<PAGE>
[LOGO OF PIMCO APPEARS HERE]
TOTAL RETURN . LOW DURATION
. SHORT-TERM . FOREIGN BOND .
LONG-TERM U.S. GOVERNMENT
. STRATEGIC BALANCED . StocksPLUS .
MODERATE DURATION . GLOBAL BOND
. HIGH YIELD . REAL RETURN BOND
PIMCO Funds
Annual Report . March 31, 1997
<PAGE>
<TABLE>
<S> <C>
CONTENTS
Chairman's Message 1
An Excerpt from Bill Gross' New Book 2
Investment Performance
Total Return Fund 8
Total Return Fund II 9
Total Return Fund III 10
Low Duration Fund 11
Low Duration Fund II 12
Short-Term Fund 13
Long-Term U.S. Government Fund 14
Foreign Bond Fund 15
Global Bond Fund 16
High Yield Fund 17
Money Market Fund 18
StocksPLUS Fund 19
Strategic Balanced Fund 20
Real Return Bond Fund 21
Low Duration Fund III 21
Moderate Duration Fund 21
Statement of Assets and Liabilities 22
Statement of Operations 24
Statement of Changes in Net Assets 26
Financial Highlights 30
Statement of Cash Flows 38
Schedules of Investments
Total Return Fund 39
Total Return Fund II 51
Total Return Fund III 53
Moderate Duration Fund 55
Low Duration Fund 56
Low Duration Fund II 62
Low Duration Fund III 64
Short-Term Fund 65
Long-Term U.S. Government Fund 67
Real Return Bond Fund 68
Foreign Bond Fund 69
Global Bond Fund 72
High Yield Fund 75
Money Market Fund 78
StocksPLUS Fund 79
Strategic Balanced Fund 82
Notes to Financial Statements 84
Report of Independent Accountants 93
</TABLE>
<PAGE>
Chairman's Message
Dear PIMCO Funds Shareholder:
We are pleased to report that the PIMCO Funds had positive results overall
during the fiscal year ended March 31, 1997, as compared to their respective
benchmark indexes. The Table of Contents on the opposite page shows where you
will find details of your fund's performance.
On May 11, the PIMCO Funds completed ten years of growth. Today, we are among
the nation's largest fund families with more than $26 billion in assets. We now
offer 20 primarily fixed income funds managed by Pacific Investment Management
Company and 17 equity funds managed by five affiliates through our Multi-Manager
Series. Shareholders may receive additional information about any of these
funds or exchange investments among funds by calling us at 800-927-4648.
During the fiscal year, we added four new fixed income funds and a balanced
fund:
. Real Return Bond Fund - The nation's first inflation-indexed bond fund,
introduced in January 1997;
. Global Bond Fund II - A hedged version of our Global Bond Fund;
. Strategic Balanced Fund - A single, balanced portfolio offering
opportunities to invest in our Total Return and StocksPLUS strategies;
. Low Duration Fund III - Provides low duration investments with limits on
socially sensitive issues;
. Moderate Duration Fund - Maintains an average portfolio duration between
that of our Low Duration Funds and our Total Return Funds.
Our flagship Total Return Fund recently surpassed $13 billion in assets under
management, making it the nation's largest fixed-income fund. The fund's
portfolio manager, William H. Gross, was inducted into the Hall of Fame of the
Fixed Income Analysts Society last December.
Bill's just-published book, titled "Everything You've Heard About Investing Is
Wrong! - How to Win the Battle for Investment Profits in Tomorrow's Post-Bull
Markets," is the result of encouragement from many of our clients. We are
pleased to provide the first chapter on the following pages with some of his
insights on "Investing In the Coming Era of 6 Percent."
Thank you for your continued investment in the PIMCO Funds. We value your
confidence and look forward to continuing to serve you as a shareholder.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
May 15, 1997
1997 Annual Report/1
<PAGE>
From Bill Gross' new book,
Everything You've Heard About Investing Is Wrong!
For several years, many of our clients have encouraged PIMCO Funds portfolio
manager Bill Gross to write a book offering his insights on investing. It has
just been published and we are pleased to offer the first chapter here.
Investing In the Coming Era of 6 Percent
I've never lived near a river. The closest I ever got, I suppose, was Butler
Creek in the backwoods of Middletown, Ohio, when I was a boy. It was gentle and
kind, and its surprises came in the form of crawdads and salamanders and all
sorts of fun things that little boys dream pleasant dreams of. There were no
nightmares on the banks of Butler Creek-no floods, no levees, no sandbags, no
shattered lives, and no presidents offering condolences. It was not the
Mississippi of 1993. My summers were filled with running to, not from, the
water. There were fish to catch in the deep eddy underneath the exposed roots of
what had to be the county's biggest, oldest oak tree. There were BB guns to
shoot at my brother, many make-believe bad guys lurking in the underbrush, lots
of turtles to find, an abandoned shack that quickly became a fort, and buckeyes
to pick. I've never lived near a river.
Now I live by the ocean. Friends joke that the next tsunami will sweep my house
away like the Mississippi rolling through Saint Louis, but I know better. It's
fifty yards from the Pacific and as untouchable as the homes of all my neighbors
sequestered behind the gates of Irvine Cove. My children surf, make sand
castles, look for crabs, and do all the other fun things that kids dream
pleasant dreams of. There are trees to climb, parks to play in, a bike to ride
for my little guy, Nick, and nice cars to drive for Jeff and Jennifer, my
twenty-somethings. They've never lived near a raging river.
Will they ever? I don't know. As a parent with fifty-two years of life
experience, I sometimes think the ideal would be for them to experience a few
mild floods before they're thirty-five or forty so that they'll know how nice a
gentle creek is during the second half of their lives. That's hard to arrange,
though. You don't intentionally throw your kids into a raging torrent. Kicking
them out of the house at twenty-one is one thing, but when they're hurting and
you can help, it's oh so hard to say no, even when you realize that in the long
run, a "no" would be the better response. But even if you try, life can't be
engineered so smoothly. It's full of hard knocks and heartaches, even for kids
who live in Irvine Cove, and no matter how many sandbags you have, you sometimes
just can't build the levee high enough.
Surfing the Mississippi
Investment managers have lived in their own privileged world for the past
fifteen years or so, when all you really had to do was "own the market" in order
to look good. Being a superstar investor might have been as easy as being fully
invested, packing your suitcase, and enjoying an extended vacation on the French
Riviera. Usually, life (and managing money) is just not that easy. When the
flood comes or the tide changes, you'd better be prepared. It's important to be
an investor for all seasons.
[PHOTO OF FRONT BOOK COVER APPEARS HERE]
Excerpted from "Everything You've Heard About Investing Is Wrong!" By William H.
Gross, published by Times Books/Random House. Used by permission. Copyright (C)
1997 by William H. Gross. The economic, interest rate and market return
forecasts contained in the excerpt are the opinions of William H. Gross. There
can be no assurance that the forecasts and opinions will be proven accurate by
future events.
2/PIMCO Funds
<PAGE>
Not many of us are. Professional investors, just like kids, may need a few hard
knocks to focus their attention and to prove to themselves and their public that
it's not just a bull market that's responsible for their success. Those knocks
typically come in the form of bear markets that test how adaptable investors
really are. If a manager's portfolio doesn't change, if his philosophy is simply
to stay 100 percent invested and let the market bail him out at some future
date, it's difficult to believe he ever had much expertise to offer in the first
place. An index fund, which merely tracks the market while charging much lower
management fees, would be much more profitable for its clients in the long run.
No, an investor for all seasons needs the ability to recognize changing
circumstances-not necessarily to change his or her philosophy but to adapt that
philosophy to changing times. If you're a bottoms-up stock picker, fine. But you
need to adjust your stock holdings consistently with your view of economic
conditions several years forward. If you're a corporate bond manager, fine. But
make sure you know when corporates do well and when they don't, and modify your
holdings accordingly.
Which brings me back to Butler Creek. The opening paragraphs of this chapter
contrasted the stream near my old backwoods home with the mighty Mississippi of
1993, which ravaged much of the Midwest. One was calm and placid, the other a
raging torrent. In a way, they represent two significantly different types of
investment markets.
For fifteen years now, we've experienced the turbulence of one of the strongest,
most dynamic bull markets stock investors have ever known. From its level of 800
in 1981, the Dow Jones Index of industrial stocks has multiplied over 8 times,
and other major indices have done as well or better. There've been a few
waterfalls along the way, of course-October 1987 the largest-but for the
overwhelming preponderance of the time, stocks have done nothing but go up.
Since September 1981, bonds have followed a similar pattern. Bond investors will
remember 1994's bear market for a while, but it was really only a temporary
reaction to a long-term fundamental trend that saw the interest on long-term
Treasuries peak at 15 1/4 percent in 1981 and go as low as 5 3/4 percent in late
1993. That long-term trend produced an 80 percent appreciation in long-term bond
prices, while the '94 bear market took back just 25 percent of those gains.
Despite that setback, total returns for long Treasuries have come close to
matching that of the stock market over the same period.
If a market can be compared to a river, then the past two decades, in both bonds
and stocks, have certainly resembled the Mississippi of 1993-not in destructive
force but in power, breadth, and certainly length. Both bull markets have been
among the largest and most profitable in history. Because of that, most
investors and money managers expect much the same in future years: double-digit
returns and markets that are unidirectional on the upside. It's just not going
to happen. What we're going
1997 Annual Report/3
<PAGE>
to see instead are markets that more closely resemble my old backwoods haunt of
Butler Creek: calm and placid, with little turmoil and, in financial market
terms, relatively low total rates of return. To get specific, stocks should
return 8 percent and bonds 6 percent over the next three to four years, compared
to 15 percent-plus annualized total returns for both since the early 1980s.
Very few money managers and investors active today have experienced the
environment we are about to live through. They have navigated one river only,
and they are ill prepared for the clear water we are about to experience. We
are, in my opinion, headed downstream toward a shallow creek, not a torrential
river. We've shot the rapids, gone over the waterfall of plunging interest rates
and roaring stock prices, and are now about to navigate a far more calm and
placid stream than any we've experienced since the late 1950s. We are going back
to Butler Creek.
Why the Salad Days Are Over
It is not hard to understand why. As Einstein might have said, the mathematics
are quite compelling. In the bond market, for instance, returns over long time
periods are significantly influenced by the yields available when the starting
gun goes off. If you begin with 15 percent yields, as we did in 1981, the
likelihood of 15 percent total return over the next five to ten years is fairly
high. There are no guarantees, of course, because bond market total returns
depend on future yields. They are influenced not only by the reinvestment of
interest payments every six months forward but by the future price of the bond
as well. Still, the starting point is highly influential. Those 15 percent
yields in 1981 eventually led to almost 15 percent total returns ten years
later, as seen in the following graph. This graph displays average total bond
returns for ten-year periods beginning in 1970. Lo and behold, by 1991, ten
years after long-term Treasuries peaked at a yield of 15 percent-plus in 1981,
the total return for the decade came close to the period's original yield.
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
Average Annual Total Return of U.S. Bonds (Ten-Year Periods)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
January-70 1.45%
January-71 1.29
January-72 2.46
January-73 2.35
January-74 2.11
January-75 2.19
January-76 3.02
January-77 4.26
January-78 5.20
January-79 5.10
January-80 5.52
January-81 3.90
January-82 2.81
January-83 5.77
January-84 5.96
January-85 7.03
January-86 9.00
January-87 9.69
January-88 9.47
January-89 10.61
January-90 12.60
January-91 13.77
January-92 15.52
January-93 12.54
January-94 14.28
January-95 11.76
- --------------------------------------------------------------------------------
</TABLE>
Source: Bridgewater Associates.
4/PIMCO Funds
<PAGE>
Today's Treasury yields of 5 and 6 percent, then, give you a pretty good idea
what your return might look like as you jump ahead on the calendar, even over a
shorter time frame such as between 1997 and the end of the twentieth century. A
five-year Treasury note, to get specific, at a yield of 6 percent in 1996,
should return close to 6 percent when it matures in 2001. The longer-maturity
notes and bonds are a little more problematic, because in 2001 they'll still
have quite a few years left before they come due, and the yield at that time
will affect their current price. Even so, the changes in interest rates in the
interim would have to be fairly dramatic to push the figure substantially above
or below the starting yield.
A similar analysis of potential stock returns can be done by calculating the
market's dividend yield in combination with estimated earnings growth. With a
beginning dividend yield of close to 2 percent, one has only to estimate the
future path of earnings to come up with a rough approximation of total returns.
Of course that's not a simple task, but over the last seventy years, the growth
rate in earnings for the Standard & Poor's 500 has been 6.1 percent, as shown in
the graph below. Adding the two produces a total return of just over 8 percent.
With price/earnings (P/E) ratios slightly above historical norms, it takes only
a minor downward adjustment to get to my 8 percent forecast for stocks through
the end of the twentieth century.
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
U.S. Corporate Earnings Growth
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Trend Growth Rate: 6.1%
U.S. S&P 500 Earnings
Per Share in () Growth Trend
--------------------- ------------
<S> <C> <C>
01/30/26 0.15 (0.62)
01/31/27 (0.17) (0.57)
01/31/28 (0.01) (0.51)
01/31/29 0.62 (0.46)
01/31/30 0.32 (0.40)
01/31/31 0.18 (0.35)
01/31/32 (0.71) (0.29)
01/31/33 (1.17) (0.23)
01/31/34 (0.61) (0.18)
01/31/35 (0.23) (0.12)
01/31/36 (0.21) (0.07)
01/31/37 0.23 (0.01)
01/31/38 (0.31) 0.04
01/31/39 (0.07) 0.10
01/31/40 0.17 0.15
01/31/41 0.28 0.21
01/31/42 0.15 0.27
01/31/43 (0.07) 0.32
01/31/44 (0.09) 0.38
01/31/45 (0.05) 0.43
01/31/46 (0.08) 0.49
01/31/47 0.27 0.54
01/31/48 0.51 0.60
01/31/49 0.86 0.65
01/31/50 0.87 0.71
01/31/51 1.06 0.77
01/31/52 0.87 0.82
01/31/53 0.90 0.88
01/31/54 0.96 0.93
01/31/55 1.11 0.99
01/31/56 1.30 1.04
01/31/57 1.21 1.10
01/31/58 1.16 1.16
01/31/59 1.13 1.21
01/31/60 1.18 1.27
01/31/61 1.16 1.32
01/31/62 1.21 1.38
01/31/63 1.33 1.43
01/31/64 1.44 1.49
01/31/65 1.56 1.54
01/31/66 1.65 1.60
01/31/67 1.74 1.66
01/31/68 1.67 1.71
01/31/69 1.78 1.77
01/31/70 1.74 1.82
01/31/71 1.70 1.88
01/31/72 1.70 1.93
01/31/73 1.80 1.99
01/31/74 2.04 2.04
01/31/75 2.27 2.10
01/31/76 2.07 2.16
01/31/77 2.23 2.21
01/31/78 2.35 2.27
01/31/79 2.46 2.32
01/31/80 2.70 2.38
01/31/81 2.66 2.43
01/31/82 2.76 2.49
01/31/83 2.62 2.55
01/31/84 2.39 2.60
01/31/85 2.85 2.66
01/31/86 2.75 2.71
01/31/87 2.73 2.77
01/31/88 2.80 2.82
01/31/89 3.17 2.88
01/31/90 3.13 2.93
01/31/91 3.08 2.99
01/31/92 2.88 3.05
01/31/93 2.89 3.10
01/31/94 3.02 3.16
01/31/95 3.37 3.21
- --------------------------------------------------------------------------------
</TABLE>
Source: Bridgewater Associates.
1997 Annual Report/5
<PAGE>
But the argument for Butler Creek does not rest on a mathematical foundation
alone. More critical to my argument is the economic setting. In order to
envision returns for bonds of around 6 percent and for stocks in the vicinity of
8 percent, what is really needed is a substantially different economy than the
one that produced our roller-coaster markets over the past fifteen to twenty
years. The economy of the 1970s was characterized by easy money and accelerating
inflation, that of the 1980s by tight money and disinflation. The dramatic
transition from one to the other shot yields up to 15 1/4 percent for long
Treasuries in 1981 and then down to 5 3/4 percent in 1993. The fact is, over
many three or four-year stretches, a bond investor could have received negative
total returns or as much as 18 percent annually, depending on whether inflation
was moving higher or lower. Stocks displayed the same volatility and then some.
The markets of the future will be different because the economy has changed.
Nominal economic growth (real growth plus inflation) should average a placid 4
to 5 percent through the balance of the century and inflation should move around
a 2 percent guidepost. That is really the key to Butler Creek: 5 percent nominal
GDP growth and 2 percent inflation. Sure, we'll have a mild recession and a
decent cyclical recovery between now and the year 2000, but not much more, and
there'll be no sustained upward pressure on inflation to cause investors to flee
bonds or stocks, for that matter. The following long-term trends promise to hold
inflation down:
1. Current high levels of debt that inhibit consumption
2. Capital market "vigilantes" who enforce monetary and fiscal discipline
3. An evolving demographic influence that fosters saving and spells an
end to the "shop-till-you-drop" attitudes of U.S. consumers
4. A global trading environment that promotes low wage growth
Never before have these four dominant long-term trends been in such distinct
alignment, and never before has that formation so adamantly argued for mild
economic growth with no inflationary pressures. Thus, there is little reason to
expect much change in interest rate levels. Inflation is the primary factor in
determining interest rates, and if that doesn't change much in the next three to
five years, total returns from bonds (interest and price movement) and total
returns from stocks (dividends and price movement) will be muted as well.
Perhaps the most important thing investors must recognize is that our recent
fifteen-year bull market in bonds and stocks has been due to declining
inflation-what economists label disinflation. Almost every five years since
1981, there has been a discernible downward shift in inflation. Most of it, as
the following graph depicts, occurred early in the 1980s, but there was a drop
between 1984 and 1989 and another decline between 1990 and the present.
6/PIMCO Funds
<PAGE>
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
U.S. Inflation, 1960-1995
- --------------------------------------------------------------------------------
<S> <C>
1960 1.38%
1961 1.36
1962 0.67
1963 1.33
1964 1.31
1965 1.29
1966 1.92
1967 3.13
1968 3.65
1969 4.69
1970 6.16
1971 5.28
1972 3.26
1973 3.64
1974 9.60
1975 11.75
1976 6.69
1977 5.20
1978 6.81
1979 9.25
1980 13.90
1981 11.79
1982 8.26
1983 3.71
1984 4.29
1985 3.53
1986 3.98
1987 1.46
1988 4.05
1989 4.60
1990 5.20
1991 5.60
1992 2.70
1993 3.20
1994 2.51
1995 2.87
- --------------------------------------------------------------------------------
</TABLE>
Source: The Bank Credit Analyst, February 1996.
This movement generated and perpetuated the bull market in bonds and stocks
because financial assets benefit more from the transition to lower inflation
than from the actual lower inflation itself. Because of the declining trend of
inflation, bond prices accelerated, P/E ratios expanded, and corporate earnings
moved up smartly. These are the ingredients, nay, the very definition, of bond
and stock bull markets, but when two of the three disappear, the bloom comes off
the bull market rose. When interest rates stop declining and bond prices no
longer go up, P/E ratios cannot continue to move ever skyward; and when P/E
ratios stabilize, stock returns are dependent on earnings growth, just as bond
returns are dependent on their current yield. The result is a 6 to 8 percent
world for bonds and stocks.
Sure in one year you may get 15 percent return, and the next you'll get close to
zero. On average, though, the returns are going to be nothing like you've been
accustomed to. You've been spoiled! You've just lived through one of the
greatest bull markets of all time, but the salad days are over. If you're
expecting to earn 20 percent a year to pay for a second home or finance your
kid's college education, forget it. Instead of going ballistic, you need to get
realistic, and that's what this book's all about.
So come on in, the water's fine; it's just not that deep. It's a warm fall day,
the corn's high in the fields, the livin' is still pretty easy. There are
crawdads and salamanders in the creek, vines to swing on, even some fish to
catch under the roots of the old oak tree. It's just not the Mississippi-that
raging torrent you may have gotten used to over the past several decades. This
is Butler Creek, the stream of 6 percent.
1997 Annual Report/7
<PAGE>
Investment Performance - Total Return Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(5/87)
----- ------- ------- ----------
<S> <C> <C> <C> <C>
Total Return
Inst'l Class (%) 6.60 7.29 8.28 9.62
- --------------------------------------------------------------------
Lehman
Aggregate (%) 4.91 6.86 7.19 8.72
- --------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
Since
1 Yr. 2 Yrs.* Inception*
(9/94)
----- ------ ----------
<S> <C> <C> <C>
Total Return
Admin. Class (%) 6.34 8.64 8.92
- ---------------------------------------------------------
Lehman
Aggregate (%) 4.91 7.81 8.47
- ---------------------------------------------------------
</TABLE>
* Annualized
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
TOTAL LEHMAN
MONTH RETURN AGGREGATE
FUND BOND
INDEX
======== =========== =============
<S> <C> <C>
05/31/87 $ 5,000,000 $ 5,000,000
03/31/88 5,377,483 5,413,367
03/31/89 5,697,790 5,692,677
03/31/90 6,344,778 6,395,092
03/31/91 7,216,808 7,220,852
03/31/92 8,292,135 8,043,852
03/31/93 9,560,206 9,112,893
03/31/94 9,995,399 9,329,070
03/31/95 10,417,456 9,794,534
03/31/96 11,578,391 10,850,915
03/31/97 12,342,925 11,383,893
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 6/1/87, the first
full month following the Fund's Institutional Class inception on 5/11/87,
compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index.
The performance of the Administrative Class (shown at left) 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 9/7/94. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. Past performance is
not an indication of future results.
. The Fund's fiscal year return of 6.60% led its benchmark index, the Lehman
Brothers Aggregate, by 1.69% as successful sector strategies more than offset
an adverse interest rate environment.
. A moderately above-index duration aided results in the second half of 1996,
but hindered performance in the first quarter of 1997.
. An overweighting of the mortgage sector boosted returns as both fixed and
adjustable-rate issues added incremental yield to the Fund and spreads
tightened as a result of declining prepayments.
. An allocation to upper-tier (BB and B rated) below investment-grade bonds,
which averaged about 7% of the Fund's assets, boosted returns due to higher
yields and spread tightening that resulted from strong corporate earnings and
continued strength in the economy.
. Although overall exposure to non-dollar bonds was reduced during the period,
currency-hedged positions in Canadian government bonds added to returns. In
other foreign markets, the Fund's small holdings of dollar-denominated Latin
American bonds significantly boosted performance as structural reforms and
increased investor confidence in the region caused prices to rally.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Mortgage-Backed Securities 52.8% AAA 76%
Corporate Bonds and Notes 15.7% AA 2%
Short-Term Instruments 13.7% A 4%
U.S. Treasury Obligations 7.0% BBB 11%
U.S. Government Agencies 1.1% BB 6%
Other 9.7% B 1%
</TABLE>
8/PIMCO Funds
<PAGE>
Investment Performance - Total Return Fund II
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(12/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return II
Inst'l Class (%) 6.15 7.32 8.15 7.49
- -------------------------------------------------------------
Lehman
Aggregate (%) 4.91 6.86 7.19 6.57
- -------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Since
1 Yr. 2 Yrs.* Inception*
(11/94)
- -------------------------------------------------------------
<S> <C> <C> <C>
Total Return II
Admin. Class (%) 5.88 8.07 9.42
- -------------------------------------------------------------
Lehman
Aggregate (%) 4.91 7.81 9.28
- -------------------------------------------------------------
</TABLE>
* Annualized
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LEHMAN
TOTAL AGGREGATE
RETURN BOND
MONTH FUND II INDEX
======== =========== ============
<S> <C> <C>
12/31/91 $ 5,000,000 $ 5,000,000
03/31/92 4,937,873 4,936,062
03/31/93 5,719,997 5,592,073
03/31/94 5,910,178 5,724,729
03/31/95 6,223,522 6,010,358
03/31/96 6,882,877 6,658,600
03/31/97 7,305,830 6,985,658
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 1/1/92, the first
full month following the Fund's Institutional Class inception on 12/30/91,
compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market index.
The performance of the Administrative Class (shown at left) 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 11/30/94. Past performance is not
an indication of future results.
. Fund performance of 6.15% for the fiscal year outpaced the Lehman Brothers
Aggregate Index as successful sector strategies more than offset an adverse
interest rate environment.
. A moderately above-index duration curtailed relative performance as
intermediate-term Treasury rates rose 57 to 66 basis points throughout this
period.
. The Fund's bias toward intermediate maturities had little impact as the yield
curve moved in a roughly parallel manner.
. An overweighting of the mortgage sector boosted returns as both fixed and
adjustable-rate issues added incremental yield to the Fund and spreads
tightened as a result of declining prepayments.
. A focus on BBB credits within the corporate sector benefited returns as those
issues again led higher-rated bonds due to higher yields and continued spread
tightening.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Mortgage-Backed AAA 84%
Securities 50.5%
A 3%
U.S. Treasury
Notes 19.4% BBB 11%
Corporate Bonds BB 2%
and Notes 13.7%
Short-Term
Instruments 9.3%
Other 7.1%
</TABLE>
1997 Annual Report/9
<PAGE>
Investment Performance - Total Return Fund III
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(5/91)
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return III
Inst'l Class (%) 6.76 7.22 8.31 9.11
- -------------------------------------------------------------
Lehman
Aggregate (%) 4.91 6.86 7.19 7.79
- -------------------------------------------------------------
</TABLE>
* Annualized
- ---------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- ---------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
TOTAL LEHMAN
MONTH RETURN AGGREGATE
FUND III BOND
INDEX
======== =========== ============
<S> <C> <C>
04/30/91 $ 5,000,000 $ 5,000,000
03/31/92 5,621,306 5,510,184
03/31/93 6,434,449 6,242,496
03/31/94 6,797,242 6,390,581
03/31/95 7,131,606 6,709,432
03/31/96 7,848,991 7,433,072
03/31/97 8,379,283 7,798,172
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 5/1/91, the Fund's
Institutional Class inception date, compared to the Lehman Brothers Aggregate
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. Past performance is not an
indication of future results.
. The Fund significantly outperformed its Lehman Brothers Aggregate benchmark
returning 6.76% versus 4.91% for the index. Despite an adverse interest rate
environment for much of the year, successful sector strategies led to strong
relative performance.
. A moderately above-index duration aided results in the second half of 1996,
but hindered performance in the first quarter of 1997.
. An overweighting of the mortgage sector boosted returns as both fixed and
adjustable-rate issues added incremental yield to the Fund and spreads
tightened as a result of declining prepayments.
. An allocation to upper-tier (BB and B rated) below investment-grade bonds,
which averaged about 6% of the Fund's assets, boosted returns as higher
yields, and spread tightening resulted from strong corporate earnings and
continued strength in the economy.
. Although overall exposure to non-dollar bonds was reduced during the period,
currency-hedged positions in Canadian government bonds added to returns. In
other foreign markets, the Fund's small holdings of dollar-denominated Latin
American bonds significantly boosted performance as structural reforms and
increased investor confidence in the region caused prices to rally.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Mortgage-Backed 48.2% AAA 80%
Securities
AA 3%
U.S. Treasury 21.8%
Notes A 2%
Corporate Bonds 11.8% BBB 9%
and Notes
Short-Term 6.1% BB 5%
Instruments
Other 12.1% B 1%
</TABLE>
10/PIMCO Funds
<PAGE>
Investment Performance - Low Duration Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(5/87)
----- ------- ------- ----------
<S> <C> <C> <C> <C>
Low Duration Inst'l Class (%) 6.97 6.54 6.81 8.26
- ----------------------------------------------------------------------
Merrill Lynch
1-3 Yr. Tsy. (%) 5.32 5.84 5.71 7.30
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
Since
1 Yr. 2 Yrs.* Inception*
(12/94)
----- ------- ----------
<S> <C> <C> <C>
Low Duration
Admin. Class (%) 6.71 7.76 8.07
- ----------------------------------------------------------------------
Merrill Lynch
1-3 Yr. Tsy. (%) 5.32 6.53 7.35
- ----------------------------------------------------------------------
</TABLE>
* Annualized
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
[LINE GRAPH APPEARS HERE]
MERRILL
LOW LYNCH
DURATION 1-3 YEAR TREASURY
MONTH FUND INDEX
========= ============ =================
<S> <C> <C>
05/31/87 $ 5,000,000 $ 5,000,000
03/31/88 5,380,986 5,378,053
03/31/89 5,730,286 5,635,162
03/31/90 6,381,164 6,228,694
03/31/91 7,057,271 6,923,107
03/31/92 7,854,905 7,577,109
03/31/93 8,633,491 8,219,527
03/31/94 9,027,600 8,434,789
03/31/95 9,352,866 8,811,585
03/31/96 10,206,317 9,494,623
03/31/97 10,918,161 9,999,821
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 6/1/87, the first
full month following the Fund's Institutional Class inception on 5/11/87,
compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown at left) 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 12/31/94. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. Past
performance is not an indication of future results.
. The Fund's above-index duration aided results in the last half of 1996, but
hindered performance in the first quarter of 1997. Despite this recent
setback, the Fund's fiscal year performance of 6.97% led its Merrill Lynch
benchmark by 1.65%.
. A broader-than-index maturity mix in place through the last three quarters of
1996 had little net impact on results, while moving to a modified barbell
structure aided returns in the first quarter of 1997.
. The yield advantage of the Fund's mortgage positions, both fixed and
adjustable-rate, allowed this sector to significantly outperform the all-
Treasury Merrill Lynch index.
. Lower tier investment-grade, and slightly below investment-grade corporate
holdings enhanced returns throughout the year via their higher yields and
price gains as yield spreads narrowed.
. The Fund's small, dollar-denominated holdings of Latin American bonds enjoyed
a year of superb returns as bond prices rallied on evidence of sound monetary
and fiscal policies in Mexico and Argentina and a return of investors to the
region in search of higher yields.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Mortgage-Backed Securities 51.5% AAA 71%
Short-Term Instruments 19.9% AA 2%
Corporate Bonds and Notes 18.1% A 4%
U.S. Government Agencies 1.7% BBB 16%
U.S. Treasury Obligations 1.3% BB 6%
Other 7.5% B 1%
</TABLE>
1997 Annual Report/11
<PAGE>
Investment Performance - Low Duration Fund II
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(11/91)
----- ------- ------- ----------
<S> <C> <C> <C> <C>
Low Duration II
Inst'l Class (%) 6.33 6.14 6.09 6.21
- ----------------------------------------------------------------------
Merrill Lynch
1-3 Yr. Tsy. (%) 5.32 5.84 5.71 5.78
- ----------------------------------------------------------------------
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
- ---------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- ---------------------------------------------------------
<TABLE>
<CAPTION>
MERRILL
LOW LYNCH
DURATION 1-3 YEAR TREASURY
MONTH FUND II INDEX
======== ============ =================
<S> <C> <C>
10/31/91 $ 5,000,000 $ 5,000,000
03/31/92 5,157,326 5,136,964
03/31/93 5,619,040 5,572,496
03/31/94 5,796,320 5,718,434
03/31/95 6,074,370 5,973,886
03/31/96 6,518,000 6,436,958
03/31/97 6,930,530 6,779,461
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 11/1/91, the Fund's
Institutional Class inception date, compared to the Merrill Lynch 1-3 Year
Treasury Index, an unmanaged market index. Past performance is not an indication
of future results.
. While the Fund's above-index duration detracted from relative performance in
early 1997, it boosted returns earlier in the fiscal year and contributed to
strong relative performance of 6.33% versus 5.32% for the Merrill Lynch Index.
. The broader-than-index maturity mix in place through the last three quarters
of 1996 had little net impact on results, while moving to a modified barbell
structure aided returns in the first quarter of 1997.
. Investment discretion was key to performance over the entire year, as
non-index sectors offered the greatest opportunities.
. The yield advantage of the Fund's significant allocation to mortgage-backed
issues, both fixed and adjustable-rate, benefited returns as this sector
outperformed the all-Treasury index.
- -----------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- -----------------------------------------------------------------------------
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Mortgage-Backed Securities 52.5%
Short-Term Instruments 32.0%
U.S. Treasury Notes 8.8%
Corporate Bonds and Notes 0.8%
Other 5.9%
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
AAA 96%
AA 2%
A 2%
</TABLE>
12/PIMCO Funds
<PAGE>
Investment Performance - Short-Term Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
Since
Inception*
1 Yr. 3 Yrs.* 5 yrs.* (10/87)
----- ------- ------- ----------
<S> <C> <C> <C> <C>
Short Term Inst'l Class (%) 7.12 6.68 5.52 6.55
- ----------------------------------------------------------------------------
Lipper Money Market Index (%) 4.76 4.81 4.05 5.55
- ----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
Since
Inception*
1 Yr. (2/96)
----- ----------
<S> <C> <C>
Short Term Admin. Class (%) 6.86 7.30
- ----------------------------------------------------------------------------
Lipper Money Market Index (%) 4.76 5.59
- ----------------------------------------------------------------------------
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHORT-TERM LIPPER
MONTH FUND MONEY-MARKET
INDEX
============ ============= ==============
<S> <C> <C>
10/31/87 $5,000,000 $5,000,000
03/31/88 5,144,560 5,138,509
03/31/89 5,571,029 5,539,060
03/31/90 6,064,842 6,022,072
03/31/91 6,576,473 6,483,125
03/31/92 6,948,634 6,818,190
03/31/93 7,222,352 7,031,879
03/31/94 7,486,772 7,221,944
03/31/95 7,820,739 7,540,914
03/31/96 8,484,975 7,937,772
03/31/97 9,089,081 8,315,673
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 11/1/87, the first
full month following the Fund's Institutional Class inception on 10/7/87,
compared to the Lipper Money Market Index, an index consisting of the 30 largest
equal weighted Money Market Funds. 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 at left) 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
2/1/96. The Fund may invest in foreign securities which involve potentially
higher risks including foreign currency fluctuations and political or economic
uncertainty. Past performance is not an indication of future results.
. The Fund posted strong performance, outpacing its benchmark, Lipper Money
Market Index, by 2.36% for the fiscal year in a challenging environment of
rising interest rates.
. The yield advantage from holding longer-duration securities added value
despite the increase in interest rates that saw the yield on one- and
two-year Treasury notes rise 62 and 67 basis points, respectively.
. Mortgage-backed securities boosted returns as both fixed and adjustable-rate
issues enjoyed narrowing yield spreads.
. Holdings of short-maturity, below-investment-grade corporate securities
outperformed their investment grade counterparts as yield spreads narrowed to
historical lows.
. Currency-hedged, non-U.S. dollar positions also added to returns due to well-
timed tactical positions in Europe, and the dollar-bloc countries throughout
the year. Small holdings of dollar-denominated Latin American bonds,
specifically Argentina and Mexico, benefited from yield spread tightening and
high initial yields.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Corporate Bonds and Notes 36.4% AAA 38%
Short-Term Instruments 31.5% AA 4%
Mortgage-Backed Securities 22.2% A 18%
U.S. Treasury Notes 2.3% BBB 29%
Other 7.6% BB 10%
B 1%
</TABLE>
1997 Annual Report/13
<PAGE>
Investment Performance - Long-Term U.S. Government Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------
Since
Inception*
1 Yr. 3 Yrs.* 5 yrs.* (7/91)
----- ------- ------- ----------
<S> <C> <C> <C> <C>
Long Term U.S. Gov't Inst'l Class (%) 4.48 8.17 10.22 11.51
- ----------------------------------------------------------------------------------
LB Int. & 20+ Tsy. (%) 2.77 7.00 8.49 9.34
- ----------------------------------------------------------------------------------
Lehman Aggregate (%) 4.91 6.86 7.19 7.93
- ----------------------------------------------------------------------------------
</TABLE>
* Annualized
- --------------------------------------------------------------------------------
Cummulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LONG-TERM LB INT. & LEHMAN
MONTH U.S. GOV'T 20+ YR. AGGREGATE
FUND TREASURY BOND
INDEX INDEX
============ ============ ============== ============
<S> <C> <C> <C>
06/30/91 $ 5,000,000 $ 5,000,000 $ 5,000,000
03/31/92 5,753,678 5,562,934 5,480,935
03/31/93 7,101,318 6,608,592 6,209,360
03/31/94 7,394,709 6,825,285 6,356,659
03/31/95 7,801,463 7,134,690 6,673,818
03/31/96 8,958,506 8,135,410 7,393,617
03/31/97 9,359,769 8,360,698 7,756,778
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 7/1/91, the Fund's
Institutional Class inception date, compared to the Lehman Brothers Aggregate
Bond Index, and a 10 year duration blend of the Lehman Brothers Intermediate and
20+Yr. Treasury Indices, each an unmanaged market index. Past performance is not
an indication of future results.
. The Fund delivered strong relative returns for the fiscal year, finishing up
4.48% compared to only 2.77% for its blended 10-year duration benchmark.
. Treasury yields ended the period higher as persistent fears of Fed tightening
were finally realized in March. Although yields increased on all maturities,
the 30-year Treasury yield increase of 0.42% was less than the nearly
parallel upward shift on one- to 10-year Treasuries.
. A moderately above-index duration, combined with a barbell maturity mix of
intermediate and long-term holdings, exerted a slight drag on relative
performance during a period of rising interest rates.
. An overweighting of the mortgage sector boosted returns as both fixed- and
adjustable-rate issues added incremental yield to the Fund and spreads
tightened as a result of declining prepayments.
. Long-term, discount mortgage-backed securities carrying below-market coupons
delivered favorable returns, as relative valuations increased demand for
these securities by institutional mortgage investors.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
Mortgage-Backed Securities 55.5% AAA 94%
U.S. Treasury Bonds 39.0% AA 6%
Short-Term Instruments 5.5%
</TABLE>
14/PIMCO Funds
<PAGE>
Investment Performance - Foreign Bond Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yrs.* Inception*
(12/92)
----- ------- ---------
<S> <C> <C> <C>
Foreign
Inst'l Class (%) 17.69 12.06 11.18
- ----------------------------------------------------
J. P. Morgan
Non-U.S. (%) 12.73 9.81 9.20
<CAPTION>
Since
Inception
(1/97)
---------
<S> <C>
Foreign
Admin. Class (%) (0.75)
- ----------------------------------------------------
J. P. Morgan
Non-U.S. (%) 0.11
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOREIGN J.P. MORGAN
MONTH BOND NON-U.S.
FUND INDEX
(HEDGED)
========== ============ ==============
<S> <C> <C>
12/31/92 $ 5,000,000 $ 5,000,000
03/31/93 5,171,807 5,139,908
03/31/94 5,574,498 5,488,718
03/31/95 5,471,621 5,648,728
03/31/96 6,664,336 6,446,357
03/31/97 7,843,570 7,266,702
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 1/1/93, the first
full month following the Fund's Institutional Class inception on 12/3/92,
compared to the J.P. Morgan Non-U.S. Government Bond Index (Hedged), an
unmanaged market index. The performance of the Administrative Class (shown at
left) 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 1/28/97.
Foreign investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. Past performance is not an
indication of future results.
. The last four quarters saw excellent Fund performance on both an absolute and
relative basis. The Fund returned 17.69%, outperforming its J.P. Morgan
benchmark by 4.96%.
. Country selection benefited returns due to overweighted positions in Europe
and the dollar bloc countries (Australia, Canada, New Zealand) and
underweighted exposure to Japan.
. Within Europe, the Fund began the year with an emphasis on countries such as
Denmark, Austria and Finland which maintained monetary policies similar to
Germany but offered additional yield. European focus later shifted to
countries with very steep yield curves such as the Netherlands and Sweden.
. Small exposures to developing country debt aided performance as both
Argentina and Mexico posted above 20% returns over the past year.
. The Fund's limited currency strategy was positive led by an underweighted
Japanese yen position versus Canadian and New Zealand dollars, which
benefited as the yen continued to fall against dollar bloc currencies.
. Interest rate strategies were positive for Fund performance as a longer-than
index duration added to absolute and relative returns, while relative value
strategies such as forward buying of bonds and the associated cash management
added value versus traditional bond purchases.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Japan 18.0%
Short-Term Instruments 15.1%
United States 8.3%
Sweden 8.1%
Canada 7.0%
United Kingdom 5.7%
Germany 5.7%
Italy 4.8%
Australia 4.8%
Netherlands 3.7%
Mexico 3.2%
Other 15.6%
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
AAA 74%
AA 17%
BBB 4%
BB 5%
</TABLE>
1997 Annual Report/15
<PAGE>
Investment Performance - Global Bond Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ----------------------------------------------------
Since
1 Yr. 3 Yrs.* Inception*
(11/93)
----- ------- ---------
<S> <C> <C> <C>
Global
Inst'l Class (%) 6.78 9.70 8.57
- ----------------------------------------------------
J.P. Morgan
Global (%) 2.10 6.84 6.26
- ----------------------------------------------------
<CAPTION>
- ----------------------------------------------------
Since
Inception
(8/96)
---------
<S> <C>
Global
Admin. Class (%) 2.97
- ----------------------------------------------------
J.P. Morgan
Global (%) (0.34)
- ----------------------------------------------------
</TABLE>
* Annualized
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
GLOBAL J.P. MORGAN
MONTH BOND GLOBAL
FUND INDEX
========= ============ ==============
<S> <C> <C>
11/30/93 $ 5,000,000 $ 5,000,000
03/31/94 4,981,799 5,019,201
03/31/95 5,497,439 5,625,054
03/31/96 6,159,100 5,995,399
03/31/97 6,576,928 6,121,248
</TABLE>
The line graph above assumes the investment of $5,000,000 on 12/1/93, the first
full month following the Fund's Institutional Class inception on 11/23/93,
compared to the J.P. Morgan Global Index, an unmanaged market index. The
performance of the Administrative Class (shown at left) 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 8/1/96. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. Past performance is not an indication of future
results.
. The Fund posted strong relative fiscal year performance, returning 6.78%
compared to 2.10% for its benchmark J.P. Morgan Global Index.
. Country selection boosted performance due to overweighted positions in Europe
(Denmark, Austria and Finland early, Netherlands and Sweden later) and the
dollar bloc countries (Australia, Canada, New Zealand) and underweighted
exposure to Japan.
. Small exposures to developing country debt aided performance as both
Argentina and Mexico posted above 20% returns over the past year.
. The Fund's currency strategy of underweighting Japanese yen boosted relative
returns as the yen continued to fall against dollar bloc currencies. In Europe,
currency strategy favored the higher yielding Italian lira, Spanish peseta,
Swedish krona and Czech koruna. Overall, U.S. dollar strength caused unhedged
portfolios like the Fund to lag hedged foreign investments on a absolute basis.
. Interest rate strategies which included an above-index duration were
generally positive, benefiting the Fund's foreign holdings but detracting from
returns on its U.S. market allocation.
. Relative value strategies such as forward buying of bonds and the associated
cash management added value versus traditional bond purchases.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Short-Term Instruments 22.4%
Canada 12.0%
Japan 10.9%
United States 10.6%
Sweden 8.5%
Australia 5.3%
United Kingdom 3.8%
Finland 3.8%
Italy 3.4%
Germany 2.6%
Netherlands 2.3%
Other 14.4%
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
AAA 67%
AA 21%
A 3%
BBB 6%
BB 3%
</TABLE>
16/PIMCO Funds
<PAGE>
Investment Performance - High Yield Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yrs.* Inception*
(12/92)
----- ------- ----------
<S> <C> <C> <C>
High Yield
Inst'l Class (%) 12.04 12.15 12.64
- --------------------------------------------------------------------------------
Lehman BB
Int. Corp. (%) 9.63 10.44 10.36
</TABLE>
<TABLE>
<CAPTION>
Since
1 Yr. 2 Yrs.* Inception*
(1/95)
----- ------- ----------
<S> <C> <C> <C>
High Yield
Admin. Class (%) 11.76 13.63 14.69
- --------------------------------------------------------------------------------
Lehman BB
Int. Corp. (%) 9.63 11.54 12.65
</TABLE>
*Annualized
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
HIGH YIELD LEHMAN BB
MONTH FUND INTERMEDIATE
CORP. INDEX
======== ============== ==============
<S> <C> <C>
12/31/92 $ 5,000,000 $ 5,000,000
03/31/93 5,313,333 5,239,092
03/31/94 5,879,246 5,643,896
03/31/95 6,397,464 6,110,148
03/31/96 7,402,000 6,933,691
03/31/97 8,292,841 7,601,685
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 1/1/93, the first
full month following the Fund's Institutional Class inception on 12/16/92,
compared to the Lehman Brothers BB Intermediate Corporate Index, an unmanaged
market index. The performance of the Administrative Class (shown at left)
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 1/16/95.
The investments made by the High Yield Fund may involve high risk and may have
speculative characteristics. Past performance is not an indication of future
results.
. Favorable individual security selection was the leading determinant of 2.41%
index outperformance, despite the higher quality BB bonds we favored
underperforming for the period.
. Numerous Fund holdings were upgraded by the credit rating agencies due to
overall improvement in various credit fundamentals. Several holdings also
appreciated significantly after being acquired by better-rated firms.
. An industry mix which favored restructuring industries, such as healthcare
and utilities, benefited performance due to holdings of firms committed to
reducing expenses while growing market share. Energy-related holdings
appreciated amid the backdrop of growing global demand and an industry-wide
equipment shortage.
. Small holdings in non-traditional high yield sectors continued to contribute
positively to performance. Brady bonds not only offered above-market yields,
but also appreciated during the period as the economic fundamentals of
Argentina and Mexico improved. Commercial mortgage-backed securities
contributed superior credit-adjusted yields and rose in price on increased
market acceptance.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
<TABLE>
<S> <C>
Corporate Bonds
and Notes 81.8%
Short-Term
Instruments 6.0%
Mortgage-Backed
Securities 5.5%
Other 6.7%
</TABLE>
[PIE GRAPH APPEARS HERE]
<TABLE>
<S> <C>
AAA 1%
BBB 3%
BB 51%
B 45%
</TABLE>
1997 Annual Report/17
<PAGE>
Investment Performance - Money Market Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
1 Yr. 3 Yrs.* 5 Yrs.* Inception*
(3/91)
----- ------ ------- ----------
<S> <C> <C> <C> <C>
Money Market
Inst'l Class (%) 5.19 5.27 4.35 4.51
- --------------------------------------------------------------------------------
Lipper Money
Market Index (%) 4.76 4.81 4.05 4.26
</TABLE>
<TABLE>
<CAPTION>
Since
1 Yr. 2 Yrs.* Inception*
(1/95)
----- ------- ----------
<S> <C> <C> <C>
Money Market
Admin. Class (%) 4.94 5.32 5.34
- --------------------------------------------------------------------------------
Lipper Money
Market Index (%) 4.76 5.01 5.05
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET LIPPER
MONTH FUND MONEY MARKET
INDEX
======== ============ ============
<S> <C> <C>
02/28/91 $ 5,000,000 $ 5,000,000
03/31/91 5,025,170 5,026,003
03/31/92 5,286,316 5,285,761
03/31/93 5,452,504 5,451,422
03/31/94 5,606,276 5,598,768
03/31/95 5,867,023 5,846,048
03/31/96 6,217,237 6,153,709
03/31/97 6,539,910 6,446,675
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 3/1/91, the Fund's
Institutional Class inception date, compared to the Lipper Money Market Index,
an index consisting of the 30 largest equal weighted Money Market Funds. The
performance of the Administrative Class (shown at left) 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 1/24/95. An investment in the Fund
is neither insured nor guaranteed by the U.S. Government and there can be no
assurance that the Fund will be able to maintain a stable net asset value of
$1.00 per share. Past performance is not an indication of future results.
. Concentrations in commercial paper, primarily offered by finance companies,
contributed to the Fund's strong performance relative to the Lipper Money
Market Index, which returned 4.76%, compared to the Fund's 5.19% fiscal year
return.
. The selected use of high-grade short-term corporates throughout the year
added to the Fund's returns.
. Holdings of adjustable-rate mortgage securities also boosted performance
through enhanced yield and relative price gains.
