<PAGE>
P I M C O
---------
FUNDS
[LINE GRAPH APPEARS HERE]
Pacific Investment Management Series
Annual Report
March 31, 1999
<PAGE>
BOND YIELD VOLATILITY
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTHLY Rolling 36-Month Volatility of Bond Yields
<S> <C>
Jan-81 4.783
Feb-81 5.001
Mar-81 5.120
Apr-81 5.404
May-81 5.504
Jun-81 5.649
Jul-81 5.876
Aug-81 6.199
Sep-81 6.530
Oct-81 6.654
Nov-81 6.607
Dec-81 6.581
Jan-82 6.680
Feb-82 6.526
Mar-82 6.456
Apr-82 6.321
May-82 6.188
Jun-82 6.043
Jul-82 5.779
Aug-82 5.466
Sep-82 5.147
Oct-82 4.885
Nov-82 4.826
Dec-82 4.774
Jan-83 4.660
Feb-83 4.729
Mar-83 4.834
Apr-83 4.974
May-83 4.968
Jun-83 4.894
Jul-83 4.701
Aug-83 4.590
Sep-83 4.567
Oct-83 4.558
Nov-83 4.579
Dec-83 4.591
Jan-84 4.600
Feb-84 4.601
Mar-84 4.592
Apr-84 4.596
May-84 4.603
Jun-84 4.644
Jul-84 4.623
Aug-84 4.543
Sep-84 4.338
Oct-84 4.029
Nov-84 3.859
Dec-84 3.843
Jan-85 3.777
Feb-85 3.627
Mar-85 3.479
Apr-85 3.343
May-85 3.315
Jun-85 3.274
Jul-85 3.092
Aug-85 2.990
Sep-85 2.997
Oct-85 3.072
Nov-85 3.199
Dec-85 3.403
Jan-86 3.560
Feb-86 3.961
Mar-86 4.502
Apr-86 4.969
May-86 5.305
Jun-86 5.728
Jul-86 6.066
Aug-86 6.383
Sep-86 6.585
Oct-86 6.783
Nov-86 6.965
Dec-86 7.117
Jan-87 7.231
Feb-87 7.331
Mar-87 7.323
Apr-87 7.221
May-87 7.039
Jun-87 6.677
Jul-87 6.261
Aug-87 5.960
Sep-87 5.684
Oct-87 5.421
Nov-87 5.243
Dec-87 5.053
Jan-88 4.860
Feb-88 4.695
Mar-88 4.367
Apr-88 4.053
May-88 3.749
Jun-88 3.592
Jul-88 3.455
Aug-88 3.274
Sep-88 3.095
Oct-88 2.870
Nov-88 2.697
Dec-88 2.596
Jan-89 2.561
Feb-89 2.540
Mar-89 2.568
Apr-89 2.517
May-89 2.449
Jun-89 2.427
Jul-89 2.339
Aug-89 2.260
Sep-89 2.130
Oct-89 2.091
Nov-89 2.054
Dec-89 1.970
Jan-90 1.863
Feb-90 1.740
Mar-90 1.597
Apr-90 1.541
May-90 1.535
Jun-90 1.545
Jul-90 1.550
Aug-90 1.553
Sep-90 1.539
Oct-90 1.419
Nov-90 1.414
Dec-90 1.413
Jan-91 1.421
Feb-91 1.437
Mar-91 1.445
Apr-91 1.463
May-91 1.446
Jun-91 1.398
Jul-91 1.392
Aug-91 1.363
Sep-91 l.342
Oct-91 1.345
Nov-91 1.363
Dec-91 1.428
Jan-92 1.423
Feb-92 1.428
Mar-92 1.364
Apr-92 1.288
May-92 1.248
Jun-92 1.254
Jul-92 1.320
Aug-92 1.383
Sep-92 1.454
Oct-92 1.482
Nov-92 1.509
Dec-92 1.559
Jan-93 1.641
Feb-93 1.761
Mar-93 1.847
Apr-93 1.908
May-93 1.889
Jun-93 1.971
Jul-93 2.074
Aug-93 2.256
Sep-93 2.340
Oct-93 2.409
Nov-93 2.417
Dec-93 2.450
Jan-94 2.501
Feb-94 2.492
Mar-94 2.449
Apr-94 2.392
May-94 2.340
Jun-94 2.280
Jul-94 2.186
Aug-94 2.097
Sep-94 2.070
Oct-94 2.088
Nov-94 2.098
Dec-94 2.093
Jan-95 2.107
Feb-95 2.089
Mar-95 2.067
Apr-95 2.023
May-95 1.985
Jun-95 1.968
Jul-95 1.937
Aug-95 1.942
Sep-95 1.959
Oct-95 1.991
Nov-95 2.022
Dec-95 2.071
Jan-96 2.115
Feb-96 2.122
Mar-96 2.126
Apr-96 2.126
May-96 2.126
Jun-96 2.126
Jul-96 2.123
Aug-96 2.119
Sep-96 2.067
Oct-96 2.008
Nov-96 1.959
Dec-96 1.932
Jan-97 1.902
Feb-97 1.857
Mar-97 1.849
Apr-97 1.847
May-97 1.839
Jun-97 1.823
Jul-97 1.821
Aug-97 1.809
Sep-97 1.802
Oct-97 1.764
Nov-97 1.692
Dec-97 1.606
Jan-98 1.542
Feb-98 1.480
Mar-98 1.450
Apr-98 1.406
May-98 1.388
Jun-98 1.470
Jul-98 1.526
Aug-98 1.638
Sep-98 1.816
Oct-98 1.936
Nov-98 2.060
Dec-98 2.165
Jan-99 2.257
Feb-99 2.286
Mar-99 2.307
Apr-99 2.309
</TABLE>
Source: Salomon Brothers Yield Book
On the cover:
Depicted on the front cover and in greater detail here is a graph of 30-year
U.S. Treasury bond yield volatility (annualized rolling 36-month volatility) for
the 18-year period ended March 31, 1999. Historical graphs such as this assist
PIMCO in evaluating the long-term trends in the financial markets.
