2010-10/15/2015 (k) 81 93 12.000% due 11/15/2012-05/15/2016 (k) 438 515 12.500% due 01/15/2011 1 1 13.000% due 12/15/2012-10/15/2014 (k) 16 20 13.250% due 10/20/2014 19 23 13.500% due 10/15/2012-09/15/2014 (k) 69 84 15.000% due 02/15/2012-10/15/2012 (k) 89 109 16.000% due 10/15/2011-05/15/2012 (k) 134 162 17.000% due 11/15/2011-12/15/2011 (k) 54 66 ----------- 22,298,375 =========== Stripped Mortgage-Backed Securities 0.0% Bear Stearns Mortgage Securities, Inc. (IO) 7.200% due 07/25/2024 152 5 7.500% due 08/25/2024 823 39 Chase Mortgage Finance Corp. (IO) 9.000% due 08/25/2023 98 1 Fannie Mae (IO) 6.500% due 05/25/2005 466 34 6.500% due 07/25/2006 102 1 727.220% due 09/25/2006 1 2 6.500% due 02/25/2007 472 12 6.500% due 07/25/2007 68 1 6.500% due 09/25/2007 655 21 6.500% due 10/25/2007 173 5 6.500% due 09/25/2008 818 66 0.950% due 03/25/2009 (d) 22,619 418 6.500% due 07/25/2018 316 9 6.500% due 08/25/2020 1,497 63 7.500% due 04/25/2021 1,108 105 903.213% due 08/25/2021 4 78 0.950% due 11/25/2021 (d) 15,968 233 1000.000% due 04/25/2022 2 44 6.500% due 10/25/2022 69 6 6.500% due 01/25/2023 3,026 394 3.663% due 02/25/2023 (d) 9,344 803 8.000% due 08/18/2027 207 38 Fannie Mae (PO) 0.000% due 09/01/2007 504 470 0.000% due 08/25/2023 266 228 Freddie Mac (IO) 1182.580% due 08/15/2007 7 125 5.750% due 09/15/2007 (d) 3,765 395 6.000% due 10/15/2007 102 5 6.000% due 01/15/2008 30 1 5.428% due 02/15/2008 (d) 397 33 7.000% due 08/15/2008 2,036 196 6.400% due 10/15/2008 34 4 6.500% due 11/15/2008 1,127 152 7.000% due 04/15/2018 65 0 6.500% due 10/15/2018 131 2 884.500% due 01/15/2021 1 15 1007.500% due 02/15/2022 2 45 9.000% due 05/15/2022 72 13 7.000% due 06/15/2023 2,446 266 7.000% due 06/15/2023 3,700 500 6.500% due 09/15/2023 187 21 Paine Webber CMO Trust (IO) 1359.500% due 08/01/2019 1 24 Prudential Home Mortgage Securities (IO) 1007.070% due 10/25/2023 2 17 Vendee Mortgage Trust (IO) 0.542% due 06/15/2023 (d) 130,232 2,383 ----------- 7,273 ----------- Total Mortgage-Backed Securities 35,545,370 (Cost $34,860,503) =========== ASSET-BACKED SECURITIES 5.7% Aames Mortgage Trust 3.848% due 06/15/2027 437 438 7.589% due 10/15/2029 143 153 4.439% due 11/25/2030 (d) 37,221 37,329 ABFS Equipment Contract Trust 6.100% due 10/15/2005 34 33 ABSC Long Beach Home Equity Loan Trust 4.684% due 07/21/2030 (d) 375 376 4.344% due 08/21/2030 (d) 106,327 106,455 Accredited Mortgage Loan Trust 4.149% due 02/25/2030 (d) 35,942 36,026 Ace Securities Corp. 4.409% due 11/25/2028 (d) 737 739 Advanta Mortgage Loan Trust 4.325% due 05/25/2027 (d) 667 665 4.205% due 08/25/2029 (d) 1,927 1,935 4.464% due 11/25/2029 (d) 1,365 1,366 8.250% due 08/25/2030 7,954 8,649 Advanta Revolving Home Equity Loan Trust 4.175% due 01/25/2024 (d) 17,850 17,913 4.339% due 08/25/2024 (d) 16,659 16,659 4.339% due 02/25/2025 (d) 10,049 10,056 108 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Aerco Ltd. 4.573% due 07/15/2025 (d) $ 38,200 $ 38,259 AESOP Funding II LLC 3.308% due 11/20/2006 (d) 15,500 15,418 AFC Home Equity Loan Trust 2.961% due 06/25/2030 (d) 2,316 2,320 4.085% due 01/25/2031 (d) 535 534 American Express Master Trust 7.850% due 08/15/2005 220 243 American Stores Co. 4.625% due 08/30/2004 20,000 19,776 Americredit Automobile Receivable Trust 5.780% due 05/12/2003 23,014 23,107 4.340% due 09/05/2006 (d) 15,000 15,039 Ameriquest Mortgage Securities, Inc. 3.788% due 07/15/2003 (d) 29,348 29,415 3.960% due 06/15/2030 (d) 9,213 9,238 Amresco Residential Securities Mortgage Loan Trust 2.851% due 07/25/2027 (d) 1 1 Arcadia Automobile Receivables Trust 6.300% due 07/15/2003 10,539 10,613 6.900% due 12/15/2003 13,262 13,478 Argentina Funding Corp. 3.318% due 05/20/2003 (d) 5,000 5,008 Asset Backed Securities Home Equity Corp. 3.748% due 06/15/2031 (d) 26,949 26,994 Bank One Heloc Trust 3.870% due 04/20/2020 (d) 29,708 29,734 Bay View Auto Trust 7.640% due 11/25/2010 310 328 Bayview Financial Acquisition Trust 4.639% due 02/25/2029 (d) 3,663 3,674 4.689% due 11/25/2029 (d) 8,837 8,873 4.469% due 02/25/2030 (d) 18,328 18,343 4.479% due 07/25/2030 (d) 56,031 56,031 4.469% due 11/25/2030 (d) 43,360 43,523 2.941% due 07/25/2031 (d) 35,296 35,236 Bayview Financial Asset Trust 4.193% due 04/25/2031 (d) 95,301 95,376 Bear Stearn Asset Backed Securities 3.900% due 10/25/2034 (d) 2,443 2,449 BMCA Receivables Master Trust 4.304% due 09/20/2002 (d) 15,000 15,000 Brazos Student Loan Finance Co. 4.550% due 06/01/2023 (d) 55,700 55,592 4.030% due 12/01/2025 (d) 32,895 32,754 Capital Asset Research Funding LP 6.400% due 12/15/2004 192 192 5.905% due 12/15/2005 687 685 Captec Franchise Trust 7.892% due 10/15/2010 1,241 1,221 Champion Home Equity Loan Trust 4.095% due 03/25/2029 (d) 3,539 3,540 4.193% due 09/25/2029 20,097 20,134 Charming Shoppes Master Trust 4.280% due 08/15/2008 (d) 250 251 Chase Credit Card Master Trust 6.660% due 01/15/2007 1,390 1,491 Chase Funding Mortgage Loan Asset-Backed Certificates 4.309% due 10/25/2030 (d) 46,432 46,388 Cityscape Home Equity Loan Trust 7.650% due 09/25/2025 180 191 Community Program Loan Trust 4.500% due 10/01/2018 22,076 21,524 4.500% due 04/01/2029 26,000 22,230 Compucredit Credit Card Master Trust 3.708% due 03/15/2007 (d) 16,000 15,995 Conseco Finance 7.520% due 05/15/2014 6,468 6,518 7.800% due 05/15/2020 175 190 3.858% due 10/15/2031 (d) 19,187 19,257 Conseco Finance Home Loan Trust 6.980% due 06/15/2011 3,582 3,613 8.080% due 02/15/2022 20,300 21,522 Conseco Finance Lease LLC 7.250% due 04/20/2003 10,820 10,919 Conseco Finance Securitizations Corp. 8.850% due 12/01/2031 20,000 23,825 7.970% due 05/01/2032 25,600 28,171 8.310% due 05/01/2032 48,800 53,162 7.180% due 05/01/2032 11,857 12,033 Contimortgage Home Equity Loan Trust 6.770% due 01/25/2018 26,209 26,425 6.990% due 03/15/2021 256 263 6.930% due 11/25/2022 36,800 37,885 7.220% due 01/15/2028 80 84 3.780% due 06/15/2028 (d) 1,117 1,116 3.698% due 08/15/2028 (d) 443 444 CPS Auto Trust 6.000% due 08/15/2003 34 34 Cross Country Master Credit Card Trust II 3.988% due 06/15/2006 (d) 4,600 4,635 CS First Boston Mortgage Securities Corp. 6.750% due 09/25/2028 6,960 7,164 3.930% due 08/25/2031 (d) 4,700 4,700 Delta Funding Home Equity Loan Trust 5.950% due 10/15/2012 36 36 3.898% due 09/15/2029 (d) 7,647 7,683 3.808% due 06/15/2030 (d) 25,245 25,262 Denver Arena Trust 6.940% due 11/15/2019 2,808 2,928 Discover Card Master Trust I 6.850% due 07/17/2007 960 1,036 4.015% due 10/16/2013 (d) 400 404 Duck Auto Grantor Trust 5.650% due 03/15/2004 801 802 6.450% due 04/15/2004 221 221 7.260% due 05/15/2005 19,653 19,606 Embarcadero Aircraft Securitization Trust 3.968% due 08/15/2025 (d) 14,400 14,400 EQCC Home Equity Loan Trust 6.548% due 04/25/2010 47 47 3.648% due 10/15/2027 (d) 549 549 7.448% due 08/25/2030 204 217 Equivantage Home Equity Loan Trust 6.550% due 10/25/2025 61 62 First Alliance Mortgage Loan Trust 4.020% due 01/25/2025 (d) 372 372 3.438% due 03/20/2031 (d) 14,192 14,215 First Security Auto Grantor Trust 5.970% due 04/15/2004 50 50 Firstcity Auto Receivables Trust 7.400% due 12/15/2005 2,359 2,438 FMAC Loan Receivables Trust 7.900% due 04/15/2019 20 20 6.200% due 09/15/2020 59 60 6.500% due 09/15/2020 192 186 6.830% due 09/15/2020 680 681 Franklin Auto Loan Funding LLC 5.930% due 06/18/2003 247 249 GE Capital Equipment Lease Trust 6.850% due 05/20/2008 (d) 208 216 GMAC Mortgage Corp. Loan Trust 4.471% due 11/18/2025 (d) 33,154 33,298 7.950% due 03/25/2030 23,637 25,326 Green Tree Financial Corp. 6.240% due 11/01/2016 196 201 5.760% due 11/01/2018 145 148 8.300% due 05/15/2026 2,000 2,179 6.490% due 03/15/2028 11,592 11,704 6.420% due 11/15/2028 115 115 6.870% due 02/01/2030 1,620 1,666 6.660% due 06/01/2030 1,405 1,355 6.480% due 12/01/2030 55 58 7.860% due 04/01/2031 400 423 Green Tree Floorplan Receivables Master Trust 3.840% due 11/15/2004 (d) 56,000 56,078 Green Tree Home Improvement Loan Trust 4.138% due 11/15/2029 (d) 1,914 1,911 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 109 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 $ 829 $ 836 6.715% due 02/01/2009 33,136 34,976 6.490% due 02/15/2018 10 11 6.180% due 06/15/2019 21,214 21,983 Greenpoint Manufactured Housing 7.270% due 06/15/2029 110 116 Headlands Home Equity Loan Trust 4.138% due 12/15/2024 (d) 261 263 HFC Home Equity Loan 6.830% due 12/20/2016 28 28 Household Consumer Loan Trust 4.543% due 08/15/2006 (d) 15,203 15,027 IMC Home Equity Loan Trust 7.630% due 07/25/2026 (d) 426 442 3.989% due 08/20/2029 113 113 IMPAC Secured Assets CMN Owner Trust 7.770% due 07/25/2025 1,841 1,922 Indymac Home Equity Loan Asset-Backed Trust 3.840% due 10/25/2029 (d) 2,030 2,040 4.379% due 07/25/2030 (d) 8,110 8,128 Indymac Manufactured Housing Contract 6.170% due 12/25/2011 3,817 3,872 Keystone Owner Trust 6.840% due 12/25/2018 2,000 2,070 Long Beach Auto Receivables Trust 6.940% due 09/19/2007 2,421 2,501 Long Beach Mortgage Loan Trust 4.781% due 01/21/2031 (d) 10,295 10,308 Marriott Vacation Club Owner Trust 3.408% due 09/20/2017 (d) 67,602 66,926 Mellon Bank Home Equity 6.520% due 07/25/2010 64 64 5.900% due 10/25/2010 5,677 5,712 Merit Securities Corp. 6.160% due 07/28/2033 2,234 2,238 7.880% due 12/28/2033 34,400 37,497 Mesa Trust Asset Backed Certificates 3.910% due 05/15/2033 (d) 7,330 7,330 Metris Master Trust 4.734% due 04/20/2006 (d) 20,000 20,091 Metropolitan Asset Funding, Inc. 4.253% due 04/25/2029 (d) 9,924 9,862 Mid-State Trust 8.330% due 04/01/2030 57,377 63,700 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (d) 310 311 Morgan Stanley ABS Capital, Inc. 4.389% due 08/25/2030 (d) 111,226 111,502 MPC Natural Gas Funding Trust 6.200% due 03/15/2013 8,652 9,288 MSDWCC Heloc Trust 4.370% due 09/25/2010 (d) 30,189 30,118 Myra-United Mexican States 4.563% due 10/20/2006 (d) 348 338 4.563% due 12/23/2006 (d) 714 693 6.413% due 12/23/2006 (d) 6,475 6,281 4.563% due 12/23/2006 (d) 6,046 5,918 4.513% due 12/23/2006 (d) 818 794 4.563% due 12/23/2006 (d) 2,432 2,359 National Medical Care 4.438% due 09/30/2003 (d) 28,564 28,278 New Century Home Equity Loan Trust 7.540% due 06/25/2029 168 179 Novastar Home Equity Loan 2.936% due 04/25/2028 (d) 855 855 3.930% due 01/25/2031 (d) 6,092 6,101 NPF XII, Inc. 4.355% due 03/01/2003 (d) 2,600 2,597 7.050% due 06/01/2003 (d) 50,750 52,037 5.084% due 11/01/2003 (d) 46,000 46,000 Oakwood Mortgage Investors, Inc. 6.200% due 01/15/2015 319 325 Option One Mortgage Loan Trust 2.951% due 09/25/2030 (d) 36,612 36,695 Provident Bank Equipment Lease Trust 4.105% due 11/25/2011 (d) 25,266 25,151 Provident Bank Home Equity Loan Trust 4.129% due 06/25/2021 (d) 24,789 24,835 Providian Gateway Master Trust 3.708% due 03/15/2007 (d) 28,900 29,002 3.768% due 03/16/2009 (d) 29,500 29,555 3.788% due 04/15/2009 (d) 19,000 19,142 Providian Master Trust 6.250% due 06/15/2007 25 26 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 514 514 Residential Asset Mortgage Products, Inc. 3.870% due 09/25/2030 (d) 28,969 28,391 7.980% due 12/25/2030 24,463 26,532 Residential Asset Securities Corp. 6.600% due 06/25/2020 6,629 6,667 7.075% due 09/25/2020 150 152 7.998% due 10/25/2024 (d) 3,630 3,743 3.880% due 10/25/2027 (d) 1,342 1,345 Residential Asset Securitization Trust 6.750% due 03/25/2028 40,000 40,873 RJR Nabisco 7.500% due 01/01/2002 (d) 19,948 19,948 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 74 74 SallieMae 4.041% due 07/25/2004 (d) 630 629 4.173% due 10/25/2004 (d) 9,993 9,997 4.203% due 10/25/2005 (d) 13,543 13,565 4.123% due 10/25/2005 (d) 8,356 8,356 4.263% due 04/25/2006 (d) 55,782 55,733 3.900% due 04/25/2011 (d) 20,200 20,253 Salomon Brothers Mortgage Securities VII 3.855% due 12/25/2026 (d) 821 821 3.908% due 11/15/2029 (d) 14,797 14,864 4.068% due 12/15/2029 (d) 7,800 7,829 3.920% due 02/25/2030 (d) 22,291 22,355 Sand Trust 3.860% due 08/25/2032 (d) 18,000 18,000 Saxon Asset Securities Trust 7.585% due 12/25/2014 17 17 2.891% due 05/25/2029 (d) 3,160 3,162 Sears Credit Account Master Trust 6.050% due 01/15/2008 500 520 Southern Pacific Secured Assets Corp. 3.963% due 07/25/2029 (d) 36,846 36,810 Standard Credit Card Master Trust 8.250% due 11/07/2003 80 81 Structured Product Asset Trust 4.795% due 02/12/2003 (d) 4,200 4,200 Team Fleet Financing Corp. 7.350% due 05/15/2003 30 31 The Money Store Home Equity Trust 7.550% due 02/15/2020 46 46 6.490% due 10/15/2026 4,187 4,269 3.668% due 06/15/2029 (d) 755 755 Timber Corp. 4.830% due 11/30/2001 65,000 65,000 UCFC Home Equity Loan 6.755% due 11/15/2023 165 170 8.200% due 09/15/2027 70 74 6.870% due 07/15/2029 70 73 USAA Auto Loan Grantor Trust 5.800% due 01/15/2005 1,049 1,057 6.100% due 02/15/2006 155 159 WFS Financial Owner Trust 6.920% due 01/20/2004 20,748 21,161 WMC Mortgage Loan 3.938% due 10/15/2029 57,640 57,771 ------------ Total Asset-Backed Securities 2,749,585 ============ (Cost $2,715,989) 110 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- SOVEREIGN ISSUES 1.0% Government of Jamaica 11.750% due 05/15/2011 $ 12 $ 12 Hydro-Quebec 7.375% due 02/01/2003 150 158 3.125% due 09/29/2049 (d) 5,600 4,843 Kingdom of Jordan 6.000% due 12/23/2023 4,100 2,994 Kingdom of Sweden 10.250% due 11/01/2015 500 659 Province of Manitoba 7.750% due 02/01/2002 1,000 1,015 Province of New Brunswick 7.125% due 10/01/2002 1,700 1,765 Province of Newfoundland 9.000% due 06/01/2019 500 637 Province of Nova Scotia 9.375% due 07/15/2002 1,000 1,049 Province of Ontario 7.750% due 06/04/2002 200 207 7.625% due 06/22/2004 1,000 1,097 7.000% due 08/04/2005 1,000 1,087 6.000% due 02/21/2006 1,800 1,899 5.500% due 10/01/2008 12,000 12,369 Province of Quebec 7.500% due 07/15/2002 6,000 6,223 8.800% due 04/15/2003 1,100 1,196 4.068% due 06/11/2004 (d) 15,500 15,524 6.500% due 01/17/2006 2,000 2,153 6.620% due 04/09/2026 25,000 27,533 Republic of Brazil 5.438% due 04/15/2006 232,124 193,143 8.000% due 04/15/2014 42 28 8.875% due 04/15/2024 4,000 2,250 10.125% due 05/15/2027 (j) 20,000 12,600 12.250% due 03/06/2030 45 33 Republic of Bulgaria 7.750% due 07/28/2011 (d) 25 19 3.000% due 07/28/2012 (d) 3,624 2,876 7.750% due 07/28/2024 (d) 320 246 Republic of Croatia 7.000% due 02/27/2002 7,650 7,719 7.750% due 07/31/2006 (d) 2,675 2,621 4.563% due 07/31/2010 (d) 34,534 33,843 Republic of Egypt 7.625% due 07/11/2006 14,000 13,265 8.750% due 07/11/2011 10,000 8,925 Republic of Kazakhstan 8.375% due 10/02/2002 5,000 5,127 Republic of Panama 5.030% due 05/10/2002 (d) 1,009 1,014 9.625% due 02/08/2011 15,000 14,963 4.500% due 07/17/2014 7,391 6,543 Republic of Peru 3.750% due 03/07/2017 11,000 7,016 4.500% due 03/07/2017 (d) 5,760 4,054 Republic of Philippines 10.625% due 03/16/2025 26 21 Republic of Poland 6.000% due 10/27/2014 9,000 8,899 4.250% due 10/27/2024 1,600 1,220 3.750% due 10/27/2024 (d) 53,940 38,837 Republic of South Africa 9.125% due 05/19/2009 15,000 16,500 Republic of Venezuela 9.250% due 09/15/2027 56 38 Resolution Funding Strip 0.000% due 10/15/2018 14,000 5,040 0.000% due 01/15/2020 2,053 683 0.000% due 07/15/2020 32,750 10,552 State of Israel 6.200% due 06/14/2003 25 25 State of Qatar 4.761% due 02/18/2004 (d) 6,308 6,214 United Mexican States 0.000% due 06/30/2003 86,988 687 7.570% due 04/07/2004 (d) 14,436 14,826 8.500% due 02/01/2006 3,781 3,953 10.375% due 02/17/2009 42 47 8.375% due 01/14/2011 4,693 4,646 6.250% due 12/31/2019 3,610 3,221 ------------ Total Sovereign Issues 514,114 ============ (Cost $526,400) FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 2.7% Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,300 2,180 Bundes Obligation 5.000% due 08/19/2005 (j) 307,400 290,632 Commonwealth of Canada 5.750% due 09/01/2006 C$ 120 80 Government of New Zealand 4.500% due 02/15/2016 (j) N$ 78,000 34,218 Halifax Group Euro Finance 7.627% due 12/29/2049 EC 14,700 14,506 Hellenic Finance 2.000% due 07/15/2003 2,250 1,979 Hellenic Republic 6.000% due 05/19/2010 80 77 KBC Bank Fund Trust IV 8.220% due 11/29/2049 20,764 20,645 Korea Electric Power Corp. 3.882% due 10/31/2002 (d) DM 18,900 8,772 Lloyds TSB Capital 7.375% due 02/07/2049 EC 26,000 25,224 Oesterreichische Kontrollbank 1.800% due 03/22/2010 JY 12,000 108 Pfizer, Inc. 0.800% due 03/18/2008 16,000 135 Republic of Austria 5.500% due 01/15/2010 (j) EC 900 852 Republic of Brazil 8.250% due 11/26/2001 2,000 1,820 Republic of Germany 5.000% due 05/20/2005 155 147 6.000% due 02/16/2006 (j) 149,000 146,147 5.000% due 02/17/2006 (j) 440,900 416,168 6.250% due 01/04/2024 450 424 4.750% due 07/04/2028 65 53 Royal Bank of Scotland Group PLC 6.770% due 03/31/2049 107,300 103,806 8.220% due 11/29/2049 87,000 117,031 Treuhandanstalt 6.250% due 03/04/2004 60 58 United Kingdom Gilt 5.000% due 03/07/2012 BP 50 74 6.000% due 12/07/2028 1,210 2,094 United Mexican States 6.000% due 03/28/2002 JY 100,000 852 3.100% due 04/24/2002 2,542,000 21,280 8.750% due 05/30/2002 BP 23,000 34,022 10.375% due 01/29/2003 DM 200 97 7.000% due 06/02/2003 C$ 30,200 19,395 7.432% due 04/07/2004 (d) EC 18,181 16,711 6.750% due 06/06/2006 JY 2,000,000 19,734 7.500% due 03/08/2010 EC 5,000 4,550 World Bank 4.750% due 12/20/2004 JY 16,000 154 ------------ Total Foreign Currency-Denominated Issues 1,304,025 ============ (Cost $1,298,395) See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 111 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.750 Exp. 12/17/2001 $ 12,500 $ 31 Strike @ 95.250 Exp. 12/17/2001 127,030 1,270 Strike @ 95.000 Exp. 12/17/2001 67,765 339 Strike @ 94.500 Exp. 12/17/2001 58,828 294 Strike @ 94.000 Exp. 12/17/2001 105,383 263 Strike @ 93.750 Exp. 12/17/2001 45,625 228 Strike @ 93.500 Exp. 12/17/2001 25,530 64 Strike @ 93.250 Exp. 12/17/2001 12,500 63 Strike @ 92.500 Exp. 12/17/2001 12,500 31 Strike @ 92.500 Exp. 12/14/2001 5,000 25 Strike @ 93.750 Exp. 12/17/2001 5,375 13 Eurodollar June Futures (CME) Strike @ 93.750 Exp. 06/17/2002 55,000 275 Strike @ 92.250 Exp. 06/17/2002 53,468 134 Harborview Mortgage Loan Trust (OTC) 7.470% due 08/19/2030 Strike @ 100.00 Exp. 05/01/2005 22,975 0 PNC Mortgage Securities (OTC) 7.500% due 05/25/2040 Strike @ 100.000 Exp. 04/01/2005 2,500 0 ------------ Total Purchased Put Options 3,030 ============ (Cost $4,721) CONVERTIBLE BONDS & NOTES 0.1% Banking & Finance 0.0% Bell Atlantic Financial Services 5.750% due 04/01/2003 1,500 1,537 ------------ Industrial 0.1% Tyco International Ltd. 0.000% due 11/17/2020 17,100 13,124 ------------ Utilities 0.0% Cox Communications, Inc. 0.426% due 04/19/2020 25,000 10,844 ------------ Total Convertible Bonds & Notes 25,505 ============ (Cost $27,796) PREFERRED SECURITY 0.8% Shares DG Funding Trust 5.960% due 12/29/2049 (d) 35,250 363,075 UBS Preferred Funding Trust I 8.622% due 10/29/2049 38,900 44,095 ------------ Total Preferred Security 407,170 ============ (Cost $391,617) PREFERRED STOCK 0.1% Banco Bilbao Vizcaya International 9.750% due 12/31/2049 266,217 6,709 Centaur Funding Corp. 9.080% due 04/21/2020 125 136 CSC Holdings, Inc. 11.125% due 04/01/2008 27,038 2,765 Fortis Amev NV 3.860% due 12/31/2049 (d) 171 23,940 Home Ownership Funding 13.331% due 12/31/2049 4,125 2,966 TCI Communications, Inc. 9.720% due 12/31/2036 622,553 15,751 10.000% due 05/31/2045 49,000 1,229 ------------ Total Preferred Stock 53,496 ============ (Cost $52,593) SHORT-TERM INSTRUMENTS 9.3% Certificates of Deposit 0.1% Mexico Credit Link 10.735% due 02/22/2002 29,500 29,956 8.988% due 02/25/2002 6,000 6,207 10.675% due 02/25/2002 8,000 8,280 ------------ 44,443 ============ Commercial Paper 8.9% Abbey National North America 3.540% due 10/24/2001 2,000 1,995 3.550% due 10/24/2001 14,700 14,667 3.470% due 10/26/2001 5,800 5,786 3.540% due 10/29/2001 2,800 2,792 3.440% due 10/29/2001 1,700 1,695 3.470% due 10/29/2001 2,500 2,493 3.470% due 10/31/2001 7,400 7,379 American Electric Power, Inc. 4.260% due 02/13/2002 65,000 64,384 American Express Co. 2.420% due 10/12/2001 100 100 Anz, Inc. 3.240% due 11/21/2001 4,100 4,081 AT&T Corp. 4.525% due 08/06/2002 214,900 214,760 Becton Dickinson & Co. 3.090% due 10/02/2001 800 800 3.650% due 10/17/2001 3,420 3,414 BP Amoco PLC 3.450% due 10/01/2001 131,000 131,000 British Telecom PLC 4.854% due 10/09/2001 150,700 150,695 CBA (de) Finance 3.740% due 10/15/2001 2,400 2,397 3.600% due 10/15/2001 600 599 2.500% due 10/15/2001 100 100 3.565% due 10/29/2001 14,000 13,961 3.530% due 10/29/2001 3,100 3,091 4.050% due 11/05/2001 6,000 5,976 CDC 3.380% due 10/01/2001 60,500 60,500 Coca-Cola Co. 3.610% due 10/11/2001 23,900 23,876 3.610% due 10/12/2001 10,000 9,989 Dow Jones & Co., Inc. 3.450% due 11/19/2001 3,400 3,384 E.I. Du Pont 3.190% due 10/05/2001 3,400 3,399 2.950% due 10/11/2001 54,400 54,355 Fannie Mae 3.150% due 10/01/2001 257,800 257,800 2.500% due 10/03/2001 700 700 4.020% due 10/04/2001 1,700 1,699 3.520% due 10/04/2001 13,500 13,496 2.850% due 10/05/2001 5,100 5,098 3.520% due 10/18/2001 8,600 8,586 3.545% due 10/18/2001 2,600 2,596 4.000% due 10/18/2001 21,500 21,459 4.010% due 10/18/2001 13,200 13,175 3.510% due 10/25/2001 1,300 1,297 4.060% due 10/25/2001 1,591 1,587 4.000% due 10/25/2001 58,500 58,344 3.520% due 10/25/2001 20,600 20,552 3.530% due 10/25/2001 500 499 4.000% due 10/25/2001 30,000 29,920 4.000% due 10/31/2001 46,500 46,345 3.520% due 11/01/2001 5,800 5,782 4.005% due 11/01/2001 49,000 48,831 3.520% due 11/08/2001 20,500 20,424 3.520% due 11/15/2001 37,800 37,634 3.480% due 11/21/2001 7,435 7,398 3.630% due 12/20/2001 18,900 18,793 3.630% due 12/27/2001 14,900 14,807 3.540% due 01/03/2002 2,200 2,185 3.250% due 03/15/2002 339 335 112 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) - ------------------------------------------------------------------------------- Federal Farm Credit Bank 3.400% due 11/02/2001 $ 2,475 $ 2,468 Federal Home Loan Bank 3.000% due 10/01/2001 10,240 10,240 3.150% due 10/01/2001 2,000 2,000 4.020% due 10/10/2001 1,954 1,952 3.460% due 10/12/2001 31,800 31,766 4.020% due 10/12/2001 4,315 4,310 3.450% due 10/31/2001 4,300 4,288 3.400% due 11/07/2001 295 294 3.710% due 11/07/2001 1,635 1,629 3.710% due 11/08/2001 605 603 3.520% due 11/09/2001 20,600 20,521 3.690% due 01/31/2002 555 550 3.720% due 03/28/2002 180 178 Freddie Mac 3.150% due 10/01/2001 102,000 102,000 2.650% due 10/02/2001 6,500 6,500 4.090% due 10/11/2001 25,200 25,171 3.520% due 10/11/2001 49,300 49,252 2.740% due 10/12/2001 6,060 6,055 3.530% due 10/19/2001 1,700 1,697 3.540% due 10/19/2001 201,082 200,726 3.540% due 10/25/2001 200 200 3.540% due 10/31/2001 11,900 11,865 3.490% due 11/02/2001 7,900 7,875 3.630% due 11/16/2001 600 597 3.540% due 11/16/2001 35,004 34,846 3.560% due 12/28/2001 13,800 13,713 3.570% due 12/28/2001 900 894 General Electric Capital Corp. 3.500% due 10/02/2001 140 140 3.520% due 10/02/2001 913 913 3.550% due 10/02/2001 2,400 2,400 3.860% due 10/02/2001 2,000 2,000 4.040% due 10/31/2001 145,000 144,512 3.400% due 12/26/2001 3,400 3,379 3.670% due 12/26/2001 10,700 10,635 3.500% due 12/26/2001 600 596 3.100% due 12/26/2001 4,900 4,870 3.520% due 12/26/2001 13,200 13,120 3.100% due 12/27/2001 3,100 3,081 3.520% due 12/27/2001 53,000 52,668 3.560% due 12/27/2001 1,600 1,590 3.520% due 12/28/2001 100,000 99,366 Glaxo Wellcome 3.550% due 10/18/2001 1,500 1,497 Halifax Building Society 4.080% due 10/22/2001 6,800 6,784 4.180% due 10/22/2001 100 100 KFW International Finance, Inc. 3.520% due 10/23/2001 700 698 Merck & Co., Inc. 3.110% due 10/09/2001 300 300 3.050% due 10/09/2001 10,500 10,493 Monsanto Co. 3.720% due 10/15/2001 300 300 Morgan Stanley Group, Inc. 3.690% due 10/01/2001 29,400 29,400 National Rural Utilities Cooperative Finance Corp. 2.720% due 10/24/2001 2,200 2,196 PepsiCo, Inc. 3.250% due 10/01/2001 250 250 Procter & Gamble Co. 3.470% due 10/04/2001 1,700 1,700 Queensland Treasury Corp. 3.560% due 10/23/2001 4,900 4,889 Rabobank Australia Ltd. 3.240% due 10/01/2001 730,000 730,000 SBC Communications, Inc. 3.530% due 10/18/2001 3,050 3,045 3.430% due 11/29/2001 39,000 38,781 3.440% due 11/29/2001 8,800 8,750 Swedbank, Inc. 2.490% due 10/24/2001 1,700 1,697 3.510% due 10/24/2001 3,300 3,293 3.550% due 10/24/2001 32,900 32,825 3.510% due 11/08/2001 25,000 24,907 3.570% due 11/20/2001 52,200 51,941 3.550% due 11/21/2001 20,700 20,596 3.710% due 11/21/2001 1,500 1,492 3.100% due 12/26/2001 700 696 UBS Finance, Inc. 3.450% due 10/01/2001 258,000 258,000 3.870% due 10/02/2001 341,700 341,663 3.550% due 10/25/2001 10,000 9,976 3.240% due 11/19/2001 2,700 2,687 3.510% due 12/18/2001 115,178 114,539 3.420% due 12/19/2001 300 298 3.510% due 12/19/2001 39,400 39,179 3.530% due 12/19/2001 3,900 3,878 3.550% due 12/19/2001 9,800 9,745 3.360% due 12/20/2001 900 894 3.510% due 12/20/2001 2,300 2,287 Verizon Global Funding 3.480% due 10/10/2001 1,640 1,640 3.470% due 10/18/2001 1,300 1,297 3.530% due 10/25/2001 700 697 Wal-Mart Stores, Inc. 2.970% due 10/10/2001 239,000 238,824 Walt Disney Co. 3.610% due 10/05/2001 2,675 2,675 Washington Post Co. 3.590% due 11/14/2001 6,800 6,770 ------------ 4,320,149 ============ Repurchase Agreement 0.2% State Street Bank 2.600% due 10/01/2001 89,087 89,087 (Dated 09/28/2001. Collateralized by Fannie Mae 5.750% due 05/14/2003 valued at $14,369, Freddie Mac 4.700% due 05/14/2003 valued at $25,502, Fannie Mae 5.375% due 03/08/2004 valued at $25,502 and Fannie Mae 4.100% due 09/12/2003 valued at $25,501. Repurchase proceeds are $89,105.) Credit Suisse First Boston 3.180% due 10/01/2001 4,200 4,200 (Dated 09/30/2001. Collaterized by U.S. Treasury Bonds 7.500% due 11/25/2016 valued at $3,016 and U.S. Treasury Bills 2.160% due 02/21/2002 valued at $1,223. Repurchase proceeds are $4,201.) ------------ 93,287 ============ U.S. Treasury Bills 0.1% 3.252% due 10/18/2001-02/07/2002 (b)(k) 47,535 47,438 ------------ Total Short-Term Instruments 4,505,317 ============ (Cost $4,503,472) Total Investments (a) 134.9% $ 65,289,982 (Cost $64,310,780) Written Options (c) (0.1%) (35,836) (Premiums $160,959) Other Assets and Liabilities (Net) (34.8%) (16,852,576) ------------ Net Assets 100.0% $ 48,401,570 ============ See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 113 PIMCO Schedule of Investments Class D (Cont.) Total Return Fund September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,212,765 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (233,563) ------------ Unrealized appreciation-net $ 979,202 ============ (b) Securities with an aggregate market value of $465,997 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - ------------------------------------------------------------------------------- Eurodollar March Futures (03/2002) 762 $ 4,181 Eurodollar June Futures (06/2002) 173 (18) Eurodollar September Futures (09/2002) 2,883 10,301 Eurodollar December Futures (12/2002) 688 151 Eurodollar March Futures (03/2003) 685 (98) Eurodollar September Futures (09/2003) 1,753 4,539 Eurodollar December Futures (12/2003) 1,753 4,168 Eurodollar March Futures (03/2004) 1,753 3,862 Municipal Bond (12/2001) 262 335 EuroBond 10 Year Note (12/2001) 14,582 (4,168) Euro-Bobl 5 Year Note (12/2001) 17,302 19,687 U.S. Treasury 5 Year Note (12/2001) 7,648 (5,887) U.S. Treasury 10 Year Note (12/2001) 174 138 U.S. Treasury 30 Year Note (12/2001) 30,186 34,690 Euribor Futures (06/2002) 294 654 Euribor Futures (09/2002) 125 273 Euribor Futures (12/2002) 294 601 Euribor Futures (03/2003) 294 506 United Kingdom 90 Day LIBOR Futures (03/2002) 275 582 United Kingdom 90 Day LIBOR Futures (06/2002) 10 19 United Kingdom 90 Day LIBOR Futures (09/2002) 543 648 United Kingdom 90 Day LIBOR Futures (12/2002) 2,202 1,980 United Kingdom 90 Day LIBOR Futures (03/2003) 700 520 ------------ $ 77,664 ============ (c) Premiums received on written options: # of Type Contracts Premium Value - ------------------------------------------------------------------------------- Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/21/2001 74,600,000 $ 2,278 $ 9 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/27/2001 74,600,000 2,106 14 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 11/22/2001 92,700,000 2,728 12 Put - OTC Euro vs. U.S. Dollar Strike @ 0.820 Exp. 12/03/2001 93,600,000 1,932 23 Put - CME Eurodollar December Futures Strike @ 96.000 Exp. 12/17/2001 8,152 3,547 51 Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 4,402 1,554 28 Put - CME Eurodollar June Futures Strike @ 95.500 Exp. 06/17/2002 36,778 23,226 2,299 Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 114,514 $ 76,922 $ 10,735 Call - CBOT U.S. Treasury Note December Futures Strike @ 109.000 Exp. 11/24/2001 8,193 3,376 9,856 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 55,129 35,755 6,882 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 18,268 6,716 114 Call - CME Eurodollar June Futures Strike @ 97.000 Exp. 06/17/2002 5,985 819 5,761 Call - OTC Tyco International Ltd. 0.00% due 11/17/2020 Strike @ 75.282 Exp 11/17/2001 17,100,000 0 52 ------------------------- $ 160,959 $ 35,836 ========================= (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security is in default. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Unrealized Covered by Settlement Appreciation/ Type Currency Contract Month (Depreciation) - ------------------------------------------------------------------------------- Sell C$ 27,294 10/2001 $ 156 Buy EC 753,923 10/2001 (5,258) Sell BP 101,158 10/2001 22 Sell JY 70,045,208 10/2001 (3,694) Sell 70,045,208 12/2001 (3,201) Sell N$ 56,333 10/2001 1,562 ------------ $ (10,413) ============ (g) Principal amount denoted in indicated currency: BP - British Pound C$ - Canadian Dollar DM - German Mark EC - Euro JY - Japanese Yen N$ - New Zealand Dollar (h) Swap agreements outstanding at September, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - ------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 1.600% and pay a fixed rate equal to 0.426%. Broker: Lehman Brothers Exp. 04/19/2005 $ 13,033 $ 1,818 Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 35,000 (2,340) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.305%. Broker: Goldman Sachs Exp. 04/15/2008 JY 377,000 (141) 114 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.669%. Broker: Goldman Sachs Exp. 05/18/2007 JY 1,500,000 $ (643) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.295%. Broker: Goldman Sachs Exp. 04/14/2008 580,000 (215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.340%. Broker: Goldman Sachs Exp. 10/07/2007 24,500,000 (19,740) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.757%. Broker: Merrill Lynch Exp. 01/11/2011 10,000,000 (3,215) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.771%. Broker: Morgan Stanley Dean Witter Exp. 01/11/2011 11,050,000 (3,668) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.777%. Broker: Goldman Sachs Exp. 01/12/2011 3,734,100 (1,257) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/02/2004 BP 96,500 1,265 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/02/2004 52,200 684 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2006 247,000 261 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 716,100 14,397 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 629,900 (2,327) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 170,300 1,082 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/19/2006 BP 280,500 $ (1,698) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 197,100 2,740 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2004 264,500 5,123 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2004 314,700 4,456 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2003 200,000 2,832 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2003 10,000 140 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2003 721,000 7,798 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.03/15/2004 167,300 184 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 316,590 3,635 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp.06/17/2004 274,920 1,208 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/15/2006 491,000 5,764 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 06/17/2004 311,000 2,193 See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 115 Schedule of Investments (Cont.) Total Return Fund September 30, 2001 (Unaudited) Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 $ 804,000 $ 40,911 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 252,800 9,050 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 2,173,200 108,142 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 09/17/2003 BP 875,700 3,142 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 185,800 (324) Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Niagara Mohawk Corp. 7.750% due 10/01/2008. Broker: Lehman Brothers Exp. 12/31/2004 $ 50,000 (379) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.400% due 02/01/2004. Broker: Goldman Sachs Exp. 11/10/2002 20,000 (12) Receive a fixed rate equal to 0.510% and the Fund will pay to the counterparty at par in the event of default of Time Warner, Inc. 7.750% due 06/15/2005. Broker: Lehman Brothers Exp. 01/25/2005 10,000 (44) Receive a fixed rate equal to 0.250% and the Fund will pay to the counterparty at par in the event of default of Wisconsin Electric Power 6.625% due 11/16/2006. Broker: Lehman Brothers Exp. 04/18/2003 25,000 (62) Receive a fixed rate equal to 1.300% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 05/09/2002 50,000 247 Receive a fixed rate equal to 1.500% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.875% due 01/15/2007. Broker: Salomon Brothers, Inc. Exp. 06/13/2002 50,000 263 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of Enron Corp. 8.375% due 05/23/2005. Broker: Morgan Stanley Dean Witter Exp. 03/08/2004 $ 12,000 $ (102) Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 06/10/2002. Broker: Lehman Brothers Exp. 05/09/2002 20,000 (7) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: Lehman Brothers Exp. 06/15/2004 21,500 (29) Receive a fixed rate equal to 0.840% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: GoldmanSachs Exp. 06/15/2004 100,000 (160) Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 100,000 (133) Receive a fixed rate equal to 1.650% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.750% due 04/06/2005. Broker: Credit Suisse First Boston Exp. 05/23/2003 50,000 152 Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/24/2002 150,000 37 Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Tyco International Group SA. 0.000% due 02/12/2021. Broker: Merrill Lynch Exp. 02/12/2003 25,000 33 Receive a fixed rate equal to 0.900% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 50,000 0 Receive a fixed rate equal to 0.625% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.000% due 07/15/2005. Broker: J.P. Morgan Chase & Co. Exp. 07/17/2003 50,000 23 116 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.650% due 07/01/2008. Broker: Credit Suisse First Boston Exp. 07/17/2003 $ 100,000 $ 131 Receive a fixed rate equal to 0.430% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Credit Suisse First Boston Exp. 08/06/2002 20,000 5 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Morgan Stanley Dean Witter Exp. 08/06/2002 20,000 0 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of Household International, Inc. 0.000% due 08/02/2021. Broker: Merrill Lynch Exp. 08/06/2002 20,000 (1) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 7.625% due 01/30/2011. Broker: Lehman Brothers Exp. 08/06/2002 30,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.375% due 05/01/2009. Broker: Morgan Stanley Dean Witter Exp. 08/15/2002 25,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 30,000 1 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 65,000 (12) Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 76,500 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 68,500 0 ------------ $ 181,208 ============ (i) Principal amount of the security is adjusted for inflation. (j) Subject to financing transaction. (k) Securities are grouped by coupon or range of coupons and represent a range of maturities. (l) Restricted security. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 117 Schedule of Investments Total Return Mortgage Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) MORTGAGE-BACKED SECURITIES 138.5% Collateralized Mortgage Obligations 31.9% Bank Trust Mortgage 5.700% due 12/01/2023 $ 982 $ 990 Chase Mortgage Finance Corp 7.000% due 07/25/2024 261 261 6.550% due 08/25/2028 425 432 Citicorp Mortgage Securities, Inc. 6.500% due 05/25/2030 295 301 Countrywide Alternative Loan Trust 6.750% due 08/25/2028 67 68 Countrywide Home Loans 6.500% due 03/25/2029 100 101 7.750% due 01/25/2031 156 160 DLJ Mortgage Acceptance Corp. 7.000% due 06/25/2028 138 142 E-Trade Bank Adjustable Rate Mortgage Trust 7.174% due 09/25/2031 1,905 1,937 Fannie Mae 6.900% due 08/25/2011 100 103 4.453% due 10/31/2011 1,000 1,002 6.500% due 02/25/2019 261 261 7.750% due 08/25/2022 69 75 3.687% due 04/25/2023 (b) 25 26 4.843% due 05/25/2023 (b) 2,481 2,493 6.500% due 09/25/2023 39 39 7.000% due 09/25/2023 17 18 6.500% due 09/25/2023 182 169 6.750% due 09/25/2023 57 56 6.500% due 10/25/2023 217 218 6.500% due 12/25/2023 182 175 3.896% due 04/18/2028 (b) 89 90 Freddie Mac 6.000% due 06/15/2008 371 380 4.500% due 03/15/2021 36 36 3.500% due 12/15/2022 10 8 6.500% due 12/15/2023 50 50 6.500% due 03/15/2024 114 115 8.000% due 06/15/2026 76 84 6.500% due 05/15/2027 73 73 6.000% due 10/15/2028 153 152 General Electric Capital Mortgage Services, Inc. 5.250% due 11/25/2008 273 273 7.000% due 01/25/2028 100 102 6.750% due 06/25/2028 200 206 Government National Mortgage Association 7.600% due 04/20/2026 2,309 2,340 7.000% due 07/16/2026 186 194 Mellon Residential Funding Corp. 6.580% due 07/25/2029 (b) 410 434 Norwest Asset Securities Corp. 6.250% due 09/25/2028 454 455 6.250% due 01/25/2029 152 154 Residential Accredit Loans, Inc. 7.000% due 01/25/2028 155 155 Superannuation Members Home Loans Global Fund 4.145% due 06/15/2026 (b) 300 300 Vendee Mortgage Trust 7.750% due 05/15/2022 41 45 ------------ 14,673 ============ Fannie Mae 54.2% 4.510% due 10/30/2011 3,000 3,007 4.900% due 04/01/2007 1,720 1,720 4.980% due 07/01/2008 4,990 5,006 5.817% due 10/01/2028 (b) 431 442 6.000% due 10/18/2016 (b) 8,000 8,074 6.483% due 11/01/2018 (b) 37 38 7.000% due 04/01/2026 (b) 19 19 7.169% due 08/01/2026 (b) 103 105 7.378% due 05/01/2023 (b) 142 146 7.500% due 10/15/2031 6,000 6,238 9.000% due 01/01/2020 108 119 ------------ 24,914 ============ Federal Housing Administration 3.8% 7.430% due 06/01/2019 $ 1,685 $ 1,725 ------------ Freddie Mac 20.6% 6.000% due 10/01/2024-10/15/2031 (c) 3,136 3,132 6.448% due 02/01/2018 (b) 142 144 6.500% due 10/15/2031 2,000 2,036 7.094% due 07/01/2030 (b) 3,800 3,973 7.808% due 11/01/2028 (b) 78 80 7.995% due 08/01/2025 (b) 120 124 ------------ 9,489 ============ Government National Mortgage Association 27.6% 7.000% due 10/22/2031 (b) 6,500 6,750 7.125% due 10/20/2022 (b) 110 114 7.375% due 03/20/2016-03/20/2027 (b)(c) 1,008 1,027 7.500% due 05/15/2027-08/15/2027 (c) 99 104 7.625% due 12/20/2021-11/20/2026 (b)(c) 74 76 7.750% due 07/20/2022-07/20/2025 (b)(c) 370 381 8.500% due 10/22/2031 (d) 4,000 4,246 ------------ 12,698 ============ Stripped Mortgage-Backed Securities 0.4% Fannie Mae (IO) 6.500% due 07/25/2007 18 0 Fannie Mae (PO) 0.000% due 07/25/2022 243 201 ------------ Total Mortgage-Backed Securities 63,700 ============ (Cost $62,653) ASSET-BACKED SECURITIES 4.2% Bayview Financial Acquisition Trust 3.051% due 07/25/2030 (b) 154 154 MLCC Mortgage Investors, Inc. 4.020% due 03/15/2025 (b) 189 190 Novastar Home Equity Loan 3.011% due 01/25/2031 (b) 922 923 Option One Mortgage Loan Trust 3.910% due 04/25/2030 665 667 ------------ Total Asset-Backed Securities (b) 1,934 ============ (Cost $1,930) CONVERTIBLE BONDS & NOTES 0.0% Industrial 0.0% Clear Channel Communications, Inc. 1.500% due 12/01/2002 10 10 ------------ Total Convertible Bonds & Notes 10 ============ (Cost $10) SHORT-TERM INSTRUMENTS 30.3% Commercial Paper 24.6% Abbey National North America 3.550% due 10/24/2001 200 200 3.470% due 10/31/2001 1,100 1,097 Fannie Mae 3.150% due 10/01/2001 7,500 7,500 0.010% due 10/04/2001 200 200 3.545% due 10/18/2001 200 200 3.630% due 12/20/2001 1,600 1,590 Swedbank, Inc. 3.100% due 12/26/2001 500 497 ------------ 11,284 ============ 118 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Repurchase Agreement 5.7% State Street Bank 2.600% due 10/01/2001 $ 2,617 $ 2,617 (Dated 09/28/2001. Collateralized by Fannie Mae 5.000% due 04/30/2003 valued at $2,674. Repurchase proceeds are $2,618.) ------------ Total Short-Term Instruments 13,901 ============ (Cost $13,897) Total Investments (a) 173.0% $ 79,545 (Cost $78,490) Other Assets and Liabilities (Net) (73.0%) (33,566) ------------ Net Assets 100.0% $ 45,979 ============ Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 1,064 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (9) ------------ Unrealized appreciation-net $ 1,055 ============ (b) Variable rate security. The rate listed is as of September 30, 2001. (c) Securities are grouped by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 119 PIMCO Financial Highlights Class D
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Selected Per Share Data Beginning of Net Investment (Loss) on from Investment Net Investment for the Year or Period Ended: Period Income (Loss) Investment Operations Income --------------- -------------- --------------- --------------- -------------- California Intermediate Municipal Bond Fund 09/30/2001 * $ 10.60 $ 0.19 (a) $ 0.20 (a) $ 0.39 $ (0.20) 03/31/2001 10.05 0.45 (a) 0.55 (a) 1.00 (0.42) 01/31/2000 - 03/31/2000 9.88 0.06 (a) 0.18 (a) 0.24 (0.07) California Municipal Bond Fund 09/30/2001 * $ 10.35 $ 0.18 (a) $ 0.31 (a) $ 0.49 $ (0.18) 07/31/2000 - 03/31/2001 10.35 0.31 (a) 0.43 (a) 0.74 (0.31) Convertible Fund 09/30/2001 * $ 11.43 $ 0.07 (a) $ (1.09)(a) $ (1.02) $ (0.12) 08/01/2000 - 03/31/2001 15.77 (0.05)(a) (3.39)(a) (3.44) (0.20) Emerging Markets Bond Fund 09/30/2001 * $ 8.40 $ 0.43 (a) $ 0.24 (a) $ 0.67 $ (0.39) 03/31/2001 8.61 0.79 (a) 0.20 (a) 0.99 (0.80) Foreign Bond Fund 09/30/2001 * $ 10.32 $ 0.22 (a) $ 0.12 (a) $ 0.34 $ (0.23) 03/31/2001 10.03 0.53 (a) 0.51 (a) 1.04 (0.54) 03/31/2000 10.63 0.59 (a) (0.45)(a) 0.14 (0.59) 04/08/1998 - 03/31/1999 10.83 0.53 (a) 0.15 (a) 0.68 (0.53) GNMA Fund 05/31/2001 - 09/30/2001 * $ 10.43 $ 0.21 (a) $ 0.36 (a) $ 0.57 $ (0.21) High Yield Fund 09/30/2001 * $ 9.88 $ 0.39 (a) $ (0.68)(a) $ (0.29) $ (0.39) 03/31/2001 10.22 1.52 (a) (0.99)(a) 0.53 (0.86) 03/31/2000 11.23 0.89 (a) (1.01)(a) (0.12) (0.88) 04/08/1998 - 03/31/1999 11.68 0.89 (a) (0.45)(a) 0.44 (0.88) Low Duration Fund 09/30/2001 * $ 10.03 $ 0.28 (a) $ 0.18 (a) $ 0.46 $ (0.29) 03/31/2001 9.81 0.62 (a) 0.24 (a) 0.86 (0.64) 03/31/2000 10.10 0.61 (a) (0.29)(a) 0.32 (0.60) 04/08/1998 - 03/31/1999 10.19 0.60 (a) (0.03)(a) 0.57 (0.60) Municipal Bond Fund 09/30/2001 * $ 10.02 $ 0.23 (a) $ 0.20 (a) $ 0.43 $ (0.23) 03/31/2001 9.47 0.43 (a) 0.56 (a) 0.99 (0.44) 03/31/2000 10.12 0.42 (a) (0.64)(a) (0.22) (0.43) 04/08/1998 - 03/31/1999 9.98 0.40 (a) 0.14 (a) 0.54 (0.40) New York Municipal Bond Fund 09/30/2001 * $ 10.64 $ 0.22 (a) $ 0.18 (a) $ 0.40 $ (0.22) 03/31/2001 9.94 0.44 (a) 0.77 (a) 1.21 (0.42) 01/31/2000 - 03/31/2000 9.79 0.07 (a) 0.15 (a) 0.22 (0.07) Real Return Fund 09/30/2001 * $ 10.40 $ 0.26 (a) $ 0.18 (a) $ 0.44 $ (0.33) 03/31/2001 9.92 0.72 (a) 0.60 (a) 1.32 (0.76) 03/31/2000 9.83 0.63 (a) 0.12 (a) 0.75 (0.64) 04/08/1998 - 03/31/1999 9.77 0.47 (a) 0.09 (a) 0.56 (0.44) Short Duration Municipal Income Fund 09/30/2001 * $ 10.16 $ 0.16 (a) $ 0.09 (a) $ 0.25 $ (0.16) 03/31/2001 9.98 0.41 (a) 0.17 (a) 0.58 (0.40) 01/31/2000 - 03/31/2000 9.99 0.06 (a) (0.01)(a) 0.05 (0.06)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense 0.75%. (c) Ratio of expenses to average net assets excluding interest expense 0.95%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.29%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.74%. (f) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 2.52%. 120 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions in Ratio of Excess of Net from Net Excess of Net Expenses to Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Average Net Income Gains Gains Distribution End of Period Total Return of Period (000s) Assets - ------------- ---------------- ---------------- ------------ --------------- ------------ ---------------- ----------- $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.79 3.72% $ 997 0.85%+ 0.00 (0.03) 0.00 (0.45) 10.60 10.21 181 0.86 (g) 0.00 0.00 0.00 (0.07) 10.05 2.39 10 0.85+(e) $ 0.00 $ 0.00 $ 0.00 $ (0.18) $ 10.66 4.80% $ 11 0.85%+ 0.00 (0.43) 0.00 (0.74) 10.35 7.82 10 0.85+ $ 0.00 $ 0.00 $ 0.00 $ (0.12) $ 10.29 (9.00)% $ 7 1.05%+ 0.00 0.00 (0.70) (0.90) 11.43 (22.62) 8 1.05+ $ 0.00 $ 0.00 $ 0.00 $ (0.39) $ 8.68 8.05% $ 518 1.33%+(h) 0.00 0.00 (0.40) (1.20) 8.40 12.58 11 1.33 (h) $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 10.43 3.34% $ 38,328 0.96%+(c) 0.00 0.00 (0.21) (0.75) 10.32 10.84 26,590 0.99 (c) 0.00 (0.15) 0.00 (0.74) 10.03 1.51 9,955 1.16 (c) 0.00 (0.10) ((0.25) (0.88) 10.63 6.46 8,513 0.95+ $ 0.00 $ 0.00 $ 0.00 $ (0.21) $ 10.79 6.57% $ 11 1.01%+(i) $ 0.00 $ 0.00 $ 0.00 $ (0.39) $ 9.20 (3.01)% $ 48,610 0.90%+ (0.01) 0.00 0.00 (0.87) 9.88 5.40 32,820 0.90 (0.01) 0.00 0.00 (0.89) 10.22 (1.14) 23,601 0.90 (0.01) 0.00 0.00 (0.89) 11.23 4.00 9,065 0.90+ $ 0.00 $ 0.00 $ 0.00 $ (0.29) $ 10.20 4.61% $ 51,139 0.75%+ 0.00 0.00 0.00 (0.64) 10.03 9.10 19,282 0.82 (b) (0.01) 0.00 0.00 (0.61) 9.81 3.22 12,018 0.83 (b) 0.00 (0.01) (0.05) (0.66) 10.10 5.77 6,481 0.75+ $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 10.22 4.32% $ 2,753 0.85%+ 0.00 0.00 0.00 (0.44) 10.02 10.74 1,414 0.85 0.00 0.00 0.00 (0.43) 9.47 (2.16) 1,104 0.85 0.00 0.00 0.00 (0.40) 10.12 5.47 242 0.85+ $ 0.00 $ 0.00 $ 0.00 $ (0.22) $ 10.82 3.73% $ 117 0.85%+ 0.00 (0.09) 0.00 (0.51) 10.64 12.44 113 0.90 (g) 0.00 0.00 0.00 (0.07) 9.94 2.21 10 0.87+(f)(g) $ 0.00 $ 0.00 $ 0.00 $ (0.33) $ 10.51 4.34% $ 270,241 0.90%+ 0.00 (0.08) 0.00 (0.84) 10.40 13.99 57,696 0.94 (j) 0.00 (0.02) 0.00 (0.66) 9.92 7.93 15,560 0.93 (j) (0.06) 0.00 0.00 (0.50) 9.83 5.89 193 0.92+(j) $ 0.00 $ 0.00 $ 0.00 $ (0.16) $ 10.25 2.51% $ 11 0.80%+ 0.00 0.00 0.00 (0.40) 10.16 5.78 11 0.81 (k) 0.00 0.00 0.00 (0.06) 9.98 0.47 10 0.80+(d) Ratio of Net Investment Income (Loss) to Average Portfolio Net Assets Turnover Rate - ------------- ------------- 3.58%+ 35% 4.26 257 3.88+ 357 3.44%+ 36% 4.47+ 338 1.20%+ 144% (0.35)+ 225 9.64%+ 531% 9.33 902 4.33%+ 168% 5.26 417 5.77 330 4.82+ 376 5.99%+ 587% 8.05%+ 41% 15.06 53 8.29 39 8.07+ 39 5.53%+ 269% 6.23 348 6.11 82 5.81+ 245 4.47%+ 48% 4.41 306 4.46 145 3.99+ 70 3.95%+ 106% 4.23 973 4.02+ 270 4.96%+ 29% 7.14 202 6.44 253 4.75+ 438 3.17%+ 51% 4.05 208 3.51+ 171
(g) Ratio of expenses to average net assets excluding interest expense is 0.85%. (h) Ratio of expenses to average net assets excluding interest expense is 1.25%. (i) Ratio of expenses to average net assets excluding interest expense is 1.00%. (j) Ratio of expenses to average net assets excluding interest expense is 0.90%. (k) Ratio of expenses to average net assets excluding interest expense is 0.80%. See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 121 PIMCO Financial Highlights Class D (Cont.)