. The Fund's yield increased throughout the period as rates on three-month
T-bills rose during the year and the front end of the yield curve steepened.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
<TABLE>
<S> <C>
Short-Term
Instruments 97.1%
Corporate Bonds
and Notes 2.6%
U.S. Government
Agencies 0.3%
</TABLE>
18/PIMCO Funds
<PAGE>
Investment Performance - StocksPLUS Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
Since
Inception*
1 Yr. 3 Yrs. * (5/93)
------- ---------- ------------
<S> <C> <C> <C>
StocksPLUS
Inst'l Class (%) 19.44 23.85 18.69
- ------------------------------------------------------------------
S&P 500
Index (%) 19.82 22.30 17.44
- ------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------
Since
Inception
(1/97)
------------
<S> <C>
StocksPLUS
Admin. Class (%) (3.82)
- ------------------------------------------------------------------
S&P 500
Index (%) (3.36)
- ------------------------------------------------------------------
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STOCKSPLUS S&P 500
MONTH FUND INDEX
========= ============ ============
<S> <C> <C>
05/31/93 $ 5,000,000 $ 5,000,000
03/31/94 5,077,284 5,063,892
03/31/95 6,023,776 5,852,274
03/31/96 8,076,117 7,730,881
03/31/97 9,646,436 9,263,514
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 6/1/93, the first
full month following the Fund's Institutional Class inception on 5/14/93,
compared to the Standard and Poor's 500 Index, an unmanaged market index. The
performance of the Administrative Class (shown at left) 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 1/7/97. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. Past performance
is not an indication of future results.
. The Fund's exposure to the S&P 500 captured most of the market's impressive
gains producing a fiscal year return of 19.44%, slightly behind the 19.82%
delivered by the S&P 500 Index.
. An above-neutral duration on the cash portfolio used to back the Fund's S&P
500 Index exposure (exposure is achieved through investments in S&P 500
futures and swap contracts) was a slight negative for performance. As
interest rates increased throughout the period, longer duration instruments
experienced price declines relative to three-month Treasury bills.
. The Fund's underperformance was mainly attributable to a technical timing
issue involving pricing: the S&P 500 futures contracts in which the Fund
invests are priced just after the close of the S&P 500 spot market. This at
times can lead to minor variations in closing prices between the futures and
the spot markets. Over time, the average of these temporary pricing
differences should revert toward zero and have little impact on longer-term
performance.
. For the fiscal year, the combined impact of timing and a longer duration was
partially offset by holdings of short-term, mortgage-backed issues which
enjoyed an initial yield advantage and spread tightening in response to
declining prepayments resulting from reduced refinancing activity.
. In addition, both BBB- and BB-rated corporate issues performed well through a
combination of higher initial yields and spread tightening relative to
similar maturity Treasuries.
. Currency-hedged Canadian, New Zealand and Swedish bonds, and small holdings
of dollar-denominated debt from Argentina, also contributed positively as
those markets outperformed the U.S. Treasury market.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Short-Term Instruments 34.8%
Mortgage-Backed Securities 28.2%
Corporate Bonds and Notes 26.5%
Other 10.5%
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
AAA 42%
AA 7%
A 10%
BBB 25%
BB 14%
B 2%
</TABLE>
1997 Annual Report/19
<PAGE>
Investment Performance - Strategic Balanced Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
Inception
(6/96)
----------
<S> <C>
Strategic
Balanced
Inst'l Class (%) 11.83
- --------------------------------------------------
Lipper
Balanced (%) 8.80
- --------------------------------------------------
60% S&P 500 and
40% Lehman Aggregate (%) 10.57
</TABLE>
- --------------------------------------------------------------------------------
Cumulative Returns Since Inception Through March 31, 1997
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
STRATEGIC 60% S&P 500 LIPPER
MONTH BALANCED INDEX AND 40% BALANCED
FUND LEHMAN AGGREGATE
BOND INDEX
========= ============ =================== ============
<S> <C> <C> <C>
06/30/96 $ 5,000,000 $ 5,000,000 $ 5,000,000
03/31/97 5,591,599 5,528,616 5,440,114
</TABLE>
- --------------------------------------------------------------------------------
The line graph above assumes the investment of $5,000,000 on 7/1/96, the first
full month following the Fund's Institutional Class inception on 6/28/96,
compared to a static 60/40 blend of the Standard and Poor's 500 Index and the
Lehman Brothers Aggregate Bond Index, and the Lipper Balanced Index, each 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. Past performance is not an indication of future
results.
. During its first nine months of operations the Fund delivered strong absolute
and relative performance, posting a return of 11.83% for the period. This
compared favorably to the Lipper Balanced Index which returned 8.80%, and a
blended index comprised of 60% S&P 500 and 40% Lehman Brothers Aggregate
which returned 10.57%.
. The Fund's primary source of value added came from active management of the
allocation between equities and fixed income. Throughout the period, PIMCO's
proprietary allocation model favored an above-neutral (defined as 60% stocks
40% bonds) allotment to equities which boosted performance as stocks
significantly outperformed bonds.
. The Fund's equity sector performance was boosted by effective management of
the cash used to back stock market exposure taken through S&P 500 futures and
swap positions. A yield-based focus on short-term investments in fixed and
adjustable-rate mortgage securities, and corporate bonds benefited returns.
. Performance from the Fund's bond allocation was also strong, led by
successful sector strategies that overweighted mortgage-backed securities and
higher yielding corporate bonds. This allocation strategy took advantage of
the initial yield premiums available on mortgage and corporate bonds and
benefited further from spread tightening that occurred throughout the period
as more investors turned to these sectors in search of yield.
- --------------------------------------------------------------------------------
Portfolio Composition % of Total Investments as of March 31, 1997
- --------------------------------------------------------------------------------
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Corporate Bonds and Notes 48.4%
Mortgage-Backed Securities 24.8%
Short-Term Instruments 13.4%
U. S. Treasury Notes 9.6%
Other 3.8%
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
AAA 39%
A 9%
BBB 40%
BB 10%
B 2%
</TABLE>
20/PIMCO Funds
<PAGE>
Investment Performance - Continued
Real Return Bond Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
SINCE
INCEPTION
(1/97)
----------
<S> <C>
Real Return
Inst'l Class (%) (0.56)
- ------------------------------------------
Lehman Inflation
Linked Tsy. (%) (1.08)
</TABLE>
Lehman Brothers Linked Treasury Index, an unmanaged market index.
. Coincident with the U.S. Treasury's first auction of Inflation-Indexed
Securities, PIMCO launched the Real Return Bond Fund on January 29, 1997, the
first fund of its kind.
. The Fed's move to tighten interest rates in March led to an increase in
nominal bond yields and yields on U.S. Treasury Inflation-Indexed Securities
during the quarter. The Fund's below-index duration exposure to the U.S.
market improved relative returns in this environment.
. Successful yield curve strategies were a leading determinant of the Fund's
outperformance of the Lehman Brothers Inflation-Indexed Bond index by 52
basis points since inception.
. International positions in Canadian real return bonds were positive for
performance, though holdings of New Zealand real return bonds detracted
slightly.
Low Duration Fund III
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
Inception
(12/96)
----------
<S> <C>
Low Duration III
Inst'l Class (%) 0.58
- ------------------------------------------
Merrill Lynch
1-3 Yr. Tsy. (%) 0.66
</TABLE>
Merrill Lynch 1-3 Year Treasury Index, an unmanaged market index.
. The Fund's above-index duration hindered performance in its first quarter of
operations.
. Despite an adverse move in interest rates, the Fund's return was only
slightly below-index as successful sector strategies mostly offset a longer
duration.
. The modified barbell maturity structure (overweighting of shorter and longer
maturities relative to the index) aided results.
. Holdings of mortgage-backed securities boosted returns as fixed-rate issues
enjoyed narrowing yield spreads over Treasuries.
Moderate Duration Fund
Total Return Performance
For the Period Ended 3/31/97
<TABLE>
<CAPTION>
Since
Inception
(12/96)
----------
<S> <C>
Moderate
Duration
Inst'l Class (%) (0.25)
- ------------------------------------------
Lehman Int.
Gov't/Corp. (%) (0.11)
</TABLE>
Lehman Brothers Intermediate Government/Corporate Bond Index, an unmanaged
market index.
. The Fund's above-index duration hindered performance in its first quarter of
operations.
. Despite an adverse move in interest rates, the Fund's return was only
slightly below-index as successful sector strategies offset much of the
impact of a longer duration.
. Holdings of mortgage-backed securities boosted returns as both adjustable and
fixed-rate issues enjoyed narrowing yield spreads over Treasuries.
. Shorter maturity, lower tier investment-grade, and slightly below investment-
grade corporate holdings enhanced returns via their higher yields.
. Small holdings of dollar-denominated Latin American Bonds added yield, while
prices were mixed on Fed tightening fears.
These funds may invest in foreign securities which involve potentially higher
risks, including foreign currency fluctuations and political uncertainty. Past
performance is not an indication of future results.
1997 Annual Report/21
<PAGE>
Statement of Assets and Liabilities
March 31, 1997
<TABLE>
<CAPTION>
-------------- ----------- ----------- ----------- ------------ ------------
Amounts in thousands, except per share amounts Total Total Total Moderate Low Low
Return Return Return Duration Duration Duration
Fund Fund II Fund III Fund Fund Fund II
-------------- ----------- ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 13,968,846 $ 568,135 $ 192,287 $ 14,759 $ 3,522,559 $ 376,745
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Cash and foreign currency 15,161 72 57 0 46 1
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Receivable for investments and foreign currency sold 539,341 4,432 38 0 47,432 433
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Receivable for Fund shares sold 32,523 14 12 1,671 19,315 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Variation margin receivable 0 0 0 0 0 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Interest and dividends receivable 105,489 4,669 2,253 176 23,143 1,885
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Other assets 0 0 0 0 26 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
14,661,360 577,322 194,647 16,606 3,612,521 379,064
====================================================== ============== =========== =========== =========== ============ ============
Liabilities:
Payable for investments and foreign currency purchased $ 1,375,168 $ 92,854 $ 171 $ 3,145 $ 591,127 $ 38,495
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Written options outstanding 26,352 39 995 0 91 9
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Payable for Fund shares redeemed 39,825 313 22 0 68,652 997
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Dividends payable 13,501 100 38 0 2,534 35
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Accrued investment advisor's fee 2,721 99 40 2 620 68
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Accrued administrator's fee 2,052 99 40 1 469 68
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Accrued distribution fee 280 0 0 0 29 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Accrued servicing fee 105 0 0 0 26 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Variation margin payable 2,360 63 35 0 19 11
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Other accrued expenses and liabilities 290 0 9 0 139 6
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
1,462,654 93,567 1,350 3,148 663,706 39,689
====================================================== ============== =========== =========== =========== ============ ============
Net Assets $ 13,198,706 $ 483,755 $ 193,297 $ 13,458 $ 2,948,815 $ 339,375
====================================================== ============== =========== =========== =========== ============ ============
Net Assets Consist of:
Paid in capital $ 13,358,162 $ 491,249 $ 196,933 $ 13,633 $ 2,979,134 $ 343,936
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Undistributed (overdistributed) net investment income (25,279) (1,503) (880) 2 (7,032) (1,272)
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Accumulated undistributed net realized gain (loss) (63,168) (4,780) (2,381) (13) (9,405) (1,187)
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Net unrealized appreciation (depreciation) (71,009) (1,211) (375) (164) (13,882) (2,102)
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
$ 13,198,706 $ 483,755 $ 193,297 $ 13,458 $ 2,948,815 $ 339,375
====================================================== ============== =========== =========== =========== ============ ============
Shares Issued and Outstanding
Institutional Class 1,219,656 48,599 21,130 1,369 280,193 34,577
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Administrative Class 14,719 539 0 0 2,361 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Retail Classes 50,524 0 0 0 12,848 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.27 $ 9.85 $ 9.15 $ 9.83 $ 9.98 $ 9.81
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Administrative Class 10.27 9.85 0 0 9.98 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Class A 10.27 0 0 0 9.98 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Class B 10.27 0 0 0 9.98 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Class C 10.27 0 0 0 9.98 0
- ------------------------------------------------------ -------------- ----------- ----------- ----------- ------------ ------------
Cost of Investments Owned 14,009,795 569,717 192,386 14,923 3,541,785 378,567
====================================================== ============== =========== =========== =========== ============ ============
Cost of Foreign Currency Held 3 0 0 0 0 0
====================================================== ============== =========== =========== =========== ============ ============
</TABLE>
*With respect to the Retail Classes, the redemption price may vary by the length
of time shares are held.
22/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
----------- ------------ ------------ ----------- -----------
Amount in thousands, except per share amounts Low Long-Term Real Return Foreign
Duration Short-Term U.S. Gov't Bond Bond
Fund III Fund Fund Fund Fund
----------- ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 14,105 $ 171,244 $ 31,618 $ 10,417 $ 468,098
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Cash and foreign currency 1 128 5 1 880
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Receivable for investments and foreign currency sold 2,056 149 699 4,067 189,971
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Receivable for Fund shares sold 0 1,155 7 37 2,376
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Variation margin receivable 0 1 0 0 17
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Interest and dividends receivable 40 869 225 10 7,204
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Other assets 0 0 0 0 0
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
16,202 173,546 32,554 14,532 668,546
===================================================== =========== ============ ============ =========== ===========
Liabilities:
Payable for investments and foreign currency purchased $ 6,142 $ 5,666 $ 10,550 $ 8,234 $ 429,330
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Written options outstanding 0 0 46 0 0
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Payable for Fund shares redeemed 0 2,603 2 0 319
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Dividends payable 0 170 12 0 168
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Accrued investment advisor's fee 2 31 4 1 48
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Accrued administrator's fee 2 25 5 1 48
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Accrued distribution fee 0 1 0 0 1
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Accrued servicing fee 0 1 0 0 1
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Variation margin payable 0 0 2 0 0
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Other accrued expenses and liabilities 0 15 5 0 8
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
6,146 8,512 10,626 8,236 429,923
===================================================== =========== ============ ============ =========== ===========
Net Assets $ 10,056 $ 165,034 $ 21,928 $ 6,296 $ 238,623
===================================================== =========== ============ ============ =========== ===========
Net Assets Consist of:
Paid in capital $ 10,149 $ 164,930 $ 23,923 $ 6,345 $ 228,779
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Undistributed (overdistributed) net investment income (5) (208) 438 19 12,308
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Accumulated undistributed net realized gain (loss) (27) 205 (2,025) (1) (1,501)
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Net unrealized appreciation (depreciation) (61) 107 (408) (67) (963)
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
$ 10,056 $ 165,034 $ 21,928 $ 6,296 $ 238,623
===================================================== =========== ============ ============ =========== ===========
Shares Issued and Outstanding
Institutional Class 1,015 15,648 2,129 568 22,559
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Administrative Class 0 451 0 0 3
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Retail Classes 0 400 205 66 357
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.91 $ 10.00 $ 9.39 $ 9.93 $ 10.41
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Administrative Class 0 10.00 0 0 10.41
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Class A 0 10.00 9.39 9.93 10.41
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Class B 0 10.00 9.39 9.93 10.41
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Class C 0 10.00 9.39 9.93 10.41
- ----------------------------------------------------- ----------- ------------ ------------ ----------- -----------
Cost of Investments Owned 14,166 171,396 32,024 10,497 476,436
===================================================== =========== ============ ============ =========== ===========
Cost of Foreign Currency Held 0 0 0 0 869
===================================================== =========== ============ ============ =========== ===========
<CAPTION>
----------- ------------ ----------- ----------- -----------
Amount in thousands, except per share amounts Global Money Strategic
Bond High Yield Market StocksPLUS Balanced
Fund Fund Fund Fund Fund
----------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 386,600 $ 1,019,593 $ 143,236 $ 261,705 $ 10,449
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Cash and foreign currency 617 0 65 1 1
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Receivable for investments and foreign currency sold 131,265 47,274 37 6,801 14
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Receivable for Fund shares sold 7 2,308 17,151 2,265 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Variation margin receivable 12 0 0 0 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Interest and dividends receivable 5,324 22,615 129 1,614 118
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Other assets 0 1 0 2 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
523,825 1,091,791 160,618 272,388 10,582
====================================================== =========== ============ ============ =========== ===========
Liabilities:
Payable for investments and foreign currency purchased $ 307,334 $ 5,439 $ 0 $ 4,026 $ 153
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Written options outstanding 0 0 0 0 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Payable for Fund shares redeemed 163 33,604 4,363 2,721 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Dividends payable 209 1,431 471 26 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Accrued investment advisor's fee 44 235 15 88 4
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Accrued administrator's fee 53 272 33 58 2
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Accrued distribution fee 0 168 1 9 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Accrued servicing fee 0 62 9 5 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Variation margin payable 37 0 0 3,613 63
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Other accrued expenses and liabilities 8 1,215 87 6 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
307,848 42,426 4,979 10,552 222
====================================================== =========== ============ ============ =========== ===========
Net Assets $ 215,977 $ 1,049,365 $ 155,639 $ 261,836 $ 10,360
====================================================== =========== ============ ============ =========== ===========
Net Assets Consist of:
Paid in capital $ 221,311 $ 1,104,517 $ 155,639 $ 258,263 $ 10,035
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Undistributed (overdistributed) net investment income 5,553 1,003 0 2,028 225
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Accumulated undistributed net realized gain (loss) (7,489) (78,320) 0 11,988 305
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Net unrealized appreciation (depreciation) (3,398) 22,165 0 (10,443) (205)
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
$ 215,977 $ 1,049,365 $ 155,639 $ 261,836 $ 10,360
====================================================== =========== ============ ============ =========== ===========
Shares Issued and Outstanding
Institutional Class 21,879 67,081 23,497 20,574 1,003
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Administrative Class 35 940 12 60 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Retail Classes 0 26,532 132,130 2,212 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 9.86 $ 11.10 $ 1.00 $ 11.46 $ 10.32
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Administrative Class 9.86 11.10 1.00 11.46 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Class A 0 11.10 1.00 11.46 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Class B 0 11.10 1.00 11.44 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Class C 0 11.10 1.00 11.45 0
- ------------------------------------------------------ ----------- ------------ ----------- ----------- -----------
Cost of Investments Owned 394,454 997,705 143,236 261,416 10,422
====================================================== =========== ============ ============ =========== ===========
Cost of Foreign Currency Held 620 0 0 0 0
====================================================== =========== ============ ============ =========== ===========
</TABLE>
1997 Annual Report See accompanying notes/23
<PAGE>
Statement of Operations
For the year or period ended March 31, 1997
<TABLE>
<CAPTION>
---------- ----------- ---------- --------- --------- --------
$ in thousands Total Total Total Moderate Low Low
Return Return Return Duration Duration Duration
Fund Fund II Fund III Fund Fund Fund II
---------- ----------- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 820,530 $ 32,273 $ 11,340 $ 162 $ 187,704 $ 18,691
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Dividends 1,523 0 0 10 1,719 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Total income 822,053 32,273 11,340 172 189,423 18,691
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Expenses:
Investment advisory fees 29,232 1,171 423 7 6,877 685
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Administration fees 21,266 1,171 423 5 5,005 685
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Distribution fees - Administrative Class 341 11 0 0 21 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Distribution and servicing fees - Retail Classes 854 0 0 0 130 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Trustees' fees 21 2 0 0 5 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Reorganization costs 25 21 21 0 23 22
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Total expenses 51,739 2,376 867 12 12,061 1,392
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net Investment Income 770,314 29,897 10,473 160 177,362 17,299
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (31,830) 324 (410) (12) (205) (1,002)
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net realized gain (loss) on futures contracts
and written options (29,476) (4,296) (1,521) 0 179 (89)
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net realized gain (loss)
on foreign currency transactions 3,378 0 (450) 0 1,671 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net change in unrealized appreciation
(depreciation) on investments (15,704) (1,894) 1,263 (164) 294 (55)
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 27,904 2,408 911 0 2,772 (73)
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign currencies 3,259 0 84 0 1,288 0
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net gain (loss) (42,469) (3,458) (123) (176) 5,999 (1,219)
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
Net Increase (Decrease) in Assets
Resulting from Operations $ 727,845 $ 26,439 $ 10,350 $ (16) $ 183,361 16,080
- -------------------------------------------------------- ------------ ----------- ---------- ------- ---------- ---------
</TABLE>
24/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
-------- ---------- ---------- ----------- -------
$ in thousands Low Long-Term Real Return Foreign
Duration Short-Term U.S. Gov't Bond Bond
Fund III Fund Fund Fund Fund
-------- ---------- ---------- ----------- -------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 161 $ 8,209 $ 2,124 $ 68 $ 18,126
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Dividends 0 0 0 0 0
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Total income 161 8,209 2,124 68 18,126
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Expenses:
Investment advisory fees 6 311 65 2 541
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Administration fees 6 250 65 3 541
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Distribution fees - Administrative Class 0 10 0 0 0
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Distribution and servicing fees - Retail Classes 0 1 0 0 2
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Trustees' fees 0 0 0 0 0
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Reorganization costs 0 21 31 0 29
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Total expenses 12 593 161 5 1,113
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net Investment Income 149 7,616 1,963 63 17,013
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (32) 302 (156) 4 15,065
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net realized gain (loss) on futures contracts
and written options 0 22 (275) 0 2,133
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net realized gain (loss)
on foreign currency transactions 0 (42) 0 (3) 8,456
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net change in unrealized appreciation
(depreciation) on investments (61) 486 (780) (80) (7,349)
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 0 (19) 178 0 (723)
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign currencies 0 153 0 13 594
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net gain (loss) (93) 902 (1,033) (66) 18,176
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
Net Increase (Decrease) in Assets
Resulting from Operations $ 56 $ 8,518 $ 930 $ (3) $ 35,189
- --------------------------------------------------------- -------- ---------- ---------- --------- -----------
<CAPTION>
------------ ----------- ----------- ------------ ----------
$ in thousands Global Money Strategic
Bond High Yield Market StocksPLUS Balanced
Fund Fund Fund Fund Fund
------------ ----------- ----------- ------------ ----------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 13,730 $ 72,975 $ 2,484 $ 23,329 $ 844
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Dividends 0 552 0 13 0
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Total income 13,730 73,527 2,484 23,342 844
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Expenses:
Investment advisory fees 424 1,984 68 779 32
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Administration fees 508 2,071 118 492 20
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Distribution fees - Administrative Class 0 12 0 0 0
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Distribution and servicing fees - Retail Classes 0 538 21 21 0
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Trustees' fees 0 1 0 0 0
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Reorganization costs 21 22 20 22 20
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Total expenses 953 4,628 227 1,314 72
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net Investment Income 12,777 68,899 2,257 22,028 772
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 6,946 15,566 0 109 80
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net realized gain (loss) on futures contracts
and written options 485 0 0 19,186 529
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net realized gain (loss)
on foreign currency transactions (6,952) 0 0 (106) (7)
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net change in unrealized appreciation
(depreciation) on investments (2,641) 1,240 0 311 47
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (554) 0 0 (11,190) (262)
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net change in unrealized appreciation
(depreciation) on translation of assets
and liabilities denominated in foreign currencies (1,475) 0 0 234 10
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net gain (loss) (4,191) 16,806 0 8,544 397
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
Net Increase (Decrease) in Assets
Resulting from Operations $ 8,586 $ 85,705 $ 2,257 $ 30,572 $ 1,169
- ------------------------------------------------------------ ------------ ----------- ----------- ------------ --------
</TABLE>
1997 Annual Report See accompanying notes/25
<PAGE>
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
--------------------------------- -------------------------------
$ in thousands
Total Return Fund Total Return Fund II
--------------------------------- -------------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Five Months Ended
March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996
<S> <C> <C> <C> <C>
Operations
Net investment income $ 770,314 $ 621,582 $ 29,897 $ 12,231
- ----------------------------------------------------- --------------------------------- --------------------------------
Net realized gain (loss) (57,928) 254,693 (3,972) 2,375
- ----------------------------------------------------- --------------------------------- --------------------------------
Net change in unrealized appreciation (depreciation) 15,459 11,343 514 (11,327)
- ----------------------------------------------------- --------------------------------- --------------------------------
Net increase (decrease) resulting from operations 727,845 887,618 26,439 3,279
===================================================== ================================= ================================
Distributions to Shareholders
From net investment income
Institutional Class (737,816) (533,126) (29,298) (12,145)
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class (8,454) (3,203) (270) (82)
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes (5,252) 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
In excess of net investment income
Institutional Class (18,432) (84,779) (328) (11)
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class (211) (510) (3) 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes (131) 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
From net realized capital gains
Institutional Class 0 (110,361) 0 (4,011)
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class 0 (772) 0 (28)
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes 0 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 (2,282)
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class 0 0 0 (15)
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes 0 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class 0 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes 0 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Total Distributions (770,296) (732,751) (29,899) (18,574)
===================================================== ================================= ================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 3,709,839 3,567,811 88,832 36,981
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class 132,504 117,173 1,824 218
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes 59,247 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Shares issued in reorganization
Retail Classes 499,338 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Issued as reinvestment of distributions
Institutional Class 606,425 592,359 28,378 17,509
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class 8,479 3,923 273 126
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes 3,729 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Cost of shares redeemed
Institutional Class (2,001,935) (1,308,591) (90,902) (25,812)
- ----------------------------------------------------- --------------------------------- --------------------------------
Administrative Class (94,080) (24,091) (93) (78)
- ----------------------------------------------------- --------------------------------- --------------------------------
Retail Classes (34,612) 0 0 0
- ----------------------------------------------------- --------------------------------- --------------------------------
Net increase resulting from Fund share transactions 2,888,934 2,948,584 28,312 28,944
- ----------------------------------------------------- --------------------------------- --------------------------------
Total Increase in Net Assets 2,846,483 3,103,451 24,852 13,649
===================================================== ================================= ================================
Net Assets
Beginning of period 10,352,223 7,248,772 458,903 445,254
- ----------------------------------------------------- --------------------------------- --------------------------------
End of period * $ 13,198,706 $ 10,352,223 $ 483,755 $ 458,903
- ----------------------------------------------------- --------------------------------- --------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (25,279) $ (18,792) $ (1,503) $ (329)
- ----------------------------------------------------- --------------------------------- --------------------------------
<CAPTION>
----------------------------
$ in thousands
Total Return Fund III
----------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended
March 31, 1997 March 31, 1996
<S> <C> <C>
Operations
Net investment income $ 10,473 $ 8,158
- ----------------------------------------------------- ----------------------------
Net realized gain (loss) (2,381) 2,985
- ----------------------------------------------------- ----------------------------
Net Change In Unrealized Appreciation (Depreciation) 2,258 (924)
- ----------------------------------------------------- ----------------------------
Net increase (decrease) resulting from operations 10,350 10,219
===================================================== ============================
Distributions to Shareholders
From net investment income
Institutional Class (10,093) (6,946)
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
In excess of net investment income
Institutional Class (380) (1,214)
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
From net realized capital gains
Institutional Class 0 (1,687)
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
In excess of net realized capital gains
Institutional Class (283) 0
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Tax basis return of capital
Institutional Class 0 0
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Total Distributions (10,756) (9,847)
===================================================== ============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 56,444 42,689
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Shares issued in reorganization
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Issued as reinvestment of distributions
Institutional Class 10,374 9,384
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Cost of shares redeemed
Institutional Class (15,338) (9,719)
- ----------------------------------------------------- ----------------------------
Administrative Class 0 0
- ----------------------------------------------------- ----------------------------
Retail Classes 0 0
- ----------------------------------------------------- ----------------------------
Net increase resulting from Fund share transactions 51,480 42,354
- ----------------------------------------------------- ----------------------------
Total Increase in Net Assets 51,074 42,726
===================================================== ============================
Net Assets
Beginning of period 142,223 99,497
- ----------------------------------------------------- ----------------------------
End of period * $ 193,297 $ 142,223
- ----------------------------------------------------- ----------------------------
*Including net undistributed (overdistributed)
investment income of: $ (880) $ (380)
- ----------------------------------------------------- ----------------------------
</TABLE>
26/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
------------------ ----------------------------------- -----------------------------
$ in thousands
Moderate
Duration Low Duration Fund Low Duration Fund II
Fund
------------------ ----------------------------------- -----------------------------
Increase (Decrease) in Net Assets from: Three Months Ended Year Ended Year Ended Year Ended Year Ended
March 31, 1997 March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996
<S> <C> <C> <C> <C> <C>
Operations
Net investment income $ 160 $ 177,362 $ 171,117 $ 17,299 $ 14,123
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Net realized gain (loss) (12) 1,645 9,315 (1,091) 992
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Net change in unrealized appreciation (depreciation) (164) 4,354 34,773 (128) (783)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Net increase (decrease) resulting from operations (16) 183,361 215,205 16,080 14,332
==================================================== ========== =================================== ============================
Distributions to Shareholders
From net investment income
Institutional Class (159) (170,430) (171,057) (15,937) (13,042)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 (511) (91) 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 (1,302) 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
In excess of net investment income
Institutional Class 0 (5,074) 0 (469) (603)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 (15) 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 (38) 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
From net realized capital gains
Institutional Class 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
In excess of net realized capital gains
Institutional Class 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Tax basis return of capital
Institutional Class 0 0 0 (280) (479)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Total Distributions (159) (177,370) (171,148) (16,686) (14,124)
==================================================== ========== =================================== ============================
Fund Share Transactions
Receipts for shares sold
Institutional Class 13,681 1,394,715 1,416,204 139,963 166,259
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 22,564 2,678 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 39,148 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Shares issued in reorganization
Retail Classes 0 120,271 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Issued as reinvestment of distributions
Institutional Class 159 149,996 143,328 15,824 13,248
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 518 83 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 1,143 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Cost of shares redeemed
Institutional Class (207) (1,432,178) (1,258,060) (69,105) (97,282)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Administrative Class 0 (1,971) (983) 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Retail Classes 0 (31,492) 0 0 0
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Net increase resulting from Fund share transactions 13,633 262,714 303,250 86,682 82,225
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
Total Increase in Net Assets 13,458 268,705 347,307 86,076 82,433
==================================================== ========== =================================== ============================
Net Assets
Beginning of period 0 2,680,110 2,332,803 253,299 170,866
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
End of period * $ 13,458 $ 2,948,815 $ 2,680,110 $ 339,375 $ 253,299
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
*Including net undistributed (overdistributed)
investment income of: $ 2 $ (7,032) $ (5,120) $ (1,272) $ (1,362)
- ---------------------------------------------------- ---------- ----------------------------------- ----------------------------
<CAPTION>
------------------ ----------------------------------
$ in thousands
Low Duration Short-Term Fund
Fund III
------------------ ----------------------------------
Increase (Decrease) in Net Assets from: Three Months Ended Year Ended Year Ended
March 31, 1997 March 31, 1997 March 31, 1996
<S> <C> <C> <C>
Operations
Net investment income $ 149 $ 7,616 $ 6,228
- ---------------------------------------------------- ------------------- ----------------------------------
Net realized gain (loss) (32) 282 592
- ---------------------------------------------------- ------------------- ----------------------------------
Net change in unrealized appreciation (depreciation) (61) 620 584
- ---------------------------------------------------- ------------------- ----------------------------------
Net increase (decrease) resulting from operations 56 8,518 7,404
==================================================== =================== ==================================
Distributions to Shareholders
From net investment income
Institutional Class (149) (7,220) (5,943)
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 (221) (24)
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 (15) 0
- ---------------------------------------------------- ------------------- ----------------------------------
In excess of net investment income
Institutional Class 0 (156) (261)
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 (5) (1)
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
From net realized capital gains
Institutional Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
In excess of net realized capital gains
Institutional Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Tax basis return of capital
Institutional Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Total Distributions (149) (7,617) (6,229)
==================================================== =================== ==================================
Fund Share Transactions
Receipts for shares sold
Institutional Class 10,000 180,257 133,513
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 8,640 4,324
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 6,035 0
- ---------------------------------------------------- ------------------- ----------------------------------
Shares issued in reorganization
Retail Classes 0 0 0
- ---------------------------------------------------- ------------------- ----------------------------------
Issued as reinvestment of distributions
Institutional Class 149 6,243 4,930
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 15 0
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 10 0
- ---------------------------------------------------- ------------------- ----------------------------------
Cost of shares redeemed
Institutional Class 0 (132,676) (127,940)
- ---------------------------------------------------- ------------------- ----------------------------------
Administrative Class 0 (8,162) (320)
- ---------------------------------------------------- ------------------- ----------------------------------
Retail Classes 0 (2,025) 0
- ---------------------------------------------------- ------------------- ----------------------------------
Net increase resulting from Fund share transactions 10,149 58,337 14,507
- ---------------------------------------------------- ------------------- ----------------------------------
Total Increase in Net Assets 10,056 59,238 15,682
==================================================== =================== ==================================
Net Assets
Beginning of period 0 105,796 90,114
- ---------------------------------------------------- ------------------- ----------------------------------
End of period * $ 10,056 $ 165,034 $ 105,796
- ---------------------------------------------------- ------------------- ----------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (5) $ (208) $ (161)
- ---------------------------------------------------- ------------------- ----------------------------------
</TABLE>
1997 Annual Report See accompanying notes/27
<PAGE>
Statement of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
---------------------------- ---------------- ------------------------------
$ in thousands Long-Term U.S. Gov't Fund Real Return Foreign Bond Fund
Bond Fund
---------------------------- ---------------- ------------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended Period from Year Ended Year Ended
March 31, 1997 March 31, 1996 January 29, 1997 March 31, 1997 March 31, 1996
to March 31, 1997
<S> <C> <C> <C> <C> <C>
Operations
Net investment income $ 1,963 $ 2,494 $ 63 $ 17,013 $ 14,026
- ---------------------------------------------------- ----------------------- --------- --------------------------
Net realized gain (loss) (431) 3,539 1 25,654 26,188
- ---------------------------------------------------- ----------------------- --------- --------------------------
Net change in unrealized appreciation (depreciation) (602) (442) (67) (7,478) 6,805
- ---------------------------------------------------- ----------------------- --------- --------------------------
Net increase (decrease) resulting from operations 930 5,591 (3) 35,189 47,019
==================================================== ======================= ========= ==========================
Distributions to Shareholders
From net investment income
Institutional Class (1,773) (2,372) (45) (7,980) (8,030)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes (13) 0 (1) (6) 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
In excess of net investment income
Institutional Class 0 (122) 0 0 (5,997)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
From net realized capital gains
Institutional Class 0 (1,698) 0 (24,345) (5,828)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
In excess of net realized capital gains
Institutional Class (693) (518) 0 0 (685)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Tax basis return of capital
Institutional Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Total Distributions (2,479) (4,710) (46) (32,331) (20,540)
==================================================== ======================= ========= ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 6,985 21,443 5,636 155,503 79,674
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 30 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 1,987 0 663 3,760 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Shares issued in reorganization
Retail Classes 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Issued as reinvestment of distributions
Institutional Class 2,113 3,954 45 23,548 17,861
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes 3 0 1 6 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Cost of shares redeemed
Institutional Class (20,121) (26,116) 0 (205,567) (98,221)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Administrative Class 0 0 0 0 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Retail Classes (1) 0 0 (8) 0
- ---------------------------------------------------- ----------------------- --------- --------------------------
Net increase (decrease) resulting from
Fund share transactions (9,034) (719) 6,345 (22,728) (686)
- ---------------------------------------------------- ----------------------- --------- --------------------------
Total Increase (Decrease) in Net Assets (10,583) 162 6,296 (19,870) 25,793
==================================================== ======================= ========= ==========================
Net Assets
Beginning of period 32,511 32,349 0 258,493 232,700
- ---------------------------------------------------- ----------------------- --------- --------------------------
End of period * $ 21,928 $ 32,511 $ 6,296 $ 238,623 $ 258,493
- ---------------------------------------------------- ----------------------- --------- --------------------------
*Including net undistributed (overdistributed)
investment income of: $ 438 $ 236 $ 19 $ 12,308 $ 3,281
- ---------------------------------------------------- ----------------------- --------- --------------------------
</TABLE>
28/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
---------------------------- -----------------------------
$ in thousands Global Bond Fund High Yield Fund
---------------------------- -----------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996
<S> <C> <C> <C> <C>
Operations
Net investment income $ 12,777 $ 5,776 $ 68,899 $ 42,773
- ---------------------------------------------------- ------------------------- --------------------------
Net realized gain (loss) 479 4,700 15,566 9,316
- ---------------------------------------------------- ------------------------- --------------------------
Net change in unrealized appreciation (depreciation) (4,670) (205) 1,240 11,913
- ---------------------------------------------------- ------------------------- --------------------------
Net increase (decrease) resulting from operations 8,586 10,271 85,705 64,002
==================================================== ========================= ==========================
Distributions to Shareholders
From net investment income
Institutional Class (7,187) (5,778) (64,102) (42,753)
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class (4) 0 (407) (25)
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 (4,408) 0
- ---------------------------------------------------- ------------------------- --------------------------
In excess of net investment income
Institutional Class (17) 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
From net realized capital gains
Institutional Class (2,270) (2,136) (9,166) (2,427)
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class (4) 0 (88) 0
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
In excess of net realized capital gains
Institutional Class (5,240) (1,658) 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class (9) 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Tax basis return of capital
Institutional Class 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 0 0
- ---------------------------------------------------- ------------------------- --------------------------
Total Distributions (14,731) (9,572) (78,171) (45,205)
==================================================== ========================= ==========================
Fund Share Transactions
Receipts for shares sold
Institutional Class 87,843 54,351 414,058 294,885
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class 632 0 14,665 998
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 32,970 0
- ---------------------------------------------------- ------------------------- --------------------------
Shares issued in reorganization
Retail Classes 0 0 283,718 0
- ---------------------------------------------------- ------------------------- --------------------------
Issued as reinvestment of distributions
Institutional Class 12,695 8,928 69,870 43,030
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class 17 0 353 25
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 2,502 0
- ---------------------------------------------------- ------------------------- --------------------------
Cost of shares redeemed
Institutional Class (12,625) (6,621) (286,865) (156,050)
- ---------------------------------------------------- ------------------------- --------------------------
Administrative Class (273) 0 (5,554) (46)
- ---------------------------------------------------- ------------------------- --------------------------
Retail Classes 0 0 (21,876) 0
- ---------------------------------------------------- ------------------------- --------------------------
Net increase (decrease) resulting
from Fund share transactions 88,289 56,658 503,841 182,842
- ---------------------------------------------------- ------------------------- --------------------------
Total Increase (Decrease) in Net Assets 82,144 57,357 511,375 201,639
==================================================== ========================= ==========================
Net Assets
Beginning of period 133,833 76,476 537,990 336,351
- ---------------------------------------------------- ------------------------- --------------------------
End of period * $ 215,977 $133,833 $1,049,365 $ 537,990
- ---------------------------------------------------- ------------------------- --------------------------
*Including net undistributed (overdistributed)
investment income of: $ 5,553 $ (16) $ 1,003 $ 3,604
- ---------------------------------------------------- ------------------------- --------------------------
<CAPTION>
---------------------------------- ------------------------------ -----------------
Strategic
$ in thousands Money Market Fund StocksPLUS Fund Balanced
Fund
---------------------------------- ------------------------------ -----------------
Increase (Decrease) in Net Assets from: Year Ended Five Months Ended Year Ended Year Ended Period from
March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996 June 28, 1996
to March 31, 1997
<S> <C> <C> <C> <C> <C>
Operations
Net investment income $ 2,257 $ 391 $ 22,028 $ 11,933 $ 772
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Net realized gain (loss) 0 0 19,189 9,202 602
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Net change in unrealized
appreciation (depreciation) 0 0 (10,645) (738) (205)
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Net increase (decrease)
resulting from operations 2,257 391 30,572 20,397 1,169
========================================== =============================== ========================== ===============
Distributions to Shareholders
From net investment income
Institutional Class (1,360) (365) (21,952) (8,982) (632)
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class (1) (26) (8) 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes (896) 0 (324) 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
In excess of net investment income
Institutional Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
From net realized capital gains
Institutional Class 0 0 (8,793) (9,224) (212)
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
In excess of net realized capital gains
Institutional Class 0 0 0 (251) 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Tax basis return of capital
Institutional Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 0 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Total Distributions (2,257) (391) (31,077) (18,457) (844)
========================================== =============================== ========================== ===============
Fund Share Transactions
Receipts for shares sold
Institutional Class 48,817 23,183 91,156 114,561 10,032
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 8 4 746 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 570,164 0 30,494 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Shares issued in reorganization
Retail Classes 69,202 0 0 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Issued as reinvestment of distributions
Institutional Class 1,077 388 28,060 17,428 3
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class 1 0 8 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes 812 0 306 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Cost of shares redeemed
Institutional Class (52,332) (5,377) (36,460) (28,558) 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Administrative Class (7) (4) (58) 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Retail Classes (508,048) 0 (3,780) 0 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Net increase (decrease) resulting
from Fund share transactions 129,694 18,194 110,472 103,431 10,035
- ------------------------------------------ ------------------------------- -------------------------- ---------------
Total Increase (Decrease) in Net Assets 129,694 18,194 109,967 105,371 10,360