Smaller changes in interest rates invariably result in lower volatility.
Although volatility increased somewhat during the third quarter of 1998, it did
not approach levels encountered during the 1980s. PIMCO believes that interest
rate volatility will decline as the Fed will likely remain neutral in a climate
of moderating economic growth, subdued inflation and more stable global
financial markets. PIMCO employs multiple strategies that are designed to
capture premiums in a stable rate environment such as the use of callable
corporates, mortgage-backed securities, and options.
Contents
Chairman's Message ................................. 1
Market Review ...................................... 2
An Interview with William Gross .................... 5
Y2K Information .................................... 6
Financial Highlights ............................... 28
Statements of Assets and Liabilities ............... 38
Statements of Operations ........................... 41
Statements of Changes in Net Assets ................ 44
Statement of Cash Flows ............................ 50
Notes to Financial Statements ...................... 123
Fund Schedule of
Summary Investments
Total Return Fund .................................. 7 51
Total Return Fund II ............................... 8 69
Total Return Fund III .............................. 9 72
Moderate Duration Fund ............................. 10 75
Low Duration Fund .................................. 11 77
Low Duration Fund II ............................... 12 83
Low Duration Fund III .............................. 13 85
Short-Term Fund .................................... 14 86
Money Market Fund .................................. 15 88
Long-Term U.S. Government Fund ..................... 16 89
High Yield Fund .................................... 17 92
Total Return Mortgage Fund ......................... 18 97
Low Duration Mortgage Fund ......................... 19 98
Real Return Bond Fund .............................. 20 99
Municipal Bond Fund ................................ 21 101
Foreign Bond Fund .................................. 22 104
Global Bond Fund ................................... 23 108
Global Bond Fund II ................................ 24 112
Emerging Markets Bond Fund ......................... 25 115
Strategic Balanced Fund ............................ 26 117
StocksPLUS Fund .................................... 27 120
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
The past 12 months have been an eventful time. Domestic political tensions
evident this past year have slowly diffused. On the international front, the
U.S. embarked with its NATO allies on a difficult military mission in the
Balkans. PIMCO's team of investment professionals are attentive to developments,
though the situation has had little impact on the markets thus far.
Meanwhile, the U.S. economy has continued to expand while inflation has remained
exceptionally low. Investors' concerns over global economic and political
turmoil that permeated international capital markets during the third quarter of
1998 were calmed during the fourth quarter after the Federal Reserve cut
interest rates by 0.75% and other central banks followed suit. The stock market
resumed its upward momentum with most of the major indices heading into record
territory by the end of the first quarter of this year.
The U.S. bond markets flourished during 1998 as well, hitting record levels of
activity in the primary markets. Despite a recent rise in interest rates, yields
declined across the maturity spectrum over the course of the fiscal year ended
March 31, 1999 with yields on 1-year and 30-year U.S. Treasuries down 0.68% and
0.31%, respectively. Interest rates rose during the first quarter of this year
as continued evidence of strong U.S. economic growth heightened concern that the
Federal Reserve would boost rates to keep inflation subdued. Despite the
domestic economy's rapid growth, there were few signs that inflation was
actually increasing, which allowed the Fed to remain on the sidelines. The Fed
was also unlikely to curtail growth in the U.S. with many of the world's
economies in or near recession.
The year culminated with the news that Morningstar had named Bill Gross and his
team Fixed Income Manager of the Year. Another milestone followed when the Total
Return Fund (managed by Mr. Gross) topped the $25 billion mark, solidifying its
position as the largest bond fund in the world, and the only bond fund on the
select list of the 25 largest mutual funds in America [source: Bloomberg].
On the following pages you will find an analysis of the stock and bond markets,
commentary from PIMCO's Bill Gross and specific details as to each Fund's
portfolio and total return investment performance.