Net Realized / Net Asset Value Unrealized Gain Total Income Dividends from Selected Per Share Data Beginning of Net Investment (Loss) on from Investment Net Investment for the Year or Period Ended: Period Income (Loss) Investment Operations Income --------------- -------------- --------------- --------------- -------------- Short-Term Fund 09/30/2001 * $ 10.03 $ 0.21 (a) $ 0.06 (a) $ 0.27 $ (0.24) 03/31/2001 9.95 0.62 (a) 0.09 (a) 0.71 (0.61) 03/31/2000 10.03 0.55 (a) (0.08)(a) 0.47 (0.55) 04/08/1998 - 03/31/1999 10.07 0.53 (a) (0.03)(a) 0.50 (0.53) StocksPLUS Fund 09/30/2001 * $ 10.12 $ (0.04)(a) $ (0.92)(a) $ (0.96) $ (0.10) 03/31/2001 14.08 (0.05)(a) (2.76)(a) (2.81) (0.24) 03/31/2000 14.27 1.04 (a) 1.29 (a) 2.33 (1.04) 04/08/1998 - 03/31/1999 14.13 0.79 (a) 1.38 (a) 2.17 (0.79) Strategic Balanced Fund 09/30/2001 * $ 10.44 $ 0.15 (a) $ (0.51)(a) $ (0.36) $ (0.13) 03/31/2001 12.78 1.47 (a) (2.49)(a) (1.02) (0.63) 03/31/2000 12.75 0.71 (a) 0.47 (a) 1.18 (0.69) 04/08/1998 - 03/31/1999 12.65 0.79 (a) 0.60 (a) 1.39 (0.62) Total Return Fund 09/30/2001 * $ 10.52 $ 0.27 (a) $ 0.35 (a) $ 0.62 $ (0.27) 03/31/2001 9.96 0.64 (a) 0.56 (a) 1.20 (0.62) 03/31/2000 10.36 0.60 (a) (0.40)(a) 0.20 (0.58) 04/08/1998 - 03/31/1999 10.66 0.59 (a) 0.12 (a) 0.71 (0.59) Total Return Mortgage Fund 09/30/2001 * $ 10.42 $ 0.22 (a) $ 0.34 (a) $ 0.56 $ (0.20) 03/31/2001 9.97 0.59 (a) 0.63 (a) 1.22 (0.59) 03/31/2000 10.19 0.54 (a) (0.20)(a) 0.34 (0.55) 04/08/1998 - 03/31/1999 10.27 0.53 (a) 0.02 (a) 0.55 (0.53)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense 0.75%. (c) Effective September 29, 2000, the Strategic Balanced Fund did not incur advisory fee expenses. 122 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Dividends in Distributions Distributions in Ratio of Excess of Net from Net Excess of Net Expenses to Investment Realized Capital Realized Capital Total Net Asset Value Net Assets End Average Net Income Gains Gains Distribution End of Period Total Return of Period (000s) Assets - ------------- ---------------- ---------------- ------------ --------------- ------------ ---------------- ----------- $ 0.00 $ 0.00 $ 0.00 $ (0.24) $ 10.06 2.75% $ 44,743 0.94%+(b) 0.00 0.00 (0.02) (0.63) 10.03 7.33 6,613 1.31 (b) 0.00 0.00 0.00 (0.55) 9.95 4.87 3,361 0.93 (b) 0.00 0.00 (0.01) (0.54) 10.03 5.10 2,278 0.75+ $ 0.00 $ 0.00 $ 0.00 $ (0.10) $ 9.06 (9.60)% $ 2,476 1.05%+ 0.00 0.00 (0.91) (1.15) 10.12 (21.27) 2,769 1.05 (0.97) (0.51) 0.00 (2.52) 14.08 17.32 3,288 1.05 0.00 (1.24) 0.00 (2.03) 14.27 16.69 1,721 1.05+ $ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.95 (3.44)% $ 1,283 0.65%+ 0.00 0.00 (0.69) (1.32) 10.44 (8.65) 632 0.76 (c) 0.00 (0.15) (0.31) (1.15) 12.78 9.55 167 1.05 0.00 (0.67) 0.00 (1.29) 12.75 11.45 173 1.05+ $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 10.87 6.05% $ 452,646 0.75%+ (0.02) 0.00 0.00 (0.64) 10.52 12.44 264,984 0.81 (b) (0.02) 0.00 0.00 (0.60) 9.96 2.00 80,459 0.87 (b) 0.00 (0.24) (0.18) (1.01) 10.36 6.73 34,839 0.75+ $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 10.78 5.83% $ 9,077 0.90%+ 0.00 (0.18) 0.00 (0.77) 10.42 12.69 1,261 0.90 (0.01) 0.00 0.00 (0.56) 9.97 3.47 166 0.90 0.00 (0.03) (0.07) (0.63) 10.19 5.41 183 0.90+ Ratio of Net Investment Income (Loss) to Average Portfolio Net Assets Turnover Rate - ------------- ------------- 4.11%+ 77% 6.15 121 5.54 38 5.05+ 47 (0.69)%+ 225% (0.43) 270 7.16 92 8.12+ 81 2.78%+ 11% 12.67 651 5.49 176 6.41+ 82 5.12%+ 256% 6.24 450 5.97 223 5.21+ 154 4.23%+ 644% 5.78 848 5.38 1476 5.15+ 158
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 123 PIMCO Statements of Assets and Liabilities Class D September 30, 2001 (Unaudited)
California Intermediate California Emerging Amounts in thousands, Municipal Municipal Convertible Markets Foreign Bond High Yield except per share amounts Bond Fund Bond Fund Fund Bond Fund Fund GNMA Fund Fund - ----------------------------------------------------------------------------------------------------------------------------------- Assets: Investments, at value $ 102,974 $ 15,025 $ 42,407 $ 75,320 $ 1,255,354 $ 59,915 $ 2,958,925 Cash and foreign currency 0 1 1,405 3,148 19,278 0 2,330 Receivable for investments and foreign currency sold 0 0 1,498 12,590 230,859 0 31,157 Receivable for Fund shares sold 301 1 1 84 1,925 3,270 9,102 Variation margin receivable 7 5 0 0 176 0 0 Interest and dividends receivable 1,347 147 171 1,784 18,371 136 59,700 Other assets 0 0 1 1 5,635 0 0 104,629 15,179 45,483 92,927 1,531,598 63,321 3,061,214 Liabilities: Payable for investments and foreign currency purchased $ 2,738 $ 0 $ 2,135 14,641 $ 316,208 $ 20,896 $ 87,640 Payable for financing transactions 0 0 0 11,857 326,983 0 0 Payable for short sale 0 0 0 0 123,958 0 0 Notes payable 0 0 0 0 0 0 0 Due to custodian 78 0 0 0 0 735 0 Written options outstanding 0 0 0 0 2,854 0 0 Payable for Fund shares redeemed 499 0 85 28 3,118 189 7,925 Dividends payable 12 1 0 47 278 12 5,729 Accrued investment advisory fee 20 3 13 26 136 5 566 Accrued administration fee 21 3 11 24 168 7 690 Accrued distribution fee 0 0 9 4 44 0 522 Accrued servicing fee 6 0 4 1 39 5 207 Variation margin payable 14 0 0 0 37 0 0 Recoupment payable to Manager 2 0 1 0 0 0 0 Other liabilities 0 1 0 59 2,766 16 0 3,390 8 2,258 26,687 776,589 21,865 103,279 ======================================= ========= ========= =========== ========= ============ ========= =========== Net Assets $ 101,239 $ 15,171 $ 43,225 66,240 $ 755,009 41,456 $ 2,957,935 ======================================= ========= ========= =========== ========= ============ ========= =========== Net Assets Consist of: Paid in capital $ 93,213 $ 14,153 $ 67,784 61,889 $ 753,250 $ 40,333 $ 3,634,247 Undistributed (overdistributed) net investment income 1,397 173 (1,520) 1,215 (885) 312 (2,107) Accumulated undistributed net realized gain (loss) 1,360 283 (18,512) 3,656 6,206 418 (367,330) Net unrealized appreciation (depreciation) 5,269 562 (4,527) (520) (3,562) 393 (306,875) $ 101,239 $ 15,171 $ 43,225 66,240 $ 755,009 41,456 $ 2,957,935 ======================================= ========= ========= =========== ========= ============ ========= =========== Net Assets: Class D $ 997 $ 11 $ 7 518 $ 38,328 11 $ 48,610 Other Classes 100,242 15,160 43,218 65,722 716,681 41,445 2,909,325 Shares Issued and Outstanding: Class D 92 1 1 60 3,674 1 5,285 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Class D $ 10.79 $ 10.66 $ 10.29 8.68 $ 10.43 10.79 $ 9.20 Cost of Investments Owned $ 97,549 $ 14,483 $ 46,997 76,100 $ 1,260,131 59,519 $ 3,265,840 ======================================= ========= ========= =========== ========= ============ ========= =========== Cost of Foreign Currency Held $ 0 $ 0 $ 903 0 $ 15,042 0 $ 2,593 ======================================= ========= ========= =========== ========= ============ ========= ===========
124 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Short New York Duration Strategic Total Return Low Duration Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Mortgage Fund Bond Fund Bond Fund Fund Income Fund Fund Fund Fund Fund Fund - ----------------------------------------------------------------------------------------------------------------------------------- $ 7,534,221 $ 115,800 $ 4,947 $ 2,928,772 $ 14,347 $ 1,588,816 $ 1,276,980 $ 73,604 $ 65,289,982 $ 79,545 8,296 0 1 0 1 883 6,971 76 255,965 0 427,170 0 0 19,336 0 178,118 6,494 0 1,766,079 29,839 35,424 260 0 60,658 0 19,701 2,745 92 277,365 803 0 7 0 5 0 3 13,882 0 578 0 50,403 1,420 78 30,183 226 9,356 6,984 110 466,336 188 4,323 1 2 3 0 0 8 0 180,684 1 8,059,837 117,488 5,028 3,038,957 14,574 1,796,877 1,314,064 73,882 68,236,989 110,376 ============ ========== ========= =========== =========== =========== =========== ========= ============ ============ $ 2,492,577 $ 7,923 $ 0 $ 45,759 $ 0 $ 10,093 $ 404,802 $ 184 $ 18,657,782 $ 63,833 8,655 0 0 1,031,191 0 177,775 0 0 892,867 0 424,796 0 0 0 0 89,613 0 0 0 0 0 0 0 0 0 32,573 18,581 0 0 0 0 69 0 8,317 0 0 0 0 0 518 65 0 0 0 0 0 28 0 35,836 0 21,199 184 0 5,901 3 11,015 885 25 172,581 6 2,594 94 2 132 0 778 17 0 30,679 12 922 20 1 333 2 262 265 0 8,809 8 775 25 1 439 2 275 220 10 7,438 11 169 23 0 212 0 38 187 13 2,841 0 131 12 0 176 0 113 90 5 1,299 9 0 14 0 132 0 0 47 0 317 0 0 0 0 0 0 0 0 0 0 0 540 0 0 2,481 1 1,303 10,692 0 24,970 0 2,952,423 8,364 4 1,095,073 8 323,838 435,814 237 19,835,419 64,397 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============ $ 5,107,414 $ 109,124 $ 5,024 $ 1,943,884 $ 14,566 $ 1,473,039 $ 878,250 $ 73,645 $ 48,401,570 $ 45,979 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============ $ 5,052,058 $ 104,416 $ 4,749 $ 1,894,777 $ 14,208 $ 1,468,611 $ 1,297,722 $ 89,862 $ 46,287,651 $ 43,563 571 18 66 65 39 (1,519) (40,594) 646 159,058 383 (15,229) 1,320 139 5,889 18 4,086 (304,884) (2,901) 622,072 988 70,014 3,370 70 43,153 301 1,861 (73,994) (13,962) 1,332,789 1,015 $ 5,107,414 $ 109,124 $ 5,024 $ 1,943,884 $ 14,566 $ 1,473,039 $ 878,250 $ 73,645 $ 48,401,570 $ 45,979 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============ $ 51,139 $ 2,753 $ 117 $ 270,241 $ 11 $ 44,743 $ 2,476 $ 1,283 $ 452,646 $ 9,077 5,056,275 106,371 4,907 1,673,643 14,555 1,428,296 875,774 72,362 47,948,924 36,902 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============ 5,013 269 11 25,724 1 4,448 273 129 41,627 842 $ 10.20 $ 10.22 $ 10.82 $ 10.51 $ 10.25 $ 10.06 $ 9.06 $ 9.95 $ 10.87 $ 10.78 $ 7,464,456 $ 112,266 $ 4,876 $ 2,885,433 $ 14,046 $ 1,584,046 $ 1,271,983 $ 87,566 $ 64,310,780 $ 78,490 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============ $ 5,302 $ 0 $ 0 $ 2,158 $ 0 $ 1,067 $ 6,743 $ 0 $ 236,261 $ 0 ============ ========= ========= =========== =========== =========== =========== ========= ============ ============
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 125 PIMCO Statements of Operations Class D For the year or period ended September 30, 2001 (Unaudited)
California Intermediate California Emerging Amounts in thousands, Municipal Municipal Convertible Markets Foreign Bond High Yield except per share amounts Bond Fund Bond Fund Fund Bond Fund Fund GNMA Fund Fund - ----------------------------------------------------------------------------------------------------------------------------------- Investment Income: Interest $ 2,693 $ 312 $ 146 $ 3,528 $ 18,461 $ 469 $ 125,555 Dividends, net of foreign taxes 0 0 474 0 256 0 3,940 Miscellaneous income 0 0 0 0 0 0 123 Total Income 2,693 312 620 3,528 18,717 469 129,618 ======================================= =========== ========= =========== ========= ============ ========== ============ Expenses: Investment advisory fees 131 17 104 160 869 18 3,589 Administration fees 141 17 84 146 1,060 19 4,382 Servicing fees - Class D 0 0 0 0 40 0 54 Distribution and/or servicing fees - 37 1 104 28 474 7 4,639 Other Classes Trustees' fees 0 0 0 0 2 0 10 Interest expense 3 0 28 62 46 7 0 Miscellaneous expense 0 0 0 0 0 0 0 Recoupment to Manager 3 0 1 0 0 0 0 Total Expenses 315 35 321 396 2,491 51 12,674 Net Investment Income (Loss) 2,378 277 299 3,132 16,226 418 116,944 ======================================= =========== ========= =========== ========= ============ ========== ============ Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 822 3 (9,472) 3,988 2,187 424 (67,216) Net realized gain (loss) on futures contracts and written options 606 269 0 0 9,856 0 0 Net realized gain (loss) on foreign currency transactions 0 0 (56) 154 2,132 0 32 Net change in unrealized appreciation (depreciation) on investments 328 106 3,700 (1,548) 14,986 189 (141,253) Net change in unrealized appreciation (depreciation) on futures contracts and written options (257) 28 0 0 (23) 0 0 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 0 0 (81) 87 (21,268) 0 (5) Net Gain (Loss) 1,499 406 (5,909) 2,681 7,870 613 (208,442) Net Increase (Decrease) in Assets Resulting from Operations $ 3,877 $ 683 $ (5,610) $ 5,813 $ 24,096 $ 1,031 $ (91,498) ======================================= =========== ========= =========== ========= ============ ========== ============
126 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Short New York Duration Strategic Total Return Low Duration Municipal Municipal Real Return Municipal Short-Term StocksPLUS Balanced Total Return Mortgage Fund Bond Fund Bond Fund Fund Income Fund Fund Fund Fund Fund Fund - ------------------------------------------------------------------------------------------------------------------------------------ $ 152,748 $ 2,551 $ 111 $ 41,833 $ 302 $ 25,684 $ 1,443 $ 18 $ 1,320,521 $ 953 3,141 0 0 8 0 0 413 1,340 18,735 0 0 0 0 0 1 0 0 2 0 1 155,889 2,551 111 41,841 303 25,684 1,856 1,360 1,339,256 954 ============ ========= ========= =========== =========== ========== ========== ========= ============ ============= 6,046 119 6 1,633 14 1,162 2,049 0 55,857 44 4,971 148 6 2,075 14 1,150 1,702 69 46,740 55 33 3 0 182 0 25 4 1 424 4 1,643 197 0 1,445 0 491 2,165 125 23,971 33 16 0 0 3 0 2 4 0 140 0 51 0 0 45 0 1,143 33 0 333 0 0 0 0 0 0 0 0 0 4 0 0 0 0 0 0 0 0 0 0 0 12,760 467 12 5,383 28 3,973 5,957 195 127,469 136 143,129 2,084 99 36,458 275 21,711 (4,101) 1,165 1,211,787 818 ============ ========= ========= =========== =========== ========== ========== ========= ============ ============= 37,120 268 17 8,536 16 3,969 7,855 (671) 471,955 989 427 689 93 (157) 0 983 (42,404) 0 265,454 0 (5,033) 0 0 (1,704) 0 2 949 85 (67,222) 0 45,455 1,106 (44) 7,380 113 (1,066) 2,733 (3,060) 703,720 387 2,134 (164) 0 969 0 112 (51,730) 0 182,887 0 2,158 0 0 974 0 (7) (4,084) (98) 7,146 0 82,261 1,899 66 15,998 129 3,993 (86,681) (3,744) 1,563,940 1,376 $ 225,390 $ 3,983 $ 165 $ 52,456 $ 404 $ 25,704 $ (90,782) $ (2,579) $ 2,775,727 $ 2,194 ============ ========= ========= =========== =========== ========== ========== ========= ============ =============
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 127 PIMCO Statements of Changes in Net Assets Class D
California Intermediate California Municipal Amounts in thousands Municipal Bond Fund Bond Fund --------------------------------- ---------------------------------- Six Months Ended Year Ended Six Months Ended Period from Increase (Decrease) in Net Assets from: September 30, 2001 March 31, 2001 September 30, 2001 May 16, 2000 to (Unaudited) (Unaudited) March 31, 2001 Operations: Net investment income (loss) $ 2,378 $ 4,235 $ 277 $ 441 Net realized gain (loss) 1,428 1,278 272 544 Net change in unrealized appreciation (depreciation) 71 5,126 134 428 Net increase (decrease) resulting from operations 3,877 10,639 683 1,413 ===================================================== ============ ============ ============ =========== Distributions to Shareholders: From net investment income Class D (7) (2) 0 0 Other Classes (2,089) (4,142) (256) (432) In excess of net investment income Class D 0 0 0 0 Other Classes 0 0 0 0 From net realized capital gains Class D 0 0 0 0 Other Classes 0 (311) 0 (390) In excess of net realized capital gains Class D 0 0 0 0 Other Classes 0 0 0 0 Total Distributions (2,096) (4,455) (256) (822) ===================================================== ============ ============ ============ =========== Fund Share Transactions: Receipts for shares sold Class D 834 178 0 10 Other Classes 31,433 156,058 4,588 21,945 Issued as reinvestment of distributions Class D 7 2 0 1 Other Classes 2,049 4,237 247 810 Cost of shares redeemed Class D (31) (12) 0 0 Other Classes (53,298) (58,411) (2,748) (10,700) Net increase (decrease) resulting from Fund share transactions (19,006) 102,052 2,087 12,066 Total Increase (Decrease) in Net Assets (17,225) 108,236 2,514 12,657 ===================================================== ============ ============ ============ =========== Net Assets: Beginning of period 118,464 10,228 12,657 0 End of period * $ 101,239 $ 118,464 $ 15,171 $ 12,657 *Including net undistributed (overdistributed) $ 1,397 $ 1,115 $ 173 $ 152 investment income of: Amounts in thousands Convertible Fund ---------------------------------- Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2001 March 31, 2001 (Unaudited) Operations: Net investment income (loss) $ 299 $ (122) Net realized gain (loss) (9,528) (6,725) Net change in unrealized appreciation (depreciation) 3,619 (36,112) Net increase (decrease) resulting from operations (5,610) (42,959) ===================================================== ============ ============ Distributions to Shareholders: From net investment income Class D 0 0 Other Classes (483) (2,368) In excess of net investment income Class D 0 0 Other Classes 0 0 From net realized capital gains Class D 0 0 Other Classes 0 (7,035) In excess of net realized capital gains Class D 0 0 Other Classes 0 0 Total Distributions (483) (9,403) ===================================================== ============ ============ Fund Share Transactions: Receipts for shares sold Class D 0 0 Other Classes 8,032 113,053 Issued as reinvestment of distributions Class D 0 1 Other Classes 392 8,646 Cost of shares redeemed Class D 0 0 Other Classes (50,796) (161,679) Net increase (decrease) resulting from Fund share (42,372) (39,979) transactions Total Increase (Decrease) in Net Assets (48,465) (92,341) ===================================================== ============ ============ Net Assets: Beginning of period 91,690 184,031 End of period * $ 43,225 $ 91,690 *Including net undistributed (overdistributed) $ (1,520) $ (1,336) investment income of:
128 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Emerging Markets Bond Fund Foreign Bond Fund GNMA Fund - ---------------------------------- ---------------------------------- ---------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) (Unaudited) $ 3,132 $ 4,541 $ 16,226 $ 33,316 $ 418 $ 543 4,142 2,700 14,175 (890) 424 286 (1,461) (658) (6,305) 31,945 189 290 5,813 6,583 24,096 64,371 1,031 1,119 ============ =========== ============ =========== =========== =========== (5) (1) (702) (839) 0 0 (3,276) (4,544) (15,620) (32,294) (409) (510) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (54) 0 0 0 (373) 0 0 0 (2,352) 0 (12,497) 0 0 (3,281) (6,897) (16,322) (46,003) (409) (564) ============ =========== ============ =========== =========== =========== 624 0 14,365 18,523 11 0 39,264 39,107 147,932 249,638 32,904 9,077 5 1 689 1,188 0 0 3,042 6,408 13,566 38,972 345 530 (107) 0 (3,751) (3,687) 0 0 (36,718) (15,451) (100,407) (193,686) (2,400) (4,496) 6,110 30,065 72,394 110,948 30,860 5,111 8,642 29,751 80,168 129,316 31,482 5,666 ============ =========== ============ =========== =========== =========== 57,598 27,847 674,841 545,525 9,974 4,308 $ 66,240 $ 57,598 $ 755,009 $ 674,841 $ 41,456 $ 9,974 $ 1,215 $ 1,525 $ (885) $ (789) $ 312 $ 303 High Yield Fund Low Duration Fund - ----------------------------------- ----------------------------------- Six Months Ended Year Ended Six Months Ended Year Ended September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) $ 116,944 $ 246,822 $ 143,129 $ 288,496 (67,184) (237,986) 32,514 17,000 (141,258) 111,594 49,747 80,909 (91,498) 120,430 225,390 386,405 ============ =========== ============ =========== (1,756) (2,275) (745) (918) (115,383) (242,557) (142,067) (279,188) 0 (17) 0 (28) 0 (1,852) 0 (8,391) 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 (117,139) (246,701) (142,812) (288,525) ============ =========== ============ =========== 30,362 43,592 35,483 11,532 909,621 1,495,450 1,656,917 2,847,901 1,679 1,982 708 930 81,984 186,848 124,180 247,021 (13,027) (35,803) (4,879) (5,571) (486,189) (2,094,049) (1,390,862) (2,586,732) 524,430 (401,980) 421,547 515,081 315,793 (528,251) 504,125 612,961 ============ =========== ============ =========== 2,642,142 3,170,393 4,603,289 3,990,328 $ 2,957,935 $ 2,642,142 $ 5,107,414 $ 4,603,289 $ (2,107) $ (1,912) $ 571 $ 254
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 129 PIMCO Statements of Changes in Net Assets Class D (Cont.)
New York Municipal Amounts in thousands Municipal Bond Fund Bond Fund ---------------------------------- ---------------------------------- Increase (Decrease) Six Months Ended Year Ended Six Months Ended Year Ended in Net Assets from: September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 2,084 $ 2,679 $ 99 $ 146 Net realized gain (loss) 957 1,298 110 132 Net capital gain distributions received from underlying funds 0 0 0 0 Net change in unrealized appreciation (depreciation) 942 2,568 (44) 122 Net increase (decrease) resulting from operations 3,983 6,545 165 400 ======================================== =========== =========== =========== =========== Distributions to Shareholders: From net investment income Class D (53) (37) (2) (1) Other Classes (2,030) (2,639) (97) (144) In excess of net investment income Class D 0 0 0 0 Other Classes 0 0 0 0 From net realized capital gains Class D 0 0 0 0 Other Classes 0 0 0 (28) In excess of net realized capital gains Class D 0 0 0 0 Other Classes 0 0 0 0 Total Distributions (2,083) (2,676) (99) (173) ======================================== =========== =========== =========== =========== Fund Share Transactions: Receipts for shares sold Class D 1,781 4,243 0 100 Other Classes 41,902 43,041 1,656 485 Issued as reinvestment of distributions Class D 49 33 2 1 Other Classes 1,468 1,851 88 172 Cost of shares redeemed Class D (540) (4,028) 0 0 Other Classes (17,572) (21,456) (840) (11) Net increase (decrease) resulting from Fund share transactions 27,088 23,684 906 747 Total Increase (Decrease) in Net Assets 28,988 27,553 972 974 ======================================== =========== =========== =========== =========== Net Assets: Beginning of period 80,136 52,583 4,052 3,078 End of period * $ 109,124 $ 80,136 $ 5,024 $ 4,052 *Including net undistributed (overdistributed) investment income of: $ 18 $ 17 $ 66 $ 66 Short Duration Real Return Fund Municipal Income Fund ---------------------------------- ---------------------------------- Increase (Decrease) Six Months Ended Year Ended Six Months Ended Year Ended in Net Assets from: September 30, 2001 March 31, 2001 September 30, 2001 March 31, 2001 (Unaudited) (Unaudited) Operations: Net investment income (loss) $ 36,458 $ 40,196 $ 275 $ 590 Net realized gain (loss) 6,675 7,571 16 41 Net capital gain distributions received from underlying funds 0 0 0 0 Net change in unrealized appreciation (depreciation) 9,323 30,225 113 182 Net increase (decrease) resulting from operations 52,456 77,992 404 813 ======================================== ============ ============ ============ ============= Distributions to Shareholders: From net investment income Class D (4,107) (2,232) 0 0 Other Classes (35,496) (38,065) (267) (573) In excess of net investment income Class D 0 0 0 0 Other Classes 0 0 0 0 From net realized capital gains Class D 0 (303) 0 0 Other Classes 0 (4,906) 0 0 In excess of net realized capital gains Class D 0 0 0 0 Other Classes 0 0 0 0 Total Distributions (39,603) (45,506) (267) (573) ======================================== ============ ============ ============ ============= Fund Share Transactions: Receipts for shares sold Class D 232,953 46,212 0 0 Other Classes 938,623 671,659 2,519 13,744 Issued as reinvestment of distributions Class D 3,553 2,445 0 0 Other Classes 30,046 36,769 254 575 Cost of shares redeemed Class D (25,266) (8,355) 0 0 Other Classes (148,000) (151,955) (2,000) (11,638) Net increase (decrease) resulting from Fund share transactions 1,031,909 596,775 773 2,681 Total Increase (Decrease) in Net Assets 1,044,762 629,261 910 2,921 ======================================== ============ ============ ============ ============= Net Assets: Beginning of period 899,122 269,861 13,656 10,735 End of period * $ 1,943,884 $ 899,122 $ 14,566 $ 13,656 *Including net undistributed (overdistributed) investment income of: $ 65 $ 3,210 $ 39 $ 31
130 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes
Short-Term Fund StocksPLUS Fund Strategic Balanced Fund Total Return Fund Total Return Mortgage Fund - ------------------------------------------------------------------------------------------------------------------------------- Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Six Months Year Ended Ended Ended Ended Ended Ended September March 31, September March 31, September March 31, September March 31, September March 31, 2001 30,2001 2001 30,2001 2001 30,2001 2001 30,2001 2001 30,2001 (Unaudited) (Unaudited) (Unaudited) (Unaudited) (Unaudited) $ 21,711 $ 43,519 $ (4,101) $ (1,627) $ 1,165 $ 5,108 $ 1,211,787 $ 2,324,651 $ 818 $ 1,027 4,954 204 (33,600) (179,612) (586) 1,743 670,187 1,226,362 989 751 0 0 0 0 0 1,770 0 0 0 0 (961) 6,182 (53,081) (108,609) (3,158) (15,730) 893,753 795,370 387 649 25,704 49,905 (90,782) (289,848) (2,579) (7,109) 2,775,727 4,346,383 2,194 2,427 ======================= ======================== ======================= ======================== ========================= (417) (328) (28) (55) (14) (16) (8,781) (8,971) (67) (29) (21,295) (43,171) (9,927) (24,078) (970) (4,218) (1,198,673) (2,257,780) (750) (998) 0 0 0 0 0 0 0 (245) 0 0 0 0 0 0 0 0 0 (61,757) 0 0 0 0 0 0 0 0 0 0 0 (11) 0 0 0 0 0 0 0 0 0 (352) 0 (9) 0 (219) 0 (26) 0 0 0 0 0 (1,052) 0 (88,496) 0 (4,424) 0 0 0 0 (21,712) (44,560) (9,955) (112,848) (984) (8,684) (1,207,454) (2,328,753) (817) (1,390) ===================== ======================= ======================= ======================== ======================= 46,070 5,633 521 918 822 690 233,161 218,432 9,818 1,122 1 ,141,132 678,100 90,571 414,370 5,531 12,850 9,524,089 16,128,077 17,882 23,394 384 319 27 263 14 41 8,533 9,094 65 38 16,687 33,061 8,720 97,921 904 7,964 967,099 1,841,940 688 1,336 (8,414) (2,748) (559) (707) (104) (181) (67,963) (51,706) (2,209) (89) (377,985) (777,538) (135,776) (593,381) (4,463) (86,065) (6,337,015) (9,194,347) (6,710) (5,907) 817,874 (63,173) (36,496) (80,616) 2,704 (64,701) 4,327,904 8,951,490 19,534 19,894 821,866 (57,828) (137,233) (483,312) (859) (80,494) 5,896,177 10,969,120 20,911 20,931 ===================== ======================= ======================= ======================== ======================= 651,173 709,001 1,015,483 1,498,795 74,504 154,998 42,505,393 31,536,273 25,068 4,137 $1,473,039 $ 651,173 $ 878,250 $1,015,483 $ 73,645 $ 74,504 $48,401,570 $42,505,393 $ 45,979 $ 25,068 $ (1,519) $ (1,518) $ (40,594) $ (26,538) $ 646 $ 465 $ 159,058 $ 154,725 $ 383 $ 382
See accompanying notes | 9.30.01 | PIMCO Funds Semi-Annual Report 131 PIMCO Statements of Cash Flows Class D For the period ended September 30, 2001 (Unaudited)
Foreign Real Return Amounts in thousands Bond Fund Fund - --------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Fund shares $ 161,966 $ 1,121,207 Redemptions of Fund shares (102,039) (169,365) Cash distributions paid (2,152) (6,946) Increase (decrease) from financing transactions (133,696) 274,886 Net increase (decrease) from financing activities (75,921) 1,219,782 Operating Activities Purchases of long-term securities and foreign currency (1,459,282) (3,194,825) Proceeds from sales of long-term securities and foreign currency 1,520,011 1,847,785 Purchases of short-term securities (net) (21,723) 110,697 Net investment income 16,226 36,458 Change in other receivables/payables (net) 2,635 (21,874) Net increase (decrease) from operating activities 57,867 (1,221,759) =============== ============== Net Decrease in Cash and Foreign Currency (18,054) (1,977) ============== ============== Cash and Foreign Currency Beginning of period 37,332 1,977 --------------- --------------- End of period $ 19,278 $ 0 =============== ===============
132 PIMCO Funds Semi-Annual Report | 9.30.01 | See accompanying notes PIMCO Notes to Financial Statements Class D September 30, 2001 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 45 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). The Real Return II and Real Return Asset Funds had not commenced operations as of September 30, 2001. Information presented in these financial statements pertains to the Class D shares of the Trust. Certain detailed financial information for the Institutional, Administrative, A, B, and C Classes (the "Other Classes") is provided separately and is available upon request. 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. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined at the close of regular trading (normally, 4:00 p.m., Eastern Time) on the New York Stock Exchange on each day the New York Stock Exchange is open, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Effective April 1, 2001, the Funds changed accounting methods relating to the amortization of premiums and discounts by adopting the interest method. The Fund with significant adjustments to beginning balances for the cumulative effect is as follows (amount in thousands): Emerging Markets Fund $ 161 Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of each Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are declared on each day the Trust is open for business and are distributed to shareholders monthly. Dividends from net investment income, if any, of the Convertible, StocksPLUS and Strategic Balanced Funds are declared and distributed to shareholders quarterly. Net realized capital gains earned by a Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividends and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of 9.30.01 | PIMCO Funds Semi-Annual Report 133 PIMCO Notes to Financial Statements Class D September 30, 2001 (Unaudited) changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of each Fund, except the Convertible, StocksPLUS and Strategic Balanced Funds, are allocated daily to each class of shares based on the relative value of settled shares. Income and non-class specific expenses of the Convertible, StocksPLUS and Strategic Balanced Funds are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of each Fund are allocated daily to each class of shares based on the relative net assets of each class. Federal Income Taxes. Each Fund intends to qualify as a regulated investment company and distribute substantially all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made. Financing Transactions. Certain Funds may enter into financing transactions consisting of the sale by the Fund of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Fund sells the security becomes insolvent, a Fund's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Fund with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. Certain Funds are authorized to enter into futures contracts and options. A Fund may use futures contracts and options 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 and options are imperfect correlation between the change in market value of the securities held by a Fund and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option's quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Transactions. Certain Funds are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. A Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Short Sales. Certain Funds have entered into short sales transactions during the fiscal year. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. The Fund is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Swaps. Certain Funds are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Fund had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates. 134 PIMCO Funds Semi-Annual Report | 9.30.01 Delayed Delivery Transactions. Certain Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to 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 in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. Repurchase Agreements. Each Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. Reverse Repurchase Agreements. Certain Funds are authorized to enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. Restricted Securities. Certain Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company LLC (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.20% for the Short Duration Municipal Income Fund; 0.40% for the Convertible and StocksPLUS Funds; 0.45% for Emerging Markets Bond Fund; and 0.25% for all other Funds. Administration Fee. Pacific Investment Management Company LLC (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. which also serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for Class D is charged at the annual rate of 0.25% for the Low Duration, Short-Term, and Total Return Funds; 0.35% for the California Intermediate Municipal Bond, California Municipal Bond, Municipal Bond, New York Municipal Bond and Short Duration Municipal Income Funds; 0.45% for the Foreign Bond Fund; 0.50% for the GNMA Fund; 0.55% for the Emerging Markets Bond Fund; and 0.40% for all other Funds. The Administration Fee for the Institutional and Administrative Class is charged at the annual rate of 0.18% for the Low Duration and Total Return Funds; 0.19% for the Short Duration Municipal Income Fund; 0.20% for the Moderate Duration, Money Market and Short-Term Funds; 0.24% for the California Intermediate Municipal Bond, California Municipal Bond and New York Municipal Bond Funds; 0.30% for the Global Bond and Global Bond II Funds; 0.40% for the Emerging Markets Bond Fund; and 0.25% for all other Funds. The Administration Fee for the A, B and C Classes is charged at an annual rate of 0.35% for the California Intermediate Municipal Bond, California Municipal Bond, Municipal Bond, New York Municipal Bond, Money Market and Short-Term Funds; 0.45% for the Foreign Bond and Global Bond II Funds; 0.50% for the GNMA Fund; 0.55% for the Emerging Markets Bond Fund; and 0.40% for all other Funds. 9.30.01 | PIMCO Funds Semi-Annual Report 135 PIMCO Notes to Financial Statements Class D September 30, 2001 (Unaudited) Strategic Balanced Fund Fees. Effective September 29, 2000, the Strategic Balanced Fund changed investment objectives to a "fund of funds" and as such does not pay any fees to PIMCO under the Trust's investment advisory agreement in return for the advisory and asset allocation services provided by PIMCO. The Fund does, however, indirectly pay its proportionate share of the advisory fees paid to PIMCO by the Underlying Funds in which the Fund invests. The Fund pays administrative fees to PIMCO at an annual rate of 0.05% based on the average daily net assets attributable in the aggregate to the Fund's Institutional Class and Administrative Class shares. The Fund also indirectly pays its proportionate share of the administrative fees charged by PIMCO to the Underlying Funds in which the Fund invests. Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors L.P., serve as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during current fiscal year. Pursuant to the Distribution and Serving Plans adopted by the A, B, C and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sales of shares and services rendered to shareholders and for maintenance of shareholder accounts of the A, B, C, and D Classes. The Trust paid PFD distribution and servicing fees at effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Allowable Rate ----------------------- Distribution Servicing Fee (%) Fee(%) - ------------------------------------------------------------------ Class A All other Funds -- 0.25 Class B All Funds 0.75 0.25 Class C Foreign Bond, High Yield Total Return and Total Return Mortgage 0.75 0.25 Funds Municipal Bond, Real Return Low Duration and StocksPLUS Funds 0.50 0.25 Short-Term Fund 0.30 0.25 Class D All Funds -- 0.25 PFD also receives the proceeds of the initial sales charges paid by the shareholders upon the purchase of Class A shares, except for the Money Market Fund, and the contingent deferred sales charges paid by the shareholders upon certain redemptions of A, B and C Class shares. For the period ended September 30, 2001, PFD received $11,542,450 representing commissions (sales charges) and contingent deferred sales charges. Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest expense; (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 expenses; (vii) organization expense and (viii) any expenses allocated or allocable to a specific class of shares, which include service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of Convertible, Short Duration Municipal Income, California Intermediate Municipal Bond, California Municipal Bond Fund and New York Municipal Bond Funds administrative fees to the extent that the payment of each Fund's pro rata share of Trustee fees and organizational expenses causes the actual expense ratio to rise above the rates disclosed in the then-current prospectus plus 0.49 basic points as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Inst'l Admn Class Class Class Class D Class Class A B C - ------------------------------------------------------------------ Convertible Fund 0.65% 0.90% 1.05% 1.80% 1.80% 1.05% Short Duration Municipal Income Fund 0.39% 0.64% -- -- -- 0.80% California Intermediate Municipal Bond Fund 0.49% 0.75% 0.85% -- -- 0.85% California Municipal Bond Fund 0.49% 0.74% 0.85% -- -- 0.85% New York Municipal Bond Fund 0.49% 0.74% 0.89% -- -- 0.87% PIMCO may be reimbursed for these waived amounts in the future periods. 136 PIMCO Funds Semi-Annual Report | 9.30.01 Each unaffiliated Trustee receives an annual retainer of $60,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 4. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2001 were as follows (amounts in thousands):
U.S. Government/Agency All Other -------------------------------------------------------- Purchases Sales Purchases Sales - --------------------------------------------------------------------------------- California Intermediate Municipal Bond Fund $ 0 $ 226 $ 37,395 $ 55,037 California Municipal Bond Fund 0 113 8,148 5,463 Convertible Fund 0 0 65,208 76,801 Emerging Markets Bond Fund 0 0 363,119 357,349 Foreign Bond Fund 1,300,91 5 1,337,723 437,900 296,594 GNMA Fund 125,967 108,042 700 298 High Yield Fund 146,328 180,389 1,458,24 0 919,149 Low Duration Fund 19,659,132 20,119,567 633,385 687,025 Municipal Bond Fund 565 395 78,534 49,058 New York Municipal Bond Fund 113 113 5,765 4,526 Real Return Fund 3,048,28 7 1,672,504 182,851 102,025 Short Duration Municipal Bond Fund 0 0 9,414 8,249 Short-Term Fund 427,930 743,257 423,572 115,066 StocksPLUS Fund 2,721,80 3 2,928,618 90,431 221,079 Strategic Balanced Fund 0 0 16,122 8,452 Total Return Fund 127,013,16 125,305,486 10,074,991 8,274,677 Total Return Mortgage Fund 278,349 325,261 89,179 3,467
5. Federal Income Tax Matters As of March 31, 2001, the Funds listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the California Intermediate Municipal Bond, Convertible, Foreign Bond, High Yield, Low Duration, Real Return, Short-Term, StocksPLUS and Total Return Funds realized capital losses and/or foreign currency losses during the period November 1, 2000 through March 31, 2001, which the Funds elected to defer to the following fiscal year pursuant to income tax regulations. The amounts are $75,517, $5,480,569, $7,607,826, $57,057,816, $11,492,366, $243,361, $721,218, $214,462,097, $17,936,702, respectively. Each Fund will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards. Capital Loss Carryforwards ------------------------------------------------ Realized Losses Acquired Losses Expiration ------------------------------------------------ High Yield Fund $ 150,615,064 $ 0 3/31/2009 High Yield Fund 39,492,722 0 3/31/2008 High Yield Fund 0 48,559,227 3/31/2003 Low Duration Fund 36,222,381 0 3/31/2008 Short-Term Fund 326,974 0 3/31/2009 Short-Term Fund 412,413 0 3/31/2008 Short-Term Fund 109,956 0 3/31/2007 StocksPLUS Fund 86,222,244 0 3/31/2009 Strategic Balanced Fund 1,711,676 0 3/31/2009 Convertible Fund 3,488,828 0 3/31/2009 Losses 9.30.01 | PIMCO Funds Semi-Annual Report 137 PIMCO Notes to Financial Statements Class D (Cont.) September 30, 2001 (Unaudited) 6. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
California Intermediate Municipal Bond Fund California Municipal Bond Fund ------------------------------------------ ------------------------------------------- Period Ended Year Ended Period Ended Period from 05/16/2000 09/30/2001 03/31/2001 09/30/2001 to 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------- ------------------------------------------ ------------------------------------------- Receipts for shares sold Class D 77 $ 834 17 $ 178 0 $ 0 1 $ 10 Other Classes 2,950 31,433 15,424 156,058 437 4,588 2,185 21,945 Issued as reinvestment of distributions Class D 1 7 0 2 0 0 0 1 Other Classes 193 2,049 408 4,237 24 247 79 810 Cost of shares redeemed Class D (3) (31) (1) (12) 0 0 0 0 Other Classes (5,014) (53,298) (5,687) (58,411) (261) (2,748) (1,042) (10,700) Net increase (decrease) resulting from Fund share transactions (1,796) $ (19,006) 10,161 $102,052 200 $ 2,087 1,223 $ 12,066 =============================== ========================================== =========================================== Convertible Fund ---------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ---------------------------------------------- Receipts for shares sold Class D $ 0 $ 0 0 $ 0 Other Classes 694 8,032 8,226 113,053 Issued as reinvestment of distributions Class D 0 0 0 1 Other Classes 37 392 644 8,646 Cost of shares redeemed Class D 0 0 0 0 Other Classes (4,588) (50,796) (12,459) (161,679) Net increase (decrease) resulting from Fund share transactions (3,857) $(42,372) (3,589) $ (39,979) =============================== ===============================================
Low Duration Fund Municipal Bond Fund ---------------------------------------------- ------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------- ---------------------------------------------- ------------------------------------------- Receipts for shares sold Class D 3,503 $ 35,483 1,166 $ 11,532 176 $ 1,781 444 $ 4,243 Other Classes 164,281 1,656,917 288,619 2,847,901 4,153 41,902 4,458 43,041 Issued as reinvestment of distributions Class D 70 708 94 930 5 49 3 33 Other Classes 12,316 124,180 25,011 247,021 144 1,468 192 1,851 Cost of shares redeemed Class D (483) (4,879) (563) (5,571) (53) (540) (422) (4,028) Other Classes (138,026) (1,390,862) (262,275) (2,586,732) (1,747) (17,572) (2,229) (21,456) Net increase (decrease) resulting from Fund share transactions 41,661 $ 421,547 52,052 $ 515,081 2,678 $ 27,088 2,446 $ 23,684 =============================== ============================================== =========================================== New York Municipal Bond Fund ------------------------------------------ Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount ------------------------------------------ Receipts for shares sold Class D 0 $ 0 10 $ 100 Other Classes 150 1,656 45 485 Issued as reinvestment of distributions Class D 0 2 0 1 Other Classes 8 88 17 172 Cost of shares redeemed Class D 0 0 0 0 Other Classes (75) (840) (1) (11) Net increase (decrease) resulting from Fund share transactions 83 $ 906 71 $ 747 =============================== ==========================================
Strategic Balanced Fund Total Return Fund ---------------------------------------------- -------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------- ---------------------------------------------- ---------------------------------------------- Receipts for shares sold Class D 77 $ 822 59 $ 690 22,063 $ 233,161 21,251 $ 218,432 Other Classes 519 5,531 1,093 12,850 903,513 9,524,089 1,579,234 16,128,071 Issued as reinvestment of distributions Class D 1 14 4 41 808 8,533 888 9,094 Other Classes 89 904 691 7,964 91,755 967,099 180,718 1,841,940 Cost of shares redeemed Class D (10) (104) (15) (181) (6,436) (67,963) (5,026) (51,706) Other Classes (418) (4,463) (6,821) (86,065) (601,161) (6,337,015) (902,707) (9,194,347) Net increase (decrease) resulting from Fund share transactions 258 $ 2,704 (4,989) $ (64,701) 410,542 $ 4,327,904 874,358 $ 8,951,490 =============================== ================== ======================= ======================= ====================== Total Return Mortgage Fund -------------------------------------------- Period Ended Year Ended 09/30/2001 03/31/2001 Shares Amount Shares Amount - ------------------------------- -------------------------------------------- Receipts for shares sold Class D 924 $ 9,818 108 $ 1,122 Other Classes 1,703 17,882 2,331 23,394 Issued as reinvestment of distributions Class D 6 65 4 38 Other Classes 66 688 130 1,336 Cost of shares redeemed Class D (209) (2,209) (9) (89) Other Classes (630) (6,710) (575) (5,907) Net increase (decrease) resulting from Fund share transactions 1,860 $ 19,534 1,989 $ 19,894 =============================== ============================================