========================================== =============================== ========================== ===============
Net Assets
Beginning of period 25,945 7,751 151,869 46,498 0
- ------------------------------------------ ------------------------------- -------------------------- ---------------
End of period * $ 155,639 $ 25,945 $ 261,836 $ 151,869 $ 10,360
- ------------------------------------------ ------------------------------- -------------------------- ---------------
*Including net undistributed
(overdistributed) investment income of: $ 0 $ 0 $ 2,028 $ 1,762 $ 225
========================================== =============================== ========================== ===============
</TABLE>
1997 Annual Report See accompanying notes/29
<PAGE>
Financial Highlights - Institutional Classes
<TABLE>
<CAPTION>
---------------- -------------- ---------------- ---------------- ------------ -----------------
Selected Per Share Data for the Net Asset Net Net Realized and Total Income Dividends Dividends in
Year or Period Ended: Value Investment Unrealized From Investment From Net Excess of Net
Beginning Income Gain (Loss) Operations Investment Investment
of Period on Investments Income Income
---------------- -------------- ---------------- ---------------- ------------ -----------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/97 $ 10.29 $ 0.68 $ (0.02) $ 0.66 $ (0.66) $ (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 10.02 0.81 0.29 1.10 (0.61) (0.10)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/95 10.25 0.64 (0.24) 0.40 (0.56) (0.05)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/94 10.91 0.68 (0.16) 0.52 (0.71) (0.15)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/93 10.46 0.76 0.76 1.52 (0.76) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Administrative Class
03/31/97 10.29 0.66(a) (0.02)(a) 0.64 (0.64) (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 10.01 0.80 0.29 1.09 (0.60) (0.09)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
09/07/94 - 03/31/95 10.00 0.31 0.06 0.37 (0.32) (0.03)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Total Return Fund II
Institutional Class
03/31/97 $ 9.89 $ 0.61 $ (0.02) $ 0.59 $ (0.62) $ (0.01)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
11/01/95 - 03/31/96 10.21 0.25 (0.17) 0.08 (0.26) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
10/31/95 9.39 0.69 0.76 1.45 (0.62) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
10/31/94 10.38 0.51 (0.88) (0.37) (0.51) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
10/31/93 9.99 0.61 0.74 1.35 (0.61) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
12/30/91 - 10/31/92 10.00 0.49 0.23 0.72 (0.49) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Administrative Class
03/31/97 9.89 0.59 (0.02) 0.57 (0.60) (0.01)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
11/01/95 - 03/31/96 10.22 0.24 (0.17) 0.07 (0.26) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
11/30/94 - 10/31/95 9.34 0.56 0.88 1.44 (0.55) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Total Return Fund III
Institutional Class
03/31/97 $ 9.13 $ 0.55 $ 0.05 $ 0.60 $ (0.55) $ (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 8.99 0.72 0.17 0.89 (0.54) (0.09)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/95 9.18 0.59 (0.16) 0.43 (0.52) (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/94 9.81 0.59 (0.03) 0.56 (0.66) (0.12)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/93 10.31 0.64 0.75 1.39 (0.64) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Moderate Duration Fund
Institutional Class
12/31/96 - 03/31/97 $ 10.00 $ 0.15 $ (0.17) $ (0.02) $ (0.15) $ 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Low Duration Fund
Institutional Class
03/31/97 $ 9.95 $ 0.64 $ 0.03 $ 0.67 $ (0.63) $ (0.01)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 9.76 0.66 0.21 0.87 (0.68) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/95 10.04 0.65 (0.30) 0.35 (0.54) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/94 10.30 0.62 (0.16) 0.46 (0.64) (0.03)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/93 10.20 0.75 0.22 0.97 (0.74) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Administrative Class
03/31/97 9.95 0.62 0.03 0.65 (0.60) (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 9.76 0.63 0.21 0.84 (0.65) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
12/31/94 - 03/31/95 9.67 0.18 0.07 0.25 (0.14) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
Low Duration Fund II
Institutional Class
03/31/97 $ 9.82 $ 0.62 $ (0.03) $ 0.59 $ (0.58) $ (0.02)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/96 9.77 0.66 0.04 0.70 (0.60) (0.03)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/95 9.94 0.62 (0.16) 0.46 (0.58) (0.03)
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/94 10.25 0.60 (0.28) 0.32 (0.58) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
03/31/93 10.04 0.63 0.25 0.88 (0.64) 0.00
- ------------------------------------- ------------ ------------ ----------- ------------ ------------ --------------
</TABLE>
+Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
30/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
---------------- ------------- ------------ ------------- ----------- ------------
Selected Per Share Data for the Distributions Distributions Tax Basis Total Net Asset
Year or Period Ended: From Net in Excess of Return of Distributions Value End Total Return
Realized Capital Net Realized Capital of Period
Gains Capital Gains
---------------- ------------- ------------ ------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.68) $ 10.27 6.60%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 (0.12) 0.00 0.00 (0.83) 10.29 11.14
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/95 0.00 0.00 (0.02) (0.63) 10.02 4.22
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/94 (0.30) (0.02) 0.00 (1.18) 10.25 4.55
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/93 (0.31) 0.00 0.00 (1.07) 10.91 15.29
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Administrative Class
03/31/97 0.00 0.00 0.00 (0.66) 10.27 6.34
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 (0.12) 0.00 0.00 (0.81) 10.29 10.99
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
09/07/94 - 03/31/95 0.00 0.00 (0.01) (0.36) 10.01 3.76
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Total Return Fund II
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.63) $ 9.85 6.15%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
11/01/95 - 03/31/96 (0.09) (0.05) 0.00 (0.40) 9.89 0.78
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
10/31/95 (0.01) 0.00 0.00 (0.63) 10.21 15.96
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
10/31/94 (0.05) 0.00 (0.06) (0.62) 9.39 (3.58)
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
10/31/93 (0.35) 0.00 0.00 (0.96) 10.38 13.79
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
12/30/91 - 10/31/92 (0.24) 0.00 0.00 (0.73) 9.99 7.52
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Administrative Class
03/31/97 0.00 0.00 0.00 (0.61) 9.85 5.88
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
11/01/95 - 03/31/96 (0.09) (0.05) 0.00 (0.40) 9.89 0.57
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
11/30/94 - 10/31/95 (0.01) 0.00 0.00 (0.56) 10.22 15.92
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Total Return Fund III
Institutional Class
03/31/97 $ 0.00 $ (0.01) $ 0.00 $ (0.58) $ 9.15 6.76%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 (0.12) 0.00 0.00 (0.75) 9.13 10.06
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/95 0.00 0.00 (0.08) (0.62) 8.99 4.92
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/94 (0.20) (0.21) 0.00 (1.19) 9.18 5.64
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/93 (1.25) 0.00 0.00 (1.89) 9.81 14.47
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Moderate Duration Fund
Institutional Class
12/31/96 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.15) $ 9.83 (0.25)%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Low Duration Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.64) $ 9.98 6.97%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 0.00 0.00 0.00 (0.68) 9.95 9.13
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/95 0.00 0.00 (0.09) (0.63) 9.76 3.60
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/94 (0.05) 0.00 0.00 (0.72) 10.04 4.56
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/93 (0.13) 0.00 0.00 (0.87) 10.30 9.91
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Administrative Class
03/31/97 0.00 0.00 0.00 (0.62) 9.98 6.71
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 0.00 0.00 0.00 (0.65) 9.95 8.83
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
12/31/94 - 03/31/95 0.00 0.00 (0.02) (0.16) 9.76 2.53
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
Low Duration Fund II
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.60) $ 9.81 6.33%
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/96 0.00 0.00 (0.02) (0.65) 9.82 7.30
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/95 0.00 0.00 (0.02) (0.63) 9.77 4.80
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/94 (0.05) 0.00 0.00 (0.63) 9.94 3.15
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
03/31/93 (0.03) 0.00 0.00 (0.67) 10.25 8.95
- --------------------------------- ---------------- ------------ ------------ ------------ ----------- ------------
<CAPTION>
---------------- ------------ ------------ -------------
Selected Per Share Data for the Net Assets Ratio of Ratio of Net
Year or Period Ended: End Expenses to Investment Portfolio
of Period Average Net Income to Turnover Rate
(000's) Assets Average Net
Assets
---------------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/97 $ 12,528,536 0.43% 6.60% 173.24%
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 10,247,605 0.42 6.85 221.13
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/95 7,239,735 0.41 6.72 98.48
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/94 5,008,160 0.41 6.27 176.74
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/93 3,155,441 0.43 7.07 89.95
- --------------------------------- ---------------- ------------ ------------ ------------
Administrative Class
03/31/97 151,194 0.68 6.35 173.24
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 104,618 0.68 6.64 221.13
- --------------------------------- ---------------- ------------ ------------ ------------
09/07/94 - 03/31/95 9,037 0.66+ 6.54+ 98.48
- --------------------------------- ---------------- ------------ ------------ ------------
Total Return Fund II
Institutional Class
03/31/97 $ 478,451 0.50% 6.38% 293.34%
- --------------------------------- ---------------- ------------ ------------ ------------
11/01/95 - 03/31/96 455,583 0.51+ 6.36+ 73.18
- --------------------------------- ---------------- ------------ ------------ ------------
10/31/95 442,091 0.50 6.47 41.05
- --------------------------------- ---------------- ------------ ------------ ------------
10/31/94 357,900 0.50 5.22 99.46
- --------------------------------- ---------------- ------------ ------------ ------------
10/31/93 371,260 0.50 5.38 49.71
- --------------------------------- ---------------- ------------ ------------ ------------
12/30/91 - 10/31/92 287,113 0.50+ 5.83+ 133.61
- --------------------------------- ---------------- ------------ ------------ ------------
Administrative Class
03/31/97 5,304 0.75 6.13 293.34
- --------------------------------- ---------------- ------------ ------------ ------------
11/01/95 - 03/31/96 3,320 0.76+ 6.06+ 73.18
- --------------------------------- ---------------- ------------ ------------ ------------
11/30/94 - 10/31/95 3,163 0.76+ 6.22+ 40.91
- --------------------------------- ---------------- ------------ ------------ ------------
Total Return Fund III
Institutional Class
03/31/97 $ 193,297 0.51% 6.21% 89.61%
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 142,223 0.50 6.82 176.97
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/95 99,497 0.50 6.95 145.98
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/94 97,522 0.50 6.00 95.21
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/93 65,349 0.51 6.06 161.38
- --------------------------------- ---------------- ------------ ------------ ------------
Moderate Duration Fund
Institutional Class
12/31/96 - 03/31/97 $ 13,458 0.44%+ 6.01%+ 49.38%
- --------------------------------- ---------------- ------------ ------------ ------------
Low Duration Fund
Institutional Class
03/31/97 $ 2,797,001 0.43% 6.46% 240.30%
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 2,677,574 0.42 6.88 208.79
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/95 2,332,032 0.41 6.46 77.14
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/94 2,298,255 0.43 6.05 42.69
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/93 1,403,594 0.45 7.21 67.51
- --------------------------------- ---------------- ------------ ------------ ------------
Administrative Class
03/31/97 23,564 0.68 6.21 240.30
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 2,536 0.69 6.73 208.79
- --------------------------------- ---------------- ------------ ------------ ------------
12/31/94 - 03/31/95 771 0.66+ 6.93+ 77.14
- --------------------------------- ---------------- ------------ ------------ ------------
Low Duration Fund II
Institutional Class
03/31/97 $ 339,375 0.51% 6.31% 237.38%
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/96 253,299 0.48 6.61 225.02
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/95 170,866 0.47 6.35 102.43
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/94 141,411 0.50 5.73 53.78
- --------------------------------- ---------------- ------------ ------------ ------------
03/31/93 101,025 0.50 6.16 95.33
- --------------------------------- ---------------- ------------ ------------ ------------
</TABLE>
1997 Annual Report See accompanying notes/31
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Selected Per Share Data for the Year -------------- --------------- -------------- --------------- --------------- ---------------
or Period Ended: Net Asset Net Net Realized Total Income Dividends Dividends in
Value Investment and Unrealized From Investment From Net Excess of Net
Beginning Income Gain (Loss) Operations Investment Investment
of Period on Investments Income Income
-------------- --------------- -------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Low Duration Fund III
Institutional Class
12/31/96 - 03/31/97 $ 10.00 $ 0.15 $ (0.09) $ 0.06 $ (0.15) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Short-Term Fund
Institutional Class
03/31/97 $ 9.92 $ 0.61 $ 0.08 $ 0.69 $ (0.59) $ (0.02)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/96 9.79 0.69 0.12 0.81 (0.65) (0.03)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/95 9.92 0.56 (0.13) 0.43 (0.55) (0.01)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/94 10.03 0.48 (0.12) 0.36 (0.47) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/93 10.01 0.37 0.02 0.39 (0.37) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Administrative Class
03/31/97 9.92 0.58 0.08 0.66 (0.57) (0.01)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
02/01/96 - 03/31/96 9.98 0.11 (0.07) 0.04 (0.10) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Long-Term U.S. Government Fund
Institutional Class
03/31/97 $ 9.96 $ 0.79 $ (0.35) $ 0.44 $ (0.68) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/96 9.85 0.83 0.66 1.49 (0.68) (0.04)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/95 9.96 0.60 (0.09) 0.51 (0.60) (0.02)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/94 11.36 0.62 (0.06) 0.56 (1.05) (0.04)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/93 10.82 0.70 1.66 2.36 (0.70) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Real Return Bond Fund
Institutional Class
01/29/97 - 03/31/97 $ 9.92 $ 0.11 $ (0.02) $ 0.09 $ (0.08) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Foreign Bond Fund
Institutional Class
03/31/97 $ 10.50 $ 0.80 $ 1.00 $ 1.80 $ (0.40) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/96 9.38 0.96 1.03 1.99 (0.34) (0.25)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/95 10.18 0.38 (0.57) (0.19) 0.00 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/94 10.34 0.55 0.27 0.82 (0.55) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
12/03/92 - 03/31/93 10.00 0.16 0.34 0.50 (0.16) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Administrative Class
01/28/97 - 03/31/97 10.54 $ 0.59 $ (0.67) (0.08) (0.05) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Global Bond Fund
Institutional Class
03/31/97 $ 10.05 0.70 (0.01) $ 0.69 $ (0.44) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/96 9.87 0.45 0.72 1.17 (0.61) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/95 9.85 0.69 (0.14) 0.55 (0.29) (0.24)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
11/23/93 - 03/31/94 10.00 0.16 (0.15) 0.01 (0.16) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
Administrative Class
08/01/96 - 03/31/97 10.28 0.51 (0.23) 0.28 (0.26) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
High Yield Fund
Institutional Class
03/31/97 $ 10.94 0.92 0.34 $ 1.26 $ (0.97) $ 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/96 10.42 1.04 0.54 1.58 (1.01) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/95 10.52 0.99 (0.12) 0.87 (0.93) (0.02)
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
03/31/94 10.41 0.90 0.18 1.08 (0.90) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
12/16/92 - 03/31/93 10.00 0.24 0.41 0.65 (0.24) 0.00
- ------------------------------------ -------------- --------------- -------------- --------------- --------------- ---------------
</TABLE>
+Annualized
32/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Selected Per Share Data for the ----------------- ----------------- ------------ ---------------- ------------ --------------
Year or Period Ended: Distributions Distributions Tax Basis Net Asset
From Net in Excess of Return of Total Value End Total Return
Realized Capital Net Realized Capital Distributions of Period
Gains Capital Gains
----------------- ----------------- ------------ ---------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Low Duration Fund III
Institutional Class
12/31/96 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.15) $ 9.91 0.58%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Short-Term Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.61) $ 10.00 7.12%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/96 0.00 0.00 0.00 (0.68) 9.92 8.49
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/95 0.00 0.00 0.00 (0.56) 9.79 4.46
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/94 0.00 0.00 0.00 (0.47) 9.92 3.66
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/93 0.00 0.00 0.00 (0.37) 10.03 3.94
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Administrative Class
03/31/97 0.00 0.00 0.00 (0.58) 10.00 6.86
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
02/01/96 - 03/31/96 0.00 0.00 0.00 (0.10) 9.92 0.41
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Long-Term U.S. Government Fund
Institutional Class
03/31/97 $ 0.00 $ (0.33) $ 0.00 $ (1.01) $ 9.39 4.48%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/96 (0.50) (0.16) 0.00 (1.38) 9.96 14.83
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/95 0.00 0.00 0.00 (0.62) 9.85 5.50
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/94 (0.70) (0.17) 0.00 (1.96) 9.96 4.13
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/93 (1.12) 0.00 0.00 (1.82) 11.36 23.42
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Real Return Bond Fund
Institutional Class
01/29/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.08) $ 9.93 0.09%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Foreign Bond Fund
Institutional Class
03/31/97 $ (1.49) $ 0.00 $ 0.00 $ (1.89) 10.41 17.69%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/96 (0.25) (0.03) 0.00 (0.87) 10.50 21.80
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/95 0.00 0.00 (0.61) (0.61) 9.38 (1.85)
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/94 (0.06) (0.37) 0.00 (0.98) 10.18 7.79
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
12/03/92 - 03/31/93 0.00 0.00 0.00 (0.16) 10.34 16.23+
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Administrative Class
01/28/97 - 03/31/97 0.00 0.00 0.00 (0.05) 10.41 (0.72)
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Global Bond Fund
Institutional Class
03/31/97 $ (0.44) $ 0.00 $ 0.00 $ (0.88) $ 9.86 6.78%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/96 (0.21) (0.17) 0.00 (0.99) 10.05 12.04
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/95 0.00 0.00 0.00 (0.53) 9.87 10.35
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
11/23/93 - 03/31/94 0.00 0.00 0.00 (0.16) 9.85 0.08
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
Administrative Class
08/01/96 - 03/31/97 (0.44) 0.00 0.00 (0.70) 9.86 2.97
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
High Yield Fund
Institutional Class
03/31/97 $ (0.13) $ 0.00 $ 0.00 $ (1.10) 11.10 12.04%
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/96 (0.05) 0.00 0.00 (1.06) 10.94 15.70
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/95 0.00 (0.02) 0.00 (0.97) 10.42 8.81
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
03/31/94 (0.07) 0.00 0.00 (0.97) 10.52 10.65
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
12/16/92 - 03/31/93 0.00 0.00 0.00 (0.24) 10.41 24.43+
- ---------------------------------- ----------------- ----------------- ------------ ---------------- ------------ --------------
<CAPTION>
Net Assets Ratio of Ratio of Net
End Expenses to Investment Portfolio
of Period Average Net Income to Turnover Rate
(000's) Assets Average Net
Assets
----------------- --------------- ------------- ------------
<S> <C> <C> <C> <C>
Low Duration Fund III
Institutional Class
12/31/96 - 03/31/97 $ 10,056 0.49%+ 6.00%+ 155.36%
- --------------------------------- ----------------- --------------- ------------- ------------
Short-Term Fund
Institutional Class
03/31/97 $ 156,515 0.47% 6.12% 77.39%
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/96 101,797 0.58 6.86 214.78
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/95 90,114 0.50 5.67 79.30
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/94 73,176 0.50 4.87 45.81
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/93 46,905 0.50 3.67 54.50
- --------------------------------- ----------------- --------------- ------------- ------------
Administrative Class
03/31/97 4,513 0.72 5.87 77.39
- --------------------------------- ----------------- --------------- ------------- ------------
02/01/96 - 03/31/96 3,999 0.52+ 4.44+ 214.78
- --------------------------------- ----------------- --------------- ------------- ------------
Long-Term U.S. Government Fund
Institutional Class
03/31/97 $ 19,995 0.63% 7.63% 401.86%
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/96 32,511 0.56 6.80 238.32
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/95 32,349 0.50 6.62 88.92
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/94 25,978 0.50 5.37 97.67
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/93 22,946 0.50 6.16 320.08
- --------------------------------- ----------------- --------------- ------------- ------------
Real Return Bond Fund
Institutional Class
01/29/97 - 03/31/97 5,638 0.51+ 6.54%+ 160.34%
- --------------------------------- ----------------- --------------- ------------- ------------
Foreign Bond Fund
Institutional Class
03/31/97 $ 234,880 0.50% 7.88% 983.74%
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/96 258,493 0.52 5.83 1,233.71
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/95 232,700 0.47 6.44 299.45
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/94 498,521 0.54 5.12 260.34
- --------------------------------- ----------------- --------------- ------------- ------------
12/03/92 - 03/31/93 178,895 0.65+ 4.97+ 122.55
- --------------------------------- ----------------- --------------- ------------- ------------
Administrative Class
01/28/97 - 03/31/97 30 0.79+ 7.63+ 983.74
- --------------------------------- ----------------- --------------- ------------- ------------
Global Bond Fund
Institutional Class
03/31/97 $ 215,631 0.56% 7.51% 910.61%
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/96 133,833 0.58 5.88 1,082.91
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/95 76,476 0.64 5.59 461.48
- --------------------------------- ----------------- --------------- ------------- ------------
11/23/93 - 03/31/94 40,485 0.50+ 4.55+ 132.41
- --------------------------------- ----------------- --------------- ------------- ------------
Administrative Class
08/01/96 - 03/31/97 346 0.78+ 5.66+ 910.61
- --------------------------------- ----------------- --------------- ------------- ------------
High Yield Fund
Institutional Class
03/31/97 $ 744,498 0.50% 8.77% 67.19%
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/96 536,983 0.47 9.28 65.79
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/95 336,310 0.48 9.37 77.60
- --------------------------------- ----------------- --------------- ------------- ------------
03/31/94 219,976 0.50 8.40 112.40
- --------------------------------- ----------------- --------------- ------------- ------------
12/16/92 - 03/31/93 24,069 0.50+ 8.24+ 29.74
- --------------------------------- ----------------- --------------- ------------- ------------
</TABLE>
1997 Annual Report See accompanying notes/33
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
------------ ------------ ---------------- ---------------- ------------ ------------
Selected Per Share Data for the Net Asset Net Net Realized and Total Income Dividends Dividends in
Year or Period Ended: Value Investment Unrealized From Investment From Net Excess of Net
Beginning Income Gain (Loss) Operations Investment Investment
of Period on Investments Income Income
------------ ------------ ---------------- ---------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
High Yield Fund
Administrative Class
03/31/97 $ 10.94 $ 0.85(a) $ 0.38(a) $ 1.23 $ (0.94) $ 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
03/31/96 10.41 1.02(a) 0.54(a) 1.56 (0.98) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
01/16/95 - 03/31/95 10.14 0.23 0.25 0.48 (0.21) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
Money Market Fund
Institutional Class
03/31/97 $ 1.00 $ 0.05 $ 0.00 $ 0.05 $ (0.05) $ 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
11/01/95 - 03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
10/31/95 1.00 0.06 0.00 0.06 (0.06) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
10/31/94 1.00 0.03 0.00 0.03 (0.03) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
10/31/93 1.00 0.03 0.00 0.03 (0.03) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
10/31/92 1.00 0.04 0.00 0.04 (0.04) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
Administrative Class
03/31/97 1.00 0.05 0.00 0.05 (0.05) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
11/01/95 - 03/31/96 1.00 0.02 0.00 0.02 (0.02) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
01/24/95 - 10/31/95 1.00 0.05 0.00 0.05 (0.05) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
StocksPLUS Fund
Institutional Class
03/31/97 $ 11.16 $ 1.27 $ 0.82 $ 2.09 $ (1.27) $ 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
03/31/96 10.48 0.91 2.48 3.39 (1.05) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
03/31/95 9.52 1.03 0.69 1.72 (0.76) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
05/14/93 - 03/31/94 10.00 0.34 0.10 0.44 (0.34) (0.01)
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
Administrative Class
01/07/97 - 03/31/97 11.56 0.14 (0.09) 0.05 (0.15) 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
Strategic Balanced Fund
Institutional Class
06/28/96 - 03/31/97 $ 10.00 $ 0.85 $ 0.31 $ 1.16 $ (0.63) $ 0.00
- ------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
34/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
---------------- ------------- ------------- --------------- ------------- -------------
Selected Per Share Data for the Distributions Distributions Tax Basis Total Net Asset
Year or Period Ended: From Net in Excess of Return of Distributions Value End Total Return
Realized Capital Net Realized Capital of Period
Gains Capital Gains
---------------- ------------- ------------- --------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
High Yield Fund
Administrative Class
03/31/97 $ (0.13) $ 0.00 $ 0.00 $ (1.07) $ 11.10 11.76%
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
03/31/96 (0.05) 0.00 0.00 (1.03) 10.94 15.54
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
01/16/95 - 03/31/95 0.00 0.00 0.00 (0.21) 10.41 4.66
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
Money Market Fund
Institutional Class
03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 1.00 5.19%
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
11/01/95 - 03/31/96 0.00 0.00 0.00 (0.02) 1.00 2.58
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
10/31/95 0.00 0.00 0.00 (0.06) 1.00 5.67
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
10/31/94 0.00 0.00 0.00 (0.03) 1.00 3.53
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
10/31/93 0.00 0.00 0.00 (0.03) 1.00 2.83
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
10/31/92 0.00 0.00 0.00 (0.04) 1.00 3.85
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
Administrative Class
03/31/97 0.00 0.00 0.00 (0.05) 1.00 4.94
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
11/01/95 - 03/31/96 0.00 0.00 0.00 (0.02) 1.00 2.47
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
01/24/95 - 10/31/95 0.00 0.00 0.00 (0.05) 1.00 4.21
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
StocksPLUS Fund
Institutional Class
03/31/97 $ (0.52) $ 0.00 $ 0.00 $ (1.79) $ 11.46 19.44%
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
03/31/96 (1.62) (0.04) 0.00 (2.71) 11.16 34.07
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
03/31/95 0.00 0.00 0.00 (0.76) 10.48 18.64
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
05/14/93 - 03/31/94 (0.10) (0.47) 0.00 (0.92) 9.52 1.55
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
Administrative Class
01/07/97 - 03/31/97 0.00 0.00 0.00 (0.15) 11.46 0.34
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
Strategic Balanced Fund
Institutional Class
06/28/96 - 03/31/97 $ (0.21) $ 0.00 $ 0.00 $ (0.84) $ 10.32 11.83%
- ------------------------------- ------------- ------------- ------------ ------------- ------------ ------------
<CAPTION>
-------------- -------------- -------------- --------------
Selected Per Share Data for the Net Assets Ratio of Ratio of Net
Year or Period Ended: End Expenses to Investment Portfolio
of Period Average Net Income to Turnover Rate
(000's) Assets Average Net
Assets
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
High Yield Fund
Administrative Class
03/31/97 $ 10,428 0.76% 8.48% 67.19%
- ------------------------------- ------------- ------------- ------------ -------------
03/31/96 1,007 0.80 9.16 65.79
- ------------------------------- ------------- ------------- ------------ -------------
01/16/95 - 03/31/95 41 0.73+ 10.12+ 77.60
- ------------------------------- ------------- ------------- ------------ -------------
Money Market Fund
Institutional Class
03/31/97 $ 23,497 0.40% 5.08% N/A
- ------------------------------- ------------- ------------- ------------ -------------
11/01/95 - 03/31/96 25,935 0.33+ 5.44+ N/A
- ------------------------------- ------------- ------------- ------------ -------------
10/31/95 7,741 0.40 5.53 N/A
- ------------------------------- ------------- ------------- ------------ -------------
10/31/94 7,454 0.40 3.52 N/A
- ------------------------------- ------------- ------------- ------------ -------------
10/31/93 5,836 0.40 2.78 N/A
- ------------------------------- ------------- ------------- ------------ -------------
10/31/92 7,817 0.40 4.02 N/A
- ------------------------------- ------------- ------------- ------------ -------------
Administrative Class
03/31/97 12 0.66 4.83 N/A
- ------------------------------- ------------- ------------- ------------ -------------
11/01/95 - 03/31/96 10 0.61+ 5.95+ N/A
- ------------------------------- ------------- ------------- ------------ -------------
01/24/95 - 10/31/95 10 0.68+ 5.94+ N/A
- ------------------------------- ------------- ------------- ------------ -------------
StocksPLUS Fund
Institutional Class
03/31/97 $ 235,829 0.65% 11.78% 47.17%
- ------------------------------- ------------- ------------- ------------ -------------
03/31/96 151,869 0.70 15.23 101.67
- ------------------------------- ------------- ------------- ------------ -------------
03/31/95 46,498 0.50 11.89 176.98
- ------------------------------- ------------- ------------- ------------ -------------
05/14/93 - 03/31/94 14,330 0.50+ 4.00+ 33.29
- ------------------------------- ------------- ------------- ------------ -------------
Administrative Class
01/07/97 - 03/31/97 682 0.95+ 4.83+ 47.17
- ------------------------------- ------------- ------------- ------------ -------------
Strategic Balanced Fund
Institutional Class
06/28/96 - 03/31/97 $ 10,360 0.90%+ 9.72%+ 94.97%
- ------------------------------- ------------- ------------- ------------ -------------
</TABLE>
1997 Annual Report See accompanying notes/35
<PAGE>
Financial Highlights - Retail Classes
<TABLE>
<CAPTION>
------------ ------------ ------------------ --------------- ------------ --------------
Selected Per Share Data for the Net Asset Net Net Realized and Total Income Dividends Dividends in
Period Ended: Value Investment Unrealized From Investment From Net Excess of Net
Beginning Income Gain (Loss) Operations Investment Investment
of Period on Investments Income Income
------------ ------------ ------------------ --------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Class A
01/13/97 - 03/31/97 $ 10.40 $ 0.12 $ (0.12) $ 0.00 $ (0.13) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/13/97 - 03/31/97 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/13/97 - 03/31/97 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Low Duration Fund
Class A
01/13/97 - 03/31/97 $ 10.02 $ 0.12 $ (0.03) $ 0.09 $ (0.12) $ (0.01)
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/13/97 - 03/31/97 10.02 0.10 (0.03) 0.07 (0.11) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/13/97 - 03/31/97 10.02 0.11 (0.03) 0.08 (0.11) (0.01)
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 10.04 $ 0.10 $ (0.03) $ 0.07 $ (0.10) $ (0.01)
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/20/97 - 03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/20/97 - 03/31/97 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Long-Term U.S. Government Fund
Class A
01/20/97 - 03/31/97 $ 9.67 $ 0.32 $ (0.47) $ (0.15) $ (0.13) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/20/97 - 03/31/97 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/20/97 - 03/31/97 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Real Return Bond Fund
Class A
01/29/97 - 03/31/97 $ 10.00 $ 0.11(a) $ (0.10)(a) $ 0.01 $ (0.08) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/29/97 - 03/31/97 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/29/97 - 03/31/97 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Foreign Bond Fund
Class A
01/20/97 - 03/31/97 $ 10.59 $ 0.59 $ (0.72) $ (0.13) $ (0.05) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/20/97 - 03/31/97 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/20/97 - 03/31/97 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
High Yield Fund
Class A
01/13/97 - 03/31/97 $ 11.18 $ 0.17 $ (0.05) $ 0.12 $ (0.20) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/13/97 - 03/31/97 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/13/97 - 03/31/97 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 1.00 $ 0.01 $ 0.00 $ 0.01 $ (0.01) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/13/97 - 03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/13/97 - 03/31/97 1.00 0.01 0.00 0.01 (0.01) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 11.91 $ (0.10) $ (0.20) $ (0.30) $ (0.15) $ 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class B
01/20/97 - 03/31/97 11.91 (0.13) (0.20) (0.33) (0.14) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
Class C
01/20/97 - 03/31/97 11.91 (0.12)(a) (0.20)(a) (0.32) (0.14) 0.00
- ------------------------------------ ------------ ------------ ------------------ --------------- ------------ --------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
36/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
------------------ --------------- ----------- --------------- ----------- --------------
Selected Per Share Data for the Distributions Distributions Tax Basis Net Asset
Period Ended: From Net in Excess of Return of Total Value End Total Return
Realized Capital Net Realized Capital Distributions of Period
Gains Capital Gains
------------------ --------------- ----------- --------------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Class A
01/13/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 10.27 0.02%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.12) 10.27 (0.10)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.12) 10.27 (0.11)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Low Duration Fund
Class A
01/13/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.98 0.85%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.11) 9.98 0.68
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.12) 9.98 0.75
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.11) $ 10.00 0.66%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.58
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 10.00 0.63
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Long-Term U.S. Government Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.13) $ 9.39 (1.72)%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 9.39 (1.92)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.10) 9.39 (1.83)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Real Return Bond Fund
Class A
01/29/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.08) $ 9.93 0.15%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/29/97 - 03/31/97 0.00 0.00 0.00 (0.06) 9.93 (0.08)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/29/97 - 03/31/97 0.00 0.00 0.00 (0.06) 9.93 (0.07)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Foreign Bond Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 10.41 (1.21)%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.04) 10.41 (1.34)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.04) 10.41 (1.32)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
High Yield Fund
Class A
01/13/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.20) $ 11.10 1.06%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.18) 11.10 0.86
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.18) 11.10 0.88
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.01) $ 1.00 1.01%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.01) 1.00 0.83
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/13/97 - 03/31/97 0.00 0.00 0.00 (0.01) 1.00 1.02
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 0.00 $ 0.00 $ 0.00 $ (0.15) $ 11.46 (2.59)%
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class B
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.14) 11.44 (2.81)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
Class C
01/20/97 - 03/31/97 0.00 0.00 0.00 (0.14) 11.45 (2.71)
- ------------------------------- ------------------ --------------- ----------- --------------- ----------- --------------
<CAPTION>
------------ ------------- -------------- ---------------
Selected Per Share Data for the Net Assets Ratio of Ratio of Net
Period Ended: End Expenses to Investment Portfolio
of Period Average Net Income to Turnover Rate
(000's) Assets Average Net
Assets
------------ ------------- -------------- ---------------
<S> <C> <C> <C> <C>
Total Return Fund
Class A
01/13/97 - 03/31/97 $ 115,742 0.91%+ 6.08%+ 173.24%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/13/97 - 03/31/97 74,130 1.67+ 5.28+ 173.24
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/13/97 - 03/31/97 329,104 1.67+ 5.32+ 173.24
- --------------------------------- ------------- ------------- -------------- ---------------
Low Duration Fund
Class A
01/13/97 - 03/31/97 $ 59,348 0.91%+ 5.84%+ 240.30%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/13/97 - 03/31/97 6,296 1.67+ 5.03+ 240.30
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/13/97 - 03/31/97 63,606 1.42+ 5.36+ 240.30
- --------------------------------- ------------- ------------- -------------- ---------------
Short-Term Fund
Class A
01/20/97 - 03/31/97 $ 2,533 0.86%+ 5.07%+ 77.39%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/20/97 - 03/31/97 114 1.62+ 4.83+ 77.39
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/20/97 - 03/31/97 1,359 1.14+ 4.78+ 77.39
- --------------------------------- ------------- ------------- -------------- ---------------
Long-Term U.S. Government Fund
Class A
01/20/97 - 03/31/97 $ 1,204 1.12%+ 6.91%+ 401.86%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/20/97 - 03/31/97 454 1.87+ 4.95+ 401.86
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/20/97 - 03/31/97 275 1.88+ 5.52+ 401.86
- --------------------------------- ------------- ------------- -------------- ---------------
Real Return Bond Fund
Class A
01/29/97 - 03/31/97 $ 1 0.90%+ 6.14%+ 160.34%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/29/97 - 03/31/97 509 1.59+ 3.43+ 160.34
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/29/97 - 03/31/97 148 1.62+ 5.13+ 160.34
- --------------------------------- ------------- ------------- -------------- ---------------
Foreign Bond Fund
Class A
01/20/97 - 03/31/97 $ 704 0.97%+ 4.95%+ 983.74%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/20/97 - 03/31/97 1,221 1.75+ 3.73+ 983.74
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/20/97 - 03/31/97 1,788 1.76+ 4.09+ 983.74
- --------------------------------- ------------- ------------- -------------- ---------------
High Yield Fund
Class A
01/13/97 - 03/31/97 $ 28,873 0.92%+ 8.28%+ 67.19%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/13/97 - 03/31/97 60,269 1.67+ 7.52+ 67.19
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/13/97 - 03/31/97 205,297 1.68+ 7.56+ 67.19
- --------------------------------- ------------- ------------- -------------- ---------------
Money Market Fund
Class A
01/13/97 - 03/31/97 $ 43,589 0.57%+ 4.44%+ N/A
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/13/97 - 03/31/97 3,143 1.41+ 3.62+ N/A
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/13/97 - 03/31/97 85,398 0.58+ 4.47+ N/A
- --------------------------------- ------------- ------------- -------------- ---------------
StocksPLUS Fund
Class A
01/20/97 - 03/31/97 $ 5,790 1.10%+ (10.69)%+ 47.17%
- --------------------------------- ------------- ------------- -------------- ---------------
Class B
01/20/97 - 03/31/97 8,281 1.88+ (15.13)+ 47.17
- --------------------------------- ------------- ------------- -------------- ---------------
Class C
01/20/97 - 03/31/97 11,254 1.65+ (12.79)+ 47.17
- --------------------------------- ------------- ------------- -------------- ---------------
</TABLE>
1997 Annual Report See accompanying notes/37
<PAGE>
Statement of Cash Flows
For the year or period ended March 31, 1997
<TABLE>
<CAPTION>
--------------- ----------- ----------------- ----------------
$ in thousands Long-Term Real Return Foreign Bond Fund Global Bond Fund
U.S. Gov't Fund Bond Fund
--------------- ----------- ----------------- ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 8,968 $ 6,263 $ 157,159 $ 88,467
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Redemptions of Fund shares (20,127) 0 (205,391) (12,814)
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Cash distributions paid (404) 0 (8,783) (1,919)
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Proceeds from financing transactions 10,528 4,002 87,353 196,808
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Net increase (decrease) from financing activities (1,035) 10,265 30,338 270,542
================================================================ ============ ============= ============== ============
Operating Activities
Purchases of long-term securities and foreign currency (140,264) (6,144) (4,249,568) (2,038,876)
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Proceeds from sales of long-term securities and foreign currency 140,432 381 4,264,532 1,828,812
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Purchases of short-term securities (net) (1,274) (4,554) (66,960) (71,100)
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Net investment income 1,963 63 17,013 12,777
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Change in other receivables/payables (net) 183 (10) 5,120 (2,007)
- ---------------------------------------------------------------- ------------ ------------- -------------- ------------
Net increase (decrease) from operating activities 1,040 (10,264) (29,863) (270,394)
================================================================ ============ ============= ============== ============
Net increase in Cash and Foreign Currency 5 1 475 148
================================================================ ============ ============= ============== ============
Cash and Foreign Currency
Beginning of period 0 0 405 469
- --------------------------------------------------------------- ------------ ------------- -------------- ------------
End of period $ 5 $ 1 $ 880 $ 617
=============================================================== ============ ============= ============== ============
</TABLE>
38/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 16.6%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 7.3%
ABN AMRO Bank N.V.
7.750% due 05/15/23 $ 200 $ 198
Aetna Services, Inc.
6.750% due 09/15/13 200 182
Ahmanson (H.F.) & Co.
6.000% due 04/01/97 25,000 25,000
American Express Credit
6.800% due 12/15/03 1,500 1,498
American General Finance
5.875% due 07/01/00 75 73
8.125% due 08/15/09 50 52
Associates Corp. of North America
9.700% due 05/01/97 450 451
6.125% due 02/01/98 1,475 1,474
6.625% due 05/15/98 100 100
8.800% due 08/01/98 987 1,015
6.250% due 03/15/99 1,200 1,190
7.500% due 05/15/99 700 710
7.400% due 07/07/99 125 126
7.250% due 09/01/99 200 202
6.750% due 10/15/99 90 90
8.250% due 12/01/99 200 207
6.250% due 09/15/00 50 49
AT&T Capital Corp.
5.940% due 04/18/97 50,000 50,004
6.690% due 05/09/97 25,000 25,026
5.558% due 11/05/97 (d) 10,000 10,004
5.880% due 11/05/97 65,000 64,943
5.900% due 11/13/97 75,000 74,929
7.350% due 03/02/98 6,000 6,052
AVCO Financial Services
6.350% due 09/15/00 100 98
7.375% due 08/15/01 300 303
Bancomer
8.000% due 07/07/98 7,000 7,007
Banesto
8.250% due 07/28/02 28,900 30,046
BankAmerica Corp.
7.200% due 09/15/02 400 399
7.500% due 10/15/02 1,000 1,010
Bankers Trust
8.625% due 04/01/18 181 186
Banponce Corp.
5.893% due 05/05/97 (d) 5,000 4,973
8.040% due 11/24/97 9,000 9,092
Barclays American Corp.
9.125% due 12/01/97 350 357
Bear Stearns
6.750% due 04/15/03 105 102
Beneficial Corp.
6.210% due 09/11/97 145 145
9.600% due 10/16/98 250 261
Canadian Pacific Securities Ltd.
9.450% due 08/01/21 2,750 3,171
Chase Manhattan Corp.
8.500% due 02/15/02 200 211
8.000% due 05/01/05 200 199
Chemical Banking Corp.
6.125% due 11/01/08 400 355
Chrysler Financial Corp.
8.420% due 02/01/99 695 716
8.460% due 01/19/00 700 728
Chubb Capital Corp.
6.875% due 02/01/03 100 99
Chubb Corp.
8.750% due 11/15/99 120 123
Citicorp
8.750% due 02/15/98 9,000 9,186
5.625% due 05/29/98 (d) 21,600 21,587
Commercial Credit Co.
6.750% due 05/15/00 100 99
6.000% due 06/15/00 300 292
8.250% due 11/01/01 2,500 2,605
Dean Witter Discover
5.670% due 03/02/99 (d) 100 100
6.750% due 08/15/00 100 99
Den Danske Bank
6.729% due 06/23/00 (d) 4,500 4,509
First Interstate Bancorp
12.750% due 05/01/97 1,250 1,256
5.913% due 06/25/97 (d) 5,000 5,002
8.875% due 01/01/09 324 329
Fleet Financial Group
9.900% due 06/15/01 200 219
Ford Motor Credit Corp.
9.350% due 05/14/97 1,000 1,004
8.000% due 12/01/97 260 263
7.240% due 04/01/98 11,000 11,094
6.030% due 11/09/98 (d) 17,080 17,125
8.375% due 01/15/00 150 156
7.020% due 10/10/00 70,000 70,027
7.000% due 09/25/01 250 249
6.625% due 06/30/03 575 557
8.250% due 02/23/05 2,500 2,616
General Electric Capital Corp.
8.300% due 09/20/09 150 163
General Motors Acceptance Corp.
6.700% due 04/15/97 26,100 26,110
7.750% due 04/15/97 8,150 8,156
8.375% due 05/01/97 1,350 1,353
7.750% due 05/12/97 2,000 2,004
7.250% due 05/19/97 7,500 7,516
7.125% due 05/23/97 1,000 1,002
6.125% due 06/09/97 8,000 8,008
6.000% due 06/16/97 1,000 1,000
7.100% due 07/01/97 1,700 1,705
6.400% due 07/30/97 1,000 1,002
6.300% due 09/10/97 1,000 1,002
6.000% due 10/10/97 23,000 23,016
7.850% due 11/17/97 13,000 13,148
7.375% due 03/23/98 2,290 2,312
7.375% due 05/26/99 190 192
8.625% due 06/15/99 650 674
7.000% due 03/01/00 100 100
9.625% due 12/15/01 300 329
7.000% due 09/15/02 100 99
Georgia Pacific Credit Corp.
9.850% due 06/15/97 3,000 3,023
Goldman Sachs Mortgage Corp.
6.000% due 12/31/07 11,528 10,181
Great Western Bank
8.625% due 12/01/98 3,000 3,086
Household Financial Corp.
6.250% due 10/15/97 201 201
Inter-American Development Bank
8.875% due 06/01/09 200 226
International Bank for Reconstruction & Development
9.875% due 10/01/97 194 198
Kimco Realty Corp.
6.500% due 10/01/03 200 188
Lehman Brothers
8.375% due 04/01/97 90 90
6.730% due 02/27/98 45,000 45,148
6.375% due 06/01/98 100 100
6.150% due 06/22/98 (d) 25,000 25,182
6.250% due 06/29/98 5,400 5,380
Mellon Bank
6.500% due 08/01/05 75 70
Merrill Lynch & Co.
5.380% due 06/23/97 (d) 19,000 18,992
6.500% due 04/01/01 100 98
8.300% due 11/01/02 200 210
7.000% due 03/15/06 1,500 1,464
7.000% due 04/27/08 100 96
Mesa Operating Co.
10.625% due 07/01/06 3,250 3,388
</TABLE>
1997 Annual Report See accompanying notes/39
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
NationsBank Corp.
5.125% due 09/15/98 $ 100 $ 98
6.750% due 02/26/01 500 493
7.000% due 09/15/01 1,500 1,496
New England Mutual
7.875% due 02/15/24 1,500 1,455
Northern Trust
9.000% due 05/15/98 200 206
Norwest Financial, Inc.
6.500% due 11/15/97 1,500 1,505
6.230% due 09/01/98 100 100
5.750% due 11/16/98 300 296
7.000% due 01/15/03 300 296
PaineWebber
6.250% due 06/15/98 100 100
7.000% due 03/01/00 200 200
PNC Funding Corp.
6.875% due 03/01/03 100 97
Reliance Group Holdings
9.000% due 11/15/00 9,000 9,203
Saferco
9.460% due 05/31/99 1,000 1,051
9.590% due 05/31/01 3,000 3,255
Salomon, Inc.
5.820% due 08/12/97 2,700 2,700
5.530% due 08/25/97 2,400 2,394
5.470% due 08/29/97 18,000 17,976
5.650% due 10/15/97 6,000 5,981
5.763% due 10/31/97 (d) 14,000 14,002
5.763% due 11/05/97 (d) 7,000 7,001
5.890% due 11/10/97 99,000 98,960
5.650% due 02/10/98 1,165 1,159
5.700% due 02/11/98 1,300 1,294
6.625% due 11/30/00 70 69
3.650% due 02/14/02 (h) 17,052 16,642
Sears Financial
0.000% due 07/12/98 3,480 3,202
Security Pacific Corp.
6.249% due 03/01/18 (d) 174 171
Shearson Lehman
9.875% due 10/25/17 123 125
Signet Bank Corp.
5.629% due 05/15/97 (d) 1,000 999
5.813% due 04/15/98 (d) 9,000 8,974
9.625% due 06/01/99 6,500 6,838
Smith Barney
6.625% due 06/01/00 95 94
Sparbanken Sverige AB
7.383% due 10/29/49 (d) 24,670 25,316
Toyota Motor Credit Corp.
6.912% due 02/15/02 (d) 40,000 39,587
Transamerica Financial
5.724% due 04/20/99 (d) 500 496
Trizec Finance
10.875% due 10/15/05 3,715 4,059
U.S. Life Corp.
6.750% due 01/15/98 100 100
U.S. West Capital Funding, Inc.
6.830% due 11/15/07 1,000 945
U.S. West Financial Services, Inc.
9.450% due 09/30/97 200 203
8.400% due 09/15/99 50 52
Wachovia Bank
6.700% due 04/14/99 500 500
6.625% due 11/15/06 75 71
Wells Fargo & Co.
8.750% due 05/01/02 100 106
--------
967,609
--------
Industrials 5.2%
American Home Products
6.875% due 04/15/97 900 900
7.700% due 02/15/00 300 307
American Standard
11.375% due 05/15/04 10,000 10,625
Amerigas Partners L.P.
10.125% due 04/15/07 1,730 1,842
Amphenol Corp.
12.750% due 12/15/02 25,000 27,125
AMR Corp.
7.750% due 12/01/97 10,000 10,079
9.500% due 07/15/98 5,500 5,699
9.270% due 08/13/98 1,000 1,033
8.050% due 03/05/99 4,000 4,079
9.750% due 03/15/00 7,760 8,284
10.610% due 01/11/01 4,000 4,429
10.570% due 01/15/01 3,000 3,320
10.590% due 01/31/01 3,000 3,325
10.000% due 02/01/01 2,000 2,181
9.400% due 05/08/01 3,000 3,211
9.500% due 05/15/01 2,250 2,424
9.130% due 10/25/01 2,000 2,132
8.470% due 02/20/02 2,000 2,082
8.500% due 02/26/02 1,000 1,042
8.625% due 03/01/17 (j) 19,731 19,731
Anheuser Busch
7.000% due 09/01/05 300 294
Arkla, Inc.
9.875% due 04/15/97 55,050 55,123
9.320% due 12/15/97 1,000 1,020
8.740% due 05/14/98 3,000 3,061
Auburn Hills Trust
12.000% due 05/01/20 (d) 30 44
Baxter International
9.500% due 06/15/08 200 230
Boise Cascade Co.
9.900% due 03/15/00 65 70
BP America, Inc.
8.875% due 12/01/97 750 764
Bristol-Myers Squibb
7.150% due 06/15/23 300 287
Building Materials Corp.
0.000% due 07/01/04 (i) 10,320 9,146
CBS, Inc.
7.625% due 01/01/02 100 98
Centerior Fuel Corp.
9.200% due 08/02/98 15,000 15,164
Century Communication
9.500% due 08/15/00 6,000 6,030
11.875% due 10/15/03 6,000 6,405
CF Cable TV, Inc.
9.125% due 07/15/07 1,600 1,720
Coastal Corp.
8.750% due 05/15/99 4,300 4,466
Continental Cablevision
11.000% due 06/01/07 4,536 5,101
Cumberland Farms
10.500% due 10/01/03 3,754 3,679
Dayton Hudson Co.
10.000% due 12/01/00 1,000 1,089
Delta Air Lines
7.730% due 05/14/97 8,800 8,819
9.750% due 05/15/21 500 580
Dimon, Inc.
8.875% due 06/01/06 3,000 3,060
E.I. Du Pont de Nemours
8.650% due 12/01/97 500 508
9.150% due 04/15/00 100 106
Eastman Kodak
8.550% due 05/01/97 425 426
Eli Lilly & Co.
8.125% due 02/07/00 387 394
Federal Express
10.000% due 09/01/98 800 834
Ford Motor Co.
9.250% due 07/15/97 100 101
9.000% due 09/15/01 200 214
8.875% due 01/15/22 200 221
General Motors Corp.
8.170% due 01/02/00 2,364 2,428
8.950% due 07/02/09 21,500 22,700
</TABLE>
40/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================================
<S> <C> <C>
Gillette Co.
5.750% due 10/15/05 $ 1,500 $ 1,365
Gulf Canada Resources
9.250% due 01/15/04 1,250 1,306
9.625% due 07/01/05 2,000 2,135
HMH Properties
9.500% due 05/15/05 2,000 2,068
Hollinger International Publishing
9.250% due 02/01/06 3,000 2,985
IBM Corp.
7.250% due 11/01/02 100 101
Ikon Office Solutions
6.750% due 12/01/25 1,200 1,051
INDSPEC Chemical Corp.
0.000% due 12/01/03 (i) 5,500 5,088
Integrated Health Services
9.625% due 05/31/02 3,000 3,135
10.750% due 07/15/04 3,650 4,006
ISP Holdings, Inc.
9.000% due 10/15/03 5,000 5,050
ITT Corp.
6.250% due 11/15/00 (d) 70 67
K-III Communications Co.
10.625% due 05/01/02 5,185 5,392
8.500% due 02/01/06 4,000 3,900
Kaiser Aluminum & Chemical
9.875% due 02/15/02 250 249
Kellogg Co.
5.900% due 07/15/97 100 100
Keystone Group
9.750% due 09/01/03 250 268
Lenfest Communications
8.375% due 11/01/05 5,000 4,706
Maxus Energy Corp.
9.875% due 10/15/02 300 311
Mazda Manufacturing Corp.
10.500% due 07/01/08 1,980 2,434
Mobil Corp.
8.375% due 02/12/01 40 42
Nabisco, Inc.
8.000% due 01/15/00 6,500 6,654
New York Times
7.625% due 03/15/05 1,000 1,018
News America Holdings Corp.
7.500% due 03/01/00 65 66
8.625% due 02/01/03 750 789
Noranda, Inc.
7.000% due 07/15/05 1,800 1,732
Northern Indiana Public
6.375% due 09/01/97 5,950 5,966
Owens Illinois
10.000% due 08/01/02 300 314
11.000% due 12/01/03 10,000 11,025
Parker Drilling Corp.
7.750% due 11/29/02 (d) 7,500 7,500
Pepsico, Inc.
5.463% due 07/01/98 400 395
7.750% due 10/01/98 500 509
Philip Morris Co.
8.750% due 06/15/97 100 101
7.375% due 02/15/99 115 116
8.625% due 03/01/99 200 206
7.500% due 01/15/02 50 50
Phillips Petroleum
9.500% due 11/15/97 500 510
Repap Wisconsin, Inc.
9.250% due 02/01/02 2,350 2,350
Revlon Consumer Products Corp.
9.375% due 04/01/01 5,255 5,380
RJR Nabisco
7.625% due 09/01/00 6,000 5,929
8.000% due 07/15/01 30,000 29,698
8.625% due 12/01/02 3,000 3,012
Rogers Cablesystems, Inc.
10.000% due 12/01/07 5,000 5,213
Rogers Cantel Mobile
11.125% due 07/15/02 5,000 5,244
9.375% due 06/01/08 2,750 2,833
SCI Television
11.000% due 06/30/05 3,275 3,496
Sears Roebuck & Co.
6.580% due 07/23/97 150 150
9.250% due 04/15/98 2,125 2,185
5.820% due 02/22/99 125 123
Showboat, Inc.
9.250% due 05/01/08 1,000 1,028
Stone Consolidated
10.250% due 12/15/00 5,000 5,288
Supervalu, Inc.
6.500% due 10/06/00 140 137
Telewest Communications
9.625% due 10/01/06 5,000 4,975
Tenet Healthcare
9.625% due 09/01/02 6,250 6,672
10.125% due 03/01/05 1,000 1,090
Texaco Capital
9.000% due 11/15/97 1,000 1,019
Time Warner, Inc.
7.450% due 02/01/98 12,000 12,097
6.456% due 08/15/00 (d) 52,669 52,691
7.975% due 08/15/04 31,053 31,276
8.110% due 08/15/06 78,529 78,995
7.250% due 09/01/08 125 119
8.375% due 07/15/33 (j) 25,000 25,000
Transcontinental Gas Pipeline
9.125% due 02/01/17 2,000 2,061
Union Oil of California
9.750% due 12/01/00 400 434
6.700% due 10/15/07 100 94
United Air Lines
6.750% due 12/01/97 11,400 11,435
10.670% due 05/01/04 2,050 2,351
USX Corp.
6.375% due 07/15/98 16,200 16,135
9.800% due 07/01/01 300 328
Vons
6.625% due 05/15/98 10,001 10,026
W.R. Grace & Co.
6.880% due 06/23/97 5,000 5,012
Wal-Mart Stores
9.100% due 07/15/00 100 106
8.625% due 04/01/01 1,050 1,109
World Color Press, Inc.
9.125% due 03/15/03 5,000 5,025
Xerox Corp.
7.200% due 04/01/16 300 285
----------------
691,143
================
Utilities 4.1%
AES Corp.
9.750% due 06/15/00 2,250 2,337
10.250% due 07/15/06 4,500 4,916
Arkansas Power & Light
10.370% due 12/22/97 3,000 3,057
Bell Atlantic Financial
6.625% due 11/30/97 400 401
California Energy
10.250% due 01/15/04 (d) 12,985 14,154
Calpine Corp.
9.250% due 02/01/04 4,150 4,223
Carolina Power & Light
6.375% due 10/01/97 50 50
5.375% due 07/01/98 100 99
Central Maine Power Co.
6.250% due 11/01/98 1,000 985
Central Power & Light
6.000% due 10/01/97 850 850
Chesapeake & Potomac Telephone
8.000% due 10/15/29 1,125 1,144
Chesapeake Energy Corp.