As always, we appreciate the trust you have placed in us through your
investments. If you have any questions regarding your PIMCO Funds investment,
please contact your account manager, or call one of our shareholder associates
at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
April 30, 1999
1999 Annual Report 1
<PAGE>
Market Review
Bond Market
Real Rates Remain High
A round trip for long-term interest rates.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
30-Year U.S. Treasury Rates (%)
-------------------------------
<S> <C>
03/06/1998 6.02
03/13/1998 5.89
03/20/1998 5.89
03/27/1998 5.96
04/03/1998 5.80
04/10/1998 5.88
04/17/1998 5.88
04/24/1998 5.95
05/01/1998 5.93
05/08/1998 5.98
05/15/1998 5.97
05/22/1998 5.90
05/29/1998 5.80
06/05/1998 5.79
06/12/1998 5.66
06/19/1998 5.67
06/26/1998 5.63
07/03/1998 5.60
07/10/1998 5.63
07/17/1998 5.75
07/24/1998 5.69
07/31/1998 5.71
08/07/1998 5.63
08/14/1998 5.54
08/21/1998 5.43
08/28/1998 5.34
09/04/1998 5.29
09/11/1998 5.23
09/18/1998 5.15
09/25/1998 5.11
10/02/1998 4.84
10/09/1998 5.11
10/16/1998 4.98
10/23/1998 5.18
10/30/1998 5.16
11/06/1998 5.39
11/13/1998 5.25
11/20/1998 5.22
11/27/1998 5.16
12/04/1998 5.04
12/11/1998 5.02
12/18/1998 5.00
12/25/1998 5.22
01/01/1999 5.09
01/08/1999 5.27
01/15/1999 5.11
01/22/1999 5.08
01/29/1999 5.09
02/05/1999 5.35
02/12/1999 5.42
02/19/1999 5.39
02/26/1999 5.57
03/05/1999 5.59
03/12/1999 5.52
03/19/1999 5.56
03/26/1999 5.60
04/01/1999 5.59
</TABLE>
Source: Bloomberg
In our last annual report we projected that inflation would remain low and that
the real rate of return on bonds would remain high. Inflation over the past six
months has remained low. Even though bond prices fell over the past six months,
bonds continue to be relatively attractive given the low inflation scenario.
Last summer's flight to quality, started by Russia's collapse, reversed course
towards the end of the year as hopes for stability returned to the global
financial markets. In particular, Treasury securities lost appeal as a safe
haven as investors returned to other sectors of the bond market and to the stock
market. Brazil's surprise devaluation did not prompt the same flight to quality
that the market had previously experienced.
At the beginning of this year, stronger than expected economic growth and
concern that the Federal Reserve might reverse policy sent bond prices lower
again, as investors feared that higher inflation was on the horizon. While
Treasuries lagged, other sectors of the bond market outperformed. Investment
grade corporate and high yield bonds did better on hopes that domestic economic
strength would continue, and municipal bonds rose as investors took advantage of
their relatively attractive yields. Looking ahead, we see the current U.S.
economic expansion continuing, but at a slower rate as consumer spending
retreats from its currently unsustainable pace. The Federal Reserve will likely
maintain a neutral stance in the face of a moderating economy, subdued
inflation, and relatively calm global financial markets.
In this environment, the bond market is likely to remain stable, with interest
rates moving within a relatively tight range. Over the short-term, bond yields
could move to the lower end of this range as the bond market anticipates a
slower economy. Long-term, with the bull market for bonds relatively over, lower
interest rate volatility will make securities that provide incremental yield
attractive to bond investors.
2 PIMCO Funds
<PAGE>
Stock Market
The Bull Keeps Charging
The stock market rises to new highs.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S & P 500 Index
-----------------
<S> <C>
03/06/1998 1,056
03/13/1998 1,069
03/20/1998 1,099
03/27/1998 1,095
04/03/1998 1,123
04/10/1998 1,111
04/17/1998 1,123
04/24/1998 1,108
05/01/1998 1,121
05/08/1998 1,108
05/15/1998 1,109
05/22/1998 1,110
05/29/1998 1,091
06/05/1998 1,114
06/12/1998 1,099
06/19/1998 1,101
06/26/1998 1,133
07/03/1998 1,146
07/10/1998 1,164
07/17/1998 1,187
07/24/1998 1,141
07/31/1998 1,121
08/07/1998 1,089
08/14/1998 1,063
08/21/1998 1,081
08/28/1998 1,027
09/04/1998 974
09/11/1998 1,010
09/18/1998 1,020
09/25/1998 1,045
10/02/1998 1,003
10/09/1998 984
10/16/1998 1,056
10/23/1998 1,071
10/30/1998 1,099
11/06/1998 1,141
11/13/1998 1,126
11/20/1998 1,164
11/27/1998 1,192
12/04/1998 1,177
12/11/1998 1,166
12/18/1998 1,188
12/25/1998 1,226
01/01/1999 1,229
01/08/1999 1,275
01/15/1999 1,243
01/22/1999 1,225
01/29/1999 1,280
02/05/1999 1,239
02/12/1999 1,230
02/19/1999 1,239
02/26/1999 1,238
03/05/1999 1,275
03/12/1999 1,295
03/19/1999 1,299
03/26/1999 1,283
04/01/1999 1,294
</TABLE>
Source: Bloomberg
The stock market has had a strong year, in spite of the fact that it hit a speed
bump in the third quarter of 1998. Interest rate cuts and a strong economy
ensured that the market continued to rise after this setback, with the Dow
reaching the historic 10,000 mark in the first quarter of 1999. For the year
ended March 31, 1999, the stock market, as measured by the S&P 500 Index, gained
18.5%.
However, these gains were not felt by all of the market. In fact, the market
this year was characterized by narrowness, as only the largest of the large-cap
growth stocks saw strong performance. In fact, the disparity in performance
between large-cap growth-oriented stocks and small-cap value-oriented stocks has
never been greater in the more than 20 years that Morningstar has tracked such
data.
The market was led in large part this year by technology issues. Despite
concerns about overvaluation, technology stocks--and especially Internet
stocks--continued their ascent to new highs. Many technology companies have been
expanding quickly and, in recent years, have offered investors enormous growth
opportunities, which explains their continued popularity. Positive earnings
outlooks and an increased need for technology have also fueled these advances.