138 PIMCO Funds Semi-Annual Report | 9.30.01
Emerging Markets Bond Fund Foreign Bond Fund - ------------------------------------------------ -------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------------------------ -------------------------------------------- 70 $ 624 0 $ 0 1,395 $ 14,365 1,829 $ 18,523 4,511 39,264 4,706 39,107 14,367 147,932 24,700 249,638 1 5 0 1 67 689 118 1,188 350 3,042 769 6,408 1,321 13,566 3,864 38,972 (12) (107) 0 0 (364) (3,751) (364) (3,687) (4,139) (36,718) (1,862) (15,451) (9,774) (100,407) (19,178) (193,686) 781 $ 6,110 3,613 $ 30,065 7,012 $ 72,394 10,969 $ 110,948 ================================================ ============================================ GNMA Fund High Yield Fund - ------------------------------------------------ -------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------------------------ -------------------------------------------- 1 $ 11 0 $ 0 3,144 $ 30,362 4,348 $ 43,592 3,081 32,904 909 9,077 94,136 909,621 149,244 1,495,450 0 0 0 0 175 1,679 219 1,982 33 345 53 530 8,547 81,984 18,676 186,848 0 0 0 0 (1,357) (13,027) (3,552) (35,803) (229) (2,400) (441) (4,496) (50,611) (486,189) (211,435) (2,094,049) 2,886 $ 30,860 521 $ 5,111 54,034 $ 524,430 (42,500) $ (401,980) ================================================ ============================================
Short Duration Real Return Fund Municipal Income Fund - ------------------------------------------------ ------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------------------------ ------------------------------------------- 22,249 $ 232,953 4,568 $ 46,212 0 $ 0 0 $ 0 89,666 938,623 66,677 671,659 248 2,519 1,361 13,744 340 3,553 243 2,445 0 0 0 0 2,875 30,046 3,652 36,769 25 254 57 575 (2,416) (25,266) (830) (8,355) 0 0 0 0 (14,151) (148,000) (15,088) (151,955) (196) (2,000) (1,149) (11,638) 98,563 $1,031,909 59,222 $ 596,775 77 $ 773 269 $ 2,681 ================================================ =========================================== Short-Term Fund StocksPLUS Fund - ------------------------------------------------ ------------------------------------------- Period Ended Year Ended Period Ended Year Ended 09/30/2001 03/31/2001 09/30/2001 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount - ------------------------------------------------ ------------------------------------------- 4,589 $ 46,070 564 $ 5,633 50 $ 521 73 $ 918 113,702 1,141,132 67,956 678,100 8,676 90,571 32,223 414,370 38 384 32 319 3 27 21 263 1,663 16,687 3,312 33,061 817 8,720 7,992 97,921 (838) (8,414) (275) (2,748) (52) (559) (55) (707) (37,660) (377,985) (77,930) (777,538) (13,012) (135,776) (46,334) (593,381) 181,494 $ 817,874 (6,341) $ (63,173) (3,518) $(36,496) (6,080) $(80,616) ================================================ ===========================================
7. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
Foreign Bond Low Duration StocksPLUS Total Return Fund Fund Fund Fund ------------------------------------------------------------- Premium - ------------------------------------------------------------------------------------------------ Balance at 03/31/2001 $ 696 $ 1,822 $ 756 $ 35,755 Sales 3,492 645 1,752 196,798 Closing Buys (1,631) 0 (189) (2,294) Expirations (278) (684) (2,083) (69,300) Exercised 0 0 0 0 - ------------------------------------------------------------------------------------------------ Balance at 09/30/2001 $ 2,279 $ 1,783 $ 236 $ 160,959 ================================================================================================
9.30.01 | PIMCO Funds Semi-Annual Report 139 Pacific Investment Management Series Manager Pacific Investment Management Company, 840 Newport Center Drive, Suite 300, Newport Beach, CA 92660 Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902 Custodian State Street Bank & Trust Co., 801 Pennsylvania, Kansas City, MO 64105 Shareholder PFPC Global Fund Services, Inc., P.O. Box 9688, Providence, Servicing Agent and RI 02940-9688 Transfer Agent Independent PricewaterhouseCoopers LLP, One North Wacker Drive, Accountant Chicago, IL 60606 Legal Counsel Dechert, 1775 Eye Street, Washington, DC 20006 For Account For PIMCO Funds account information contact your financial Information advisor, or if you receive account statements directly from PIMCO Funds, you can also call 1-800-426-0107. Telephone representatives are available Monday-Friday 8:30 am to 8:00 pm Eastern Time. PIMCO Funds offers access to the specialized investment expertise of PIMCO Advisors L.P. (PIMCO). PIMCO manages over $280 billion and has a client list that includes more than half of the 100 largest U.S. corporations. The firm is a member of the Allianz Group, one of the world's leading financial services providers. Stock Funds Bond Funds - ------------------------------------- ---------------------------------------- Growth Short Duration Growth Fund Short-Term Fund Select Growth Fund Low Duration Fund Target Fund Opportunity Fund Intermediate Duration Total Return Fund Blend International Growth & Income Fund Foreign Bond Fund Capital Appreciation Fund Emerging Markets Bond Fund Mid-Cap Fund High Yield Value High Yield Fund Equity Income Fund Renaissance Fund Mortgage-Backed Value Fund GNMA Fund Small-Cap Value Fund Total Return Mortgage Fund Enhanced Index Inflation-Indexed Tax-Efficient Equity Fund Real Return Fund StocksPLUS Fund Convertible International Convertible Fund Select International Fund Tax-Exempt Sector-Related CA Interm. Municipal Bond Fund Innovation Fund CA Municipal Bond Fund Global Innovation Fund Municipal Bond Fund Healthcare Innovation Fund NY Municipal Bond Fund Short Duration Municipal Bond Fund Stock and Bond Funds - ------------------------------------- Strategic Balanced Fund (C) 2001 PIMCO Funds Distributors, LLC This material is authorized for use only when preceded or accompanied by a current PIMCO Funds prospectus, which describes in greater detail the investment policies, management fees and other matters of interest to prospective investors. Please read the prospectus carefully before you invest or send money. Although carefully verified, data is not guaranteed as to accuracy or completeness. PIMCO Funds can not be held responsible for any loss incurred by applying any information in this publication. A Message to Our Shareholders All of us at PIMCO Funds recognize that the past few months have been a period of tremendous anguish and uncertainty for Americans. It's also been a confusing time for investors. At times like these, it's important to remember that your financial advisor can be a valuable resource. We encourage you to work with him or her to keep current market conditions in perspective, and to make sure that your long-term goals remain the driving force behind your investment decisions. PIMCO FUNDS [LOGO]PIMCO FUNDS PRIVATE ACCOUNT PORTFOLIO SERIES SEMI-ANNUAL REPORT September 30, 2001 The Portfolios issue shares only in private placement transactions in accordance with Regulation D or other applicable exemptions under the Securities Act of 1933, as amended (the "Securities Act"). The enclosed Semi-Annual Report is not an offer to sell, or a solicitation of any offer to buy, any security to the public within the meaning of the Securities Act. Contents Chairman's Message ...........................................1 Financial Highlights ........................................12 Statements of Assets and Liabilities ........................14 Statements of Operations ....................................16 Statements of Changes in Net Assets .........................18 Statements of Cash Flows ....................................21 Notes to Financial Statements ...............................60 Fund Schedule of Summary Investments Short-Term Portfolio. ........................................2 22 U.S. Government Sector Portfolio .............................3 24 Investment Grade Corporate Portfolio .........................4 27 High Yield Portfolio .........................................5 32 Mortgage Portfolio ...........................................6 35 Asset-Backed Securities Portfolio ............................7 45 Real Return Portfolio ........................................8 47 International Portfolio ......................................9 49 Emerging Markets Portfolio ..................................10 56 Municipal Sector Portfolio ..................................11 58 Chairman's Letter Dear PIMCO Funds Shareholder: We are pleased to present you with this semi-annual report for the Private Account Portfolio Series, the separate portfolios of the PIMCO Funds: Pacific Investment Management Series. During the Series' fiscal half year, assets grew by $0.8 billion to finish the six-month period ended September 30, 2001 at $11.1 billion. The U.S. economy showed few signs of recovery even before the terrorist attacks against the U.S. on September 11. Major indicators pointed to continued retrenchment by debt-laden businesses and consumers after several years of over-indulgence. Investment spending and profits at U.S. companies were falling; unemployment and layoffs across a wide range of industries were on the rise; consumer confidence, long the bulwark of U.S. growth, fell to an eight-year low as consumers spent just enough to keep the economy from contracting. The picture was no brighter outside the U.S. Growth in the Eurozone slowed to almost zero in the second quarter. Japan's economy shrank as business spending fell and exports plunged. The attacks made these weaknesses more acute by heightening risk aversion among consumers, businesses and investors. Layoffs mounted, especially in the airline and aerospace industries, with more on the way. Already weak stock markets fell sharply, as did prices of corporate and emerging market bonds. Trading volume and liquidity in bond markets fell well below normal levels after the attacks, although they returned close to normal by period end. Injections of liquidity by the Federal Reserve and rate cuts by central banks worldwide helped to bolster confidence in financial markets. In particular, bond markets rallied strongly. The Fed eased 1.50% over the six-month period and then another 0.50% just after the close of the period. In Japan, where interest rates are near zero, the central bank tried to boost the economy by intervening in currency markets to hold down the yen's value. On the following pages you will find specific details as to each Portfolio's composition and total return investment performance including a discussion of those factors that affected investment performance. We appreciate the trust you have placed in us through your investments, and we will continue to focus our efforts to meet your investment needs. If you have any questions regarding your PIMCO Funds investment, please contact your account manager, or call one of our shareholder associates at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com. Sincerely, /s/ Brent R. Harris Brent R. Harris Chairman of the Board October 31, 2001 9.30.01 | Semi-Annual Report 1 PIMCO Short-Term Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with preservation of capital and daily liquidity. DURATION: 0.3 years TOTAL NET ASSETS: $153.6 million PORTFOLIO: Primarily money market instruments and short duration fixed income securities. FUND INCEPTION DATE: 4/20/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Short-Term Portfolio 3.34% 7.21% 7.62% Salomon 3-Month Treasury Bill Index 2.00% 5.05% --
* Annualized SECTOR BREAKDOWN* Corporate Bonds & Notes 44.4% Mortgage-Backed Securities 27.9% Asset-Backed Securities 12.8% U.S. Treasury Obligations 9.4% Other 5.5% QUALITY BREAKDOWN* AAA 41.3% AA 1.6% A 33.6% BBB 23.5% *% of Total investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Short-Term Salomon 3-Month Portfolio Treasury Bill Index ========== =================== 04/30/2000 5,000,000 5,000,000 05/31/2000 5,025,000 5,024,500 06/30/2000 5,065,135 5,048,115 07/31/2000 5,100,450 5,072,346 08/31/2000 5,140,809 5,097,453 09/30/2000 5,186,575 5,122,941 10/31/2000 5,212,251 5,149,785 11/30/2000 5,248,198 5,176,049 12/31/2000 5,285,949 5,203,482 01/31/2001 5,301,760 5,230,541 02/28/2001 5,343,921 5,253,032 03/31/2001 5,380,874 5,276,144 04/30/2001 5,402,038 5,296,405 05/31/2001 5,428,493 5,316,002 06/30/2001 5,436,106 5,333,067 07/31/2001 5,490,631 5,349,599 08/31/2001 5,528,798 5,365,861 09/30/2001 5,560,614 5,381,423
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/2000, the first full month following the Portfolio's inception on 4/20/2000, compared to the Salomon 3-Month Treasury Bill Index, an unmanaged market index. Whereas money market funds attempt to maintain a stable share price, the Short-Term Portfolio's share price will fluctuate in response to market conditions. PORTFOLIO INSIGHTS . The Short-Term Portfolio returned 3.34% for the six-month period ended September 30, 2001, outperforming the Salomon 3-Month Treasury Bill Index return of 2.00%. . An above benchmark duration early in the period helped performance as yields fell. PIMCO subsequently reduced duration as lower yields discounted economic weakness. . The use of Eurodollar futures was a strong positive as these yields fell significantly. . Mortgages added incremental yield to the Portfolio, though this benefit was partially offset by spread widening. . Short-maturity investment grade corporate holdings were slightly positive as relatively high yields offset falling prices. . Modest holdings of U.S. dollar-denominated emerging market bonds detracted from returns as credit premiums in these sectors widened. 2 Semi-Annual Report | 9.30.01 PIMCO U.S. Government Sector Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 10.9 years TOTAL NET ASSETS: $ 1.6 billion PORTFOLIO: Primarily U.S. Government securities. FUND INCEPTION DATE: 1/31/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* U.S. Government Sector Portfolio 6.06% 16.34% 17.71% Salomon 3-Month Treasury Bill Index 2.00% 5.05% - Lehman Brothers Long-Term Government Index 4.87% 14.23% -
* Annualized SECTOR BREAKDOWN* U.S. Government Agencies 39.6% U.S. Treasury Obligations 27.8% Corporate Bonds & Notes 11.8% Mortgage-Backed Securities 8.1% Short-Term Instruments 5.1% Other 7.6% QUALITY BREAKDOWN* AAA 85.3% AA 2.7% A 10.5% BBB 1.5% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Salomon Lehman Brothers U.S. Gov. Sector 3-Month Treasury Bill Long-Term Gov. Portfolio Index Index ================ ===================== =============== 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,135,000 5,021,499 5,146,501 03/31/2000 5,330,522 5,045,100 5,313,765 04/30/2000 5,295,386 5,068,812 5,269,127 05/31/2000 5,290,367 5,093,649 5,246,995 06/30/2000 5,466,324 5,117,588 5,365,576 07/31/2000 5,537,250 5,142,153 5,456,790 08/31/2000 5,668,968 5,167,606 5,583,386 09/30/2000 5,638,655 5,193,444 5,523,085 10/31/2000 5,741,644 5,220,658 5,610,905 11/30/2000 5,896,128 5,247,283 5,787,085 12/31/2000 6,050,053 5,275,094 5,933,501 01/31/2001 6,098,844 5,302,525 5,948,927 02/28/2001 6,207,268 5,325,326 6,046,489 03/31/2001 6,185,103 5,348,756 6,015,654 04/30/2001 5,999,822 5,369,296 5,855,634 05/31/2001 6,032,519 5,389,162 5,863,248 06/30/2001 6,064,012 5,406,462 5,910,738 07/31/2001 6,329,832 5,423,222 6,130,619 08/31/2001 6,479,355 5,439,708 6,260,589 09/30/2001 6,559,965 5,455,484 6,308,796
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Long-Term Government Index, each an unmanaged market index. PORTFOLIO INSIGHTS . The U.S. Government Sector Portfolio outperformed its benchmark for the six months ended September 30, 2001, returning 6.06% versus 4.87% for the Lehman Brothers Long-Term Government Index. . The Portfolio's above benchmark duration was negative for the first three months but was positive during the second three months. PIMCO moved duration below that of the benchmark during the second fiscal quarter as falling yields discounted economic weakness. . Exposure to short and intermediate maturities relative to the long duration Index was positive as the yield curve steepened amid Fed easing. . A mortgage emphasis was positive on a duration-adjusted basis; mortgages provided yield premiums near all-time spread differentials with minimal credit risk. . Falling real yields helped real return bonds outperform like-duration Treasuries, benefiting performance. 9.30.01 | Semi-Annual Report 3 PIMCO Investment Grade Corporate Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 5.3 years TOTAL NET ASSETS: $1.9 billion PORTFOLIO: Primarily corporate fixed income securities. FUND INCEPTION DATE: 1/26/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Investment Grade Corporate Portfolio 6.74% 14.08% 12.36% Salomon 3-Month Treasury Bill Index 2.00% 5.05% - Lehman Brothers Intermediate Credit Index 5.20% 12.95% -
* Annualized SECTOR BREAKDOWN* Corporate Bonds & Notes 77.3% Short-Term Instruments 11.2% Mortgage-Backed Securities 5.9% Other 5.6% QUALITY BREAKDOWN* AAA 18.2% AA 13.1% A 30.7% BBB 36.5% BB 1.5% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Investment Grade Salomon 3-Month Lehman Brothers Corporate Portfolio Treasury Bill Index Inter. Credit Index =================== =================== =================== 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,060,120 5,021,499 5,040,872 03/31/2000 5,115,509 5,045,100 5,083,626 04/30/2000 5,080,160 5,068,812 5,054,370 05/31/2000 5,090,260 5,093,649 5,052,015 06/30/2000 5,186,549 5,117,588 5,157,097 07/31/2000 5,227,630 5,142,153 5,204,542 08/31/2000 5,294,388 5,167,606 5,271,160 09/30/2000 5,341,134 5,193,444 5,322,291 10/31/2000 5,351,556 5,220,658 5,327,081 11/30/2000 5,424,508 5,247,283 5,390,473 12/31/2000 5,504,589 5,275,094 5,496,126 01/31/2001 5,606,525 5,302,525 5,612,644 02/28/2001 5,665,541 5,325,326 5,667,648 03/31/2001 5,708,401 5,348,756 5,714,123 04/30/2001 5,703,006 5,369,296 5,703,266 05/31/2001 5,751,565 5,389,162 5,746,611 06/30/2001 5,773,561 5,406,462 5,771,896 07/31/2001 5,932,115 5,423,222 5,906,958 08/31/2001 6,019,593 5,439,708 5,974,297 09/30/2001 6,093,290 5,455,484 6,011,338
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/26/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Intermediate Credit Index, each an unmanaged market index. PORTFOLIO INSIGHTS . The Investment Grade Corporate Portfolio returned 6.74% for the semi-annual period ended September 30, 2001, compared with a 5.20% return for the Lehman Brothers Intermediate Credit Index. . An elevated duration was neutral for performance as yields on intermediate and longer maturities rose during the second quarter of the calendar year, but fell sharply in the third quarter as the economy weakened further. . A move toward overweighting BBB rated issues was positive as the lower quality tier of the corporate market outperformed. . Exposure to high quality Treasury and agency securities added to performance as the market experienced a flight to quality following the attacks on September 11th. . An emphasis on conservative sectors such as healthcare and environmental services was positive as these sectors benefited from limited sensitivity to a slowing economy. 4 Semi-Annual Report | 9.30.01 PIMCO High Yield Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 4.1 years TOTAL NET ASSETS: $158.6 million PORTFOLIO: Primarily higher yielding fixed income securities. FUND INCEPTION DATE: 12/08/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months Since Inception High Yield Portfolio -8.30% -6.39% Salomon 3-Month Treasury Bill Index 2.00% - Lehman Brothers BB U.S. High Yield Index -0.66% -
SECTOR BREAKDOWN* Corporate Bonds & Notes 81.7% Asset-Backed Securities 7.5% Mortgage-Backed Securities 6.6% Other 4.2% QUALITY BREAKDOWN* AAA 1.3% AA 0.5% A 2.2% BBB 22.4% BB 48.6% B 25.0% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers High Yield Salomon 3-Month BB U.S. High Portfolio Treasury Bill Index Yield Index ========== =================== =============== 12/31/2000 5,000,000 5,000,000 5,000,000 01/31/2001 5,252,838 5,026,001 5,184,000 02/28/2001 5,237,358 5,047,612 5,258,131 03/31/2001 5,010,239 5,069,821 5,276,010 04/30/2001 4,889,700 5,089,290 5,329,825 05/31/2001 4,894,941 5,108,120 5,407,107 06/30/2001 4,750,311 5,124,517 5,367,095 07/31/2001 4,820,089 5,140,403 5,452,968 08/31/2001 4,846,927 5,156,030 5,511,314 09/30/2001 4,594,269 5,170,983 5,241,260
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/2001, the first full month following the Portfolio's inception date on 12/08/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers BB U.S. High Yield Index, each an unmanaged market index. The Portfolio may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. The investments made by the High Yield Portfolio may involve high risk and may have speculative characteristics. PORTFOLIO INSIGHTS . The High Yield Portfolio returned -8.30% for the semi-annual period ended September 30, 2001, compared with a -0.66% return for the Lehman Brothers BB U.S. High Yield Index. . The Fund's exposure to B rated issues detracted from performance as B rated issues significantly underperformed BBs. . An overweight to the telecom sector was a negative as this sector significantly underperformed the broader market. . An underweight of cyclical companies such as retail and basic materials added to performance as the U.S economy continued to slow and consumer confidence declined. . Avoiding "fallen angels" such as Xerox and Lucent, detracted from performance as these issues rebounded sharply from distressed price levels. 9.30.01 | Semi-Annual Report 5 PIMCO Mortgage Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 2.1 years TOTAL NET ASSETS: $5.8 billion PORTFOLIO: Primarily mortgage-related fixed income securities. FUND INCEPTION DATE: 1/31/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Mortgage Portfolio 6.30% 14.27% 13.51% Salomon 3-Month Treasury Bill Index 2.00% 5.05% - Lehman Brothers Mortgage Index 5.27% 12.34% -
* Annualized SECTOR BREAKDOWN* Mortgage-Backed Securities 67.8% Asset-Backed Securities 17.9% U.S. Treasury Obligations 7.3% Other 7.0% QUALITY BREAKDOWN* AAA 85.1% AA 5.5% A 5.3% BBB 4.1% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Salomon 3-Month Treasury Lehman Brothers Mortgage Portfolio Bill Index Mortgage Index ================== ================ =============== 01/31/2000 5,000,000 5,000,000 5,000,000 02/29/2000 5,085,000 5,021,499 5,057,965 03/31/2000 5,160,295 5,045,100 5,113,285 04/30/2000 5,155,266 5,068,812 5,116,793 05/31/2000 5,150,236 5,093,649 5,119,150 06/30/2000 5,251,091 5,117,588 5,228,582 07/31/2000 5,286,605 5,142,153 5,262,165 08/31/2000 5,357,635 5,167,606 5,341,925 09/30/2000 5,403,807 5,193,444 5,397,302 10/31/2000 5,439,832 5,220,658 5,436,060 11/30/2000 5,537,616 5,247,283 5,517,832 12/31/2000 5,658,808 5,275,094 5,606,677 01/31/2001 5,723,113 5,302,525 5,693,970 02/28/2001 5,771,341 5,325,326 5,726,575 03/31/2001 5,808,778 5,348,756 5,759,813 04/30/2001 5,803,394 5,369,296 5,767,784 05/31/2001 5,857,229 5,389,162 5,806,064 06/30/2001 5,880,595 5,406,462 5,818,481 07/31/2001 6,016,973 5,423,222 5,921,774 08/31/2001 6,082,434 5,439,708 5,974,011 09/30/2001 6,174,761 5,455,484 6,063,506
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 2/01/2000, the first full month following the Portfolio's inception date on 1/31/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Mortgage Index, each an unmanaged market index. PORTFOLIO INSIGHTS . The PIMCO Private Account Portfolio Series Mortgage Portfolio returned 6.30% for the six-month period ended September 30, 2001, outperforming the 2.00% return of the Salomon 3-Month Treasury Bill Index, and outperforming the 5.27% return of the Lehman Brothers Mortgage Index. . Year-to-date the Mortgage Portfolio has outperformed the 3-Month Treasury Bill Index by 5.70%, and the Mortgage Index by 0.97%. . The Portfolio's duration did not vary significantly versus the Mortgage Index, and therefore had limited effect on performance. . The broader-than-Index security selection helped increase performance. CMOs boosted returns by providing protections against increases in prepayment rates as well as providing low duration vehicles that augmented the yield of the Portfolio. . GNMA II ARMs also added to returns by providing attractive yields relative to their short durations. . Buying mortgages forward and investing the purchase amount at relatively high short-term rates added to the Portfolio's performance. 6 Semi-Annual Report | 9.30.01 PIMCO Asset-Backed Securities Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 3.1 years TOTAL NET ASSETS: $76.9 million PORTFOLIO: Primarily asset-backed securities. FUND INCEPTION DATE: 10/31/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months Since Inception Asset-Backed Securities Portfolio 8.14% 16.34% Salomon 3-Month Treasury Bill Index 2.00% - Lehman Brothers Asset-Backed Securities Index 6.31% -
SECTOR BREAKDOWN* Asset-Backed Securities 60.5% Mortgage-Backed Securities 27.1% U.S. Treasury Obligations 10.1% Other 2.3% QUALITY BREAKDOWN* AAA 58.6% AA 16.3% A 9.6% BBB 15.5% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Lehman Brothers Asset-Backed Salomon 3-Month Asset-Backed Securities Securities Portfolio Treasury Bill Index Index ==================== =================== ======================= 10/31/2000 5,000,000 5,000,000 5,000,000 11/30/2000 5,130,000 5,025,500 5,071,500 12/31/2000 5,227,452 5,052,135 5,170,392 01/31/2001 5,283,063 5,078,407 5,256,221 02/28/2001 5,338,674 5,100,244 5,307,734 03/31/2001 5,379,080 5,122,684 5,341,703 04/30/2001 5,363,799 5,142,356 5,345,975 05/31/2001 5,419,831 5,161,382 5,382,329 06/30/2001 5,462,340 5,177,951 5,399,552 07/31/2001 5,622,693 5,194,002 5,505,923 08/31/2001 5,689,938 5,209,792 5,568,141 09/30/2001 5,816,771 5,224,901 5,678,946
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 11/01/2000, the first full month following the Portfolio's inception date on 10/31/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Asset-Backed Securities Index, each an unmanaged market index. PORTFOLIO INSIGHTS . The PIMCO Private Account Portfolio Series Asset-Backed Securities (ABS) Portfolio returned 8.14% for the six-month period ended September 30, 2001, outperforming the 6.31% return of the Lehman Brothers ABS Index, and outperforming the 2.00% return of the Salomon 3-Month Treasury Bill Index. . Year-to-date the ABS Portfolio has outperformed the ABS Index by 1.43%, and has outperformed the 3-Month Treasury Bill Index by 7.85%. . The Portfolio's duration did not vary significantly versus the ABS Index, and therefore had limited effect on performance. . The Portfolio's focus on mortgage-related ABS helped boost performance, as the sector posted strong gains due to limited prepayment risk and additional yield. . The high quality focus of the Portfolio also helped performance. 9.30.01 | Semi-Annual Report 7 PIMCO Real Return Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 3.2 years TOTAL NET ASSETS: $360.0 million PORTFOLIO: Primarily inflation-indexed fixed income securities. FUND INCEPTION DATE: 4/28/2000 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Real Return Portfolio 4.81% 14.48% 13.19% Salomon 3-Month Treasury Bill Index 2.00% 5.05% - Lehman Brothers Global Real: U.S. TIPS Index 4.07% 13.20% -
* Annualized SECTOR BREAKDOWN* U.S. Treasury Obligations 87.4% Corporate Bonds & Notes 8.5% Other 4.1% QUALITY BREAKDOWN* AAA 89.8% AA 2.1% A 6.3% BBB 1.8% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
Real Return Salomon 3-Month Lehman Brothers Global Real: Portfolio Treasury Bill Index U.S. TIPS Index =========== =================== ============================ 04/30/2000 5,000,000 5,000,000 5,000,000 05/31/2000 4,990,000 5,024,500 4,986,999 06/30/2000 5,070,080 5,048,115 5,049,832 07/31/2000 5,110,239 5,072,346 5,092,997 08/31/2000 5,160,437 5,097,453 5,130,685 09/30/2000 5,210,932 5,122,941 5,157,363 10/31/2000 5,277,151 5,149,785 5,219,768 11/30/2000 5,358,651 5,176,049 5,295,456 12/31/2000 5,398,355 5,203,482 5,352,644 01/31/2001 5,524,020 5,230,541 5,464,518 02/28/2001 5,644,449 5,253,032 5,556,865 03/31/2001 5,691,545 5,276,144 5,610,213 04/30/2001 5,733,549 5,296,405 5,641,628 05/31/2001 5,817,557 5,316,002 5,708,202 06/30/2001 5,815,792 5,333,067 5,701,353 07/31/2001 5,911,657 5,349,599 5,796,567 08/31/2001 5,916,983 5,365,861 5,804,680 09/30/2001 5,965,514 5,381,423 5,838,346
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/2000, the first full month following the Portfolio's inception on 4/28/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers Global Real: U.S. TIPS Index, each an unmanaged market index. The Portfolio may invest in foreign securities which involve potentially higher risks including foreign currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the six-month period ended September 30, 2001, the Portfolio returned 4.81%, versus 4.07% for the Lehman Brothers Global Real: U.S. TIPS Index. . The real yield curve steepened as intermediate yields dropped by up to 0.40% while long-term yields dropped only marginally as Fed easing affected mostly shorter-term real yields. . Real yield decreases were smaller than conventional, or non-inflation-indexed, yield declines as falling investor inflation expectations benefited conventional yields more. . TIPS performance lagged conventional Treasuries as investors preferred Treasuries due to their high liquidity and quality. During periods of investor uncertainty, Treasuries normally outperform all other fixed income markets, including U.S. government-issued TIPS. . The inflation break-even yield, defined as the differential between a Treasury yield and a TIPS real yield, was 1.45% for 10-year maturities at September 30, 2001. As a point of reference, the 12-month CPI-U rate of change as of September 30, 2001 was 2.6%. . The effective duration of the Fund was 3.2 years at September 30, 2001 versus 3.0 years for the Index. . The Fund had a weighted average credit quality of AAA at the end of September 2001. . The Fund targeted a modest duration overweight during the half-year period, improving relative returns as real yields fell. . Overweighting intermediate-maturity real return bonds boosted performance due to intermediate real yields falling more than long-term real yields. . Cash-backing portfolios, consisting of high quality, short duration corporate and asset-backed securities, were combined with TIPS buy-forwards to improve portfolio yield. . Modest allocations from TIPS to conventional corporate bonds lowered relative performance as yield premiums increased for corporates during the period. . The average real yield of the U.S. TIPS index was 3.3% at September 30, 2001. CPI-U adjustments are then added to real yields to get inflation-adjusted yields. 8 Semi-Annual Report | 9.30.01 PIMCO International Portfolio FUND CHARACTERISTICS OBJECTIVE: Maximum total return, consistent with prudent investment management. DURATION: 11.6 years TOTAL NET ASSETS: $2.3 billion PORTFOLIO: Primarily non-U.S. fixed income securities. FUND INCEPTION DATE: 12/13/1989 TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* 5 Years* 10 Years* Since Inception* International Portfolio 5.26% 13.49% 5.65% 7.65% 8.21% 8.40% Salomon 3-Month Treasury Bill Index 2.00% 5.05% 5.10% 5.15% 4.75% - J.P. Morgan Non-U.S. Index (Hedged) 2.57% 9.41% 6.13% 8.97% 8.71% -
* Annualized COUNTRY ALLOCATION* Germany 51.2% United States 20.1% Short-Term Instruments 8.3% Italy 6.9% Other 13.5% QUALITY BREAKDOWN* AAA 78.6% AA 10.4% A 8.9% BBB 2.1% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception [CHART]
J.P. Morgan International Salomon 3-Month Non-U.S. Index Portfolio Treasury Bill Index (Hedged) ============= =================== ============== 12/31/1989 5,000,000 5,000,000 5,000,000 01/31/1990 4,944,945 5,033,000 4,894,002 02/28/1990 4,859,860 5,063,192 4,822,549 03/31/1990 4,924,925 5,097,117 4,826,888 04/30/1990 4,894,711 5,130,239 4,824,957 05/31/1990 4,980,318 5,165,123 4,945,583 06/30/1990 5,060,889 5,198,699 4,971,299 07/31/1990 5,189,338 5,233,007 4,995,162 08/31/1990 5,101,993 5,267,019 4,923,731 09/30/1990 5,096,855 5,299,147 4,900,097 10/31/1990 5,191,047 5,332,008 5,035,831 11/30/1990 5,295,705 5,363,473 5,113,886 12/31/1990 5,353,791 5,398,336 5,164,511 01/31/1991 5,461,621 5,429,107 5,262,640 02/28/1991 5,537,103 5,455,710 5,343,157 03/31/1991 5,493,971 5,484,079 5,351,704 04/30/1991 5,571,350 5,510,402 5,390,773 05/31/1991 5,598,986 5,536,853 5,432,283 06/30/1991 5,576,878 5,562,322 5,392,084 07/31/1991 5,627,372 5,589,022 5,422,820 08/31/1991 5,756,415 5,615,290 5,504,703 09/30/1991 5,868,626 5,639,998 5,585,071 10/31/1991 5,919,955 5,664,813 5,629,192 11/30/1991 5,937,064 5,687,473 5,634,259 12/31/1991 6,117,563 5,708,517 5,727,223 01/31/1992 6,123,555 5,728,497 5,781,061 02/29/1992 6,153,514 5,746,254 5,800,139 03/31/1992 6,096,592 5,765,791 5,758,379 04/30/1992 6,127,014 5,784,243 5,783,140 05/31/1992 6,212,196 5,803,330 5,836,343 06/30/1992 6,193,943 5,820,740 5,828,173 07/31/1992 6,193,943 5,838,203 5,809,522 08/31/1992 6,193,943 5,854,550 5,810,685 09/30/1992 6,298,508 5,869,185 5,890,873 10/31/1992 6,465,397 5,883,857 6,010,455 11/30/1992 6,465,397 5,898,566 6,001,441 12/31/1992 6,545,751 5,914,493 6,069,258 01/31/1993 6,570,432 5,930,462 6,124,490 02/28/1993 6,704,914 5,944,102 6,235,345 03/31/1993 6,743,338 5,958,963 6,239,086 04/30/1993 6,717,722 5,973,263 6,239,709 05/31/1993 6,763,200 5,988,197 6,274,653 06/30/1993 6,912,627 6,003,167 6,402,655 07/31/1993 6,997,086 6,018,776 6,474,365 08/31/1993 7,128,240 6,034,425 6,609,031 09/30/1993 7,141,356 6,049,511 6,637,449 10/31/1993 7,252,837 6,065,240 6,725,728 11/30/1993 7,292,542 6,080,402 6,772,807 12/31/1993 7,480,184 6,096,212 6,913,004 01/31/1994 7,466,522 6,112,061 6,878,440 02/28/1994 7,271,176 6,126,730 6,723,674 03/31/1994 7,184,356 6,143,884 6,662,489 04/30/1994 7,133,711 6,162,315 6,615,184 05/31/1994 6,943,674 6,182,650 6,541,754 06/30/1994 6,768,255 6,203,672 6,475,028 07/31/1994 6,804,801 6,226,004 6,517,762 08/31/1994 6,723,527 6,249,040 6,455,193 09/30/1994 6,686,585 6,272,161 6,461,002 10/31/1994 6,716,139 6,297,877 6,486,200 11/30/1994 6,775,247 6,324,328 6,577,654 12/31/1994 6,768,742 6,353,419 6,562,527 01/31/1995 6,845,010 6,382,645 6,634,060 02/28/1995 6,940,344 6,410,729 6,719,640 03/31/1995 7,092,879 6,442,142 6,856,718 04/30/1995 7,226,348 6,473,064 6,965,740 05/31/1995 7,283,548 6,504,783 7,194,219 06/30/1995 7,216,814 6,535,355 7,170,476 07/31/1995 7,359,816 6,566,724 7,260,826 08/31/1995 7,512,351 6,597,588 7,323,992 09/30/1995 7,579,085 6,627,277 7,439,711 10/31/1995 7,741,153 6,657,763 7,523,038 11/30/1995 8,028,929 6,687,056 7,687,792 12/31/1995 8,172,816 6,717,817 7,759,288 01/31/1996 8,323,303 6,748,047 7,853,176 02/29/1996 8,071,081 6,775,714 7,760,509 03/31/1996 8,162,452 6,804,172 7,824,921 04/30/1996 8,314,737 6,832,069 7,918,820 05/31/1996 8,294,432 6,861,446 7,972,668 06/30/1996 8,406,606 6,890,266 8,038,841 07/31/1996 8,518,966 6,919,893 8,099,132 08/31/1996 8,682,399 6,950,341 8,206,850 09/30/1996 8,938,478 6,980,228 8,381,658 10/31/1996 9,277,524 7,010,940 8,519,953 11/30/1996 9,585,748 7,040,387 8,690,353 12/31/1996 9,541,698 7,070,659 8,702,521 01/31/1997 9,589,950 7,101,064 8,811,304 02/28/1997 9,650,264 7,128,758 8,867,695 03/31/1997 9,456,645 7,160,124 8,820,698 04/30/1997 9,529,482 7,190,913 8,915,963 05/31/1997 9,711,574 7,222,552 8,962,325 06/30/1997 9,917,871 7,252,888 9,114,683 07/31/1997 10,149,939 7,284,075 9,259,609 08/31/1997 10,027,798 7,315,396 9,270,720 09/30/1997 10,224,042 7,346,122 9,434,811 10/31/1997 10,088,868 7,378,443 9,495,192 11/30/1997 10,150,311 7,409,434 9,563,560 12/31/1997 10,134,127 7,441,296 9,687,886 01/31/1998 10,367,431 7,474,038 9,816,715 02/28/1998 10,323,686 7,503,933 9,904,106 03/31/1998 10,542,817 7,536,951 9,992,250 04/30/1998 10,601,551 7,568,601 10,043,212 05/31/1998 10,807,121 7,601,151 10,180,804 06/30/1998 10,940,178 7,632,316 10,224,581 07/31/1998 10,940,178 7,664,371 10,319,668 08/31/1998 10,688,849 7,697,328 10,522,966 09/30/1998 10,956,920 7,728,887 10,772,362 10/31/1998 10,778,275 7,759,803 10,756,203 11/30/1998 10,867,598 7,788,514 10,872,370 12/31/1998 11,270,457 7,817,332 10,859,322 01/31/1999 11,396,384 7,846,256 10,993,977 02/28/1999 11,097,307 7,872,934 10,920,319 03/31/1999 11,144,530 7,902,850 11,050,270 04/30/1999 11,160,271 7,932,091 11,190,608 05/31/1999 10,939,899 7,962,233 11,144,727 06/30/1999 10,924,617 7,991,692 10,971,984 07/31/1999 10,908,762 8,022,861 10,943,457 08/31/1999 10,861,194 8,054,953 10,963,155 09/30/1999 10,988,621 8,086,366 11,004,817 10/31/1999 10,972,649 8,119,521 11,031,228 11/30/1999 10,924,733 8,151,998 11,095,206 12/31/1999 11,003,998 8,187,053 11,128,492 01/31/2000 10,938,693 8,223,076 11,129,607 02/29/2000 10,922,366 8,258,434 11,211,964 03/31/2000 11,069,547 8,297,248 11,375,657 04/30/2000 11,020,203 8,336,244 11,437,085 05/31/2000 11,135,340 8,377,092 11,528,579 06/30/2000 11,250,597 8,416,463 11,583,916 07/31/2000 11,300,305 8,456,863 11,667,320 08/31/2000 11,300,305 8,498,723 11,669,652 09/30/2000 11,383,888 8,541,217 11,770,012 10/31/2000 11,400,579 8,585,973 11,865,348 11/30/2000 11,617,574 8,629,761 12,075,364 12/31/2000 11,843,083 8,675,499 12,209,400 01/31/2001 12,033,264 8,720,613 12,354,192 02/28/2001 12,119,709 8,758,111 12,460,339 03/31/2001 12,274,582 8,796,646 12,554,379 04/30/2001 11,752,260 8,830,426 12,469,309 05/31/2001 11,543,331 8,863,098 12,534,149 06/30/2001 11,583,758 8,891,549 12,603,088 07/31/2001 12,164,706 8,919,113 12,717,775 08/31/2001 12,534,401 8,946,226 12,824,606 09/30/2001 12,919,899 8,972,171 12,877,187
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 1/01/1990, the first full month following the Portfolio's inception date on 12/13/1989, compared to the Salomon 3-Month Treasury Bill Index and the J.P. Morgan Non-U.S. Index (Hedged), each an unmanaged market index. Foreign investing involves potentially higher risks including currency fluctuations and political or economic uncertainty. PORTFOLIO INSIGHTS . For the six-month period ended September 30, 2001, the International Portfolio posted a return of 5.26%, outperforming the 2.00% return of the Salomon 3-Month Treasury Bill Index. . A focus on European bonds added to returns as yields fell amid a slowdown in global growth. . A focus on the short end of yield curves in Europe and the U.K. added to returns as short maturity yields fell the most on expectations of further central bank rate cuts. . An overweight in the euro was positive. The euro rallied as markets anticipated a weaker U.S. economy and reduced flows of capital from the Eurozone to the U.S. 9.30.01 | Semi-Annual Report 9 PIMCO Emerging Markets Portfolio FUND CHARACTERISTICS OBJECTIVE: DURATION: TOTAL NET ASSETS: Maximum total return, consistent with 5.1 years $304.6 million prudent investment management. FUND INCEPTION DATE: PORTFOLIO: 4/03/1998 Primarily emerging market fixed income securities. TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year 3 Years* Since Inception* Emerging Markets Portfolio 4.63% 11.73% 14.35% 8.97% Salomon 3-Month Treasury Bill Index 2.00% 5.05% 5.10% - J.P. Morgan Emerging Markets Index Plus -1.91% 1.79% 17.03% -
* Annualized COUNTRY ALLOCATION* Mexico 13.3% South Korea 13.2% Poland 12.8% Bulgaria 10.3% Brazil 9.1% Panama 8.1% Peru 5.2% Short_Term Instruments 5.0% Other 23.0% QUALITY BREAKDOWN* AAA 4.1% AA 0.7% BBB 51.4% BB 33.3% B 10.5% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Salomon 3-Month J.P. Morgan Emerging Markets Month Emerging Markets Portfolio Treasury Bill Index Index Plus 04/30/1998 5 5,000,000 5,000,000 5,000,000 05/31/1998 4,944,400 5,021,503 4,829,347 06/30/1998 4,891,710 5,042,092 4,689,782 07/31/1998 5,001,037 5,063,268 4,722,141 08/31/1998 4,265,043 5,085,040 3,364,998 09/30/1998 4,536,231 5,105,889 3,694,095 10/31/1998 4,749,812 5,126,313 3,933,103 11/30/1998 5,137,475 5,145,280 4,164,761 12/31/1998 5,122,302 5,164,318 4,060,642 01/31/1999 5,110,595 5,183,426 3,909,994 02/28/1999 5,142,926 5,201,049 3,966,297 03/31/1999 5,296,664 5,220,813 4,266,545 04/30/1999 5,438,686 5,240,131 4,557,951 05/31/1999 5,274,822 5,260,043 4,298,148 06/30/1999 5,334,460 5,279,504 4,490,275 07/31/1999 5,345,462 5,300,095 4,397,324 08/31/1999 5,349,303 5,321,296 4,391,169 09/30/1999 5,457,620 5,342,048 4,544,422 10/31/1999 5,547,013 5,363,951 4,719,835 11/30/1999 5,655,067 5,385,406 4,853,406 12/31/1999 5,752,317 5,408,564 5,115,975 01/31/2000 5,696,409 5,432,362 5,014,681 02/29/2000 5,851,645 5,455,720 5,337,625 03/31/2000 5,876,326 5,481,362 5,505,758 04/30/2000 5,786,748 5,507,124 5,400,599 05/31/2000 5,655,366 5,534,108 5,262,883 06/30/2000 5,882,949 5,560,118 5,529,709 07/31/2000 6,004,247 5,586,807 5,696,708 08/31/2000 6,180,129 5,614,461 5,897,800 09/30/2000 6,069,929 5,642,534 5,817,591 10/31/2000 5,970,828 5,672,101 5,686,694 11/30/2000 6,032,766 5,701,028 5,657,693 12/31/2000 6,281,231 5,731,244 5,917,379 01/31/2001 6,430,168 5,761,047 6,219,564 02/28/2001 6,443,119 5,785,819 6,120,842 03/31/2001 6,482,300 5,811,276 6,037,058 04/30/2001 6,443,053 5,833,592 6,001,427 05/31/2001 6,560,794 5,855,176 6,149,664 06/30/2001 6,751,888 5,873,972 6,244,367 07/31/2001 6,838,451 5,892,181 5,857,218 08/31/2001 6,911,696 5,910,093 6,146,670 09/30/2001 6,782,173 5,927,232 5,921,542
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 5/01/1998, the first full month following the Portfolio's inception date on 4/03/1998, compared to the Salomon 3-Month Treasury Bill Index and the J.P. Morgan Emerging Markets Index Plus, each an unmanaged market index. The Portfolio may invest in foreign securities which involve potentially higher risks including currency fluctuations and political or economic uncertainty.Investing in emerging market securities imposes even greater risks including smaller capitalization of securities markets, which can experience illiquidity, price volatility, foreign restrictions, and repatriation of investment income and capital. PORTFOLIO INSIGHTS . The Emerging Markets Portfolio outperformed the benchmark J.P. Morgan Emerging Markets Index Plus over the six-month period ended September 30, 2001, returning 4.63% versus -1.91% for the Index. . Continued focus on countries with strong fundamentals offset the impact of heightened market volatility due to isolated crisis situations and the fluid international environment. . Our outright avoidance of Argentina added substantially to both absolute and relative returns as this segment of the Index returned -25% over the semi- annual period. . Overweight positions in other Latin American countries such as Mexico, Panama and Peru added to relative returns on continued improvement in economic fundamentals. . An overweight in Brazil detracted from relative returns due to a spill-over from the on-going problems facing Argentina. . An allocation to Russia added to returns amid continued progress on Paris Club repayments and growing levels of international reserves. . An underweight in the Philippines was positive due to the continued political uncertainty in the region and heavy reliance on external sources of funding. . Overweight positions in Eastern Europe were positive as the ongoing trend in trade barrier reduction aided these economies. . Holdings of high quality, off-Index countries and relative value strategies added to returns for the period. 10 Semi-Annual Report | 9.30.01 PIMCO Municipal Sector Portfolio FUND CHARACTERISTICS OBJECTIVE: DURATION: TOTAL NET ASSETS: Maximum total return, consistent with 7.0 years $119.7 million prudent investment management. FUND INCEPTION DATE: PORTFOLIO: 8/21/2000 Primarily municipal securities. TOTAL RETURN INVESTMENT PERFORMANCE For the period ended September 30, 2001