12.000% due 03/01/01 7,000 7,648
</TABLE>
1997 Annual Report See accompanying notes/41
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Cincinnati Bell Inc.
6.700% due 12/15/97 $ 1,000 $ 1,003
Cleveland Electric Illuminating Co.
9.375% due 03/01/17 3,000 3,067
CMS Energy
9.500% due 10/01/97 (d) 31,600 31,979
9.875% due 10/01/99 (d) 4,200 4,333
Commonwealth Edison
6.500% due 07/15/97 5,375 5,379
8.125% due 01/15/07 10,000 9,840
9.875% due 06/15/20 11,700 12,898
Connecticut Light & Power
6.500% due 01/01/98 1,000 1,000
7.250% due 07/01/99 6,000 5,951
Consolidated Edison
7.600% due 01/15/00 100 102
Consolidated Natural Gas Co.
5.875% due 10/01/98 500 496
Consumers Energy
8.750% due 02/15/98 5,550 5,640
CTC Mansfield Funding
10.250% due 03/30/03 16,074 16,476
11.125% due 09/30/16 101,315 108,154
Duke Power Co.
8.000% due 11/01/99 40 41
Eastern Edison Co.
7.780% due 07/30/02 9,000 9,147
El Paso Electric Co.
7.250% due 02/01/99 10,956 10,908
First PV Funding
10.150% due 01/15/16 6,894 7,351
Georgia Power
7.000% due 10/01/00 5,000 4,920
GTE Corp.
8.850% due 03/01/98 200 204
10.750% due 09/15/17 300 321
Gulf States Utilities
7.250% due 03/01/99 6,200 6,178
Hydro Quebec
5.594% due 04/15/99 (d) 10,000 9,978
9.400% due 02/01/21 500 574
9.500% due 11/15/30 2,370 2,786
Long Island Lighting Co.
6.250% due 07/15/01 7,000 6,711
8.500% due 05/15/06 6,750 6,893
9.750% due 05/01/21 28,818 29,556
9.625% due 07/01/24 16,400 16,926
MCI Communications
6.250% due 03/23/99 600 595
New England Power
6.140% due 02/02/98 500 499
6.100% due 02/04/98 1,000 999
New Jersey Bell Telephone
7.850% due 11/15/29 70 74
New Orleans Public Service
8.670% due 04/01/05 2,230 2,271
New York Telephone Co.
6.250% due 02/15/04 150 142
Niagara Mohawk Power
8.000% due 06/01/04 (j) 25,000 25,000
8.770% due 01/01/18 (j) 43,021 43,021
North Atlantic Energy
9.050% due 06/01/02 5,202 5,146
Northern Illinois Gas Co.
6.450% due 08/01/01 1,450 1,423
Oklahoma Gas & Electric
6.375% due 01/01/98 100 100
Pacific Gas & Electric
5.375% due 08/01/98 500 493
7.670% due 12/15/98 208 211
6.750% due 12/01/00 709 702
Pacific Northwest Bell
4.375% due 09/01/02 50 44
Pennsylvania Power & Light
5.500% due 04/01/98 250 248
Public Service Electric & Gas
6.875% due 06/01/97 1,200 1,202
8.750% due 07/01/99 40 42
Public Service of New Hampshire
9.170% due 05/15/98 16,000 16,301
Questar Pipeline
9.375% due 06/01/21 200 215
Southern California Edison
6.125% due 07/15/97 500 500
5.875% due 02/01/98 343 342
5.450% due 06/15/98 400 395
Southwestern Bell Telephone Co.
5.550% due 03/10/98 1,000 994
6.125% due 03/01/00 50 49
System Energy Resources
6.000% due 04/01/98 801 793
Texas-New Mexico Power
10.750% due 09/15/03 4,950 5,216
Texas Gas Transmission Corp.
9.625% due 07/15/97 5,400 5,453
Texas Utilities
5.891% due 05/01/99 (d) 32,125 32,161
Toledo Edison Co.
6.125% due 08/01/97 200 200
8.180% due 07/30/02 1,400 1,375
8.700% due 09/01/02 10,000 9,719
7.850% due 03/31/03 7,000 6,732
7.875% due 08/01/04 500 494
Trident NGL, Inc.
10.250% due 04/15/03 7,500 8,100
Triton Energy
0.000% due 11/01/97 (i) 6,800 6,562
Tucson Electric Power
8.500% due 10/01/09 1,000 953
U.S. West Communications, Inc.
6.625% due 09/15/05 300 287
Virginia Electric & Power Co.
9.375% due 06/01/98 500 515
6.250% due 08/01/98 200 199
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/13 991 974
----------
539,417
----------
Total Corporate Bonds and Notes 2,198,169
(Cost $2,190,755) ==========
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 7.4%
- --------------------------------------------------------------------------------
U.S. Treasury Bonds
12.375% due 05/15/04 (b) 1,000 1,303
13.875% due 05/15/11 210 305
11.250% due 02/15/15 648,800 912,173
10.625% due 08/15/15 400 539
U.S. Treasury Notes
6.000% due 09/30/98 48,600 48,387
6.750% due 06/30/99 500 503
7.750% due 11/30/99 2,000 2,057
8.500% due 02/15/00 900 944
6.750% due 04/30/00 2,800 2,810
6.250% due 05/31/00 500 495
5.875% due 06/30/00 500 489
6.125% due 09/30/00 200 197
6.375% due 03/31/01 300 296
6.500% due 08/31/01 250 248
5.750% due 08/15/03 1,350 1,274
5.875% due 02/15/04 2,850 2,696
7.500% due 02/15/05 200 207
6.500% due 05/15/05 1,000 973
U.S. Treasury Strips
0.000% due 05/15/03 9 6
----------
Total U.S. Treasury Obligations 975,902
(Cost $1,010,545) ==========
</TABLE>
42/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ---------------------------------------------------------------------
U.S. Government Agencies 1.2%
- ---------------------------------------------------------------------
A.I.D. Housing Guarantee - Peru
9.980% due 08/01/08 $ 1,265 $ 1,367
Federal Farm Credit Bank
7.240% due 06/21/06 2,500 2,496
Federal Home Loan Bank
6.520% due 04/24/97 250 250
9.200% due 08/25/97 150 152
6.320% due 12/04/97 1,500 1,504
6.560% due 04/04/01 100 99
Federal Home Loan Mortgage Corp.
6.610% due 08/07/00 1,000 993
6.565% due 11/04/02 2,000 1,953
6.170% due 12/11/02 2,000 1,920
7.900% due 04/27/05 300 299
7.250% due 06/08/05 30 29
6.750% due 08/01/05 2,400 2,353
7.120% due 09/30/05 100 97
6.780% due 12/07/05 100 95
7.275% due 12/11/06 3,000 2,910
Federal National Mortgage Assn.
0.000% due 04/10/97 869 868
8.700% due 06/10/99 30 31
9.050% due 04/10/00 255 271
5.880% due 07/17/00 1,200 1,172
6.110% due 09/20/00 40 39
8.500% due 02/01/05 150 155
7.375% due 03/28/05 40 41
7.000% due 12/05/05 250 241
7.040% due 12/09/05 100 98
7.150% due 03/09/11 2,125 2,052
Government Trust Certificate - Greece
8.000% due 05/15/98 67 68
Government Trust Certificate - Israel
0.000% due 05/15/10 7,300 2,824
Student Loan Marketing Assn.
5.540% due 02/17/98 (d) 100 100
7.000% due 03/03/98 30 30
6.612% due 02/20/00 (d) 134,700 133,287
7.500% due 03/08/00 30 31
7.200% due 11/09/00 35 36
Tennessee Valley Authority
0.000% due 05/15/97 (i) 1,242 1,234
0.000% due 04/15/42 (i) 855 259
--------
Total U.S. Government Agencies 159,354
(Cost $160,926) ========
- ---------------------------------------------------------------------
Mortgage-Backed Securities 55.9%
- ---------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 5.7%
5.000% due 07/15/02 2,072 2,067
5.250% due 12/01/98 19 18
5.500% due 07/01/00-03/01/10 (g) 99 98
6.000% due 12/01/98-01/01/01 (g) 816 799
6.000% due 01/01/11-04/01/16 (g) 659 616
6.000% due 01/01/25-04/01/26 (g) 3,968 3,589
6.375% due 04/01/17 (d) 71 73
6.500% due 04/01/08-03/01/11 (g) 1,412 1,368
6.500% due 09/01/25-05/13/27 (g) 287,638 267,895
6.775% due 11/01/03 70 69
7.000% due 05/01/00-12/01/07 (g) 2,250 2,255
7.000% due 06/01/10-01/01/14 (g) 1,639 1,612
7.000% due 11/01/25-03/01/26 (g) 1,148 1,103
7.125% due 06/01/17 (d) 43 45
7.283% due 07/01/23 (d) 4,857 4,975
7.339% due 05/01/23 (d) 3,430 3,559
7.424% due 07/01/22 (d) 2,994 3,107
7.500% due 05/01/99-05/01/08 (g) 662 662
7.500% due 05/01/11-02/01/17 (g) 2,693 2,697
7.500% due 04/01/23-01/01/27 (g) 13,819 13,688
7.517% due 06/01/24 (d) 23,019 23,904
7.518% due 09/01/23 (d) 39,252 40,332
7.591% due 08/01/23 (d) 22,587 23,322
7.612% due 07/01/23 (d) 1,821 1,876
7.625% due 01/01/19 (d) 21 21
7.641% due 04/01/24 (d) 4,235 4,400
7.645% due 05/01/23 (d) 6,771 7,034
7.673% due 09/01/23 (d) 4,537 4,652
7.710% due 06/21/04 400 403
7.719% due 04/01/23 (d) 1,464 1,521
7.742% due 11/01/23 (d) 6,271 6,525
7.750% due 04/01/07 65 65
7.800% due 08/01/23 (d) 36 38
7.820% due 04/01/24 (d) 20,607 21,426
7.838% due 08/01/23 (d) 4,023 4,156
7.842% due 06/01/28 (d) 9,776 10,165
7.870% due 06/01/24 (d) 4,107 4,237
7.879% due 11/01/23 (d) 2,298 2,375
7.882% due 08/01/24 (d) 1,285 1,336
7.884% due 04/01/24 (d) 2,301 2,392
7.889% due 11/01/23 (d) 1,313 1,351
7.894% due 07/01/24 (d) 6,965 7,243
7.906% due 08/01/23 (d) 2,019 2,086
7.973% due 09/01/23 (d) 9,606 9,913
7.992% due 04/01/29 (d) 5,741 5,973
8.016% due 10/01/23 (d) 4,489 4,672
8.021% due 10/01/23 (d) 6,981 7,263
8.025% due 11/01/23 (d) 2,031 2,110
8.028% due 10/01/23 (d) 7,167 7,459
8.041% due 10/01/23 (d) 1,418 1,457
8.045% due 01/01/24 (d) 1,229 1,279
8.070% due 10/01/23 (d) 2,571 2,674
8.097% due 09/01/23 (d) 9,198 9,574
8.104% due 01/01/24 (d) 1,580 1,628
8.000% due 10/01/07-05/01/17 (g) 4,052 4,115
8.000% due 03/01/25-06/01/26 (g) 45,574 46,089
8.250% due 08/01/07-12/01/09 (g) 278 285
8.500% due 09/01/01-06/01/09 (g) 1,305 1,347
8.500% due 08/01/14-06/01/22 (g) 1,030 1,065
8.500% due 12/01/24-04/10/27 (g) 146,263 150,383
8.750% due 02/01/01-09/01/10 (g) 671 693
9.000% due 01/01/02-08/01/11 (g) 1,035 1,083
9.000% due 06/01/12-05/01/17 (g) 545 573
9.250% due 06/01/09-08/01/09 (g) 154 164
9.500% due 08/01/01-12/01/05 (g) 1,885 1,960
9.500% due 03/01/16-06/01/21 (g) 2,274 2,444
10.000% due 06/01/04-12/01/05 (g) 1,329 1,399
10.250% due 04/01/09-05/01/09 (g) 2,758 2,976
11.000% due 12/01/99-11/01/09 (g) 40 45
11.000% due 04/01/10-07/01/19 (g) 1,453 1,612
11.250% due 10/01/09-09/01/15 (g) 212 234
11.500% due 03/01/00-05/01/00 (g) 37 39
12.500% due 07/01/99 9 9
13.250% due 10/01/13 85 99
14.000% due 04/01/16 40 46
15.500% due 08/01/11-11/01/11 (g) 25 29
16.250% due 05/01/11-11/01/11 (g) 19 22
--------
751,868
========
Federal Housing Administration 0.8%
5.250% due 02/01/03 305 287
7.125% due 02/01/34 4,511 4,296
7.211% due 12/01/21 3,760 3,754
7.317% due 11/01/19 12,253 11,923
7.375% due 03/01/19-01/01/24 (g) 17,825 17,193
7.399% due 02/01/21 2,776 2,558
7.430% due 12/01/16-10/01/23 (g) 66,697 64,814
7.650% due 11/01/18 183 175
9.680% due 05/01/24 1,665 1,793
--------
106,793
========
Federal National Mortgage Association 5.8%
5.250% due 09/25/97 5 5
6.000% due 11/01/03-03/01/11 (g) 4,920 4,785
6.000% due 03/01/24 2,445 2,222
6.073% due 11/01/18 (d) 51 51
6.083% due 09/01/24 (d) 5,451 5,414
6.085% due 11/01/23-05/01/29 (d)(g) 12,753 12,584
6.086% due 10/01/27 (d) 701 692
6.087% due 10/01/28 (d) 64,162 63,304
6.090% due 01/01/16-05/01/18 (d)(g) 2,058 2,045
6.092% due 10/01/19-05/01/28 (d)(g) 5,002 4,937
6.124% due 04/23/27 17,350 17,111
6.150% due 12/14/01 100 97
</TABLE>
1997 Annual Report See accompanying notes/43
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
6.275% due 05/01/26 (d) $ 7,685 $ 7,947
6.500% due 10/01/05-04/01/08 (g) 471 465
6.500% due 12/01/25-03/01/26 (g) 97,540 90,933
6.750% due 08/01/03 836 830
6.834% due 07/01/03 70 68
6.900% due 05/25/23 125 97
6.902% due 11/01/25 (d) 17,363 17,653
6.950% due 03/25/26 200 196
7.000% due 05/25/99-03/01/08 (g) 2,876 2,859
7.000% due 01/01/10-12/25/19 (g) 3,257 3,232
7.000% due 01/25/20-11/01/26 (g) 39,687 37,690
7.250% due 05/01/02-01/01/23 (g) 11,724 11,427
7.067% due 09/01/22 (d) 4,011 4,081
7.267% due 09/01/25 (d) 8,980 9,116
7.279% due 09/01/22 (d) 4,652 4,748
7.321% due 06/01/24 (d) 17,184 17,818
7.440% due 03/01/26 (d) 25,563 26,670
7.451% due 11/01/25 (d) 7,156 7,371
7.457% due 05/01/24 (d) 7,949 8,323
7.465% due 07/01/24 (d) 30,722 31,832
7.500% due 08/01/03-01/01/11 (g) 7,979 8,046
7.500% due 07/01/16-09/01/25 (g) 102,319 101,291
7.601% due 02/01/26 (d) 3,183 3,309
7.615% due 01/01/26 (d) 7,314 7,600
7.690% due 01/01/24 (d) 1,741 1,817
7.728% due 03/01/25 (d) 14,183 14,573
7.736% due 11/01/25 (d) 10,023 10,299
7.737% due 09/01/24 (d) 5,199 5,387
7.750% due 06/01/09 245 245
7.764% due 06/01/24 (d) 3,809 3,985
7.781% due 03/01/33 (d) 40,264 41,492
7.823% due 08/01/23 (d) 3,453 3,609
7.825% due 10/01/23 (d) 11,290 11,746
7.828% due 01/01/24 (d) 1,888 1,963
7.889% due 12/01/23 (d) 3,283 3,403
7.921% due 11/01/23-01/01/24 (d)(g) 3,960 4,124
7.939% due 12/01/24 (d) 5,204 5,470
7.976% due 01/01/24 (d) 8,201 8,540
7.990% due 10/01/23 (d) 1,291 1,348
7.998% due 12/01/23 (d) 10,661 11,138
8.000% due 09/01/01-02/01/09 (g) 4,194 4,286
8.000% due 04/01/18-12/01/26 (g) 32,105 31,888
8.018% due 09/01/23 (d) 8,546 8,875
8.075% due 11/01/23 (d) 1,997 2,068
8.099% due 12/01/23 (d) 5,488 5,706
8.250% due 10/01/08-02/01/17 (g) 1,136 1,165
8.500% due 07/01/99-06/01/09 (g) 5,530 5,708
8.500% due 12/01/09-09/01/18 (g) 1,792 1,864
8.500% due 10/01/21-05/01/25 (g) 47,134 48,426
8.750% due 01/25/07 796 800
9.000% due 01/01/99-11/01/06 (g) 2,561 2,665
9.500% due 05/01/15-07/01/22 (g) 746 793
9.750% due 11/01/08 93 100
10.500% due 12/01/16-04/01/22 (g) 1,277 1,391
12.000% due 05/01/16 26 29
13.000% due 09/01/13 72 83
13.250% due 09/01/11 25 28
14.500% due 11/01/11-01/01/13 (g) 85 100
14.750% due 08/01/12-11/01/12 (g) 396 459
15.500% due 10/01/12-12/01/12 (g) 42 51
15.750% due 12/01/11-08/01/12 (g) 217 253
16.000% due 09/01/12 260 324
-----------
763,050
===========
Government National Mortgage Association 26.2%
5.000% due 01/20/24-05/20/24 (d)(g) 95,776 97,568
5.500% due 01/20/26-02/20/26 (d)(g) 34,781 35,137
5.650% due 10/15/12 14 12
6.000% due 10/15/08 305 290
6.000% due 10/15/23-11/20/26 (g) 227,794 208,856
6.000% due 07/20/26-09/20/26 (d)(g) 24,435 24,284
6.500% due 10/15/08 276 269
6.500% due 03/20/22-02/20/26 (d)(g) 102,157 104,024
6.500% due 12/15/23-04/17/27 (g) 1,154,056 1,074,992
6.875% due 12/20/22-12/20/25 (d)(g) 309,038 315,145
7.000% due 08/20/25-05/20/26 (d)(g) 37,887 38,566
7.000% due 10/15/08-05/19/27 (g) 396,792 380,036
7.125% due 06/20/21-08/20/25 (d)(g) 936,430 958,868
7.500% due 08/15/05-12/15/09 (g) 3,853 3,892
7.500% due 02/15/22-07/15/26 (g) 35,622 35,193
7.625% due 04/20/23 (d) 1,050 1,082
8.000% due 08/15/05-09/15/08 (g) 1,407 1,445
8.000% due 06/15/16-12/15/25 (g) 60,131 61,063
8.000% due 06/15/26-04/17/27 (g) 8,293 8,337
8.250% due 08/15/04-07/15/08 (g) 737 764
8.500% due 06/15/01-07/15/08 (g) 319 331
8.500% due 08/15/16-11/15/25 (g) 32,411 33,380
8.500% due 12/15/26-07/21/27 (g) 44,694 45,568
8.750% due 03/15/07-07/15/07 (g) 192 200
9.000% due 09/15/01-05/15/09 (g) 1,011 1,059
9.000% due 05/15/16-07/20/22 (g) 8,666 9,209
9.250% due 10/15/01-03/15/06 (g) 576 599
9.500% due 04/15/01-11/15/09 (g) 614 652
9.500% due 04/15/16-08/15/23 (g) 9,476 10,253
9.750% due 08/15/97-07/15/04 (g) 297 312
9.750% due 09/15/17-01/15/21 (g) 146 158
10.000% due 06/20/01-11/15/09 (g) 198 212
10.000% due 01/15/15-03/20/20 (g) 5,871 6,470
10.250% due 10/15/98-05/15/01 (g) 277 285
10.500% due 06/15/04 162 174
10.750% due 08/15/98-09/15/98 (g) 26 26
11.000% due 05/15/04-06/15/13 (g) 111 120
11.250% due 03/15/01 11 11
11.250% due 12/20/15 72 80
11.500% due 04/15/13-05/15/13 (g) 17 19
12.000% due 03/20/99-02/15/00 (g) 14 15
12.000% due 01/15/13-03/15/15 (g) 104 117
12.500% due 01/15/11 1 2
13.000% due 12/15/12-10/15/14 (g) 77 90
13.250% due 10/20/14 48 54
13.500% due 11/15/12-12/15/12 (g) 16 19
14.500% due 09/15/12 31 37
15.000% due 09/15/12-10/15/12 (g) 21 25
16.000% due 01/15/12-04/15/12 (g) 14 17
17.000% due 11/15/11-12/15/11 (g) 136 166
-----------
3,459,483
===========
Collateralized Mortgage Obligations 15.2%
AFC Home Equity Loan Trust
7.348% due 10/25/26 (d) 17,045 17,194
6.550% due 01/25/27 15,584 15,563
American Southwest Financial
12.250% due 11/01/14 82 92
12.500% due 04/01/15 941 1,046
12.000% due 05/01/15 1,500 1,683
11.400% due 09/01/15 1,231 1,285
Bear Stearns
9.200% due 11/01/18 52 53
9.500% due 06/25/23 1,376 1,405
6.406% due 10/25/23 (d) 10,144 10,061
10.000% due 08/25/24 15,018 16,828
7.000% due 03/25/27 7,000 6,459
Capstead
8.400% due 01/25/21 5,063 5,076
8.750% due 07/25/21 10,000 9,806
Centex Acceptance Corp.
11.000% due 11/01/15 322 340
Chase Mortgage Financial Corp.
8.250% due 10/25/10 4,794 4,831
9.500% due 04/25/24 1,316 1,321
8.000% due 06/25/24 310 312
7.500% due 10/25/24 68 68
Citicorp Mortgage
8.500% due 04/01/17 357 356
8.000% due 07/25/18 116 117
9.500% due 01/01/19 4,365 4,410
9.500% due 09/25/19 250 250
9.500% due 09/25/20 1,885 1,933
7.750% due 04/25/21 369 367
6.000% due 08/25/21 584 575
7.463% due 10/25/22 (d) 27,777 28,402
CMC Securities Corp.
7.067% due 09/25/23 (d) 18,984 19,227
7.627% due 04/25/25 (d) 620 630
</TABLE>
44/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
==========================================================================
<S> <C> <C>
CMO Trust
10.200% due 02/01/16 $ 777 $ 821
8.000% due 01/01/17 326 327
8.000% due 09/20/21 7,531 7,522
Collateralized Mortgage Securities Corp.
11.875% due 04/01/15 2,075 2,213
11.450% due 09/01/15 68 73
11.450% due 11/01/15 392 394
8.750% due 04/20/19 1,213 1,258
Countrywide
7.634% due 07/25/24 (d) 19,026 19,240
Donaldson, Lufkin & Jenrette
7.393% due 08/01/21 (d) 8,567 8,586
7.928% due 12/25/22 (d) 6,966 7,149
7.708% due 03/25/24 (d) 2,529 2,596
6.500% due 04/25/24 35 35
7.835% due 05/25/24 (d) 549 559
Drexel Mortgage Funding
9.500% due 11/20/17 2,242 2,326
8.600% due 03/01/18 925 935
9.500% due 08/01/19 29 30
FBC Mortgage Securities Trust
6.025% due 01/25/17 (d) 2 2
Federal Home Loan Mortgage Corp.
6.500% due 07/15/02 4,361 4,370
4.750% due 10/15/02 (d) 380 378
5.000% due 03/15/03 5,203 5,190
5.250% due 03/15/03 8,845 8,829
5.000% due 04/15/03 5,092 5,077
7.000% due 10/15/03 6,458 6,473
5.450% due 03/15/04 15,329 15,248
8.750% due 10/15/05 31 31
10.750% due 11/30/05 1,013 1,045
6.500% due 07/15/06 1,075 1,029
6.500% due 08/15/06 710 695
6.500% due 05/05/08 1,000 957
9.000% due 09/15/08 43 44
10.250% due 03/15/09 28 28
5.000% due 02/15/11 8,816 8,790
5.500% due 11/15/11 8,997 8,981
4.875% due 12/15/11 (d) 6,702 6,674
5.150% due 12/25/11 16,250 16,032
4.750% due 03/15/12 (d) 168 168
5.000% due 12/15/12 2,943 2,937
8.500% due 08/15/13 2,000 2,093
6.050% due 09/15/13 6,803 6,781
8.500% due 09/15/13 5,941 6,158
5.500% due 12/15/13 4,320 4,307
11.000% due 11/30/15 10,392 11,275
6.210% due 08/15/17 345 340
7.640% due 10/25/17 (d) 9,099 9,215
6.350% due 03/25/18 200 194
5.250% due 05/15/18 1,685 1,643
9.500% due 01/15/19 777 789
6.500% due 05/15/19 615 597
8.500% due 10/15/19 1,028 1,040
9.000% due 11/15/19 4,130 4,191
10.000% due 11/15/19 250 267
7.000% due 02/15/20 1,901 1,902
8.500% due 03/15/20 2,233 2,262
9.125% due 06/15/20 3,621 3,717
5.750% due 08/15/20 300 283
8.500% due 09/15/20 19,792 20,202
9.000% due 09/15/20 165 171
5.500% due 10/15/20 200 178
8.750% due 10/15/20 500 512
8.900% due 11/15/20 28,865 29,577
9.500% due 11/15/20 11,947 12,507
6.000% due 12/15/20 400 371
8.750% due 12/15/20 1,265 1,296
9.000% due 12/15/20 7,023 7,329
8.500% due 06/15/21 49,579 50,746
6.950% due 07/15/21 700 670
7.000% due 07/15/21 4,000 3,899
8.000% due 07/15/21 8,905 8,827
9.000% due 07/15/21 3,967 4,192
9.500% due 07/15/21 6,418 6,630
6.200% due 08/15/21 1,500 1,457
6.950% due 08/15/21 185 175
8.000% due 08/15/21 23,472 23,333
6.500% due 09/15/21 2,500 2,383
9.000% due 11/15/21 1,099 1,111
8.000% due 12/15/21 13,831 13,773
6.850% due 01/15/22 700 669
8.250% due 06/15/22 5,000 5,072
7.000% due 07/15/22 416 349
8.500% due 10/15/22 18,125 18,623
7.000% due 07/15/23 212 174
7.170% due 10/25/23 (d) 35,068 36,275
6.500% due 02/15/24 64 61
8.000% due 09/15/24 16,250 16,594
7.404% due 10/01/26 (d) 10,591 10,990
Federal National Mortgage Assn.
9.100% due 02/25/02 7,268 7,337
5.000% due 02/25/03 9,851 9,812
5.500% due 12/25/03 5,000 4,976
5.750% due 12/25/03 175 174
5.650% due 04/25/05 200 195
6.000% due 07/25/07 300 286
6.250% due 07/25/07 100 97
7.818% due 08/25/07 (d) 126 100
7.000% due 02/25/08 1,095 1,031
10.500% due 08/25/08 7,146 8,293
6.750% due 11/25/10 1,275 1,227
5.000% due 05/25/12 20,270 20,181
4.900% due 12/25/12 (d) 5,250 5,224
6.400% due 09/25/14 773 767
8.500% due 10/25/14 50 50
10.000% due 12/25/14 1,512 1,560
7.000% due 04/25/15 2,328 2,331
6.000% due 11/25/15 19,900 19,804
7.500% due 08/25/16 2,071 2,071
9.670% due 01/25/17 690 708
9.200% due 12/25/17 1,609 1,652
9.300% due 05/25/18 2,282 2,391
6.206% due 06/25/18 (d) 10 10
9.500% due 06/25/18 1,143 1,205
5.500% due 07/25/18 220 214
8.500% due 07/25/18 217 217
7.000% due 08/25/18 15,375 15,365
7.750% due 10/25/18 808 809
9.500% due 11/25/18 12,838 13,835
6.625% due 06/25/19 47 47
9.500% due 06/25/19 4,623 4,865
8.000% due 10/25/19 18,238 18,432
7.500% due 12/25/19 200 198
9.000% due 12/25/19 19,392 19,907
7.500% due 05/25/20 8,000 7,954
8.000% due 07/25/20 182 184
9.000% due 09/25/20 7,164 7,474
8.000% due 12/25/20 20,210 20,412
8.750% due 01/25/21 10,140 10,349
7.500% due 02/25/21 19,017 18,993
7.500% due 03/25/21 20,919 20,429
7.250% due 04/25/21 8,960 8,612
7.500% due 06/25/21 320 320
8.000% due 07/25/21 26,239 26,075
8.500% due 09/25/21 15,822 16,099
8.000% due 10/25/21 22,430 22,362
6.000% due 12/25/21 200 188
8.000% due 01/25/22 21,700 21,797
8.000% due 03/25/22 565 566
7.000% due 04/25/22 17,091 15,690
7.000% due 07/25/22 9,217 8,739
8.000% due 07/25/22 24,518 23,514
6.500% due 10/25/22 3,226 2,563
7.800% due 10/25/22 5,235 5,057
7.000% due 06/25/23 3,808 2,970
6.000% due 08/25/23 5,137 4,503
6.500% due 08/25/23 242 231
6.750% due 10/25/23 472 382
6.500% due 11/25/23 170 152
</TABLE>
1997 Annual Report See accompanying notes/45
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=============================================================================
<S> <C> <C>
First Boston Corp.
8.000% due 12/01/00 $ 112 $ 111
9.450% due 08/20/17 51 51
7.500% due 04/25/21 535 534
First Commonwealth Savings & Loan
10.375% due 04/01/05 23 24
General Electric Capital Mortgage
8.000% due 07/25/23 12,979 12,970
6.500% due 09/25/23 45 37
6.500% due 12/25/23 2,132 2,122
6.500% due 02/25/24 28 27
6.500% due 03/25/24 12,048 9,881
8.000% due 06/25/25 14,336 14,477
Glendale Federal Savings & Loan
7.264% due 03/01/28 (d) 11,450 11,575
Greenwich
7.196% due 04/25/22 (d) 3,078 3,100
7.081% due 07/25/22 (d) 14,364 14,526
7.076% due 10/25/22 (d) 391 393
7.193% due 04/25/23 (d) 4,775 4,841
7.657% due 04/25/24 (d) 7,203 7,279
8.190% due 06/25/24 (d) 10,356 10,540
8.570% due 08/25/24 (d) 14,333 14,588
8.652% due 11/25/24 (d) 6,593 6,706
Imperial CMB Trust
6.008% due 09/25/26 (d) 46,161 46,147
Independent National Mortgage Corp.
9.000% due 12/25/19 8,389 8,427
6.650% due 10/25/24 2,723 2,412
7.946% due 11/25/24 (d) 15,309 15,697
7.069% due 07/25/25 (d) 41,664 42,341
7.740% due 07/25/25 (d) 46,783 47,719
International Mortgage Acceptance Corp.
12.250% due 03/01/14 695 755
J.P. Morgan & Co.
9.000% due 10/20/20 12,978 13,602
Kidder Peabody
8.390% due 05/20/18 493 499
8.043% due 03/25/24 (d) 27,801 28,218
8.010% due 09/25/24 (d) 20,000 20,306
Marine Midland
8.000% due 04/25/23 95 96
8.000% due 10/25/23 350 350
Merrill Lynch Mortgage
9.470% due 04/27/18 23 23
6.890% due 06/15/21 (d) 10,320 10,268
7.153% due 06/15/21 (d) 9,686 9,710
8.210% due 06/15/21 2,163 2,187
8.093% due 06/25/22 (d) 12,336 12,382
Morgan Stanley Mortgage
8.150% due 07/20/21 17 17
Nomura Asset Securities Corp.
7.922% due 05/25/24 (d) 15,854 16,161
Norwest Mortgage
12.500% due 02/01/14 1,103 1,178
12.250% due 04/01/14 132 140
PaineWebber Mortgage
6.000% due 04/25/09 (d) 11,951 10,545
7.000% due 02/25/24 1,953 1,953
Prudential Bache
6.071% due 09/01/18 (d) 620 614
9.000% due 01/01/19 540 545
8.400% due 03/20/21 4,957 5,043
Prudential Home
7.000% due 04/25/99 117 117
8.000% due 06/25/22 19,408 18,875
6.900% due 03/25/23 914 911
7.000% due 04/25/23 5,203 5,187
8.447% due 11/25/23 (d) 16,599 17,035
6.000% due 05/25/24 33 33
7.750% due 10/25/24 8,000 8,080
7.500% due 06/25/25 11,716 11,766
PSB Financial Corp.
11.050% due 12/01/15 1,280 1,362
Residential Asset Securities Corp.
8.000% due 10/25/24 17,816 17,753
5.675% due 10/25/27 (d) 22,041 22,061
Residential Funding
8.081% due 02/25/07 139 140
7.000% due 08/25/08 22,202 22,007
6.500% due 09/25/08 7,000 6,328
8.500% due 05/25/17 195 198
9.000% due 01/01/20 1,837 1,878
8.000% due 01/25/23 10,000 10,017
7.250% due 07/25/23 115 115
10.000% due 09/25/23 2,510 2,675
7.750% due 07/25/24 14 15
7.500% due 09/25/25 18,183 17,490
Resolution Trust Corp.
5.967% due 01/25/21 (d) 1,350 1,295
8.718% due 08/25/21 8,000 8,220
8.719% due 08/25/21 154 154
8.722% due 08/25/21 (d) 13,329 13,376
6.105% due 10/25/21 (d) 500 492
8.139% due 10/25/21 (d) 344 347
8.625% due 10/25/21 300 304
7.478% due 01/25/22 (d) 3,605 3,669
7.742% due 03/25/22 (d) 6,691 6,747
8.517% due 05/25/22 (d) 3,793 3,854
6.888% due 06/25/23 (d) 7,872 7,900
7.500% due 08/25/23 421 421
9.450% due 05/25/24 19,693 20,090
10.648% due 05/25/24 (d) 5,368 5,464
8.150% due 06/25/24 30 30
6.438% due 07/25/24 (d) 4,963 4,977
7.100% due 12/25/24 1,500 1,481
7.750% due 03/25/25 5,000 5,024
8.750% due 05/25/26 59 60
7.361% due 07/25/28 (d) 14,000 14,180
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/16 209 218
Ryland Acceptance Corp.
8.650% due 05/15/00 4,743 4,706
7.065% due 03/25/22 (d) 6,326 6,344
7.516% due 07/25/22 (d) 42,000 42,643
8.068% due 08/25/22 (d) 4,751 4,838
8.000% due 09/25/22 5,147 5,166
8.200% due 09/25/22 100 103
7.360% due 08/25/29 (d) 11,067 11,236
6.868% due 10/25/31 (d) 17,783 17,789
14.000% due 11/25/31 2,343 2,594
Ryland Mortgage Securities Corp.
7.500% due 08/25/24 93 94
Salomon Mortgage
7.331% due 11/25/22 (d) 2,032 2,048
8.267% due 07/01/24 (d) 20,933 21,463
7.000% due 07/25/24 5 5
Santa Barbara Savings
9.500% due 11/20/18 6,110 6,141
Saxon Mortgage
7.701% due 09/25/22 (d) 4,286 4,340
7.721% due 08/25/23 (d) 61,854 62,801
8.172% due 09/25/24 (d) 16,052 16,629
Sears Mortgage
6.763% due 06/25/22 (d) 1,222 1,223
7.098% due 09/25/22 (d) 4,359 4,428
8.650% due 05/25/32 (d) 18,527 18,718
Structured Asset Securities Corp.
5.944% due 02/25/28 24,500 23,421
UBS Mortgage
9.000% due 11/27/19 59 59
Vendee Mortgage
7.000% due 02/15/00 6,231 6,232
7.750% due 03/15/16 600 600
7.750% due 05/15/18 550 542
Western Federal Savings & Loan
6.973% due 06/25/21 (d) 13,594 13,726
------------
1,994,270
============
Other Mortgage-Backed Securities 2.0%
Bank of America
8.375% due 05/01/07 4 4
9.000% due 03/01/08 111 110
</TABLE>
46/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=========================================================================================
<S> <C> <C>
Daiwa Mortgage
7.438% due 09/25/06 (d) $ 2,110 $ 2,126
First Interstate Bancorp
9.125% due 01/01/09 20 21
General Electric Credit Corp.
8.000% due 03/01/02 158 161
Georgia Federal Mortgage
10.500% due 11/01/14 2,306 2,386
German American Capital Corp.
8.360% due 09/30/02 4,944 5,003
6.611% due 07/01/18 (d) 9,940 9,800
Great Western Savings & Loan
5.940% due 09/25/17 (d) 238 230
Guardian
6.823% due 12/25/18 (d) 632 543
Home Savings of America
5.770% due 05/25/27 (d) 4,451 4,284
Imperial Savings & Loan
10.000% due 09/01/16 330 346
8.240% due 01/25/17 133 133
9.014% due 07/25/17 484 486
LTC Commercial Corp.
7.100% due 11/28/12 4,647 4,653
MDC Mortgage Funding
8.568% due 01/25/25 (d) 5,654 5,760
Mellon Financial Co.
13.250% due 01/15/99 267 284
Merrill Lynch Mortgage
9.250% due 12/15/09 55 57
Mid-State Trust
8.330% due 04/01/30 35,683 36,793
OSCC Home Equity
6.950% due 05/15/07 139 138
PaineWebber Mortgage
8.249% due 11/25/23 (d) 1,630 1,661
Resolution Trust Corp.
7.767% due 02/25/20 (d) 365 363
6.994% due 09/25/20 (d) 16,710 167
8.454% due 06/25/21 (d) 9,581 9,611
7.570% due 09/25/21 (d) 5,569 5,587
6.750% due 10/25/21 (d) 1,423 1,432
7.261% due 10/25/28 (d) 34,188 34,818
7.343% due 10/25/28 (d) 17,540 17,743
7.500% due 10/25/28 2,398 2,389
7.113% due 05/25/29 (d) 6,484 6,591
7.602% due 05/25/29 (d) 8,252 8,064
7.807% due 05/25/29 (d) 7,638 7,655
Rural Housing
3.330% due 10/01/28 609 554
Ryland Acceptance Corp.
9.000% due 12/01/16 1,046 1,078
11.500% due 12/25/16 262 285
7.580% due 11/28/22 (d) 7,000 7,125
7.837% due 09/25/23 (d) 16,142 16,400
Salomon Mortgage
11.500% due 09/01/15 2,099 2,258
Saxon Mortgage
7.789% due 12/25/22 (d) 16,894 17,037
Sears Mortgage
12.000% due 02/25/14 1,604 1,746
8.000% due 03/25/22 2,447 2,449
Securitized Asset Sales, Inc.
7.423% due 10/25/22 (d) 6,965 6,858
7.462% due 10/25/23 (d) 9,553 9,681
7.986% due 12/26/23 (d) 9,400 9,550
USGI Capital
8.500% due 11/25/07 12,602 12,527
Western Federal Savings & Loan
6.624% due 11/25/18 (d) 422 417
6.674% due 03/25/19 (d) 3,089 3,081
------------
260,445
============
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 12/15/02 58 1
10.038% due 09/15/05 59 7
6.500% due 11/15/06 4,116 379
6.500% due 03/15/07 8,669 635
5.750% due 09/15/07 (d) 16,924 1,339
5.428% due 02/15/08 (d) 1,137 106
11.651% due 01/15/16 72 8
6.500% due 08/15/16 8,596 589
7.000% due 04/15/18 6,485 571
9.993% due 11/15/18 300 57
8.845% due 01/15/21 601 132
9.000% due 05/15/22 298 82
Federal Home Loan Mortgage Corp. (PO)
0.000% due 06/15/21 7,930 7,217
Federal National Mortgage Assn. (IO)
33.862% due 04/25/02 35 1
6.750% due 09/25/04 178 12
7.000% due 06/25/05 48 1
10.458% due 07/25/05 (d) 1,798 229
6.500% due 07/25/06 10,985 889
6.500% due 02/25/07 8,046 774
6.500% due 07/25/07 2,321 207
6.500% due 09/25/07 12,701 1,113
6.500% due 10/25/07 3,856 373
0.100% due 03/25/09 (d) 65,671 1,486
7.000% due 05/25/12 636 10
7.000% due 08/25/15 7,052 554
7.000% due 08/25/16 1,828 146
6.500% due 08/25/20 2,666 674
10.070% due 01/25/21 201 59
9.032% due 08/25/21 3,022 719
0.950% due 11/25/21 (d) 67,555 1,198
6.500% due 01/25/23 8,935 1,266
Federal National Mortgage Assn. (PO)
0.000% due 09/01/07 1,512 1,076
0.000% due 02/25/21 8,129 6,865
0.000% due 06/25/22 4,808 4,045
0.000% due 08/25/23 508 241
PaineWebber (IO)
13.595% due 08/01/19 362 141
Vendee Mortgage (IO)
0.542% due 06/15/23 236,741 5,497
------------
38,699
------------
Total Mortgage-Backed Securities 7,374,608
(Cost $7,426,376) ============
- -----------------------------------------------------------------------------------------
Asset-Backed Securities 2.3%
- -----------------------------------------------------------------------------------------
American Airlines Equipment Trust
10.210% due 01/01/10 6,500 7,628
Associates Manufactured Housing
7.000% due 03/15/27 900 900
Copelco Capital Funding Corp.
6.340% due 07/20/04 105 105
CSXT Trade Receivables
5.050% due 09/25/99 500 491
Delta Air Lines Equipment Trust
9.230% due 07/02/02 15,392 15,988
10.500% due 01/02/07 7,701 8,844
10.570% due 01/02/07 15,881 19,206
9.550% due 01/02/08 7,773 8,282
10.140% due 08/14/12 1,000 1,144
10.000% due 06/05/13 10,828 12,214
Discover Card Trust
7.300% due 05/21/99 33 33
5.797% due 10/16/13 (d) 400 407
EQCC Home Equity Loan Trust
6.100% due 10/15/03 23,720 23,719
First Omni Bank
6.650% due 09/15/03 (d) 1,500 1,491
Ford Motor Credit Corp.
5.500% due 02/15/03 1,300 1,235
Green Tree Financial Group
7.150% due 07/15/27 1,025 1,021
Green Tree Home Improvement Loan Trust
6.100% due 01/15/28 22,960 22,946
</TABLE>
1997 Annual Report See accompanying notes / 47
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
IMC Home Equity Loan Trust
7.443% due 07/25/26 (d) $ 2,298 $ 2,316
MBNA Master Credit Card Trust
6.050% due 11/15/02 245 240
Money Store
6.260% due 06/15/03 30,258 30,220
6.230% due 12/15/08 22,000 21,973
NationsBank Auto Owner Trust
6.375% due 07/15/00 1,700 1,701
NationsBank Corp.
5.850% due 06/15/02 716 714
Newcourt Receivable Asset Trust
6.240% due 12/20/04 62 62
Sears Credit Account Master Trust
6.050% due 01/16/08 500 477
Standard Credit Card Master Trust
6.750% due 06/07/00 290 292
7.250% due 04/07/08 300 300
Student Loan Marketing Assn.
5.815% due 04/25/04 (d) 36,672 36,749
United Air Lines Equipment Trust
9.200% due 03/22/08 4,466 4,690
10.360% due 11/13/12 7,000 8,134
10.020% due 03/22/14 4,500 5,080
10.850% due 07/05/14 34,111 40,872
10.125% due 03/22/15 14,300 16,323
9.060% due 06/17/15 5,000 5,266
9.210% due 01/21/17 2,000 2,137
------------
Total Asset-Backed Securities 303,200
(Cost $298,467) ============
- --------------------------------------------------------------------------------
Sovereign Issues 4.8%
- --------------------------------------------------------------------------------
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 19,500 19,305
Commonwealth of Canada
5.270% due 04/08/97 300 300
5.370% due 04/09/97 9,200 9,189
5.410% due 04/15/97 44,200 44,107
5.530% due 04/21/97 500 498
5.520% due 04/28/97 30,000 29,876
5.520% due 06/05/97 122,500 121,243
5.310% due 06/09/97 9,000 8,902
Kingdom of Sweden
5.360% due 06/02/97 5,100 5,050
10.250% due 11/01/15 500 602
Province of British Columbia
5.500% due 04/23/97 400 399
5.530% due 04/29/97 15,000 14,935
5.300% due 05/06/97 100 99
Province of Newfoundland
9.000% due 06/01/19 500 570
Province of Nova Scotia
9.375% due 07/15/02 1,000 1,096
Province of Ontario
6.125% due 06/28/00 50 49
7.750% due 06/04/02 200 207
7.000% due 08/04/05 1,000 986
Province of Quebec
7.500% due 07/15/02 6,000 6,067
Province of Saskatchewan
9.125% due 02/15/21 3,000 3,440
Republic of Argentina
5.500% due 09/01/97 (d) 500 499
5.627% due 04/01/00 (d) 60,000 27,600
5.375% due 04/01/01 (d) 19,904 19,017
6.750% due 03/31/05 (d) 316,560 282,925
United Mexican States
7.625% due 08/06/01 (d) 38,000 38,700
------------
Total Sovereign Issues 635,661
(Cost $596,471) ============
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(f) 3.0%
- --------------------------------------------------------------------------------
City of Montreal
11.500% due 09/20/00 C$ 7,000 5,919
Commonwealth of Canada
8.500% due 03/01/00 $ 103,860 $ 81,232
6.500% due 06/01/04 1,000 722
4.250% due 12/01/26 (h) 145,404 104,037
Commonwealth of New Zealand
6.500% due 02/15/00 N$ 160,000 107,377
10.000% due 03/15/02 107,500 80,891
8.000% due 04/15/04 7,000 4,868
Petroleos Mexicanos
7.750% due 09/30/98 FF 5,000 924
Reynolds R.J.
6.875% due 11/22/00 DM 9,500 5,905
------------
Total Foreign Currency-Denominated Issues 391,875
(Cost $395,737) ============
- --------------------------------------------------------------------------------
OTC Interest Rate Caps 0.0%
- --------------------------------------------------------------------------------
3 Month Libor
Strike @ 85.50 Exp. 06/16/97 $ 2,454,000 61
------------
Total OTC Interest Rate Caps 61
(Cost $61) ============
- --------------------------------------------------------------------------------
Purchased CME Put Options 0.0%
- --------------------------------------------------------------------------------
Eurodollar June Futures
Strike @ 92.25 Exp. 06/16/97 500,000 13
Eurodollar September Futures
Strike @ 91.00 Exp. 09/15/97 2,000,000 50
Eurodollar September Futures
Strike @ 91.75 Exp. 09/15/97 8,650,000 216
Eurodollar September Futures
Strike @ 92.00 Exp. 09/15/97 1,000,000 25
Eurodollar December Futures
Strike @ 91.00 Exp. 12/15/97 1,800,000 45
------------
Total Purchased CME Put Options 349
(Cost $267) ============
- --------------------------------------------------------------------------------
Purchased OTC Call Options 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Note
6.250% due 05/31/00
Strike @ 91.875 Exp. 05/08/97 55,500 3,877
U.S. Treasury Note
6.50% due 05/31/01
Strike @ 92.44 Exp. 04/28/97 60,300 4,041
------------
Total Purchased OTC Call Options 7,918
(Cost $9,058) ============
- --------------------------------------------------------------------------------
Preferred Stock 0.1%
- --------------------------------------------------------------------------------
<CAPTION>
Shares
<S> <C> <C>
Banco Bilbao Vizcaya International 266,217 7,587
California Federal Bank 50,000 5,650
Unocal Capital Trust 402 22
------------
Total Preferred Stocks 13,259
(Cost $12,586) ============
- --------------------------------------------------------------------------------
Short-Term Instruments 14.5%
- --------------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes 13.0%
Abbott Laboratories
5.280% due 04/02/97 $37,000 36,995
5.500% due 04/29/97 58,900 58,648
Ameritech Corp.
5.290% due 04/03/97 1,500 1,500
5.290% due 04/08/97 35,000 34,964
5.280% due 04/11/97 37,000 36,946
5.530% due 04/30/97 21,000 20,906
Australian Wheat Board
5.310% due 04/04/97 200 200
Caisse d'Amortissement
5.540% due 04/30/97 18,000 17,920
</TABLE>
48/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
Canadian Wheat Board
5.290% due 04/23/97 $ 7,000 $ 6,977
5.310% due 04/24/97 4,000 3,986
5.270% due 05/08/97 10,800 10,742
Dow Jones, Inc.