Conversely, relatively undervalued issues--known as "value stocks" as well as
small-cap issues, did not partake in the stock market's record rise this year.
Investors ignored dividends in their quest for greater growth, and value stocks
suffered as a result. In addition, investors favored more liquid,
large-capitalization stocks, avoiding smaller, less liquid issues.
Looking ahead, we continue to be cautiously optimistic about the stock market.
While we believe there is a strong possibility of an earnings slow-down in the
coming year, we believe it will not push the market into negative territory but
only temper its upward momemtum. In such an atmosphere, stock selection will be
of utmost importance, and we believe that many attractive opportunities still
exist.
1999 Annual Report 3
<PAGE>
Morningstar Names Bill Gross and his Management Team 1998 Fixed-Income Manager
of the Year
[PHOTO OF BILL GROSS AND HIS MANAGEMENT TEAM APPEARS HERE]
Bill Gross and his management team
Bill Gross, a Managing Director and one of the founders of PIMCO and Portfolio
Manager of several PIMCO Funds including the PIMCO Total Return and Low Duration
Funds, has been named 1998 Fixed-Income Manager of the Year by Morningstar.
Established in 1987, the Morningstar Fund Manager of the Year Award recognizes
portfolio managers who demonstrate excellent investment skill, the courage to
differ from consensus, and the commitment to shareholders necessary to deliver
outstanding long-term performance. The award is bestowed on fund managers in
only three categories: Domestic Equity, Fixed-Income, and International.
Morningstar (1/99) lauded Bill Gross for distinguishing PIMCO "by building a
fixed-income management process that blends discipline and flexibility."
Morningstar explained that PIMCO's investment committee, led by Bill Gross, was
not only able to aggressively take advantage of declining interest rates, but
was also able to shelter shareholders from losses by taking a more defensive
position when needed.
Two of the PIMCO Funds managed by Mr. Gross were highlighted by
Morningstar--PIMCO Total Return Fund, which has ranked in the top half of its
category for 11 consecutive years, and PIMCO Low Duration Fund, which has also
been a strong performer.
Morningstar (1/99) commended Mr. Gross for his acumen and independence: "Making
small, selective plays on undervalued sectors, such as foreign bonds, high-yield
and adjustable rate mortgages, PIMCO has gained an edge with its flexibility. In
contrast, many bond managers either limit returns by sticking with overly narrow
segments of the market or take on excessive risk by loading up on lower-quality
issues such as high-yield bonds."
Overall Morningstar Ratings as of 3/31/99 for Bill Gross' Funds
- --------------------------------------------------------------------------------
PIMCO Total Return Fund *****
- --------------------------------------------------------------------------------
PIMCO Low Duration Fund *****
- --------------------------------------------------------------------------------
PIMCO StocksPLUS Fund *****
- --------------------------------------------------------------------------------
PIMCO Short-Term Fund *****
Past performance is no guarantee of future results. Morningstar proprietary
ratings reflect historical risk-adjusted performance, are subject to change
monthly, and are calculated from the fund's 3-,5-, and 10-year average annual
returns as of March 31, 1999. The ratings are inclusive of appropriate sales
charge adjustments, and a risk factor that reflects a fund's performance below
3-month Treasury bill returns. Ratings are based on Institutional Class shares,
other classes may vary. The top 10% of the funds in a broad asset class receive
5 stars, the next 22.5% receive 4-star ratings. The Total Return Fund received
5-, 4-, and 5-star ratings, the Low Duration Fund received 5-, 5-, and 5- star
ratings and the Short-Term Bond Fund received 5-, 5-, and 4- star ratings out of
1,521, 1048, and 371 taxable bond funds for the 3, 5, & 10-year periods,
respectively. The StocksPLUS Fund received 5-, and 5-star ratings out of 2947
and 1810 Domestic Equity Funds for the 3 and 5-year periods, respectively.
4 PIMCO Funds
<PAGE>
Manager Spotlight
Managing Director and Portfolio Manager
Q&A with William Gross
Bill Gross is a Managing Director and one of the founders of PIMCO. He is also a
portfolio manager of several Pimco Funds including the PIMCO Total Return and
Low Duration Funds. Mr. Gross' views on the financial markets are regularly
featured in The Wall Street Journal, Barron's, Money magazine and The New York
Times. We recently spoke with him regarding his latest outlook for the economy
and the bond market.
[PHOTO APPEARS HERE]
Q: The bond market backed up in the first quarter 1999. What happened?
A: Interest rates rose across all maturities as evidence of U.S. economic
strength heightened concern that the Federal Reserve would raise interest
rates to forestall a resurgence in inflation. Investors reacted to
surprisingly strong economic news, including robust consumer spending and
housing activity. Federal Reserve Chairman Alan Greenspan added to the
concern when he spoke of the need to evaluate whether last year's three
interest rate cuts remain "appropriate" in light of the economy's
performance.
In addition, the turmoil in Brazil, caused by their surprise decision to
devalue their currency in January, did not generate the same flight to
quality rally that the Treasury market experienced last summer when Russia
collapsed. In fact, since the end of September, other segments of the bond
market, like municipals and corporates, have done better than Treasuries as
yield spreads began to shrink back to historical norms.
Q: Is the bull market for bonds over?