6 Months 1 Year Since Inception* Municipal Sector Portfolio 4.11% 15.28% 12.95% Salomon 3-Month Treasury Bill Index 2.00% 5.05% - Lehman Brothers General Municipal Bond Index 3.48% 10.41% -
* Annualized SECTOR BREAKDOWN* Municipal Bonds & Notes 97.2% Other 2.8% QUALITY BREAKDOWN* AAA 79.2% AA 13.9% BBB 6.9% *% of Total Investments as of September 30, 2001 CUMULATIVE RETURNS THROUGH SEPTEMBER 30, 2001 $5,000,000 invested at inception
Municipal Salomon Sector 3-Month Treasury Bill Lehman Brothers General Month Portfolio Index Municipal Bond Index 08/31/2000 5,000,000 5,000,000 5,000,000 09/30/2000 4,959,960 5,025,000 4,974,002 10/31/2000 5,015,015 5,051,331 5,028,218 11/30/2000 5,075,075 5,077,093 5,066,432 12/31/2000 5,324,825 5,104,002 5,191,571 01/31/2001 5,365,356 5,130,543 5,242,970 02/28/2001 5,400,821 5,152,604 5,259,747 03/31/2001 5,491,989 5,175,275 5,307,084 04/30/2001 5,400,625 5,195,148 5,249,767 05/31/2001 5,537,671 5,214,370 5,306,465 06/30/2001 5,626,381 5,231,109 5,342,020 07/31/2001 5,708,518 5,247,325 5,421,082 08/31/2001 5,831,724 5,263,277 5,510,529 09/30/2001 5,717,714 5,278,541 5,491,792
*Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that Portfolio shares, when redeemed, may be worth more or less than their original cost. The line graph above assumes the investment of $5,000,000 on 9/01/2000, the first full month following the Portfolio's inception date on 8/21/2000, compared to the Salomon 3-Month Treasury Bill Index and the Lehman Brothers General Municipal Bond Index, each an unmanaged market index. PORTFOLIO INSIGHTS . The Municipal Sector Portfolio returned 4.11% for the six-month period ended September 30, 2001 versus 3.48% for the Lehman Brothers General Municipal Bond Index. . Municipal returns generally lagged those of taxable debt sectors as high quality Treasuries and agencies had greater total returns due to minimal credit exposure and strong liquidity. . The benchmark AAA general obligation curve steepened significantly over the half-year period as the 1-to 30-year yield differential rose by nearly 0.90% to 2.94%. Fed easing affected shorter-term yields more as investors displayed resistance to lower long-term yields. . The Portfolio's option-adjusted duration was 7.0 years at September 30, 2001 in contrast to the benchmark's duration of 7.7 years. . The Portfolio maintained an above-benchmark duration throughout most of the half-year period, improving returns as municipal yields fell generally. . Overweighting long maturity bonds lowered relative performance as longer- maturity yields decreased less than intermediate-maturity yields. . Maintaining a high AA average credit quality assisted performance as lower tier credit premiums increased. . Overweighting higher quality revenue bonds improved the Portfolio's yield relative to the benchmark. . Transportation issues, especially airport bonds, lowered relative returns after the Attack of September 11. . Hedging costs designed to lower the Portfolio's overall interest rate sensitivity detracted from returns. 9.30.01 | Semi-Annual Report 11 Financial Highlights
Net Asset Net Realized/ Total Dividends Value Unrealized Income from from Net Beginning Net Investment Gain (Loss) on Investment Investment Selected Per Share Data for the Year or Period Ended: of Period Income (Loss) Investments Operations Income Short-Term Portfolio 09/30/2001 * $ 10.17 $ 0.31 (a) $ 0.02 (a) $ 0.33 $ (0.45) 04/20/2000 - 03/31/2001 10.00 0.65 (a) 0.10 (a) 0.75 (0.57) U.S. Government Sector Portfolio 09/30/2001 * $ 11.35 $ 0.38 (a) $ 0.30 (a) $ 0.68 $ (0.34) 03/31/2001 10.62 0.69 (a) 0.96 (a) 1.65 (0.54) 01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.54 (a) 0.66 (0.04) Investment Grade Corporate Portfolio 09/30/2001 * $ 10.58 $ 0.33 (a) $ 0.38 (a) $ 0.71 $ (0.27) 03/31/2001 10.13 0.78 (a) 0.36 (a) 1.14 (0.68) 01/26/2000 - 03/31/2000 10.00 0.14 (a) 0.07 (a) 0.21 (0.08) High Yield Portfolio 09/30/2001 * $ 9.56 $ 0.43 (a) $ (1.21)(a) $ (0.78) $ (0.40) 12/08/2000 - 03/31/2001 9.57 0.30 (a) (0.10)(a) 0.20 (0.21) Mortgage Portfolio 09/30/2001 * $ 10.79 $ 0.36 (a) $ 0.31 (a) $ 0.67 $ (0.28) 03/31/2001 10.26 0.82 (a) 0.43 (a) 1.25 (0.64) 01/31/2000 - 03/31/2000 10.00 0.12 (a) 0.20 (a) 0.32 (0.06) Asset-Backed Securities Portfolio 09/30/2001 * $ 10.56 $ 0.36 (a) $ 0.49 (a) $ 0.85 $ (0.32) 10/31/2000 - 03/31/2001 10.00 0.32 (a) 0.43 (a) 0.75 (0.19) Real Return Portfolio 09/30/2001 * $ 10.84 $ 0.35 (a) $ 0.17 (a) $ 0.52 $ (0.32) 04/28/2000 - 03/31/2001 10.00 0.69 (a) 0.66 (a) 1.35 (0.48) International Portfolio 09/30/2001 * $ 7.05 $ 0.16 (a) $ 0.20 (a) $ 0.36 $ (0.19) 03/31/2001 6.73 0.42 (a) 0.29 (a) 0.71 (0.32) 03/31/2000 7.08 0.39 (a) (0.44)(a) (0.05) (0.30) 03/31/1999 7.18 0.29 (a) 0.11 (a) 0.40 (0.30) 03/31/1998 7.79 0.64 (a) 0.19 (a) 0.83 (0.25) 03/31/1997 8.04 0.84 0.42 1.26 (0.50) Emerging Markets Portfolio 09/30/2001 * $ 9.91 $ 0.43 (a) $ 0.03 $ 0.46 $ (0.43) 03/31/2001 9.84 0.49 (a) 0.47 (a) 0.96 (0.84) 03/31/2000 9.63 0.80 (a) 0.21 (a) 1.01 (0.80) 04/03/1998 - 03/31/1999 10.00 0.87 (a) (0.39)(a) 0.48 (0.85) Municipal Sector Portfolio 09/30/2001 * $ 10.82 $ 0.29 (a) $ 0.15 (a) $ 0.44 $ (0.23) 08/21/2000 - 03/31/2001 10.00 0.26 (a) 0.73 (a) 0.99 (0.17)
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. (b) Ratio of expenses to average net assets excluding interest expense is 0.05%. (c) Ratio of expenses to average net assets excluding interest expense is 0.12%. (d) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.07%. (e) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.10%. (f) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.09%. 12 Semi-Annual Report | 9.30.01
Dividends in Distributions Distributions Excess of Net from Net in Excess of Net Net Asset Ratio of Investment Realized Realized Capital Total Value End Net Assets End Expenses to Income Capital Gains Gains Distributions of Period Total Return of Period (000s) Average Net $ 0.00 $ 0.00 $ 0.00 $ (0.45) $ 10.05 3.34% $ 153,569 1.44%+(b) 0.00 (0.01) 0.00 (0.58) 10.17 7.62 191,299 1.58+(b)(g) $ 0.00 $ 0.00 $ 0.00 $ (0.34) $ 11.69 6.06% $1,565,844 0.05%+(b) 0.00 (0.38) 0.00 (0.92) 11.35 16.03 1,257,236 0.11 (b) 0.00 0.00 0.00 (0.04) 10.62 6.61 311,652 0.05+(f) $ 0.00 $ 0.00 $ 0.00 $ (0.27) $ 11.02 6.74% $1,923,763 0.05%+ 0.00 (0.01) 0.00 (0.69) 10.58 11.59 999,641 0.11 (b) 0.00 0.00 0.00 (0.08) 10.13 2.11 316,279 0.05+(e) $ 0.00 $ 0.00 $ 0.00 $ (0.40) $ 8.38 (8.30)% $ 158,566 0.05%+(b) 0.00 0.00 0.00 (0.21) 9.56 2.09 212,247 0.05+(h) $ 0.00 $ 0.00 $ 0.00 $ (0.28) $ 11.18 6.30% $5,790,525 0.40%+(b) 0.00 (0.08) 0.00 (0.72) 10.79 12.57 3,477,278 0.87 (b) 0.00 0.00 0.00 (0.06) 10.26 3.21 985,563 0.05+(d) $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 11.09 8.14% $ 76,929 0.05%+ 0.00 0.00 0.00 (0.19) 10.56 7.58 53,822 0.05+(i) $ 0.00 $ 0.00 $ 0.00 $ (0.32) $ 11.04 4.81% $ 360,048 0.05%+ 0.00 (0.03) 0.00 (0.51) 10.84 13.83 208,832 0.09+(j) $ 0.00 $ 0.00 $ 0.00 $ (0.19) $ 7.22 5.26% $2,340,831 0.12%+ 0.00 (0.07) 0.00 (0.39) 7.05 10.89 3,588,537 0.13 (c) 0.00 0.00 0.00 (0.30) 6.73 (0.67) 1,142,215 0.50 0.00 0.00 (0.20) (0.50) 7.08 5.71 720,025 0.50 0.00 (0.24) (0.95) (1.44) 7.18 11.49 730,622 0.51 (k) 0.00 (1.01) 0.00 (1.51) 7.79 15.86 957,950 0.50 $ 0.00 $ 0.00 $ 0.00 $ (0.43) $ 9.94 4.63% $ 304,620 0.12%+(c) 0.00 0.00 (0.05) (0.89) 9.91 10.31 287,880 0.16 (c) 0.00 0.00 0.00 (0.80) 9.84 10.94 354,371 0.85 0.00 0.00 0.00 (0.85) 9.63 5.49 145,530 0.85+ $ 0.00 $ 0.00 $ 0.00 $ (0.23) $ 11.03 4.11% $ 119,737 0.05%+ 0.00 0.00 0.00 (0.17) 10.82 9.95 69,211 0.05+(i)
Ratio of Net Investment Portfolio Income Turnover Rate 6.19%+ 63% 6.84+ 154 6.72%+ 401% 6.24 1200 6.86+ 283 6.20%+ 185% 7.54 240 7.65+ 65 9.39%+ 69% 9.79+ 80 6.54%+ 300% 7.80 742 7.13+ 156 6.72%+ 352% 7.38+ 134 6.30%+ 132% 7.21+ 260 4.76%+ 82% 6.05 464 5.61 369 4.04 406 8.17 255 7.17 875 9.08%+ 199% 9.15 224 8.20 159 9.43+ 199 5.29%+ 151% 4.00+ 189 (g) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 1.59%. (h) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.06%. (i) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.08%. (j) If the investment manager had not reimbursed expenses, the ratio of expenses to average net assets would have been 0.11%. (k) Ratio of expenses to average net assets excluding interest expense is 0.50%. 9.30.01 | Semi-Annual Report 13 Statements of Assets and Liabilities September 30, 2001 (Unaudited)
Short-Term U.S. Government Investment Grade Amounts in thousands, except per share amounts Portfolio Sector Portfolio Corporate Portfolio Assets: Investments, at value $ 201,707 $ 1,744,416 $ 2,008,858 Cash and foreign currency 336 22,216 1,713 Receivable for investments sold and forward foreign currency contracts 43,786 403,252 56,350 Receivable for Portfolio shares sold 0 4,800 2,000 Interest and dividends receivable 1,973 25,365 21,938 Variation margin receivable 0 1,706 0 Other assets 0 0 18,456 247,802 2,201,755 2,109,315 - --------------------------------------------------------------------------------------------------------------------------- Liabilities: Payable for investments purchased and forward foreign currency contracts $ 0 $ 353 $ 181,373 Payable for financing transactions 44,152 330,479 0 Notes payable 30,937 0 0 Payable for short sale 14,338 288,020 0 Written options outstanding 0 1,364 663 Payable for Portfolio shares redeemed 4,092 2,200 3,300 Dividends payable 0 0 0 Accrued investment advisory fee 2 21 22 Accrued administration fee 3 31 33 Accrued distribution fee 0 0 0 Accrued servicing fee 0 0 0 Variation margin payable 0 1,265 71 Recoupment payable to Manager 0 2 2 Other liabilities 709 12,176 88 94,233 635,911 185,552 - --------------------------------------------------------------------------------------------------------------------------- Net Assets $ 153,569 $ 1,565,844 $ 1,923,763 - --------------------------------------------------------------------------------------------------------------------------- Net Assets Consist of: Paid in capital $ 149,715 $ 1,474,301 $ 1,857,141 Undistributed net investment income 3,188 50,803 10,800 Accumulated undistributed net realized gain (loss) 947 3,698 15,516 Net unrealized appreciation (depreciation) (281) 37,042 40,306 $ 153,569 $ 1,565,844 $ 1,923,763 - --------------------------------------------------------------------------------------------------------------------------- Shares Issued and Outstanding: 15,282 134,086 174,645 Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) $ 10.05 $ 11.69 $ 11.02 Cost of Investments Owned $ 201,020 $ 1,706,460 $ 1,984,223 - --------------------------------------------------------------------------------------------------------------------------- Cost of Foreign Currency Held $ 0 $ 0 $ 0 - ---------------------------------------------------------------------------------------------------------------------------
14 Semi-Annual Report | 9.30.01
Asset-Backed High Yield Mortgage Securities Real Return International Emerging Markets Municipal Sector Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio $ 153,822 $ 8,823,069 $ 91,384 $ 581,620 $ 4,411,542 $ 351,069 $ 123,801 2,212 9,013 3,179 258 161,908 1,450 2 4,635 1,315,757 15,644 77,584 583,340 46,245 0 0 14,000 0 0 0 5,600 0 3,555 59,097 495 5,694 126,531 7,397 1,623 0 0 0 0 898 0 4 0 0 1 0 22,499 1 0 164,224 10,220,936 110,703 665,156 5,306,718 411,762 125,430 - ------------------------------------------------------------------------------------------------------------------------- $ 5,652 $ 3,315,469 $ 24,237 $ 0 $ 27,225 $ 29,371 $ 5,644 0 0 9,281 226,600 2,489,200 33,578 0 0 0 0 0 0 0 0 0 1,021,388 0 78,033 392,759 41,107 0 0 8,747 231 0 2,301 0 0 0 41,000 0 0 1,407 2,972 0 0 0 0 0 0 0 0 2 93 1 5 42 5 2 4 139 2 8 209 26 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 912 20 33 167 0 44 0 0 0 1 0 0 0 0 42,663 2 428 52,577 83 0 5,658 4,430,411 33,774 305,108 2,965,887 107,142 5,693 - ------------------------------------------------------------------------------------------------------------------------- $ 158,566 $ 5,790,525 $ 76,929 $ 360,048 $ 2,340,831 $ 304,620 $ 119,737 - ------------------------------------------------------------------------------------------------------------------------- $ 167,781 $ 5,450,171 $ 71,661 $ 345,456 $ 2,190,653 $ 302,446 $ 112,983 17,013 54,526 948 2,924 29,996 1,368 3,586 (2,984) 81,232 918 1,177 3,429 (5,052) 1,716 (23,244) 204,596 3,402 10,491 116,753 5,858 1,452 $ 158,566 $ 5,790,525 $ 76,929 $ 360,048 $ 2,340,831 $ 304,620 $ 119,737 - ------------------------------------------------------------------------------------------------------------------------- 18,925 517,785 6,940 32,628 324,382 30,642 10,853 $ 8.38 $ 11.18 $ 11.09 $ 11.04 $ 7.22 $ 9.94 $ 11.03 $ 177,067 $ 8,614,244 $ 88,383 $ 570,473 $ 4,317,601 $ 347,453 $ 121,685 - ------------------------------------------------------------------------------------------------------------------------- $ 275 $ 0 $ 0 $ 267 $ 160,203 $ 101 $ 0 - -------------------------------------------------------------------------------------------------------------------------
9.30.01 | Semi-Annual Report 15 Statements of Operations For the year or period ended September 30, 2001 (Unaudited)
Short-Term U.S. Government Investment Grade Amounts in thousands Portfolio Sector Portfolio Corporate Portfolio Investment Income: Interest $ 5,897 $ 40,789 $ 35,717 Dividends 0 0 0 Miscellaneous Income 0 0 18 Total Income 5,897 40,789 35,735 Expenses: Investment advisory fees 15 119 113 Administration fees 23 179 169 Interest expense 1,078 83 0 Recoupment to Manager 0 3 3 Total expenses 1,116 384 285 Net Investment Income 4,781 40,405 35,450 Net Realized and Unrealized Gain (Loss): Net realized gain (loss) on investments 781 12,062 8,704 Net realized gain (loss) on futures contracts and written options 224 (4,967) 7,290 Net realized gain (loss) on foreign currency transactions 0 0 0 Net change in unrealized appreciation (depreciation) on investments (760) 10,351 24,215 Net change in unrealized appreciation (depreciation) on futures contracts and written options 0 9,517 1,857 Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign 0 0 0 currencies Net Gain (Loss) 245 26,963 42,066 Net Increase (Decrease) in Assets Resulting from Operations $ 5,026 $ 67,368 $ 77,516
16 Semi-Annual Report | 9.30.01
Asset-Backed High Yield Mortgage Securities Real Return International Emerging Markets Municipal Sector Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio $ 7,611 $ 161,086 $ 2,017 $ 10,373 $ 84,953 $ 13,795 $ 2,544 143 0 0 0 0 0 0 0 0 1 0 0 0 2 7,754 161,086 2,018 10,373 84,953 13,795 2,546 16 467 6 32 345 32 9 24 700 9 48 1,726 159 14 36 8,345 0 6 43 44 0 0 1 0 1 0 0 0 76 9,513 15 87 2,114 235 23 7,678 151,573 2,003 10,286 82,839 13,560 2,523 (2,975) 71,372 559 1,599 141,987 287 1,015 0 20,549 359 (186) (88,729) 0 948 7 0 0 (209) (48,625) 1,049 0 (19,566) 52,228 1,536 2,579 226,286 (1,047) 19 0 15,512 401 224 2,039 0 (911) (6) 0 0 74 (144,068) 102 0 (22,540) 159,661 2,855 4,081 88,890 391 1,071 $ (14,862) $ 311,234 $ 4,858 $ 14,367 $ 171,729 $ 13,951 $ 3,594
9.30.01 | Semi-Annual Report 17 Statements of Changes in Net Assets September 30, 2001 (Unaudited)
Amounts in thousands Short-Term Portfolio Six Months Ended Period from Increase (Decrease) in Net Assets from: September 30, 2001 April 20, 2000 (Unaudited) to March 31, 2001 Operations: Net investment income $ 4,781 $ 8,503 Net realized gain (loss) 1,005 616 Net change in unrealized appreciation (depreciation) (760) 479 Net increase (decrease) resulting from operations 5,026 9,598 Distributions to Shareholders: From net investment income (4,487) (6,221) In excess of net investment income 0 0 From net realized capital gains 0 (62) In excess of net realized capital gains 0 0 Total Distributions (4,487) (6,283) - ------------------------------------------------------------------------------------------------------------------------ Portfolio Share Transactions: Receipts for shares sold 80,337 320,600 Issued as reinvestment of distributions 4,487 6,284 Cost of shares redeemed (123,093) (138,900) Net increase (decrease) resulting from Portfolio share transactions (38,269) 187,984 Total Increase (Decrease) in Net Assets (37,730) 191,299 - ------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 191,299 0 End of period * $ 153,569 $ 191,299 *Including net undistributed (overdistributed) investment income of: $ 3,188 $ 2,894 U.S. Government Sector Portfolio Six Months Ended Year Ended September 30, 2001 March 31, 2001 (Unaudited) Operations: Net investment income $ 40,405 $ 47,258 Net realized gain (loss) 7,095 59,657 Net change in unrealized appreciation (depreciation) 19,868 10,063 Net increase (decrease) resulting from operations 67,368 116,978 Distributions to Shareholders: From net investment income (36,620) (40,849) In excess of net investment income 0 0 From net realized capital gains 0 (29,865) In excess of net realized capital gains 0 0 Total Distributions (36,620) (70,714) - ------------------------------------------------------------------------------------------------------------------------ Portfolio Share Transactions: Receipts for shares sold 1,227,890 1,559,920 Issued as reinvestment of distributions 33,583 68,870 Cost of shares redeemed (983,613) (729,470) Net increase (decrease) resulting from Portfolio share transactions 277,860 899,320 Total Increase (Decrease) in Net Assets 308,608 945,584 - ------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 1,257,236 311,652 End of period * $ 1,565,844 $ 1,257,236 *Including net undistributed (overdistributed) investment income of: $ 50,803 $ 47,018 Investment Grade Corporate Portfolio Six Months Ended Year Ended September 30, 2001 March 31, 2001 (Unaudited) Operations: Net investment income $ 35,450 $ 33,883 Net realized gain (loss) 15,994 3,407 Net change in unrealized appreciation (depreciation) 26,072 12,687 Net increase (decrease) resulting from operations 77,516 49,977 Distributions to Shareholders: From net investment income (31,868) (31,784) In excess of net investment income 0 0 From net realized capital gains 0 (254) In excess of net realized capital gains 0 0 Total Distributions (31,868) (32,038) - ------------------------------------------------------------------------------------------------------------------------ Portfolio Share Transactions: Receipts for shares sold 1,072,528 1,055,526 Issued as reinvestment of distributions 29,984 29,275 Cost of shares redeemed (224,038) (419,378) Net increase (decrease) resulting from Portfolio share transactions 878,474 665,423 Total Increase (Decrease) in Net Assets 924,122 683,362 - ------------------------------------------------------------------------------------------------------------------------ Net Assets: Beginning of period 999,641 316,279 End of period * $ 1,923,763 $ 999,641 *Including net undistributed (overdistributed) investment income of: $ 10,800 $ 7,218
18 Semi-Annual Report | 9.30.01
Asset-Backed High Yield Portfolio Mortgage Portfolio Securities Portfolio Six Months Ended Period from Six Months Ended Year Ended Six Months Ended Period from September 30, 2001 December 8, 2000 September 30, 2001 March 31, 2001 September 30, 2001 October 31, 2000 (Unaudited) to March 31, 2001 (Unaudited) (Unaudited) to March 31, 2001 $ 7,678 $ 16,161 $ 151,573 $ 234,401 $ 2,003 $ 1,344 (2,968) 8,573 91,921 36,322 918 308 (19,572) (3,672) 67,740 126,465 1,937 1,465 (14,862) 21,062 311,234 397,188 4,858 3,117 (7,068) (8,347) (139,741) (214,882) (1,852) (855) 0 0 0 0 0 0 0 0 0 (28,339) 0 0 0 0 0 0 0 0 (7,068) (8,347) (139,741) (243,221) (1,852) (855) - -------------------------------------------------------------------------------------------------------------------- 19,556 661,618 3,402,082 4,292,103 22,600 55,556 6,801 9,423 126,445 224,172 1,851 855 (58,108) (471,509) (1,386,773) (2,178,527) (4,350) (4,851) (31,751) 199,532 2,141,754 2,337,748 20,101 51,560 (53,681) 212,247 2,313,247 2,491,715 23,107 53,822 - -------------------------------------------------------------------------------------------------------------------- 212,247 0 3,477,278 985,563 53,822 0 $ 158,566 $ 212,247 $ 5,790,525 $ 3,477,278 $ 76,929 $ 53,822 $ 17,013 $ 16,403 $ 54,526 $ 42,694 $ 948 $ 797
Real Return Portfolio International Portfolio Six Months Ended Period from Six Months Ended Year Ended September 30, 2001 April 28, 2000 September 30, 2001 March 31, 2001 (Unaudited) to March 31, 2001 (Unaudited) $ 10,286 $ 8,187 $ 82,839 $ 119,871 1,204 1,378 4,633 63,051 2,877 7,614 84,257 62,725 14,367 17,179 171,729 245,647 (10,134) (6,438) (78,406) (105,960) 0 0 0 0 0 (382) 0 (19,906) 0 0 0 (5,388) (10,134) (6,820) (78,406) (131,254) - ---------------------------------------------------------------------------- 252,975 231,658 876,245 3,048,940 8,898 5,240 74,492 124,599 (114,890) (38,425) (2,291,766) (841,610) 146,983 198,473 (1,341,029) 2,331,929 151,216 208,832 (1,247,706) 2,446,322 - ---------------------------------------------------------------------------- 208,832 0 3,588,537 1,142,215 $ 360,048 $ 208,832 $ 2,340,831 $ 3,588,537 $ 2,924 $ 2,772 $ 29,996 $ 25,563 9.30.01 | Semi-Annual Report 19 Statements of Changes in Net Assets (Cont.) September 30, 2001 (Unaudited) Amounts in thousands
Emerging Markets Portfolio Six Months Ended Year Ended Increase (Decrease) in Net Assets from: September 30, 2001 March 31, 2001 (Unaudited) Operations: Net investment income $ 13,560 $ 34,849 Net realized gain (loss) 1,336 (7,902) Net change in unrealized appreciation (depreciation) (945) 4,475 Net increase resulting from operations 13,951 31,422 Distributions to Shareholders: From net investment income (13,032) (31,716) In excess of net investment income 0 0 From net realized capital gains 0 0 In excess of net realized capital gains 0 (1,530) Total Distributions (13,032) (33,246) - ---------------------------------------------------------------------------------------------------------------- Portfolio Share Transactions Receipts for shares sold 117,087 329,447 Issued as reinvestment of distributions 11,800 31,541 Cost of shares redeemed (113,066) (425,655) Net increase (decrease) resulting from Portfolio share transactions 15,821 (64,667) Total Increase (Decrease) in Net Assets 16,740 (66,491) - ---------------------------------------------------------------------------------------------------------------- Net Assets: Beginning of period 287,880 354,371 End of period * $ 304,620 $ 287,880 *Including net undistributed (overdistributed) investment income of: $ 1,368 $ 1,452
Municipal Sector Portfolio Six Months Ended Period from Increase (Decrease) in Net Assets from: September 30, 2001 August 21, 2000 (Unaudited) to March 31, 2001 Operations: Net investment income $ 2,523 $ 1,242 Net realized gain (loss) 1,963 2,650 Net change in unrealized appreciation (depreciation) (892) 2,344 Net increase resulting from operations 3,594 6,236 Distributions to Shareholders: From net investment income (2,114) (962) In excess of net investment income 0 0 From net realized capital gains 0 0 In excess of net realized capital gains 0 0 Total Distributions (2,114) (962) - ---------------------------------------------------------------------------------------------------------------- Portfolio Share Transactions Receipts for shares sold 67,362 67,208 Issued as reinvestment of distributions 1,753 755 Cost of shares redeemed (20,069) (4,026) Net increase (decrease) resulting from Portfolio share transactions 49,046 63,937 Total Increase (Decrease) in Net Assets 50,526 69,211 - ---------------------------------------------------------------------------------------------------------------- Net Assets: Beginning of period 69,211 0 End of period * $ 119,737 $ 69,211 *Including net undistributed (overdistributed) investment income of: $ 3,586 $ 3,177
20 Semi-Annual Report | 9.30.01 Statements of Cash Flows For the period ended September 30, 2001 (Unaudited)
U.S. Government Real Return International Amounts in thousands Sector Portfolio Portfolio Portfolio Increase (Decrease) in Cash and Foreign Currency from: Financing Activities Sales of Portfolio shares $ 1,223,091 $ 252,975 $ 906,246 Redemptions of Portfolio shares (1,082,526) (114,890) (2,298,359) Cash distributions paid (3,036) (1,236) (3,915) Increase (decrease) from financing transactions (632,703) 80,309 (1,404,414) Net increase (decrease) from financing activities (495,174) 217,158 (2,800,442) Operating Activities Purchases of long-term securities and foreign currency (7,344,685) (824,864) (4,895,234) Proceeds from sales of long-term securities and foreign currency 7,860,629 580,939 7,708,827 Purchases of short-term securities (net) (60,529) 21,739 (86,406) Net investment income 40,405 10,286 82,839 Change in other receivables/payables (net) 12,118 (6,999) (11,581) Net increase (decrease) from operating activities 507,938 (218,899) 2,798,445 - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Cash and Foreign Currency 12,764 (1,741) (1,997) - --------------------------------------------------------------------------------------------------------------------------------- Cash and Foreign Currency Beginning of period 9,452 1,999 163,905 End of period $ 22,216 $ 258 $ 161,908
9.30.01 | Semi-Annual Report 21 Schedule of Investments Short-Term Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 58.3% Banking & Finance 20.9% Bear Stearns Co., Inc. 5.125% due 02/22/2004 (d) $ 1,200 $ 1,237 CIT Group, Inc. 3.510% due 09/13/2002 (d) 2,100 2,104 Export-Import Bank Korea 6.500% due 02/10/2002 1,000 1,014 First Union Corp. 7.875% due 07/15/2002 1,500 1,551 Ford Motor Credit Co. 4.001% due 03/19/2002 (d) 1,417 1,414 4.067% due 03/17/2003 (d) 1,700 1,678 3.747% due 05/21/2004 (d) 1,600 1,569 General Electric Capital Corp. 6.750% due 09/11/2003 2,000 2,123 General Motors Acceptance Corp. 5.547% due 01/20/2004 (d) 2,000 1,977 5.096% due 04/05/2004 (d) 1,000 978 4.450% due 05/04/2004 (d) 1,700 1,676 Golden West Financial Corp. 6.700% due 07/01/2002 4,500 4,620 Industrial Bank of Korea 7.100% due 10/15/2001 1,500 1,502 MBNA America Bank NA 4.480% due 05/12/2004 (d) 1,100 1,094 Nacional Financiera 5.464% due 05/08/2003 (d) 2,500 2,540 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 3,100 3,102 PS Colorado Credit Corp. 4.680% due 05/30/2002 (d) 1,900 1,903 ------- 32,082 ------- Industrials 18.6% Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 4,000 4,013 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 1,600 1,603 DaimlerChrysler North America Holding Corp. 4.346% due 08/23/2002 (d) 1,200 1,201 3.270% due 09/16/2002 (d) 1,900 1,889 4.441% due 08/16/2004 (d) 1,400 1,373 International Paper Co. 5.604% due 07/08/2002 (d) 4,500 4,506 Safeway, Inc. 7.000% due 09/15/2002 4,500 4,617 Staples, Inc. 4.925% due 11/26/2001 (d) 2,000 2,003 Time Warner, Inc. 9.625% due 05/01/2002 3,000 3,100 Viacom, Inc. 8.375% due 06/15/2002 1,000 1,034 Walt Disney Co. 5.600% due 08/05/2002 3,150 3,215 ------- 28,554 ------- Utilities 18.8% Allete 5.677% due 10/20/2003 (d) 2,000 2,004 British Telecom PLC 7.722% due 12/15/2003 (d) 3,100 3,162 Carolina Power & Light Energy, Inc. 4.860% due 07/29/2002 (d) 4,900 4,876 Commonwealth Edison Co. 4.210% due 09/30/2002 (d) 2,000 2,002 Deutsche Telekom AG 7.750% due 06/15/2005 5,000 5,345 France Telecom 5.149% due 03/14/2003 (d) 1,600 1,618 Indiana Michigan Power Co. 4.087% due 09/03/2002 (d) 3,900 3,909 Pacific Gas & Electric Co. 0.000% due 10/31/2001 (d) 1,500 1,290 Southern California Edison Co. 5.879% due 05/01/2002 (d) 1,900 1,644 Texas Utilities Corp. 4.537% due 12/20/2002 (d) 1,050 1,051 3.750% due 06/15/2003 (d) 1,500 1,501 WorldCom, Inc. 7.375% due 01/15/2003 500 517 ------- 28,919 ------- Total Corporate Bonds & Notes 89,555 (Cost $89,332) ------- U.S. TREASURY OBLIGATIONS 12.3% Treasury Inflation Protected Securities 3.625% due 01/15/2008 (b)(c) 4,404 4,571 U.S. Treasury Notes 5.750% due 10/31/2002 (b) 14,000 14,324 ------- Total U.S. Treasury Obligations 18,895 (Cost $18,792) ------- MORTGAGE-BACKED SECURITIES 36.6% Collateralized Mortgage Obligations 13.3% Chase Mortgage Finance Corp. 6.550% due 08/25/2028 916 931 6.750% due 08/25/2029 4,370 4,455 Countrywide Home Loans 6.900% due 10/02/2001 3,000 3,000 Fannie Mae 6.500% due 10/25/2007 102 103 6.150% due 10/25/2007 17 18 3.793% due 06/25/2008 (d) 87 87 6.500% due 03/25/2019 380 384 6.000% due 06/25/2019 313 314 4.500% due 07/25/2023 491 492 Freddie Mac 7.250% due 06/15/2007 756 762 5.750% due 03/15/2009 629 642 6.000% due 12/15/2017 244 244 6.250% due 05/15/2019 515 520 Norwest Asset Securities Corp. 6.750% due 09/25/2027 3,912 3,946 Structured Asset Mortgage Investments, Inc. 6.050% due 02/25/2029 4,510 4,549 ------- 20,447 ------- Government National Mortgage Association 23.3% 6.250% due 02/20/2030 (d) 3,788 3,844 6.500% due 10/20/2029 (d) 31,536 31,998 ------- 35,842 ------- Total Mortgage-Backed Securities 56,289 (Cost $56,043) ------- ASSET-BACKED SECURITIES 16.8% Advanta Mortgage Loan Trust 6.190% due 04/25/2019 1,292 1,302 AFC Home Equity Loan Trust 3.890% due 12/22/2027 (d) 133 130 Arcadia Automobile Receivables Trust 6.000% due 11/17/2003 892 905 Capital Asset Research Funding LP 6.400% due 12/15/2004 3,489 3,502 Contimortgage Home Equity Loan Trust 6.440% due 12/15/2012 2,123 2,142 Daimler-Benz Auto Grantor Trust 5.220% due 12/22/2003 2,189 2,219 EQCC Home Equity Loan Trust 6.223% due 06/25/2011 1,456 1,472 Ford Credit Auto Owner Trust 6.520% due 09/15/2003 3,130 3,219 GMAC Mortgage Corp. Loan Trust 3.696% due 11/18/2015 (d) 235 236 Mesa Trust Asset Backed Certificates 4.130% due 05/15/2033 (d) 1,916 1,916 Residential Asset Mortgage Products, Inc. 3.710% due 04/25/2016 (d) 208 207 22 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Residential Asset Securities Corp. 3.810% due 09/25/2031 (d) $ 5,496 $ 5,498 Southern Pacific Secured Assets Corp. 2.831% due 07/25/2029 (d) 1,769 1,767 The Money Store Home Equity Trust 3.667% due 06/15/2029 (d) 108 108 USAA Auto Loan Grantor Trust 6.900% due 04/15/2003 1,130 1,141 --------- Total Asset-Backed Securities 25,764 (Cost $25,633) --------- SOVEREIGN ISSUES 0.5% Republic of Croatia 7.000% due 02/27/2002 700 706 --------- Total Sovereign Issues 706 (Cost $703) --------- CONVERTIBLE BONDS & NOTES 1.2% Utilities 1.2% Nabors Industries, Inc. 0.000% due 06/20/2020 3,000 1,864 --------- Total Convertible Bonds & Notes 1,864 (Cost $1,881) --------- SHORT-TERM INSTRUMENTS 5.6% Commercial Paper 4.1% AT&T Corp. 4.525% due 08/06/2002 2,300 2,298 CDC 3.380% due 10/01/2001 4,000 4,000 Fannie Mae 3.520% due 10/25/2001 100 100 --------- 6,398 --------- Repurchase Agreement 1.4% State Street Bank 2.600% due 10/01/2001 2,110 2,110 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 3.970% due 09/26/2003 valued at $2,156 Repurchase proceeds are $2,110.) U.S. Treasury Bills 0.1% 3.388% due 10/18/2001 126 126 --------- Total Short-Term Instruments 8,634 (Cost $8,636) --------- Total Investments (a) 131.3% $ 201,707 (Cost $201,020) Other Assets and Liabilities (Net) (31.3%) (48,138) --------- Net Assets 100.0% $ 153,569 --------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 1,307 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (620) --------- Unrealized appreciation-net $ 687 --------- (b) Subject to financing transaction. (c) Principal amount of the security is adjusted for inflation. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Reverse repurchase agreements were entered into September 25, 2001 paying interest at 2.440%. The following security was segregated with collateral for reverse repurchase agreements: Type Maturity Value - -------------------------------------------------------------------------------- Government National Mortgage Assn. 6.500% 10/20/2029 $ 31,998 ------------ (f) Swap agreements outstanding at September 30, 2001: Type Unrealized Notional Appreciation/ Amount (Depreciation) - -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 5,000 $ (531) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $3,000 in exchange for shares of Nabors Industries, Inc. due 06/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Dean Witter 1,825 (12) Exp. 06/20/2003 Receive a fixed rate equal to 1.450% and the Fund will pay to the couterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 1,100 0 Receive a fixed rate equal to 0.575% and the Fund will pay to the counterparty at par in the event of default of the senior or unsecured corporate debt of Kraft Foods, Inc. Broker: UBS - Warburg Exp. 08/15/2002 1,600 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 1,500 0 ------------ $ (543) ------------ (g) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ---------------------------------------------------------------------------------------------------------- U.S. Treasury Notes 5.750 10/31/2002 14,000 $14,338 $ 13,986
(h) Securities are grouped by coupon or range of coupons and represent a range of maturities. See accompanying notes | 9.30.01 | 23 Schedule of Investments U.S. Government Sector Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 13.2% Banking & Finance 8.4% Bank One Corp. 3.750% due 05/07/2002 (d) $ 2,400 $ 2,401 Bankunited FSB 5.400% due 02/02/2004 3,000 3,101 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 7,000 6,997 3.882% due 06/01/2004 (d) 2,000 2,005 Beneficial Corp. 3.652% due 03/01/2002 (d) 5,000 5,009 Bombardier Capital Trust I 3.700% due 06/09/2032 (d) 2,500 2,445 CIT Group, Inc. 4.270% due 04/07/2003 (d) 300 301 Donaldson, Lufkin & Jenrette, Inc. 4.280% due 07/18/2003 (d) 3,000 3,010 Ford Motor Credit Co. 3.720% due 02/13/2003 (d) 3,000 2,964 3.340% due 03/17/2003 (d) 5,000 4,936 3.732% due 06/02/2003 (d) 1,900 1,880 3.255% due 06/20/2003 (d) 15,000 14,820 4.110% due 07/19/2004 (d) 1,800 1,768 4.200% due 07/18/2005 (d) 6,300 6,149 General Motors Acceptance Corp. 3.670% due 03/10/2003 (d) 2,800 2,765 4.060% due 05/16/2003 (d) 3,500 3,472 3.985% due 07/21/2003 (d) 4,900 4,818 4.070% due 04/05/2004 (d) 800 784 Goldman Sachs Group, Inc. 3.790% due 12/07/2001 (d) 8,000 8,016 Household Bank 3.887% due 10/22/2003 (d) 3,000 2,976 KFW International Finance, Inc. 5.250% due 06/28/2006 2,400 2,464 Lehman Brothers Holdings, Inc. 4.220% due 04/04/2003 (d) 2,100 2,104 MBNA America Bank NA 3.950% due 04/25/2002 (d) 800 799 Merrill Lynch & Co. 3.847% due 05/21/2004 (d) 2,300 2,304 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 2,600 2,603 3.960% due 04/22/2004 (d) 5,800 5,822 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 2,500 2,507 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 10,000 10,006 Postal Square LP 6.500% due 06/15/2022 4,659 5,139 Protective Life Funding Trust 4.110% due 01/17/2003 (d) 1,500 1,505 Washington Mutual Capital I 3.908% due 05/14/2004 (d) 15,000 15,029 -------- 130,899 -------- Industrials 1.3% Clear Channel Communications, Inc. 3.700% due 06/15/2002 (d) 5,000 5,016 Cox Enterprises, Inc. 4.578% due 05/01/2033 (d) 2,000 2,014 DaimlerChrysler North America Holding Corp. 3.880% due 08/16/2004 (d) 7,000 6,865 8.500% due 01/18/2031 5,000 5,290 International Paper Co. 4.620% due 07/08/2002 (d) 1,500 1,500 -------- 20,685 -------- Utilities 3.5% Arizona Public Service Co. 4.290% due 11/15/2001 (d) 1,500 1,502 Central Power & Light Co. 3.978% due 02/22/2002 (d) 2,000 2,003 Deutsche Telekom AG 7.750% due 06/15/2005 10,000 10,689 France Telecom 4.406% due 03/14/2003 (d) 9,000 9,101 Scana Corp. 4.420% due 07/15/2002 (d) 2,900 2,903 Vodafone Group PLC 3.310% due 12/19/2001 (d) 26,800 26,839 WorldCom, Inc. 3.742% due 11/26/2001 (d) 2,000 2,002 -------- 55,039 -------- Total Corporate Bonds & Notes 206,623 (Cost $205,959) -------- MUNICIPAL BONDS & NOTES 0.4% California 0.4% Kern County California Pension Obligation Revenue Bonds, (MBIA Insured), Series 1995 7.260% due 08/15/2014 6,000 6,693 -------- Total Municipal Bonds & Notes 6,693 (Cost $6,262) -------- U.S. GOVERNMENT AGENCIES 44.1% Fannie Mae 4.600% due 04/17/2003 3,260 3,298 6.875% due 10/23/2003 20,000 20,054 6.850% due 11/06/2003 6,000 6,025 5.375% due 03/08/2004 18,000 18,228 6.130% due 06/03/2004 1,000 1,019 5.500% due 07/18/2006 38,000 39,399 6.500% due 03/12/2009 44,900 45,563 6.250% due 02/01/2011 20,000 21,070 6.000% due 05/15/2011 100,000 105,531 6.810% due 08/05/2013 500 503 0.000% due 10/09/2019 86,600 27,604 7.125% due 01/15/2030 5,000 5,675 6.625% due 11/15/2030 (g) 40,000 42,750 6.210% due 08/06/2038 36,277 36,689 Federal Farm Credit Bank 5.750% due 01/18/2011 6,200 6,431 6.000% due 03/07/2011 25,550 26,964 7.350% due 05/08/2030 3,000 3,499 Federal Home Loan Bank 6.750% due 02/01/2002 19,600 19,872 5.950% due 12/10/2008 400 403 7.375% due 02/12/2010 2,300 2,657 7.625% due 05/14/2010 8,000 9,391 0.000% due 12/21/2018 8,000 2,471 Freddie Mac 5.500% due 02/12/2004 (g) 165,000 166,432 5.100% due 08/02/2004 20,000 20,301 6.250% due 08/05/2008 500 500 6.000% due 12/29/2008 250 250 6.000% due 06/15/2011 2,600 2,741 Resolution Funding Strip 0.000% due 10/15/2020 93,000 29,615 0.000% due 01/15/2030 10,000 1,973 Small Business Administration 7.449% due 08/01/2010 2,388 2,609 Tennessee Valley Authority 7.140% due 05/23/2012 9,000 10,025 7.125% due 05/01/2030 10,000 11,167 -------- Total U.S. Government Agencies 690,709 (Cost $674,149) -------- U.S. TREASURY OBLIGATIONS 31.0% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) 32,920 33,496 3.375% due 01/15/2007 35,874 36,917 4.250% due 01/15/2010 5,289 5,711 3.625% due 04/15/2028 5,927 6,088 3.875% due 04/15/2029 4,859 5,219 U.S. Treasury Bonds 14.000% due 11/15/2011 17,000 24,785 12.000% due 08/15/2013 (g) 47,300 68,212 24 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) 7.500% due 11/15/2016 (g) $ 10,800 $ 13,279 8.125% due 05/15/2021 77,000 101,953 6.000% due 02/15/2026 (g) 16,470 17,575 U.S. Treasury Notes 5.000% due 08/15/2011 25,000 25,840 5.375% due 02/15/2031 103,300 102,687 U.S. Treasury Strips 0.000% due 11/15/2016 13,600 5,843 0.000% due 11/15/2021 119,600 37,704 ----------- Total U.S. Treasury Obligations 485,309 (Cost $474,851) ----------- MORTGAGE-BACKED SECURITIES 9.0% Collateralized Mortgage Obligations 4.3% Bank of America Mortgage Securities, Inc. 7.250% due 02/25/2031 5,757 5,970 Fannie Mae 5.500% due 02/25/2024 6,253 5,684 Freddie Mac 6.000% due 12/15/2028 11,304 10,798 6.000% due 05/15/2029 112 98 7.000% due 10/15/2030 16,000 16,835 Residential Funding Mortgage Securities I 7.500% due 04/25/2027 1,409 1,440 7.500% due 11/25/2030 6,380 6,526 Sears Mortgage Securities 7.140% due 07/25/2019 1,713 1,709 Small Business Investment Cos 8.017% due 02/10/2010 12,901 14,514 Washington Mutual, Inc. 6.247% due 01/25/2040 (d) 3,971 3,990 ----------- 67,564 ----------- Fannie Mae 0.9% 6.970% due 01/01/2029 (d) 1,931 2,021 7.500% due 02/12/2031 12,000 12,248 8.262% due 12/01/2022 (d) 298 306 ----------- 14,575 ----------- Government National Mortgage Association 3.8% 6.250% due 02/20/2030 (d) 25,707 26,083 6.375% due 02/20/2024-02/20/2026 (d)(e) 3,486 3,558 7.000% due 05/20/2030 (d) 6,237 6,370 7.375% due 04/20/2023-05/20/2024 (d)(e) 7,904 8,096 7.625% due 10/20/2023-10/20/2024 (d)(e) 1,722 1,781 7.750% due 07/20/2025-08/20/2026 (d)(e) 13,063 13,464 ----------- 59,352 ----------- Total Mortgage-Backed Securities 141,491 (Cost $136,111) ----------- ASSET-BACKED SECURITIES 4.8% Advanta Revolving Home Equity Loan Trust 3.950% due 01/25/2024 (d) 1,148 1,152 AFC Home Equity Loan Trust 2.961% due 06/25/2030 (d) 14,474 14,503 Bayview Financial Acquisition Trust 3.970% due 11/25/2030 (d) 8,000 8,030 Contimortgage Home Equity Loan Trust 3.697% due 08/15/2028 (d) 100 100 CS First Boston Mortgage Securities Corp. 3.747% due 12/15/2030 (d) 3,908 3,913 Empire Funding Home Loan Owner Trust 6.860% due 04/25/2016 529 529 Household Consumer Loan Trust 3.907% due 08/15/2006 (d) 1,581 1,567 HPSC Equipment Receivables LLC 3.357% due 10/22/2007 (d) 11,934 11,934 Metris Master Trust 3.707% due 04/20/2006 (d) 1,700 1,708 NPF XII, Inc. 4.275% due 11/01/2003 (d) 10,000 10,000 PacificAmerica Home Equity Loan 2.831% due 06/26/2028 (d) 385 384 Provident Bank Equipment Lease Trust 3.880% due 11/25/2011 (d) 13,260 13,199 Residential Asset Securities Corp. 7.615% due 01/25/2015 131 131 SallieMae 4.373% due 01/25/2007 (d) 831 833 4.343% due 04/25/2007 (d) 2,933 2,935 Signet HELOC Trust 3.880% due 06/20/2004 (d) 1,284 1,286 The Money Store Home Equity Trust 3.667% due 06/15/2029 (d) 3,090 3,090 ----------- Total Asset-Backed Securities 75,294 (Cost $75,282) ----------- SUPRANATIONAL 2.7% World Bank 7.625% due 01/19/2023 35,700 42,345 ----------- Total Supranational 42,345 (Cost $38,618) ----------- PURCHASED CALL OPTIONS 0.1% Interest Rate Swap (OTC) 4.570% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 71,200 1,184 ----------- Total Purchased Call Options 1,184 (Cost $388) ----------- PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.000 Exp. 12/17/2001 1,700,000 11 Strike @ 93.500 Exp. 12/17/2001 3,000,000 75 Eurodollar June Futures (CME) Strike @ 94.750 Exp. 06/17/2002 70,000 1 Strike @ 93.500 Exp. 06/17/2002 470,000 3 U.S. Treasury Note (OTC) 6.000% due 03/31/2002 Strike @ 91.000 Exp. 02/25/2002 30,000 5 U.S. Treasury Note (OTC) 6.000% due 03/31/2002 Strike @ 90.000 Exp. 02/23/2002 290,000 45 ----------- Total Purchased Put Options 140 (Cost $151) ----------- CONVERTIBLE BONDS & NOTES 0.4% Utilities 0.4% Nabors Industries, Inc. 0.000% due 06/20/2020 10,000 6,213 ----------- Total Convertible Bonds & Notes 6,213 (Cost $6,269) ----------- SHORT-TERM INSTRUMENTS 5.7% Commercial Paper 4.4% CDC 3.380% due 10/01/2001 68,000 68,000 U.S. Treasury Bills 1.3% 3.002% due 10/18/2001-02/07/2002 (b)(e) 20,490 20,415 ----------- Total Short-Term Instruments 88,415 (Cost $88,420) ----------- Total Investments (a) 111.4% $ 1,744,416 (Cost $1,706,460) Written Options (c) (0.1%) (1,364) (Premiums $3,654) Other Assets and Liabilities (Net) (11.3%) (177,208) ----------- Net Assets 100.0% $ 1,565,844 ----------- See accompanying notes | 9.30.01 | 25 Schedule of Investments (Cont.) U.S. Government Sector Portfolio September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 39,270 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (1,314) -------- Unrealized appreciation-net $ 36,956 -------- (b) Securities with an aggregate market value of $37,069 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - -------------------------------------------------------------------------------- U.S. Treasury 10 Year Note (12/2001) 3,200 $ 1,309 U.S. Treasury 30 Year Bond (12/2001) 5,544 5,259 -------- $ 6,568 -------- (c) Premium received of written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 95.750 Exp. 06/17/2002 1,290 $ 719 $ 121 Put - OTC 3 Month LIBOR Interest Rate Swap Strike @ 7.140 Exp. 05/23/2002 9,000,000 158 22 Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 4,000 1,879 25 Call - CBOT U.S. Treasury Note December Futures Strike @ 111.000 Exp. 11/24/2001 100 20 52 Call - CME Eurodollar June Futures Strike @ 97.500 Exp. 06/17/2002 728 178 319 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 700 241 4 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 17,800,000 459 821 ----------------- $ 3,654 $ 1,364 ----------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Subject to financing transaction. (h) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive floating rate based on 3-month LIBOR plus 0.470% and pay a fixed rate equal to 7.750%. Broker: Morgan Stanley Dean Witter Exp. 06/15/2005 $ 10,000 $ (1,062) Receive floating rate based on 3-month LIBOR plus 1.000% and pay to the counterparty the notional amount of $10,000 in exchange for shares of Nabors