5.550% due 05/12/97 200 199
E.I. Du Pont de Nemours
5.290% due 04/10/97 1,200 1,198
Electricite de France
5.300% due 04/22/97 9,000 8,972
5.300% due 04/28/97 1,400 1,394
5.300% due 04/29/97 700 697
5.500% due 04/29/97 300 299
Emerson Electric Co.
5.490% due 05/05/97 1,000 995
Federal Farm Credit Bank
5.240% due 05/21/97 100 99
Federal Home Loan Bank
5.410% due 04/17/97 7,300 7,282
5.430% due 05/08/97 1,300 1,293
Florida Power Corp.
5.290% due 04/01/97 5,200 5,200
5.550% due 04/22/97 8,000 7,974
Ford Motor Credit Corp.
5.320% due 04/03/97 1,300 1,300
5.310% due 04/07/97 43,000 42,962
5.310% due 04/09/97 57,200 57,133
5.280% due 04/22/97 53,100 52,936
5.300% due 04/23/97 2,700 2,691
5.290% due 04/24/97 36,300 36,177
5.280% due 04/25/97 18,000 17,937
5.550% due 05/02/97 500 498
5.550% due 05/05/97 2,500 2,487
5.550% due 05/21/97 150,000 148,844
Export Development Corp
5.280% due 04/14/97 50,000 49,905
Federal Home Loan Mortgage Corp.
5.170% due 04/10/97 6,000 5,992
5.280% due 06/05/97 879 870
Federal National Mortgage Assn.
5.240% due 04/08/97 600 599
5.220% due 04/22/97 1,400 1,396
5.470% due 05/02/97 24,000 23,887
5.480% due 05/02/97 15,300 15,228
General Electric Capital Corp.
5.300% due 04/09/97 150,000 149,823
5.300% due 04/23/97 40,000 39,870
5.310% due 04/23/97 46,300 46,150
5.250% due 04/24/97 56,000 55,812
5.340% due 04/28/97 3,900 3,884
5.330% due 04/29/97 700 697
5.550% due 05/05/97 500 497
5.320% due 05/07/97 2,800 2,785
General Motors Acceptance Corp.
5.260% due 04/02/97 40,000 39,994
5.350% due 04/09/97 26,000 25,969
5.350% due 04/10/97 13,000 12,983
5.333% due 04/23/97 20,000 19,935
5.580% due 05/07/97 400 398
KFW International Finance, Inc.
5.500% due 04/04/97 1,700 1,699
5.270% due 04/17/97 6,000 5,986
5.250% due 04/25/97 1,000 997
5.250% due 04/29/97 700 697
5.550% due 04/29/97 9,500 9,459
5.580% due 04/29/97 18,300 18,221
Kellogg Co.
5.550% due 04/14/97 11,500 11,477
Kimberly-Clark Corp.
5.500% due 04/01/97 1,900 1,900
Minnesota Mining & Manufacturing Co.
5.280% due 04/02/97 679 679
Mobil Australia
6.750% due 04/01/97 28,600 28,600
5.320% due 04/30/97 6,800 6,771
5.550% due 05/21/97 37,800 37,509
5.420% due 06/18/97 5,100 5,037
National Rural Utilities Cooperative
5.290% due 04/01/97 7,700 7,700
5.300% due 04/03/97 800 800
5.280% due 04/11/97 5,000 4,993
5.290% due 04/18/97 20,000 19,950
5.280% due 04/21/97 25,000 24,927
5.330% due 04/29/97 2,000 1,992
5.550% due 05/14/97 4,800 4,768
5.550% due 05/15/97 65,000 64,559
5.330% due 05/20/97 27,000 26,804
5.330% due 05/22/97 50,000 49,622
5.600% due 05/28/97 8,700 8,623
New Center Asset Trust
6.700% due 04/01/97 900 900
5.300% due 04/02/97 100 100
5.270% due 04/09/97 40,300 40,253
5.320% due 04/11/97 1,300 1,298
5.520% due 04/25/97 2,600 2,590
5.570% due 05/08/97 500 497
5.570% due 06/24/97 176,500 174,163
Pitney Bowes Credit
5.290% due 04/08/97 1,400 1,399
Queensland Treasury Corp.
5.310% due 04/21/97 800 798
5.320% due 04/21/97 1,000 997
5.300% due 04/28/97 100 100
5.320% due 04/28/97 3,100 3,088
Shell Oil Co.
5.570% due 04/14/97 12,900 12,874
Western Australian Treasury Corp.
5.250% due 05/20/97 1,000 993
5.340% due 05/20/97 800 794
Wool International
5.300% due 04/16/97 1,218 1,215
------------
1,710,854
============
Repurchase Agreements 0.8%
Daiwa Securities America
6.200% due 04/01/97 95,000 95,000
(Dated 03/31/97. Collateralized by U.S. Treasury
Note 6.500% 05/31/01 valued at $97,125,864.
Repurchase proceeds are $95,016,361.)
State Street Bank
5.000% due 04/01/97 4,357 4,357
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $4,448,269.
Repurchase proceeds are $4,357,605.)
------------
99,357
============
U.S. Treasury Bills 0.7%
5.057% due 05/01/97-07/03/97 (b)(g) 99,195 98,279
------------
Total Short-Term Instruments 1,908,490
(Cost $1,908,546) ============
Total Investments (a) 105.8% $13,968,846
(Cost $14,009,795)
Written Options (e) (0.2%) (26,352)
(Premiums $30,218)
Other Assets and Liabilities (Net) (5.6%) (743,788)
------------
Net Assets 100.0% $13,198,706
============
</TABLE>
1997 Annual Report See accompanying notes/49
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1997
<TABLE>
<CAPTION>
Value
(000's)
=========================================================================================================
<S> <C>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31,1997, 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. $ 135,961
Aggregate gross unrealized depreciation for all investments in which there was
an excess of tax cost over value. (147,615)
---------------
Unrealized depreciation-net $ (11,654)
===============
</TABLE>
(b) Securities with an aggregate market value of $99,582 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31,1997:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Municipal Bond (06/97) 735 $ (789)
U.S. Treasury 5 Year Note (06/97) 2,299 (2,227)
U.S. Treasury 10 Year Note (06/97) 23,712 (36,570)
U.S. Treasury 30 Year Bond (06/97) 4,751 (10,885)
Eurodollar June Futures (06/97) 6,638 9,480
Eurodollar September Futures (09/97) 430 (460)
Eurodollar December Futures (12/97) 500 (521)
------------
$ (41,972)
============
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31,1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy C$ 66,432 04/97 $ (579)
Buy 169,851 05/97 (1,558)
Sell 66,432 04/97 1,301
Sell 169,851 05/97 3,308
Sell 54,178 09/97 769
Sell 161,146 03/98 1,573
Buy DM 30,310 04/97 (2,052)
Sell 40,043 04/97 3,371
Buy DG 102 04/97 (1)
Sell FF 5,735 07/97 (28)
Sell N$ 22,340 05/97 214
Sell 194,393 06/97 212
-------------
$ 6,530
=============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31,1997.
(e) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - Commonwealth of Canada
6.250% due 09/98
Strike @ 103.35 Exp. 04/02/97 C$ 150,000 $ 278 $ 0
Put - Commonwealth of Canada
6.250% due 09/98
Strike @ 101.35 Exp. 04/02/97 150,000 289 0
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 112.00 Exp. 06/16/97 $ 205,500 1,059 321
Strike @ 116.00 Exp. 06/16/97 200,000 1,755 31
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 108.00 Exp. 06/16/97 205,500 2,101 3,853
Strike @ 110.00 Exp. 06/16/97 380,000 3,901 12,350
Put - CBOT U.S. Treasury Note September Futures
Strike @ 107.00 Exp. 08/23/97 8,700 1,770 2,382
Put - CME Eurodollar June Futures
Strike @ 93.00 Exp. 06/16/97 300,000 223 8
Strike @ 93.25 Exp. 06/16/97 1,200,000 1,059 30
Strike @ 93.50 Exp. 06/16/97 14,251,000 12,170 356
Strike @ 94.00 Exp. 06/16/97 4,969,000 1,474 1,118
Put - CME Eurodollar September Futures
Strike @ 93.00 Exp. 09/15/97 2,560,000 315 192
Put - CME Eurodollar December Futures
Strike @ 93.50 Exp. 12/15/97 1,000,000 570 825
Strike @ 93.75 Exp. 12/15/97 4,115,000 3,254 4,886
--------------------
$ 30,218 $ 26,352
====================
</TABLE>
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
FF - French Franc
N$ - New Zealand Dollar
(g) Securities are grouped by coupon 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 part of an integrated SWAP transaction as discussed in Note K
below and as a result is restricted to resale.
(k) Terms of agreements require the payment of fixed rate interest earned on a
security held by the Fund in exchange for variable rate interest based upon the
3 Month LIBOR rate. The terms of the agreement also include a put option which
enables the Fund to put the underlying security to the counterparty at par. Swap
agreements outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 3 month
LIBOR and pay fixed rate.
Broker: Merrill Lynch
Exp. 04/11/97 $ 25,000 $ 0
Broker: Merrill Lynch
Exp. 04/11/97 43,021 0
Broker: Merrill Lynch
Exp. 09/11/97 19,731 0
Broker: Merrill Lynch
Exp. 09/11/97 25,000 0
------------
$ 0
============
</TABLE>
50/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- -------------------------------------------------------------------------
Corporate Bonds and Notes 16.1%
- -------------------------------------------------------------------------
Banking and Finance 4.0%
Citicorp
5.625% due 05/29/98 (c) $ 5,000 $ 4,997
First Interstate Bancorp
5.913% due 06/25/97 (c) 250 250
General Motors Acceptance Corp.
6.750% due 04/25/97 10,000 10,007
7.900% due 05/01/97 500 501
Great Western Bank
8.625% due 12/01/98 3,000 3,086
Lehman Brothers
8.875% due 11/01/98 500 516
--------
19,357
========
Industrials 8.4%
AMR Corp.
7.750% due 12/01/97 10,000 10,079
9.430% due 05/10/01 1,000 1,071
8.900% due 02/26/07 6,450 6,935
Time Warner, Inc.
6.456% due 08/15/00 (c) 5,575 5,577
7.975% due 08/15/04 3,345 3,369
8.110% due 08/15/06 6,690 6,730
8.180% due 08/15/07 6,690 6,822
--------
40,583
========
Utilities 3.7%
Commonwealth Edison
8.000% due 10/15/03 7,550 7,692
CTC Mansfield Funding
11.125% due 09/30/16 2,500 2,669
Long Island Lighting Co.
9.000% due 11/01/22 7,250 7,798
--------
18,159
--------
Total Corporate Bonds and Notes 78,099
(Cost $74,859) ========
- -------------------------------------------------------------------------
U.S. Treasury Notes 22.7%
- -------------------------------------------------------------------------
5.625% due 10/31/97 50,000 49,937
6.125% due 03/31/98 60,000 60,038
--------
Total U.S. Treasury Notes 109,975
(Cost $110,248) ========
- -------------------------------------------------------------------------
Mortgage-Backed Securities 59.2%
- -------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 6.9%
6.500% due 05/13/27 250 233
7.250% due 03/01/06 377 380
7.500% due 04/10/27 5,500 5,409
7.753% due 02/01/23 (c) 1,519 1,571
7.959% due 12/01/22 (c) 15,679 16,313
8.000% due 04/01/25-12/01/25 (d) 8,624 8,699
8.250% due 03/01/08-05/01/08 (d) 228 234
8.500% due 12/01/01 6 6
9.500% due 02/01/11 121 130
10.000% due 06/01/11 26 28
10.500% due 04/01/01 107 112
15.500% due 06/01/11 3 3
--------
33,118
========
Federal Housing Administration 0.2%
5.596% due 10/01/19 374 372
8.829% due 05/01/19 567 593
--------
965
========
Federal National Mortgage Association 11.0%
6.955% due 02/01/23 (c) 5,808 5,904
7.000% due 08/01/09 424 423
7.368% due 07/01/20 (c) 1,684 1,755
7.500% due 04/01/24 15,853 15,678
7.532% due 04/01/24 (c) 3,424 3,530
7.750% due 10/01/07 473 474
7.849% due 10/01/24 (c) 2,399 2,522
7.976% due 01/01/24 (c) 4,100 4,270
8.000% due 10/01/05 522 533
8.039% due 12/01/23 (c) 1,501 1,562
8.500% due 12/01/01-08/01/07 (d) 5,019 5,191
8.500% due 04/01/17-06/01/26 (d) 9,415 9,666
9.000% due 12/01/01 1,331 1,383
11.000% due 09/01/10 297 327
13.750% due 10/01/10-12/01/14 (d) 126 147
14.500% due 03/01/13 10 11
14.750% due 10/01/12-11/01/12 (d) 31 37
--------
53,413
========
Government National Mortgage Association 24.9%
5.500% due 01/20/26 (c) 2,877 2,909
6.500% due 01/20/25 (c) 3,488 3,589
6.500% due 12/15/25-04/17/27 (d) 29,626 27,483
7.000% due 04/17/27-05/19/27 (d) 80,000 76,267
7.125% due 06/20/23-09/20/24 (c)(d) 9,619 9,866
7.500% due 03/15/24 386 380
12.000% due 10/15/12-10/15/15 (d) 57 64
--------
120,558
========
Collateralized Mortgage Obligations 14.8%
AFC Home Equity Loan Trust
7.348% due 10/25/26 (c) 4,261 4,299
American Southwest Financial
8.450% due 09/01/17 246 245
Capstead
8.900% due 12/25/21 698 716
Chase Mortgage Financial Corp.
8.000% due 06/25/24 247 248
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 8,352 8,416
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 386 435
Federal Home Loan Mortgage Corp.
7.000% due 04/25/15 184 184
8.800% due 12/01/15 275 288
9.000% due 12/15/20 3,440 3,589
7.000% due 07/15/22 13,320 11,852
Federal National Mortgage Assn.
8.500% due 03/25/17 452 454
9.000% due 09/25/18 1,187 1,216
9.250% due 07/25/19 6,526 6,781
Guaranteed Mortgage Corp.
9.300% due 07/20/19 1,000 1,050
Independent National Mortgage Corp.
7.946% due 11/25/24 (c) 6,657 6,825
8.212% due 11/25/24 (c) 6,453 6,620
Norwest Mortgage
12.375% due 01/01/14 447 479
Ryland Acceptance Corp.
8.000% due 09/25/22 4,966 4,985
Saxon Mortgage
7.701% due 09/25/22 (c) 3,513 3,557
7.445% due 01/25/23 (c) 5,497 5,549
Sears Mortgage
8.250% due 09/25/31 8 8
8.650% due 05/25/32 (c) 3,759 3,798
U.S. Home Equity
8.500% due 04/15/21 20 21
--------
71,615
========
Other Mortgage-Backed Securities 1.4%
Bank of America
9.000% due 03/01/08 2 2
Dime Savings
7.079% due 11/01/18 (c) 180 165
Federal Home Loan Mortgage Corp.
11.875% due 06/15/13 296 331
Ryland Acceptance Corp.
7.837% due 09/25/23 (c) 5,664 5,754
Security Pacific National Bank
8.500% due 03/01/17 4 4
Western Federal Savings & Loan
6.674% due 03/25/19 (c) 668 666
--------
6,922
--------
Total Mortgage-Backed Securities 286,591
(Cost $289,862) ========
</TABLE>
1997 Annual Report See accompanying notes/51
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- -------------------------------------------------------------------------------
Asset-Backed Securities 7.7%
- -------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.190% due 10/15/11 (c) $ 5,000 $ 4,958
6.230% due 10/15/11 (c) 5,000 4,984
EQCC Home Equity Loan Trust
6.100% due 10/15/03 20,000 19,999
United Air Lines Equipment Trust
9.190% due 12/24/13 7,213 7,165
----------
Total Asset-Backed Securities 37,106
(Cost $37,852) ==========
- -------------------------------------------------------------------------------
Purchased CME Put Options 0.0%
- -------------------------------------------------------------------------------
Eurodollar June Futures
Strike @ 91.75 Exp. 06/16/97 275,000 7
Eurodollar September Futures
Strike @ 92.25 Exp. 09/15/97 400,000 10
----------
Total Purchased CME Put Options 17
(Cost $17) ==========
- -------------------------------------------------------------------------------
Purchased OTC Call Options 0.7%
- -------------------------------------------------------------------------------
U.S. Treasury Note
6.250% due 04/30/01
Strike @ 91.53 Exp. 05/06/97 50,000 3,393
----------
Total Purchased OTC Call Options 3,393
(Cost $3,922) ==========
- -------------------------------------------------------------------------------
Short-Term Instruments 11.0%
- -------------------------------------------------------------------------------
Discount Notes 9.4%
E.I. Du Pont de Nemours
5.370% due 04/04/97 400 400
5.290% due 04/10/97 7,400 7,390
Ford Motor Credit Corp.
5.320% due 04/10/97 2,300 2,297
5.300% due 04/11/97 900 899
General Electric Capital Corp.
5.300% due 04/23/97 800 797
5.250% due 04/24/97 3,900 3,887
5.360% due 04/24/97 2,200 2,192
5.480% due 04/25/97 2,500 2,491
5.330% due 04/30/97 1,400 1,394
General Motors Acceptance Corp.
5.580% due 05/07/97 6,000 5,966
5.580% due 06/23/97 1,300 1,283
National Rural Utilities Cooperative
5.310% due 04/03/97 2,000 1,999
5.330% due 04/10/97 3,100 3,096
New Center Asset Trust
6.700% due 04/01/97 2,000 2,000
5.300% due 04/02/97 1,500 1,500
5.270% due 04/09/97 300 300
5.520% due 04/25/97 800 797
Pitney Bowes Credit Corp.
5.550% due 06/26/97 6,700 6,609
----------
45,297
==========
Repurchase Agreement 1.1%
State Street Bank
5.000% due 04/01/97 5,456 5,456
(Dated 03/31/97. Collateralized by U.S. Treasury ----------
Bond 7.250% 05/15/16 valued at $5,568,077.
Repurchase proceeds are $5,456,758.)
U.S. Treasury Bills 0.5%
5.078% due 06/26/97-07/03/97 (b)(d) 2,230 2,201
----------
Total Short-Term Instruments 52,954
(Cost $52,957) ==========
</TABLE>
<TABLE>
<CAPTION>
Value
(000's)
===============================================================================
<S> <C>
Total Investments (a) 117.4% $ 568,135
(Cost $569,717)
Written Options (e) 0.0% (39)
(Premiums $1,531)
Other Assets and Liabilities (Net) (17.4%) $ (84,341)
-----------
Net Assets 100.0% $ 483,755
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 4,928
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (6,510)
------------
Unrealized depreciation - net $ (1,582)
===========
</TABLE>
(b) Securities with an aggregate market value of $2,201 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Appreciation
Type Contracts (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Eurodollar June Futures (06/97) 200 $ 303
CBOT U.S. Treasury 5 Year Note (06/97) 267 (259)
CBOT U.S. Treasury 10 Year Note (06/97) 762 (1,034)
CBOT U.S. Treasury 30 Year Bond (06/97) 74 (132)
-------------
$ (1,122)
=============
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Securities are grouped by coupon and represent a range of maturities.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION> Premiums Market
Type Par Received Value
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $ 1,550 $ 1,531 $ 39
</TABLE>
52/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund III
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -----------------------------------------------------------------------------------------
Corporate Bonds and Notes 11.7%
- -----------------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 5.2%
AT&T Capital Corp.
5.880% due 11/05/97 $ 10,000 $ 9,991
-----------
Industrials 1.0%
Spieker Properties
6.950% due 12/15/02 2,000 1,950
-----------
Utilities 5.5%
Cleveland Electric Illuminating Co.
8.750% due 11/15/05 3,500 3,419
Commonwealth Edison
6.250% due 02/01/98 3,000 2,989
Long Island Lighting Co.
8.900% due 07/15/19 3,000 3,148
North Atlantic Energy
9.050% due 06/01/02 622 615
Texas Gas Transmission Corp.
9.625% due 07/15/97 500 505
-----------
10,676
-----------
Total Corporate Bonds and Notes 22,617
(Cost $22,796) ===========
- -----------------------------------------------------------------------------------------
U.S. Treasury Notes 21.7%
- -----------------------------------------------------------------------------------------
5.625% due 10/31/97 40,000 39,950
6.000% due 09/30/98 2,000 1,991
-----------
Total U.S. Treasury Notes 41,941
(Cost $41,979) ===========
- -----------------------------------------------------------------------------------------
U.S. Government Agencies 0.2%
- -----------------------------------------------------------------------------------------
Federal National Mortgage Assn.
9.150% due 04/10/98 300 309
5.870% due 10/15/03 50 47
Government Trust Certificate - Greece
8.000% due 05/15/98 123 123
-----------
Total U.S. Government Agencies 479
(Cost $473) ===========
- -----------------------------------------------------------------------------------------
Mortgage-Backed Securities 48.0%
- -----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.5%
7.959% due 12/01/22 (d) 2,525 2,627
8.000% due 02/01/06 361 368
-----------
2,995
===========
Federal National Mortgage Association 6.5%
6.085% due 12/01/27 (d) 995 981
7.500% due 04/01/24 3,963 3,920
7.904% due 07/01/23 (d) 1,259 1,309
8.000% due 07/01/23-07/01/26 (g) 5,246 5,301
8.250% due 07/01/17 160 165
8.500% due 02/01/07 794 818
9.000% due 07/01/05 52 54
-----------
12,548
===========
Government National Mortgage Association 24.1%
5.500% due 01/20/26 (d) 1,918 1,939
6.000% due 12/20/26 1,000 1,002
6.500% due 01/15/26-04/17/27 (g) 14,775 13,716
6.875% due 10/20/24 (d) 3,218 3,283
6.875% due 11/20/24 (d) 3,742 3,824
7.000% due 08/20/25 (d) 6,980 7,106
7.125% due 06/20/22 (d) 3,819 3,911
7.125% due 09/20/23 (d) 6,833 6,996
8.500% due 06/15/25 4,740 4,869
-----------
46,646
===========
Collateralized Mortgage Obligations 12.3%
Chase Mortgage Financial Corp.
9.500% due 04/25/24 134 134
CMC Securities Corp.
7.627% due 04/25/25 (d) 3,098 3,148
Collateralized Mortgage Obligation Trust
8.000% due 01/01/17 4,884 4,902
Federal Home Loan Mortgage Corp.
8.000% due 05/15/00 97 99
8.000% due 02/15/15 2,231 2,262
7.500% due 04/15/19 277 277
Federal National Mortgage Assn.
7.750% due 07/25/19 297 299
Greenwich
8.652% due 11/25/24 (d) 913 929
PNC Mortgage Securities Corp.
7.500% due 06/25/10 798 796
Prudential Home
8.447% due 11/25/23 (d) 2,011 2,064
Residential Accredit Loans, Inc.
7.050% due 01/25/26 2,000 1,892
7.250% due 01/25/26 3,000 2,784
Residential Funding
9.000% due 07/01/21 480 486
Resolution Trust Corp.
8.835% due 12/25/23 2,500 2,509
Sears Mortgage
8.650% due 05/25/32 (d) 1,128 1,140
-----------
23,721
===========
Other Mortgage-Backed Securities 2.6%
Guardian
6.807% due 07/25/20 (d) 1,216 792
Resolution Trust Corp.
8.625% due 10/25/21 100 100
7.807% due 05/25/29 (d) 2,625 2,630
Ryland Acceptance Corp.
7.837% due 09/25/23 (d) 1,463 1,486
-----------
5,008
===========
Stripped Mortgage-Backed Securities 1.0%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/22 7,147 909
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,036 939
-----------
1,848
-----------
Total Mortgage-Backed Securities 92,766
(Cost $93,492) ===========
- -----------------------------------------------------------------------------------------
Asset-Backed Securities 7.8%
- -----------------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.230% due 10/15/11 (d) 5,000 4,984
EQCC Home Equity Loan Trust
6.100% due 10/15/03 10,000 10,000
-----------
Total Asset-Backed Securities 14,984
(Cost $14,999) ===========
- -----------------------------------------------------------------------------------------
Sovereign Issues 2.4%
- -----------------------------------------------------------------------------------------
Province of Quebec
8.800% due 04/15/03 1,000 1,071
Republic of Argentina
6.750% due 03/31/05 (d) 3,880 3,468
-----------
Total Sovereign Issues 4,539
(Cost $3,744) ===========
- -----------------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(f) 1.7%
- -----------------------------------------------------------------------------------------
Commonwealth of Canada
8.500% due 04/01/02 C$ 2,000 1,592
Province of Saskatchewan
11.000% due 01/09/01 2,000 1,693
-----------
Total Foreign Currency-Denominated Issues 3,285
(Cost $3,230) ===========
- -----------------------------------------------------------------------------------------
Purchased CME Put Options 0.0%
- -----------------------------------------------------------------------------------------
Eurodollar June Futures
Strike @ 91.75 Exp. 06/16/97 $ 200,000 5
</TABLE>
1997 Annual Report See accompanying notes/53
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund III
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================================
<S> <C> <C>
Eurodollar September Futures
Strike @ 91.25 Exp. 09/15/97 $ 200,000 $ 5
Eurodollar September Futures
Strike @ 92.25 Exp. 09/15/97 130,000 3
----------
Total Purchased CME Put Options 13
(Cost $11) ==========
- -------------------------------------------------------------------------------
Short-Term Instruments 6.0%
- -------------------------------------------------------------------------------
Discount Notes 2.7%
Australian Wheat Board
5.310% due 04/04/97 300 300
Ford Motor Credit Co.
5.370% due 04/23/97 500 498
5.290% due 04/24/97 500 498
General Electric Capital Corp.
5.380% due 04/14/97 100 100
General Motors Acceptance Corp.
5.350% due 04/01/97 1,200 1,200
KFW International Finance, Inc.
5.300% due 04/04/97 900 900
5.520% due 04/28/97 400 398
New Center Asset Trust
5.320% due 04/11/97 200 200
5.520% due 04/25/97 1,000 996
Wool International
5.340% due 04/23/97 100 100
----------
5,190
==========
Repurchase Agreement 2.0%
State Street Bank
5.000% due 04/01/97 3,892 3,892
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $3,973,512.
Repurchase proceeds are $3,892,541.)
U.S. Treasury Bills 1.3%
5.049% due 05/01/97-07/03/97 (b)(g) 2,605 2,581
----------
Total Short-Term Instruments 11,663
(Cost $11,662) ==========
Total Investments (a) 99.5% $ 192,287
(Cost $192,386)
Written Options (e) (0.5%) (995)
(Premiums $1,073)
Other Assets and Liabilities (Net) 1.0% 2,005
----------
Net Assets 100.0% $ 193,297
==========
<CAPTION>
Value
(000's)
- ------------------------------------------------------------------------------
<S> <C>
Notes to Schedule of Investments ($ in thousands):
</TABLE>
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows.
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 1,439
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (1,512)
----------
Unrealized depreciation-net $ (73)
==========
</TABLE>
(b) Securities with an aggregate market value of $2,581 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Type Contracts Depreciation
- ------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (06/97) 100 $ (97)
U.S. Treasury 10 Year Note (06/97) 458 (601)
U.S. Treasury 30 Year Bond (06/97) 50 (89)
Eurodollar June Futures (06/97) 200 303
----------
$ (484)
==========
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy C$ 4,325 05/97 $ (42)
Sell 4,325 05/97 94
Sell 4,325 03/98 47
----------
$ 99
==========
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Premiums received on Written Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Call-CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 06/16/97 $ 30,000 $ 200 $ 5
Put-CBOT U.S. Treasury Bond June Futures
Strike @ 110.00 Exp. 06/16/97 30,000 331 975
Put-CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 600,000 542 15
------------------------
$ 1,073 $ 995
========================
</TABLE>
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
(g) Securities are grouped by coupon and represent a range of maturities.
54/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Moderate Duration Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ------------------------------------------------------------------------
Corporate Bonds and Notes 36.4%
- ------------------------------------------------------------------------
Banking and Finance 13.0%
Banco Latino
6.220% due 03/26/98 $ 500 $ 500
Capital One Bank
6.730% due 06/04/98 250 250
First USA Bank
6.160% due 03/31/98 500 499
Lehman Brothers
7.410% due 05/25/99 500 505
---------
Industrials 18.1% 1,754
=========
Amerco, Inc.
7.230% due 01/21/27 500 489
Building Materials Corp.
0.000% due 07/01/04 (c) 250 222
RJR Nabisco, Inc.
8.625% due 12/01/02 480 482
TCI Communications, Inc.
6.238% due 04/03/02 (b) 250 247
6.185% due 09/15/03 (b) 1,000 1,001
---------
2,441
=========
Utilities 5.3%
Beaver Valley Funding Corp.
8.250% due 06/01/03 500 491
Texas-New Mexico Power
12.500% due 01/15/99 200 215
---------
706
---------
Total Corporate Bonds and Notes 4,901
(Cost $4,942) =========
- ------------------------------------------------------------------------
U.S. Treasury Notes 36.8%
- ------------------------------------------------------------------------
5.875% due 02/28/99 1,000 991
5.625% due 02/28/01 100 96
5.875% due 11/30/01 4,000 3,860
---------
Total U.S. Treasury Notes 4,947
(Cost $5,008) =========
- ------------------------------------------------------------------------
Mortgage-Backed Securities 24.5%
- ------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 3.4%
6.000% due 04/10/27 500 451
Federal Housing Administration 0.6%
7.450% due 03/31/27 87 87
Federal National Mortgage Association 11.1%
6.071% due 03/01/29 (b) 165 163
6.093% due 11/01/35 (b) 845 833
6.124% due 04/23/27 (b) 500 493
---------
1,489
=========
Government National Mortgage Association 7.0%
6.500% due 11/20/25 (b) 941 948
Collateralized Mortgage Obligations 2.4%
Federal Home Loan Mortgage Corp.
8.000% due 02/15/27 348 324
---------
Total Mortgage-Backed Securities 3,299
(Cost $3,350) =========
- ------------------------------------------------------------------------
Asset-Backed Securities 3.6%
- ------------------------------------------------------------------------
IMC Home Equity Loan Trust
5.618% due 03/25/27 (b) 484 483
---------
Total Asset-Backed Securities 483
(Cost $483) =========
- ------------------------------------------------------------------------
Sovereign Issues 2.6%
- ------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05 (b) 388 347
---------
Total Sovereign Issues 347
(Cost $348) =========
- ------------------------------------------------------------------------
Preferred Stock 3.6%
- ------------------------------------------------------------------------
Lazara Properties 500 $ 490
---------
Total Preferred Stock 490
(Cost $500) =========
- ------------------------------------------------------------------------
Short-Term Instruments 2.2%
- ------------------------------------------------------------------------
Discount Notes 1.5%
General Motors Acceptance Corp.
5.580% due 05/07/97 $ 100 99
Wool International
5.340% due 04/23/97 100 100
---------
199
=========
Repurchase Agreements 0.7%
State Street Bank
5.000% due 04/01/97 93 93
(Dated 03/31/97. Collateralized by U.S. ---------
Treasury Bond 9.875% 11/15/15 valued at
$98,208. Repurchase proceeds are $93,013.)
Total Short-Term Instruments 292
(Cost $292)
Total Investments (a) 109.7% $ 14,759
(Cost $14,923)
Other Assets and Liabilities (Net) (9.7%) (1,301)
---------
Net Assets 100.0% $ 13,458
</TABLE> =========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 8
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (186)
---------
Unrealized depreciation-net $ (178)
=========
</TABLE>
(b) Variable rate security. The rate listed is as of March 31, 1997.
(c) Security becomes interest bearing at a future date.
1997 Annual Report See accompanying notes/55
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ------------------------------------------------------------------------------------------
Corporate Bonds and Notes 21.7%
- ------------------------------------------------------------------------------------------
Banking and Finance 5.9%
American General Finance Corp.
6.000% due 02/23/98 $ 1,000 $ 996
Associates Corp. of North America
6.750% due 07/15/97 625 626
7.250% due 05/15/98 500 504
7.500% due 05/15/99 1,000 1,014
AT&T Capital Corp.
6.490% due 05/17/99 10,000 9,936
Banc One Corp.
7.250% due 08/01/02 500 501
Bancomer
8.000% due 07/07/98 4,000 4,004
BankAmerica Corp.
7.200% due 09/15/02 100 100
Banponce Corp.
7.500% due 05/28/97 2,000 2,005
Chrysler Financial Corp.
6.100% due 11/03/97 2,000 2,002
8.330% due 02/02/98 5,490 5,584
6.280% due 07/17/98 3,000 2,994
Citicorp
5.625% due 05/29/98 (d) 8,000 7,995
Comercia Bank
6.750% due 05/12/98 500 502
Commercial Credit
5.500% due 05/15/98 1,000 990
Den Danske Bank
6.729% due 06/23/00 (d) 1,000 1,002
Discover Credit Corp.
7.760% due 05/13/97 5,000 5,009
Ford Motor Credit Corp.
6.800% due 08/15/97 1,200 1,204
6.520% due 02/03/98 1,000 1,002
5.635% due 04/05/99 (d) 1,000 965
General Motors Acceptance Corp.
7.750% due 04/15/97 13,834 13,844
7.000% due 08/19/97 175 176
Kansallis-Osake
7.850% due 09/30/43 (d) 13,500 13,804
Lehman Brothers, Inc.
7.000% due 05/15/97 500 501
7.375% due 08/15/97 500 503
0.000% due 05/16/98 2,000 1,860
Manufacturers Hanover Corp.
5.438% due 04/30/97 (d) 6,000 5,997
Okobank
7.013% due 10/29/49 (d) 750 768
Salomon, Inc.
5.890% due 11/10/97 20,000 19,992
7.000% due 01/20/98 2,500 2,512
5.980% due 02/02/98 23,500 23,417
6.360% due 04/01/98 1,725 1,723
9.375% due 04/15/98 550 565
6.125% due 05/15/98 12,820 12,762
7.125% due 08/01/99 1,000 1,004
SGE Associates
8.070% due 07/20/00 20,260 20,795
Signet Banking Corp.
5.629% due 05/15/97 (d) 2,095 2,093
5.813% due 04/15/98 (d) 2,865 2,857
Transamerica Financial
6.940% due 04/27/98 700 703
---------
174,811
=========
Industrials 11.4%
Americo, Inc.
6.850% due 09/18/98 7,000 6,995
AMR Corp.
9.500% due 07/15/98 1,000 1,036
9.270% due 08/13/98 2,000 2,065
8.100% due 11/01/98 2,000 2,045
8.730% due 11/02/98 3,000 3,085
9.910% due 03/01/01 2,500 2,718
9.440% due 05/15/01 5,000 5,367
9.125% due 10/24/01 1,000 1,066
10.400% due 03/10/11 (i) 13,000 13,000
10.400% due 03/15/11 (i) 24,000 24,000
9.820% due 10/25/11 (i) 9,100 9,100
Arkla, Inc.
9.875% due 04/15/97 11,500 11,515
9.200% due 12/18/97 1,000 1,020
Bausch & Lomb
6.480% due 12/17/97 275 276
Consolidated Natural Gas Co.
8.750% due 06/01/99 400 416
Delta Air Lines
7.790% due 12/01/98 4,449 4,511
E. I. Du Pont de Nemours
8.500% due 02/10/98 100 102
Enserch Corp.
8.875% due 03/15/01 3,000 3,040
First Brands Corp.
9.125% due 04/01/99 3,000 3,000
Ford Motor Co.
9.250% due 07/15/97 14,900 15,038
9.000% due 09/15/01 500 536
Minnesota Mining & Manufacturing Co.
6.250% due 03/29/99 200 199
Nabisco, Inc.
8.300% due 04/15/99 2,900 2,966
8.000% due 01/15/00 16,675 17,071
Noranda, Inc.
6.250% due 08/18/00 (d) 1,000 1,014
RJR Nabisco
8.625% due 12/01/02 4,000 4,016
Sears Roebuck & Co.
9.250% due 04/15/98 5,750 5,913
TCI Communications, Inc.
6.298% due 03/11/03 (d) 3,000 2,965
Tenet Healthcare
7.875% due 01/15/03 2,300 2,271
Time Warner, Inc.
7.450% due 02/01/98 27,410 27,631
6.456% due 08/15/00 (d) 39,787 39,804
7.975% due 08/15/04 21,247 21,400
8.110% due 08/15/06 42,495 42,747
8.180% due 08/15/07 42,495 43,337
Transco Energy
9.375% due 08/15/01 1,000 1,078
United Air Lines
6.750% due 12/01/97 11,875 11,911
USX Corp.
7.750% due 01/21/98 2,000 2,020
---------
336,274
=========
Utilities 4.4%
Alabama Power
7.250% due 08/01/07 100 98
Bell Atlantic Financial
6.000% due 06/01/98 500 497
Central Power & Light
6.625% due 01/01/98 100 100
Cleveland Electric Illuminating Co.
9.450% due 12/01/97 11,400 11,588
8.330% due 10/30/98 1,500 1,527
8.170% due 11/30/98 1,000 1,009
9.300% due 07/26/99 1,500 1,546
9.375% due 03/01/17 3,000 3,067
CMS Energy
9.500% due 10/01/97 (d) 23,175 23,452
Commonwealth Edison
8.875% due 05/15/97 7,000 7,023
Consumers Energy
8.750% due 02/15/98 5,000 5,081
CTC Mansfield Funding
11.125% due 09/30/16 7,985 8,412
El Paso Electric Co.
7.250% due 02/01/99 1,000 996
Gulf States Utilities
9.720% due 07/01/98 333 341
Long Island Lighting Co.
7.625% due 04/15/98 3,000 3,021
</TABLE>
56/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=======================================================================
<S> <C> <C>
7.300% due 07/15/99 $ 4,500 $ 4,523
6.250% due 07/15/01 3,275 3,140
Louisiana Power & Light Co.
7.740% due 07/01/02 10,500 10,521
10.300% due 01/02/05 2,770 2,829
Mississippi Power & Light
8.800% due 04/01/05 1,000 1,005
New York State Electric
6.500% due 09/01/98 2,350 2,348
North Atlantic Energy
9.050% due 06/01/02 5,647 5,586
Northern States Power Co.
5.875% due 10/01/97 100 100
Public Service Electric & Gas
6.000% due 01/01/98 1,000 998
Texas Gas Transmission Corp.
9.625% due 07/15/97 9,000 9,088
Toledo Edison Co.
9.300% due 04/01/98 5,000 5,093
Triton Energy
0.000% due 11/01/97 10,500 10,132
United Illuminating
7.375% due 01/15/98 1,000 1,008
9.760% due 01/02/06 2,839 2,954
Western Massachusetts Electric
6.750% due 03/01/98 792 793
---------
127,876
---------
Total Corporate Bonds and Notes 638,961
(Cost $635,742) =========
- ----------------------------------------------------------------------
U.S. Treasury Obligations 1.5%
- ----------------------------------------------------------------------
U.S. Treasury Notes
6.500% due 04/30/97 1,000 1,001
5.750% due 09/30/97 7,195 7,195
8.125% due 02/15/98 (b) 180 183
6.125% due 08/31/98 15,000 14,968
6.000% due 09/30/98 13,200 13,143
5.000% due 01/31/99 1,305 1,274
6.750% due 06/30/99 1,700 1,710
5.250% due 01/31/01 3,000 2,859
7.000% due 07/15/06 850 852
U.S. Treasury Strips
0.000% due 05/15/97 229 227
0.000% due 05/15/98 2,000 1,866
---------
Total U.S. Treasury Obligations 45,278
(Cost $45,485) =========
- ----------------------------------------------------------------------
U.S. Government Agencies 2.1%
- ----------------------------------------------------------------------
Federal Farm Credit Bank
5.400% due 04/01/97 350 350
5.630% due 05/26/98 1,945 1,932
Federal Home Loan Bank
5.710% due 10/09/97 500 500
5.450% due 11/12/97 5,000 4,982
5.450% due 12/26/97 4,000 3,984
5.870% due 02/13/98 200 200
5.090% due 05/11/98 2,000 1,975
6.495% due 09/24/98 3,000 3,000
6.010% due 12/04/98 4,000 3,972
5.030% due 04/19/99 (d) 3,000 2,959
6.270% due 12/20/99 1,000 988
Federal Home Loan Mortgage Corp.
7.300% due 10/28/02 100 99
8.440% due 10/27/04 500 504
Federal National Mortgage Assn.
6.020% due 01/20/98 2,000 2,001
5.250% due 03/25/98 5,000 4,954
5.350% due 04/01/98 5,930 5,873
5.200% due 07/10/98 1,500 1,481
4.875% due 10/15/98 1,000 978
5.720% due 02/16/99 (d) 5,000 4,931
8.350% due 11/10/99 1,000 1,041
6.080% due 09/25/00 4,260 4,178
5.720% due 01/29/01 2,000 1,924
5.500% due 02/02/01 5,000 4,789
Small Business Administration
7.500% due 01/25/13 (d) 1,455 1,513
7.500% due 02/25/14 (d) 1,441 1,503
Tennessee Valley Authority
0.000% due 10/15/98 1,000 908
---------
Total U.S. Government Agencies 61,519
(Cost $61,609) =========
- ----------------------------------------------------------------------
Mortgage-Backed Securities 61.5%
- ----------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 6.2%
5.000% due 05/01/98-08/01/98 (g) 8 8
5.500% due 05/01/98-04/01/07 (g) 178 174
6.000% due 01/01/26-03/01/26 (g) 2,969 2,685
6.085% due 11/01/14-08/01/19 (d)(g) 3,002 2,969
6.089% due 01/01/30-12/01/30 (d)(g) 4,675 4,612
6.090% due 01/01/17-06/01/17 (d)(g) 798 789
6.092% due 09/01/15-01/01/20 (d)(g) 3,347 3,310
6.092% due 11/01/26-06/01/30 (d)(g) 2,904 2,862
6.100% due 05/01/17 (d) 290 287
6.105% due 10/01/30 (d) 500 493
6.107% due 02/01/16 (d) 162 160
6.125% due 01/01/20 (d) 351 346
6.500% due 01/01/02-02/01/05 (g) 71 70
6.500% due 04/10/27-05/13/27 (g) 50,000 46,561
6.625% due 03/01/17 (d) 430 442
7.000% due 01/01/17 (d) 96 99
7.223% due 02/01/20 (d) 5,075 5,240
7.250% due 07/01/07 48 48
7.500% due 09/01/06 200 201
7.500% due 04/10/27 1,000 983
7.725% due 07/01/18 (d) 776 807
7.743% due 03/01/24 (d) 430 448
7.870% due 06/01/24 (d) 2,567 2,648
7.901% due 11/01/23 (d) 2,990 3,109
7.913% due 11/01/22 (d) 4,082 4,219
7.959% due 12/01/22 (d) 2,525 2,627
8.000% due 07/01/06-04/01/07 (g) 390 396
8.000% due 07/02/24-05/13/27 (g) 74,895 75,738
8.028% due 10/01/23 (d) 4,672 4,862
8.043% due 09/01/23 (d) 1,002 1,043
8.045% due 01/01/24 (d) 4,743 4,935
8.104% due 01/01/24 (d) 3,155 3,250
8.250% due 10/01/07-11/01/07 (g) 68 69
8.500% due 07/01/01-05/01/10 (g) 685 703
8.500% due 01/01/12 72 74
8.500% due 04/10/27 1,500 1,537
8.750% due 02/01/01-04/01/02 (g) 169 173
9.000% due 09/01/98-07/01/04 (g) 259 265
9.250% due 07/01/01 13 13
9.500% due 03/01/01-12/01/04 (g) 193 202
9.750% due 03/01/01-11/01/08 (g) 1,543 1,644
10.000% due 04/01/01 14 14
10.500% due 07/01/00-10/01/00 (g) 80 83
10.500% due 10/01/10-02/01/16 (g) 56 60
10.750% due 10/01/00-10/01/10 (g) 421 457
10.750% due 08/01/11 369 404
11.250% due 10/01/14 14 15
11.500% due 10/01/15 2 3
11.750% due 11/01/10-08/01/15 (g) 22 25
14.000% due 09/01/12-12/01/12 (g) 6 8
---------
182,170
=========
Federal Housing Administration 0.6%
6.950% due 04/01/14 1,805 1,634
7.421% due 11/01/19 977 987
7.430% due 10/01/19-12/01/21 (g) 13,916 13,595
9.680% due 02/01/24 392 398
---------
16,614
=========
Federal National Mortgage Association 3.7%
6.000% due 12/25/18 250 247
6.069% due 07/01/28 (d) 65 64
6.085% due 10/01/27-10/01/28 (d)(g) 789 779
6.089% due 02/01/31 (d) 960 947
6.092% due 09/01/27-05/01/28 (d)(g) 576 568
6.147% due 04/01/18 (d) 8,627 8,454
</TABLE>
1997 Annual Report See accompanying notes/57
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
================================================================
<S> <C>
6.256% due 04/25/22 (d) $ 559 $ 562
6.500% due 06/01/08 45 42
6.500% due 12/01/25 13,059 12,157
6.750% due 01/01/21 (d) 1,043 1,054
7.000% due 04/01/02-09/01/07 (g) 357 354
7.134% due 11/01/17 (d) 754 766
7.342% due 07/01/17 (d) 1,191 1,225
7.345% due 05/01/24 (d) 1,819 1,892
7.399% due 11/01/18 (d) 551 573
7.637% due 10/01/24 (d) 15,541 16,208
7.706% due 04/01/24 (d) 6,692 6,962
7.825% due 10/01/23 (d) 7,498 7,801
7.883% due 07/01/23 (d) 4,888 5,084
7.939% due 01/01/24 (d) 8,139 8,464
8.000% due 03/01/04 227 230
8.000% due 12/01/24 4,710 4,784
8.467% due 05/01/97 (d) 253 260
8.500% due 03/01/08-02/01/17 (g) 635 657
8.500% due 11/01/23-08/01/26 (g) 23,066 23,785
9.000% due 07/01/97-08/01/98 (g) 890 903
10.000% due 02/01/04-06/01/13 (g) 2,480 2,664
10.000% due 09/01/14-06/01/19 (g) 1,063 1,163
10.500% due 06/01/05-11/01/05 (g) 516 552
11.000% due 10/01/98-09/01/00 (g) 26 28
11.250% due 12/01/10-10/01/15 (g) 325 359
12.000% due 01/01/15-10/01/15 (g) 16 19
12.750% due 02/01/14-11/01/14 (g) 114 131
13.000% due 07/01/15 9 11
13.250% due 09/01/11 27 31
13.500% due 04/01/14 9 11
15.500% due 10/01/12-12/01/12 (g) 89 109
15.750% due 12/01/11 58 67
16.000% due 09/01/12-12/01/12 (g) 32 40
---------
110,007
=========
Government National Mortgage Association 33.1%
5.000% due 01/20/26-08/20/26 (d)(g) 21,113 20,862
5.500% due 07/20/26 (d) 1,767 1,731
6.000% due 07/20/26-09/20/26 (d)(g) 6,468 6,428
6.500% due 01/20/22-07/15/26 (d)(g) 45,523 46,348
6.875% due 10/20/23-10/20/24 (d)(g) 28,312 28,887
7.000% due 04/17/27-05/19/27 (g) 498,000 474,867
7.125% due 05/20/22-06/20/25 (d)(g) 230,115 235,789
7.500% due 02/15/22-12/15/23 (g) 115,109 113,811
8.000% due 07/15/04-11/15/06 (g) 9 10
8.000% due 04/17/27 16,250 16,316
8.500% due 01/15/25-12/15/25 (g) 28,408 29,186
9.750% due 07/15/13-02/15/20 (g) 1,560 1,681
10.750% due 10/15/98 21 21
11.750% due 07/15/13-09/15/15 (g) 307 344
12.000% due 06/20/15 35 39
13.500% due 05/15/11-11/15/12 (g) 46 54
16.500% due 12/15/11 1 1
---------
976,375
=========
Collateralized Mortgage Obligations 13.7%
American Southwest Financial
5.100% due 06/02/99 12,647 12,271
Bear Stearns
8.200% due 09/25/22 1,097 1,108
8.000% due 05/25/23 248 250
Capstead
7.400% due 04/25/18 4,687 4,692
7.800% due 02/25/22 719 720
7.500% due 02/25/23 3,105 3,108
Chase Mortgage Financial Corp.