A: Yes, I think the end of the historic 18-year bull run ended when long-term
Treasuries fell to 4 3/4% last fall. I don't see us entering a new bull
market phase anytime soon, although in the near-term yields could decline a
bit as the bond market anticipates a slower economy.
Q: Do you think the economy will remain strong in 1999?
A: I expect the current U.S. expansion to continue, albeit at a more moderate
pace than in the fourth quarter of 1998 or the past year as a whole. Consumer
and investment spending will remain positive for the economy, though growth
of each will slow from current high levels. Consumers, confident in the face
of low unemployment and stock market gains, have recently dipped into savings
to finance purchases. We believe this trend is not sustainable and that
consumption will slow as savings return to more normal levels. Investment
spending will grow at a slower pace because capacity utilization remains
relatively low and provides less incentive to make investments.
Q: What is your outlook for inflation?
A: Last year I was quite concerned about the risk of deflation, or falling
prices, here in the U.S. Although I think the risks of a dangerous
deflationary spiral in the U.S. have subsided, many parts of the world,
including Japan, are still fighting its effects on their economies. Going
forward, there is nothing on the horizon that suggests rising prices anytime
soon.
Q: Given your economic outlook, what will happen to interest rates?
A: The Federal Reserve will likely maintain a neutral stance in the face of
moderate growth, subdued inflation, and relatively calm global financial
markets. I think, given these circumstances, we may be entering a period
where interest rates remain stable and range-bound. In this environment
interest rate volatility will decline.
Q: Given this outlook, where do you see opportunities over the next six months?
A: Looking ahead, strategies and securities that provide incremental yield will
be very important to portfolio performance. Therefore, we will target
duration near the benchmark and focus on adding value by maximizing yield
without adding significant risk. We will continue to own mortgages as one
prudent way of doing this.
Past performance is no guarantee of future results. The views of Mr. Gross
are not indicative of the past or future performance of any PIMCO Fund.
1999 Annual Report 5
<PAGE>
Preparing for the Year 2000
[ARTWORK APPEARS HERE]
Y2K
There has been much written about the potential pitfalls associated with the
Year 2000--or Y2K. We would like to take this opportunity to provide you with an
update on how PIMCO is addressing this issue.
The firm is implementing its Year 2000 preparedness plan. This plan has been
reviewed and approved by upper management and the firm's management board. The
plan includes awareness, inventory, assessment, implementation, testing and
contingency planning. This includes a compliance review of the Y2K preparedness
of all our major external business partners. Based on our review and analysis of
the situation, we believe we have allocated necessary staffing and funding for
the project.
We expect all of our internal systems to be tested in advance of the Year 2000.
Portfolio Implications
Investment analysts and portfolio managers are aware of the Year 2000 risk.
Due to pervasive and world-wide nature of the Year 2000 problem, PIMCO cannot
guarantee that its operations will be unaffected by Y2K and that no losses will
be incurred by clients. However, PIMCO believes that its Year 2000 efforts are
reasonably designed to meet these goals.
If you have any questions regarding our Year 2000 preparedness, please write to
us at:
PIMCO Advisors Y2K Project Officer
800 Newport Center Drive
Newport Beach, California 92660.
This is a Year 2000 readiness disclosure.
6 PIMCO Funds
<PAGE>
PIMCO Total Return Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment grade bonds.
Duration:
4.66 years
Total Net Assets:
$26,125 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 42.6%
Corporate Bonds and Notes 29.3%
U.S. Treasury Obligations 10.1%
Short-Term Instruments 6.2%
Asset-Backed Securities 4.6%
Other 7.2%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 62.3%
AA 7.0%
A 18.0%
BBB 6.0%
BB 6.6%
B 0.1%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Intermediate
Inst'l Class Admin. Class Lehman Brothers Investment Grade
(Incep. 5/11/1987) (Incep. 9/7/1994) Aggregate Bond Index Debt Fund Average
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 7.60% 7.33% 6.49% 5.15%
3 Years* 8.91% 8.64% 7.75% 6.84%
5 Years* 8.40% -- 7.79% 6.86%
10 Years* 10.13% -- 9.08% 8.22%
Since Inception* 9.63% 8.92% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Brothers