Industries, Inc. due 06/20/2020 when the convertible debentures mature. Broker: Morgan Stanley Dean Witter Exp. 06/20/2003 6,084 (41) Receive floating rate based on 1-month LIBOR and pay total return on Lehman Brothers US Aggregate Bond Index. Broker: Goldman Sachs Exp. 09/01/2002 3,500 (35) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal 6.826%. Broker: Morgan Stanley Dean Witter Exp. 10/26/2030 10,300 (1,357) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal 6.778%. Broker: Goldman Sachs Exp. 02/15/2021 19,200 (2,268) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal 6.000%. Broker: J.P. Morgan Chase & Co. Exp. 06/15/2011 9,600 (801) ----------- $ (5,564) ----------- Fixed Unrealized Spread Notional Appreciation/ Type (%) Amount (Depreciation) - -------------------------------------------------------------------------------- Receive On-The-Run 10-year Swap Spread and pay a fixed spread. The On-The-Run 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Bank of America Exp. 06/17/2002 1.310 $ 53,750 $ (2,276) Receive the 10-year Swap Spread and pay a fixed spread. The 10-year Swap Spread is the difference between the 10-year Swap Rate and the 10-year Treasury Rate. Broker: Morgan Stanley Dean Witter Exp. 06/29/2015 1.337 20,000 (733) Receive a fixed spread and pay the 5-year Swap Spread. The 5-year Swap Spread is the difference between the 5-year Swap Rate and the 5-year Treasury Rate. Broker: Goldman Sachs Exp. 11/15/2001 1.102 50,000 721 ----------- $ (2,288) ----------- (i) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------- U.S. Treasury Note 5.000 08/15/2011 230,600 $238,346 $236,943 U.S. Treasury Note 3.375 01/15/2007 36,369 37,426 36,916 Fannie Mae 7.500 12/31/2099 12,000 12,248 12,240 ----------------------- $288,020 $286,099 ----------------------- 26 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Investment Grade Corporate Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 80.8% Banking & Finance 27.8% ABN AMRO Mortgage Corp. 7.250% due 05/31/2005 $ 18,453 $ 20,019 AMERCO 7.200% due 04/01/2002 1,000 1,002 American Express Co. 5.500% due 09/12/2006 10,000 10,051 Associates Corp. of North America 5.750% due 11/01/2003 10,000 10,391 Bank of America Corp. 6.875% due 02/15/2005 605 651 3.762% due 08/26/2005 (d) 14,000 14,009 7.800% due 02/15/2010 30,765 34,335 7.400% due 01/15/2011 30,000 32,805 Bank One Corp. 6.500% due 02/01/2006 10,000 10,540 7.875% due 08/01/2010 11,420 12,815 Barclays Bank PLC 8.550% due 09/29/2049 5,000 5,680 Bear Stearns Co., Inc. 6.200% due 03/30/2003 5,400 5,609 3.850% due 12/01/2003 (d) 4,000 4,006 6.150% due 03/02/2004 2,300 2,388 4.112% due 05/24/2004 (d) 10,200 10,221 4.320% due 07/15/2005 (d) 3,800 3,772 Boeing Capital Corp. 5.650% due 05/15/2006 5,000 5,025 Capital One Bank 6.760% due 07/23/2002 800 823 Chrysler Financial Corp. LLC 3.509% due 07/17/2002 (d) 5,000 4,971 3.524% due 08/08/2002 (d) 1,500 1,489 CIT Group, Inc. 4.270% due 04/07/2003 (d) 1,900 1,907 6.625% due 06/15/2005 7,840 8,242 Citigroup, Inc. 5.500% due 08/09/2006 10,000 10,278 6.500% due 01/18/2011 15,000 15,680 Credit Asset Receivable LLC 6.274% due 10/31/2003 279 280 EOP Operating LP 6.376% due 02/15/2002 13,435 13,565 Export-Import Bank Korea 7.100% due 03/15/2007 2,000 2,022 Federal Home Loan Bank 6.530% due 12/30/2013 1,000 1,008 Finova Group, Inc. 7.500% due 11/15/2009 (j) 525 206 First Security Corp. 5.875% due 11/01/2003 1,000 1,037 Fleet Boston Financial Corp. 7.375% due 12/01/2009 10,745 11,662 Ford Motor Credit Co. 3.340% due 03/17/2003 (d) 1,800 1,777 6.125% due 04/28/2003 3,600 3,694 3.772% due 11/24/2003 (d) 7,000 6,902 5.750% due 02/23/2004 7,300 7,469 6.700% due 07/16/2004 2,500 2,600 7.500% due 03/15/2005 6,000 6,377 6.750% due 05/15/2005 1,000 1,041 3.041% due 06/30/2005 (d) 5,000 4,882 General Electric Global Insurance Holdings Corp. 7.500% due 06/15/2010 7,000 7,711 General Motors Acceptance Corp. 9.625% due 12/15/2001 300 304 7.050% due 04/24/2002 500 511 6.450% due 11/13/2002 1,000 1,032 5.875% due 01/22/2003 1,500 1,537 3.749% due 02/14/2003 (d) 2,000 1,975 4.060% due 05/16/2003 (d) 10,000 9,921 3.985% due 07/21/2003 (d) 2,000 1,967 3.986% due 08/04/2003 (d) 18,300 18,054 3.661% due 08/18/2003 (d) 2,000 1,970 5.750% due 11/10/2003 2,200 2,253 4.070% due 04/05/2004 (d)(g) 3,200 3,132 6.125% due 09/15/2006 10,000 10,004 6.875% due 09/15/2011 10,000 9,890 Golden West Financial Corp. 7.250% due 08/15/2002 11,000 11,396 Goldman Sachs Group, Inc. 5.900% due 01/15/2003 1,000 1,033 4.110% due 04/08/2005 (d) 10,000 9,918 Heller Financial, Inc. 7.875% due 05/15/2003 1,700 1,816 7.125% due 09/28/2004 9,000 9,836 Household Capital Trust III 4.060% due 06/26/2004 (d) 2,175 2,139 Household Finance Corp. 8.000% due 05/09/2005 10,000 10,937 6.750% due 05/15/2011 5,000 5,145 HSBC Capital Funding LP 9.547% due 12/31/2049 3,500 4,088 KBC Bank Fund Trust III 9.860% due 11/29/2049 (d) 9,000 10,400 Korea Development Bank 7.900% due 02/01/2002 1,000 1,013 Lehman Brothers Holdings, Inc. 8.800% due 03/01/2015 700 836 0.000% due 03/25/2028 1,381 169 LG&E Capital Corp. 6.205% due 05/01/2004 1,000 1,032 MBNA Corp. 3.895% due 12/10/2002 (d) 900 891 Pemex Finance Ltd. 5.720% due 11/15/2003 619 626 PP&L Capital Funding, Inc. 7.700% due 11/15/2002 2,800 2,932 7.750% due 04/15/2005 8,000 8,636 PS Colorado Credit Corp. 4.175% due 05/30/2002 (d) 2,000 2,004 PSEG Capital Corp. 7.000% due 07/03/2002 2,000 2,056 Royal Bank of Scotland Group PLC 9.118% due 03/31/2049 10,000 11,514 8.817% due 03/31/2049 7,500 8,321 Secured Finance, Inc. 9.050% due 12/15/2004 250 281 Societe Generale 9.875% due 07/15/2003 1,900 2,094 Spieker Properties, Inc. 6.950% due 12/15/2002 5,000 5,175 U.S. Bank National Association 6.300% due 07/15/2008 29,540 30,628 Wachovia Corp. 6.800% due 06/01/2005 10,000 10,664 7.550% due 08/18/2005 10,000 10,944 Washington Mutual, Inc. 8.250% due 10/01/2002 600 627 Wells Fargo Financial, Inc. 5.450% due 05/03/2004 6,500 6,732 ---------- 535,375 ---------- Industrials 28.8% Amerada Hess Corp. 6.650% due 08/15/2011 7,000 7,022 American Airlines, Inc. 9.710% due 01/30/2007 2,365 2,417 10.610% due 03/04/2011 312 294 6.978% due 04/01/2011 3,000 3,024 10.680% due 03/04/2013 1,473 1,374 AOL Time Warner, Inc. 6.125% due 04/15/2006 10,000 10,335 6.750% due 04/15/2011 5,000 5,107 AT&T Corp. 8.250% due 01/15/2003 5,000 5,249 9.650% due 10/01/2003 4,184 4,423 BAE Systems 6.664% due 09/15/2013 36,417 38,417 Bristol-Myers Squibb Co. 4.750% due 10/01/2006 25,000 24,983 See accompanying notes | 9.30.01 | 27 Schedule of Investments (Cont.) Investment Grade Corporate Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Canadian National Railway Co. 6.375% due 10/15/2011 $ 20,000 $ 20,144 Coastal Corp. 3.912% due 03/01/2002 (d) 3,200 3,205 4.279% due 07/21/2003 (d) 2,500 2,508 9.750% due 08/01/2003 2,800 3,053 ConAgra Foods, Inc. 4.220% due 09/10/2003 (d) 5,000 5,009 6.000% due 09/15/2006 5,000 5,135 Continental Airlines, Inc. 6.503% due 06/15/2011 5,000 4,622 7.033% due 06/15/2011 5,000 4,524 Cox Communications, Inc. 4.356% due 11/07/2002 (d) 500 502 6.150% due 08/01/2003 5,300 5,456 Cox Enterprises, Inc. 6.625% due 06/14/2002 700 712 8.000% due 02/15/2007 3,000 3,250 4.579% due 05/01/2033 (d) 11,600 11,680 CSX Corp. 3.202% due 06/24/2002 (d) 1,000 1,001 DaimlerChrysler North America Holding Corp. 6.590% due 06/18/2002 12,870 13,160 4.179% due 08/01/2003 (d) 2,000 1,982 3.880% due 08/16/2004 (d) 2,000 1,961 7.400% due 01/20/2005 20,000 21,264 6.400% due 05/15/2006 3,000 3,039 Delta Air Lines Equipment Trust 10.430% due 01/02/2011 (g) 2,429 2,218 10.140% due 08/14/2012 4,000 4,104 Delta Air Lines, Inc. 10.570% due 01/02/2007 (f) 7,006 7,161 7.379% due 05/18/2010 1,920 1,988 7.920% due 11/18/2010 1,970 1,943 9.200% due 09/23/2014 1,750 1,787 10.500% due 04/30/2016 3,400 3,473 East Coast Power LLC 7.066% due 03/31/2012 3,500 3,594 Electric Lightwave, Inc. 6.050% due 05/15/2004 2,900 2,820 Fred Meyer, Inc. 7.375% due 03/01/2005 19,220 20,598 Hilton Hotels 7.700% due 07/15/2002 3,000 3,031 Houghton Mifflin Co. 5.970% due 12/03/2001 1,000 1,004 HS Resources, Inc. 9.250% due 11/15/2006 (g) 4,100 4,295 IBM Corp. 4.875% due 10/01/2006 20,000 19,905 ICI Wilmington, Inc. 7.500% due 01/15/2002 2,000 2,019 Kellogg Co. 6.000% due 04/01/2006 10,000 10,357 Kerr-McGee Corp. 3.341% due 06/28/2004 (d) 4,750 4,739 6.625% due 10/15/2007 3,200 3,299 7.500% due 05/15/2014 5,000 4,981 Kinder Morgan Energy Partners LP 3.102% due 03/22/2002 (d) 10,000 10,007 Kinder Morgan, Inc. 6.450% due 11/30/2001 6,685 6,714 Koninklijke (Royal) KPN NV 8.000% due 10/01/2010 12,900 9,962 Kroger Co. 1.000% due 08/16/2012 (d) 5,000 5,006 MGM Mirage, Inc. 6.950% due 02/01/2005 2,950 2,978 8.500% due 09/15/2010 5,000 4,831 Midwest Generation LLC 8.300% due 07/02/2009 3,500 3,409 8.560% due 01/02/2016 6,000 5,944 Nabisco, Inc. 6.125% due 02/01/2033 800 821 Occidental Petroleum Corp. 8.500% due 11/09/2001 3,800 3,815 6.750% due 11/15/2002 5,000 5,137 6.400% due 04/01/2003 11,500 11,867 Park Place Entertainment Corp. 7.950% due 08/01/2003 7,000 7,105 Philip Morris Cos., Inc. 6.800% due 12/01/2003 1,762 1,854 7.125% due 10/01/2004 2,000 2,143 Qwest Capital Funding, Inc. 7.250% due 02/15/2011 5,000 5,056 R & B Falcon Corp. 6.750% due 04/15/2005 2,000 2,090 R.J. Reynolds Tobacco Holdings, Inc. 7.375% due 05/15/2003 1,500 1,552 Ralcorp Holdings, Inc. 8.750% due 09/15/2004 7,650 8,679 Safeway, Inc. 7.000% due 09/15/2002 3,350 3,437 Spieker Properties LP 8.000% due 07/19/2005 500 543 Sprint Spectrum LP 11.000% due 08/15/2006 2,250 2,374 12.500% due 08/15/2006 123 137 TCI Communications, Inc. 3.785% due 04/01/2002 (d) 2,000 2,006 3.810% due 03/11/2003 (d) 7,000 7,043 6.375% due 05/01/2003 3,300 3,420 7.550% due 09/02/2003 3,000 3,178 Telus Corp. 8.000% due 06/01/2011 6,000 6,371 Time Warner, Inc. 7.975% due 08/15/2004 1,245 1,364 6.850% due 01/15/2026 300 312 Transcontinental Gas Pipeline Corp. 7.000% due 08/15/2011 3,100 3,127 Union Pacific Corp. 9.625% due 12/15/2002 300 320 United Air Lines, Inc. 3.682% due 12/02/2002 (d) 8,840 8,876 9.000% due 12/15/2003 2,500 2,132 11.080% due 03/26/2010 (g) 13,872 14,678 8.390% due 01/21/2011 4,357 3,966 11.080% due 03/26/2011 2,835 2,909 10.020% due 03/22/2014 2,000 2,041 10.850% due 02/19/2015 1,000 1,026 10.125% due 03/22/2015 2,300 2,364 Universal Corp. 8.500% due 02/28/2003 220 233 Univision Communications, Inc. 7.850% due 07/15/2011 5,000 5,176 Vodafone Group PLC 7.625% due 02/15/2005 10,000 10,818 Walmart Bond Lease Corp. 8.400% due 08/15/2004 (f) 4,913 5,322 Walt Disney Co. 4.500% due 09/15/2004 10,000 10,043 Waste Management, Inc. 6.625% due 07/15/2002 1,100 1,113 7.700% due 10/01/2002 2,500 2,577 6.500% due 05/14/2004 6,500 6,726 7.000% due 10/15/2006 1,250 1,313 7.125% due 10/01/2007 3,955 4,185 6.875% due 05/15/2009 1,500 1,537 7.375% due 08/01/2010 6,500 6,829 7.650% due 03/15/2011 1,859 1,919 7.100% due 08/01/2026 500 521 7.000% due 07/15/2028 6,500 6,098 -------- 553,172 -------- 28 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Utilities 24.2% Allete, Inc. 4.610% due 10/20/2003 (d) $ 1,500 $ 1,503 Arizona Public Service Co. 8.125% due 03/15/2002 1,000 1,020 Baltimore Gas & Electric 6.750% due 12/15/2002 3,000 3,108 British Telecom PLC 4.445% due 12/15/2003 (d) 15,000 15,300 8.375% due 12/15/2010 24,200 26,864 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 5,800 5,772 Central Power & Light Co. 4.127% due 11/23/2001 (d) 6,500 6,509 CenturyTel, Inc. 7.750% due 10/15/2002 1,700 1,753 Cincinnati Gas & Electric Co. 6.450% due 02/15/2004 3,000 3,122 6.900% due 06/01/2025 3,000 3,082 Cinergy Corp. 6.125% due 04/15/2004 2,000 2,027 Citizens Communications Co. 8.500% due 05/15/2006 10,000 10,785 9.000% due 08/15/2031 5,000 5,111 Cleveland Electric Illuminating Co. 7.670% due 07/01/2004 4,900 5,225 9.500% due 05/15/2005 6,750 6,959 6.860% due 10/01/2008 8,444 8,764 CMS Panhandle Holding Co. 6.125% due 03/15/2004 1,000 1,018 Commonwealth Edison Co. 3.091% due 09/30/2002 (d) 1,400 1,401 3.216% due 09/30/2003 (d) 2,000 2,001 Consolidated Natural Gas Co. 7.250% due 10/01/2004 3,000 3,223 Detroit Edison Co. 7.500% due 02/01/2005 8,000 8,631 Deutsche Telekom AG 8.000% due 06/15/2010 (g) 22,200 24,673 Devon Financing Corp. ULC 6.875% due 09/30/2011 26,000 25,905 7.875% due 09/30/2031 6,750 6,735 Dominion Resources, Inc. 3.800% due 09/16/2002 (d) 1,000 1,005 6.000% due 01/31/2003 7,130 7,329 7.600% due 07/15/2003 5,000 5,312 Dynegy-Roseton Danskamme 7.270% due 11/08/2010 5,000 5,087 Edison International, Inc. 5.929% due 11/01/2001 (d) 300 293 El Paso Corp. 7.000% due 05/15/2011 10,000 10,064 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 13,000 13,041 4.826% due 09/01/2004 (d) 5,000 5,005 Entergy Louisiana, Inc. 8.500% due 06/01/2003 4,000 4,269 Entergy Mississippi, Inc. 7.750% due 02/15/2003 1,000 1,046 Exelon Corp. 5.625% due 11/01/2001 1,700 1,703 Florida Power Corp. 6.000% due 07/01/2003 4,800 4,955 France Telecom 7.750% due 03/01/2011 55,200 58,729 Illinois Power Co. 6.000% due 09/15/2003 1,500 1,543 Indiana Michigan Power Co. 4.087% due 09/03/2002 (d) 700 702 Niagara Mohawk Power Co. 9.250% due 10/01/2001 5,800 5,800 7.250% due 10/01/2002 2,268 2,333 5.375% due 10/01/2004 15,000 15,010 0.000% due 07/01/2010 (i) 13,716 12,891 Noram Energy Corp. 6.375% due 11/01/2003 10,000 10,453 Ohio Power Co. 7.000% due 07/01/2004 4,400 4,643 Phillips Petroleum Co. 8.750% due 05/25/2010 5,000 5,873 Public Service Electric & Gas Co. 6.125% due 08/01/2002 450 458 7.190% due 09/06/2002 7,150 7,409 7.750% due 04/15/2011 7,000 7,610 Public Service Enterprise Group, Inc. 4.422% due 05/21/2002 (d) 1,500 1,503 Reliant Energy Resources Corp. 8.125% due 07/15/2005 1,400 1,513 Rowan Co., Inc. 5.880% due 03/15/2012 3,059 3,208 Scana Corp. 4.150% due 02/08/2002 (d) 1,500 1,501 Southern California Edison Co. 5.879% due 05/01/2002 (d) 2,000 1,730 Sprint Capital Corp. 3.860% due 11/15/2001 (d) 1,500 1,502 Teco Energy, Inc. 7.000% due 10/01/2015 2,500 2,571 Texas Utilities Corp. 5.940% due 10/15/2001 13,000 13,024 8.125% due 02/01/2002 2,000 2,031 3.715% due 12/20/2002 (d) 10,200 10,214 3.750% due 06/15/2003 (d) 20,000 20,011 Toledo Edison Co. 7.820% due 03/31/2003 4,500 4,691 Virginia Electric & Power Co. 5.750% due 03/31/2006 10,000 10,285 Williams Cos., Inc. 4.070% due 11/15/2001 (d) 6,000 6,008 4.571% due 07/31/2002 (d) 13,000 13,020 ---------- 465,866 ---------- Total Corporate Bonds & Notes 1,554,413 (Cost $1,531,564) ---------- U.S. TREASURY OBLIGATIONS 1.1% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (h) 560 577 ---------- U.S. Treasury Notes 5.000% due 08/15/2011 13,725 14,197 6.250% due 05/15/2030 5,000 5,565 ---------- Total U.S. Treasury Obligations 20,339 (Cost $20,280) ---------- MORTGAGE-BACKED SECURITIES 6.1% Collateralized Mortgage Obligations 0.3% GS Mortgage Securities Corp. 6.526% due 08/15/2011 5,000 5,169 ---------- 5,169 ---------- Fannie Mae 5.0% 6.000% due 10/15/2031-10/18/2031 (d)(g) 76,000 77,239 7.000% due 10/15/2031 17,500 18,101 7.500% due 10/15/2031 1,500 1,560 ---------- 96,900 ---------- Government National Mortgage Association 0.8% 7.500% due 10/22/2031 9,000 9,399 8.500% due 07/15/2030-08/15/2030 (g) 6,113 6,470 ---------- 15,869 ---------- Other Mortgage-Backed Securities 0.0% Dillard's, Inc. 9.500% due 10/15/2001 300 300 ---------- Total Mortgage-Backed Securities 118,238 (Cost $117,201) ---------- See accompanying notes | 9.30.01 | 29 Schedule of Investments (Cont.) Investment Grade Corporate Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) ASSET-BACKED SECURITIES 2.9% Conseco Finance Securitizations Corp. 7.970% due 05/01/2032 $ 2,000 $ 2,201 Denver Arena Trust 6.940% due 11/15/2019 2,899 3,023 SC International Services, Inc. 5.080% due 03/15/2007 2,000 1,928 Structured Product Asset Trust 4.795% due 02/12/2003 (d) 20,000 20,000 5.086% due 06/20/2004 (d) 10,000 9,950 Timber Corp. 5.100% due 11/30/2001 10,000 10,000 White Mountain 6.815% due 12/22/2006 9,000 8,927 ---------- Total Asset-Backed Securities 56,029 ---------- (Cost $55,574) SOVEREIGN ISSUES 1.3% Republic of Croatia 4.529% due 07/31/2006 (d) 1,672 1,639 United Mexican States 10.375% due 02/17/2009 20,000 22,115 ---------- Total Sovereign Issues 23,754 ---------- (Cost $23,761) PURCHASED CALL OPTIONS 0.0% Interest Rate Swap (OTC) 4.000% due 04/15/2004 52,500 384 ---------- Strike @ 4.000 Exp. 04/11/2002 Total Purchased Call Options 384 ---------- (Cost $331) PREFERRED SECURITY 0.6% Shares UBS Preferred Funding Trust I 8.622% due 10/29/2049 10,000,000 11,336 ---------- Total Preferred Security 11,336 ---------- (Cost $11,232) SHORT-TERM INSTRUMENTS 11.6% Principal Amount (000s) Commercial Paper 11.5% Abbey National North America 3.550% due 10/24/2001 $ 11,300 11,274 3.520% due 10/29/2001 18,000 17,951 American Electric Power, Inc. 4.260% due 02/13/2002 10,000 9,905 AT&T Corp. 4.525% due 08/06/2002 21,000 21,000 CBA (de) Finance 3.565% due 10/29/2001 2,600 2,593 CDC 3.380% due 10/01/2001 61,500 61,500 Fannie Mae 3.545% due 10/18/2001 100 100 General Electric Capital Corp. 3.420% due 12/26/2001 9,600 9,542 UBS Finance, Inc. 3.450% due 10/01/2001 67,500 67,500 Verizon Global Funding 3.470% due 10/18/2001 20,000 19,967 ---------- 221,332 ---------- Principal Amount Value (000s) (000s) Repurchase Agreement 0.0% State Street Bank 2.600% due 10/01/2001 $ 412 $ 412 ---------- (Dated 09/28/2001. Collateralized by Freddie Mac 4.750% due 05/02/2003 valued at $424. Repurchase proceeds are $413.) U.S. Treasury Bills 0.1% 3.501% due 10/18/2001 (b)(g) 2,625 2,621 ---------- Total Short-Term Instruments 224,365 ---------- (Cost $224,280) Total Investments (a) 104.4% $2,008,858 (Cost $1,984,223) Written Options (c) (0.0%) (663) (Premiums $1,375) Other Assets and Liabilities (Net) (4.4%) (84,432) ---------- Net Assets 100.0% $1,923,763 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 32,569 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (7,934) ---------- Unrealized appreciation-net $ 24,635 ---------- (b) Securities with an aggregate market value of $2,621 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts Depreciation - -------------------------------------------------------------------------------- U.S. Treasury 5 Year Note (12/2001) 54 $ (3) U.S. Treasury 10 Year Note (12/2001) 663 858 ---------- $ 855 ---------- (c) Premiums received on written options: # of Type Contract Premium Value - -------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 2,044 $ 1,017 $ 256 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.600 Exp. 04/11/2002 13,000,000 358 407 ------------------ $ 1,375 $ 663 ------------------ 30 Semi-Annual Report | 9.30.01 | See accompanying notes (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 $ 5,000 $ (334) Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 06/17/2004 50,000 1,383 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp.12/17/2006 40,000 1,364 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp.12/17/2006 70,000 2,405 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp.12/17/2006 149,000 7,890 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 06/17/2005 40,000 953 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2011 35,000 494 Receive a fixed rate equal to 0.850% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: J.P. Morgan Chase & Co. Exp. 06/12/2004 14,100 (19) Receive a fixed rate equal to 0.830% and the Fund will pay to the counterparty at par in the event of default of Verizon Global Funding 6.750% due 12/01/2005. Broker: UBS-Warburg Exp. 06/15/2004 15,000 (28) Receive a fixed rate equal to 1.450% and the Fund will pay to the counterparty at par in the event of default of WorldCom, Inc. 7.875% due 05/15/2003. Broker: J.P. Morgan Chase & Co. Exp. 11/25/2002 21,800 5 Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of Philip Morris Cos., Inc. 7.650% due 07/01/2008. Broker: Credit Suisse First Boston Exp. 07/17/2003 $ 20,000 $ 26 Pay a fixed rate equal to 0.330% and the Fund will receive from the counterparty at par in the event of default of Sonoco Products Co. 6.75 % due 11/01/2010. Broker: Goldman Sachs Exp. 07/31/2006 11,000 0 Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 15,000 1 Receive a fixed rate equal to 0.400% and the Fund will pay to the counterparty at par in the event of default of National Rural Utilities Cooperative Finance Corp. 5.750% due 12/01/2008. Broker: Lehman Brothers Exp. 09/01/2003 10,000 0 Receive a fixed rate equal to 0.460% and the Fund will pay to the counterparty at par in the event of default of Vodafone Group PLC 7.750% due 02/15/2010. Broker: Lehman Brothers Exp. 09/10/2003 8,700 0 Pay a fixed rate equal to 0.570% and the Fund will pay to the counterparty at par in the event of default of Duke Capital Corp. 7.250% due 10/01/2004. Broker: Credit Suisse First Boston Exp. 08/20/2003 10,000 0 Receive a fixed rate equal to 0.720% and the Fund will pay to the counterparty at par in the event of default of Duke Capital Corp. 7.250% due 10/01/2004. Broker: Merrill Lynch Exp. 08/20/2003 10,000 0 Pay a fixed rate equal to 0.680% and the Fund will pay to the counterparty at par in the event of default of Duke Capital Corp. 7.500% due 10/01/2009. Broker: Lehman Brothers Exp. 09/27/2006 10,000 0 Pay a fixed rate equal to 0.730% and the Fund will pay to the counterparty at par in the event of default of Duke Capital Corp. 7.500% due 10/01/2009. Broker: Credit Suisse First Boston Exp. 09/27/2006 10,000 0 --------- $ 14,140 ---------
(f) Restricted security. (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Security becomes interest bearing at a future date. (j) Security is in default. See accompanying notes | 9.30.01 | 31 Schedule of Investments High Yield Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 79.2% Banking & Finance 2.3% Americo Life, Inc. 9.250% due 06/01/2005 $ 52 $ 51 Finova Group, Inc. 7.500% due 11/15/2009 (c) 1,600 628 General Motors Acceptance Corp. 4.530% due 05/16/2003 (d) 169 168 Golden State Holdings 7.125% due 08/01/2005 183 186 Hollinger Participation Trust 12.125% due 11/15/2010 300 245 Reliance Group Holdings, Inc. 9.000% due 11/15/2049 (c) 1,009 40 Wilmingtom Trust (Tucson) 10.732% due 01/01/2013 (b) 1,851 2,328 ---------- 3,646 ---------- Industrials 62.9% 360 Networks, Inc. 13.000% due 05/01/2008 (c) 1,010 8 Alliant Techsystems Inc. 8.500% due 05/15/2011 650 670 Allied Waste Industries, Inc. 6.100% due 01/15/2003 866 866 7.875% due 03/15/2005 422 436 7.875% due 01/01/2009 600 585 American Cellular Corp. 9.500% due 10/15/2009 1,000 935 American Media Operation, Inc. 10.250% due 05/01/2009 511 503 AmeriGas Partners LP 10.000% due 04/15/2006 500 525 10.125% due 04/15/2007 633 654 AmerisourceBergen Corp. 8.125% due 09/01/2008 600 623 AM-FM, Inc. 8.750% due 06/15/2007 1,193 1,247 8.000% due 11/01/2008 1,056 1,101 Arco Chemical Co. 9.375% due 12/15/2005 2,000 2,066 Armkel LLC 9.500% due 08/15/2009 500 509 Ball Corp. 7.750% due 08/01/2006 750 754 Beckman Coulter, Inc. 7.050% due 06/01/2026 600 640 Bergen Brunswig Corp. 7.375% due 01/15/2003 1,000 1,018 Beverly Enterprises, Inc. 9.625% due 04/15/2009 1,250 1,300 Briggs & Stratton Corp. 8.875% due 03/15/2011 600 585 British Sky Broadcasting Group PLC 7.300% due 10/15/2006 1,750 1,761 Canadian Forest Oil Ltd. 8.750% due 09/15/2007 918 895 Canwest Media, Inc. 10.625% due 05/15/2011 1,000 990 Century Communications Corp. 9.750% due 02/15/2002 137 134 9.500% due 03/01/2005 2,000 1,870 CF Cable TV, Inc. 9.125% due 07/15/2007 2,451 2,541 Charter Communications Holdings LLC 10.000% due 04/01/2009 200 194 10.750% due 10/01/2009 3,000 3,000 Chesapeake Energy Corp. 8.500% due 03/15/2012 1,000 965 Crown Castle International Corp. 10.750% due 08/01/2011 700 646 CSC Holdings, Inc. 7.625% due 04/01/2011 3,000 2,973 DaVita, Inc. 9.250% due 04/15/2011 400 414 Principal Amount Value (000s) (000s) Diamond Cable Communication Co. 13.250% due 09/30/2004 $ 316 $ 144 11.750% due 12/15/2005 1,113 462 Dresser, Inc. 9.375% due 04/15/2011 700 700 Echostar Communications Corp. 9.250% due 02/01/2006 1,100 1,086 Equistar Chemicals LP 10.125% due 09/01/2008 700 649 Extended Stay America, Inc. 9.875% due 06/15/2011 400 360 Fairpoint Communications, Inc. 10.908% due 05/01/2008 (d) 950 602 Ferrellgas Partners LP 9.375% due 06/15/2006 700 704 Flag Ltd. 8.250% due 01/30/2008 1,300 852 Forest Oil Corp. 10.500% due 01/15/2006 757 797 Fox Sports Networks LLC 8.875% due 08/15/2007 1,400 1,456 Garden State Newspapers 8.750% due 10/01/2009 400 344 Harrahs Operating Co., Inc. 7.875% due 12/15/2005 950 948 HCA - The Healthcare Co. 7.125% due 06/01/2006 2,350 2,411 7.875% due 02/01/2011 1,000 1,030 HEALTHSOUTH Corp. 8.500% due 02/01/2008 750 778 10.750% due 10/01/2008 300 327 8.375% due 10/01/2011 1,000 1,016 HMH Properties, Inc. 7.875% due 08/01/2005 1,000 885 Hollinger International Publishing 8.625% due 03/15/2005 52 49 9.250% due 02/01/2006 971 909 9.250% due 03/15/2007 143 134 Horseshoe Gaming Holding 8.625% due 05/15/2009 1,050 1,034 Host Marriott LP 9.250% due 10/01/2007 1,250 1,119 Huntsman Corp. 9.500% due 07/01/2007 2,682 658 International Game Technology 7.875% due 05/15/2004 3,000 3,015 Jones Intercable, Inc. 8.875% due 04/01/2007 1,069 1,167 Jupiters Ltd. 8.500% due 03/01/2006 725 707 Kmart Corp. 8.800% due 07/01/2010 217 214 9.350% due 01/02/2020 933 793 9.780% due 01/05/2020 2,023 1,693 KPNQWest BV 8.125% due 06/01/2009 250 106 Lamar Media Corp. 9.625% due 12/01/2006 150 151 Lear Corp. 7.960% due 05/15/2005 500 494 Lenfest Communications 10.500% due 06/15/2006 110 130 Level 3 Communications, Inc. 9.125% due 05/01/2008 850 359 11.250% due 03/15/2010 211 92 Leviathan Gas Corp. 10.375% due 06/01/2009 702 748 Lin Holdings Corp. 0.000% due 03/01/2008 (e) 2,000 1,350 Mandalay Resort Group 6.750% due 07/15/2003 2,000 1,820 6.450% due 02/01/2006 21 20 Manor Care, Inc. 8.000% due 03/01/2008 1,750 1,808 32 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) McLeodUSA, Inc. 0.000% due 03/01/2007 (e) $ 700 $ 217 12.000% due 07/15/2008 2,125 648 11.500% due 05/01/2009 211 60 MGM Grand, Inc. 9.750% due 06/01/2007 2,000 1,970 Midwest Generation LLC 8.300% due 07/02/2009 500 487 Millenium America, Inc. 9.250% due 06/15/2008 850 803 Mirage Resorts, Inc. 7.250% due 10/15/2006 564 515 Mohegan Tribal Gaming Authority 8.125% due 01/01/2006 500 505 Newpark Resources, Inc. 8.625% due 12/15/2007 1,000 923 Nextel Communications, Inc. 9.375% due 11/15/2009 1,000 623 Nextel Partners, Inc. 11.000% due 03/15/2010 300 199 NTL, Inc. 12.750% due 04/15/2005 147 82 Omnicare, Inc. 8.125% due 03/15/2011 750 778 Orion Network Systems, Inc. 11.250% due 01/15/2007 3,090 1,143 P&L Coal Holdings 8.875% due 05/15/2008 350 362 Park Place Entertainment 7.875% due 12/15/2005 600 572 Pioneer National Resources Co. 8.250% due 08/15/2007 1,500 1,551 Price Communications Wireless, Inc. 9.125% due 12/15/2006 1,628 1,669 Pride International, Inc. 9.375% due 05/01/2007 1,000 1,033 PSS World Medical, Inc. 8.500% due 10/01/2007 600 549 Quebecor Media, Inc. 11.125% due 07/15/2011 900 896 R.H. Donnelly, Inc. 9.125% due 06/01/2008 1,420 1,427 Rogers Cablesystems, Inc. 10.000% due 12/01/2007 800 848 Rogers Cantel, Inc. 8.300% due 10/01/2007 944 894 8.800% due 10/01/2007 285 264 9.375% due 06/01/2008 150 147 Safety-Kleen Corp. 9.250% due 06/01/2008 (c) 6,016 1 9.250% due 05/15/2009 (c) 2,958 0 SC International Services, Inc. 9.250% due 09/01/2007 1,000 785 Scotia Pacific Co. LLC 7.710% due 01/20/2014 38 31 SESI LLC 8.875% due 05/15/2011 1,000 920 Smith's Food & Drug Centers, Inc. 8.640% due 07/02/2012 61 68 Starwood Hotels & Resorts 6.330% due 02/23/2003 1,000 973 Station Casinos, Inc. 8.375% due 02/15/2008 300 284 8.875% due 12/01/2008 169 148 9.875% due 07/01/2010 211 192 Telecorp PCS, Inc. 10.625% due 07/15/2010 500 443 Tembec Industries, Inc. 8.500% due 02/01/2011 750 761 Tenet Healthcare Corp. 8.625% due 01/15/2007 1,000 1,053 Time Warner Telecom, Inc. 10.125% due 02/01/2011 300 197 Triad Hospitals, Inc. 11.000% due 05/15/2009 800 866 Principal Amount Value (000s) (000s) Tritel PCS, Inc. 10.375% due 01/15/2011 $ 700 $ 599 U.S. Airways, Inc. 9.625% due 09/01/2003 700 719 9.330% due 01/01/2006 182 183 Univision Communications, Inc. 7.850% due 07/15/2011 800 828 VoiceStream Wireless Corp. 10.375% due 11/15/2009 845 955 Waste Management, Inc. 7.000% due 05/15/2005 137 144 WCG Corp. 8.250% due 03/15/2004 700 715 Western Gas Resources, Inc. 10.000% due 06/15/2009 1,000 1,025 World Color Press, Inc. 8.375% due 11/15/2008 587 616 7.750% due 02/15/2009 369 375 Worldwide Fiber, Inc. 12.000% due 08/01/2009 11,031 83 XTO Energy Inc. 8.750% due 11/01/2009 1,000 1,025 Young Broadcasting, Inc. 8.750% due 06/15/2007 600 495 10.000% due 03/01/2011 700 560 ---------- 99,738 ---------- Utilities 14.0% AES Corp. 9.375% due 09/15/2010 1,000 865 8.875% due 02/15/2011 2,175 1,849 AT&T Canada, Inc. 10.625% due 11/01/2008 2,028 1,114 Calpine Corp. 8.500% due 05/01/2008 800 782 8.625% due 08/15/2010 1,450 1,419 8.500% due 02/15/2011 1,000 971 Carolina Power & Light Energy, Inc. 4.225% due 07/29/2002 (d) 612 609 Citizens Communications Co. 9.250% due 05/15/2011 1,000 1,106 CMS Energy Corp. 7.000% due 01/15/2005 3,000 2,970 Commonwealth Edison Co. 6.625% due 12/31/2004 1,000 998 El Paso Energy Corp. 8.500% due 06/01/2011 585 591 France Telecom 7.750% due 03/01/2011 600 650 Hanover Equipment Trust 8.500% due 09/01/2008 400 403 Koninklijke KPN NV 8.000% due 10/01/2010 1,300 1,004 Mediacom Broadband LLC 11.000% due 07/15/2013 750 769 Mission Energy Holding Co. 13.500% due 07/15/2008 200 203 Niagara Mohawk Power Co. 0.000% due 07/01/2010 (e) 900 846 Telewest Credit Links 10.875% due 02/07/2005 3,000 2,914 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 1,288 1,289 XO Communications, Inc. 12.750% due 12/15/2007 3,000 615 0.000% due 04/15/2008 (e) 3,000 285 ---------- 22,252 ---------- Total Corporate Bonds & Notes 125,636 ---------- (Cost $147,570) See accompanying notes | 9.30.01 | 33 Schedule of Investments (Cont.) High Yield Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) MORTGAGE-BACKED SECURITIES 6.4% Collateralized Mortgage Obligations 6.3% Federal Deposit Insurance Corp. 5.313% due 11/25/2026 (d) $ 400 $ 400 LTC Commercial Corp. 9.200% due 08/04/2023 1,000 903 7.970% due 04/15/2028 1,069 1,022 NationsBanc Mortgage Capital Corp. 8.035% due 05/25/2028 800 725 Red Mountain Funding Corp. 9.150% due 11/28/2027 1,210 816 Resolution Trust Corp. 6.900% due 02/25/2027 861 855 7.000% due 05/25/2027 1,160 1,158 Structured Asset Securities Corp. 7.050% due 11/25/2007 4,000 4,121 ---------- 10,000 ---------- Stripped Mortgage-Backed Securities 0.1% Fannie Mae (IO) 7.000% due 07/25/2008 290 36 7.000% due 04/25/2019 953 25 7.000% due 12/25/2021 463 44 ---------- 105 ---------- Total Mortgage-Backed Securities 10,105 (Cost $9,881) ---------- ASSET-BACKED SECURITIES 7.3% Airplanes Pass Through Trust 10.875% due 03/15/2019 3,050 1,578 Airtrust 10.582% due 06/01/2013 2,351 846 Allied Waste Industries, Inc. 5.812% due 07/21/2006 63 62 6.125% due 07/21/2006 251 249 6.125% due 07/21/2006 283 281 6.125% due 07/21/2007 (d) 147 145 6.500% due 07/21/2007 63 62 6.625% due 07/30/2007 (d) 692 685 Conseco Finance 9.300% due 10/15/2030 2,000 2,185 Green Tree Financial Corp. 8.000% due 07/15/2018 1,000 869 Kinetic Concepts, Inc. 6.710% due 12/31/2004 625 621 6.960% due 12/31/2004 625 621 Stone Container Corp. 6.125% due 10/01/2005 269 268 9.500% due 10/01/2005 231 231 7.125% due 03/31/2006 500 500 Timber Corp. 4.830% due 11/30/2001 2,300 2,300 ---------- Total Asset-Backed Securities 11,503 (Cost $12,123) ---------- SOVEREIGN ISSUES 0.3% Republic of Egypt 8.750% due 07/11/2011 500 446 ---------- Total Sovereign Issues 446 (Cost $499) ---------- CONVERTIBLE BONDS & NOTES 1.5% Health Care 0.4% Tenet Healthcare Corp. 6.000% due 12/01/2005 686 623 ---------- Industrial 1.1% American Tower 5.000% due 02/15/2010 500 363 Hilton Hotels Corp. 5.000% due 05/15/2006 211 173 Principal Amount Value (000s) (000s) Waste Management, Inc. 4.000% due 02/01/2002 $ 1,162 $ 1,162 ---------- 1,698 ---------- Total Convertible Bonds & Notes 2,321 (Cost $2,288) ---------- PREFERRED STOCK 1.0% Shares Newscorp Overseas Ltd. 8.625% due 12/31/2049 28,100 677 Primedia, Inc. 9.200% due 11/01/2009 14,700 592 8.625% due 04/01/2010 10,500 423 ---------- Total Preferred Stock 1,692 (Cost $2,587) ---------- SHORT-TERM INSTRUMENTS 1.3% Principal Amount (000s) Commercial Paper 0.9% CDC 3.380% due 10/01/2001 $ 1,500 1,500 Repurchase Agreement 0.4% State Street Bank 2.600% due 10/01/2001 619 619 (Dated 09/28/2001. Collateralized by Federal Home Loan Bank 5.020% due 05/02/2003 valued at $634. Repurchase proceeds are $619.) Total Short-Term Instruments 2,119 (Cost $2,119) --------- Total Investments (a) 97.0% $ 153,822 (Cost $177,067) Other Assets and Liabilities (Net) 3.0% 4,744 ---------- Net Assets 100.0% $ 158,566 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,871 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (26,116) ---------- Unrealized depreciation-net $ (23,245) ---------- (b) Restricted security. (c) Security is in default. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Security becomes interest bearing at a future date. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - -------------------------------------------------------------------------------- Sell EC 298 10/2001 $ 1 ---------- (g) Principal amount denoted in indicated currency: EC - Euro 34 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Mortgage Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 3.9% Banking & Finance 2.0% Bankers Trust Corp. 5.508% due 05/11/2003 (d) $ 2,000 $ 2,006 Bear Stearns Co., Inc. 4.060% due 03/28/2003 (d) 9,700 9,695 3.970% due 05/06/2003 (d) 1,300 1,303 4.446% due 05/16/2003 (d) 2,500 2,503 2.863% due 07/22/2003 (d) 3,200 3,193 3.882% due 06/01/2004 (d) 2,700 2,707 4.560% due 11/30/2004 (d) 6,200 6,218 Capital One Bank 4.950% due 01/27/2004 (d) 9,800 9,792 Finova Group, Inc. 7.500% due 11/15/2009 (j) 1,050 412 Ford Motor Credit Co. 3.303% due 06/23/2003 (d) 2,000 1,982 3.772% due 11/24/2003 (d) 3,000 2,958 4.110% due 07/19/2004 (d) 8,500 8,351 General Motors Acceptance Corp. 3.748% due 02/14/2003 (d) 4,500 4,444 4.828% due 07/20/2003 (d) 517 517 4.000% due 08/04/2003 (d) 900 888 3.452% due 03/22/2004 (d) 6,000 5,927 4.070% due 04/05/2004 (d) 14,600 14,310 5.096% due 04/05/2004 (d) 1,700 1,663 4.060% due 07/21/2004 (d) 200 194 4.788% due 09/20/2004 (d) 933 931 Goldman Sachs Group, Inc. 4.990% due 01/17/2003 (d) 1,000 1,001 Heller Financial, Inc. 4.040% due 10/22/2001 (d) 600 600 3.360% due 03/20/2002 (d) 1,800 1,803 3.750% due 06/10/2002 (d) 3,000 3,009 Household Bank 4.571% due 10/22/2003 (d) 7,000 6,944 Lehman Brothers Holdings, Inc. 5.560% due 07/15/2002 (d) 1,200 1,206 4.220% due 04/04/2003 (d) 6,100 6,111 MBNA Corp. 5.435% due 12/10/2002 (d) 7,250 7,178 Morgan Stanley, Dean Witter & Co. 3.747% due 02/21/2003 (d) 1,500 1,502 Protective Life Funding Trust 5.158% due 01/17/2003 (d) 2,000 2,007 Qwest Capital Funding, Inc. 5.253% due 07/08/2002 (d) 4,000 4,006 Salomon, Smith Barney Holdings 4.305% due 02/11/2003 (d) 1,200 1,203 ---------- 116,564 ---------- Industrials 0.9% Coastal Corp. 3.912% due 03/01/2002 (d) 8,100 8,113 Cox Enterprises, Inc. 4.578% due 05/01/2033 (d) 3,500 3,524 Delta Air Lines, Inc. 7.379% due 05/18/2010 1,920 1,988 Racers 3.712% due 03/03/2003 (d) 8,200 8,217 5.206% due 04/01/2003 (d) 10,000 10,000 Staples, Inc. 4.362% due 11/26/2001 (d) 9,000 9,013 TCI Communications, Inc. 3.810% due 03/11/2003 (d) 1,000 1,006 Union Pacific Corp. 4.340% due 07/01/2002 (d) 10,000 10,016 ---------- 51,877 ---------- Utilities 1.0% Arizona Public Service Co. 4.790% due 10/15/2001 (d) 2,800 2,803 Burlington Resourses, Inc. 8.500% due 10/01/2001 2,895 2,895 Central Power & Light Co. 4.505% due 02/22/2002 (d) 5,000 5,008 Principal Amount Value (000s) (000s) Dominion Resources, Inc. 7.600% due 07/15/2003 $ 5,000 $ 5,312 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 1,100 1,103 France Telecom 6.307% due 03/14/2003 (d) 2,800 2,831 Hawaiian Electric Industries, Inc. 5.810% due 04/15/2003 (d) 3,000 3,006 Oneok, Inc. 5.065% due 04/24/2002 (d) 4,000 4,006 Sierra Pacific Resources 4.410% due 04/20/2002 (d) 24,000 23,779 Sprint Capital Corp. 3.870% due 06/10/2002 (d) 1,000 1,003 Williams Cos., Inc. 4.570% due 11/15/2001 (d) 5,400 5,407 ---------- 57,153 ---------- Total Corporate Bonds & Notes 225,594 ---------- (Cost $226,344) MUNICIPAL BONDS & NOTES 0.4% Indiana 0.1% Indiana State Housing Finance Authority Single Family Mortgage Revenue Bonds, Series 2000 7.340% due 07/01/2030 6,825 7,318 ---------- Kansas 0.1% Sedgwick & Shawnee County, Kansas Single Family Revenue Bonds, (GNMA/FNMA COLL Insured), Series 2001 5.450% due 12/01/2011 2,500 2,540 ---------- Louisiana 0.1% Louisiana Housing Finance Agency Mortgage Revenue Bonds, (GNMA Insured), Series 2000 7.330% due 12/01/2030 5,000 5,316 ---------- Massachusetts 0.0% Massachusetts State Development Financial Agency Revenue Bonds, (GNMA Insured), Series 2000 9.000% due 06/20/2031 1,895 2,193 ---------- Missouri 0.1% Missouri State Housing Development Community Revenue Bonds, (GNMA/FNMA Insured), Series 2001 6.000% due 03/01/2032 6,650 6,847 ---------- Texas 0.0% Ennis Texas Economic Development Corporate Sales Tax Revenue Bonds, (FGIC Insured), Series 1999 0.000% due 08/01/2034 7,990 854 ---------- Total Municipal Bonds & Notes 25,068 ---------- (Cost $23,576) U.S. GOVERNMENT AGENCIES 0.6% Fannie Mae 4.700% due 05/23/2003 10,000 10,145 7.125% due 06/15/2010 6,100 6,941 Federal Home Loan Bank 6.500% due 10/07/2013 500 500 6.100% due 10/28/2013 1,000 1,001 6.320% due 11/05/2013 500 501 6.375% due 11/05/2013 500 501 6.500% due 11/18/2013 500 502 6.500% due 01/06/2014 500 500 6.330% due 01/07/2014 1,000 1,007 See accompanying notes | 9.30.01 | 35 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Small Business Administration 7.449% due 08/01/2010 $ 696 $ 761 6.640% due 02/01/2011 5,500 5,737 8.000% due 07/01/2014 3,386 3,687 7.060% due 11/01/2019 1,378 1,461 ---------- Total U.S. Government Agencies 33,244 ---------- (Cost $31,896) U.S. TREASURY OBLIGATIONS 11.1% Treasury Inflation Protected Securities (f) 3.625% due 07/15/2002 (b) 5,209 5,300 3.375% due 01/15/2007 451,493 464,615 3.625% due 01/15/2008 56,363 58,495 3.625% due 01/15/2010 105,501 113,908 ---------- Total U.S. Treasury Obligations 642,318 ---------- (Cost $630,517) MORTGAGE-BACKED SECURITIES 103.3% Collateralized Mortgage Obligations 28.5% ABN AMRO Mortgage Corp. 6.750% due 09/25/2028 16,142 16,604 6.300% due 04/25/2029 1,070 1,104 6.500% due 06/25/2029 2,100 2,117 Aetna Commercial Trust 7.100% due 12/26/2030 4,000 4,191 Allied Capital Commercial Mortgage Trust 6.310% due 09/25/2003 26 26 American Southwest Financial Securities Corp. 7.248% due 11/25/2038 1,832 1,846 Aurora Loan Services 4.280% due 05/25/2030 (d) 1,437 1,439 Bank of America Large Loan, Inc. 4.280% due 01/27/2006 (d) 45,500 40,950 Bank of America Mortgage Securities, Inc. 6.250% due 07/25/2014 2,613 2,667 6.650% due 07/25/2028 407 414 6.500% due 04/25/2029 149 150 6.500% due 05/25/2029 1,000 1,003 7.250% due 10/25/2029 2,300 2,385 Bear Stearns Adjustable Rate Mortgage Trust 7.490% due 12/25/2030 (d) 1,739 1,763 6.397% due 09/25/2031 (d) 1,983 2,010 6.819% due 01/25/2032 (d) 498 510 Bear Stearns Mortgage Securities, Inc. 7.335% due 05/25/2023 (d) 1,588 1,631 6.500% due 12/28/2023 5,200 5,111 7.000% due 08/25/2024 1,000 1,041 6.500% due 08/25/2024 1,401 1,418 7.000% due 01/25/2028 13,886 14,456 7.022% due 06/25/2031 (d) 1,515 1,502 CDC Depositor Trust I 3.917% due 01/15/2003 (d) 1,206 1,206 Cendant Mortgage Corp. 6.750% due 05/18/2012 8,350 8,711 7.250% due 04/18/2013 5,638 5,710 7.250% due 05/18/2013 7,184 7,376 6.500% due 01/15/2016 861 876 7.500% due 06/18/2030 6,000 6,312 3.161% due 07/25/2030 (d) 7,464 7,464 Chase Commercial Mortgage Securities Corp. 7.600% due 12/18/2005 1,032 1,096 Chase Mortgage Finance Corp. 6.750% due 11/25/2024 1,000 964 6.750% due 06/25/2028 2,000 2,059 6.500% due 07/25/2028 785 795 6.100% due 02/25/2029 4,738 4,828 7.750% due 04/25/2030 8,848 9,240 Citicorp Mortgage Securities, Inc. 6.000% due 01/25/2009 473 475 6.500% due 02/25/2024 2,371 2,333 6.250% due 08/25/2024 490 487 7.250% due 08/25/2027 9,500 9,746 Principal Amount Value (000s) (000s) 6.500% due 03/25/2029 $ 4,000 $ 4,051 7.500% due 10/25/2030 1,070 1,129 CMC Securities Corp. III 5.250% due 02/25/2009 7,432 7,458 6.750% due 11/25/2023 590 593 6.150% due 05/25/2028 17 17 CMC Securities Corp. IV 7.250% due 11/25/2027 3,423 3,561 Collateralized Mortgage Securities Corp. 10.950% due 02/01/2014 751 796 COMM 3.787% due 12/16/2011 (d) 798 799 3.957% due 12/16/2011 (d) 2,000 2,004 Commercial Mortgage Acceptance Corp. 5.800% due 03/15/2006 204 212 Commercial Mortgage Asset Trust 6.640% due 09/17/2010 7,000 7,457 Countrywide Funding Corp. 6.000% due 05/25/2009 623 622 6.500% due 02/25/2024 8,500 8,627 6.630% due 02/25/2024 7,300 7,466 6.880% due 03/25/2024 2,000 2,066 Countrywide Home Loans 6.500% due 07/25/2013 1,705 1,768 6.750% due 08/25/2028 708 707 6.000% due 08/25/2029 497 497 7.500% due 01/25/2031 7,000 7,241 6.099% due 07/19/2031 (d) 8,209 8,431 6.750% due 07/25/2031 7,032 6,637 CS First Boston Mortgage Securities Corp. 6.850% due 12/17/2007 22,000 23,176 6.960% due 06/20/2029 2,018 2,078 6.400% due 01/17/2035 993 1,032 DLJ Commercial Mortgage Corp. 4.333% due 07/05/2008 (d) 2,299 2,310 DLJ Mortgage Acceptance Corp. 7.580% due 02/12/2006 (d) 4,800 5,202 8.016% due 11/25/2023 (d) 475 484 8.417% due 10/25/2024 (d) 513 564 7.550% due 12/28/2026 (d)(g) 5,083 5,081 6.850% due 12/17/2027 265 281 DVI Business Credit Receivable Corp. III 4.802% due 10/15/2003 (d) 6,150 6,184 Enterprise Mortgage Acceptance Co. 6.110% due 01/15/2005 620 626 E-Trade Bank Adjustable Rate Mortgage Trust 7.127% due 08/25/2031 (d) 14,236 14,841 7.174% due 09/25/2031 23,816 24,218 Fairfax Funding Trust 6.483% due 04/02/2013 250 264 Fannie Mae 6.270% due 09/25/2007 3,000 3,131 6.500% due 05/25/2008 500 520 6.500% due 02/25/2009 1,443 1,503 4.000% due 02/25/2009 674 664 6.000% due 03/25/2009 313 313 6.500% due 07/18/2012 6,314 6,574 6.250% due 12/25/2013 14,590 14,882 6.000% due 01/25/2019 323 325 6.500% due 03/25/2019 1,115 1,125 6.500% due 04/25/2019 367 367 6.500% due 08/25/2019 175 175 7.000% due 03/25/2020 927 961 9.000% due 06/25/2020 2,561 2,733 6.350% due 06/25/2020 1,000 1,031 7.000% due 08/25/2020 136 141 9.500% due 11/25/2020 7,581 8,163 9.000% due 03/25/2021 1,062 1,139 6.500% due 05/25/2021 201 204 6.100% due 08/25/2021 1,793 1,794 7.500% due 01/25/2022 2,783 2,842 8.000% due 03/25/2022 4 4 6.500% due 04/25/2022 156 159 7.000% due 06/25/2022 660 691 7.800% due 10/25/2022 660 702 36 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) 7.000% due 10/25/2022 $ 1,165 $ 1,208 7.500% due 03/25/2023 1,930 2,069 5.000% due 04/25/2023 230 203 6.500% due 05/25/2023 2,500 2,588 6.000% due 08/25/2023 1,574 1,369 6.500% due 09/18/2023 1,864 1,885 7.500% due 09/20/2023 599 603 3.237% due 09/25/2023 (d) 8,469 8,469 7.000% due 09/25/2023 5,244 5,320 7.000% due 10/25/2023 147 149 7.000% due 12/25/2023 2,729 2,906 6.500% due 01/25/2024 1,750 1,777 6.500% due 02/25/2024 2,635 2,629 7.000% due 04/25/2024 2,517 2,622 6.000% due 07/15/2024 2,227 2,242 6.600% due 05/18/2025 1,256 1,308 7.500% due 11/17/2025 968 1,021 7.500% due 11/20/2026 9,051 9,694 7.000% due 11/25/2026 2,819 2,939 7.000% due 12/25/2026 1,401 1,447 7.500% due 04/18/2027 2,443 2,610 6.850% due 12/18/2027 4,000 4,128 7.000% due 12/20/2027 2,598 2,686 6.500% due 04/18/2028 211 211 6.500% due 05/18/2028 3,744 3,693 6.500% due 06/25/2028 6,000 6,183 6.000% due 07/18/2028 7,167 6,764 6.500% due 10/25/2028 3,644 3,539 5.000% due 11/25/2028 278 181 6.290% due 02/25/2029 1,500 1,483 3.946% due 10/18/2030 (d) 887 889 6.750% due 08/21/2031 11,975 12,251 8.909% due 06/25/2032 3,508 3,794 6.390% due 05/25/2036 2,434 2,292 7.410% due 01/17/2037 208 212 6.500% due 06/17/2038 1,000 1,039 6.500% due 