10.000% due 11/25/09 1,398 1,448
8.000% due 06/25/24 38 38
7.500% due 10/25/24 68 68
Citicorp Mortgage
9.000% due 11/01/01 1,650 1,688
8.500% due 06/25/06 1,853 1,863
9.350% due 06/01/10 6 6
7.250% due 11/01/11 243 242
10.000% due 01/25/13 134 143
9.500% due 10/25/15 1,282 1,305
Collateralized Mortgage Obligation Trust
6.063% due 01/20/03 (d) 31 31
7.985% due 05/01/17 17,497 17,628
9.500% due 06/25/20 794 833
Conseco Commercial Mortgage
9.700% due 07/15/04 831 834
Countrywide
6.500% due 03/25/24 1,570 1,565
6.125% due 01/25/35 (d) 18,466 17,964
Donaldson, Lufkin & Jenrette
11.000% due 08/01/19 2,089 2,354
7.835% due 05/25/24 (d) 5,436 5,539
Federal Home Loan Mortgage Corp.
7.000% due 07/15/97 409 409
9.000% due 01/15/04 500 506
9.000% due 04/15/04 94 95
9.000% due 12/15/05 677 687
10.000% due 09/15/09 20 21
12.500% due 09/30/13 1,643 1,852
5.400% due 08/15/14 3,000 2,975
11.000% due 11/30/15 6,495 7,047
8.000% due 04/15/19 969 973
10.000% due 07/15/19 525 564
8.500% due 09/15/19 257 257
8.500% due 09/15/19 2,018 2,042
5.650% due 11/15/19 2,081 2,071
9.000% due 11/15/19 3,192 3,300
7.950% due 02/15/20 2,743 2,767
9.000% due 02/15/20 945 953
8.250% due 03/15/20 306 309
8.000% due 04/15/20 2,500 2,548
7.500% due 04/15/20 2,900 2,893
10.000% due 05/15/20 350 386
7.500% due 12/15/20 2,000 1,961
9.000% due 12/15/20 10,438 10,896
9.500% due 01/15/21 3,186 3,360
8.000% due 04/15/21 3,206 3,246
9.000% due 05/15/21 366 377
9.000% due 05/15/21 231 241
7.000% due 08/15/21 3,624 3,620
Federal National Mortgage Assn.
8.950% due 05/25/03 137 142
9.400% due 07/25/03 214 224
9.000% due 07/25/03 979 1,007
5.750% due 02/25/05 3,960 3,910
8.500% due 09/25/06 792 796
6.875% due 06/25/09 4,724 4,684
7.000% due 04/25/15 2,450 2,454
7.250% due 07/25/15 2,280 2,280
7.500% due 01/25/16 194 194
5.750% due 04/25/16 4,577 4,450
8.000% due 01/25/19 114 114
7.500% due 02/25/19 161 161
9.300% due 05/25/19 92 95
9.000% due 05/25/19 1,421 1,432
8.000% due 05/25/19 1,098 1,105
8.750% due 05/25/19 189 194
9.000% due 07/25/19 789 810
9.000% due 08/25/19 2,069 2,083
9.500% due 03/25/20 2,657 2,965
9.500% due 05/25/20 1,450 1,600
8.000% due 07/25/20 7,897 7,982
8.500% due 01/25/21 92 93
9.000% due 03/25/21 10,279 10,554
9.000% due 04/25/21 300 314
8.000% due 03/25/22 226 227
5.000% due 01/25/24 561 542
8.500% due 03/18/27 3,021 2,876
First Boston Corp.
7.050% due 07/25/23 425 425
Fleet Mortgage
7.200% due 10/25/23 1,491 1,468
General Electric Capital Mortgage
7.750% due 04/25/07 1,351 1,344
6.350% due 03/25/17 28,048 27,832
6.500% due 07/25/18 612 610
</TABLE>
58/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=======================================================================
<S> <C> <C>
Glendale Federal Savings & Loan
7.351% due 03/25/30 (d) $ 3,106 $ 3,151
Greenwich
8.652% due 11/25/24 (d) 5,115 5,202
Home MAC Mortgage Securities Corp.
8.550% due 07/01/08 10 10
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/15 1,827 1,959
Housing Securities, Inc.
6.750% due 02/25/21 25,744 25,669
Independent National Mortgage Corp.
8.212% due 11/25/24 (d) 8,607 8,829
8.250% due 03/25/25 9,006 9,066
Nomura Asset Securities Corp.
6.625% due 01/25/09 5,000 4,964
Norwest Mortgage
12.375% due 01/01/14 298 318
12.500% due 02/01/14 609 649
12.250% due 04/01/14 529 560
Prudential Bache
6.085% due 09/01/18 (d) 62 61
8.400% due 03/20/21 8,262 8,402
Prudential Home
6.500% due 04/25/00 92 91
7.500% due 09/25/07 878 867
7.000% due 11/25/07 2,576 2,573
7.000% due 06/25/23 3,014 2,851
6.750% due 01/25/24 955 949
Prudential Securities
8.000% due 12/25/20 1,500 1,519
Residential Accredit Loans, Inc.
7.300% due 12/25/26 3,742 3,747
Residential Asset Securitization Trust
7.050% due 07/25/26 17,055 17,034
Residential Funding
6.157% due 07/01/19 (d) 1,573 1,467
7.064% due 09/01/19 (d) 394 386
9.000% due 12/25/21 248 254
Resolution Trust Corp.
6.796% due 09/25/19 (d) 3,082 3,075
5.967% due 01/25/21 (d) 270 259
6.784% due 07/25/21 (d) 42 42
6.525% due 09/25/21 (d) 1,516 1,491
6.947% due 10/25/21 (d) 1,670 1,672
7.063% due 03/25/22 (d) 3,590 3,591
10.000% due 05/25/22 278 284
7.250% due 10/25/23 592 590
9.500% due 05/25/24 451 455
8.750% due 05/25/26 2 2
6.152% due 09/25/27 (d) 3,136 3,036
9.000% due 09/25/28 355 363
Ryland Acceptance Corp.
8.000% due 03/01/18 2,728 2,637
Salomon Mortgage
7.200% due 12/25/17 (d) 3,083 3,083
6.975% due 01/25/18 (d) 71 71
9.554% due 10/25/18 (d) 8,077 8,302
7.826% due 03/25/24 (d) 6,466 6,457
Sears Mortgage
7.696% due 08/25/23 (d) 1,252 1,271
8.650% due 05/25/32 (d) 940 948
Securitized Asset Sales, Inc.
6.750% due 08/25/25 17,348 17,357
7.500% due 10/25/25 22,103 22,193
Shearson Lehman
9.600% due 03/25/21 1,575 1,634
Westam Mortgage Financial Corp.
6.500% due 10/02/17 6,935 6,926
-----------
403,338
===========
Other Mortgage-Backed Securities 2.4%
Dime Savings
7.079% due 11/01/18 (d) 3,562 3,264
First Boston Mortgage Securities Corp.
8.300% due 08/20/09 429 432
Fleet Finance, Inc.
5.450% due 03/20/23 $ 20 $ 20
Glendale Federal Savings & Loan
11.000% due 03/01/10 40 42
Great Western Savings & Loan
6.130% due 12/01/17 (d) 565 559
Guardian
6.574% due 07/25/18 (d) 71 66
7.202% due 10/25/19 (d) 303 224
6.799% due 12/25/19 (d) 2,630 1,738
6.855% due 12/25/19 (d) 396 250
6.816% due 02/25/20 (d) 1,713 940
6.807% due 07/25/20 (d) 1,658 1,079
Home Savings of America
5.770% due 05/25/27 (d) 2,504 2,410
5.858% due 09/25/28 (d) 1,741 1,702
Imperial Savings & Loan
9.014% due 07/25/17 68 68
9.900% due 02/25/18 669 701
MDC Mortgage Funding
8.568% due 01/25/25 (d) 5,925 6,036
Resolution Trust Corp.
7.595% due 05/25/19 (d) 10,302 10,025
7.070% due 08/25/19 (d) 6,839 6,811
10.372% due 08/25/21 (d) 1,305 1,359
8.625% due 10/25/21 250 250
6.900% due 02/25/27 7,875 7,163
6.307% due 10/25/28 (d) 3,645 3,685
7.482% due 05/25/29 (d) 3,820 3,822
Ryland Acceptance Corp.
7.580% due 11/28/22 (d) 10,068 10,248
Salomon Mortgage
11.500% due 09/01/15 1,050 1,129
8.230% due 12/25/17(d) 547 536
Sears Mortgage
12.000% due 02/25/14 169 184
6.455% due 10/25/22 1,212 1,193
7.423% due 10/25/22 (d) 5,572 5,487
Security Pacific
7.850% due 05/15/98 1 1
Western Federal Savings & Loan
6.427% due 06/25/18 (d) 64 64
6.624% due 11/25/18 (d) 338 334
10.069% due 02/01/20 (d) 82 85
-----------
71,907
===========
Stripped Mortgage-Backed Securities 1.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 3,026 127
6.250% due 09/15/04 8,566 493
6.000% due 02/15/06 12,301 743
9.982% due 07/15/06 102 1,426
10.195% due 08/15/06 30 417
11.944% due 12/15/06 46 982
6.000% due 10/15/07 4,412 372
6.000% due 02/15/08 11,449 1,091
7.000% due 07/15/12 3,528 96
6.500% due 02/25/13 7,443 316
6.500% due 08/25/13 11,374 649
7.000% due 08/15/18 7,321 1,738
7.500% due 12/15/18 8,259 967
7.000% due 04/15/19 9,526 782
6.500% due 05/15/19 20,065 2,310
6.500% due 06/15/19 20,844 2,018
10.496% due 04/15/21 63 974
6.500% due 04/15/22 11,842 1,506
7.000% due 05/15/23 1,095 170
4.000% due 01/15/24 20,919 6,253
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 5,431 334
7.272% due 09/25/06 65 1,295
6.000% due 02/25/08 13,426 1,365
256.000% due 11/01/08 55 405
6.500% due 03/25/09 5,105 717
0.100% due 03/25/09 (d) 44,000 995
6.500% due 03/25/09 7,705 1,616
8.815% due 06/25/16 128 1,239
</TABLE>
1997 Annual Report See accompanying notes/59
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===============================================================================
<S> <C> <C>
9.987% due 12/25/18 $ 33 $ 318
7.500% due 03/25/19 9,784 1,419
6.500% due 05/25/19 10,000 2,452
6.500% due 04/25/20 39,744 4,259
7.000% due 05/25/21 20,011 2,463
8.598% due 02/25/22 50 1,154
6.500% due 03/25/23 10,627 1,644
4.875% due 03/25/24 (d) 16,701 1,079
Federal National Mortgage Assn. (PO)
0.000% due 07/25/22 4,510 3,721
0.000% due 09/25/22 102 81
Prudential Home (IO)
0.300% due 04/25/09 (d) 101,706 944
Resolution Trust Corp. (PO)
0.000% due 09/25/00 1,036 939
----------
51,869
----------
Total Mortgage-Backed Securities 1,812,280
(Cost $1,831,878) ==========
Asset-Backed Securities 0.1%
Delta Air Lines Equipment Trust
10.430% due 01/02/11 1,810 2,139
SCFC Boat Loan Trust
7.050% due 04/15/07 73 73
United Air Lines Equipment Trust
10.850% due 02/19/15 1,500 1,808
----------
Total Asset-Backed Securities 4,020
(Cost $4,024) ==========
Sovereign Issues 6.3%
Banco Nacional de Obra y Servicios
6.875% due 10/01/98 10,000 9,900
Commonwealth of Canada
5.280% due 04/02/97 4,200 4,199
5.370% due 04/09/97 28,500 28,466
5.410% due 04/15/97 31,000 30,935
5.290% due 04/17/97 3,300 3,292
5.300% due 04/17/97 66,000 65,845
Kingdom of Sweden
5.370% due 06/02/97 3,700 3,664
Nacional Financiera
8.094% due 12/15/97 (d) 59 59
6.250% due 12/03/98 (d) 1,500 1,463
5.875% due 02/17/98 2,000 1,972
Petroleos Mexicanos
8.250% due 02/04/98 5,000 5,015
Province of Quebec
5.563% due 10/26/01 (d) 250 247
Republic of Argentina
6.750% due 03/31/05 (d) 23,862 21,327
United Mexican States
5.820% due 06/28/01 10,000 8,962
7.625% due 08/06/01 (d) 1,000 1,018
----------
Total Sovereign Issues 186,364
(Cost $184,947) ==========
Foreign Currency-Denominated Issues (c)(f) 2.5%
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 3,500 2,154
Commonwealth of Canada
8.500% due 03/01/00 C$ 42,966 33,605
8.750% due 12/01/05 1,150 944
4.250% due 12/01/26 (h) 51,199 36,633
----------
Total Foreign Currency-Denominated Issues 73,336
(Cost $77,274) ==========
Short-Term Instruments 23.8%
Discount Notes 23.3%
Abbott Labs
5.310% due 04/08/97 $ 10,300 10,289
BellSouth Telecommunications
5.240% due 04/02/97 7,000 6,999
5.285% due 04/04/97 $ 7,300 7,297
Caisse d'Amortissement
5.320% due 04/07/97 11,500 11,490
5.370% due 07/01/97 100 99
Canadian Wheat Board
5.310% due 04/24/97 3,400 3,388
E.I. Du Pont de Nemours
5.290% due 04/10/97 3,100 3,096
Export Development Corp.
5.280% due 04/11/97 12,000 11,981
Florida Power & Light Co.
5.310% due 04/07/97 18,400 18,383
Ford Motor Credit Co.
5.310% due 04/09/97 1,800 1,798
5.320% due 04/09/97 7,800 7,791
5.320% due 04/10/97 14,200 14,180
5.280% due 04/22/97 25,600 25,520
5.340% due 04/23/97 11,000 10,963
5.290% due 04/24/97 8,500 8,470
5.280% due 04/25/97 23,500 23,416
5.280% due 04/29/97 24,100 24,000
General Electric Capital Corp.
5.310% due 04/10/97 11,500 11,484
5.380% due 04/14/97 18,400 18,363
5.550% due 05/06/97 34,000 33,816
5.350% due 05/21/97 55,700 55,285
General Motors Acceptance Corp.
5.300% due 04/09/97 10,000 9,987
5.370% due 04/09/97 4,200 4,194
5.350% due 04/10/97 20,000 19,972
5.350% due 04/24/97 21,000 20,927
5.550% due 05/07/97 11,800 11,734
5.580% due 05/07/97 50,000 49,720
KFW International Finance, Inc.
5.270% due 04/17/97 1,400 1,396
5.540% due 04/23/97 31,000 30,894
Mobil Australia Finance
5.320% due 04/15/97 4,200 4,191
5.420% due 06/18/97 14,400 14,230
National Rural Utilities Cooperative
5.290% due 04/03/97 27,500 27,491
5.310% due 04/03/97 14,500 14,495
5.290% due 04/04/97 4,600 4,597
5.310% due 04/08/97 900 899
5.330% due 04/29/97 2,300 2,289
5.380% due 05/02/97 37,600 37,425
5.250% due 05/08/97 5,100 5,072
New Center Asset Trust
5.270% due 04/09/97 2,900 2,897
5.290% due 04/09/97 35,900 35,858
5.520% due 04/25/97 25,900 25,805
Ontario Hydro
5.420% due 06/16/97 31,500 31,140
Pitney Bowes Credit
5.290% due 04/17/97 1,000 998
Wool International
5.290% due 04/16/97 10,000 9,978
5.320% due 04/16/97 4,200 4,191
5.340% due 04/23/97 5,400 5,382
5.330% due 04/24/97 3,300 3,289
----------
687,159
==========
Repurchase Agreements 0.5%
Daiwa Securities America
6.200% due 04/01/97 7,000 7,000
(Dated 03/31/97. Collateralized by U.S.
Treasury Note 6.500% 05/31/01 valued at
$7,158,562. Repurchase proceeds are
$7,001,206.)
State Street Bank
5.000% due 04/01/97 5,740 5,740
----------
Dated 03/31/97. Collateralized by U.S.
Treasury Bond 7.250% 05/15/16 valued at
$5,857,060. Repurchase proceeds are
$5,740,797.) 12,740
==========
</TABLE>
60/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=====================================================================================================
<S> <C> <C>
U.S. Treasury Bills 0.0%
5.060% due 05/01/97-06/26/97(b)(g) $ 910 $ 902
------------
Total Short-Term Instruments 700,801
(Cost $700,826) ============
Total Investments (a) 119.5% $ 3,522,559
(Cost $3,541,785)
Written Options (e) (0.0%) (91)
(Premiums $3,711)
Other Assets and Liabilities (Net) (19.5%) (573,653)
------------
Net Assets 100.0% $ 2,948,815
============
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31,1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost. $ 18,143
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (37,315)
------------
Unrealized depreciation-net $ (19,172)
============
</TABLE>
(b) Securities with an aggregate market value of $1,085 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31,1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 10 Year Note (06/97) 213 $ (732)
U.S. Treasury 30 Year Bond (06/97) 37 (95)
------------
$ (827)
============
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BF 119,300 04/97 $ (431)
Sell 119,300 04/97 429
Buy C$ 5,061 05/97 (49)
Sell 5,061 05/97 110
Sell 57,490 03/98 626
Buy DG 403 04/97 (6)
Sell DM 3,544 06/97 (15)
------------
$ 664
============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31,1997.
(e) Premiums received on Written Put Options:
<TABLE>
<CAPTION>
Premiums Market
Type Par Received Value
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $3,650,000 $ 3,711 $ 91
</TABLE>
(f) Principal amount denoted in indicated currency:
BF - Belgian Franc
C$ - Canadian Dollar
DG - Dutch Guilder
DM - German Mark
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security is part of an integrated SWAP transaction as discussed in note j
below and as a result is restricted to resale.
(j) Terms of agreements require the payment of fixed rate interest earned on a
security held by the Fund in exchange for variable rate interest based upon the
3 Month LIBOR rate. The terms of the agreement also include a put option which
enables the Fund to put the underlying security to the counterparty at par. Swap
agreements outstanding at March 31,1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 3 month LIBOR and pay fixed rate.
Broker: Merrill Lynch
Exp. 09/24/97 $ 9,100 $ 0
Broker: Merrill Lynch
Exp. 09/24/97 24,000 0
Broker: Merrill Lynch
Exp. 09/24/97 13,000 0
------------
$ 0
============
</TABLE>
1997 Annual Report See accompanying notes/61
<PAGE>
Schedule of Investments
Low Duration Fund II
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -------------------------------------------------------------------------
Corporate Bonds and Notes 0.9%
- -------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 0.9%
Golden West Financial Corp.
8.625% due 08/30/98 $ 3,000 $ 3,076
--------
Total Corporate Bonds and Notes 3,076
(Cost $3,032) ========
- -------------------------------------------------------------------------
U.S. Treasury Notes 9.7%
- -------------------------------------------------------------------------
5.625% due 10/31/97 20,000 19,975
6.125% due 08/31/98 10,000 9,978
6.000% due 09/30/98 3,000 2,987
--------
Total U.S. Treasury Notes 32,940
(Cost $32,996) ========
- -------------------------------------------------------------------------
Mortgage-Backed Securities 58.3%
- -------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 8.3%
7.500% due 05/13/27 5,000 4,906
7.972% due 07/01/23 (c) 3,121 3,245
8.000% due 07/01/24-12/01/25 (d) 19,786 19,992
10.500% due 09/01/15-12/01/18 (d) 141 154
--------
28,297
========
Federal National Mortgage Association 2.7%
6.124% due 04/23/27 2,000 1,973
7.621% due 01/01/24 (c) 2,864 2,850
7.673% due 02/01/25 (c) 2,224 2,317
8.500% due 02/01/98-06/01/98 (d) 69 70
9.000% due 06/01/98 133 134
10.500% due 05/01/12 1,602 1,735
--------
9,079
========
Government National Mortgage Association 25.6%
6.500% due 03/15/26-11/15/26 (d) 2,202 2,044
7.000% due 04/17/27-05/19/27 (d) 30,000 28,600
7.125% due 04/20/22-07/20/23 (c)(d) 26,928 27,624
7.500% due 02/15/22-03/15/24 (d) 10,336 10,221
8.000% due 04/17/27 2,250 2,259
8.500% due 05/15/25-07/15/25 (d) 14,291 14,682
9.000% due 07/20/16-12/20/17 (d) 1,312 1,384
--------
86,814
========
Collateralized Mortgage Obligations 18.0%
American Southwest Financial
7.500% due 10/01/18 1,000 1,000
Capstead
7.500% due 02/25/23 3,000 3,003
Citicorp Mortgage
9.500% due 09/25/02 1,494 1,510
9.500% due 10/25/15 962 979
CMC Securities Corp.
7.627% due 04/25/25 (c) 6,195 6,296
Collateralized Mortgage Securities Corp.
9.000% due 04/25/10 2,509 2,528
11.875% due 04/01/15 288 307
Donaldson, Lufkin & Jenrette
7.835% due 05/25/24 (c) 2,744 2,797
Federal Home Loan Mortgage Corp.
8.500% due 05/15/04 817 821
12.900% due 05/01/14 416 434
9.250% due 10/25/18 191 200
8.600% due 06/15/19 1,068 1,076
7.000% due 08/25/22 1,000 996
8.000% due 11/25/23 11,263 11,390
General Electric Capital Mortgage
7.500% due 11/25/18 21 20
Guardian
8.044% due 07/25/19 (c) 180 176
Kidder Peabody
7.150% due 04/25/25 2,121 2,094
Lomas & Nettleton
12.000% due 03/17/14 174 184
Prudential Home
7.500% due 06/25/25 6,867 6,896
Residential Asset Securitization Trust
9.000% due 07/25/26 7,942 8,104
Residential Funding
7.500% due 10/25/22 2,008 1,937
Resolution Trust Corp.
6.947% due 10/25/21 (c) 418 418
Ryland Acceptance Corp.
14.000% due 11/25/31 206 228
Salomon Mortgage
7.331% due 11/25/22 (c) 3,251 3,276
Saxon Mortgage
7.701% due 09/25/22 (c) 2,342 2,371
Sears Mortgage
8.650% due 05/25/32 (c) 1,316 1,329
UBS Mortgage
8.000% due 07/25/20 632 635
--------
61,005
========
Other Mortgage-Backed Securities 3.7%
Guardian
7.202% due 10/25/19 (c) 614 455
6.807% due 07/25/20 (c) 1,105 719
Resolution Trust Corp.
7.595% due 05/25/19 (c) 2,240 2,179
8.625% due 10/25/21 150 150
7.955% due 10/25/28 (c) 5,831 5,931
Sears Mortgage
6.500% due 03/25/17 319 294
7.423% due 10/25/22 (c) 2,786 2,743
--------
12,471
--------
Total Mortgage-Backed Securities 197,666
(Cost $199,424) ========
- -------------------------------------------------------------------------
Asset-Backed Securities 6.6%
- -------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.190% due 10/15/11 (c) 5,000 4,958
EQCC Home Equity Loan Trust
6.100% due 10/15/03 10,000 10,000
Money Store Home Equity
6.260% due 06/15/03 7,379 7,370
Volvo Car Finance Grantor Trust (PO)
0.000% due 08/12/98 92 90
--------
Total Asset-Backed Securities 22,418
(Cost $22,466) ========
- -------------------------------------------------------------------------
Short-Term Instruments 35.5%
- -------------------------------------------------------------------------
Discount Notes 34.5%
Abbott Laboratories
5.500% due 04/29/97 16,000 15,932
Ameritech Corp.
5.260% due 04/18/97 1,100 1,097
BellSouth Telecommunications, Inc.
5.290% due 04/23/97 2,300 2,293
Coca-Cola Co.
5.280% due 04/01/97 3,600 3,600
E.I. Du Pont de Nemours
5.370% due 04/29/97 2,400 2,390
5.490% due 04/29/97 4,600 4,580
Florida Power Corp.
5.290% due 04/01/97 7,000 7,000
Ford Motor Credit Corp.
5.320% due 04/09/97 13,200 13,184
General Electric Capital Corp.
5.310% due 04/15/97 400 399
5.250% due 04/24/97 3,400 3,389
5.250% due 04/25/97 1,100 1,096
5.480% due 04/25/97 900 897
5.330% due 04/29/97 200 199
5.550% due 05/06/97 10,000 9,946
General Motors Acceptance Corp.
5.350% due 04/01/97 2,700 2,700
5.290% due 04/02/97 3,700 3,699
5.350% due 04/09/97 3,700 3,696
5.450% due 06/17/97 6,400 6,322
Minnesota Mining & Manufacturing Co.
5.280% due 05/07/97 11,600 11,539
National Rural Utilities Cooperative
5.290% due 04/01/97 6,300 6,300
5.330% due 04/29/97 700 697
</TABLE>
62/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
5.560% due 06/17/97 $ 2,800 $ 2,766
New Center Asset Trust
6.700% due 04/01/97 1,800 1,800
5.520% due 04/25/97 2,000 1,993
Pitney Bowes Credit Corp.
5.290% due 04/17/97 600 599
5.540% due 04/18/97 9,000 8,976
-----------
117,089
===========
Repurchase Agreement 0.9%
State Street Bank
5.000% due 04/01/97 3,245 3,245
-----------
(Dated 03/31/97. Collateralized by U.S. Treasury
Note 5.125% 02/28/98 valued at $3,310,260.
Repurchase proceeds are $3,245,451.)
U.S. Treasury Bills 0.1%
5.082% due 06/26/97-07/03/97 (b)(d) 315 311
-----------
Total Short-Term Instruments 120,645
===========
(Cost $120,649)
Total Investments (a) 111.0% $ 376,745
(Cost $378,567)
Written Options (e) 0.0% (9)
(Premiums $287)
Other Assets and Liabilities (Net) (11.0%) (37,361)
-----------
Net Assets 100.0% $ 339,375
===========
Notes to Schedule of Investments ($ in thousands)
(a) At March 31, 1997, 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. $ 976
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (3,074)
-----------
Unrealized depreciation-net $ (2,098)
-----------
(b) Securities with an aggregate market value of $311 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 Year Note (06/97) 100 $ (125)
U.S. Treasury 10 Year Note (06/97) 126 (433)
-----------
$ (558)
===========
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Securities are grouped by coupon and represent a range of maturities.
(e) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar June Futures
Strike @ 93.50 Exp. 06/16/97 $350,000 $ 287 $ 9
</TABLE>
1997 Annual Report See accompanying notes/63
<PAGE>
Schedule of Investments
Low Duration Fund III
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ----------------------------------------------------------------------------------------------
Mortgage-Backed Securities 83.8%
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corporation 5.8%
8.750% due 10/01/01 $ 568 $ 581
Federal National Mortgage Association 28.9%
8.500% due 03/01/25-05/01/25(b) 2,834 2,907
Government National Mortgage Association 40.5%
8.500% due 07/21/27 4,000 4,078
Collateralized Mortgage Obligations 8.6%
Federal Home Loan Mortgage Corp.
8.500% due 10/15/24 853 861
-----------
Total Mortgage-Backed Securities 8,427
(Cost $8,488) ===========
- ----------------------------------------------------------------------------------------------
Short-Term Instruments 56.5%
- ----------------------------------------------------------------------------------------------
Discount Notes 55.4%
Canadian Wheat Board
5.240% due 05/16/97 100 99
Commonwealth of Canada
5.400% due 05/20/97 500 496
E.I. Du Pont de Nemours
5.370% due 04/04/97 500 500
Electricite de France
5.240% due 04/23/97 300 299
Federal Home Loan Mortgage Corp.
5.330% due 04/18/97 1,100 1,097
Ford Motor Credit Corp.
5.370% due 04/23/97 500 498
General Motors Acceptance Corp.
5.580% due 05/07/97 100 99
Illinois Tool Works
5.380% due 04/08/97 500 500
KFW International Finance, Inc.
5.390% due 04/29/97 500 498
Mobil Australia Finance
5.420% due 06/18/97 500 494
National Rural Utilities Cooperative
5.380% due 05/02/97 500 498
Western Australia Treasury Corp.
5.420% due 06/20/97 500 494
-----------
5,572
===========
Repurchase Agreement 1.1%
State Street Bank
5.000% due 04/01/97 106 106
Dated 03/31/97. Collateralized by U.S. Treasury -----------
Note 5.750% 09/30/97 valued at $109,948.
Repurchase proceeds are $106,015.)
Total Short-Term Instruments 5,678
(Cost $5,678) ===========
Total Investments (a) 140.3% $ 14,105
(Cost $14,166)
Other Assets and Liabilities (Net) (40.3%) (4,049)
-----------
Net Assets 100.0% $ 10,056
===========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 2
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (63)
-----------
Unrealized depreciation-net $ (61)
===========
</TABLE>
(b) Securities are grouped by coupon and represent a range of maturities.
64/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- -------------------------------------------------------------------------
Corporate Bonds And Notes 37.8%
- -------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 26.4%
Advanta National Bank
5.980% due 05/09/97 $ 2,700 $ 2,698
Ahmanson (H.F.) & Co.
6.330% due 04/15/98 5,800 5,793
AT&T Capital Corp.
7.800% due 02/10/98 2,000 2,024
Capital One Bank
6.490% due 08/15/97 2,000 2,004
Caterpillar Financial
5.550% due 04/01/99 (d) 2,000 1,996
Donaldson, Lufkin & Jenrette
6.375% due 05/25/26 1,390 1,387
Ford Motor Credit Corp.
6.030% due 11/09/98 (d) 2,600 2,607
5.960% due 03/23/99 (d) 1,000 999
5.635% due 04/05/99 (d) 1,500 1,448
Kansallis-Osake
7.850% due 09/30/43 (d) 5,000 5,113
Lehman Brothers
6.840% due 09/25/98 1,000 1,002
6.200% due 09/01/99 (d) 3,000 2,992
Residential Funding
7.468% due 12/01/18 (d) 2,490 2,536
Salomon, Inc.
5.790% due 11/26/97 1,700 1,698
5.650% due 02/10/98 1,000 995
3.650% due 02/14/02 (g) 3,009 2,937
Starwood Lodging Trust
7.038% due 08/16/97 (d) 4,400 4,400
8.538% due 08/16/97 (d) 1,000 1,000
---------
43,629
=========
Industrials 7.1%
Americo, Inc.
6.850% due 09/18/98 1,000 999
COFIRI International, Inc.
5.831% due 10/27/00 (d) 2,000 1,983
Delta Air Lines
9.875% due 01/01/98 1,000 1,025
First Brands Corp.
9.125% due 04/01/99 1,000 1,000
Sears Roebuck & Co.
5.643% due 03/10/99 (d) 3,000 2,995
TCI Communications, Inc.
7.130% due 02/03/98 3,000 3,009
Time Warner, Inc.
6.456% due 08/15/00 (d) 697 697
---------
11,708
=========
Utilities 4.3%
Beaver Valley Funding Corp.
8.250% due 06/01/03 1,094 1,075
Consumers Power Co.
8.750% due 02/15/98 2,000 2,033
Gulf States Utilities
9.720% due 07/01/98 2,400 2,458
Triton Energy
0.000% due 11/01/97 1,500 1,448
---------
7,014
---------
Total Corporate Bonds and Notes 62,351
(Cost $62,276) =========
- -------------------------------------------------------------------------
U.S. Treasury Notes 2.4%
- -------------------------------------------------------------------------
5.875% due 08/15/98 4,000 3,978
---------
Total U.S. Treasury Notes 3,978
(Cost $3,986) =========
- -------------------------------------------------------------------------
Mortgage-Backed Securities 23.0%
- -------------------------------------------------------------------------
Government National Mortgage Association 9.2%
5.000% due 02/20/26-05/20/26(d)(f) 8,876 8,657
7.000% due 08/20/25 (d) 1,745 1,776
7.125% due 09/20/23 (d) 4,714 4,827
---------
15,260
=========
Collateralized Mortgage Obligations 8.7%
Donaldson, Lufkin & Jenrette
7.620% due 10/17/20 (d) $ 1,524 $ 1,547
7.824% due 09/25/21 (d) 96 97
7.138% due 06/25/22 (d) 630 632
7.577% due 05/25/23 (d) 790 799
Federal National Mortgage Assn.
6.750% due 06/25/21 3,100 2,952
1.000% due 06/25/23 789 742
General Electric Capital Mortgage
6.500% due 12/25/23 339 337
Greenwich
7.705% due 04/25/22 (d) 294 297
7.076% due 10/25/22 (d) 223 224
Guardian
7.231% due 01/25/21 (d) 593 356
Manufacturers Hanover Corp.
7.859% due 12/16/25 (d) 2,541 2,537
Prudential Bache
6.085% due 09/01/18 (d) 62 61
Prudential Home
6.750% due 01/25/24 1,910 1,897
Resolution Trust Corp.
8.863% due 12/25/20 (d) 524 532
6.784% due 07/25/21 (d) 21 21
6.913% due 06/25/24 (d) 756 762
Ryland Acceptance Corp.
6.803% due 08/25/21 (d) 392 391
---------
14,184
=========
Other Mortgage-Backed Securities 2.3%
Dime Savings
7.079% due 11/01/18 (d) 555 509
Guardian
6.799% due 12/25/19 (d) 394 260
6.816% due 02/25/20 (d) 474 260
6.824% due 02/25/20 (d) 479 261
Resolution Trust Corp.
8.625% due 10/25/21 1,000 1,006
6.689% due 05/25/29 (d) 1,234 1,251
Ryland Acceptance Corp.
6.753% due 10/25/18 (d) 71 71
6.184% due 12/25/21 (d) 228 229
---------
3,847
=========
Stripped Mortgage-Backed Securities 2.8%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/19 8,000 1,645
Federal National Mortgage Assn. (IO)
6.000% due 10/25/03 3,792 111
7.000% due 07/25/06 4,068 543
6.500% due 12/25/06 6,641 735
7.000% due 05/25/13 2,629 101
6.500% due 06/25/17 6,757 631
6.500% due 10/25/23 3,557 586
L.F. Rothchild Mortgage (PO)
0.000% due 04/01/17 290 283
---------
4,635
---------
Total Mortgage-Backed Securities 37,926
(Cost $38,699) =========
- -------------------------------------------------------------------------
Asset-Backed Securities 1.2%
- -------------------------------------------------------------------------
LIBOR-Index Certificates
9.063% due 10/01/03 (d) 2,000 2,000
---------
Total Asset-Backed Securities 2,000
(Cost $2,000) =========
</TABLE>
1997 Annual Report See accompanying notes/65
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ---------------------------------------------------------------------
Sovereign Issues 5.1%
- ---------------------------------------------------------------------
Commonwealth of Canada
5.410% due 04/15/97 $ 2,100 $ 2,096
5.300% due 04/17/97 300 299
Government of Malaysia
5.688% due 10/19/05 (d) 1,250 1,249
Nafinsa Finance Trust II
8.263% due 03/31/99 (d) 145 146
Republic of Argentina
6.310% due 03/31/05 (d) 5,141 4,595
---------
Total Sovereign Issues 8,385
(Cost $7,872) =========
- ---------------------------------------------------------------------
Foreign Currency-denominated Issues (c)(e) 3.0%
- ---------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 2,253 1,612
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 5,000 3,372
---------
Total Foreign Currency-Denominated Issues 4,984
(Cost $4,943) =========
- ---------------------------------------------------------------------
Short-term Instruments 31.3%
- ---------------------------------------------------------------------
Certificates of Deposit 0.8%
Banco Latino
6.400% due 03/27/98 $ 1,400 1,399
---------
1,399
=========
Discount Notes 29.6%
Canadian Wheat Board
5.290% due 04/23/97 2,000 1,994
E.I. Du Pont de Nemours
5.220% due 04/04/97 2,600 2,599
5.370% due 04/29/97 900 896
Federal National Mortgage Assn.
5.510% due 05/02/97 200 199
Ford Motor Credit Corp.
5.280% due 04/25/97 100 100
General Electric Capital Corp.
5.310% due 04/10/97 4,000 3,995
5.250% due 04/25/97 900 897
General Motors Acceptance Corp.
5.580% due 06/23/97 5,300 5,232
KFW International Finance, Inc.
5.250% due 04/28/97 100 100
5.520% due 04/28/97 300 299
5.290% due 04/29/97 4,500 4,481
Minnesota Mining & Manufacturing Co.
5.210% due 04/23/97 5,300 5,283
Mobil Australia Finance
5.320% due 04/15/97 2,000 1,996
National Rural Utilities Cooperative
5.290% due 04/04/97 2,600 2,599
New Center Asset Trust
6.700% due 04/01/97 6,400 6,400
5.270% due 04/09/97 800 799
Pitney Bowes Credit
5.290% due 04/08/97 1,800 1,798
5.280% due 05/14/97 400 397
Proctor & Gamble Co.
5.260% due 04/09/97 7,000 6,992
Wool International
5.340% due 04/23/97 1,400 1,395
6.330% due 04/24/97 300 299
---------
48,750
=========
Repurchase Agreement 0.9%
State Street Bank
5.000% due 04/01/97 1,461 1,461
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $1,491,357.
Repurchase proceeds are $1,461,203.)
- ---------------------------------------------------------------------
U.S. Treasury Bills 0.0%
5.085% due 06/26/97 (b) $ 10 $ 10
---------
Total Short-Term Instruments 51,620
(Cost $51,620) =========
Total Investments (a) 103.8% $171,244
(Cost $171,396)
Other Assets and Liabilities (Net) (3.8%) (6,210)
---------
Net Assets 100.0% $165,034
=========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, 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. $ 1,230
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (920)
---------
Unrealized appreciation-net $ 310
=========
(b) Securities with an aggregate market value of $10 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
<S> <C> <C>
- ---------------------------------------------------------------------
U.S. Treasury 2 Year Note (06/97) 11 $ (19)
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BF 88,411 06/97 $ (325)
Sell 88,411 06/97 299
Sell C$ 2,064 09/97 21
Sell N$ 4,940 04/97 24
Buy SK 13,463 04/97 (68)
Sell 14,518 04/97 178
--------------
$ 129
==============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Principal amount denoted in the indicated currency.
BF - Belgian Franc
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
66/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ---------------------------------------------------------------------
U.S. Treasury Bonds 56.2%
- ---------------------------------------------------------------------
<S> <C> <C>
8.125% due 05/15/21 $ 10,000 $ 10,994
6.750% due 08/15/26 1,411 1,336
--------
Total U.S. Treasury Bonds 12,330
(Cost $12,807) ========
- ---------------------------------------------------------------------
Mortgage-Backed Securities 80.1%
- ---------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 1.8%
7.261% due 06/01/22 (c) 183 191
7.411% due 05/01/22 (c) 208 216
--------
407
========
Federal Housing Administration 7.8%
7.421% due 11/01/19 222 224
7.430% due 12/28/17 1,468 1,477
--------
1,701
========
Federal National Mortgage Association 6.3%
7.449% due 05/01/25 (c) 837 867
7.954% due 10/01/24 (c) 489 508
--------
1,375
========
Government National Mortgage Association 10.7%
6.500% due 02/20/24 (c) 391 396
7.000% due 08/20/25 (c) 654 666
7.125% due 06/20/23-07/20/23 (c)(e) 1,264 1,294
--------
2,356
========
Collateralized Mortgage Obligations 37.5%
Bear Stearns
7.100% due 06/25/24 385 357
California Federal Bank
6.743% due 08/25/30 (c) 1,569 1,552
Federal Home Loan Mortgage Corp.
9.500% due 01/15/05 140 145
6.500% due 07/15/21 341 301
Federal National Mortgage Assn.
8.000% due 01/25/19 114 114
8.750% due 08/25/20 339 348
8.000% due 03/25/22 56 57
7.000% due 06/25/22 332 277
7.800% due 10/25/22 705 681
6.000% due 08/25/23 856 751
General Electric Capital Mortgage
7.500% due 03/25/19 159 159
Independent National Mortgage Corp.
8.088% due 01/25/25 (c) 517 529
Prudential Home
6.500% due 01/25/24 1,000 833
Residential Funding
8.147% due 03/25/25 (c) 443 456
Resolution Trust Corp.
6.888% due 06/25/23 (c) 350 351
Vendee Mortgage
6.500% due 06/15/24 1,793 1,309
--------
8,220
========
Other Mortgage-Backed Securities 12.3%
Resolution Trust Corp.
6.689% due 05/25/29 (c) 1,645 1,669
Ryland Acceptance Corp.
7.580% due 11/28/22 (c) 1,000 1,018
--------
2,687
========
Stripped Mortgage-Backed Securities 3.7%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 07/15/04 908 38
6.500% due 08/15/06 417 37
6.500% due 10/15/06 632 67
6.500% due 11/15/06 823 76
6.000% due 10/15/07 799 69
2.675% due 12/15/08 (c) 2,907 115
7.000% due 02/15/26 713 43
Federal National Mortgage Assn. (IO)
6.500% due 02/25/07 463 44
6.500% due 08/25/20 1,000 133
6.500% due 09/25/21 1,174 182
--------
804
--------
Total Mortgage-Backed Securities 17,550
(Cost $17,478) ========
- ---------------------------------------------------------------------
Short-Term Instruments 7.9%
- ---------------------------------------------------------------------
Discount Notes 4.5%
General Motors Acceptance Corp.
5.390% due 04/09/97 200 200
5.580% due 05/07/97 300 298
National Rural Utilities Cooperative
5.550% due 05/19/97 300 298
New Center Asset Trust
5.520% due 04/25/97 200 199
--------
995
========
Repurchase Agreement 2.8%
State Street Bank
5.000% due 04/01/97 605 605
(Dated 03/31/97. Collateralized by U.S. Treasury --------
Note 5.125% 02/28/98 valued at $617,252.
Repurchase proceeds are $605,084.)
U.S. Treasury Bills 0.6%
5.065% due 05/01/97-07/03/97 (b)(e) 140 138
--------
Total Short-Term Instruments 1,738
(Cost $1,739) ========
Total Investments (a) 144.2% $ 31,618
(Cost $32,024)
Written Options (d) (0.2%) (46)
(Premiums $34)
Other Assets and Liabilities (Net) (44.0%) (9,644)
--------
Net Assets 100.0% $ 21,928
========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 292
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (541)
--------
Unrealized depreciation-net $ (249)
========
</TABLE>
(b) Securities with an aggregate market value of $128 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 30 Year Bond (06/97) 15 $ (24)
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Premiums received on Written Put Options:
<CAPTION>
Premiums Market
Type Par Received Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
CME Eurodollar March Futures
Strike @ 93.50 Exp. 03/16/98 $ 39,000 $ 34 $ 46
</TABLE>
(e) Securities are grouped by coupon and represent a range of maturities.
1997 Annual Report See accompanying notes/67
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ---------------------------------------------------------------------
Corporate Bonds And Notes 7.7%
- ---------------------------------------------------------------------
Banking and Finance 7.7%
J.P. Morgan & Co.
4.000% due 02/15/12 (c) $ 250 $ 244
Pacific Southwest Bank
6.060% due 06/17/02 239 239
---------
Total Corporate Bonds and Notes 483
(Cost $491) =========
- ---------------------------------------------------------------------
U.S. Treasury Obligations 69.6%
- ---------------------------------------------------------------------
3.375% due 01/15/07 (e) 4,351 4,384
---------
Total U.S. Treasury Obligations 4,384
(Cost $4,426) =========
- ---------------------------------------------------------------------
Foreign Currency-Denominated Issues (b)(d) 15.3%
- ---------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (e) C$ 640 458
Commonwealth of New Zealand
4.500% due 02/15/16 (e) N$ 750 505
---------
Total Foreign Currency-Denominated Issues 963
(Cost $992) =========
- ---------------------------------------------------------------------
Short-Term Instruments 72.9%
- ---------------------------------------------------------------------
Discount Notes 68.1%
Ameritech Corp.
5.280% due 04/24/97 $ 200 199
Australian Wheat Board
5.300% due 04/04/97 200 200
Canadian Wheat Board
5.500% due 04/21/97 200 199
Central Illinois Public Service Co.
5.300% due 04/11/97 200 200
Commonwealth of Canada
5.260% due 04/01/97 100 100
5.270% due 04/08/97 100 100
E.I. Du Pont de Nemours
5.240% due 04/22/97 200 199
Electricite de France
5.300% due 04/28/97 200 199
Emerson Electric Co.
5.490% due 05/05/97 100 99
Federal Home Loan Mortgage Corp.
5.280% due 06/05/97 200 198
Federal National Mortgage Assn
5.510% due 05/02/97 100 100
Florida Power Corp.
5.260% due 04/02/97 100 100
Ford Motor Credit Corp.
5.320% due 04/03/97 200 200
5.300% due 04/23/97 200 199
General Electric Capital Corp.
5.330% due 06/04/97 200 198
General Motors Acceptance Corp.
5.350% due 04/09/97 200 200
KFW International Finance, Inc.
5.290% due 04/29/97 200 199
Kingdom of Sweden
5.550% due 04/09/97 200 200
Province of British Columbia
5.310% due 06/03/97 200 198
Minnesota Mining & Manufacturing Co.
5.280% due 04/02/97 200 200
National Rural Utilities Cooperative
5.270% due 04/10/97 200 200
Pitney Bowes Credit Corp.
5.290% due 04/07/97 200 200
5.290% due 04/08/97 200 200
Queensland Treasury Corp.
5.320% due 04/28/97 200 199
---------
4,286
=========
- ---------------------------------------------------------------------
Repurchase Agreement 4.8%
State Street Bank
5.000% due 04/01/97 $ 301 $ 301
---------
(Dated 03/31/97. Collateralized by U.S.
Treasury Note 5.125% 02/28/98 valued
at $308,626. Repurchase proceeds are $301,042.)
Total Short-Term Instruments 4,587
(Cost $4,588) =========
Total Investments (a) 165.5% $ 10,417
(Cost $10,497)
Other Assets and Liabilities (Net) (65.5%) (4,121)
---------
Net Assets 100.0% $ 6,296
=========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997 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. $ 24
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (106)
---------
Unrealized depreciation-net $ (82)
=========
(b) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 259 04/97 $ 6
Sell 130 05/97 3
Sell 262 06/97 3
Buy 100 04/98 1
Sell N$ 494 04/97 2
Sell 247 05/97 (2)
--------------
$ 13
==============
</TABLE>
(c) Variable rate security. The rate listed is as of March 31, 1997.
(d) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
N$ - New Zealand Dollar
(e) Principal amount of the security is adjusted for inflation.
68/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C> <C>
- ---------------------------------------------------------------------
Argentina (e) 2.5%
- ---------------------------------------------------------------------
Republic of Argentina
7.180% due 06/20/97 AP 780 $ 769
8.000% due 08/09/97 DG 1,300 695
0.000% due 03/20/98 AP 780 730
3.576% due 04/01/01(d) 4,263 3,781
---------
Total Argentina 5,975
(Cost $6,097) =========
- ---------------------------------------------------------------------
Australia (c)(e) 9.5%
- ---------------------------------------------------------------------
Australian Wheat Board
5.310% due 05/09/97 $ 4,100 4,077
Commonwealth of Australia
13.000% due 07/15/00 A$ 4,400 4,033
9.500% due 08/15/03 500 426
10.000% due 02/15/06 3,700 3,273
Mobil Australia
5.320% due 04/15/97 $ 2,500 2,495
5.420% due 06/18/97 8,500 8,396
---------
Total Australia 22,700
(Cost $22,770) =========
- ---------------------------------------------------------------------
Belgium (c)(e) 4.2%
- ---------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/03 BF 200 7
5.100% due 11/21/04(d) 183,200 5,633
8.500% due 10/01/07 124,400 4,299
---------
Total Belgium 9,939
(Cost $10,655) =========
- ---------------------------------------------------------------------
Canada (c)(e) 13.7%
- ---------------------------------------------------------------------
Commonwealth of Canada
5.290% due 04/08/97 $ 2,600 2,597
5.410% due 04/15/97 4,200 4,191
5.290% due 04/17/97 1,500 1,496
8.500% due 03/01/00 C$ 23,498 18,379
9.000% due 12/01/04 1,160 960
4.250% due 12/01/26 (h) 3,072 2,198
Rogers Cantel, Inc.