Total Aggregate
Return Bond
Month Fund Index
<S> <C> <C>
05/31/87 5,000,000 5,000,000
06/30/87 5,063,956 5,068,813
07/31/87 5,051,390 5,064,918
08/31/87 5,039,534 5,037,815
09/30/87 4,913,547 4,930,538
10/31/87 5,070,060 5,106,141
11/30/87 5,107,024 5,147,040
12/31/87 5,153,726 5,217,151
01/31/88 5,364,621 5,400,545
02/29/88 5,425,978 5,464,652
03/31/88 5,377,483 5,413,367
04/30/88 5,349,895 5,384,153
05/31/88 5,323,746 5,347,962
06/30/88 5,451,097 5,476,986
07/31/88 5,444,079 5,448,260
08/31/88 5,470,463 5,462,542
09/30/88 5,574,381 5,586,211
10/31/88 5,662,479 5,691,379
11/30/88 5,612,027 5,622,241
12/31/88 5,637,131 5,628,571
01/31/89 5,706,918 5,709,556
02/28/89 5,670,892 5,668,171
03/31/89 5,697,790 5,692,677
04/30/89 5,825,551 5,811,802
05/31/89 5,967,305 5,964,522
06/30/89 6,168,244 6,146,131
07/31/89 6,298,843 6,276,779
08/31/89 6,190,418 6,183,783
09/30/89 6,221,536 6,215,431
10/31/89 6,371,017 6,368,476
11/30/89 6,426,949 6,429,174
12/31/89 6,440,083 6,446,378
01/31/90 6,332,594 6,369,774
02/28/90 6,349,652 6,390,386
03/31/90 6,344,778 6,395,092
04/30/90 6,255,058 6,336,504
05/31/90 6,460,283 6,524,117
06/30/90 6,569,705 6,628,798
07/31/90 6,676,661 6,720,495
08/31/90 6,571,662 6,630,745
09/30/90 6,578,458 6,685,601
10/31/90 6,669,789 6,770,482
11/30/90 6,838,024 6,916,223
12/31/90 6,958,354 7,023,987
01/31/91 7,027,903 7,110,815
02/28/91 7,126,178 7,171,514
03/31/91 7,216,808 7,220,852
04/30/91 7,335,070 7,299,078
05/31/91 7,390,178 7,341,762
06/30/91 7,401,768 7,338,029
07/31/91 7,508,521 7,439,788
08/31/91 7,712,232 7,600,786
09/30/91 7,894,694 7,754,804
10/31/91 7,975,769 7,841,145
11/30/91 8,045,044 7,913,042
12/31/91 8,319,147 8,148,046
01/31/92 8,251,437 8,037,198
02/29/92 8,323,957 8,089,457
03/31/92 8,292,135 8,043,852
04/30/92 8,335,850 8,101,954
05/31/92 8,508,487 8,254,836
06/30/92 8,616,472 8,368,443
07/31/92 8,827,524 8,539,178
08/31/92 8,902,987 8,625,682
09/30/92 9,043,980 8,727,928
10/31/92 8,965,037 8,612,211
11/30/92 8,972,362 8,614,159
12/31/92 9,129,278 8,751,136
01/31/93 9,297,750 8,918,950
02/28/93 9,504,901 9,075,078
03/31/93 9,560,206 9,112,893
04/30/93 9,643,848 9,176,350
05/31/93 9,666,306 9,188,036
06/30/93 9,876,645 9,354,551
07/31/93 9,937,133 9,407,459
08/31/93 10,163,538 9,572,351
09/30/93 10,204,890 9,598,643
10/31/93 10,277,472 9,634,511
11/30/93 10,187,745 9,552,551
12/31/93 10,271,501 9,604,324
01/31/94 10,396,445 9,733,998
02/28/94 10,210,928 9,564,886
03/31/94 9,995,399 9,329,070
04/30/94 9,896,929 9,254,577
05/31/94 9,850,224 9,253,278
06/30/94 9,814,015 9,232,829
07/31/94 10,015,509 9,416,223
08/31/94 10,044,623 9,427,908
09/30/94 9,917,753 9,289,146
10/31/94 9,906,083 9,280,869
11/30/94 9,907,443 9,260,257
12/31/94 9,904,417 9,324,202
01/31/95 10,082,267 9,508,731
02/28/95 10,319,048 9,734,809
03/31/95 10,417,456 9,794,534
04/30/95 10,600,658 9,931,349
05/31/95 10,936,213 10,315,665
06/30/95 10,929,713 10,391,294
07/31/95 10,936,311 10,368,086
08/31/95 11,105,123 10,493,216
09/30/95 11,244,355 10,595,300
10/31/95 11,415,091 10,733,089
11/30/95 11,662,396 10,893,924
12/31/95 11,863,138 11,046,806
01/31/96 11,960,385 11,120,164
02/29/96 11,668,778 10,926,870
03/31/96 11,578,391 10,850,915
04/30/96 11,530,294 10,789,892
05/31/96 11,499,480 10,767,982
06/30/96 11,683,873 10,912,588
07/31/96 11,714,500 10,942,450
08/31/96 11,704,501 10,924,111
09/30/96 11,973,193 11,114,483
10/31/96 12,284,300 11,360,686
11/30/96 12,575,406 11,555,278
12/31/96 12,419,446 11,447,838
01/31/97 12,465,678 11,482,894
02/28/97 12,494,013 11,511,458
03/31/97 12,342,925 11,383,894
04/30/97 12,565,728 11,554,304
05/31/97 12,694,757 11,663,529
06/30/97 12,843,894 11,801,967
07/31/97 13,203,071 12,120,229
08/31/97 13,089,168 12,016,846
09/30/97 13,301,627 12,194,073
10/31/97 13,461,510 12,370,975
11/30/97 13,523,400 12,427,941
12/31/97 13,681,812 12,553,071
01/31/98 13,893,968 12,714,230
02/28/98 13,855,371 12,704,087
03/31/98 13,902,211 12,748,312
04/30/98 13,957,191 12,814,853
05/31/98 14,119,833 12,936,413
06/30/98 14,257,594 13,046,124
07/31/98 14,305,551 13,073,877
08/31/98 14,533,176 13,286,646
09/30/98 14,969,015 13,597,767
10/31/98 14,869,808 13,525,870
11/30/98 14,925,950 13,602,636
12/31/98 15,018,914 13,643,534
01/31/99 15,109,171 13,740,911
02/28/99 14,831,091 13,501,039
03/31/99 14,958,503 13,575,857
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/1/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 9/7/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Fund's Institutional Class shares outperformed the benchmark
Lehman Brothers Aggregate Bond Index for the 12-month period ended March 31,
1999, returning 7.60% versus 6.49% for the benchmark.