09/17/2038 5,912 5,735 7.372% due 01/17/2040 (d) 4,493 4,453 Fannie Mae Grantor Trust 7.500% due 07/25/2028 2,366 2,468 FDIC Remic Trust 6.750% due 05/25/2026 50 51 Federal Agricultural Mortgage Corp. 8.314% due 04/25/2030 7,233 7,994 FFCA Secured Lending Corp. 7.130% due 08/18/2008 3,954 4,168 7.270% due 02/18/2011 9,281 9,908 7.850% due 05/18/2017 16,900 17,833 7.770% due 02/18/2019 20,000 21,498 8.970% due 02/18/2020 4,000 4,313 First Boston Mortgage Securities Corp. 6.750% due 09/25/2006 1,051 1,081 First Horizon Asset Securities 7.500% due 12/25/2030 5,800 5,952 First Nationwide Trust 8.000% due 10/25/2030 2,371 2,492 4.170% due 09/25/2031 (d) 10,000 10,135 Freddie Mac 7.000% due 05/15/2004 2,214 2,264 8.000% due 01/01/2005 36 36 6.500% due 05/15/2005 165 166 6.750% due 03/15/2007 166 168 6.250% due 11/15/2008 1 1 8.000% due 03/01/2009 30 30 6.250% due 01/15/2017 146 146 6.300% due 10/15/2019 284 284 6.900% due 04/25/2020 682 691 7.000% due 10/15/2020 6,079 6,148 7.000% due 11/15/2020 788 808 9.500% due 12/15/2020 2,497 2,629 9.000% due 12/15/2020 254 267 6.250% due 01/15/2021 313 317 9.000% due 02/15/2021 3,864 4,064 6.500% due 03/15/2021 1,582 1,618 6.000% due 04/15/2021 5,415 5,478 Principal Amount Value (000s) (000s) 9.500% due 07/15/2021 $ 589 $ 597 7.000% due 10/15/2021 28 29 6.000% due 10/15/2022 450 464 6.500% due 12/17/2022 793 816 7.500% due 03/15/2023 1,888 2,030 7.000% due 05/15/2023 327 339 7.500% due 07/15/2023 2,281 2,400 7.000% due 07/15/2023 3,632 3,741 6.250% due 09/15/2023 6,257 6,227 6.500% due 11/25/2023 3,323 3,105 6.000% due 12/15/2023 417 409 6.500% due 01/15/2024 1,480 1,482 6.800% due 02/15/2024 1,477 1,482 6.500% due 03/15/2024 1,626 1,643 6.250% due 07/15/2024 2,255 2,352 8.500% due 03/15/2025 2,359 2,551 7.000% due 01/01/2026 197 205 7.000% due 04/15/2026 2,919 3,116 6.000% due 09/15/2026 7,081 7,084 6.250% due 11/15/2026 2,200 2,248 6.500% due 06/15/2027 430 431 6.500% due 01/15/2028 2,537 2,535 3.987% due 02/15/2028 (d) 3,915 3,936 6.250% due 03/15/2028 3,000 2,989 6.500% due 04/15/2028 10,361 9,915 6.000% due 05/15/2028 6,000 5,846 6.500% due 06/15/2028 6,790 6,555 6.500% due 08/15/2028 977 948 6.000% due 11/25/2028 592 517 6.000% due 12/15/2028 4,000 3,733 6.250% due 12/15/2028 2,147 2,086 6.000% due 02/15/2029 2,334 2,153 6.500% due 03/15/2029 8,140 8,009 7.500% due 02/01/2030 260 270 6.500% due 05/15/2031 2,044 1,889 6.500% due 07/15/2031 6,000 5,542 7.000% due 09/17/2031 4,574 4,857 6.105% due 08/15/2032 (d) 8,985 9,144 General Electric Capital Mortgage Services, Inc. 7.000% due 11/25/2007 1,918 1,990 6.750% due 03/25/2011 1,400 1,430 6.250% due 04/25/2014 2,986 3,050 6.500% due 09/25/2023 1,000 981 6.500% due 11/25/2023 17,000 17,312 7.500% due 03/25/2027 2,800 2,887 7.000% due 10/25/2027 10,493 10,745 7.000% due 11/25/2027 15,143 15,761 6.500% due 05/25/2029 900 910 6.750% due 08/25/2029 2,507 2,513 7.250% due 08/25/2029 300 311 7.750% due 04/25/2030 2,000 2,083 German American Capital Corp. 7.000% due 08/12/2010 (d) 4,000 4,369 GMAC Commercial Mortgage Corp. 4.331% due 02/20/2003 (d) 750 751 4.464% due 09/20/2005 (d) 4,200 4,201 GMAC Commercial Mortgage Securities, Inc. 6.411% due 11/15/2007 954 998 7.151% due 02/15/2008 (d) 12,703 13,737 6.700% due 03/15/2008 7,150 7,545 6.420% due 08/15/2008 589 620 Golden Mortgage Loan 7.875% due 02/25/2031 (d) 8,361 8,492 Government Lease Trust 4.000% due 05/18/2011 6,300 5,322 Government National Mortgage Association 8.000% due 11/01/2013 3,472 3,868 5.650% due 10/20/2018 30 30 7.250% due 12/16/2023 3,318 3,369 7.000% due 07/16/2026 1,426 1,484 7.500% due 08/20/2028 4,674 5,045 6.500% due 09/20/2028 2,429 2,345 6.500% due 01/20/2029 3,566 3,458 7.000% due 02/16/2029 1,000 1,032 See accompanying notes | 9.30.01 | 37 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) 6.250% due 03/16/2029 $ 2,500 $ 2,407 6.500% due 03/20/2029 2,400 2,419 6.500% due 04/20/2029 4,971 4,693 6.500% due 08/20/2029 15,218 14,217 7.000% due 01/16/2030 3,314 3,262 8.000% due 01/16/2030 2,284 2,461 3.987% due 02/16/2030 (d) 7,549 7,596 7.500% due 02/20/2030 2,000 2,084 8.000% due 03/20/2030 2,000 2,177 3.937% due 10/16/2030 (d) 2,523 2,523 Guardian Savings & Loan Association 7.792% due 07/25/2019 (d) 59 60 G-Wing Ltd. 4.972% due 11/06/2003 (d) 3,698 3,698 6.380% due 05/06/2004 (d) 10,000 10,000 Headlands Mortgage Securities, Inc. 7.155% due 12/25/2012 760 774 Hilton Hotel Pool Trust 7.055% due 01/03/2010 16,074 17,288 4.140% due 10/03/2010 (d) 40,000 40,000 4.240% due 10/03/2010 (d) 15,000 15,000 Holmes Financing PLC 5.030% due 07/15/2040 (d) 11,750 11,750 Host Marriott Pool Trust 7.970% due 08/03/2009 16,990 18,762 Housing Securities, Inc. 6.500% due 07/25/2009 383 396 Impac CMB Trust 4.109% due 11/25/2031 (d) 2,581 2,585 IMPAC Commercial Holdings, Inc. 7.580% due 08/20/2030 1,500 1,546 IMPAC Secured Assets CMN Owner Trust 6.850% due 07/25/2028 12,535 13,024 IMPAC Trust 4.489% due 11/25/2031 (d) 14,000 14,000 Independent National Mortgage Corp. 8.987% due 01/25/2025 (d) 60 61 J.P. Morgan Commercial Mortgage Finance Corp. 3.767% due 04/15/2010 (d) 1,154 1,155 Long Beach Mortgage Loan Trust 8.396% due 01/20/2017 (d) 6,114 6,923 LTC Commercial Mortgage 6.029% due 05/28/2030 1,454 1,483 Mellon Residential Funding Corp. 5.652% due 06/25/2028 350 349 6.460% due 07/25/2029 (d) 23 23 Merrill Lynch Mortgage Investors, Inc. 6.050% due 10/15/2008 2,505 2,548 7.063% due 12/26/2025 296 310 6.950% due 06/18/2029 2,242 2,341 6.220% due 02/15/2030 1,317 1,376 Morgan Stanley Capital I 6.440% due 11/15/2002 77 78 7.266% due 01/16/2006 1,826 1,958 6.860% due 05/15/2006 (d) 1,525 1,605 6.190% due 01/15/2007 3,284 3,432 7.460% due 02/15/2020 4,285 4,590 6.860% due 08/15/2023 3,360 3,596 5.990% due 01/15/2028 199 206 Morgan Stanley Dean Witter Capital I 7.068% due 07/11/2011 5,000 5,164 Morgan Stanley Mortgage Trust 7.000% due 07/20/2021 1,181 1,195 NationsBanc Montgomery Funding Corp. 6.500% due 07/25/2028 3,000 3,061 Nationslink Funding Corp. 6.654% due 02/10/2006 26,000 27,528 7.181% due 12/20/2006 23,298 25,261 4.056% due 04/10/2007 (d) 2,235 2,236 Nomura Depositor Trust 3.767% due 02/15/2034 (d) 89 89 Norwest Asset Securities Corp. 6.250% due 06/25/2014 3,320 3,390 7.250% due 10/25/2027 8,400 8,746 6.250% due 08/25/2028 832 839 Principal Amount Value (000s) (000s) 6.750% due 10/25/2028 $ 8,607 $ 8,903 6.250% due 12/25/2028 2,000 2,007 6.250% due 05/25/2029 500 474 6.000% due 07/25/2029 5,600 5,624 6.500% due 10/25/2029 5,875 5,911 7.000% due 11/25/2029 4,904 5,115 7.250% due 02/25/2030 3,257 3,380 Norwest Integrated Structured Assets,Inc. 7.000% due 06/25/2028 3,000 3,127 7.000% due 09/25/2029 2,808 2,922 Paine Webber Mortgage Acceptance Corp. 6.500% due 06/25/2008 1,000 1,007 6.750% due 04/25/2024 776 780 PHH Mortgage Services Corp. 7.172% due 11/18/2027 1,879 1,944 PNC Mortgage Acceptance Corp. 7.520% due 07/15/2008 1,019 1,114 PNC Mortgage Securities Corp. 7.000% due 12/25/2027 5,200 5,368 6.625% due 03/25/2028 1,091 1,097 6.750% due 10/25/2028 7,248 7,303 6.750% due 04/25/2029 200 206 6.500% due 06/25/2029 4,525 4,441 6.750% due 08/25/2029 1,638 1,646 7.250% due 10/25/2029 2,481 2,604 4.462% due 12/25/2030 (d) 30,527 30,660 Prudential Home Mortgage Securities 6.750% due 11/25/2007 860 864 7.000% due 01/25/2008 400 405 6.000% due 02/25/2009 21,588 21,734 6.600% due 08/25/2023 1,128 1,131 6.750% due 11/25/2023 1,426 1,455 6.750% due 01/25/2024 2,716 2,739 6.500% due 01/25/2024 3,430 3,401 6.800% due 05/25/2024 4,134 4,330 Prudential Securities Secured Financing Corp. 7.000% due 09/25/2020 1,025 1,043 Residential Accredit Loans, Inc. 7.250% due 06/25/2027 4,357 4,447 6.750% due 06/25/2029 3,000 3,089 7.750% due 10/25/2029 2,597 2,666 7.750% due 03/25/2030 883 887 Residential Asset Securitization Trust 6.500% due 09/25/2014 3,268 3,358 6.250% due 11/25/2028 4,000 4,077 Residential Funding Mortgage Securities I 6.981% due 06/25/2008 2,187 2,207 6.478% due 10/25/2008 1,173 1,185 7.000% due 05/25/2012 2,687 2,766 6.500% due 12/25/2012 8,565 8,816 6.500% due 04/25/2013 2,524 2,596 6.250% due 03/25/2014 889 908 6.500% due 12/25/2023 8,884 9,190 8.278% due 03/25/2025 (d) 492 492 7.000% due 03/25/2026 4,295 4,472 7.000% due 10/25/2027 4,500 4,692 7.000% due 11/25/2027 7,600 7,897 7.000% due 12/25/2027 2,870 2,986 6.750% due 03/25/2028 2,000 2,058 6.750% due 05/25/2028 2,170 2,248 6.750% due 06/25/2028 1,629 1,635 6.250% due 11/25/2028 6,000 6,003 6.500% due 03/25/2029 5,000 5,067 6.500% due 04/25/2029 4,200 4,237 7.500% due 11/25/2029 5,000 5,191 7.750% due 09/25/2030 4,962 5,089 7.500% due 11/25/2030 3,283 3,339 6.325% due 06/25/2031 1,854 1,879 Residential Mortgage Securities 3.843% due 02/09/2020 (d) 2,726 2,726 3.993% due 02/09/2028 (d) 25,000 25,000 Resolution Trust Corp. 6.090% due 08/25/2023 (d) 1,427 1,442 8.000% due 06/25/2026 555 557 7.678% due 05/25/2029 (d) 1,289 1,329 38 Semi-Annual Report | 6.30.01 | See accompanying notes Principal Amount Value (000s) (000s) RMF Commercial Mortgage Securities, Inc. 6.715% due 01/15/2019 (d) $ 4,900 $ 5,088 7.100% due 11/28/2027 (d) 1,718 1,773 Saco I, Inc. 4.222% due 09/25/2040 (d) 262 262 Salomon Brothers Mortgage Securities VII 7.466% due 11/25/2022 (d) 218 220 4.468% due 04/25/2029 (d) 3,618 3,632 2.961% due 06/25/2029 (d) 729 728 3.061% due 09/25/2029 (d) (i) 399 401 7.600% due 12/25/2030 3,423 3,477 Sasco Floating Rate Commercial Mortgage Trust 3.211% due 03/25/2002 (d) 908 909 4.638% due 04/25/2003 (d) 3,500 3,503 Securitized Asset Sales, Inc. 6.250% due 12/25/2023 32 32 7.410% due 09/25/2024 (d) 1,740 1,769 Security Pacific National Bank 7.430% due 09/25/2019 (d) 327 338 Shearson Lehman Securities 6.957% due 10/01/2018 (d) 3,100 3,152 Starwood Asset Receivables Trust 3.161% due 09/25/2022 (d) 40,000 40,033 3.661% due 09/25/2022 (d) 19,000 19,093 2.961% due 09/25/2022 (d) 587 587 Starwood Commercial Mortgage Trust 6.920% due 02/03/2009 1,000 1,048 6.600% due 02/03/2009 3,475 3,684 Strategic Hotel Capital, Inc. 5.887% due 04/15/2011 (d) 11,975 11,975 5.287% due 04/15/2011 (d) 1,996 1,996 Structured Asset Mortgage Investments, Inc. 7.365% due 05/25/2022 (d) 11,721 11,513 6.904% due 06/25/2028 (d) 11,385 11,601 7.203% due 02/25/2030 (d) 8,380 8,506 Structured Asset Notes Transactions Ltd. 6.650% due 08/30/2005 (d) 742 757 Structured Asset Securities Corp. 7.000% due 10/30/2016 19,813 20,349 7.375% due 09/25/2024 541 541 7.000% due 12/25/2027 4,300 4,475 6.750% due 07/25/2029 2,104 2,141 3.411% due 02/25/2030 (d) 1,820 1,821 TMA Mortgage Funding Trust 3.041% due 01/25/2029 (d) 3,490 3,490 Union Planters Mortgage Finance Corp. 6.350% due 01/25/2028 63 63 6.600% due 01/25/2028 4,000 4,094 Vendee Mortgage Trust 7.750% due 05/15/2022 6,669 7,263 6.500% due 03/15/2029 2,500 2,466 Washington Mutual Mortgage Securities Corp. 7.250% due 07/25/2031 9,128 9,578 Washington Mutual, Inc. 7.500% due 11/19/2029 2,000 2,081 6.604% due 10/19/2039 (d) 24,476 24,664 6.818% due 12/25/2040 (d) 8,535 8,565 ---------- 1,647,751 ---------- Fannie Mae 24.8% 7.346% due 05/01/2030 (d) 14,871 15,439 4.650% due 08/01/2008 18,085 18,107 5.500% due 11/19/2016-12/01/2030 (d)(e) 18,372 18,107 5.740% due 11/01/2017 (d) 36 37 5.748% due 11/01/2015-10/01/2031 (d)(e) 1,396 1,413 5.934% due 08/01/2029 (d) 501 508 5.962% due 06/01/2029 (d) 114 115 5.990% due 02/01/2017-03/01/2017 (d)(e) 32 33 5.993% due 05/01/2036 (d) 225 228 5.995% due 12/01/2018-05/01/2036 (d)(e) 1,132 1,147 5.997% due 09/01/2027 (d) 29 29 6.000% due 04/01/2004-10/15/2031 (d)(e) 522,277 529,853 6.008% due 07/01/2024 (d) 10 10 6.019% due 11/01/2024 (d) 11 12 6.130% due 08/01/2005 2,949 3,097 6.160% due 05/01/2008 997 1,019 Principal Amount Value (000s) (000s) 6.250% due 07/01/2003-09/01/2020 (d)(e) $ 166 $ 168 6.262% due 02/01/2009 4,781 5,037 6.448% due 01/01/2028 (d) 91 92 6.450% due 09/01/2016 3,877 4,044 6.500% due 09/01/2005-10/15/2031 (e) 293,094 298,206 6.559% due 02/01/2030 (d) 3,796 3,870 6.703% due 08/01/2028 1,550 1,583 6.750% due 11/01/2007 51 52 6.753% due 01/01/2027 (d) 1,325 1,371 6.981% due 06/01/2007 1,105 1,195 7.000% due 06/01/2003-11/14/2031 (e) 315,792 329,002 7.011% due 01/01/2030 (d) 9,833 10,152 7.040% due 03/01/2007 215 234 7.052% due 08/01/2009 1,770 1,914 7.060% due 11/01/2003 276 290 7.105% due 06/01/2023 (d) 360 371 7.185% due 02/01/2018 (d) 1,487 1,464 7.192% due 05/01/2026 (d) 273 278 7.235% due 10/01/2003 234 245 7.250% due 01/01/2003-10/01/2011 (e) 257 266 7.298% due 11/01/2025 (d) 799 822 7.310% due 07/01/2003 234 244 7.427% due 03/01/2030 (d) 12,798 13,315 7.430% due 01/25/2023 3,444 3,555 7.500% due 10/01/2028-10/15/2031 (e) 137,138 142,658 7.530% due 01/01/2009 1,342 1,483 7.595% due 02/01/2024 (d) 154 164 7.684% due 02/01/2027 (d) 651 663 7.697% due 07/01/2024 (d) 301 309 7.710% due 11/01/2025 (d) 751 768 7.730% due 01/01/2025 4,027 4,220 7.750% due 02/01/2008 122 126 7.780% due 03/01/2024 (d) 142 146 8.000% due 07/01/2007-10/15/2031 (d)(e) 10,326 10,825 8.060% due 11/01/2023 (d) 160 164 8.213% due 12/01/2024 (d) 401 412 8.250% due 12/01/2022 (d) 123 126 8.374% due 11/01/2023 (d) 98 100 8.472% due 01/01/2024 (d) 57 60 8.500% due 04/01/2008-11/01/2026 (d)(e) 3,996 4,241 8.750% due 04/01/2018 4 4 9.000% due 03/01/2010-06/01/2027 (e) 3,041 3,318 9.250% due 05/01/2010 74 80 9.500% due 09/01/2010-04/01/2025 (e) 589 651 10.000% due 04/01/2020 367 408 15.500% due 10/01/2012 5 6 15.750% due 12/01/2011 2 3 ---------- 1,437,859 ---------- Federal Housing Administration 1.8% 7.430% due 07/01/2018-07/01/2025 (e) 37,623 38,587 6.875% due 12/01/2016 691 693 6.896% due 07/01/2020 838 837 7.430% due 10/01/2018-05/01/2024 (e) 29,548 30,222 7.450% due 05/01/2021 865 887 7.500% due 12/01/2030-09/01/2034 (e) 3,655 3,832 7.590% due 12/01/2017 3,826 4,007 7.625% due 12/01/2016 446 470 7.630% due 09/01/2039-05/01/2040 (e) 9,683 10,462 7.750% due 05/01/2028 939 998 8.250% due 05/01/2022 1,000 1,066 8.530% due 02/01/2039 3,063 3,270 8.875% due 06/01/2035 5,884 6,436 ---------- 101,767 ---------- Freddie Mac 5.5% 5.500% due 01/01/2030-10/15/2031 (e) 14,179 13,822 6.000% due 09/01/2006-10/18/2031 (d)(e) 229,200 228,809 6.250% due 04/01/2003 33 33 6.371% due 01/01/2028 (d) 1,248 1,283 6.375% due 03/01/2017 (d) 76 77 6.500% due 03/01/2005-05/01/2007 (e) 97 98 6.686% due 09/01/2028 (d) 740 757 6.693% due 11/01/2027 (d) 2,031 2,065 6.703% due 12/01/2029 (d) 6,424 6,554 6.739% due 09/01/2027 (d) 2,424 2,510 6.775% due 11/01/2003 119 117 See accompanying notes | 9.30.01 | 39 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) 6.833% due 06/01/2022 (d) $ 44 $ 45 6.867% due 10/01/2027 (d) 837 869 6.890% due 07/01/2027 (d) 1,694 1,736 6.963% due 12/01/2026 (d) 995 1,029 7.000% due 09/01/2006 31 32 7.133% due 09/01/2027 (d) 2,340 2,453 7.250% due 02/01/2017 (d) 19 19 7.349% due 07/01/2028 (d) 8,868 9,098 7.400% due 02/01/2021 2,517 2,548 7.450% due 03/25/2022 2,144 2,179 7.500% due 07/01/2009-05/01/2031 (e) 6,581 6,860 7.510% due 11/01/2029 (d) 18,348 18,733 7.625% due 01/01/2017 (d) 56 57 7.754% due 03/01/2029 (d) 1,285 1,323 7.950% due 03/31/2030 4,610 4,866 7.966% due 09/01/2026 (d) 2,122 2,177 7.970% due 09/01/2024 (d) 307 323 8.000% due 05/01/2008-11/01/2013 (e) 642 677 8.117% due 03/01/2027 (d) 379 389 8.133% due 10/01/2024 (d) 963 984 8.177% due 02/01/2027 (d) 2,479 2,540 8.190% due 06/01/2024 (d) 278 285 8.250% due 06/01/2008-12/01/2008 (e) 291 308 8.253% due 10/01/2024 (d) 550 562 8.329% due 10/01/2023 (d) 616 631 8.500% due 07/01/2008-08/01/2027 (e) 1,411 1,502 9.500% due 12/01/2001-06/01/2021 (e) 404 433 10.000% due 07/01/2005-12/01/2005 (e) 185 190 10.250% due 05/01/2009 2 2 10.750% due 09/01/2009-05/01/2010 (e) 10 11 ---------- 318,986 ---------- Government National Mortgage Association 42.4% 7.700% due 09/15/2031 9 8 1.000% due 04/20/2030 8,640 8,825 5.250% due 04/20/2030-06/20/2030 (d)(e) 2,921 2,957 5.500% due 05/20/2030-06/20/2030 (d)(e) 57,968 58,785 6.000% due 12/15/2023-11/20/2031 (d)(e) 137,150 138,217 6.250% due 03/20/2030 (d) 4,150 4,210 6.375% due 03/20/2021-05/20/2028 (d)(e) 51,138 52,237 6.500% due 09/15/2023-10/22/2031 (d)(e) 263,487 268,353 6.670% due 08/15/2040 2,870 3,005 6.720% due 11/15/2040 2,323 2,249 7.000% due 04/20/2017-10/22/2031 (d)(e) 945,849 979,830 7.125% due 10/20/2023 (d) 44 45 7.250% due 07/20/2030 11,411 12,397 7.500% due 11/20/2029-10/15/2040 (d)(e) 323,879 337,331 7.625% due 12/20/2018-10/20/2027 (d)(e) 39,218 40,535 7.700% due 06/15/2001 1,554 1,666 7.750% due 07/20/2020-09/20/2027 (d)(e) 30,657 31,617 8.000% due 12/15/2003-10/22/2031 (d)(e) 218,396 229,656 8.250% due 07/15/2008 178 190 8.500% due 01/15/2028-10/22/2031 (d)(e) 259,856 275,409 9.000% due 09/15/2006-08/20/2030 (e) 6,097 6,477 9.500% due 09/15/2009-12/15/2021 (e) 1,008 1,121 11.000% due 07/15/2010 19 21 ---------- 2,455,141 ---------- Stripped Mortgage-Backed Securities 0.3% Bear Stearns Mortgage Securities, Inc. (IO) 7.000% due 08/25/2024 156 11 Chase Mortgage Finance Corp. (PO) 0.000% due 01/25/2030 112 97 CMC Securities Corp. III (IO) 6.750% due 11/25/2028 3,422 384 Collateralized Mortgage Obligation Trust (PO) 0.000% due 09/23/2017 35 32 Credit-Based Asset Servicing and Securitization (IO) 2.000% due 12/15/2039 43,000 1,263 Fannie Mae (IO) 727.220% due 09/25/2006 3 7 6.500% due 02/25/2007 165 4 7.000% due 04/25/2008 459 58 7.000% due 04/25/2019 1,503 39 6.500% due 05/25/2019 2,022 88 7.000% due 08/25/2019 264 9 Principal Amount Value (000s) (000s) 6.500% due 03/25/2020 $ 474 $ 20 6.500% due 08/25/2020 88 4 839.670% due 08/25/2020 1 21 6.500% due 09/25/2021 415 36 6.500% due 03/25/2022 1,463 129 Fannie Mae (PO) 0.000% due 08/25/2022 197 175 0.000% due 04/25/2023 4,360 2,525 First Union National Bank-Bank of America 2.000% due 03/15/2011 38,977 4,389 Freddie Mac (IO) 6.500% due 07/15/2006 110 2 1088.094% due 03/15/2007 1 4 6.500% due 05/15/2007 116 5 6.500% due 07/15/2007 130 3 1170.442% due 07/15/2018 1 1 7.000% due 08/15/2018 697 14 6.500% due 01/15/2023 1,164 144 7.000% due 10/25/2023 1,233 253 5.487% due 12/15/2023 (d) 1,530 93 7.500% due 08/15/2029 780 131 Government National Mortgage Association (PO) 0.000% due 02/26/2019 419 414 Irwin Home Equity Loan Trust (IO) 10.000% due 03/25/2004 18,037 4,064 Merrill Lynch Mortgage Investors, Inc. (IO) 0.666% due 04/25/2028 (d) 29,095 661 Residential Funding Mortgage Securities I (IO) 7.000% due 09/25/2023 329 33 Residential Funding Mortgage Securities II (IO) 10.000% due 09/25/2003 13,600 2,424 ---------- 17,537 ---------- Total Mortgage-Backed Securities 5,979,041 ---------- (Cost $5,824,299) ASSET-BACKED SECURITIES 27.3% Aames Mortgage Trust 3.887% due 07/15/2029 (d)(i) 3,328 3,343 3.937% due 10/15/2029 (d) 1,299 1,302 ABFS Equipment Contract Trust 6.100% due 10/15/2005 81 79 ABSC Long Beach Home Equity Loan Trust 3.885% due 06/21/2030 (d) 14,287 14,323 3.385% due 07/21/2030 (d) 27,500 27,561 Access Financial Manufactured Housing Contract Trust 7.650% due 05/15/2021 1,500 1,380 Ace Securities Corp. 2.981% due 11/25/2028 (d) 388 389 Advanta Business Card Master Trust 4.581% due 04/20/2008 (d) 17,000 17,225 Advanta Mortgage Loan Trust 4.575% due 05/25/2027 (d) 1,396 1,395 3.036% due 11/25/2029 (d) 718 719 8.250% due 08/25/2030 10,000 10,873 Aerco Ltd. 4.100% due 08/15/2025 (d) 3,400 3,403 AESOP Funding II LLC 3.860% due 11/20/2006 (d) 1,500 1,492 AFC Home Equity Loan Trust 2.911% due 06/24/2029 (d) 1,404 1,405 3.071% due 06/24/2029 (d) 6,096 6,125 3.211% due 09/25/2029 (d) 745 745 Aircraft Finance Trust 8.000% due 05/15/2024 1,000 936 Alliance Laundry Equipment Receivables Trust 3.887% due 05/15/2009 (d) 7,330 7,281 American Residential Eagle Trust 3.011% due 04/25/2029 (d) 663 664 Americredit Automobile Receivable Trust 5.880% due 12/05/2003 100 101 3.880% due 09/05/2006 (d) 1,000 1,003 Ameriquest Mortgage Securities, Inc. 4.772% due 07/15/2030 (d) 3,000 2,990 40 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Amortizing Residential Collateral Trust 2.921% due 09/25/2030 (d) $ 568 $ 569 Argentina Funding Corp. 3.870% due 05/20/2003 (d) 1,000 1,002 Bank One Auto Grantor Trust 6.290% due 07/20/2004 1,138 1,151 Bayview Financial Acquisition Trust 3.211% due 02/25/2029 (d) 1,512 1,517 3.261% due 11/25/2029 (d) 791 794 3.311% due 02/25/2030 (d) 16,842 16,779 3.041% due 03/25/2030 (d) 25,491 25,511 4.430% due 07/25/2030 (d) 5,876 5,876 3.331% due 08/25/2030 (d) 19,699 19,699 3.411% due 11/25/2030 (d) 18,000 18,146 4.911% due 11/25/2030 (d) 4,000 4,000 4.081% due 07/25/2031 (d) 4,588 4,578 Bayview Financial Asset Trust 3.061% due 04/25/2031 (d) 732 732 Block Mortgage Finance, Inc. 7.049% due 04/25/2014 (d) 281 281 7.122% due 08/25/2022 0 0 2.841% due 08/25/2028 (d) 713 712 4.020% due 12/25/2028 (d) 1,486 1,488 Business Loan Express 4.161% due 01/25/2028 (d) 19,798 19,798 Capital Asset Research Funding LP 6.400% due 12/15/2004 1,190 1,194 5.905% due 12/15/2005 2,675 2,665 Captec Franchise Trust 7.892% due 10/15/2010 5,320 5,233 Centex Home Equity 7.990% due 10/25/2030 14,840 16,151 7.540% due 10/25/2030 29,000 31,120 Chase Funding Mortgage Loan Asset-Backed Certificates 3.211% due 10/25/2030 (d) 15,000 14,888 4.461% due 10/25/2030 (d) 6,800 6,715 2.863% due 10/25/2031 (d) 42,500 42,500 Chevy Chase Auto Receivables Trust 6.200% due 03/20/2004 397 401 CIT Equipment Collateral 7.520% due 07/20/2011 3,731 3,801 CNH Equipment Trust 7.140% due 09/15/2007 904 950 CNL Funding 7.721% due 08/25/2009 21,859 23,373 Conseco Finance 10.550% due 05/15/2005 14,140 14,927 7.880% due 08/20/2005 9,824 10,177 8.560% due 07/20/2008 14,465 14,982 6.940% due 11/15/2014 179 180 3.877% due 12/15/2029 (d) 863 867 4.237% due 03/15/2030 (d) 11,900 11,896 3.907% due 10/15/2030 (d) 1,310 1,310 3.987% due 02/15/2031 (d) 3,000 2,926 4.430% due 07/15/2031 (d) 18,000 18,000 8.410% due 10/15/2031 9,000 9,817 8.200% due 02/01/2032 40,000 45,950 10.210% due 02/01/2032 700 742 Conseco Finance Home Loan Trust 6.980% due 06/15/2011 329 332 Conseco Finance Securitizations Corp. 8.850% due 12/01/2031 23,125 27,548 7.970% due 05/01/2032 13,800 15,186 8.500% due 05/01/2033 6,500 6,509 Conseco Private Label Credit Card Master Note Trust 5.035% due 11/17/2008 (d) 42,000 42,578 Contimortgage Home Equity Loan Trust 5.870% due 09/15/2008 489 505 6.770% due 01/25/2018 2,069 2,086 3.627% due 06/15/2028 (d) 813 812 4.190% due 08/15/2028 (d) 149 150 3.737% due 09/15/2028 (d) 692 691 Countrywide Asset-Backed Certificates 4.180% due 09/25/2031 (d) 9,125 9,131 Principal Amount Value (000s) (000s) Countrywide Home Loans 4.080% due 12/25/2030 (d) $ 8,999 $ 9,022 Cross Country Master Credit Card Trust II 3.987% due 06/15/2006 (d) 1,900 1,914 CS First Boston Mortgage Securities Corp. 7.590% due 07/25/2026 8,700 9,295 4.137% due 12/15/2030 (d) 13,050 13,071 4.557% due 12/15/2030 (d) 37,550 37,724 3.861% due 08/25/2031 (d) 800 818 3.930% due 08/25/2031 (d) 5,659 5,659 4.580% due 08/25/2031 (d) 20,183 20,183 3.411% due 04/25/2032 (d) 18,600 18,600 Delta Funding Home Equity Loan Trust 3.897% due 09/15/2029 (d) 614 617 Denver Arena Trust 6.940% due 11/15/2019 14,526 15,147 DVI Receivables Corp. 5.723% due 04/11/2009 3,503 3,627 Embarcadero Aircraft Securitization Trust 3.967% due 08/15/2025 (d) 15,000 15,000 4.460% due 08/15/2025 (d) 4,479 4,477 5.080% due 08/15/2025 (d) 9,285 9,219 EQCC Home Equity Loan Trust 3.647% due 10/15/2027 (d) 588 588 Fingerhut Master Trust 4.287% due 02/15/2005 (d) 12,400 12,388 First International Bank 4.380% due 03/15/2027 (d) 23,838 23,838 First Plus Home Loan Trust 6.350% due 03/10/2017 187 187 6.490% due 07/10/2017 873 880 7.170% due 05/10/2024 10,000 10,639 Fleet Credit Card Master Trust II 4.362% due 05/15/2008 (d) 29,500 29,371 FMAC Loan Receivables Trust 6.729% due 12/15/2019 2,700 2,656 6.111% due 12/15/2019 929 945 FNF Funding X, LLC. 6.530% due 07/20/2007 4,122 4,205 General Electric Capital Mortgage Services, Inc. 7.200% due 04/25/2029 3,282 3,332 GMAC Mortgage Corp. Loan Trust 7.950% due 03/25/2030 3,666 3,928 7.720% due 12/25/2031 7,574 8,134 Government Lease Trust 5.860% due 04/18/2003 1,052 1,072 Government National Mortgage Association 4.418% due 06/20/2032 (d) 5,000 4,998 7.930% due 06/20/2032 10,000 10,864 Green Tree Financial Corp. 6.600% due 01/15/2019 1,712 1,758 9.100% due 04/15/2020 8,202 8,510 6.420% due 11/15/2028 115 115 6.680% due 01/15/2029 3,111 3,199 7.550% due 01/15/2029 673 732 6.650% due 02/15/2029 1,083 1,106 7.690% due 09/01/2030 9,500 9,251 6.920% due 12/01/2030 5,000 4,920 7.060% due 02/01/2031 2,500 2,555 6.970% due 04/01/2031 7,000 7,336 7.860% due 04/01/2031 1,900 2,009 Green Tree Floorplan Receivables Master Trust 4.022% due 11/13/2003 (d) 5,500 5,508 Green Tree Home Equity Loan Trust 6.130% due 02/15/2019 3,690 3,838 6.770% due 07/15/2030 300 312 7.180% due 07/15/2030 7,925 8,451 7.610% due 09/15/2030 8,000 8,623 Green Tree Home Improvement Loan Trust 3.657% due 08/15/2029 (d) 800 799 4.342% due 11/15/2029 (d) 405 406 Green Tree Recreational, Equipment, & Consumables 6.430% due 04/17/2006 3,039 3,067 6.715% due 02/01/2009 3,578 3,776 6.550% due 07/15/2028 4,471 4,651 See accompanying notes | 9.30.01 | 41 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Greenpoint Manufactured Housing 6.750% due 04/15/2011 $ 1,874 $ 1,880 GRMT II Mortgage Loan Trust 4.078% due 06/20/2032 (d)(i) 2,064 2,066 GRMT Mortgage Loan Trust 9.827% due 05/20/2017 10,000 10,650 7.772% due 11/20/2017 4,000 4,144 Household Consumer Loan Trust 3.907% due 08/15/2006 (d) 316 313 IMC Home Equity Loan Trust 7.110% due 08/25/2014 1,416 1,435 6.410% due 04/20/2018 395 397 6.880% due 11/20/2028 8,888 9,370 IMPAC Secured Assets CMN Owner Trust 7.770% due 07/25/2025 5,023 5,245 Indymac Home Equity Loan Asset-Backed Trust 3.331% due 12/25/2031 (d) 5,400 5,410 3.731% due 12/25/2031 (d) 7,925 7,908 8.980% due 12/25/2031 1,000 1,040 Indymac Manufactured Housing Contract 6.170% due 12/25/2011 1,251 1,270 Irwin Home Equity Loan Trust 6.886% due 02/25/2011 (d) 32,972 32,972 3.031% due 02/25/2012 (d) 1,152 1,156 3.561% due 06/25/2021 (d) 4,000 4,021 7.960% due 04/25/2026 7,000 7,583 Keycorp Student Loan Trust 4.350% due 08/25/2007 (d) 436 438 Long Beach Acceptance Auto Grantor Trust 6.190% due 01/25/2004 656 656 MBNA Master Credit Card Trust 6.350% due 11/15/2005 800 825 Mellon Auto Grantor Trust 5.460% due 10/17/2005 841 857 Mesa Trust 10.000% due 12/15/2003 7,386 1,812 4.450% due 05/15/2033 (d) 4,801 4,801 4.950% due 05/15/2033 (d) 6,648 6,648 Metris Master Trust 4.478% due 04/20/2006 (d) 3,200 3,215 5.980% due 11/20/2009 (d) 8,000 8,000 Metropolitan Asset Funding, Inc. 3.121% due 04/25/2029 (d) 1,380 1,372 Mid-State Trust 8.330% due 04/01/2030 4,548 5,052 7.791% due 03/15/2038 1,753 1,943 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 1,862 1,869 Morgan Stanley Dean Witter Capital I 7.500% due 07/15/2010 25,299 27,417 7.700% due 03/15/2016 (d) 12,000 13,105 6.042% due 05/25/2031 (d) 6,993 6,993 Nextcard Credit Card Master Note Trust 5.137% due 12/15/2006 (d) 5,300 5,300 NPF XII, Inc. 4.355% due 03/01/2003 (d) 5,000 4,995 7.050% due 06/01/2003 (d) 5,500 5,639 4.482% due 10/01/2003 (d) 35,000 34,951 4.780% due 10/01/2003 (d) 1,700 1,707 4.510% due 12/01/2003 (d) 13,800 13,783 4.762% due 03/01/2004 (d) 4,000 4,019 5.012% due 06/01/2004 (d) 25,000 24,984 Oakwood Mortgage Investors, Inc. 6.190% due 12/15/2013 6,778 6,943 7.500% due 01/15/2021 1,000 1,100 6.650% due 05/15/2027 2 2 9.130% due 03/15/2031 (d) 81 81 Ocwen Mortgage Loan Trust 5.012% due 04/25/2029 (d) 2,359 2,356 3.935% due 10/25/2029 (d) 1,572 1,575 3.341% due 03/25/2031 (d) 7,816 7,878 Onyx Acceptance Grantor Trust 6.300% due 05/15/2004 1,254 1,257 Principal Amount Value (000s) (000s) Option One Mortgage Loan Trust 4.290% due 02/25/2029 (d) $ 3,049 $ 3,066 6.020% due 05/25/2029 600 614 3.041% due 12/26/2029 (d) 1,100 1,103 Origen Manufactured Housing 7.650% due 03/15/2032 13,200 13,538 PacificAmerica Home Equity Loan 2.831% due 06/26/2028 (d) 963 961 Pegasus Aviation Lease Securitization 3.286% due 03/01/2015 (d) 29,079 29,079 PP&L Transition Bond Co. LLC 6.410% due 12/26/2003 318 322 Provident Bank Home Equity Loan Trust 2.881% due 04/25/2029 (d) 662 658 Residential Asset Mortgage Products, Inc. 8.360% due 06/25/2030 21,228 22,473 8.000% due 09/25/2030 24,150 25,407 Residential Asset Securities Corp. 7.615% due 12/25/2014 262 262 6.600% due 01/25/2020 352 354 7.998% due 10/25/2024 (d) 767 791 4.126% due 09/25/2031 (d) 16,000 16,000 Residential Funding Mortgage Securities II 7.850% due 12/25/2024 (i) 7,000 7,510 7.980% due 09/25/2025 (i) 15,999 17,162 Residential Mortgage Loan Trust 4.375% due 09/25/2029 (d)(i) 3,146 3,188 Ryder Vehicle Lease Trust 6.430% due 01/15/2003 1,456 1,460 Saks Credit Card Master Trust 5.328% due 12/15/2009 (d) 13,000 13,290 SallieMae 4.123% due 07/25/2004 (d) 1,203 1,202 4.153% due 10/25/2004 (d) 64 64 6.149% due 04/25/2006 (d) 3,329 3,326 4.241% due 04/25/2007 (d) 6,628 6,634 4.250% due 07/25/2016 (d) 17,907 18,003 4.910% due 10/27/2025 (d) 1,885 1,864 Salomon Brothers Mortgage Securities VII 4.675% due 09/25/2027 (d)(i) 855 856 6.930% due 08/25/2028 2,572 2,675 3.011% due 07/25/2029 (d)(i) 513 514 3.907% due 11/15/2029 (d) 990 994 5.140% due 11/15/2029 (d)(i) 17,600 17,820 4.067% due 12/15/2029 (d)(i) 2,000 2,007 3.001% due 12/25/2029 (d)(i) 2,336 2,343 Saxon Asset Securities Trust 7.585% due 12/25/2014 226 227 2.961% due 02/25/2029 (d)(i) 106 106 2.891% due 05/25/2029 (d) 596 596 Sears Credit Account Master Trust 4.017% due 10/18/2011 (d) 30,500 30,426 Southern Pacific Secured Assets Corp. 2.831% due 07/25/2029 (d) 2,284 2,283 Team Fleet Financing Corp. 3.151% due 12/25/2003 (d) 19,188 19,314 The Money Store Home Equity Trust 7.550% due 02/15/2020 166 166 7.600% due 07/15/2021 534 540 6.490% due 10/15/2026 2,437 2,485 3.637% due 08/15/2029 (d) 1,282 1,277 TrendWest Resorts, Inc. 7.440% due 12/15/2011 10,695 10,681 7.780% due 12/15/2011 4,408 4,586 8.670% due 12/15/2011 4,479 4,668 Triton Aviation Finance 6.487% due 06/15/2025 (d) 4,500 4,500 UCFC Manufactured Housing Contract 7.900% due 01/15/2028 1,500 1,200 United Panama Mortgage Loan 2.981% due 04/25/2030 (d)(i) 1,802 1,806 Vanderbilt Mortgage Finance 7.905% due 02/07/2026 198 224 8.040% due 12/07/2030 1,023 1,119 42 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) WFS Financial Owner Trust 6.920% due 01/20/2004 $ 612 $ 624 ---------- Total Asset-Backed Securities 1,577,781 ---------- (Cost $1,537,387) PURCHASED CALL OPTIONS 0.1% Interest Rate Swap (OTC) 4.000% due 04/15/2004 Strike @ 4.000 Exp. 04/11/2002 1,000,000 7,321 Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 26,400 439 ---------- Total Purchased Call Options 7,760 ---------- (Cost $6,444) PURCHASED PUT OPTIONS 0.0% Eurodollar June Futures (CME) Strike @ 95.000 Exp. 06/14/2002 2,500,000 63 Strike @ 93.500 Exp. 06/17/2002 25,000 0 ---------- Total Purchased Put Options 63 ---------- (Cost $76) CONVERTIBLE BONDS & NOTES 0.5% Utilities 0.5% Nabors Industries, Inc. 0.000% due 06/20/2020 46,000 28,578 ---------- Total Convertible Bonds & Notes 28,578 ---------- (Cost $30,219) SHORT-TERM INSTRUMENTS 5.2% Commercial Paper 5.2% AT&T Corp. 4.525% due 08/06/2002 5,000 5,000 Fannie Mae 3.520% due 10/25/2001 3,000 2,993 Federal Home Loan Bank 3.000% due 10/01/2001 40,000 40,000 General Electric Capital Corp. 3.520% due 12/26/2001 4,800 4,771 3.490% due 12/26/2001 4,000 3,976 3.500% due 12/27/2001 4,600 4,571 3.600% due 12/28/2001 42,800 42,529 UBS Finance, Inc. 3.450% due 10/01/2001 198,000 198,000 ---------- 301,840 ---------- U.S. Treasury Bills 0.0% 3.571% due 10/18/2001 (b)(e) 1,785 1,782 ---------- Total Short-Term Instruments 303,622 ---------- (Cost $303,486) Total Investments (a) 152.4% $8,823,069 (Cost $8,614,244) Written Options (c) (0.2%) (8,747) (Premiums $9,298) Other Assets and Liabilities (Net) (52.2%) (3,023,797) ---------- Net Assets 100.0% $5,790,525 ---------- Value (000s) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over $ 217,844 tax cost. Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (9,019) ---------- Unrealized appreciation-net $ 208,825 ---------- (b) Securities with an aggregate market value of $7,082 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation - -------------------------------------------------------------------------------- Eurodollar June Futures (06/2002) 792 $ 3,881 Eurodollar September Futures 3,797 9,927 (09/2002) Eurodollar December Futures 147 597 (12/2002) Eurodollar March Futures (03/2003) 147 531 ---------- $ 14,936 ---------- (C) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Put - CME Eurodollar June Futures Strike @ 96.000 Exp. 06/17/2002 4,900 $ 2,240 $ 613 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 6,600,000 170 304 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.600 Exp. 04/11/2002 250,000,000 6,888 7,830 ------------------ $ 9,298 $8,747 ------------------ (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped together by coupon or range of coupons and represent a range of maturities. (f) Principal amount of the security is adjusted for inflation. (g) Restricted security. (h) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------------------------ Fannie Mae 7.000 10/15/2031 605,000 $ 625,793 $ 618,270 Government National Mortgage Association 8.000 10/22/2031 206,000 216,749 215,793 Government National Mortgage Association 6.000 11/20/2031 112,000 112,035 110,208 Government National Mortgage Association 6.500 10/22/2031 63,800 65,156 64,837 U.S. Treasury Note 5.000 08/15/2011 1,000 1,034 1,030 Freddie Mac 7.000 10/15/2031 600 621 612 ------------------------------ $ 1,021,388 $ 1,010,750 ------------------------------
(i) Security becomes interest bearing at a future date. (j) Security is in default. See accompanying notes | 9.30.01 | 43 Schedule of Investments (Cont.) Mortgage Portfolio September 30, 2001 (Unaudited) (k) Swap agreements outstanding at September 30, 2001:
Unrealized Notional Appreciation/ Type Amount (Depreciation) Receive floating rate based on 3-month LIBOR plus 0.500% and pay a fixed rate equal to 7.600%. Broker: Lehman Brothers Exp. 07/15/2003 $ 5,000 $ (334) Receive floating rate based on 3-month LIBOR plus 1.000% and pay a fixed rate equal to 0.000%. Broker: Morgan Stanley Dean Witter Exp. 06/20/2003 9,126 (61) Receive floating rate based on 3-month LIBOR plus 1.100% and pay a fixed rate equal to 0.000%. Broker: Bear Stearns Exp. 06/20/2003 20,321 1,453 Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Morgan Stanley Dean Witter Exp. 12/17/2011 220,000 (8,257) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Goldman Sachs Exp. 12/17/2011 60,000 (1,028) Receive floating rate based on 3-month LIBOR and pay a fixed rate equal to 6.000%. Broker: Goldman Sachs Exp. 12/17/2006 107,000 (850) ------------- $ (9,077) -------------
44 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Asset-Backed Securities Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) U.S. TREASURY OBLIGATIONS 12.0% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (g) $ 8,963 $ 9,223 ---------- Total U.S. Treasury Obligations 9,223 ---------- (Cost $9,102) MORTGAGE-BACKED SECURITIES 32.1% Collateralized Mortgage Obligations 20.2% Asset Securitization Corp. 7.384% due 08/13/2029 750 811 Bear Stearns Mortgage Securities, Inc. 7.750% due 06/25/2027 905 927 CS First Boston Mortgage Securities Corp. 4.580% due 08/25/2031 (d) 2,000 2,000 IMPAC Commercial Holdings, Inc. 7.580% due 08/20/2030 500 515 IMPAC Trust 4.489% due 11/25/2031 (d) 278 278 Prudential Home Mortgage Securities 7.125% due 11/25/2023 2,139 2,146 6.750% due 01/25/2024 2,376 2,397 Residential Asset Securities Corp. 6.750% due 07/25/2029 14 14 Residential Funding Mortgage Securities 6.500% due 12/25/2023 1,563 1,579 Sears Mortgage Securities 1.000% due 07/25/2023 2,781 2,817 Starwood Asset Receivables Trust 3.661% due 09/25/2022 (d) 1,000 1,005 Starwood Commercial Mortgage Trust 6.920% due 02/03/2009 1,000 1,048 ---------- 15,537 ---------- Fannie Mae 1.4% 6.000% due 10/18/2006 1,000 1,017 6.090% due 12/01/2008 97 101 ---------- 1,118 ---------- Federal Housing Administration 1.4% 6.930% due 09/01/2021 991 1,041 Government National Mortgage Association 7.0% 1.000% due 02/20/2030 (d) 117 119 8.500% due 10/22/2031 (d) 5,000 5,308 ---------- 5,427 ---------- Stripped Mortgage-Backed Securities 2.1% Residential Funding Mortgage Securities II (IO) 10.000% due 09/25/2003 9,000 1,604 ---------- Total Mortgage-Backed Securities 24,727 ---------- (Cost $24,468) ASSET-BACKED SECURITIES 71.8% ABSC Long Beach Home Equity Loan Trust 3.885% due 06/21/2030 (d) 1,000 1,002 Access Financial Manufactured Housing Contract Trust 7.650% due 05/15/2021 1,000 920 American Express Credit Account Master Trust 3.820% due 11/15/2010 (d) 75 75 ANRC Auto Owner Trust 6.940% due 04/17/2006 440 459 Asset-Backed Funding Certificates 7.641% due 11/25/2030 15 15 Bayview Financial Acquisition Trust 3.411% due 11/25/2030 (d) 1,000 1,008 Capital Asset Research Funding LP 6.400% due 12/15/2004 2,161 2,169 Chase Funding Mortgage Loan Asset-Backed Certificates 4.461% due 10/25/2030 (d) 2,000 1,975 CNH Equipment Trust 7.140% due 09/15/2007 835 877 Conseco Finance 7.670% due 02/15/2016 500 510 7.800% due 05/15/2020 150 163 8.410% due 12/15/2025 2,000 2,182 Principal Amount Value (000s) (000s) 9.290% due 12/15/2029 $ 1,000 $ 1,092 4.240% due 03/15/2030 (d) 1,000 1,000 4.430% due 07/15/2031 (d) 1,000 1,000 10.210% due 02/01/2032 1,000 1,059 Conseco Finance Securitizations Corp. 8.310% due 05/01/2032 2,115 2,305 8.500% due 05/01/2033 1,000 1,002 Contimortgage Home Equity Loan Trust 7.280% due 04/25/2014 1,000 1,066 Countrywide Asset-Backed Certificates 5.923% due 05/25/2018 129 131 1.000% due 09/25/2031 (d) 3,238 3,241 CS First Boston Mortgage Securities Corp. 1.000% due 04/25/2032 (d) 1,000 1,000 Denver Arena Trust 6.940% due 11/15/2019 906 945 Embarcadero Aircraft Securitization Trust 4.587% due 08/15/2025 (d) 1,207 1,198 Fingerhut Master Trust 4.287% due 02/15/2005 (d) 700 699 4.590% due 02/15/2007 (d) 700 695 First International Bank 4.380% due 03/15/2027 (d) 954 954 Fleet Credit Card Master Trust II 4.362% due 05/15/2008 (d) 1,000 996 Fleetwood Credit Corp. 6.550% due 05/15/2011 684 699 General Electric Capital Mortgage Services, Inc. 7.200% due 04/25/2029 965 979 Green Tree Financial Corp. 7.230% due 03/15/2028 500 481 7.550% due 01/15/2029 661 718 6.920% due 12/01/2030 1,000 984 7.060% due 02/01/2031 1,000 1,022 7.860% due 04/01/2031 500 529 Green Tree Home Equity Loan Trust 7.650% due 04/15/2027 290 307 HFC Revolving Home Equity Loan 3.860% due 08/20/2016 (d) 126 126 IMPAC Secured Assets CMN Owner Trust 7.770% due 07/25/2025 1,088 1,137 Indymac Home Equity Loan Asset-Backed Trust 4.611% due 12/25/2031 (d) 1,500 1,505 Irwin Home Equity Loan Trust 7.960% due 04/25/2026 2,000 2,166 Keystone Owner Trust 8.500% due 01/25/2029 1,000 995 Long Beach Acceptance Auto Grantor Trust 6.190% due 01/25/2004 48 48 MBNA Master Credit Card Trust 6.350% due 11/15/2005 1,200 1,238 New Century Home Equity Loan Trust 1.000% due 07/25/2030 (d) 1,449 1,451 Nextcard Credit Card Master Note Trust 5.137% due 12/15/2006 (d) 700 700 NPF XII, Inc. 4.575% due 03/01/2004 (d) 2,000 2,009 Oakwood Mortgage Investors, Inc. 8.637% due 03/15/2031 (d) 500 500 Origen Manufactured Housing 7.650% due 03/15/2032 2,000 2,051 Residential Asset Mortgage Products, Inc. 8.360% due 06/25/2030 1,500 1,588 Residential Funding Mortgage Securities II 6.610% due 11/25/2018 302 313 6.340% due 07/25/2029 305 317 The Money Store Home Equity Trust 4.010% due 01/15/2026 (d) 191 191 UCFC Home Equity Loan 3.927% due 10/15/2028 (d) 209 209 UCFC Manufactured Housing Contract 7.900% due 01/15/2028 1,000 800 See accompanying notes | 9.30.01 | 45 Schedule of Investments (Cont.) Asset-Backed Securities Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Vanderbilt Mortgage Finance 7.900% due 02/07/2026 $ 1,200 $ 1,355 8.040% due 12/07/2030 1,000 1,094 ---------- Total Asset-Backed Securities 55,250 ---------- (Cost $52,851) PURCHASED CALL OPTIONS 0.4% Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 20,000 333 ---------- Total Purchased Call Options 333 ---------- (Cost $109) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 100,000 1 Strike @ 94.500 Exp. 12/17/2001 45,000 0 ---------- Total Purchased Put Options 1 ---------- (Cost $3) SHORT-TERM INSTRUMENTS 2.4% Commercial Paper 1.0% CDC 3.380% due 10/01/2001 800 800 ---------- Repurchase Agreement 1.2% State Street Bank 2.600% due 10/01/2001 895 895 ---------- (Dated 09/28/2001. Collateralized by Fannie Mae 4.100% due 09/12/2003 valued at $913. Repurchase proceeds are $895.) U.S. Treasury Bills 0.2% 3.422% due 10/18/2001 (b)(f) 155 155 ---------- Total Short-Term Instruments 1,850 ---------- (Cost $1,850) Total Investments (a) 118.7% $ 91,384 (Cost $88,383) Written Options (c) (0.3%) (231) (Premiums $129) Other Assets and Liabilities (Net) (14,224) ---------- (18.4%) Net Assets 100.0% $ 76,929 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 3,082 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (81) ---------- Unrealized appreciation-net $ 3,001 ---------- (b) Securities with an aggregate market value of $155 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: # of Unrealized Type Contracts Appreciation Eurodollar June Futures (06/2002) 40 $ 196 Eurodollar December Futures 55 215 (12/2002) U.S. Treasury 10 Year Note 29 92 (12/2001) ---------- $ 503 ---------- (c) Premiums received on written options: # of Type Contracts Premium Value - -------------------------------------------------------------------------------- Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 5,000,000 $ 129 $ 231 ---------------- (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount Appreciation - -------------------------------------------------------------------------------- Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 $ 7,200 $ 1 ---------- (f) Securities are grouped by coupon or range of coupons and represent a range of maturities. (g) Subject to financing transaction. 46 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments Real Return Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CORPORATE BONDS & NOTES 13.8% Banking & Finance 9.1% Allstate Financial Global Funding 7.125% due 09/26/2005 $ 2,500 $ 2,694 Associates Corp. of North America 3.900% due 05/08/2003 (d) 500 502 Atlas Reinsurance PLC 6.520% due 04/04/2003 (d) 740 740 Countrywide Home Loans 2.752% due 03/22/2002 (d) 4,000 4,001 First Union Corp. 7.550% due 08/18/2005 2,500 2,736 Ford Motor Credit Co. 3.255% due 06/20/2003 (d) 3,500 3,458 4.120% due 01/26/2004 (d) 2,200 2,173 General Motors Acceptance Corp. 3.985% due 07/21/2003 (d) 3,000 2,950 MBNA Corp. 3.895% due 12/10/2002 (d) 500 495 Morgan Stanley, Dean Witter & Co. 3.830% due 01/28/2002 (d) 1,000 1,001 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 200 201 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 2,000 2,001 Prudential Funding Corp. 6.375% due 07/23/2006 1,000 1,045 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (e) 5,372 5,400 Washington Mutual Capital I 3.908% due 05/14/2004 (d) 3,200 3,206 ---------- 32,603 ---------- Industrials 2.8% DaimlerChrysler North America Holding Corp. 8.500% due 01/18/2031 4,700 4,972 Fred Meyer, Inc. 7.375% due 03/01/2005 1,000 1,072 Petroleos Mexicanos 9.500% due 09/15/2027 600 638 Qwest Capital Funding, Inc. 4.270% due 07/08/2002 (d) 3,000 3,004 Waste Management, Inc. 7.100% due 08/01/2026 500 521 ---------- 10,207 ---------- Utilities 1.9% British Telecom PLC 4.445% due 12/15/2003 (d) 3,600 3,671 Commonwealth Edison Co. 4.210% due 09/30/2002 (d) 1,000 1,001 Entergy Gulf States, Inc. 4.662% due 06/02/2003 (d) 500 502 Scana Corp. 4.420% due 07/15/2002 (d) 700 701 Sprint Capital Corp. 3.870% due 06/10/2002 (d) 250 251 Vodafone Group PLC 3.310% due 12/19/2001 (d) 250 250 WorldCom, Inc. 3.742% due 11/26/2001 (d) 500 501 ---------- 6,877 ---------- Total Corporate Bonds & Notes 49,687 ---------- (Cost $49,188) U.S. GOVERNMENT AGENCIES 1.9% Freddie Mac 6.000% due 06/15/2011 6,400 6,747 ---------- Total U.S. Government Agencies 6,747 ---------- (Cost $6,406) Principal Amount Value (000s) (000s) U.S. TREASURY OBLIGATIONS 141.1% Treasury Inflation Protected Securities (e) 3.625% due 07/15/2002 (c) $ 51,264 $ 52,160 3.375% due 01/15/2007 73,787 75,931 3.625% due 01/15/2008 (c) 113,616 117,912 3.875% due 01/15/2009 139,010 146,264 4.250% due 01/15/2010 10,551 11,392 3.625% due 04/15/2028 57,050 58,601 3.875% due 04/15/2029 (c) 42,707 45,870 ---------- Total U.S. Treasury Obligations 508,130 ---------- (Cost $498,225) MORTGAGE-BACKED SECURITIES 2.0% Collateralized Mortgage Obligations 1.9% Bear Stearns Adjustable Rate Mortgage Trust 7.024% due 11/25/2030 (d) 3,837 3,909 Freddie Mac 7.000% due 10/15/2030 2,000 2,104 GMAC Commercial Mortgage Asset Corp. 3.357% due 06/01/2005 (d) 974 974 ---------- 6,987 ---------- Fannie Mae 0.1% 7.052% due 09/01/2018 (d) 296 304 ---------- Total Mortgage-Backed Securities 7,291 ---------- (Cost $7,117) FOREIGN CURRENCY-DENOMINATED ISSUES (f)(g) 1.9% Republic of France 3.000% due 07/25/2009 (e) EC 7,787 6,895 ---------- Total Foreign Currency-Denominated Issues 6,895 ---------- (Cost $6,687) CONVERTIBLE BONDS & NOTES 0.3% Industrial 0.3% Waste Management, Inc. 4.000% due 02/01/2002 1,000 1,004 ---------- Total Convertible Bonds & Notes 1,004 ---------- (Cost $984) SHORT-TERM INSTRUMENTS 0.5% Repurchase Agreement 0.5% State Street Bank 2.600% due 10/01/2001 1,866 1,866 ---------- (Dated 09/28/2001. Collateralized by Freddie Mac 4.450% due 07/30/2003 valued at $1,906. Repurchase proceeds are $1,866.) Total Short-Term Instruments 1,866 ---------- (Cost $1,866) Total Investments (a) 161.5% $ 581,620 (Cost $570,473) Other Assets and Liabilities (Net) (221,572) ---------- (61.5%) Net Assets 100.0% $ 360,048 ---------- See accompanying notes | 9.30.01 | 47 Schedule of Investments (Cont.) Real Return Portfolio September 30, 2001 (Unaudited) Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 11,487 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (340) ---------- Unrealized appreciation-net $ 11,147 ---------- (b) Securities with an aggregate market value of $115 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar June Futures (06/2003) 100 $ 239 U.S. Treasury 5 Year Note (12/2001) 25 (25) ---------- $ 214 ---------- (C) Subject to financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Principal amount of security is adjusted for inflation. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ----------------------------------------------------------------------------- Sell EC 7,816 10/2001 $ 62 ------- (g)Principal amount denoted in indicated currency: EC - Euro (h) Short sales open at September 30, 2001 were as follows:
Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------------------------ U.S. Treasury Note 0.000 01/15/2008 41,840 $ 43,423 $ 42,686 U.S. Treasury Note 4.250 11/15/2003 25,000 25,704 25,644 U.S. Treasury Note 4.625 05/15/2006 4,300 4,453 4,433 U.S. Treasury Bonds 6.250 05/15/2030 4,000 4,453 4,334 ---------------------------- $ 78,033 $ 77,097 ----------------------------
48 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments International Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) AUSTRALIA (e)(f) 1.4% General Motors Acceptance Corp. 4.849% due 03/25/2002 (d) Ec 14,300 $ 13,005 Medallion Trust 4.020% due 07/12/2031 (d) $ 8,823 8,835 National Australia Bank Ltd. 4.186% due 05/19/2010 (d) 310 311 Rams Mortgage Corporation Ltd. 4.683% due 09/26/2032 (d) EC 5,675 5,165 Superannuation Members Home Loans Global Fund 3.410% due 06/15/2026 (d) $ 1,200 1,201 Torrens Trust 3.750% due 07/15/2031 (d) 4,516 4,516 ---------- Total Australia 33,033 (Cost $34,131) ---------- AUSTRIA (e)(f) 0.7% Republic of Austria 5.500% due 01/15/2010 EC 17,720 16,713 ---------- Total Austria 16,713 (Cost $15,417) ---------- BELGIUM (e)(f) 0.3% Kingdom of Belgium 7.500% due 07/29/2008 (j) EC 6,600 6,966 ---------- Total Belgium 6,966 (Cost $7,044) ---------- CANADA (f) 0.9% Beneficial Canada, Inc. 6.350% due 04/01/2002 C$ 4,070 2,616 Province of Ontario 7.750% due 06/04/2002 $ 17,000 17,561 ---------- Total Canada 20,177 (Cost $20,232) ---------- CAYMAN ISLANDS (e)(f) 1.0% International Credit Recovery-Japan 0.375% due 08/25/2005 (d) JY 203,466 1,706 0.785% due 08/25/2005 (d) 110,000 920 0.823% due 05/10/2006 (d) 120,000 1,007 0.353% due 05/22/2006 (d) 833,419 6,991 0.453% due 12/31/2039 (d) 290,000 2,433 MBNA Master Credit Card Trust 4.887% due 10/19/2006 (d) EC 8,400 7,645 SHL Corp. Ltd. 0.470% due 12/25/2024 (d) JY 93,267 783 0.770% due 12/25/2024 (d) 152,000 1,275 ---------- Total Cayman Islands 22,760 (Cost $24,046) ---------- CROATIA (e)(f) 0.2% Republic of Croatia 7.000% due 03/28/2005 EC 1,840 1,744 4.528% due 07/31/2006 (d) $ 669 655 4.562% due 07/31/2010 (d) 2,455 2,405 ---------- Total Croatia 4,804 (Cost $4,840) ---------- DENMARK (e)(f) 0.1% BG Bank 5.759% due 11/24/2007 (d) EC 1,200 1,126 ---------- Total Denmark 1,126 (Cost $1,133) ---------- EGYPT 0.2% Republic of Egypt 8.750% due 07/11/2011 $ 4,900 $ 4,373 ---------- Total Egypt 4,373 (Cost $4,902) ---------- FRANCE (e)(f) 1.8% Compagnie Financiere de CIC-UE 5.460% due 10/29/2049 (d) $ 3,700 3,626 France Telecom 4.406% due 03/14/2003 (d) 600 607 Republic of France 4.000% due 04/25/2009 EC 40,000 34,763 3.000% due 07/25/2009 3,809 3,373 ---------- Total France 42,369 (Cost $42,594) ---------- GERMANY (e)(f) 96.6% Depfa Pfandbriefbank 4.750% due 07/15/2008 EC 1,990 1,806 5.750% due 03/04/2009 2,020 1,934 Kreditanstalt Fur Wiederaufbau 4.750% due 08/18/2006 75,000 69,448 Republic of Germany 5.000% due 11/12/2002 1,550 1,434 4.250% due 06/13/2003 (j) 12,000 11,047 5.000% due 08/19/2005 (j) 1,260,000 1,189,089 6.000% due 02/16/2006 (j) 109,000 106,764 5.000% due 02/17/2006 (j) 100,000 94,372 6.000% due 07/04/2007 (j) 29,500 29,048 5.250% due 01/04/2008 (j) 29,200 27,809 4.125% due 07/04/2008 (j) 165,660 147,819 4.500% due 07/04/2009 (j) 621,930 559,185 5.375% due 01/04/2010 300 285 6.500% due 07/04/2027 30 31 Rheinische Hypothekenbank AG 4.250% due 09/24/2008 13,780 12,102 WestDeutsche Landersbank 4.750% due 09/28/2007 8,880 8,138 ---------- Total Germany 2,260,311 (Cost $2,154,193) ---------- GREECE (e)(f) 0.4% Hellenic Republic 7.850% due 05/19/2003 (d) EC 3,228 2,972 7.890% due 06/17/2003 (d) 4,730 4,397 7.080% due 10/23/2003 (d) 2,085 1,961 ---------- Total Greece 9,330 (Cost $13,048) ---------- IRELAND (e)(f) 0.7% Diageo Enterprises PLC 4.494% due 12/19/2002 (d) EC 3,200 2,910 Emerald Mortgages PLC 4.759% due 04/30/2028 (d) 12,550 11,425 Fennica PLC 4.727% due 05/20/2054 (d) 2,800 2,552 ---------- Total Ireland 16,887 (Cost $16,207) ---------- ITALY (e)(f) 12.9% Findomestic Securitisation Vehicle 4.764% due 12/20/2008 (d) EC 12,550 11,425 First Italian Auto Transaction 4.834% due 07/01/2008 (d) 52,650 47,699 4.762% due 07/01/2010 (d) 22,500 20,469 International Credit Recovery 5.141% due 03/30/2010 (d) 4,800 4,372 Island Finance 5.109% due 01/30/2015 7,683 7,013 See accompanying notes | 9.30.01 | 49 Schedule of Investments (Cont.) International Portfolio Septemer 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) Republic of Italy 5.750% due 09/15/2002 (j) EC 29,900 $ 27,789 4.750% due 04/15/2003 (j) 17,200 15,941 4.750% due 07/01/2005 (j) 26,970 25,158 7.750% due 11/01/2006 (j) 18,100 18,907 4.500% due 05/01/2009 (j) 91,390 81,564 4.250% due 11/01/2009 (j) 10,580 9,205 5.500% due 11/01/2010 31,690 29,825 Upgrade SpA 5.070% due 12/01/2035 (d) $ 3,900 3,549 ---------- Total Italy 302,916 (Cost $294,833) ---------- MEXICO (e)(f) 0.5% United Mexican States 5.000% due 09/30/2002 JY 1,194,000 10,347 8.300% due 08/15/2031 $ 900 794 ---------- Total Mexico 11,141 (Cost $12,350) ---------- NETHERLANDS 3.1% Unilever NV 3.828% due 10/24/2002 (d) $ 72,000 72,121 ---------- Total Netherlands 72,121 (Cost $72,079) ---------- NEW ZEALAND (e)(f) 1.0% Commonwealth of New Zealand 4.500% due 02/15/2016 N$ 52,110 22,860 ---------- Total New Zealand 22,860 (Cost $31,322) ---------- SOUTH KOREA (e)(f) 1.8% Export-Import Bank Korea 4.915% due 03/20/2002 (d) DM 4,900 2,263 KBC Bank Fund Trust IV 8.220% due 11/29/2049 EC 3,130 3,112 Korea Development Bank 1.875% due 02/13/2002 JY 2,561,000 21,525 2.700% due 08/16/2002 1,007,000 8,482 4.700% due 03/18/2004 780,000 7,074 ---------- Total South Korea 42,456 (Cost $44,668) ---------- SPAIN (e)(f) 3.4% Hipotebansa V. Hipotecaria 4.755% due 01/18/2018 (d) SP 902,221 4,945 4.670% due 07/18/2022 (d) 2,222,942 12,119 Kingdom of Spain 4.950% due 07/30/2005 EC 25,030 23,462 5.150% due 07/30/2009 42,400 39,350 ---------- Total Spain 79,876 (Cost $78,897) ---------- SUPRANATIONAL (e)(f) 0.2% European Investment Bank 5.500% due 12/07/2009 BP 2,300 3,391 ---------- Total Supranational 3,391 (Cost $3,333) ---------- TUNISIA (e)(f) 0.1% Banque Centrale De Tunisie 7.500% due 08/06/2009 EC 2,800 2,654 ---------- Total Tunisia 2,654 (Cost $2,847) ---------- UNITED KINGDOM (e)(f) 7.6% Abbey National Treasury Service PLC 7.625% due 12/30/2002 BP 5,270 7,999 Bauhaus Securities Ltd. 4.654% due 10/30/2052 (d) EC 3,025 2,756 5.099% due 10/30/2052 (d) 16,750 15,228 BG Transco Holdings PLC 7.057% due 12/14/2009 (d) BP 5,230 7,656 British Telecom PLC 4.445% due 12/15/2003 (d) $ 8,500 8,670 Core, Inc. 4.690% due 01/16/2006 (d) DM 6,157 2,836 Haus Ltd. 4.824% due 12/14/2037 (d) EC 24,400 22,227 Holmes Financing PLC 3.950% due 07/15/2017 (d) $ 7,260 7,261 4.727% due 07/15/2040 (d) EC 46,700 42,518 Holmes Funding PLC 4.602% due 11/15/2001 (d) 1,158 1,054 4.632% due 11/15/2004 (d) 2,500 2,278 4.983% due 12/15/2025 $ 9,148 8,325 Lloyds TSB Bank PLC 5.375% due 11/29/2049 (d) 1,100 874 Lloyds TSB Capital 7.375% due 02/07/2049 EC 9,250 8,974 Ocwen Mortgage Loans 5.049% due 12/15/2031 (d) 4,894 4,466 5.389% due 04/15/2032 (d) BP 3,343 4,920 Osprey Mortgage Securities Ltd. 3.981% due 06/22/2072 (d) EC 3,168 2,884 RMAC PLC 5.765% due 12/09/2032 (d) BP 2,056 3,022 10.000% due 06/12/2033 6,000 1,756 5.693% due 09/12/2041 (d) 1,306 1,922 5.513% due 03/12/2042 (d) 247 363 Royal Bank of Scotland Group PLC 6.070% due 09/30/2031 $ 500 505 Sunamerica Institutional Funding 4.912% due 05/14/2003 (d) EC 800 728 United Kingdom Gilt 8.500% due 12/07/2005 BP 2,600 4,344 5.750% due 12/07/2009 (j) 9,730 15,070 ---------- Total United Kingdom 178,636 (Cost $178,464) ---------- UNITED STATES (e)(f) 37.9% Asset-Backed Securities 2.5% Advanta Mortgage Loan Trust 3.036% due 11/25/2029 (d) $ 155 155 AESOP Funding II LLC 4.131% due 11/20/2006 (d) 11,200 11,141 AFC Home Equity Loan Trust 2.881% due 03/25/2027 (d) 306 306 Amortizing Residential Collateral Trust 2.921% due 09/25/2030 (d) 20 20 Champion Home Equity Loan Trust 8.033% due 02/25/2028 (d) 1,735 1,771 Conseco Finance 4.200% due 10/15/2031 (d) 239 239 Duck Auto Grantor Trust 6.760% due 04/15/2005 15,794 16,161 Home Loan Trust 5.074% due 01/25/2014 4,908 4,957 Indymac Home Equity Loan Asset-Backed Trust 6.200% due 06/25/2025 230 233 Marriott Vacation Club Owner Trust 0.990% due 09/20/2017 (d) 3,007 2,981 Metris Master Trust 4.531% due 04/20/2006 (d) 500 502 MLCC Mortgage Investors, Inc. 3.867% due 03/15/2025 (d) 95 96 Novastar Home Equity Loan 4.080% due 04/25/2028 (d) 8,183 8,186 50 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) Provident Bank Equipment Lease Trust 4.105% due 11/25/2011 (d) $ 8,088 $ 8,052 Providian Home Equity Loan Trust 4.082% due 06/25/2025 (d) 77 77 PSB Lending Home Loan Owner Trust 6.830% due 05/20/2018 39 39 Residential Asset Securities Corp. 4.328% due 01/25/2032 (d) 47 47 SallieMae 7.024% due 04/25/2007 (d) 938 939 5.411% due 10/25/2007 (d) 2,284 2,284 ---------- 58,186 ---------- Convertible Bonds & Notes 0.3% Axa 2.500% due 01/01/2014 EC 1,385 1,133 Finmeccanica SpA 2.000% due 06/08/2005 2,687 2,415 Hellenic Finance 2.000% due 07/15/2003 2,400 2,190 Koninklijke Ahold NV 4.000% due 05/19/2005 1,000 999 ---------- 6,737 ---------- Corporate Bonds & Notes 16.4% Associates Corp. of North America 4.548% due 05/08/2003 (d) $ 3,720 3,734 Bear Stearns Co., Inc. 6.125% due 02/01/2003 1,129 1,168 4.060% due 03/28/2003 (d) 7,170 7,166 3.850% due 12/01/2003 (d) 600 601 Beneficial Corp. 7.650% due 11/04/2002 500 524 CIT Group, Inc. 4.270% due 04/07/2003 (d) 1,150 1,154 DaimlerChrysler North America Holding Corp. 3.920% due 12/16/2002 (d) 4,600 4,626 4.200% due 08/01/2003 (d) 1,070 1,060 4.441% due 08/16/2004 (d) 5,400 5,296 6.400% due 05/15/2006 3,190 3,231 Donaldson, Lufkin & Jenrette, Inc. 4.833% due 04/25/2003 (d) 4,140 4,155 5.298% due 07/18/2003 (d) 40,600 40,740 Finova Group, Inc. 7.500% due 11/15/2009 2,448 961 Ford Motor Credit Co. 3.340% due 03/17/2003 (d) 7,100 7,010 3.732% due 06/02/2003 (d) 2,030 2,009 4.076% due 06/20/2003 (d) 10,000 9,880 3.303% due 06/23/2003 (d) 600 595 1.000% due 12/22/2003 JY 44,000 372 4.320% due 03/08/2004 (d) $ 7,100 7,077 4.110% due 07/19/2004 (d) 23,500 23,086 1.200% due 02/07/2005 JY 458,000 3,877 4.160% due 06/30/2005 (d) $ 7,900 7,713 General Motors Acceptance Corp. 0.183% due 07/26/2002 (d) JY 341,000 2,855 4.220% due 02/14/2003 (d) $ 7,000 6,914 4.530% due 05/16/2003 (d) 900 893 3.986% due 08/04/2003 (d) 10,300 10,161 4.600% due 03/22/2004 (d) 900 889 4.070% due 04/05/2004 (d) 36,460 35,671 4.070% due 04/05/2004 (d) 1,160 1,137 4.060% due 07/21/2004 (d) 14,100 13,709 6.875% due 09/09/2004 BP 6,650 10,117 5.500% due 02/02/2005 EC 16,900 15,472 Household Finance Corp. 4.673% due 08/06/2002 (d) $ 820 823 KFW International Finance, Inc. 5.250% due 06/28/2006 5,000 5,133 Lehman Brothers Holdings, Inc. 5.776% due 04/02/2002 (d) 3,450 3,461 4.140% due 07/08/2002 (d) 4,300 4,303 5.560% due 07/15/2002 (d) 6,800 6,832 5.580% due 08/06/2002 (d) 3,600 3,611 3.762% due 09/03/2002 (d) 1,000 1,001 4.465% due 12/12/2002 (d) 17,900 17,985 4.220% due 04/04/2003 (d) 9,200 9,217 Merrill Lynch & Co. 2.752% due 06/24/2003 (d) 2,100 2,101 3.847% due 05/21/2004 (d) 9,910 9,928 National Rural Utilities Cooperative Finance Corp. 3.657% due 07/17/2003 (d) 2,100 2,101 Pacific Gas & Electric Co. 7.575% due 10/31/2001 (d)(k) 19,600 16,856 Proctor & Gamble Co. 1.500% due 12/07/2005 JY 1,000,000 8,728 Protective Life Funding Trust 5.158% due 01/17/2003 (d) $ 2,100 2,107 Public Service Enterprise Group, Inc. 4.422% due 05/21/2002 (d) 20,000 20,040 Salomon, Smith Barney Holdings 3.650% due 02/14/2002 (d) 13,654 13,724 5.733% due 10/21/2002 (d) BP 2,480 3,649 3.815% due 02/11/2003 (d) $ 400 401 4.590% due 04/28/2003 (d) 800 801 3.980% due 05/04/2004 (d) 1,000 1,002 Sierra Pacific Resources 4.410% due 04/20/2002 (d) 400 396 Sprint Spectrum LP 11.000% due 08/15/2006 6,845 7,223 Texas Utilities Corp. 4.536% due 12/20/2002 (d) 8,050 8,061 U.S. Bancorp 4.543% due 02/03/2003 (d) 600 603 ---------- 383,940 ---------- Mortgage-Backed Securities 11.0% Bear Stearns Adjustable Rate Mortgage Trust 5.930% due 02/25/2031 (d) 37,514 37,974 6.898% due 02/25/2031 (d) 14,589 14,664 CDC Depositor Trust I 3.951% due 12/14/2001 (d) 2,006 2,009 Chase Mortgage Finance Corp. 6.550% due 08/25/2028 1,063 1,080 Citicorp Mortgage Securities, Inc. 6.500% due 07/25/2028 1,042 1,049 6.500% due 03/25/2029 250 253 Countrywide Home Loans 6.750% due 08/25/2028 156 156 Countrywide Mortgage Backed Securities, Inc. 6.750% due 05/25/2024 468 468 Credit-Based Asset Servicing 7.844% due 11/27/2031 4,287 4,328 Crusade Global Trust 3.900% due 05/15/2021 (d) 23,066 23,134 Fannie Mae 7.000% due 01/01/2005 855 880 8.800% due 01/25/2019 1,094 1,163 7.000% due 02/25/2020 2,482 2,513 7.000% due 09/25/2023 174 180 6.000% due 10/15/2031 (d) 10,500 10,467 Freddie Mac 5.750% due 09/15/2010 EC 17,500 16,635 3.837% due 07/15/2028 (d) $ 1,089 1,089 6.500% due 07/15/2028 8,960 9,165 General Electric Capital Mortgage Services, Inc. 6.750% due 08/25/2029 3,342 3,350 Government National Mortgage Association 7.375% due 03/20/2022 (d) 405 414 7.375% due 04/20/2022 (d) 362 371 7.750% due 08/20/2022-09/20/2026 (d)(g) 16,403 8,605 7.625% due 11/20/2022 (d) 967 1,000 7.375% due 06/20/2023 (d) 779 799 7.625% due 11/20/2023 (d) 788 814 7.625% due 10/20/2024 (d) 2,367 2,447 7.625% due 11/20/2024 (d) 3,895 4,026 7.625% due 11/20/2024 (d) 2,098 2,168 7.375% due 02/20/2025 (d) 1,397 1,425 7.500% due 09/15/2025-12/15/2030 (g) 19,708 10,323 7.375% due 04/20/2026 (d) 696 711 7.375% due 05/20/2026 (d) 1,115 1,140 7.000% due 04/20/2030-06/20/2030 (d)(g) 61,776 35,884 8.500% due 10/22/2031 (d)(g) 4,066 3,220 See accompanying notes | 9.30.01 | 51 Schedule of Investments (Cont.) International Portfolio Septemer 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) J.P. Morgan Commercial Mortgage Finance Corp. 3.767% due 04/15/2010 (d) $ 9,386 $ 9,397 Morgan Stanley Capital I 7.460% due 02/15/2020 1,190 1,275 Nationslink Funding Corp. 4.198% due 04/10/2007 (d) 1,118 1,118 PNC Mortgage Securities Corp. 4.956% due 12/25/2030 (d) 886 888 Puma Finance Ltd. 5.000% due 04/15/2031 (d)(l) 6,812 6,849 Residential Accredit Loans, Inc. 7.750% due 03/25/2030 1,104 1,109 Residential Funding Mortgage Securities I 6.750% due 06/25/2028 323 322 Residential Funding Mortgage Securities, Inc. 3.965% due 05/12/2032 (d) 20,863 20,896 Salomon Brothers Mortgage Securities VII 4.185% due 04/25/2029 (d) 674 677 Saxon Mortgage Securities Corp. 6.750% due 02/25/2024 1,476 1,482 Starwood Asset Receivables Trust 3.880% due 09/25/2022 (d) 690 691 Washington Mutual, Inc. 4.240% due 07/26/2003 (d) 946 946 6.818% due 12/25/2040 (d) 1,736 1,742 7.174% due 01/25/2041 (d) 7,698 7,735 ---------- 259,031 ---------- Municipal Bonds & Notes 0.4% Puerto Rico Electric Power Authority Revenue Bonds (FSA Insured), Series 1992 9.178% due 07/01/2023 (d) 8,950 9,711 ---------- U.S. Government Agencies 4.2% Fannie Mae 5.375% due 03/08/2004 $ 4,400 4,456 Federal Home Loan Bank 6.750% due 02/01/2002 44,800 45,421 5.804% due 02/15/2002 (d) 31,480 31,633 7.640% due 02/15/2005 11,000 11,210 5.250% due 01/15/2006 EC 5,000 4,712 ---------- 97,432 ---------- U.S. Treasury Obligations 3.1% Treasury Inflation Protected Securities (h) 3.625% due 07/15/2002 (b) $ 69,934 71,158 U.S. Treasury Notes 5.000% due 08/15/2011 1,800 1,860 ---------- 73,018 ---------- Total United States 888,055 ---------- (Cost $894,374) PURCHASED CALL OPTIONS 0.1% Interest Rate Swap (OTC) 4.750% due 05/01/2004 Strike @ 4.750 Exp. 04/29/2002 172,900 2,876 ---------- Total Purchased Call Options 2,876 ---------- (Cost $842) PURCHASED PUT OPTIONS 0.0% Eurodollar December Futures (CME) Strike @ 93.750 Exp. 12/17/2001 2,600,000 33 Eurodollar December Futures (CME) Strike @ 95.250 Exp. 12/17/2001 2,240,000 14 Republic of Germany (OTC) 5.000% due 08/19/2005 Strike @ 97.350 Exp. 12/03/2001 1,260,000 0 Republic of Germany (OTC) 6.000% due 12/31/2001 Strike @ 103.300 Exp. 10/03/2001 1,500,000 0 U.S. Treasury Bond (OTC) 6.000% due 03/31/2002 Strike @ 83.000 Exp. 02/23/2002 550,400 1 ---------- Total Purchased Put Options 48 ---------- (Cost $433) Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 15.6% Commercial Paper 13.7% AT&T Corp. 4.525% due 08/06/2002 $ 2,850 $ 2,850 British Telecom PLC 4.853% due 10/09/2001 18,900 18,898 CDC 3.380% due 10/01/2001 110,000 110,000 Fannie Mae 3.610% due 12/27/2001-12/28/2001 (g) 66,788 46,102 Federal Home Loan Bank 3.000% due 10/01/2001 10,000 10,000 General Electric Capital Corp. 3.100% due 12/26/2001 2,300 2,285 3.490% due 12/27/2001 7,500 7,453 KFW International Finance, Inc. 3.630% due 12/27/2001 16,500 16,396 Swedbank, Inc. 3.570% due 11/20/2001 1,400 1,392 UBS Finance, Inc. 3.450% due 10/01/2001 60,000 60,000 3.630% due 12/27/2001 46,600 46,307 ---------- 321,683 ---------- Repurchase Agreement 0.5% State Street Bank 2.600% due 10/01/2001 12,598 12,598 ---------- (Dated 09/28/2001. Collateralized by Federal Home Loan Mortgage Bank 7.000% due 08/22/2003 valued at $12,851. Repurchase proceeds are $12,601.) U.S. Treasury Bills 1.4% 2.600% due 10/18/2001 (b)(g) 31,430 31,382 ---------- Total Short-Term Instruments 365,663 ---------- (Cost $365,372) Total Investments (a) 188.5% $4,411,542 (Cost $4,317,601) Written Options (c) (0.1%) (2,301) (Premiums $2,976) Other Assets and Liabilities (Net) (88.4%) (2,068,410) ---------- Net Assets 100.0% $2,340,831 ---------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 145,251 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (51,310) ---------- Unrealized appreciation-net $ 93,941 ---------- 52 Semi-Annual Report | 9.30.01 | See accompanying notes (b) Securities with an aggregate market value of $59,747 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------------------- Eurodollar September Futures (09/2003) 83 $ 60 EuroBond 10 Year Note (12/2001) 500 (87) Euro-Bobl 5 Year Note (12/2001) 7,889 7,558 U.S Treasury 10 Year Note (12/2001) 1,091 2,494 U.S Treasury 30 Year Bond (12/2001) 2,752 (602) Euribor Futures (03/2002) 892 (158) Euribor Futures (09/2002) 5 6 Euribor Futures (12/2002) 5 6 Euribor Futures (03/2003) 5 4 Euribor Futures (06/2003) 5 3 Government of Japan 10 Year Note (12/2001) 597 (3,121) United Kingdom 90 Day LIBOR Futures (03/2002) 650 (31) United Kingdom 90 Day LIBOR Futures (09/2002) 116 (37) United Kingdom 90 Day LIBOR Futures (12/2002) 384 335 United Kingdom 90 Day LIBOR Futures (03/2003) 382 76 United Kingdom 90 Day LIBOR Futures (06/2003) 386 73 ---------- $ 6,579 ---------- (c) Premiums received on written options:
# of Type Contracts Premium Value - ------------------------------------------------------------------------------------------- Put - CME Eurodollar December Futures Strike @ 95.000 Exp. 12/17/2001 443 $ 157 $ 3 Call - CBOT U.S. Treasury Note December Futures Strike @ 108.000 Exp. 11/24/2001 164 104 282 Put - CME Eurodollar December Futures Strike @ 95.500 12/17/2001 1,340 495 8 Put - CME Eurodollar December Futures Strike @ 95.250 12/17/2001 3,083 1,239 19 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 33,100,000 751 1,528 Call - OTC 3 Month LIBOR Interest Rate Swap Strike @ 5.900 Exp. 04/29/2002 10,000,000 230 461 ---------------------- $ 2,976 $ 2,301 ----------------------
(d) Variable rate security. The rate listed is as of September 30, 2001. (e) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Realized Covered by Settlement Appreciation/ Type Currency Contract Month Depreciation - --------------------------------------------------------------------------- Buy A$ 1,052 10/2001 $ (29) Sell 3,586 10/2001 22 Sell BP 43,068 10/2001 1 Sell DK 12,769 12/2001 21 Buy EC 396,767 10/2001 (2,564) Sell 589,832 10/2001 3,082 Buy JY 15,665,075 10/2001 (2,338) Sell 3,069,006 10/2001 (192) Buy 6,394,430 12/2001 652 Sell 89,600,000 12/2001 (5,482) Sell N$ 59,088 10/2001 1,886 Buy SF 38,560 11/2001 (689) Sell 38,560 11/2001 237 ----------- $ 5,393) ----------- (f) Principal amount denoted in indicated currency: A$ - Australian Dollar BP - British Pound C$ - Canadian Dollar DK - Danish Krone DM - German Mark EC - Euro H$ - Hong Kong Dollar N$ - New Zealand Dollar JY - Japanese Yen SP - Spanish Peseta SF - Swiss Franc (g) Securities are grouped by coupon or range of coupons and represent a range of maturities. (h) Principal amount of the security is adjusted for inflation. (i) Swap agreements outstanding at September 30, 2001: Unrealized Notional Appreciation/ Type Amount (Depreciation) - -------------------------------------------------------------------------------- Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.347%. Broker: Bank of America Exp. 03/15/2011 JY 55,000,000 $ 1,489 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.347%. Broker: Merrill Lynch Exp. 03/15/2011 30,000,000 (1,858) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 0.200%. Broker: J.P. Morgan Chase & Co. Exp. 03/17/2003 114,140,000 (1,433) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 6.910%. Broker: Goldman Sachs Exp. 02/15/2006 H$ 1,043,000 (14,083) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.753%. Broker: Goldman Sachs Exp. 02/08/2006 735,000 (5,507) Receive floating rate based on 3-Month H$-HIBOR and pay a fixed rate equal to 5.729%. Broker: Goldman Sachs Exp. 06/01/2006 1,015,300 (7,443) Receive floating rate based on 3-month Canadian Bank Bill and pay a fixed rate equal to 6.515%. Broker: J.P. Morgan Chase & Co. Exp. 05/10/2002 C$ 51,990 (678) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 2.020%. Broker: Goldman Sachs Exp. 05/18/2010 JY 7,436,060 (4,173) See accompanying notes | 9.30.01 | 53 Schedule of Investments (Cont.) International Portfolio Septemer 30, 2001 (Unaudited) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 6.100%. Broker: Morgan Stanley Dean Witter Exp. 01/15/2031 EC 52,000 $ (2,052) Receive a fixed rate equal to 4.610% and pay floating rate based on 6-month EC-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2004 2,000,000 23,115 Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Goldman Sachs Exp. 03/15/2016 469,300 (1,719) Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Lehman Brothers Exp. 03/15/2016 69,300 (158) Receive a fixed rate equal to 4.750% and pay floating rate based on 6-month EC-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 35,000 590 Receive a fixed rate equal to 6.500% and pay floating rate based on 6-month EC-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 228,000 (202) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 4.500%. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2003 1,785,000 (734) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 4.610%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 2,000,000 417 Receive a fixed rate equal to 6.790% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/15/2006 $ 134,700 12,938 Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.313%. Broker: Merrill Lynch Exp. 01/11/2008 JY 20,000,000 (5,582) Receive floating rate based on 6-month JY-LIBOR and pay a fixed rate equal to 1.777%. Broker: Goldman Sachs Exp. 01/12/2011 3,692,000 (1,242) Receive a fixed rate equal to 5.670% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 02/08/2006 $ 93,900 4,718 Receive a fixed rate equal to 5.440% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 $ 130,700 5,522 Receive floating rate based on 3-month H$-HIBOR and pay a fixed rate equal to 5.550%. Broker: Goldman Sachs Exp. 03/16/2006 H$ 1,020,100 $ (6,606) Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Goldman Sachs Exp. 03/15/2016 BP 300,400 1,666 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Lehman Brothers Exp. 03/15/2016 45,400 117 Receive a fixed rate equal to 5.250% and pay floating rate based on 3-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2003 402,700 2,462 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Lehman Brothers Exp. 03/15/2003 25,000 270 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Merrill Lynch Exp. 03/15/2004 95,100 622 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Morgan Stanley Dean Witter Exp. 03/15/2016 148,800 (691) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 91,100 2,009 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 03/15/2004 54,000 821 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Morgan Stanley Dean Witter Exp. 09/15/2002 54,000 (590) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/19/2006 125,000 (463) 54 Semi-Annual Report | 9.30.01 | See accompanying notes Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: Goldman Sachs Exp. 09/19/2002 BP 52,800 $ (294) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: Goldman Sachs Exp. 03/15/2006 398,200 2,521 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.250%. Broker: J.P. Morgan Chase & Co. Exp. 09/19/2002 390,200 (3,836) Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/15/2006 122,200 725 Receive a fixed rate equal to 5.250% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 03/19/2006 390,200 (2,362) Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: J.P. Morgan Chase & Co. Exp. 06/17/2004 850,000 5,076 Receive a fixed rate equal to 5.500% and pay floating rate based on 6-month BP-LIBOR. Broker: Morgan Stanley Dean Witter Exp. 06/17/2004 890,030 5,008 Receive a fixed rate equal to 5.640% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 06/05/2006 $ 130,170 6,467 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Goldman Sachs Exp. 12/17/2006 132,800 1,774 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Bank of America Exp. 12/17/2006 563,500 7,008 Receive a fixed rate equal to 6.000% and pay floating rate based on 3-month LIBOR. Broker: Morgan Stanley Dean Witter Exp. 12/17/2006 287,000 3,874 Receive floating rate based on 6-month BP-LIBOR and pay a fixed rate equal to 5.500%. Broker: Merrill Lynch Exp. 03/19/2006 BP 273,900 (4,734) Receive floating rate based on 6-month EC-LIBOR and pay a fixed rate equal to 3.628%. Broker: Goldman Sachs Exp. 03/15/2003 EC 500,000 (272) Receive a fixed rate equal to 1.000% and the Fund will pay to the counterparty at par in the event of default of Sprint Capital Corp. 6.125% due 11/15/2008. Broker: Merrill Lynch Exp. 08/02/2002 $ 6,400 0 ---------- $ 22,497 ---------- (j) Subject to financing transaction. (k) Security is in default. (l) Restricted security. (m) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - -------------------------------------------------------------------------------- Republic of Germany 4.500 07/04/2009 365,000 $ 328,680 $ 335,720 Republic of Germany 5.000 02/17/2006 67,900 54,079 65,601 --------------------- $ 392,759 $ 401,321 --------------------- See accompanying notes | 9.30.01 | 55 Schedule of Investments Emerging Markets Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) ARGENTINA 0.5% Republic of Argentina 5.562% due 03/31/2005 (d) $ 2,016 $ 1,420 ----------- Total Argentina 1,420 ----------- (Cost $1,484) BALTIC NATIONS 0.1% Republic of Kazakhstan 8.375% due 10/02/2002 $ 200 $ 205 ----------- Total Baltic Nations 205 ----------- (Cost $199) BERMUDA 0.5% IMEXA Export Trust 10.125% due 05/31/2003 $ 1,478 $ 1,461 ----------- Total Bermuda 1,461 ----------- (Cost $1,437) BRAZIL 10.6% Republic of Brazil 9.625% due 07/15/2005 $ 3,400 $ 2,933 5.437% due 04/15/2006 (d) 7,576 6,307 5.500% due 04/15/2009 (d) 4,000 2,967 14.500% due 10/15/2009 1,000 944 8.000% due 04/15/2014 5,184 3,510 12.750% due 01/15/2020 150 115 8.875% due 04/15/2024 3,000 1,696 5.437% due 04/15/2024 (d) 1,000 644 6.000% due 04/15/2024 3,500 2,214 10.125% due 05/15/2027 (c) 2,500 1,575 12.250% due 03/06/2030 8,700 6,329 11.000% due 08/17/2040 4,500 2,925 ----------- Total Brazil 32,158 ----------- (Cost $35,202) BULGARIA 11.8% Republic of Bulgaria 6.312% due 07/28/2011 (d) $ 10,890 $ 8,467 3.000% due 07/28/2012 (d) 8,941 7,050 4.563% due 07/28/2024 (c)(d) 26,710 20,500 ----------- Total Bulgaria 36,017 ----------- (Cost $35,985) CAYMAN ISLANDS 0.3% Korea Asset Funding Ltd. 7.270% due 02/10/2009 (d) $ 959 $ 988 ----------- Total Cayman Islands 988 ----------- (Cost $957) COLOMBIA 2.0% Republic of Colombia 10.875% due 03/09/2004 $ 1,430 $ 1,524 11.772% due 08/13/2005 (d) 60 61 7.625% due 02/15/2007 2,480 2,300 9.750% due 04/23/2009 2,350 2,309 ----------- Total Colombia 6,194 ----------- (Cost $5,340) CROATIA 0.5% Republic of Croatia 7.000% due 03/28/2005 EC 1,000 $ 948 6.250% due 07/31/2006 (d) $ 669 655 ----------- Total Croatia 1,603 ----------- (Cost $1,621) EGYPT 5.1% Republic of Egypt 8.750% due 07/11/2011 $ 17,550 $ 15,663 ----------- Total Egypt 15,663 ----------- (Cost $16,626) Principal Amount Value (000s) (000s) MEXICO 15.4% Banco Nacional de comercio Exterior 7.250% due 02/02/2004 $ 3,100 $ 3,152 Bancomext Trust 8.000% due 08/05/2003 3,627 3,716 United Mexican States 0.000% due 06/30/2003 (d) 33,635 266 8.553% due 04/07/2004 (d) 1,000 1,030 9.616% due 04/07/2004 (d) 325 332 8.341% due 04/07/2004 (d) EC 3,500 3,217 5.560% due 03/25/2005 (d) $ 5,000 4,700 8.625% due 03/12/2008 2,000 2,074 10.375% due 02/17/2009 2,000 2,215 9.875% due 02/01/2010 2,750 2,943 8.375% due 01/14/2011 1,900 1,886 8.125% due 12/30/2019 6,500 5,853 6.250% due 12/31/2019 9,675 8,867 7.412% due 12/31/2019 (d) 3,867 3,878 7.515% due 12/31/2019 (d) 1,070 1,073 11.500% due 05/15/2026 1,500 1,775 ----------- Total Mexico 46,977 ----------- (Cost $46,680) MOROCCO 0.5% Kingdom of Morocco 5.093% due 01/05/2009 (d) $ 330 $ 285 Morroco Restructured Tranche A 7.562% due 01/01/2009 1,536 1,328 ----------- Total Morocco 1,613 ----------- (Cost $1,668) PANAMA 9.4% Republic of Panama 5.030% due 05/10/2002 (d) $ 75 $ 76 9.625% due 02/08/2011 9,500 9,487 4.500% due 07/17/2014 18,253 16,160 8.875% due 09/30/2027 3,210 2,833 ----------- Total Panama 28,556 ----------- (Cost $28,407) PERU 6.0% Republic of Peru 4.000% due 03/07/2017 $ 12,900 $ 8,273 4.500% due 03/07/2017 14,248 9,992 ----------- Total Peru 18,265 ----------- (Cost $17,800) PHILIPPINES 3.1% Republic of Philippines 6.875% due 01/05/2005 (d) $ 2,401 $ 2,345 6.500% due 12/01/2017 8,500 7,225 ----------- Total Philippines 9,570 ----------- (Cost $9,232) POLAND 14.7% Republic of Poland 6.000% due 10/27/2014 $ 13,600 $ 13,448 3.750% due 10/27/2024 (c)(d) 39,430 28,381 4.250% due 10/27/2024 4,000 3,050 ----------- Total Poland 44,879 ----------- (Cost $42,401) QATAR 4.7% State of Qatar 9.750% due 06/15/2030 $ 13,160 $ 14,229 ----------- Total Qatar 14,229 ----------- (Cost $14,020) RUSSIA 1.6% Russian Federation 9.250% due 11/27/2001 $ 2,800 $ 2,817 11.750% due 06/10/2003 2,100 2,191 ----------- Total Russia 5,008 ----------- (Cost $4,896) 56 Semi-Annual Report | 9.30.01 | See accompanying notes Principal Amount Value (000s) (000s) SLOVAKIA 0.2% Slovak Wireless Finance 11.250% due 03/30/2007 EC 500 $ 471 ----------- Total Slavokia 471 ----------- (Cost $485) SOUTH AFRICA 2.8% Republic of South Africa 9.125% due 05/19/2009 $ 7,750 $ 8,474 ----------- Total South Africa 8,474 ----------- (Cost $8,170) SOUTH KOREA 16.6% Cho Hung Bank 11.500% due 04/01/2010 (d) $ 5,000 $ 5,100 11.875% due 04/01/2010 3,000 3,094 Export-Import Bank Korea 6.500% due 11/15/2006 2,500 2,578 Hanvit Bank 12.750% due 03/01/2010 2,000 2,088 11.750% due 03/01/2010 8,340 8,590 Korea Development Bank 7.625% due 10/01/2002 4,050 4,209 6.500% due 11/15/2002 2,000 2,063 8.294% due 06/16/2003 (d) 3,000 2,940 6.625% due 11/21/2003 2,900 3,029 7.375% due 09/17/2004 4,500 4,832 Republic of Korea 8.875% due 04/15/2008 (c) 10,450 12,102 ----------- Total South Korea 50,625 ----------- (Cost $48,607) TUNISIA 1.4% Banque Centrale De Tunisie 8.250% due 09/19/2027 $ 4,750 $ 4,334 ----------- Total Tunisia 4,334 ----------- (Cost $4,030) TURKEY 1.4% Republic of Turkey 11.750% due 06/15/2010 (c) $ 5,000 $ 4,338 ----------- Total Turkey 4,338 ----------- (Cost $4,238) URUGUAY 0.1% Banco Central Del Uruguay 7.250% due 02/19/2006 $ 132 $ 124 ----------- Total Uruguay 124 ----------- (Cost $126) VENEZUELA 0.1% Republic of Venezuela 4.750% due 12/18/2007 (d) $ 310 $ 255 ----------- Total Venezuela 255 ----------- (Cost $244) SHORT-TERM INSTRUMENTS 5.8% Certificates of Deposit 1.0% Mexico Credit Link 8.987% due 02/25/2002 (d) $ 3,000 $ 3,104 Commercial Paper 4.8% Swedbank, Inc. 3.510% due 10/24/2001 1,000 998 UBS Finance, Inc. 3.240% due 11/19/2001 13,600 13,540 ----------- 14,538 ----------- Total Short-Term Instruments 17,642 ----------- (Cost $17,598) Principal Amount Value (000s) (000s) Total Investments (a) 115.2% $ 351,069 (Cost $347,453) Other Assets and Liabilities (Net)(15.2%) (46,449) ----------- Net Assets 100.0% $ 304,620 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 9,408 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (5,792) ----------- Unrealized appreciation-net $ 3,616 ----------- (b) Security becomes interest bearing at a future date. (c) Subject to financing transaction. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Securities are grouped by coupon or range of coupons and represent a range of maturities. (f) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - ---------------------------------------------------------------------- Buy EC 8,400 10/2001 $ 173 Buy HF 2,484,000 11/2001 646 ----------- $ 819 ----------- (g) Principal amount denoted in indicated currency: EC - Euro HF - Hungarian Forint (h) Short sales open at September 30, 2001 were as follows: Coupon Type (%) Maturity Par Value Proceeds - ------------------------------------------------------------------------------ Republic of Argentina 7.000 12/19/2008 40,000 $ 24,052 $ 24,799 Republic of Turkey 11.750 06/15/2010 13,000 11,280 10,949 Republic of Philippines 10.625 03/16/2025 7,000 5,775 6,168 -------------------- $ 41,107 $ 41,916 -------------------- (i) Swap agreements outstanding at September 30, 2001: Notional Unrealized Type Amount Appreciation - ------------------------------------------------------------------------------- Receive a fixed rate equal to 0.650% and the Fund will pay to the counterparty at par in the event of default of United Mexican States 9.750% due 04/06/2005. Broker: Salomon Brothers Exp. 05/23/2003 $ 25,000 $ 0 Pay a fixed rate equal to 5.000% and the Fund will receive from the counterparty at par in the event of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2002 10,000 0 Receive a fixed rate equal to 9.050% and the Fund will pay to the counterparty at par in the event of default of the Republic of Brazil 8.000% due 04/15/2014. Broker: Goldman Sachs Exp. 09/27/2003 10,000 0 ----------- $ 0 ----------- See accompanying notes | 9.30.01 | 57 Schedule of Investments Municipal Sector Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) MUNICIPAL BONDS & NOTES 100.5% Alabama 4.5% Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-323 5.800% due 02/01/2029 (d) $ 750 $ 726 Jefferson County, Alabama Sewer Revenue Bonds Warrants, (FGIC Insured), Series 2000-352 8.042% due 02/01/2036 (d) 4,750 4,683 ----------- 5,409 ----------- Alaska 1.3% Northern Tobacco Securitization Bonds, Series 2000 6.500% due 06/01/2031 1,500 1,613 ----------- 1,613 ----------- California 4.5% East Bay, California Municipal Utility District Wastewater Treatment System Revenue Bonds, (AMBAC Insured), Series 1993 6.420% due 06/01/2013 (d) 1,000 1,103 East Bay, California Municipal Utility Water System Revenue Bonds, (MBIA Insured), Series 1993 5.200% due 06/01/2008 2,700 2,850 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, (MBIA-IBC Insured), Series 1999 0.000% due 01/15/2027 1,500 1,023 Foothill Eastern Transportation Corridor Agency California Toll Road Revenue Bonds, Series 1995 0.000% due 01/01/2026 1,000 284 ----------- 5,260 ----------- Florida 1.4% Florida State Governmental Utility Authority Revenue Bonds, (AMBAC Insured), Series 2000 5.850% due 10/01/2029 (d) 650 628 Lee County, Florida Airport Revenue Bonds, (FSA Insured), Series 2000-A 6.000% due 10/01/2029 1,000 1,076 ----------- 1,704 ----------- Georgia 10.1% Atlanta, Georgia Water & Wastewater Revenue Bonds, (FGIC Insured), Series 2001 6.690% due 11/01/2038 (d) 500 466 Georgia State General Obligation Bonds, Series 2001 5.375% due 07/01/2017 (d) 10,580 11,465 ----------- 11,931 ----------- Illinois 6.3% Chicago, Illinois Board of Education General Obligation Bonds, (FGIC Insured), Series 1998 0.000% due 12/01/2020 3,000 1,083 Chicago, Illinois General Obligation Bonds, (MBIA Insured), Series 2001 5.100% due 01/01/2023 (c) 5,965 3,714 Chicago, Illinois Midway Airport Revenue Bonds, (MBIA Insured), Series 2000 5.000% due 01/01/2031 (d) 750 687 Chicago, Illinois Residual General Obligation Bonds, (MBIA Insured), Series 2000 4.930% due 01/01/2028 (d) 500 478 Palatine Illinois Tax Increment Revenue Bonds, (AMBAC Insured), Series 1998 5.250% due 01/01/2017 1,500 1,546 ----------- 7,508 ----------- Indiana 3.3% Eagle-Union Middle School Building Bonds, (AMBAC State Aid Withholding Insured), Series 2001 5.000% due 01/05/2020 2,000 1,980 Merrillville Indiana Multi School Building Corporation Revenue Bonds, (MBIA Insured), Series 2001 5.000% due 01/05/2021 $ 2,000 $ 1,967 ----------- 3,947 ----------- Kentucky 3.8% Kentucky State Turnpike Authority Economic Development Road Revenue Bonds, Series 1993 7.284% due 06/06/2012 (d) 4,000 4,600 ----------- Massachusetts 2.9% Massachusetts Bay Transition Authority Revenue Bonds,(Gov. of Authority Insured), Series 2000 5.530% due 03/01/2028 (d) 500 471 Massachusetts State Development Financial Agency Revenue Bonds, (GNMA Insured), Series 2000 9.000% due 06/20/2031 375 434 Massachusetts State Individual Financing Agency Revenue Bonds, (FSA Gov. of Institution Insured), Series 1998 5.000% due 03/01/2028 1,000 981 Massachusetts State Turnpike Authority Revenue Bonds, (AMBAC Insured), Series 2000 6.100% due 01/01/2039 (d) 600 552 Massachusetts State Water Residential Authority Revenue Bonds, (FSA Gov. of Authority Insured), Series 2001 6.290% due 08/01/2037 (d) 500 422 Massachusetts State Water Residential Authority Revenue Bonds, (MBIA Insured), Series 1995 4.750% due 12/01/2021 700 665 ----------- 3,525 ----------- Nevada 3.7% Clark County, Nevada General Obligation Ltd. Bonds, (MBIA Insured), Series 2000 8.570% due 07/01/2030 (d) 1,400 1,451 Nevada State General Obligation Bonds, (FGIC Insured), Series 2000 7.290% due 05/15/2028 (d) 1,000 937 Nevada State General Obligation Bonds, (FGIC Insured), Series 2001 7.570% due 05/15/2028 (d) 2,163 2,078 ----------- 4,466 ----------- New Hampshire 2.8% New Hampshire Educational & Health Facilities Authority Revenue Bonds, Series 1997 5.125% due 06/01/2028 1,400 1,392 New Hampshire Health & Educational Facilities Authority Revenue Bonds, (AMBAC Insured), Series 2002 5.375% due 07/01/2020 2,000 2,011 ----------- 3,403 ----------- New Jersey 9.3% New Jersey Economic Development Authority Revenue Bonds, Series 1998 6.375% due 04/01/2018 500 524 6.375% due 04/01/2031 2,500 2,611 6.500% due 04/01/2031 5,000 5,197 New Jersey State Highway Authority Garden State Parkway General Revenue Bonds, (FGIC Insured), Series 2001 5.500% due 01/01/2013 2,500 2,771 ----------- 11,103 ----------- New York 12.6% Long Island Power Authority New York Electric System Revenue Bonds, (FSA Insured), Series 2001 7.040% due 12/01/2022 (d) 650 654 New York City, New York General Obligation Bonds, (MBIA Insured), Series 2001 5.125% due 05/15/2029 (d)(e) 5,915 5,908 58 Semi-Annual Report | 9.30.01 | See accompanying notes Schedule of Investments (Cont.) Municipal Sector Portfolio September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) New York City, New York Municipal Water & Sewer System Financial Authority Revenue Bonds, (FSA Insured), Series 2000 7.770% due 06/15/2029 (d) $ 500 $ 480 New York City, New York Municipal Water & Sewer System Financial Authority Revenue Bonds, (FSA-CR Insured), Series 2001 9.050% due 06/15/2029 (d) 1,000 1,151 New York City, New York Transitional Financial Authority Revenue Bonds, Series 2000 7.670% due 11/01/2024 (d) 1,000 1,081 New York State Dormitory Authority Revenue Bonds, (MBIA-IBC Insured), Series 2000 8.790% due 07/01/2025 (d) 1,500 1,567 New York State Dormitory Authority Revenue Bonds, Series 1993 5.250% due 05/15/2019 4,000 4,210 ----------- 15,051 ----------- North Carolina 11.3% North Carolina Municipal Power Agency No. 1 Catawba Electric Revenue Bonds, Series 1993 1.000% due 01/01/2020 (d) 5,000 5,239 North Carolina State General Obligation Bonds, Series 2000 5.100% due 09/01/2017 8,000 8,316 ----------- 13,555 ----------- Pennsylvania 14.7% Lewistown Boro, Pennsylvania Municipal Authority Water Revenue Bonds, (MBIA Insured), Series 2001 5.150% due 01/01/2030 1,155 1,158 Pennsylvania Economic Development Financing Authority MultiFamily Revenue Bonds, (GIC-AIG Insured), Series 2000 4.700% due 06/01/2004 3,730 3,756 Pennsylvania State General Obligation Bonds, Series 1998 5.000% due 08/01/2018 5,000 5,048 Pennsylvania State General Obligation Bonds, Series 2001 7.670% due 12/01/2017 (d) 6,750 6,948 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2000 5.540% due 04/01/2027 (d) 500 439 Philadelphia, Pennsylvania School District General Obligation Bonds, (MBIA State Aid Withholding Insured), Series 2001 6.220% due 04/01/2027 (d) 250 219 ----------- 17,568 ----------- Puerto Rico 0.6% Childrens Trust Fund Tobacco Settlement Revenue Bonds, Series 2000 6.000% due 07/01/2026 700 751 ----------- South Carolina 1.8% South Carolina State Public Service Authority Revenue Bonds, Series 1993 6.590% due 06/28/2013 (d) 2,000 2,168 ----------- Texas 5.2% Arlington, Texas Independent School District General Obligation Bonds, (PSF-FTD Insured), Series 1999 5.000% due 02/15/2024 1,000 980 Denton County, Texas Utility System Revenue Bonds, (MBIA Insured), Series 2000 5.680% due 12/01/2029 (d) 1,000 988 Houston, Texas Airport System Revenue Bonds, (FGIC Insured), Series 2001 7.570% due 07/01/2028 (d) 1,418 1,306 Principal Amount Value (000s) (000s) Houston, Texas Independent School District General Obligation Bonds, (PSF-GTD Insured), Series 2001 6.160% due 02/15/2026 (d) $ 750 $ 652 Katy, Texas Independent School District General Obligation Ltd. Bonds, (PSF-GTD Insured), Series 1998 4.750% due 02/15/2024 2,500 2,332 ----------- 6,258 ----------- Washington State 0.4% Port Seattle, Washington Revenue Bonds, (MBIA Insured), Series 2001 3.000% due 02/01/2024 (d) 500 531 ----------- Total Municipal Bonds & Notes 120,351 ----------- (Cost $118,240) U.S. TREASURY OBLIGATIONS 0.4% Treasury Inflation Protected Securities 3.375% due 01/15/2007 (b) 449 462 ----------- Total U.S. Treasury Obligations 462 ----------- (Cost $457) SHORT-TERM INSTRUMENTS 2.5% Commercial Paper 2.5% SSgA Tax Free Money Market 1.940% due 10/01/2001 2,988 2,988 ----------- Total Short-Term Instruments 2,988 ----------- (Cost $2,988) Total Investments (a) 103.4% $ 123,801 (Cost $121,685) Other Assets and Liabilities (Net) (3.4%) (4,064) ----------- Net Assets 100.0% $ 119,737 ----------- Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 2,754 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (638) ----------- Unrealized appreciation-net $ 2,116 ----------- (b) Securities with an aggregate market value of $462 have been segregated with the custodian to cover margin requirements for the following open futures contracts at September 30, 2001: Unrealized # of Appreciation/ Type Contracts (Depreciation) - -------------------------------------------------------------------- Municipal Bond (12/2001) 25 $ (18) U.S. Treasury 5 Year Note (12/2001) 250 20 U.S. Treasury 30 Year Bond (12/2001) 469 (663) U.S. Treasury 30 Year Bond (03/2002) 50 (2) ----------- $ (663) ----------- (c) Security becomes interest bearing at a future date. (d) Variable rate security. The rate listed is as of September 30, 2001. (e) Restricted security. See accompanying notes | 9.30.01 | 59 Notes to Financial Statements September 30, 2001 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the Trust) was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the Act), as amended, as an open-end investment management company. The Trust currently consists of 45 separate investment portfolios. The Short-Term, U.S. Government Sector, Investment Grade Corporate, High Yield, Mortgage, Asset-Backed Securities, Real Return, International, Emerging Market, and Municipal Sector Portfolios (the "Portfolios") are a series of the Trust. The following is a summary of significant accounting policies followed in the preparation of the Portfolios' financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America. 