10.500% due 06/01/06 2,500 2,029
Sears Canada
11.700% due 07/10/00 1,000 836
---------
Total Canada 32,686
(Cost $33,131) =========
- ---------------------------------------------------------------------
Czech Republic (e) 1.9%
- ---------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 134,000 4,586
---------
Total Czechoslovakia 4,586
(Cost $4,982) =========
- ---------------------------------------------------------------------
Denmark (c)(e) 2.3%
- ---------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 29,500 5,104
8.000% due 03/15/06 1,800 307
---------
Total Denmark 5,411
(Cost $6,745) =========
- ---------------------------------------------------------------------
Finland (c)(e) 3.8%
- ---------------------------------------------------------------------
Republic of Finland
3.490% due 03/13/98 FM 15,000 2,908
7.250% due 04/18/06 19,000 4,047
8.250% due 10/15/10 10,000 2,242
---------
Total Finland 9,197
(Cost $9,193) =========
- ---------------------------------------------------------------------
Germany (c)(e) 11.1%
- ---------------------------------------------------------------------
Republic of Germany
5.875% due 05/15/00 DM 6,640 $ 4,160
7.125% due 12/20/02 1,800 1,181
6.875% due 06/11/03 32,650 21,113
---------
Total Germany 26,454
(Cost $26,855) =========
- ---------------------------------------------------------------------
Greece (c)(e) 0.2%
- ---------------------------------------------------------------------
Republic of Greece
14.800% due 05/19/03 (d) GD 100,000 391
---------
Total Greece 391
(Cost $392) =========
- ---------------------------------------------------------------------
Italy (c)(e) 9.5%
- ---------------------------------------------------------------------
Republic of Italy
5.250% due 01/01/00 IL 28,630,000 16,568
8.313% due 01/01/05 9,370,000 6,052
---------
Total Italy 22,620
(Cost $23,006) =========
- ---------------------------------------------------------------------
Japan (c)(e) 35.3%
- ---------------------------------------------------------------------
Government of Japan
6.400% due 03/20/00 JY 6,153,000 57,644
5.500% due 03/20/02 1,897,000 18,188
4.500% due 06/20/03 685,000 6,380
4.100% due 12/22/03 224,200 2,051
---------
Total Japan 84,263
(Cost $85,162) =========
- ---------------------------------------------------------------------
Mexico (e) 6.3%
- ---------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 13,000 8,002
Bancomer
8.000% due 07/07/98 $ 2,000 2,002
Nacional Financiera
8.094% due 12/15/97(d) 41 41
Petroleos Mexicanos
7.750% due 09/30/98 FF 22,000 4,067
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 1,000 980
---------
Total Mexico 15,092
(Cost $14,295) =========
- ---------------------------------------------------------------------
Netherlands (c)(e) 7.3%
- ---------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 10,500 5,770
5.750% due 01/15/04 21,210 11,526
8.250% due 02/15/07 400 252
---------
Total Netherlands 17,548
(Cost $18,910) =========
- ---------------------------------------------------------------------
New Zealand (c)(e) 2.7%
- ---------------------------------------------------------------------
Commonwealth of New Zealand
8.000% due 04/15/04 N$ 9,350 6,502
---------
Total New Zealand 6,502
(Cost $6,685) =========
- ---------------------------------------------------------------------
Spain (c)(e) 3.3%
- ---------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 947,100 7,850
---------
Total Spain 7,850
(Cost $8,381) =========
- ---------------------------------------------------------------------
Supranational (e) 1.3%
- ---------------------------------------------------------------------
European Bank for Reconstruction & Development
9.000% due 04/22/98 PP 49,000 1,859
</TABLE>
1997 Annual Report See accompanying notes/69
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
===================================================================
<S> <C> <C>
World Bank
10.250% due 04/11/02 PP 31,000 $ 1,176
----------
Total Supranational 3,035
(Cost $3,039) ==========
- -------------------------------------------------------------------
Sweden (c)(e) 15.9%
- -------------------------------------------------------------------
Kingdom of Sweden
5.360% due 06/02/97 $ 4,000 3,961
11.000% due 01/21/99 SK 64,300 9,376
10.250% due 05/05/00 165,100 24,696
----------
Total Sweden 38,033
(Cost $39,183) ==========
- -------------------------------------------------------------------
United Kingdom (c)(e) 11.2%
- -------------------------------------------------------------------
United Kingdom Gilt
8.000% due 12/07/00 BP 1,000 1,679
6.750% due 11/26/04 190 298
8.500% due 12/07/05 14,251 24,672
----------
Total United Kingdom 26,649
(Cost $26,894) ==========
- -------------------------------------------------------------------
United States 16.3%
- -------------------------------------------------------------------
Corporate Bonds and Notes 5.8%
AT&T Capital Corp.
5.900% due 11/13/97 $ 3,500 3,497
Resolution Trust Corp.
7.750% due 04/25/28 4,582 4,582
Salomon, Inc.
3.650% due 02/14/02 (h) 5,000 4,880
Time Warner, Inc.
6.456% due 08/15/00 (d) 875 875
----------
13,834
==========
Mortgage-Backed Securities 10.0%
Collateralized Mortgage Obligation Trust
9.000% due 05/01/14 61 63
Federal Home Loan Mortgage Corp.
9.000% due 11/15/19 28 28
9.050% due 06/15/19 171 177
Government National Mortgage Assn
6.875% due 11/20/21-10/20/24 (d)(g) 5,579 5,692
7.125% due 09/20/22-09/20/23 (d)(g) 6,338 6,491
Independent National Mortgage Corp.
8.212% due 11/25/24(d) 430 441
Morgan Stanley Mortgage
8.150% due 07/20/21 5 5
PaineWebber Mortgage
7.000% due 10/25/23 1,780 1,779
Resolution Trust Corp.
10.648% due 05/25/24(d) 268 273
Ryland Acceptance Corp.
7.837% due 09/25/23(d) 8,496 8,631
Sears Mortgage
6.763% due 06/25/22(d) 245 245
8.250% due 09/25/31 21 21
----------
23,846
==========
Asset-Backed Securities 0.5%
Student Loan Marketing Assn
5.815% due 04/25/04 (d) 1,154 1,157
----------
Total United States 38,837
(Cost $38,924) ==========
- -------------------------------------------------------------------
Purchased OTC Call Options (e) 8.2%
- -------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00(f)
Strike @ 105.16 Exp. 06/27/97 A$ 4,400 343
Commonwealth of Canada
8.000% due 11/01/98 (f)
Strike @ 95.05 Exp. 04/24/97 C$ 28,600 2,006
8.500% due 03/01/00 (f)
Strike @ 95.71 Exp. 06/25/97 23,498 1,916
Government of Japan
6.400% due 03/20/00(f)
Strike @ 104.88 Exp. 06/01/97 JY 900,000 704
6.400% due 03/20/00 (f)
Strike @ 99.06 Exp. 06/25/97 5,253,000 6,494
5.500% due 03/20/02 (f)
Strike @ 107.34 Exp. 04/16/97 208,000 185
5.500% due 03/20/02 (f)
Strike @ 102.48 Exp 06/11/97 1,538,000 1,867
4.500% due 06/20/03 (f)
Strike @ 94.09 Exp. 05/23/97 525,000 864
Kingdom of Sweden
11.000% due 01/21/99 (f)
Strike @ 100.92 Exp. 04/17/97 SK 100,000 1,197
11.000% due 01/21/99 (f)
Strike @ 100.94 Exp. 04/21/97 154,000 1,833
10.250% due 05/05/00 (f)
Strike @ 91.96 Exp. 06/27/97 80,000 2,083
----------
Total Purchased OTC Call Options 19,492
(Cost $20,300) ==========
- -------------------------------------------------------------------
Short-Term Instruments 29.7%
- -------------------------------------------------------------------
Discount Notes 28.7%
Emerson Electric Co.
5.490% due 05/05/97 $ 3,000 2,984
Ford Motor Credit Corp.
5.320% due 04/09/97 6,900 6,892
5.300% due 04/11/97 2,200 2,197
5.300% due 04/23/97 1,100 1,096
5.280% due 04/29/97 1,100 1,096
General Electric Capital Corp.
5.250% due 04/25/97 900 897
General Motors Acceptance Corp.
5.390% due 04/09/97 1,900 1,898
5.580% due 05/07/97 4,000 3,978
5.450% due 06/17/97 1,900 1,877
5.580% due 06/23/97 1,000 987
KFW International Finance, Inc.
5.520% due 04/28/97 3,000 2,988
5.290% due 04/29/97 700 697
Minnesota Mining & Manufacturing Co.
5.280% due 05/07/97 1,000 995
National Rural Utilities Cooperative
5.290% due 04/01/97 7,600 7,600
New Center Asset Trust
6.700% due 04/01/97 4,600 4,600
5.270% due 04/09/97 500 500
5.520% due 04/25/97 4,000 3,985
Pitney Bowes Credit Corp.
5.280% due 05/14/97 6,500 6,459
Shell Oil Co.
5.470% due 04/24/97 8,800 8,769
Wool International
5.340% due 04/23/97 7,500 7,476
5.330% due 04/24/97 400 399
----------
68,370
==========
Repurchase Agreement 0.8%
State Street Bank
5.000% due 04/01/97 1,846 1,846
(Dated 03/31/97. Collateralized by ----------
U.S. Treasury Note 5.125% 02/28/98
valued at $1,886,599.
Repurchase proceeds are $1,846,256.)
U.S. Treasury Bills 0.2%
5.025% due 05/01/97(b)(g) 625 622
----------
Total Short-Term Instruments 70,838
(Cost $70,837) ==========
Total Investments (a) 196.2% $ 468,098
(Cost $476,436)
Other Assets and Liabilities (Net)(96.2%) (229,475)
----------
Net Assets 100.0% $ 238,623
==========
</TABLE>
70/PIMCO Funds See accompanying notes
<PAGE>
================================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation(depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 2,435
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (10,518)
-----------
Unrealized depreciation-net $ (8,083)
===========
</TABLE>
(b) Securities with an aggregate market value of $622 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (06/97) 305 $ (35)
Republic of France 10 Year Note (06/97) 64 (147)
-----------
$ (182)
===========
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 2,470 04/97 $ (7)
Sell 2,786 04/97 (40)
Sell BF 304,921 06/97 (137)
Sell BP 4,476 04/97 49
Sell 1,274 06/97 (68)
Buy C$ 6,279 04/97 (85)
Buy 11,419 05/97 (109)
Buy 8,777 06/97 (7)
Sell 19,423 04/97 247
Sell 11,419 05/97 244
Sell 12,859 03/98 133
Sell DG 19,648 04/97 275
Sell 487 06/97 1
Buy DK 8 04/97 0
Sell 2,245 04/97 18
Buy DM 662 04/97 8
Buy 7,834 06/97 33
Sell 35,257 04/97 2,300
Sell 15,763 07/97 (58)
Sell EC 381 07/97 1
Buy FF 12,076 04/97 34
Sell 12,346 04/97 64
Sell 24,777 07/97 (118)
Buy FM 100 04/97 (1)
Buy 23,281 05/97 97
Sell 42,624 05/97 200
Sell 5,058 06/97 0
Buy GD 117,475 04/97 (1)
Buy IL 1,489,000 04/97 11
Sell 458,692 04/97 17
Buy JY 94,151 04/97 (19)
Buy 413,803 05/97 (1)
Sell 719,696 05/97 348
Buy N$ 6,213 05/97 (19)
Buy 3,481 06/97 1
Sell 18,671 05/97 152
Sell 881 06/97 (6)
Sell SF 9,900 04/97 407
Sell 7,830 05/97 15
Buy SK 179,184 04/97 (807)
Buy 16,103 05/97 (46)
Sell 194,599 04/97 2,235
Sell 16,642 05/97 38
Buy SP 10,518 04/97 (5)
Buy 449,222 05/97 46
Buy 1,028,835 06/97 128
-------------
$ 5,566
=============
</TABLE>
===============================================================================
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Principal amount denoted in the indicated currency:
A$ - Australian Dollar FF - French Franc
AP - Argentine Peso FM - Finnish Markka
BF - Belgian Franc GD - Greek Drachma
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
CK - Czech Koruna N$ - New Zealand Dollar
DG - Dutch Guilder PP - Philippines Peso
DK - Danish Krone SF - Swiss Franc
DM - German Mark SK - Swedish Krona
EC - European Currency Unit SP - Spanish Peseta
(f) Security is subject to outstanding forward sale commitment.
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
1997 Annual Report See accompanying notes/71
<PAGE>
Schedule of Investments
Global Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C> <C>
- ---------------------------------------------------------------------
Argentina (e) 2.4%
- ---------------------------------------------------------------------
Republic of Argentina
7.180% due 06/20/97 AP 720 $ 710
8.000% due 08/09/97 DG 600 321
0.000% due 03/20/98 AP 720 674
3.576% due 04/01/01 (d) 4,124 3,658
--------
Total Argentina 5,363
(Cost $5,420) ========
- ---------------------------------------------------------------------
Australia (c)(e) 9.6%
- ---------------------------------------------------------------------
Australian Wheat Board
5.310% due 05/09/97 $ 10,000 9,944
Commonwealth of Australia
13.000% due 07/15/00 A$ 5,500 5,041
10.000% due 02/15/06 2,500 2,211
Mobil Australia
5.420% due 06/18/97 $ 3,500 3,457
--------
Total Australia 20,653
(Cost $20,739) ========
- ---------------------------------------------------------------------
Belgium (c)(e) 2.7%
- ---------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/04 (d) BF 95,900 2,949
8.500% due 10/01/07 80,000 2,764
--------
Total Belgium 5,713
(Cost $6,126) ========
- ---------------------------------------------------------------------
Canada (c)(e) 21.4%
- ---------------------------------------------------------------------
Commonwealth of Canada
5.280% due 04/02/97 $ 10,000 9,999
5.430% due 04/15/97 8,700 8,682
8.500% due 03/01/00 C$ 20,533 16,060
9.000% due 12/01/04 2,440 2,019
4.250% due 12/01/26 (h) 6,482 4,638
Rogers Cantel, Inc.
10.500% due 06/01/06 6,000 4,870
--------
Total Canada 46,268
(Cost $46,556) ========
- ---------------------------------------------------------------------
Czech Republic (e) 1.6%
- ---------------------------------------------------------------------
Bayerische Landesbank
11.500% due 10/09/97 CK 102,000 3,491
--------
Total Czechoslovakia 3,491
(Cost $3,793) ========
- ---------------------------------------------------------------------
Denmark (c)(e) 1.5%
- ---------------------------------------------------------------------
Kingdom of Denmark
8.000% due 05/15/03 DK 16,400 2,837
8.000% due 03/15/06 1,700 290
--------
Total Denmark 3,127
(Cost $3,390) ========
- ---------------------------------------------------------------------
Finland (c)(e) 6.7%
- ---------------------------------------------------------------------
Kansallis-Osake
7.850% due 09/30/43 (d) $ 5,000 5,113
Republic of Finland
3.490% due 03/13/98 FM 14,000 2,714
7.250% due 04/18/06 22,000 4,686
8.250% due 10/15/10 9,000 2,018
--------
Total Finland 14,531
(Cost $14,537) ========
- ---------------------------------------------------------------------
France (c)(e) 2.5%
- ---------------------------------------------------------------------
Republic of France
5.240% due 04/23/97 FF 1,000 997
5.320% due 04/23/97 4,400 4,386
--------
Total France 5,383
(Cost $5,382) ========
- ---------------------------------------------------------------------
Germany (c)(e) 4.6%
- ---------------------------------------------------------------------
Republic of Germany
7.125% due 12/20/02 DM 2,010 1,318
6.875% due 06/11/03 10,200 6,596
7.375% due 01/03/05 3,200 2,119
--------
Total Germany 10,033
(Cost $10,766) ========
- ---------------------------------------------------------------------
Greece (c)(e) 0.2%
- ---------------------------------------------------------------------
Republic of Greece
14.800% due 05/19/03 (d) GD 100,000 391
--------
Total Greece 391
(Cost $392) ========
- ---------------------------------------------------------------------
Italy (c)(e) 6.0%
- ---------------------------------------------------------------------
Republic of Italy
5.250% due 01/01/00 IL 15,580,000 9,016
8.313% due 01/01/05 6,240,000 4,031
--------
Total Italy 13,047
(Cost $13,344) ========
- ---------------------------------------------------------------------
Japan (c)(e) 19.4%
- ---------------------------------------------------------------------
Government of Japan
6.400% due 03/20/00 JY 3,040,000 28,480
5.500% due 03/20/02 747,000 7,162
4.500% due 06/20/03 550,000 5,123
4.100% due 12/22/03 134,800 1,233
--------
Total Japan 41,998
(Cost $43,147) ========
- ---------------------------------------------------------------------
Mexico (e) 1.1%
- ---------------------------------------------------------------------
Banco Nacional de Comercio Exterior
8.000% due 05/06/98 DM 500 308
Third Mexican Acceptance Corp.
7.370% due 03/15/98 $ 2,000 1,960
--------
Total Mexico 2,268
(Cost $2,245) ========
- ---------------------------------------------------------------------
Netherlands (c)(e) 4.1%
- ---------------------------------------------------------------------
Kingdom of Netherlands
6.250% due 07/15/98 DG 3,900 2,143
9.000% due 05/15/00 1,200 725
5.750% due 01/15/04 6,050 3,288
8.250% due 02/15/07 4,400 2,770
--------
Total Netherlands 8,926
(Cost $9,598) ========
- ---------------------------------------------------------------------
New Zealand (c)(e) 2.6%
- ---------------------------------------------------------------------
Commonwealth of New Zealand
8.000% due 04/15/04 N$ 8,050 5,598
--------
Total New Zealand 5,598
(Cost $5,745) ========
- ---------------------------------------------------------------------
Spain (c)(e) 2.2%
- ---------------------------------------------------------------------
Kingdom of Spain
10.000% due 02/28/05 SP 562,800 4,665
--------
Total Spain 4,665
(Cost $4,970) ========
- ---------------------------------------------------------------------
Supranational (e) 1.3%
- ---------------------------------------------------------------------
European Bank for Reconstruction & Development
9.000% due 04/22/98 PP 46,000 1,745
World Bank
10.250% due 04/11/02 29,000 1,100
--------
Total Supranational 2,845
(Cost $2,849) ========
</TABLE>
72/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Sweden (c)(e) 15.2%
- ------------------------------------------------------------------------------------------
Kingdom of Sweden
11.000% due 01/21/99 SK 111,300 $ 16,230
10.250% due 05/05/00 110,700 16,559
---------
Total Sweden 32,789
(Cost $33,545) =========
- ------------------------------------------------------------------------------------------
United Kingdom (c)(e) 6.8%
- ------------------------------------------------------------------------------------------
United Kingdom Gilt
6.750% due 11/26/04 BP 570 894
8.500% due 12/07/05 7,926 13,722
---------
Total United Kingdom 14,616
(Cost $14,980) =========
- ------------------------------------------------------------------------------------------
United States (e) 18.9%
- ------------------------------------------------------------------------------------------
Corporate Bonds and Notes 8.3%
AT&T Capital Corp.
5.900% due 11/13/97 $ 3,500 3,497
CMS Energy
9.500% due 10/01/97 (d) 750 759
CTC Mansfield Funding
11.125% due 09/30/16 700 747
Dean Witter Discover
5.555% due 02/01/99 (d) 1,000 1,001
5.645% due 02/05/99 (d) 1,000 1,003
General Motors Acceptance Corp.
6.500% due 05/15/97 1,000 1,001
Hewlett-Packard Co.
5.625% due 11/20/00 DM 1,300 803
Salomon, Inc.
3.650% due 02/14/02 (h) $ 6,000 5,856
TCI Communications, Inc.
6.218% due 04/01/02 (d) 2,700 2,663
United Air Lines
10.670% due 05/01/04 500 573
---------
17,903
=========
Mortgage-Backed Securities 10.1%
Federal Home Loan Mortgage Corp.
7.368% due 05/01/23 (d) 1,215 1,260
Federal Housing Administration
7.399% due 02/01/21 1,666 1,535
Federal National Mortgage Assn.
6.085% due 12/01/27-08/01/29 (d)(f) 1,598 1,576
6.500% due 04/01/09 781 757
7.500% due 11/01/01-01/01/02 (f) 1,050 1,061
7.636% due 03/01/24 (d) 466 480
8.062% due 11/01/23 (d) 817 845
Government National Mortgage Assn.
6.875% due 11/20/23-10/20/24 (d)(f) 2,567 2,619
7.125% due 07/20/22-09/20/23 (d)(f) 4,235 4,338
Independent National Mortgage Corp.
8.212% due 11/25/24 (d) 215 221
Pacific Southwest Bank
6.060% due 06/17/02 3,825 3,824
Residential Funding
8.147% due 03/25/25 (d) 2,220 2,284
Resolution Trust Corp.
8.000% due 04/25/25 1,000 1,013
---------
21,813
=========
Asset-Backed Securities 0.5%
Student Loan Marketing Assn.
5.815% due 04/25/04 (d) 1,154 1,157
---------
Total United States 40,873
(Cost $40,761) =========
- ------------------------------------------------------------------------------------------
Purchased OTC Call Options (e) 8.0%
- ------------------------------------------------------------------------------------------
Commonwealth of Australia
13.000% due 07/15/00 (g)
Strike @ 105.16 Exp. 06/27/97 A$ 5,500 429
Commonwealth of Canada
8.000% due 11/01/98 (g)
Strike @ 91.50 Exp. 04/16/97 C$ 21,600 1,520
8.000% due 03/01/00 (g)
Strike @ 95.05 Exp. 04/24/97 C$ 21,600 1,515
Republic of Germany
5.875% due 05/15/00 (g)
Strike @ 95.31 Exp 06/11/97 DM 23,620 1,301
6.875% due 06/11/03 (g)
Strike @ 99.45 Exp. 05/22/97 17,400 846
Republic of Italy
6.100% due 01/01/00 (g)
Strike @ 89.50 Exp. 05/22/97 IL 22,580,000 1,043
Government of Japan
6.000% due 03/20/00 (g)
Strike @ 105.15 Exp. 04/16/97 JY 47,000 39
6.400% due 03/20/00 (g)
Strike @ 104.88 Exp. 06/11/97 750,000 587
6.400% due 03/20/00 (g)
Strike @ 99.06 Exp. 06/25/97 2,243,000 2,773
5.500% due 03/20/02 (g)
Strike @ 107.34 Exp. 04/16/97 32,000 28
5.500% due 03/20/02 (g)
Strike @ 102.48 Exp. 06/11/97 148,000 179
4.500% due 06/20/03 (g)
Strike @ 94.09 Exp. 05/23/97 390,000 642
Kingdom of Spain
10.000% due 02/28/05 (g)
Strike @ 110.55 Exp. 05/22/97 SP 472,800 238
Kingdom of Sweden
11.000% due 01/21/99 (g)
Strike @ 100.92 Exp. 04/17/97 SK 100,000 1,197
11.000% due 01/21/99 (g)
Strike @ 100.94 Exp. 04/21/97 151,300 1,801
11.000% due 01/21/99 (g)
Strike @ 100.16 Exp. 05/22/97 111,300 1,369
10.250% due 05/05/00 (g)
Strike @ 104.17 Exp. 05/15/97 89,200 996
United Kingdom
8.500% due 12/07/05 (g)
Strike @ 98.49 Exp. 05/22/97 BP 6,820 756
---------
Total Purchased OTC Call Options 17,259
(Cost $19,407) =========
- ------------------------------------------------------------------------------------------
Short-Term Instruments 40.2%
- ------------------------------------------------------------------------------------------
Discount Notes 39.3%
Abbott Laboratories
5.500% due 04/29/97 $ 10,000 9,957
Ameritech Corp.
5.320% due 04/02/97 3,500 3,499
BellSouth Telecommunications
6.090% due 04/02/97 3,200 3,199
Emerson Electric Co.
5.490% due 05/05/97 2,500 2,487
Federal National Mortgage Assn.
5.480% due 05/02/97 9,400 9,356
5.510% due 05/02/97 200 199
Florida Power & Light Co.
5.310% due 04/09/97 4,300 4,295
Ford Motor Credit Corp.
5.320% due 04/09/97 5,000 4,994
5.300% due 04/23/97 2,300 2,293
General Electric Capital Corp.
5.380% due 04/14/97 500 499
5.300% due 04/23/97 3,600 3,588
General Motors Acceptance Corp.
5.350% due 04/01/97 3,100 3,100
5.390% due 04/09/97 900 899
5.550% due 05/07/97 4,000 3,978
KFW International Finance, Inc.
5.500% due 04/04/97 8,000 7,996
5.270% due 04/17/97 2,200 2,195
Kimberly-Clark Corp.
5.500% due 04/01/97 1,200 1,200
Natural Rural Utilities Cooperative
5.330% due 04/29/97 1,000 996
New Center Asset Trust
5.250% due 04/25/97 10,000 9,963
</TABLE>
1997 Annual Report See accompanying notes/73
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
====================================================================
<S> <C> <C>
Pitney Bowes Credit Corp.
5.290% due 04/08/97 $ 2,300 $ 2,298
5.270% due 04/18/97 2,400 2,394
5.280% due 05/14/97 1,500 1,491
Proctor & Gamble Co.
5.280% due 04/14/97 800 798
Wool International
5.340% due 04/23/97 3,200 3,190
------------
84,864
============
Repurchase Agreement 0.4%
State Street Bank
5.000% due 04/01/97 835 835
(Dated 03/31/97. Collateralized ------------
by U.S. Treasury
Note 5.125% 02/28/98 valued
at $856,188.
Repurchase proceeds are $835,116.)
U.S. Treasury Bills 0.5%
5.360% due 05/01/97(b)(f) 1,075 1,064
------------
Total Short-Term Instruments 86,763
(Cost $86,762) ============
Total Investments (a) 179.0% $ 386,600
(Cost $394,454)
Other Assets and Liabilities (Net)(79.0%) (170,623)
------------
Net Assets 100.0% $ 215,977
============
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,490
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (9,165)
------------
Unrealized depreciation-net $ (7,675)
============
</TABLE>
(b) Securities with an aggregate market value of $1,064 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- ------------------------------------------------------------------------------
<S> <C> <C>
Commonwealth of Australia 3 Year Note (06/97) 273 $ (30)
U.S. Treasury 10 Year Note (06/97) 59 (126)
U.S. Treasury 30 Year Bond (06/97) 212 (494)
----------------
$ (650)
================
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy A$ 2,529 04/97 $ 35
Sell 57 04/97 (1)
Buy BF 37,660 04/97 4
Buy 114,611 06/97 52
Buy BP 6,660 04/97 (91)
Sell 1,013 04/97 (20)
Sell 956 06/97 (51)
Buy C$ 5,823 04/97 (75)
Buy 6,293 05/97 (75)
Sell 3,700 04/97 88
Sell 5,369 05/97 114
Sell 3,526 06/97 36
Sell 6,809 03/98 74
Buy DG 4,345 04/97 (70)
Buy DK 23,935 04/97 (164)
Sell 2,008 04/97 16
Buy DM 4,525 04/97 (149)
Buy 16,900 05/97 (59)
Buy 30,543 06/97 128
Sell 14,365 04/97 906
Sell 12,170 07/97 (45)
Sell EC 381 07/97 1
Buy FF 13,160 04/97 21
Buy 88,928 07/97 422
Sell 4,779 04/97 9
Buy FM 4,619 04/97 4
Buy 20,585 05/97 85
Sell 40,115 05/97 189
Sell 7,048 06/97 (6)
Buy GD 117,475 04/97 (1)
Buy IL 20,578,042 04/97 (691)
Sell 29,266 04/97 0
Buy JY 3,311,560 04/97 (1,664)
Buy 668,435 05/97 (3)
Sell 73,840 04/97 5
Buy N$ 2,230 05/97 12
Buy 200 06/97 0
Sell 10,353 05/97 73
Sell 580 06/97 (3)
Sell SF 8,400 04/97 346
Sell 8,570 05/97 27
Buy SK 257,652 04/97 (1,041)
Buy 20,462 05/97 (58)
Sell 233,452 05/97 3,003
Buy SP 966,046 04/97 (258)
Buy 289,000 05/97 20
Buy 1,206,514 06/97 150
--------------
$ 1,295
==============
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Principal amount denoted in the indicated currency:
<TABLE>
<S> <C>
A$ - Australian Dollar FF - French Franc
AP - Argentine Peso FM - Finnish Markka
BF - Belgian Franc GD - Greek Drachma
BP - British Pound IL - Italian Lira
C$ - Canadian Dollar JY - Japanese Yen
CK - Czech Koruna N$ - New Zealand Dollar
DG - Dutch Guilder PP - Philippines Peso
DK - Danish Krone SF - Swiss Franc
DM - German Mark SK - Swedish Krona
EC - European Currency Unit SP - Spanish Peseta
</TABLE>
(f) Securities are grouped by coupon and represent a range of maturities.
(g) Security is subject to outstanding forward sale commitment.
(h) Principal amount of the security is adjusted for inflation.
74/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
- ------------------------------------------------------------------------
Corporate Bonds and Notes 79.5%
- ------------------------------------------------------------------------
Banking and Finance 3.5%
Americo Life, Inc.
9.250% due 06/01/05 $ 2,000 $ 2,005
First Nationwide Holdings
12.500% due 04/15/03 5,000 5,475
10.625% due 10/01/03 4,350 4,600
Imperial Credit Industries, Inc.
9.875% due 01/15/07 2,300 2,266
Mesa Operating Co.
10.625% due 07/01/06 500 521
Reliance Financial Services
7.866% due 12/01/00 (c) 1,000 1,023
Reliance Group Holdings
9.000% due 11/15/00 14,000 14,315
Trizec Finance
10.875% due 10/15/05 5,850 6,391
---------
36,596
=========
Industrials 64.2%
Abbey Healthcare Group
9.500% due 11/01/02 10,220 10,782
Albritton Communications
9.750% due 11/30/07 5,500 5,225
American Airlines
10.610% due 03/04/10 650 797
American Standard
9.250% due 12/01/16 8,690 8,929
Amerigas Partners L.P.
10.125% due 04/15/07 4,200 4,473
Ametek, Inc.
9.750% due 03/15/04 6,350 6,636
Amtrol, Inc.
10.625% due 12/31/06 5,635 5,903
Bell & Howell Co.
10.750% due 10/01/02 4,000 4,205
0.000% due 03/01/05 (b) 2,100 1,628
Benedek Broadcasting Corp.
11.875% due 03/01/05 8,850 9,779
Building Materials Corp.
0.000% due 07/01/04 (b) 17,400 15,421
Cablevision Systems
10.500% due 05/15/16 11,000 11,083
9.875% due 04/01/23 4,000 3,840
Century Communication
9.500% due 03/01/05 1,500 1,474
CF Cable TV, Inc.
9.125% due 07/15/07 9,000 9,675
Clark-Schwebel, Inc.
10.500% due 04/15/06 3,500 3,684
Clark Oil Refining Corp.
10.500% due 12/01/01 1,400 1,463
Clark R & M Holdings
0.000% due 02/15/00 11,600 8,497
Cumberland Farms
10.500% due 10/01/03 8,808 8,632
Delta Air Lines
10.790% due 03/26/14 2,264 2,718
Dimon, Inc.
8.875% due 06/01/06 3,000 3,060
Doane Products Co.
10.625% due 03/01/06 2,000 2,090
Envirosource, Inc.
9.750% due 06/15/03 10,770 10,339
EZ Communication, Inc.
9.750% due 12/01/05 8,200 8,610
Falcon Drilling, Inc.
9.750% due 01/15/01 6,500 6,719
Ferrellgas Partners L.P.
10.000% due 08/01/01 10,100 10,656
9.375% due 06/15/06 1,700 1,721
Figgie International, Inc.
9.875% due 10/01/99 2,240 2,327
Foamex L.P.
9.500% due 06/01/00 1,000 1,018
Foodmaker, Inc.
9.250% due 03/01/99 1,145 1,168
Forcenergy, Inc.
9.500% due 11/01/06 4,300 4,359
8.500% due 02/15/07 2,600 2,477
Fresenius Medical Care
9.000% due 12/01/06 13,750 13,681
Globalstar L.P.
11.375% due 02/15/04 6,350 6,255
Goss Graphic Systems, Inc.
12.000% due 10/15/06 6,000 6,315
Granite Broadcasting Corp.
10.375% due 05/15/05 5,250 5,303
Griffin Gaming
0.000% due 06/30/00 7,330 7,238
Gulf Canada Resources
9.250% due 01/15/04 12,575 13,141
HMH Properties
9.500% due 05/15/05 12,750 13,180
Hollinger International Publishing
8.625% due 03/15/05 4,750 4,613
9.250% due 02/01/06 7,800 7,761
HS Resources
9.875% due 12/01/03 4,250 4,303
Huntsman Corp.
9.250% due 03/20/07 (c) 6,500 6,500
Integrated Health Services
9.625% due 05/31/02 7,825 8,177
10.250% due 04/30/06 2,000 2,120
ISP Holdings, Inc.
9.000% due 10/15/03 19,400 19,594
J. Ray McDermott
9.375% due 07/15/06 10,400 10,530
J.Q. Hammons Hotels
8.875% due 02/15/04 11,500 11,213
Jones Intercable, Inc.
8.875% due 04/01/07 6,900 6,814
K-III Communications Co.
8.500% due 02/01/06 11,490 11,203
Kaiser Aluminum & Chemical
9.875% due 02/15/02 8,750 8,706
KCS Energy, Inc.
11.000% due 01/15/03 2,600 2,756
Lenfest Communications
8.375% due 11/01/05 9,650 9,083
Magnetek, Inc.
10.750% due 11/15/98 5,250 5,329
Marcus Cable
0.000% due 08/01/04 (b) 11,400 9,191
Mettler Toledo, Inc.
9.750% due 10/01/06 400 414
Moog, Inc.
10.000% due 05/01/06 3,250 3,388
Newsquest Capital
11.000% due 05/01/06 4,250 4,526
NL Industries
0.000% due 10/15/05 (b) 2,950 2,670
Northwestern Steel & Wire
9.500% due 06/15/01 5,005 4,892
Nuevo Energy Co.
9.500% due 04/15/06 3,000 3,053
Orion Network Systems
11.250% due 01/15/07 5,675 5,618
Owens & Minor
10.875% due 06/01/06 5,850 6,318
Owens Illinois
10.500% due 06/15/02 2,000 2,110
11.000% due 12/01/03 10,500 11,576
Pacific Lumber
10.500% due 03/01/03 9,750 9,896
Packard Bioscience Co.
9.375% due 03/01/07 2,300 2,231
Paging Network
8.875% due 02/01/06 4,500 3,825
10.000% due 10/15/08 850 761
</TABLE>
1997 Annual Report See accompanying notes/75
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
<S> <C> <C>
======================================================================
Parker Drilling Corp.
9.750% due 11/15/06 $ 9,800 $ 10,094
Pathmark Stores, Inc.
9.625% due 05/01/03 5,900 5,590
Printpack, Inc.
9.875% due 08/15/04 6,450 6,579
Repap Wisconsin, Inc.
9.250% due 02/01/02 4,900 4,900
Revlon Consumer Products Corp.
9.375% due 04/01/01 7,500 7,678
10.500% due 02/15/03 5,500 5,748
RJR Nabisco
8.000% due 07/15/01 2,000 1,980
8.625% due 12/01/02 5,500 5,522
Rogers Cablesystems, Inc.
10.000% due 03/15/05 7,500 7,913
Rogers Cantel Mobile
11.125% due 07/15/02 2,000 2,098
9.375% due 06/01/08 15,500 15,965
Sea Containers
9.500% due 07/01/03 (c) 750 769
Sequa Corp.
10.000% due 05/14/01 4,000 4,076
Showboat, Inc.
9.250% due 05/01/08 700 719
Sinclair Broadcast Group
10.000% due 09/30/05 500 503
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/12 11,325 10,702
9.200% due 07/02/18 1,750 1,561
Speedy Muffler King, Inc.
10.875% due 10/01/06 6,400 6,528
Statia Terminals
11.750% due 11/15/03 6,750 7,121
Station Casinos
9.625% due 06/01/03 3,150 3,024
Stone Container
11.500% due 10/01/04 2,000 1,945
Sun International Hotels
9.000% due 03/15/07 6,650 6,384
Sweetheart Cup Co.
9.625% due 09/01/00 4,750 4,845
Synthetic Industries
9.250% due 02/15/07 2,150 2,129
Teleport Communications
0.000% due 07/01/07 (b) 16,150 10,942
Telewest Communications
9.625% due 10/01/06 11,000 10,945
Tenet Healthcare
10.125% due 03/01/05 8,300 9,047
8.625% due 01/15/07 3,500 3,395
Trans-Resources, Inc.
11.875% due 07/01/02 7,080 6,832
Unisys Corp.
12.000% due 04/15/03 11,900 12,495
US Air, Inc.
9.625% due 09/01/03 11,490 11,670
U.S. Can Corp.
10.125% due 10/15/06 5,600 5,908
Vintage Petroleum
9.000% due 12/15/05 10,490 10,621
West Point Stevens
8.750% due 12/15/01 2,500 2,544
9.375% due 12/15/05 7,500 7,650
World Color Press, Inc.
9.125% due 03/15/03 13,085 13,150
Young Broadcasting, Inc.
9.000% due 01/15/06 11,000 10,340
---------
673,584
=========
Utilities 11.8%
AES Corp.
10.250% due 07/15/06 14,235 15,552
Beaver Valley Funding Corp.
9.000% due 06/01/17 34,000 33,659
Bell Cablemedia PLC
0.000% due 09/15/05 (b) 2,000 1,600
Cablevision Systems
9.875% due 02/15/13 2,000 1,910
California Energy
9.875% due 06/30/03 5,000 5,275
10.250% due 01/15/04 (c) 17,140 18,683
Calpine Corp.
9.250% due 02/01/04 7,500 7,631
CMS Energy
9.875% due 10/01/99 (c) 4,950 5,107
CTC Mansfield Funding
11.125% due 09/30/16 1,000 1,068
First PV Funding
10.150% due 01/15/16 1,040 1,074
Niagara Mohawk Power
7.750% due 05/15/06 1,100 1,057
9.500% due 03/01/21 2,500 2,470
7.875% due 04/01/24 7,500 6,864
North Atlantic Energy
9.050% due 06/01/02 7,043 6,967
Vanguard Cellular Systems, Inc.
9.375% due 04/15/06 7,500 7,519
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/09 500 477
10.732% due 01/01/13 6,993 6,829
---------
123,742
---------
Total Corporate Bonds and Notes 833,922
(Cost $817,864) =========
- -----------------------------------------------------------------------
Mortgage-backed Securities 5.3%
- -----------------------------------------------------------------------
Federal Housing Administration 0.1%
9.250% due 08/01/20 1,350 1,343
---------
Collateralized Mortgage Obligations 3.0%
Asset Securitization Corp.
7.384% due 08/13/29 1,500 1,377
CS First Boston Mortgage Securities Corp.
7.591% due 01/25/28 (c) 2,227 1,562
Federal Deposit Insurance Corp.
6.906% due 11/25/26 (c) 400 385
Lennar Central Partners L.P.
9.890% due 09/15/04 1,000 1,001
LTC Properties, Inc.
9.200% due 08/04/23 3,235 3,339
Manufacturers Hanover Corp.
7.859% due 12/16/25 (c) 897 895
7.930% due 12/16/25 (c) 3,990 3,846
Nationsbanc
8.122% due 05/25/28 (c) 3,835 2,500
Red Mountain Funding Corp.
9.150% due 11/28/27 5,727 5,161
Resolution Trust Corp.
7.188% due 09/25/20 (c) 936 599
9.250% due 06/25/23 3,438 3,487
9.050% due 08/25/23 972 1,001
9.500% due 05/25/24 113 114
8.500% due 03/25/25 96 95
7.000% due 05/25/27 6,633 5,982
---------
31,344
=========
Other Mortgage-Backed Securities 1.7%
Allied Waste North America, Inc.
8.188% due 06/30/03 (c) 553 564
8.375% due 06/30/03 (c) 447 456
8.438% due 06/30/04 (c) 1,106 1,128
8.625% due 06/30/04 (c) 894 912
8.688% due 06/30/05 (c) 1,106 1,128
8.875% due 06/30/05 (c) 894 911
Resolution Trust Corp.
6.900% due 02/25/27 10,655 9,692
Structured Asset Securities Corp.
7.050% due 11/25/02 4,000 3,351
---------
18,142
=========
</TABLE>
76/PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
=================================================================================
<S> <C> <C>
Stripped Mortgage-Backed Securities 0.5%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/05 $ 4,198 $ 258
7.000% due 07/25/08 8,713 1,265
6.500% due 06/25/17 3,760 351
7.000% due 04/25/19 12,000 2,953
Fund America (IO)
9.590% due 10/20/21 1,954 272
---------
5,099
---------
Total Mortgage-Backed Securities 55,928
(Cost $57,140) =========
- ---------------------------------------------------------------------------------
Asset-Backed Securities 1.1%
- ---------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/19 10,200 11,092
---------
Total Asset-Backed Securities 11,092
(Cost $10,531) =========
- ---------------------------------------------------------------------------------
Sovereign Issues 2.1%
- ---------------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05 (c) 11,398 10,187
5.250% due 03/31/23 (c) 9,000 5,614
Third Mexican Acceptance Corp.
7.370% due 03/15/98 1,000 980
United Mexican States
6.250% due 12/31/19 7,000 4,935
---------
Total Sovereign Issues 21,716
(Cost $18,604) =========
- ---------------------------------------------------------------------------------
Preferred Stock 3.4%
- ---------------------------------------------------------------------------------
<CAPTION>
Shares
<S> <C> <C>
California Federal Bank 16,500 1,864
Long Island Lighting Co. 30,000 3,135
Newscorp Overseas Ltd. 133,200 3,280
Time Warner, Inc. 25,730 27,594
---------
Total Preferred Stock 35,873
(Cost $32,504) =========
- ---------------------------------------------------------------------------------
Short-Term Instruments 5.8%
- ---------------------------------------------------------------------------------
<CAPTION>
Principal
Amount
(000's)
<S> <C> <C>
Discount Notes 5.1%
Australian Wheat Board
5.310% due 05/09/97 $ 2,800 2,784
Electricite de France
5.300% due 04/28/97 400 398
5.290% due 05/06/97 3,400 3,382
Ford Motor Credit Co.
5.290% due 04/24/97 700 698
General Electric Capital Corp.
5.320% due 05/07/97 1,500 1,492
General Motors Acceptance Corp.
4.580% due 05/07/97 36,000 35,799
KFW International Finance, Inc.
6.140% due 04/03/97 2,700 2,699
5.270% due 04/17/97 200 200
National Rural Utilities Cooperative
5.290% due 04/04/97 700 700
New Center Asset Trust
6.700% due 04/01/97 6,000 6,000
---------
54,152
=========
Repurchase Agreement 0.7%
State Street Bank
5.000% due 04/01/97 6,910 6,910
(Dated 03/31/97. Collateralized by U.S. Treasury ---------
Bond 7.250% 05/15/16 valued at $7,049,113.
Repurchase proceeds are $6,910,960.)
Total Short-Term Investments 61,062
(Cost $61,062) =========
<CAPTION>
Value
(000's)
- ---------------------------------------------------------------------------------
<S> <C>
Total Investments (a) 97.2% $ 1,019,593
(Cost $997,705)
Other Assets and Liabilities (Net) 2.8% 29,772
---------
Net Assets 100.0% $ 1,049,365
=========
</TABLE>
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 30,223
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (7,551)
---------
Unrealized appreciation-net $ 22,672
=========
</TABLE>
(b) Security becomes interest bearing at a future date.
(c) Variable rate security. The rate listed is as of March 31, 1997.
1997 Annual Report See accompanying notes/77
<PAGE>
Schedule of Investments
Money Market Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ---------------------------------------------------------------------
Corporate Bonds and Notes 2.4%
- ---------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 1.9%
Chrysler Financial Corp.
5.710% due 01/12/98 $ 500 $ 499
First Interstate Bank
12.750% due 05/01/97 1,713 1,723
Lehman Brothers
5.750% due 02/15/98 721 720
---------
2,942
=========
Industrials 0.5%
Phillips Petroleum Co.
9.500% due 11/15/97 750 767
---------
Total Corporate Bonds and Notes 3,709
(Cost $3,709) =========
- ---------------------------------------------------------------------
U.S. Government Agencies 0.3%
- ---------------------------------------------------------------------
Federal National Mortgage Assn.
6.366% due 12/01/18 (a) 450 452
---------
Total U.S. Government Agencies 452
(Cost $452) =========
- ---------------------------------------------------------------------
Short-Term Instruments 89.3%
- ---------------------------------------------------------------------
Discount Notes 89.0%
AlliedSignal, Inc.
5.700% due 04/07/97 7,000 6,993
American Brands, Inc.
5.330% due 04/30/97 4,000 3,983
Becton Dickinson & Co.
5.750% due 04/07/97 4,200 4,196
Disney (Walt) Co.
5.320% due 04/25/97 1,200 1,196
E.I. Du Pont de Nemours
5.310% due 07/16/97 1,000 984
5.320% due 07/16/97 1,000 984
Federal Home Loan Mortgage Corp.
5.300% due 04/17/97 10,000 9,976
Federal National Morgage Assn.
5.500% due 09/18/97 5,000 4,870
Ford Motor Credit Corp.
5.350% due 07/18/97 4,000 3,936
Gannett Co.
5.350% due 05/13/97 7,000 6,956
General Electric Capital Corp.
5.570% due 04/29/97 3,800 3,784
Gillette Co.
6.300% due 04/01/97 35,000 35,000
Goldman Sachs Group L.P.
5.350% due 05/23/97 4,000 3,969
Heinz (H.J.) Co.
5.300% due 04/08/97 500 499
5.320% due 04/22/97 7,000 6,978
IBM Credit Corp.
5.270% due 04/15/97 6,000 5,988
Lucent Technologies, Inc.
5.300% due 04/10/97 5,400 5,393
Monsanto Co.
5.300% due 04/08/97 1,200 1,199
National Australia Funding
5.350% due 07/23/97 6,000 5,899
St. Michael Finance Ltd.
5.300% due 04/08/97 6,500 6,493
USAA Capital Corp.
5.340% due 06/17/97 2,905 2,872
Weyerhaueser Co.
5.320% due 05/12/97 5,000 4,970
Wool International
5.310% due 06/11/97 5,000 4,948
Xerox Credit Corp.
5.350% due 04/18/97 6,500 6,483
---------
138,549
=========
Repurchase Agreement 0.3%
State Street Bank
5.000% due 04/01/97 $ 526 $ 526
---------
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $536,682.
Repurchase proceeds are $526,073.)
Total Short-Term Instruments 139,075
(Cost $139,075) =========
Total Investments 92.0% $ 143,236
(Cost $143,236)
Other Assets and Liabilities (Net) 8.0% 12,403
---------
Net Assets 100.0% $ 155,639
=========
</TABLE>
Notes to Schedule of Investments:
(a) Variable rate security. The rate listed is as of March 31, 1997.
78/PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- ------------------------------------------------------------------
Corporate Bonds and Notes 26.5%
- ------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 13.5%
Capital One Bank
8.125% due 02/27/98 $ 2,000 $ 2,029
6.730% due 06/04/98 2,000 2,001
Caterpillar Financial
5.550% due 04/01/99 (d) 2,000 1,996
Chrysler Financial Corp.
6.190% due 10/27/97 2,000 2,003
Den Danske Bank
5.875% due 06/30/00 (d) 450 451
Ford Motor Credit Corp.
6.030% due 11/09/98 (d) 500 501
6.060% due 03/30/99 (d) 250 250
5.635% due 04/05/99 (d) 340 328
General Motors Acceptance Corp.
6.110% due 03/16/99 (d) 2,000 2,008
Kansallis-Osake
7.850% due 09/30/43 (d) 1,500 1,534
Lehman Brothers
6.540% due 01/05/98 5,000 5,012
6.250% due 06/29/98 2,000 1,993
Merrill Lynch & Co.