. The Fund's duration was held longer than the benchmark, which added to
returns as Treasury yields fell in response to low inflation and a flight to
safe assets amid extreme financial market volatility in the latter part of
1998.
. The Fund's concentration in intermediate maturities for much of the period
was a positive as the Fund was appropriately positioned to benefit from a
steeper yield curve.
. The Fund's overweight of the mortgage sector was modestly positive for
returns during the period. Falling interest rates detracted from the sector's
overall performance, leading investors to anticipate higher prepayments.
However, the Fund's concentration on lower-coupon, less prepayment-sensitive
mortgages helped mitigate this impact.
. The Fund's underweight of the corporate sector benefited returns as corporate
yield premiums widened in response to more unstable financial markets in late
1998.
. Limited positions in dollar-denominated emerging market and non-investment
grade bonds detracted from performance as yield premiums relative to
Treasuries widened.
. The Fund's modest holdings of hedged non-U.S. dollar bonds was positive as
these markets generally benefited from falling interest rates and central
bank easing to stimulate struggling economies.
1999 Annual Report 7
<PAGE>
PIMCO Total Return Fund II
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment grade bonds with quality and foreign
issuer restrictions.
Duration:
4.74 years
Total Net Assets:
$1,041 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 48.9%
Corporate Bonds and Notes 35.8%
Asset-Backed Securities 7.2%
U.S. Treasury Obligations 4.6%
Other 3.5%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 63.3%
AA 10.6%
A 22.3%
BBB 3.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Intermediate
Inst'l Class Admin. Class Lehman Brothers Investment Grade
(Incep. 12/30/1991) (Incep. 11/30/1994) Aggregate Bond Index Debt Fund Average
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 7.46% 7.19% 6.49% 5.15%
3 Years* 8.50% 8.23% 7.75% 6.84%
5 Years* 8.27% -- 7.79% 6.86%
Since Inception* 8.11% 9.41% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Brothers
Total Aggregate
Return Bond
Month Fund II Index
<S> <C> <C>
12/31/91 5,000,000 5,000,000
01/31/92 4,929,716 4,931,979
02/29/92 4,951,937 4,964,047
03/31/92 4,937,873 4,936,062
04/30/92 4,963,257 4,971,716
05/31/92 5,075,312 5,065,531
06/30/92 5,149,979 5,135,245
07/31/92 5,309,040 5,240,016
08/31/92 5,355,136 5,293,098
09/30/92 5,437,041 5,355,841
10/31/92 5,367,337 5,284,832
11/30/92 5,383,727 5,286,027
12/31/92 5,471,600 5,370,083
01/31/93 5,579,371 5,473,060
02/28/93 5,705,377 5,568,868
03/31/93 5,719,997 5,592,073
04/30/93 5,793,075 5,631,013
05/31/93 5,790,801 5,638,183
06/30/93 5,920,354 5,740,365
07/31/93 5,952,711 5,772,831
08/31/93 6,070,915 5,874,017
09/30/93 6,093,002 5,890,150
10/31/93 6,109,820 5,912,160
11/30/93 6,049,436 5,861,866
12/31/93 6,067,802 5,893,636
01/31/94 6,149,761 5,973,210
02/28/94 6,050,676 5,869,435
03/31/94 5,910,178 5,724,729
04/30/94 5,870,870 5,679,016
05/31/94 5,858,460 5,678,219
06/30/94 5,845,104 5,665,671
07/31/94 5,977,463 5,778,209
08/31/94 5,984,657 5,785,380
09/30/94 5,896,835 5,700,229
10/31/94 5,889,838 5,695,150
11/30/94 5,888,896 5,682,502
12/31/94 5,933,421 5,721,741
01/31/95 6,043,232 5,834,977
02/28/95 6,182,752 5,973,708
03/31/95 6,223,522 6,010,358
04/30/95 6,299,808 6,094,313
05/31/95 6,523,923 6,330,146
06/30/95 6,551,569 6,376,556
07/31/95 6,507,691 6,362,315
08/31/95 6,628,805 6,439,100
09/30/95 6,717,353 6,501,743
10/31/95 6,829,613 6,586,296
11/30/95 6,952,671 6,684,992
12/31/95 7,059,284 6,778,807
01/31/96 7,096,875 6,823,822
02/29/96 6,956,380 6,705,209
03/31/96 6,882,877 6,658,600
04/30/96 6,829,282 6,621,153
05/31/96 6,805,776 6,607,708
06/30/96 6,917,299 6,696,445
07/31/96 6,933,266 6,714,769
08/31/96 6,916,233 6,703,516
09/30/96 7,079,837 6,820,337
10/31/96 7,268,469 6,971,417
11/30/96 7,416,019 7,090,828
12/31/96 7,331,446 7,024,898
01/31/97 7,372,632 7,046,410
02/28/97 7,387,727 7,063,938
03/31/97 7,305,831 6,985,659
04/30/97 7,418,069 7,090,230
05/31/97 7,488,383 7,157,255
06/30/97 7,571,276 7,242,207
07/31/97 7,808,619 7,437,506
08/31/97 7,730,081 7,374,066
09/30/97 7,837,156 7,482,820
10/31/97 7,950,092 7,591,375
11/30/97 7,972,129 7,626,332
12/31/97 8,063,867 7,703,117
01/31/98 8,181,882 7,802,012
02/28/98 8,157,419 7,795,787
03/31/98 8,181,806 7,822,926
04/30/98 8,222,040 7,863,759
05/31/98 8,310,019 7,938,353
06/30/98 8,398,686 8,005,677
07/31/98 8,417,371 8,022,707
08/31/98 8,634,608 8,153,272
09/30/98 8,863,669 8,344,189
10/31/98 8,784,161 8,300,070
11/30/98 8,790,237 8,347,177
12/31/98 8,840,354 8,372,274
01/31/99 8,895,775 8,432,029
02/28/99 8,717,208 8,284,832
03/31/99 8,791,829 8,330,744
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/1/1992, the first full month following the Fund's
Institutional Class inception on 12/30/1991, compared to the Lehman Brothers
Aggregate Bond Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 11/30/1994.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Fund II delivered strong performance for the fiscal year
ended March 31, 1999, with the Fund's Institutional Class shares returning
7.46% compared to 6.49% for the Lehman Brothers Aggregate Bond Index.