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. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined at the close of regular trading (normally, 4:00 p.m., Eastern Time) on the New York Stock Exchange on each day the New York Stock Exchange is open, or if no sales are reported, as is the case for most securities traded over the counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements (other than obligations having a maturity of sixty days or less), are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments having a maturity of sixty days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Portfolio is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Effective April 1, 2001, the Portfolios changed accounting methods relating to the amortization of premiums and discounts by adopting the interest method. The Portfolio with significant adjustments to beginning balances for the cumulative effect is as follows (amounts in thousands): Emerging Markets Portfolio $ 612 Dividends and Distributions to Shareholders. Dividends from net investment income, if any, are declared and distributed on a quarterly basis to shareholders. Net realized capital gains earned by a Portfolio, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividends and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. 60 Semi-Annual Report | 9.30.01 Federal Income Taxes. Each Portfolio intends to qualify as a regulated investment company 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. Financing Transactions. A Portfolio may enter into financing transactions consisting of the sale by the Portfolio of securities, together with a commitment to repurchase similar securities at a future date. The difference between the selling price and the future purchase price is an adjustment to interest income. If the counterparty to whom the Portfolio sells the security becomes insolvent, a Portfolio's right to repurchase the security may be restricted; the value of the security may change over the term of the financing transaction; and the return earned by a Portfolio with the proceeds of a financing transaction may not exceed transaction costs. Futures and Options. The Portfolios are authorized to enter into futures contracts and options. A Portfolio may use futures contracts and options 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 and options are imperfect correlation between the change in market value of the securities held by a Portfolio and the prices of futures contracts and options, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. Futures contracts and purchased options are valued based upon their quoted daily settlement prices. The premium received for a written option is recorded as an asset with an equal liability which is marked to market based on the option is quoted daily settlement price. Fluctuations in the value of such instruments are recorded as unrealized appreciation (depreciation) until terminated, at which time realized gains and losses are recognized. Forward Currency Contracts. The Portfolios are authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Portfolio's investment or anticipated investment in securities denominated in foreign currencies. A Portfolio also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Short Sales. Certain Portfolios have entered into short sales transactions during the fiscal year. A short sale is a transaction in which a Portfolio sells securities it does not own in anticipation of a decline in the market price of securities. The Portfolio is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Swaps. The Portfolios are authorized to enter into interest rate, total return and currency exchange swap agreements in order to obtain a desired return at a lower cost than if the Portfolio had invested directly in the asset that yielded the desired return. Swaps involve commitments to exchange components of income (generally interest or returns) pegged to the underlying assets based on a notional principal amount. Swaps are marked to market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gains or losses in the Statements of Operations. A Portfolio bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty. Delayed Delivery Transactions. A Portfolio may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by a Portfolio to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, a Portfolio will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, a Portfolio assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. A Portfolio may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Portfolio has sold a security on a delayed delivery basis, the Portfolio does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Portfolio in the same manner as forward currency contracts discussed above. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to 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 in the principal amount of an inflation-indexed bond will be considered interest income, even though principal is not received until maturity. 9.30.01 | Semi-Annual Report 61 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) Repurchase Agreements. Each Portfolio may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Portfolio to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Portfolio has the right to use the collateral to offset losses incurred. Restricted Securities. Certain Portfolios are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company LLC (PIMCO) is a wholly owned subsidiary partnership of PIMCO Advisors L.P. which serves as investment adviser (the Adviser) to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Portfolio at an annual rate based on average daily net assets of the Portfolio. The Advisory Fee is charged at the annual rate of 0.02% for all Portfolios. Administration Fee. PIMCO serves as administrator (the Administrator), and provides administrative services to the Trust for which it receives from each Portfolio a monthly administrative fee based on each Portfolio's average daily net assets. The Administration Fee is charged at the annual rate of 0.10% for the International and Emerging Markets Portfolios; and 0.03% for all other Portfolios. Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest 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 expenses, including costs of litigation and indemnification expenses; and (vii) organization expenses. PIMCO has agreed to waive a portion of the Portfolios administrative fees to the extent that the payment of each Portfolio's pro rata share of Trustee fees and organizational expenses cause the actual expense ratios to rise above the rates disclosed then-current in the prospectus plus 0.49 basis points (calculated as a percentage of each Portfolio's average daily net assets). PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $60,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Portfolios of the Trust according to their respective net assets. Distributor. PIMCO Funds Distributors LLC, (PFD), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Portfolios' shares. 4. Federal Income Tax Matters As of March 31, 2001, the Portfolio listed in the table below had remaining capital loss carryforwards that were realized or acquired in prior years. Use of the acquired capital loss carryforwards may be limited under current tax laws. Additionally, the Short-Term, U.S. Government Sector, Investment Grade Corporate, Mortgage, Real Return, International, Emerging Markets, and Municipal Sector Portfolios realized capital losses and/or foreign currency losses during the period November 1, 2000 through March 31, 2001, which the Portfolio elected to defer to the following fiscal year pursuant to income tax regulations. The amounts are $58,835, $1,083,033, $698,908, $10,490,386, $75,259, $216,611, $1,974,615, $19,661 respectively. The Portfolio will resume capital gain distributions in the future to the extent gains are realized in excess of the available carryforwards. Capital Loss Carryforwards ----------------------------------------------- Realized Losses Acquired Losses Expiration ----------------------------------------------- Emerging Markets Portfolio $ 3,257,844 $ 0 03/31/2009 62 Semi-Annual Report | 9.30.01 5. Transactions in Written Call and Put Options Transactions in written call and put options were as follows (amounts in thousands):
U.S. Government Investment Grade Mortgage Asset-Backed International Sector Portfolio Corporate Portfolio Portfolio Securities Portfolio Portfolio Premium Balance at 03/31/2001 $ 2,004 $ 0 $ 0 $ 0 $ 1,606 Sales 11,333 2,113 15,298 366 2,680 Closing Buys (7,131) (738) (6,000) (237) 0 Expirations (2,552) 0 0 0 (1,310) Exercised 0 0 0 0 0 Balance at 09/30/2001 $ 3,654 $ 1,375 $ 9,298 $ 129 $ 2,976
6. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term instruments) for the period ended September 30, 2001 were as follows (amounts in thousands):
U.S. Government/Agency All Other Purchases Sales Purchases Sales Short-Term Portfolio $ 46,741 $ 142,536 $ 101,254 $ 76,237,201 U.S. Government Sector Portfolio 7,050,284 7,679,560 93,836 59,429 Investment Grade Corporate Portfolio 1,030,621 1,029,757 1,710,391 896,828 High Yield Portfolio 0 0 111,612 146,004 Mortgage Portfolio 22,898,732 21,487,241 996,345 404,623 Asset-Backed Securities Portfolio 261,423 261,624 26,371 6,683 Real Return Portfolio 802,433 563,473 19,578 15,535 International Portfolio 1,170,110 931,907 3,123,320 2,724,427 Emerging Markets Portfolio 0 0 705,161 662,496 Municipal Sector Portfolio 457 564 183,856 133,623
9.30.01 | Semi-Annual Report 63 Notes to Financial Statements (Cont.) September 30, 2001 (Unaudited) 7. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (shares and amounts in thousands):
Short-Term Portfolio U.S. Government Sector Portfolio Period Ended Period from 04/20/2000 Period Ended 09/30/2001 to 03/31/2001 09/30/2001 Year Ended 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Receipts for shares sold 8,042 $ 80,337 31,863 $ 320,600 108,078 $ 1,227,890 140,400 $ 1,559,920 Issued as reinvestment of distributions 448 4,487 626 6,284 2,959 33,583 6,248 68,870 Cost of shares redeemed (12,014) (123,093) (13,683) (138,900) (87,737) (983,613) (65,217) (729,470) Net increase (decrease) resulting from Portfolio share transactions (3,524) $ (38,269) 18,806 $ 187,984 23,300 $ 277,860 81,431 $ 899,320 Investment Grade Corporate Portfolio High Yield Portfolio Period Ended Period Ended Period from 12/08/2000 09/30/2001 Year Ended 03/31/2001 09/30/2001 to 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Receipts for shares sold 98,357 $1,072,528 101,327 $1,055,526 2,124 $19,556 68,667 $ 661,618 Issued as reinvestment of 2,769 29,984 2,865 29,275 784 6,801 980 9,423 distributions Cost of shares redeemed (20,954) (224,038) (40,948) (419,378) (6,177) (58,108) (47,453) (471,509) Net increase (decrease) resulting from Portfolio share transactions 80,172 $ 878,474 63,244 $ 665,423 (3,269) $(31,751) 22,194 $ 199,532 Mortgage Portfolio Asset-Backed Securities Portfolio Period Ended Period Ended Period from 10/31/2000 09/30/2001 Year Ended 03/31/2001 09/30/2001 to 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Receipts for shares sold 309,474 $ 3,402,082 410,432 $4,292,103 2,070 $ 22,600 5,485 $ 55,556 Issued as reinvestment of 11,448 126,445 21,487 224,172 distributions 170 1,851 82 855 Cost of shares redeemed (125,361) (1,386,773) (205,699) (2,178,527) (397) (4,350) (470) (4,851) Net increase (decrease) resulting from Portfolio share transactions 195,561 $ 2,141,754 226,220 $2,337,748 1,843 $ 20,101 5,097 $ 51,560 Real Return Portfolio International Portfolio Period Ended Period from 04/28/2000 Period Ended 09/30/2001 to 03/31/2001 09/30/2001 Year Ended 03/31/2001 Shares Amount Shares Amount Shares Amount Shares Amount Receipts for shares sold 23,016 $ 252,975 22,455 $ 231,658 127,922 $ 876,245 442,780 $3,048,940 Issued as reinvestment of distributions 806 8,898 510 5,240 10,780 74,492 18,256 124,599 Cost of shares redeemed (10,458) (114,890) (3,701) (38,425) (323,224) (2,291,766) (121,926) (841,610) Net increase (decrease) resulting from Portfolio share transactions 13,364 $ 146,983 19,264 $ 198,473 (184,522) $(1,341,029) 339,110 $2,331,929
Emerging Markets Portfolio Period Ended 09/30/2001 Year Ended 03/31/2001 Shares Amount Shares Amount Receipts for shares sold 11,567 $117,087 33,499 $ 329,447 Issued as reinvestment of distributions 1,180 11,800 3,259 31,541 Cost of shares redeemed (11,139) (113,066) (43,726) (425,655) Net increase (decrease) resulting from Portfolio share transactions 1,608 $ 15,821 (6,968) $ (64,667) Municipal Sector Portfolio Period Ended Period from 08/21/2000 09/30/2001 to 03/31/2001 Shares Amount Shares Amount Receipts for shares sold 6,099 $ 67,362 6,697 $ 67,208 Issued as reinvestment of distributions 159 1,753 73 755 Cost of shares redeemed (1,795) (20,069) (380) (4,026) Net increase resulting from Portfolio share transactions 4,463 $ 49,046 6,390 $ 63,937 64 Semi-Annual Report | 9.30.01 Pacific Investment Manageme nt Company LLC (PIMCO) is responsible for the management and administrati on of the PIMCO Funds: Pacific Investment Management Series. Founded in 1971, PIMCO currently manages assets in excess of $234 billion on behalf of mutual fund and institutional clients located around the world. Renowned for its fixed income management expertise, PIMCO manages assets for many of the largest corporations, foundations, endowments, and governmental bodies in the United States and the world. Trustees and Officers Brent R. Harris Chairm an and Trustee R. Wesley Burns President and Trustee Guilford C. Babcock Trustee E. Philip Cannon Trustee Vern O. Curtis Trustee J. Michael Hagan Trustee Thomas P. Kemp Trustee William J. Popejoy Trustee Garlin G. Flynn Secretary John P. Hardaway Treasurer Investment Adviser and Administrator Pacific Investment Management Company LLC 840 Newport Center Drive, Suite 300 Newport Beach, CA 92660 Custodian State Street Bank & Trust Company 801 Pennsylvania Kansas City, MO 64105 Transfer Agent National Financial Data Services 330 W. 9th Street, 4th Floor Kansas City, MO 64105 Counsel Dechert 1775 Eye Street, N.W. Washington, D.C. 20006-2401 Independent Accountants PricewaterhouseCoopers LLP One North Wacker Drive Chicago, IL 60606 [LOGO] PIMCO FUNDS PIMCO FUNDS DISTRIBUTORS LLC 840 NEWPORT CENTER DRIVE NEW PORTBEACH, CA 92660 The Portfolios issue shares only in private placement transactions in accordance with Regulation D or other applicable exemptions under the Securities Act of 1933, as amended (the "Securities Act"). The enclosed Semi-Annual Report is not an offer to sell, or a solicitation of any offer to buy, any security to the public within the meaning of the Securities Act. This report is submitted for the general information of the shareholders of the PIMCO Funds: Private Account Portfolio Series. It is not authorized for distribution to prospective investors unless accompanied or preceded by an effective offering memorandum for the PIMCO Funds: Private Account Portfolio Series, which contains information covering its investment policies as well as other pertinent information. September 30, 2001 Semi-Annual Report Pacific Investment Management Series European Convertible Fund Share Class A PIMCO ---------- FUNDS Table of Contents Fund Summary 2 Schedule of Investments 7 Fund Schedule of Fund Summary Investments European Convertible Fund 2 7 Financial Highlights 3 Statement of Assets and Liabilities 4 Statement of Operations 5 Statement of Changes in Net Assets 6 Notes to Financial Statements 8-11 PIMCO European Convertible Fund Performance & Statistics CUMULATIVE TOTAL RETURN For periods ended 9/30/01
1 year 3 years 5 years 10 years Inception* (11/30/00) PIMCO European Convertible Fund A Shares -- -- -- -- 0.67% - -------------------------------------------------------------------------------------------------------------------------------- PIMCO European Convertible Fund A Shares (adjusted) -- -- -- -- -3.85% - -------------------------------------------------------------------------------------------------------------------------------- UBS All European Convertible Index -- -- -- -- --
MATURITY PROFILE SECTOR BREAKDOWN QUALITY BREAKDOWN Less than 1 year 18% Convertible Bonds & Notes 77.4% AAA 17.0% - ----------------------------------- -------------------------------------------- ---------------------------------------- 1-5 years 21% Short-Term Instruments 18.1% AA 27.0% - ----------------------------------- -------------------------------------------- ---------------------------------------- 10-20 years 61% Other 4.5% A 30.5% - ----------------------------------- -------------------------------------------- ---------------------------------------- Duration 1.7 years BBB 25.5%
CHANGE IN VALUE For periods ended 9/30/01 [CHART] PIMCO European UBS All European MONTH Convertible A Convertible Index ==================================================== 11/30/2000 9,550 10,000 12/31/2000 9,585 10,584 01/31/2001 9,672 10,823 02/28/2001 9,547 10,211 03/31/2001 9,556 9,809 04/30/2001 9,681 10,124 05/31/2001 9,700 9,665 06/30/2001 9,657 9,522 07/31/2001 9,667 9,588 08/31/2001 9,657 9,739 09/30/2001 9,614 9,503 Fund Characteristics - ---------------------------------------- Objective: Maximum total return, consistent with Prudent investment management Portfolio: Primarily European convertible securities Fund Inception Date: 11/30/00 Total Net Assets: $5.0 million Portfolio Manager: Sandra K. Durn * Inception returns are cumulative since the fund is less than 1 year old. Past performance is no guarantee of future results. The Fund may invest up to 40% of its assets in high yield securities rated B or higher by Moody's or S&P or, if unrated, determined by PIMCO to be of comparable quality. PORTFOLIO INSIGHTS - -------------------------------------------------------------------------------- . The European Convertible Fund Class A shares returned 0.60% for the semi-annual period ended September 30, 2001, compared to -3.11% for the UBS All European Convertible Index. . The Fund's lower delta, or sensitivity to price movements in the underlying equities, enhanced relative performance as these equities underperformed over the past six months. . The Fund's relatively high average credit quality added to results as investment grade convertibles significantly outperformed speculative grade issues. . Underweighting telecom and technology issues was positive for returns as these companies suffered from weak profits amid reduced investment spending. . Health care holdings were positive for performance as individual issues such as Roche had absolute positive returns. . The use of a proprietary valuation model was instrumental in taking advantage of security pricing inefficiencies in the market. 2 PIMCO Funds Semi-Annual Report 9.30.01 PIMCO Financial Highlights Cass A Selected Per Share Data for the Period Ended:
European Convertible Fund ------------------------------------------- Class A Class A September 30, 2001* November 30, 2000 to March 31, 2001 Net Asset Value Beginning of Period $ 10.00 $ 10.00 - --------------------------------------------------- ------------------------------------------- Net Investment Income (a) 0.07 0.03 - --------------------------------------------------- ------------------------------------------- Net Realized and Unrealized Gain (Loss) (a) (0.04) (0.02) - --------------------------------------------------- ------------------------------------------- Total Income (Loss) from Investment Operations 0.03 0.01 - --------------------------------------------------- ------------------------------------------- Dividends from Net Investment Income (0.06) (0.04) - --------------------------------------------------- ------------------------------------------- Total Distributions (0.06) (0.04) - --------------------------------------------------- ------------------------------------------- Net Asset Value End of Period $ 9.97 $ 9.97 - --------------------------------------------------- ------------------------------------------- Total Return 0.60% 0.07% - --------------------------------------------------- ------------------------------------------- Net Assets End of Period (000s) $ 10 $ 10 - --------------------------------------------------- ------------------------------------------- Ratio of Expenses to Average Net Assets 1.15%+ 1.15%+ - --------------------------------------------------- ------------------------------------------- Ratio of Net Investment Income to Average Net Assets 1.45 0.87%+ - --------------------------------------------------- ------------------------------------------- Portfolio Turnover Rate 113% 175% - --------------------------------------------------- -------------------------------------------
* Unaudited + Annualized (a) Per share amounts based on average number of shares outstanding during the period. 9.30.01 PIMCO Funds Semi-Annual Report 3 PIMCO Statement of Assets and Liabilities Class A September 30, 2001 (Unaudited)
European Convertible Amounts in thousands, except per share amounts Fund Assets: Investments, at value $ 4,993 Cash and foreign currency 1 Receivable for investments sold and forward foreign currency contracts 13 Interest and dividends receivable 38 Other assets 0 - ---------------------------------------------------------------------------------------- $ 5,045 - ---------------------------------------------------------------------------------------- Liabilities: Accrued investment advisory fee $ 2 Accrued administration fee 1 Other liabilities 0 3 - ---------------------------------------------------------------------------------------- Net Assets $ 5,042 - ---------------------------------------------------------------------------------------- Net Assets Consist of: Paid in capital $ 5,059 Undistributed net investment income 101 Accumulated undistributed net realized gain 53 Net unrealized (depreciation) (171) - ---------------------------------------------------------------------------------------- $ 5,042 - ---------------------------------------------------------------------------------------- Net Assets: Class A $ 10 Other Classes 5,032 - ---------------------------------------------------------------------------------------- Shares issued and Outstanding: Class A 1 - ---------------------------------------------------------------------------------------- Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) Class A $ 9.97 Cost of Investments Owned $ 5,178 Cost of Foreign Currency Held $ 1 - ----------------------------------------------------------------------------------------
4 PIMCO Funds Semi-Annual Report 9.30.01 PIMCO Statement of Operations Class A For the six months ended September 30, 2001 (Unaudited) European Amounts in thousands Convertible Fund Investment Income: Interest $ 63 Dividends, net of foreign taxes 5 Miscellaneous income 0 Total Income 68 - ------------------------------------------------------------------------------- Expenses: Investment advisory fees 13 Administration fees 6 Distribution and/or servicing fees - Class A 0 Distribution and/or servicing fees - Other Classes 0 Trustees' fees 0 Interest expense 2 Miscellaneous expense 0 Total expenses 21 Net Investment Income 47 - ------------------------------------------------------------------------------- Net Realized and Unrealized Gain (Loss): Net realized gain on investments 35 Net realized gain on futures contracts and written options 0 Net realized gain on foreign currency transactions 18 Net change in unrealized appreciation on investments 23 Net change in unrealized appreciation (depreciation) on futures contracts and written options 0 Net change in unrealized (depreciation) on translation of assets and liabilities denominated in foreign currencies (87) Net(Loss) (11) Net Increase in Assets Resulting from Operations $ 36 - ------------------------------------------------------------------------------- 9.30.01 PIMCO Funds Semi-Annual Report 5 PIMCO Statement of Changes in Net Assets Class A
Amounts in thousands European Convertible Fund --------------------------------------- Six Months Ended Period from Increase (Decrease) in Net Assets from: September 30, 2001 November 30, 2000 to (Unaudited) March 31, 2001 Operations: Net investment income $ 47 $ 21 Net realized gain 53 93 Net change in unrealized (depreciation) (64) (107) Net increase resulting from operations 36 7 - --------------------------------------------------------------------------------------------- Distributions to Shareholders: From net investment income Class A 0 0 Other Classes (40) (20) In excess of net investment income Class A 0 0 Other Classes 0 0 From net realized capital gains Class A 0 0 Other Classes 0 0 In excess of net realized capital gains Class A 0 0 Other Classes 0 0 Total Distributions (40) (20) - --------------------------------------------------------------------------------------------- Fund Share Transactions: Receipts for shares sold Class A 0 10 Other Classes 0 4,990 Issued in reorganization Class A 0 0 Other Classes 0 0 Issued as reinvestment of distributions Class A 0 0 Other Classes 39 20 Cost of shares redeemed Class A 0 0 Other Classes 0 0 Net increase resulting from Fund share transactions 39 5,020 Total Increase in Net Assets 35 5,007 - --------------------------------------------------------------------------------------------- Net Assets: Beginning of period 5,007 0 End of period * $ 5,042 $ 5,007 - --------------------------------------------------------------------------------------------- * Including net undistributed investment income of: $ 101 $ 94
6 PIMCO Funds Semi-Annual Report 9.30.01 Schedule of Investments European Convertible Fund September 30, 2001 (Unaudited) Principal Amount Value (000s) (000s) CONVERTIBLE BONDS & NOTES (b)(c) 76.7% Banking & Finance 32.4% Axa 2.500% due 01/01/2014 EC 165 $ 135 CIBA Specialty Chemical Investments Ltd. 1.250% due 07/24/2003 $ 200 190 Fortis (NL) NV 1.500% due 07/29/2004 EC 200 188 Swiss life Finance Ltd. 2.000% due 05/20/2003 $ 200 208 0.750% due 05/20/2005 SF 250 150 2.000% due 05/20/2005 $ 200 206 Swiss Re America 2.250% due 06/10/2004 150 149 Verizon Global Funding 5.750% due 04/01/2003 200 205 4.250% due 09/15/2005 200 202 --------- 1,633 ========= Consumer Discretionary 3.0% Koninklijke Ahold NV 4.000% due 05/19/2005 EC 150 150 --------- Health Care 5.8% Roche Holdings Inc. 0.000% due 04/20/2010 $ 200 116 0.000% due 01/19/2015 250 177 --------- 293 ========= Industrial 32.2% Finmeccanica SpA 2.000% due 06/08/2005 EC 200 180 France Telecom 4.125% due 11/29/2004 250 215 Hutchison Whampoa International 2.875% due 09/15/2003 $ 200 193 Nestle Australia Ltd. 1.250% due 04/27/2005 200 203 Siemens Nederland NV 1.000% due 08/10/2005 EC 200 164 Sol Media Europe BV 1.000% due 09/15/2004 100 89 Tecnost International NV 1.000% due 11/03/2005 200 172 Usinor 3.875% due 01/01/2005 248 216 Vivendi Universal 1.250% due 01/01/2004 226 194 --------- Technology 3.3% 1,626 ========= STMicroelectronics NV 0.000% due 11/16/2010 $ 250 165 --------- Total Convertible Bonds & Notes 3,867 (Cost $4,002) ========= COMMON STOCKS 4.3% Shares Communications 2.6% Vodafone Group PLC SP - ADR 6,032 132 --------- Health Care 1.7% Elan Corp. PLC SP - ADR 1,815 88 --------- Total Common Stocks 220 (Cost $270) ========= Principal Amount Value (000s) (000s) SHORT-TERM INSTRUMENTS 18.0% Commercial Paper 13.9% Fannie Mae 3.150% due 10/01/2001 $ 600 $ 600 Swedbank, Inc. 3.570% due 11/20/2001 100 99 --------- 699 ========= Repurchase Agreement 4.1% State Street Bank 2.600% due 10/01/2001 207 207 Dated 09/28/2001. Collateralized by Federal Home Loan Bank 4.750% due 06/04/2003 valued at $214. Repurchase proceeds are $207.) --------- Total Short-Term Instruments 906 (Cost $906) ========= Total Investments (a) 99.0% $ 4,993 (Cost $5,178) Other Assets and Liabilities (Net) 1.0% 49 --------- Net Assets 100.0% $ 5,042 ========= Notes to Schedule of Investments (amounts in thousands): (a) At September 30, 2001, the net unrealized appreciation (depreciation) of investments based on cost for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost. $ 31 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value. (216) --------- Unrealized depreciation-net $ (185) ========= (b) Foreign forward currency contracts outstanding at September 30, 2001: Principal Amount Covered by Settlement Unrealized Type Currency Contract Month Appreciation - --------------------------------------------------------------------------- Sell EC 1,967 10/2001 $ 11 Sell SF 242 11/2001 1 ----------- 12 =========== (c) Principal amount denoted in indicated currency: EC - Euro SF - Swiss Franc 9.30.01 PIMCO Funds Semi-Annual Report 7 PIMCO Notes to Financial Statements Class A September 30, 2001 (Unaudited) 1. Organization PIMCO Funds: Pacific Investment Management Series (the "Trust") was established as a Massachusetts business trust on February 19, 1987. The Trust is registered under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end investment management company. The Trust currently consists of 45 separate investment funds (the "Funds"). The Trust may offer up to six classes of shares: Institutional, Administrative, A, B, C and D. Each share class has identical voting rights (except that shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares). Information presented in these financial statements pertains to the A Class of the European Convertible Fund (the "Fund"). Certain detailed financial information for the Institutional, Administrative, Retail, and D Classes (the "Other Classes") is provided separately and is available upon request. 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. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Security Valuation. Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Market value is determined at the close of regular trading (normally, 4:00 p.m., Eastern Time) on the New York Stock Exchange on each day the New York Stock Exchange is open, or if no sales are reported, as is the case for most securities traded over-the-counter, the mean between representative bid and asked quotations obtained from a quotation reporting system or from established market makers. Fixed income securities, including those to be purchased under firm commitment agreements, are normally valued on the basis of quotes obtained from brokers and dealers or pricing services. Short-term investments which mature in 60 days or less are valued at amortized cost, which approximates market value. Certain fixed income securities for which daily market quotations are not readily available may be valued, pursuant to guidelines established by the Board of Trustees, with reference to fixed income securities whose prices are more readily obtainable. Securities Transactions and Investment Income. Securities transactions are recorded as of the trade date. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis. Effective April 1, 2001, the Funds changed accounting methods relating to the amortization of premiums and discounts by adopting the interest method. The cumulative effect and differences in the current year's income as a result of the change was immaterial to the Fund. Dividends and Distributions to Shareholders. Dividends from net investment income, if any, of the Fund, are declared and distributed to shareholders quarterly. Net realized capital gains earned by the Fund, if any, will be distributed no less frequently than once each year. Income dividends and capital gain distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for such items as wash sales, foreign currency transactions, net operating losses and capital loss carryforwards. Distributions reflected as a tax basis return of capital in the accompanying Statements of Changes in Net Assets have been reclassified to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed net realized gains or losses and paid in capital to more appropriately conform financial accounting to tax characterizations of dividends and distributions. Foreign Currency. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Fluctuations in the value of these assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses). Realized gains (losses) and unrealized appreciation (depreciation) on investment securities and income and expenses are translated on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments in securities are not segregated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities. 8 PIMCO Funds Semi-Annual Report 9.30.01 Multiclass Operations. Each class offered by the Trust has equal rights as to assets and voting privileges. Income and non-class specific expenses of the Fund are allocated daily to each class of shares based on the relative net assets of each class. Realized and unrealized capital gains and losses of the Fund are allocated daily to each class of shares based on the relative net assets of each class. Federal Income Taxes. The Fund intends to qualify as a regulated investment company 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. Forward Currency Transactions. The Fund is authorized to enter into forward foreign exchange contracts for the purpose of hedging against foreign exchange risk arising from the Fund's investment or anticipated investment in securities denominated in foreign currencies. The Fund also may enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. All commitments are marked to market daily at the applicable translation rates and any resulting unrealized gains or losses are recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Delayed Delivery Transactions. The Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. Forward sales commitments are accounted for by the Fund in the same manner as forward currency contracts discussed above. Repurchase Agreements. The Fund may engage in repurchase transactions. Under the terms of a typical repurchase agreement, the Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The market value of the collateral must be equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. 3. Fees, Expenses, and Related Party Transactions Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a wholly-owned subsidiary partnership of PIMCO Advisors L.P. and serves as investment adviser (the "Adviser") to the Trust, pursuant to an investment advisory contract. The Adviser receives a monthly fee from each Fund at an annual rate based on average daily net assets of the Fund. The Advisory Fee is charged at an annual rate of 0.50% for the Fund. Administration Fee. PIMCO serves as administrator (the "Administrator"), and provides administrative services to the Trust for which it receives from each Fund a monthly administrative fee based on each share class' average daily net assets. The Administration Fee for Class A is charged at the annual rate of 0.40% for the Fund. 9.30.01 PIMCO Funds Semi-Annual Report 9 PIMCO Notes to Financial Statements Class A (Cont.) September 30, 2001 (Unaudited) Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), a wholly-owned subsidiary of PIMCO Advisors L.P., serves as the distributor of the Trust's shares. The Trust is permitted to reimburse, out of the Administrative Class assets of each Fund offering Administrative Class shares in an amount up to 0.25% on an annual basis of the average daily net assets of that class, financial intermediaries that provide services in connection with the distribution of shares or administration of plans or programs that use Fund shares as their funding medium. The effective rate paid to PFD was 0.25% during the current fiscal year. Pursuant to the Distribution and Servicing Plans adopted by the Retail and D Classes of the Trust, the Trust compensates PFD or an affiliate with respect to Class D for services provided and expenses incurred in connection with assistance rendered in the sale of shares and services rendered to shareholders and for maintenance of shareholder accounts of the Retail and D Classes. The Trust paid PFD distribution and servicing fees at an effective rate as set forth below (calculated as a percentage of each Fund's average daily net assets attributable to each class): Distribution Fee Servicing Fee (%) (%) - -------------------------------------------------------------------------------- Class A All Funds -- 0.25 Expenses. The Trust is responsible for the following expenses: (i) salaries and other compensation of any of the Trust's executive officers and employees who are not officers, directors, stockholders or employees of PIMCO or its subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage fees and commissions and other portfolio transaction expenses; (iv) the costs of borrowing money, including interest 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 expenses, including costs of litigation and indemnification expenses; (vii) organization expense and (viii) any expenses allocated or allocable to a specific class of shares, which indude service fees payable with respect to the Administrative Class shares and may include certain other expenses as permitted by the Trust's Multiple Class Plan adopted pursuant to Rule 1 8f-3 under the Act and subject to review and approval by the Trustees. The ratio of expenses to average net assets per share class, as disclosed in Financial Highlights, may differ from the annual fund operating expenses per share class as disclosed in the Prospectus for the reasons set forth above. PIMCO has agreed to waive a portion of the Fund's administrative fees to the extent that the payment of the Fund's pro rata share of Trustee fees and organizational expenses cause the actual expense ratio to rise above the rates disclosed in the current prospectus plus 0.49% basis points as set forth below (calculated as a percentage of the Fund's average daily net assets attributable to each class): Inst'l Admin. Class Class Class A Class B Class c class D - -------------------------------------------------------------------------------- European Convertible Fund 0.75% 1.00% 1.15% - - 1.05% PIMCO may be reimbursed for these waived amounts in future periods. Each unaffiliated Trustee receives an annual retainer of $60,000, plus $3,000 for each Board of Trustees meeting attended in person and $500 for each meeting attended telephonically, plus reimbursement of related expenses. In addition, each committee chair receives an annual retainer of $1,500. These expenses are allocated to the Funds of the Trust according to their respective net assets. 10 PIMCO Funds Semi-Annual Report 9.30.01 4. Purchases and Sales of Securities Purchases and sales of securities (excluding short-term investments) for the period ended September 30, 2001 were as follows (amounts in thousands): U.S. Gov't/Agency All Other ------------------------------------------- Purchases Sales Purchases Sales - -------------------------------------------------------------------------------- European Convertible Fund $ 0 $ 0 $ 4,988 $ 4,481 5. Shares of Beneficial Interest The Trust may issue an unlimited number of shares of beneficial interest with a $.0001 par value. Changes in shares of beneficial interest were as follows (amounts in thousands):
European Convertible Fund ---------------------------------------------------- Period Ended Period from 11/30/2000 09/30/2001 to 03/31/2001 Shares Amount Shares Amount ---------------------------------------------------- Receipts for shares sold Class A 0 $ 0 1 $ 10 - ------------------------------------------------------------- ---------------------------------------------------- Other Classes 0 0 499 4,990 - ------------------------------------------------------------- ---------------------------------------------------- Shares issued in reorganization Class A 0 0 0 0 - ------------------------------------------------------------- ---------------------------------------------------- Other Classes 0 0 0 0 - ------------------------------------------------------------- ---------------------------------------------------- Issued as reinvestment of distributions Class A 0 0 0 0 - ------------------------------------------------------------- ---------------------------------------------------- Other Classes 4 39 2 20 - ------------------------------------------------------------- ---------------------------------------------------- Cost of shares redeemed Class A 0 0 0 0 - ------------------------------------------------------------- ---------------------------------------------------- Other Classes 0 0 0 0 - ------------------------------------------------------------- ---------------------------------------------------- Net increase resulting from Fund share transactions 4 $ 39 502 $ 5,020 ============================================================= ====================================================
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