7.000% due 10/10/00 (d) 3,000 3,008
Salomon, Inc.
5.790% due 11/26/97 2,000 1,997
7.000% due 01/20/98 250 251
5.650% due 02/10/98 390 388
8.910% due 02/16/98 3,000 3,067
5.888% due 04/05/99 (d) 500 497
Starwood Lodging Trust
7.038% due 08/16/97 (d) 5,000 5,000
8.538% due 08/16/97 (d) 1,000 1,000
---------
35,314
=========
Industrials 8.1%
Arkla, Inc.
9.875% due 04/15/97 3,000 3,004
Centerior Fuel Corp.
9.200% due 08/02/98 1,000 1,011
COFIRI International, Inc.
5.831% due 10/27/00 (d) 2,000 1,983
Falcon Drilling, Inc.
9.750% due 01/15/01 2,000 2,068
First Brands Corp.
9.125% due 04/01/99 1,000 1,000
Merita
5.850% due 12/01/05 (d) 1,000 996
Occidental Petroleum
9.200% due 08/15/97 1,000 1,012
RJR Nabisco
8.000% due 07/15/01 500 495
TCI Communications, Inc.
6.238% due 04/03/02 (d) 2,000 1,975
6.298% due 03/11/03 (d) 4,000 3,953
Time Warner, Inc.
6.456% due 08/15/00 (d) 3,750 3,752
---------
21,249
=========
Utilities 4.9%
Beaver Valley Funding Corp.
8.250% due 06/01/03 729 716
Cleveland Electric Illuminating Co.
8.170% due 11/30/98 1,000 1,009
El Paso Electric Co.
7.250% due 02/01/99 1,000 996
Gulf States Utilities
9.720% due 07/01/98 6,117 6,265
North Atlantic Energy
9.050% due 06/01/02 1,397 1,382
Texas Utilities
5.891% due 05/01/99 (d) 2,500 2,503
---------
12,871
---------
Total Corporate Bonds and Notes 69,434
(Cost $69,377) =========
- ------------------------------------------------------------------
Mortgage-Backed Securities 28.2%
- ------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 2.3%
6.650% due 07/01/19 (d) $ 2,567 $ 2,563
7.399% due 06/01/22 (d) 1,158 1,202
7.827% due 12/01/22 (d) 1,546 1,608
8.500% due 04/01/25-06/01/25 (e) 694 714
---------
6,087
=========
Federal National Mortgage Association 3.5%
5.971% due 12/01/23 (d) 331 328
6.069% due 07/01/28 (d) 562 554
6.080% due 05/01/17 (d) 495 491
6.085% due 01/01/27 (d) 125 124
6.086% due 08/01/29 (d) 523 516
6.092% due 04/01/18-11/01/27 (d)(e) 2,607 2,578
6.092% due 04/01/28-11/01/28 (d)(e) 2,020 1,993
7.392% due 05/01/22 (d) 868 888
7.673% due 02/01/25 (d) 1,571 1,636
9.000% due 01/01/99 59 59
---------
9,167
=========
Government National Mortgage Association 5.3%
4.500% due 04/20/26-05/20/26 (d)(e) 993 937
5.000% due 02/20/26-05/20/26 (d)(e) 9,799 9,550
7.125% due 09/20/22-08/20/24 (d)(e) 3,236 3,314
---------
13,801
=========
Collateralized Mortgage Obligations 13.4%
Bank Mart
7.412% due 03/01/19 (d) 6,351 6,240
Citicorp Mortgage
8.500% due 06/25/06 1,843 1,826
7.452% due 09/25/18 (d) 102 102
Countrywide
6.500% due 02/25/24 1,489 1,486
Donaldson, Lufkin & Jenrette
7.620% due 10/17/20 (d) 432 439
Federal National Mortgage Assn.
7.182% due 04/25/25 (d) 871 876
Greenwich
7.076% due 10/25/22 (d) 56 56
Guardian
7.231% due 01/25/21 (d) 1,380 828
Manufacturers Hanover Corp.
7.859% due 12/16/25 (d) 2,465 2,462
PaineWebber Mortgage
6.542% due 02/25/01 (d) 2,224 2,176
Prudential Home
7.050% due 05/25/24 (d) 2,329 2,329
Residential Funding
6.169% due 03/25/18 (d) 4,551 4,462
Resolution Trust Corp.
7.588% due 01/25/20 (d) 1,000 1,017
6.838% due 03/25/20 (d) 2,812 2,820
7.111% due 05/25/21 (d) 78 79
6.525% due 09/25/21 (d) 1,769 1,740
8.000% due 07/25/24 3,451 3,430
6.588% due 05/25/29 (d) 1,038 1,039
Salomon Mortgage
7.000% due 07/25/24 14 14
Sears Mortgage
8.650% due 05/25/32 (d) 45 45
Structured Asset Securities Corp.
7.750% due 02/25/28 1,630 1,640
---------
35,106
=========
Other Mortgage-Backed Securities 2.5%
California Federal Savings & Loan
6.689% due 01/01/19 (d) 85 83
Fund America
7.493% due 06/25/23 (d) 253 261
Great Western Savings & Loan
6.337% due 01/25/18 (d) 110 109
J.P. Morgan & Co.
6.918% due 01/25/18 (d) 1,000 997
Red Mountain Funding Corp.
6.450% due 11/28/27 1,672 1,658
Resolution Trust Corp.
6.922% due 12/25/23 (d) 80 79
</TABLE>
1997 Annual Report See accompanying notes/79
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
============================================================================
<S> <C> <C> <C>
Structured Asset Securities Corp.
6.883% due 09/25/36 (d) $ 1,757 $ 1,780
Western Federal Savings & Loan
6.424% due 10/25/18 (d) 676 670
6.837% due 03/25/19 (d) 89 88
6.617% due 06/25/19 (d) 741 737
---------
6,462
=========
Stripped Mortgage-Backed Securities 1.2%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 08/15/13 251 9
992.576% due 07/15/16 116 1,455
Federal National Mortgage Assn. (IO)
6.000% due 11/25/00 1,207 111
7.000% due 07/25/06 814 109
6.500% due 02/25/21 (d) 9,901 1,150
7.000% due 07/25/21 1,671 287
Prudential Home (IO)
4.299% due 02/25/22 28 55
---------
3,176
---------
Total Mortgage-Backed Securities 73,799
(Cost $74,200) =========
- ----------------------------------------------------------------------------
Asset-Backed Securities 2.1%
- ----------------------------------------------------------------------------
LIBOR-Index Certificates
6.100% due 08/31/98 (d) 3,000 3,000
9.063% due 10/01/03 (d) 2,500 2,500
---------
Total Asset-Backed Securities 5,500
(Cost $5,500) =========
- ----------------------------------------------------------------------------
Sovereign Issues 4.9%
- ----------------------------------------------------------------------------
Commonwealth of Canada
5.290% due 04/08/97 1,900 1,898
5.410% due 04/15/97 2,800 2,794
Republic of Argentina
6.750% due 03/31/05 (d) 8,924 7,976
---------
Total Sovereign Issues 12,668
(Cost $11,943) =========
- ----------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(f) 3.5%
- ----------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (g) C$ 5,120 3,663
Commonwealth of New Zealand
4.500% due 02/15/16 (g) N$ 8,000 5,395
Kingdom of Sweden
10.250% due 05/05/00 SK 1,000 149
---------
Total Foreign Currency-Denominated Issues 9,207
(Cost $9,296) =========
- ----------------------------------------------------------------------------
Short-Term Instruments 34.8%
- ----------------------------------------------------------------------------
Certificates of Deposit 1.2%
Banco Latino Americano
6.400% due 03/31/98 $ 3,100 3,098
---------
Discount Notes 29.4%
Abbott Laboratories
5.310% due 04/08/97 2,100 2,098
E.I. Du Pont de Nemours
5.270% due 04/09/97 6,200 6,193
5.240% due 04/22/97 4,000 3,988
Electricite de France
5.300% due 04/28/97 2,800 2,789
5.290% due 05/06/97 3,000 2,985
Ford Motor Credit Corp.
5.310% due 04/07/97 1,800 1,798
5.320% due 04/09/97 2,500 2,497
5.320% due 04/10/97 2,500 2,497
5.300% due 04/23/97 1,200 1,196
5.280% due 04/29/97 1,700 1,693
General Electric Capital Corp.
5.250% due 04/25/97 1,900 1,893
5.550% due 05/06/97 10,000 9,946
5.320% due 05/07/97 200 199
General Motors Acceptance Corp.
5.390% due 04/09/97 4,700 4,694
5.580% due 05/07/97 2,000 1,989
KFW International Finance, Inc.
5.520% due 04/28/97 7,000 6,971
5.290% due 04/29/97 2,400 2,390
5.390% due 04/29/97 3,600 3,585
National Rural Utilities Cooperative
5.310% due 04/08/97 2,000 1,998
5.380% due 05/02/97 1,200 1,194
New Center Asset Trust
5.570% due 06/24/97 1,400 1,381
Pitney Bowes Credit Corp.
5.270% due 04/15/97 8,200 8,183
5.280% due 05/14/97 4,800 4,770
---------
76,927
=========
Repurchase Agreement 1.6%
State Street Bank
5.000% due 04/01/97 4,321 4,321
---------
(Dated 03/31/97. Collateralized by U.S. Treasury
Bond 7.250% 05/15/16 valued at $4,412,146.
Repurchase proceeds are $4,321,600.)
U.S. Treasury Bills 2.6%
5.029% due 04/17/97-06/12/97 (b)(e) 6,785 6,751
---------
Total Short-Term Instruments 91,097
(Cost $91,100) =========
Total Investments (a) 100.0% $ 261,705
(Cost $261,416) =========
Other Assets and Liabilities (Net) 0.0% 131
---------
Net Assets 100.0% $ 261,836
=========
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, 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. $ 1,299
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (798)
---------
Unrealized appreciation-net $ 501
=========
</TABLE>
(b) Securities with an aggregate market value of $6,751 have been segregated
with the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- -------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index (6/97) 417 $ (11,028)
</TABLE>
80/PIMCO Funds See accompanying notes
<PAGE>
======================================================================
c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BF 144,490 06/97 $ (526)
Sell 144,490 06/97 490
Sell C$ 2,128 07/97 7
Sell 2,814 09/97 28
Sell N$ 7,905 04/97 39
Buy SK 23,772 04/97 (120)
Sell 25,615 04/97 313
-----------
$ 231
===========
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Securities are grouped by coupon and represent a range of maturities.
(f) Principal amount denoted in indicated currency:
BF - Belgian Franc
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(g) Principal amount of the security is adjusted for inflation.
(h) Swap agreements outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- ------------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S&P 500 Index and pay
floating rate based on 1 month LIBOR.
Broker: Deutsche Bank AG London
Exp. 06/30/97 $ 31,597 $ 0
Broker: Lehman Brothers
Exp. 06/30/97 29,898 0
Broker: Morgan Stanley
Exp. 09/30/97 40,722 0
-------------
$ 0
=============
</TABLE>
1997 Annual Report See accompanying notes/81
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 1997
<TABLE>
<CAPTION>
Principal
Amount Value
(000's) (000's)
- --------------------------------------------------------------------------------
Corporate Bonds and Notes 48.8%
- --------------------------------------------------------------------------------
<S> <C> <C>
Banking and Finance 27.2%
Advanta National Bank
5.980% due 05/09/97 $ 100 $ 100
Ahmanson (H.F.) & Co.
6.150% due 03/24/98 200 199
AT&T Capital Corp.
6.070% due 10/24/97 300 300
Capital One Bank
6.490% due 08/15/97 300 301
Lehman Brothers
9.500% due 06/15/97 300 302
6.540% due 01/05/98 500 501
PaineWebber
7.750% due 10/20/97 300 303
Salomon, Inc.
5.650% due 02/10/98 300 299
Sparbanken Sverige AB
7.383% due 10/29/49 (d) 500 514
-----------
2,819
===========
Industrials 9.1%
Gulf Canada Resources
9.000% due 08/15/99 300 309
RJR Nabisco, Inc.
8.625% due 12/01/02 100 100
Sequa Corp.
9.625% due 10/15/99 300 308
TCI Communications, Inc.
6.430% due 03/09/98 200 199
Time Warner, Inc.
6.456% due 08/15/00 (d) 26 26
-----------
942
===========
Utilities 12.5%
Connecticut Light & Power
7.625% due 04/01/97 250 250
Consumers Power Co.
8.750% due 02/15/98 200 203
Gulf States Utilities
9.720% due 07/01/98 40 41
Long Island Lighting Co.
7.625% due 04/15/98 300 302
Philadelphia Electric
6.125% due 10/01/97 300 300
Texas Utilities
6.375% due 08/01/97 200 200
-----------
1,296
-----------
Total Corporate Bonds and Notes 5,057
(Cost $5,038) ===========
- --------------------------------------------------------------------------------
U.S. Treasury Notes 9.7%
- --------------------------------------------------------------------------------
5.750% due 09/30/97 1,000 1,000
-----------
Total U.S. Treasury Notes 1,000
(Cost $1,000) ===========
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 25.0%
- --------------------------------------------------------------------------------
Federal National Mortgage Association 4.8%
6.092% due 03/01/29 (d) 500 494
-----------
Collateralized Mortgage Obligations 14.2%
Federal Home Loan Mortgage Corp.
6.600% due 12/15/03 300 300
7.000% due 05/15/23 124 107
Federal National Mortgage Assn.
8.500% due 04/25/18 55 55
6.500% due 12/25/23 123 102
Guardian
7.231% due 01/25/21 (d) 276 166
Merrill Lynch Mortgage
4.550% due 12/15/13 95 95
Resolution Trust Corp.
7.500% due 08/25/23 200 199
Ryland Acceptance Corp.
8.350% due 12/01/12 287 287
Structured Mortgage Asset Residential Trust
7.875% due 09/25/21 158 158
-----------
1,469
===========
Other Mortgage-Backed Securities 1.8%
Matterhorn
5.542% due 01/21/06 (d) 189 189
-----------
Stripped Mortgage-Backed Securities 4.2%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/17 34 27
Federal Home Loan Mortgage Corp.(IO)
7.000% due 05/15/04 761 86
7.000% due 02/15/17 2,086 174
Federal National Mortgage Assn.(IO)
6.500% due 09/25/08 1,282 148
-----------
435
-----------
Total Mortgage-Backed Securities 2,587
(Cost $2,613) ===========
- --------------------------------------------------------------------------------
Asset-Backed Securities 0.6%
- --------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
6.760% due 02/15/11 67 67
-----------
Total Asset-Backed Securities 67
(Cost $67) ===========
- --------------------------------------------------------------------------------
Sovereign Issues 2.5%
- --------------------------------------------------------------------------------
Republic of Argentina
6.750% due 03/31/05 (d) 291 260
-----------
Total Sovereign Issues 260
(Cost $230) ===========
- --------------------------------------------------------------------------------
Foreign Currency-Denominated Issues (c)(f) 0.7%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/26 (h) C$ 102 73
-----------
Total Foreign Currency-Denominated Issues 73
(Cost $69) ===========
- --------------------------------------------------------------------------------
Short-Term Instruments 13.6%
- --------------------------------------------------------------------------------
Certificates of Deposit 2.9%
Banco Latino
6.003% due 04/15/97 (d) $ 300 300
-----------
Discount Notes 6.7%
Canadian Wheat Board
5.240% due 05/16/97 600 596
General Electric Capital Corp.
5.300% due 04/23/97 100 100
-----------
696
===========
Repurchase Agreement 2.4%
State Street Bank
5.000% due 04/01/97 250 250
(Dated 03/31/97. Collateralized by U.S. Treasury -----------
Bond 8.125% 08/15/19 valued at $260,343.
Repurchase proceeds are $250,035.)
U.S. Treasury Bills 1.6%
5.032% due 04/17/97-06/26/97 (b)(g) 160 159
-----------
Total Short-Term Instruments 1,405
(Cost $1,405) ===========
Total Investments (a) 100.9% $ 10,449
(Cost $10,422)
Other Assets and Liabilities (Net) (0.9%) (89)
-----------
Net Assets 100.0% $ 10,360
===========
</TABLE>
82/PIMCO Funds See accompanying notes
<PAGE>
================================================================================
Notes to Schedule of Investments ($ in thousands):
(a) At March 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost. $ 84
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value. (22)
-------------
Unrealized appreciation-net $ 62
=============
</TABLE>
(b) Securities with an aggregate market value of $159 have been segregated with
the custodian to cover margin requirements for the following open future
contracts at March 31, 1997:
<TABLE>
<CAPTION>
Unrealized
Type Contracts Depreciation
- -------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index (06/97) 7 $ (199)
U.S. Treasury 5 Year Note (06/97) 9 (8)
U.S. Treasury 10 Year Note (06/97) 12 (42)
U.S. Treasury 30 Year Bond (06/97) 5 (13)
-------------
$ (262)
=============
</TABLE>
(c) Foreign forward currency contracts outstanding at March 31, 1997:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered Expiration Appreciation/
Type by Contract Month (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell C$ 94 09/97 $ 1
Buy SK 1,054 04/97 (6)
Sell 1,210 04/97 15
----------------
$ 10
----------------
</TABLE>
(d) Variable rate security. The rate listed is as of March 31, 1997.
(e) Swap agreement outstanding at March 31, 1997.
<TABLE>
<CAPTION>
Notional Unrealized
Type Amount Appreciation
- -------------------------------------------------------------------------------
<S> <C> <C>
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 06/30/97 $ 3,695 $ 0
</TABLE>
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
SK - Swedish Krona
(g) Securities are grouped by coupon and represent a range of maturities.
(h) Principal amount of the security is adjusted for inflation.
1997 Annual Report See accompanying notes/83
<PAGE>
Notes to Financial Statements
March 31, 1997
1. Significant Accounting Policies
PIMCO Funds (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 20 separate investment funds (the "Funds"): the Total
Return Fund; the Total Return Fund II; the Total Return Fund III;
the Moderate Duration Fund; the Low Duration Fund; the Low
Duration Fund II; the Low Duration Fund III; the Short-Term Fund;
the Long-Term U.S. Government Fund; the Real Return Bond Fund;
the Foreign Bond Fund; the Global Bond Fund; the Global Bond Fund
II; the High Yield Fund; the Money Market Fund; the StocksPLUS
Fund; the StocksPLUS Short Strategy Fund; the Strategic Balanced
Fund; the Commercial Mortgage Securities Fund; and the
International Bond Fund (available only to private account
clients of PIMCO). The annual reports for the Global Bond II and
International Bond Funds are provided separately. The Commercial
Mortgage Securities and StocksPLUS Short Strategy Funds had not
commenced operations as of March 31, 1997. As used in the
financial statements, "Institutional Classes" refers to the
Institutional and Administrative Classes and "Retail Classes"
refers to the A, B and C Classes of the Trust. The following is a
summary of significant accounting policies consistently followed
by the Trust in preparation of its financial statements. These
policies are in conformity with generally accepted accounting
principles.
Security Valuation. Portfolio securities and other financial
instruments for which market quotations are readily available are
stated at market value. Market value is determined on the basis
of last reported sales prices, 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.
Foreign currency amounts are converted to U.S. dollars using
foreign exchange quotations received from independent dealers.
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.
Financing Transactions. A Fund 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 to the
Fund. If the counter-party 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. Included in payable for investments and
foreign currency purchased are amounts of $1,000,313,
$10,528,000, $4,001,769, $87,353,251 and $196,807,917 for Low
Duration III, Long-Term U.S. Government, Real Return Bond,
Foreign Bond and Global Bond Funds, respectively, related to
these financing transactions.
Securities Transactions and Investment Income. Securities
transactions are recorded as of 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.
Interest income is recorded on the accrual basis commencing on
the settlement date of the transaction, and includes the
accretion of discounts and amortization of premiums.
Stripped mortgage-backed securities (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 extremely
sensitive to changes in interest rates.
84/PIMCO Funds
<PAGE>
Dividends and Distributions to Shareholders. Dividends from net
investment income of each Fund, except the 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 of the StocksPLUS and
Strategic Balanced Funds are declared and distributed to
shareholders quarterly. Net long-term capital gains earned by a
Fund, if any, will be distributed no less frequently than once
each year. Foreign exchange gains or losses on investments and
the income generated from such investments, arising from
fluctuations of exchange rates of the non-dollar denominated
investments relative to the U.S. dollar, are reported to
shareholders as income in accordance with the provisions of the
Internal Revenue Code.
Income distributions and capital gain distributions are
determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. 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 Statement 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 and paid in capital
in order to more appropriately conform financial accounting to
tax characterizations of dividend distributions.
Multiclass Operations. Income and non-class specific expenses of
each Fund, except the StocksPLUS and Strategic Balanced Funds,
are allocated daily to each class of shares based on the relative
value of settled shares at the beginning of the day, adjusted for
purchase orders received in Federal Funds prior to 12:00 p.m.,
Eastern time. Income and non-class specific expenses of the
StocksPLUS and Strategic Balanced Funds are allocated daily to
each class of shares based on the relative net assets of each
class at the beginning of the day. 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 at
the beginning of the day.
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.
Futures and Options. Each Fund, except the Money Market Fund, is
authorized to enter into futures contracts and options. 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 Contracts. Each Fund authorized to invest in
securities denominated in foreign currencies may 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. The aggregate principal amounts of the contracts for
which delivery is anticipated are recorded in the Fund's account,
while such amounts are not recorded if the Fund intends to settle
the contracts prior to delivery. 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.
1997 Annual Report/85
<PAGE>
Notes to Financial Statements (Cont.)
Swaps. Each Fund, except the Money Market Fund, is authorized to
enter into interest rate, index and currency exchange swap
agreements. PIMCO uses these agreements in order to obtain a
desired return at a lower cost to the Fund than if the Fund had
invested directly in an instrument that yielded the desired
return. The agreements involve elements of credit risk identified
as the cost of replacing those agreements for which PIMCO is in a
net receivable position in the event of counterparty default.
At March 31, 1997, the StocksPLUS and Strategic Balanced
Funds were parties to S & P 500 Index swap agreements. The
agreements involve the contractual exchange of payments whereby
the Funds will receive proceeds based on the total return of the
S & P 500 Index and pay an amount based on LIBOR. The
differential to be paid or received is recognized daily over the
life of the agreement. For the period ended March 31, 1997, net
income of $10,684,593 and $312,719, respectively, was derived
from the agreements and is included in interest income of the
Funds.
Delayed Delivery Transactions. A Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These
transactions involve a commitment by a Fund to purchase or sell
securities for a predetermined price or yield, with payment and
delivery taking place beyond the customary settlement period.
When delayed delivery purchases are outstanding, a Fund will set
aside and maintain until the settlement date in a segregated
account, liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery
basis, a Fund assumes the rights and risks of ownership of the
security, including the risk of price and yield fluctuations, and
takes such fluctuations into account when determining its net
asset value. A Fund may dispose of or renegotiate a delayed
delivery transaction after it is entered into, and may sell
when-issued securities before they are delivered, which may
result in a capital gain or loss. When the Fund has sold a
security on a delayed delivery basis, the Fund does not
participate in future gains and losses with respect to the
security. Forward sales commitments are accounted for by the Fund
in the same manner as forward currency contracts discussed above.
The following securities were subject to outstanding forward
sale commitments at March 31, 1997 which are covered by purchased
call options (amounts in thousands):
<TABLE>
<CAPTION>
Principal
Amount Value Proceeds
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Foreign Bond Fund
Commonwealth of Australia A$ 4,400 $ 4,033 $ 3,969
Commonwealth of Canada C$ 52,098 40,068 40,073
Government of Japan JY 8,424,000 79,273 78,169
Kingdom of Sweden SK 334,000 49,005 49,228
-------------------------
$ 172,379 $ 171,439
=========================
Global Bond Fund
Commonwealth of Australia A$ 5,500 $ 5,041 $ 4,962
Commonwealth of Canada C$ 43,200 32,761 33,861
Government of Japan JY 3,610,000 33,831 33,371
Kingdom of Spain SP 472,800 3,919 4,019
Kingdom of Sweden SK 451,800 66,218 66,712
Republic of Germany DM 41,020 26,048 26,260
Republic of Italy IL 22,580,000 13,067 13,501
United Kingdom BP 6,820 11,807 12,132
-------------------------
$ 192,692 $ 194,818
=========================
</TABLE>
86/PIMCO Funds
<PAGE>
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
investors do not receive their principal until maturity.
Estimates. The preparation of financial statements in
accordance with generally accepted accounting principles
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.
2. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. PIMCO 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 as follows: Money Market Fund - 0.15%,
StocksPLUS and Strategic Balanced Funds - 0.40% and all
other Funds - 0.25%.
Administration Fee. PIMCO 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's 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; 0.20% for the Moderate
Duration, Short-Term and Money Market Funds; 0.30% for the
Global Bond Fund; and 0.25% for all other Funds. The
Administration Fee for the Retail Classes is charged at an
annual rate of 0.35% for the Short-Term and Money Market
Funds; 0.45% for the Foreign Bond Fund; and 0.40% for all
other Funds.
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) expenses,
such as organizational expenses, which are capitalized in
accordance with generally accepted accounting principles;
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
Multiclass Plan adopted pursuant to Rule 18f-3 under the Act
and subject to review and approval by the Trustees. Each
unaffiliated Trustee receives an annual retainer of $45,000,
plus $3,000 for each Board of Trustees meeting attended,
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.
Distribution and Servicing Fees. PIMCO Funds Distribution
Company ("PFDCO"), 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 PFDCO was 0.25% during 1997.
1997 Annual Report/87
<PAGE>
Notes to Financial Statements (Cont.)
Pursuant to the Distribution and Servicing Plans
adopted by the Retail Classes of the Trust, the Trust
compensates PFDCO 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 Classes.
The Trust paid PFDCO 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):
<TABLE>
<CAPTION>
Effective Rate Allowable Rate
---------------------------------------------------------------------------------
Distribution Fee(%) Servicing Fee(%) Distribution Fee(%) Servicing Fee(%)
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A
Money Market Fund -- 0.10 -- 0.20
All other Funds -- 0.25 -- 0.25
Class B
All Funds 0.75 0.25 0.75 0.25
Class C
Long-Term U.S. Gov't, Foreign Bond,
High Yield and Total Return Funds 0.75 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 0.25
Real Return Bond
and StocksPLUS Funds 0.50 0.25 0.75 0.25
Short-Term Fund 0.30 0.25 0.75 0.25
Money Market Fund -- 0.10 -- 0.20
</TABLE>
PFDCO 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 Class A, Class B and Class C
shares. For the periods ended March 31, 1997, the Funds were
informed that PFDCO received $519,595 representing
commissions (sales charges) and contingent deferred sales
charges related to the Retail Classes.
3. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term
investments) for the period ended March 31, 1997 were as
follows ($ in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-------------------------------------------------------------------------------
Purchases Sales Purchases Sales
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $ 19,526,506 $ 17,697,807 $ 2,764,451 $ 3,420,894
Total Return Fund II 1,498,381 1,472,811 90,321 37,250
Total Return Fund III 185,104 127,411 42,672 35,826
Moderate Duration Fund 12,602 4,574 6,642 4
Low Duration Fund 6,246,804 6,089,127 645,838 790,289
Low Duration Fund II 619,693 607,517 37,685 22,234
Low Duration Fund III 22,741 14,955 859 0
Short-Term Fund 31,692 36,078 78,927 43,974
Long-Term U.S. Gov't Fund 140,438 147,050 0 1,373
Real Return Bond Fund 12,727 8,321 1,661 168
Foreign Bond Fund 1,613 27,020 4,347,464 4,568,215
Global Bond Fund 0 10,539 2,240,829 3,186,654
High Yield Fund 31,997 30,035 898,183 471,149
StocksPLUS Fund 40,919 39,491 97,336 37,747
Strategic Balanced Fund 9,504 7,737 8,798 160
</TABLE>
88/PIMCO Funds
<PAGE>
4. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows ($ in thousands):
<TABLE>
<CAPTION>
Total Return Total Return II Total Return III Low Duration Low Duration II Short-Term
------------------------------------------------------------------------------------------------------
--------------------------------------------------Premium---------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 3/31/96 $ 11,679 $ 233 $ 79 $ 0 $ 0 $ 0
Sales 41,410 1,592 1,309 4,036 321 22
Closing Buys 0 0 (13) 0 0 (21)
Expirations (11,682) (61) (223) (325) (34) (1)
Exercised (11,189) (233) (79) 0 0 0
------------------------------------------------------------------------------------------------------
Balance at 3/31/97 $ 30,218 $ 1,531 $ 1,073 $ 3,711 $ 287 $ 0
======================================================================================================
</TABLE>
<TABLE>
<CAPTION>
Long-Term
U.S. Gov't Foreign Bond Global Bond StocksPLUS Strategic Balanced
-----------------------------------------------------------------------------
-------------------------------Premium---------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 3/31/96 $ 4 $ 80 $ 40 $ 0 $ 0
Sales 75 0 0 41 1
Closing Buys (40) 0 0 (31) (1)
Expirations (5) (80) (40) (10) 0
Exercised 0 0 0 0 0
-----------------------------------------------------------------------------
Balance at 3/31/97 $ 34 $ 0 $ 0 $ 0 $ 0
=============================================================================
</TABLE>
5. Retail Class Summaries
The following amounts relate to items accumulated in the Statement of Assets and
Liabilities, the Statement of Operations and the Statement of Changes in Net
Assets (amounts in thousands):
<TABLE>
<CAPTION>
Total Return Low Duration Short-Term Long-Term U.S.
Fund Fund Fund Gov't Fund
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares Outstanding
Class A 11,268 5,945 253 128
- -------------------------------------------------------------------------------------------------------
Class B 7,217 531 11 48
- -------------------------------------------------------------------------------------------------------
Class C 32,039 6,372 136 29
- -------------------------------------------------------------------------------------------------------
Distribution and Servicing fees
Class A $ 47 $ 28 $ 1 $ 0
- -------------------------------------------------------------------------------------------------------
Class B 140 9 0 0
- -------------------------------------------------------------------------------------------------------
Class C 667 93 0 0
- -------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Class A $ 1,116 $ 618 $ 10 $ 10
- -------------------------------------------------------------------------------------------------------
Class B 717 48 1 2
- -------------------------------------------------------------------------------------------------------
Class C 3,419 636 4 1
- -------------------------------------------------------------------------------------------------------
In excess of net investment income
Class A 28 18 0 0
- -------------------------------------------------------------------------------------------------------
Class B 18 1 0 0
- -------------------------------------------------------------------------------------------------------
Class C 85 19 0 0
- -------------------------------------------------------------------------------------------------------
From net realized capital gains
Class A 0 0 0 0
- -------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------------------------------------------
In excess of net realized capital gains
Class A 0 0 0 0
- -------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Real Return Foreign High Yield Money StocksPLUS
Bond Fund Bond Fund Fund Market Fund Fund
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares Outstanding
Class A 0 68 2,602 43,589 505
- -------------------------------------------------------------------------------------------------------------
Class B 51 117 5,431 3,143 724
- -------------------------------------------------------------------------------------------------------------
Class C 15 172 18,499 85,398 983
- -------------------------------------------------------------------------------------------------------------
Distribution and Servicing fees
Class A $ 0 $ 0 $ 15 $ 5 $ 2
- -------------------------------------------------------------------------------------------------------------
Class B 0 1 111 4 8
- -------------------------------------------------------------------------------------------------------------
Class C 0 1 412 12 11
- -------------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income
Class A $ 0 $ 1 $ 502 $ 263 $ 70
- -------------------------------------------------------------------------------------------------------------
Class B 1 2 820 16 93
- -------------------------------------------------------------------------------------------------------------
Class C 0 3 3,086 617 161
- -------------------------------------------------------------------------------------------------------------
In excess of net investment income
Class A 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
From net realized capital gains
Class A 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
In excess of net realized capital gains
Class A 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------
</TABLE>
1997 Annual Report/89
<PAGE>
Notes to Financial Statements (Cont.)
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
(amounts in thousands):
<TABLE>
<CAPTION>
Total Return Total Return II
Year Ended 3/31/97 Year Ended 3/31/96 Year Ended 3/31/97
Shares Amount Shares Amount Shares Amount
------------------------------------------------------- -------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 358,561 $ 3,709,839 342,019 $ 3,567,811 8,952 $ 88,832
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 12,842 132,504 11,183 117,173 184 1,824
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A 3,360 35,013 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 1,002 10,459 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 1,329 13,775 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Shares issued in reorganization
Class A 8,630 90,184 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 6,410 66,992 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 32,743 342,162 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Issued as reinvestment of distributions
Institutional Class 58,681 606,425 56,475 592,359 2,871 28,378
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 820 8,479 373 3,923 28 273
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A 88 900 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 49 513 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 223 2,316 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Cost of shares redeemed
Institutional Class (193,748) (2,001,935) (124,938) (1,308,591) (9,278) (90,902)
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class (9,113) (94,080) (2,289) (24,091) (9) (93)
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A (810) (8,458) 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B (244) (2,564) 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C (2,256) (23,590) 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Net increase resulting from
Fund share transactions 278,567 $ 2,888,934 282,823 $ 2,948,584 2,748 $ 28,312
======================================= ======================================================= ==========================
<CAPTION>
Total Return II Total Return III
Period Ended 3/31/96 Year Ended 3/31/97 Year Ended 3/31/96
Shares Amount Shares Amount Shares Amount
------------------------ -------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 3,595 $ 36,981 6,069 $ 56,444 4,560 $ 42,689
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class 23 218 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 1,714 17,509 1,127 10,374 1,000 9,384
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class 12 126 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Cost of shares redeemed
Institutional Class (2,564) (25,812) (1,649) (15,338) (1,040) (9,719)
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class (8) (78) 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Net increase resulting from
Fund share transactions 2,772 $ 28,944 5,547 $ 51,480 4,520 $ 42,354
======================================= ======================== =======================================================
<CAPTION>
Long-Term U.S. Gov't Foreign Bond
Year Ended 3/31/97 Year Ended 3/31/96 Year Ended 3/31/97
Shares Amount Shares Amount Shares Amount
------------------------------------------------------- -------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 712 $ 6,985 2,022 $ 21,443 14,462 $ 155,503
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 3 30
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A 128 1,237 0 0 69 715
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 48 469 0 0 117 1,236
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 29 281 0 0 172 1,809
- --------------------------------------- ------------------------------------------------------- -------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Issued as reinvestment of distributions
Institutional Class 215 2,113 372 3,954 2,246 23,548
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A 0 1 0 0 0 1
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 1 0 0 0 2
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 1 0 0 0 3
- --------------------------------------- ------------------------------------------------------- -------------------------
Cost of shares redeemed
Institutional Class (2,062) (20,121) (2,415) (26,116) (18,761) (205,567)
- --------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class A 0 0 0 0 (1) (6)
- --------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 (1) 0 0 0 (2)
- --------------------------------------- ------------------------------------------------------- -------------------------
Net increase (decrease) resulting from
Fund share transactions (930) $ (9,034) (21) $ (719) (1,693) $ (22,728)
======================================= ======================================================= =========================
<CAPTION>
Foreign Bond Global Bond
Year Ended 3/31/96 Year Ended 3/31/97 Year Ended 3/31/96
Shares Amount Shares Amount Shares Amount
------------------------ -------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 7,828 $ 79,674 8,566 $ 87,843 5,338 $ 54,351
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class 0 0 60 632 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Issued as reinvestment of distributions
Institutional Class 1,752 17,861 1,227 12,695 873 8,928
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class 0 0 2 17 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Cost of shares redeemed
Institutional Class (9,773) (98,221) (1,227) (12,625) (649) (6,621)
- --------------------------------------- ------------------------ -------------------------------------------------------
Administrative Class 0 0 (27) (273) 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class A 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class B 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Class C 0 0 0 0 0 0
- --------------------------------------- ------------------------ -------------------------------------------------------
Net increase (decrease) resulting from
Fund share transactions (193) $ (686) 8,601 $ 88,289 5,562 $ 56,658
======================================= ======================== =======================================================
</TABLE>
90/PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Low Duration
Period Ended 3/31/97 Year Ended 3/31/97 Year Ended 3/31/96
Shares Amount Shares Amount Shares Amount
----------------------- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 1,374 $ 13,681 139,451 $ 1,394,715 141,847 $ 1,416,204
- ------------------------------- ----------------------- ----------------------------------------------
Administrative Class 0 0 2,251 22,564 267 2,678
- ------------------------------- ----------------------- ----------------------------------------------
Class A 0 0 2,135 21,468 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class B 0 0 178 1,783 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class C 0 0 1,581 15,897 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Shares issued in reorganization
Class A 0 0 5,364 53,912 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class B 0 0 454 4,564 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class C 0 0 6,149 61,795 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Issued as reinvestment of
distributions
Institutional Class 16 159 15,036 149,996 14,360 143,328
- ------------------------------- ----------------------- ----------------------------------------------
Administrative Class 0 0 52 518 8 83
- ------------------------------- ----------------------- ----------------------------------------------
Class A 0 0 61 615 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class B 0 0 3 33 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class C 0 0 49 495 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Cost of shares redeemed
Institutional Class (21) (207) (143,424) (1,432,178) (126,025) (1,258,060)
- ------------------------------- ----------------------- ----------------------------------------------
Administrative Class 0 0 (197) (1,971) (99) (983)
- ------------------------------- ----------------------- ----------------------------------------------
Class A 0 0 (1,615) (16,266) 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class B 0 0 (104) (1,047) 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Class C 0 0 (1,407) (14,179) 0 0
- ------------------------------- ----------------------- ----------------------------------------------
Net increase (decrease) resulting
from Fund share transactions 1,369 13,633 26,017 $ 262,714 30,358 $ 303,250
================================ ======================= ==============================================
<CAPTION>
Low Duration II Low Duration III
Year Ended 3/31/97 Year Ended 3/31/96 Period Ended 3/31/97
Shares Amount Shares Amount Shares Amount
------------------------------------------------------- -------------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 14,219 $ 139,963 16,787 $ 166,259 1,000 $ 10,000
- ----------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class A 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Issued as reinvestment of distributions
Institutional Class 1,612 15,824 1,339 13,248 15 149
- ----------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class A 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Cost of shares redeemed
Institutional Class (7,059) (69,105) (9,818) (97,282) 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Administrative Class 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class A 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class B 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Class C 0 0 0 0 0 0
- ----------------------------------------- ------------------------------------------------------- -------------------------
Net increase (decrease) resulting
Fund share transactions 8,772 $ 86,682 8,308 $82,225 1,015 $10,149
========================================= ======================================================= =========================
<CAPTION>
Short Term Real Return Bond
Year Ended 3/31/97 Year Ended 3/31/96 Period Ended 3/31/97
Shares Amount Shares Amount Shares Amount
------------------------------------------------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 18,060 $ 180,257 13,481 $ 133,513 564 $ 5,636
- ---------------------------------------- ------------------------------------------------------- ----------------------
Administrative Class 867 8,640 435 4,324 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class A 441 4,435 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class B 19 197 0 0 51 514
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class C 140 1,403 0 0 15 149
- ---------------------------------------- ------------------------------------------------------- ----------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class B 0 0 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class C 0 0 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Issued as reinvestment of distributions
Institutional Class 625 6,243 498 4,930 4 45
- ---------------------------------------- ------------------------------------------------------- ----------------------
Administrative Class 1 15 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class A 1 5 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class B 0 1 0 0 0 1
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class C 0 4 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Cost of shares redeemed
Institutional Class (13,294) (132,676) (12,924) (127,940) 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Administrative Class (820) (8,162) (32) (320) 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class A (189) (1,898) 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class B (8) (83) 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Class C (4) (44) 0 0 0 0
- ---------------------------------------- ------------------------------------------------------- ----------------------
Net increase (decrease) resulting from
Fund share transactions 5,839 $ 58,337 1,458 $ 14,507 634 $ 6,345
======================================== ======================================================= ======================
<CAPTION>
High Yield Money Market
Year Ended 3/31/97 Year Ended 3/31/96 Year Ended 3/31/97 Year Ended 3/31/96
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------- ------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 37,480 $ 414,058 27,025 $ 294,885 48,817 $ 48,817 23,183 $ 23,183
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Administrative Class 1,323 14,665 90 998 8 8 4 4
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class A 480 5,390 0 0 303,692 303,692 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class B 1,083 12,160 0 0 3,657 3,657 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class C 1,380 15,420 0 0 262,815 262,815 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Shares issued in reorganization
Class A 2,634 29,527 0 0 14,653 14,653 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class B 4,447 49,852 0 0 2,499 2,499 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class C 18,228 204,339 0 0 52,050 52,050 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Issued as reinvestment of distributions
Institutional Class 6,306 69,870 3,932 43,030 1,077 1,077 387 388
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Administrative Class 31 353 2 25 1 1 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class A 25 271 0 0 192 192 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class B 37 412 0 0 15 15 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class C 163 1,819 0 0 605 605 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Cost of shares redeemed
Institutional Class (25,767) (286,865) (14,184) (156,050) (52,332) (52,332) (5,376) (5,377)
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Administrative Class (506) (5,554) (4) (46) (7) (7) (4) (4)
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class A (537) (6,044) 0 0 (274,948) (274,948) 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class B (136) (1,524) 0 0 (3,028) (3,028) 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Class C (1,272) (14,308) 0 0 (230,072) (230,072) 0 0
- ---------------------------------------- ---------------------------------------- -----------------------------------------
Net increase (decrease) resulting from
Fund share transactions 45,399 $ 503,841 16,861 $ 182,842 129,694 $ 129,694 18,194 $ 18,194
======================================== ======================================== =========================================
<CAPTION>
StockPLUS Strategic Balanced
Period Ended 3/31/97 Year Ended 3/31/96 Year Ended 3/31/97
Shares Amount Shares Amount Shares Amount
---------------------------------------- --------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 7,685 $ 91,156 10,056 $ 114,561 1,003 $ 10,032
- ---------------------------------------- ---------------------------------------- --------------------
Administrative Class 64 746 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class A 515 6,245 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class B 720 8,743 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class C 1,276 15,506 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Shares issued in reorganization
Class A 0 0 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class B 0 0 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class C 0 0 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Issued as reinvestment of distributions
Institutional Class 2,419 28,060 1,556 17,428 0 3
- ---------------------------------------- ---------------------------------------- --------------------
Administrative Class 1 8 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class A 5 64 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class B 7 86 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class C 13 156 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Cost of shares redeemed
Institutional Class (3,137) (36,460) (2,440) (28,558) 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Administrative Class (5) (58) 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class A (15) (182) 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class B (3) (33) 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Class C (306) (3,565) 0 0 0 0
- ---------------------------------------- ---------------------------------------- --------------------
Net increase (decrease) resulting from
Fund share transactions 9,239 $ 110,472 9,172 $ 103,431 1,003 $ 10,035
======================================== ======================================== ====================
</TABLE>
1997 Annual Report/91
<PAGE>
Notes to Financial Statements (Cont.)
7. Federal Income Tax Matters
As of March 31, 1997, the Funds listed in the table below had remaining capital
loss carryforwards that were realized in current and prior years. In addition,
as part of the transaction described in Note 8, the Total Return, Low Duration
and High Yield Funds acquired capital loss carryforwards from the PIMCO Advisors
Total Return Income, PIMCO Advisors U.S. Government, PIMCO Advisors Short-
Intermediate and PIMCO Advisors High Income Funds. Use of the acquired capital
loss carryforwards may be limited under current tax laws.
Additionally, the Total Return, Total Return II, Total Return III, Low
Duration II, Low Duration III and Long-Term U.S. Government Funds realized
capital losses during the fiscal year for which the Fund elected to defer them
to the following fiscal year pursuant to income tax regulations. The amounts are
$96,365,587, $1,431,460, $2,784,755, $377,408, $29,606 and $1,931,570,
respectively.
Each Fund will resume capital gain distributions in the future to the extent
gains are realized in excess of the available carryforwards.
<TABLE>
<CAPTION>
Capital Loss Carryforwards
(amounts in thousands)
------------------------------------------
Realized Losses Acquired Losses Expiration
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total Return Fund $ 8,241 $ -- 03/31/05
-- 988 03/31/04
-- 8,501 03/31/02
-- 17,277 03/31/01
Total Return Fund II 2,977 -- 03/31/05
Low Duration Fund 2,898 -- 03/31/03
-- 1,170 03/31/02
-- 3,550 03/31/01
-- 738 03/31/99
Low Duration Fund II 344 -- 03/31/05
469 -- 03/31/03
High Yield Fund -- 50,541 03/31/02
-- 5,495 03/31/01
-- 28,820 03/31/98
</TABLE>
8. Reorganization
Each Acquiring Fund, as listed below, acquired the assets and certain
liabilities of the Acquired Fund, also listed below, in a tax-free exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders. (amounts in thousands):
<TABLE>
<CAPTION>
Shares Value of Total Net
Issued by Shares Issued Assets of Total Net
Acquiring by Acquiring Acquired Assets of
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund(s) Acquiring Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PIMCO PIMCO Advisors
Total Return Fund Total Return Income Fund
and PIMCO Advisors
U.S. Government Fund 01/17/97 47,783 $ 499,338 $ 499,338 $ 12,445,156
PIMCO PIMCO Advisors
Low Duration Fund Short-Intermediate Fund 01/17/97 11,967 120,271 120,271 2,829,201
PIMCO PIMCO Advisors
High Yield Fund High Income Fund 01/17/97 25,309 283,718 283,718 791,932
PIMCO PIMCO Advisors
Money Market Fund Money Market Fund 01/17/97 69,202 69,202 69,202 25,027
<CAPTION>
Total
Net Assets Acquired
of Acquiring Fund(s)
Fund After Unrealized
Aquiring Fund Acquired Fund(s) Acquisition Appreciation
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
PIMCO PIMCO Advisors
Total Return Fund Total Return Income Fund
and PIMCO Advisors
U.S. Government Fund $ 12,944,494 $ 5,236
PIMCO PIMCO Advisors
Low Duration Fund Short-Intermediate Fund 2,949,472 448
PIMCO PIMCO Advisors
High Yield Fund High Income Fund 1,075,650 12,610
PIMCO PIMCO Advisors
Money Market Fund Money Market Fund 94,229 0
</TABLE>
92/PIMCO Funds
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of the PIMCO Funds:
Pacific Investment Management Series
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and cash flows and the financial highlights present
fairly, in all material respects, the financial position of the Total Return
Fund, Total Return Fund II, Total Return Fund III, Moderate Duration Fund, Low
Duration Fund, Low Duration Fund II, Low Duration Fund III, Short-Term Fund,
Long-Term U.S. Government Fund, Real Return Bond Fund, Foreign Bond Fund, Global
Bond Fund, High Yield Fund, Money Market Fund, StocksPLUS Fund and Strategic
Balanced Fund (hereafter referred to as the "Funds") at March 31, 1997, and the
results of each of their operations, the changes in each of their net assets and
cash flows for the Long-Term U.S. Government Fund, Real Return Bond Fund,
Foreign Bond Fund and Global Bond Fund and the financial highlights for each of
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and the financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
Price Waterhouse LLP
Kansas City, Missouri
May 22, 1997
1997 Annual Report/93
<PAGE>
Pacific Investment Management Company is responsible for the management and
administration of the PIMCO Funds. Founded in 1971, Pacific Investment
Management Company currently manages assets in excess of $91 billion on behalf
of mutual fund and institutional clients located around the world.
Pacific Investment Management Company is one of six investment advisory firms
which form PIMCO Advisors L.P., the nation's fourth largest publicly traded
investment management concern with combined assets under management in excess of
$111 billion. Widely recognized for providing consistent performance and high-
quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Blairlogie Capital Management/Edinburgh, Scotland
Units of PIMCO Advisors L.P. trade on the New York Stock Exchange under the
ticker symbol "PA."
Trustees and Officers
Brent R. Harris Chairman and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
R. Wesley Burns President
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Advisor and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 360
Newport Beach, California 92660
Transfer Agent and Custodian
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, Missouri 64105
Counsel
Dechert Price & Rhoads
1500 K Street N.W.
Washington, D.C. 20005
Independent Accountants
Price Waterhouse LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
[LOGO OF PIMCO APPEARS HERE]
840 Newport Center Drive, Suite 360
Newport Beach, CA 92660
800.927.4648
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.