. The Fund's above-benchmark duration added to returns as Treasury yields fell
in response to low inflation and a flight to safe assets amid extreme
financial market volatility in the latter part of 1998.
. The Fund's focus on intermediate maturity issues for much of the period
enhanced returns as the Fund was appropriately positioned to benefit from a
steeper yield curve.
. The Fund's overweight of the mortgage sector was modestly positive for
returns. Lower interest rates detracted from the sector's overall
performance, leading investors to anticipate higher prepayments. However, the
Fund's concentration on lower-coupon, less prepayment-sensitive mortgages
helped lessen this impact.
. The Fund's underweight of the corporate sector benefited returns as yield
premiums relative to Treasuries widened in response to more unstable
financial markets in late 1998.
8 PIMCO Funds
<PAGE>
PIMCO Total Return Fund III
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term investment grade bonds with prohibitions on firms
engaged in socially sensitive practices.
Duration:
4.56 years
Total Net Assets:
$490 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 52.5%
Corporate Bonds and Notes 28.6%
Short-Term Instruments 4.7%
U.S. Treasury Obligations 4.7%
Other 9.5%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 65.9%
AA 4.4%
A 12.9%
BBB 8.1%
BB 8.6%
B 0.1%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Intermediate
Inst'l Class Admin. Class Lehman Brothers Investment Grade
(Incep. 5/1/1991) (Incep. 4/11/1997) Aggregate Bond Index Debt Fund Average
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 8.20% 7.93% 6.49% 5.15%
3 Years* 9.16% -- 7.75% 6.84%
5 Years* 8.48% -- 7.79% 6.86%
Since Inception* 9.43% 10.33% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Total Brothers
Month Return Aggregate
Fund III Bond
Index
<S> <C> <C>
04/30/91 5,000,000 5,000,000
05/31/91 5,024,573 5,029,239
06/30/91 5,011,360 5,026,682
07/31/91 5,091,347 5,096,389
08/31/91 5,231,902 5,206,675
09/30/91 5,362,299 5,312,180
10/31/91 5,419,024 5,371,326
11/30/91 5,475,902 5,420,576
12/31/91 5,687,512 5,581,558
01/31/92 5,605,239 5,505,625
02/29/92 5,649,578 5,541,424
03/31/92 5,621,306 5,510,184
04/30/92 5,643,874 5,549,984
05/31/92 5,752,958 5,654,712
06/30/92 5,844,833 5,732,534
07/31/92 6,028,857 5,849,491
08/31/92 6,069,916 5,908,747
09/30/92 6,112,922 5,978,788
10/31/92 6,061,053 5,899,520
11/30/92 6,110,005 5,900,854
12/31/92 6,200,947 5,994,686
01/31/93 6,262,534 6,109,641
02/28/93 6,404,215 6,216,592
03/31/93 6,434,449 6,242,496
04/30/93 6,497,518 6,285,965
05/31/93 6,501,189 6,293,970
06/30/93 6,644,496 6,408,036
07/31/93 6,697,102 6,444,279
08/31/93 6,880,114 6,557,233
09/30/93 6,894,099 6,575,243
10/31/93 6,957,037 6,599,813
11/30/93 6,917,372 6,543,670
12/31/93 6,984,685 6,579,135
01/31/94 7,060,374 6,667,964
02/28/94 6,937,795 6,552,119
03/31/94 6,797,242 6,390,581
04/30/94 6,731,751 6,339,552
05/31/94 6,676,376 6,338,662
06/30/94 6,681,328 6,324,654
07/31/94 6,815,349 6,450,282
08/31/94 6,830,651 6,458,287
09/30/94 6,760,588 6,363,232
10/31/94 6,777,181 6,357,562
11/30/94 6,726,341 6,343,443
12/31/94 6,745,188 6,387,246
01/31/95 6,870,185 6,513,652
02/28/95 7,076,265 6,668,520
03/31/95 7,131,606 6,709,432
04/30/95 7,251,354 6,803,153
05/31/95 7,479,227 7,066,416
06/30/95 7,468,982 7,118,224
07/31/95 7,469,280 7,102,326
08/31/95 7,577,254 7,188,042
09/30/95 7,661,664 7,257,971
10/31/95 7,778,032 7,352,359
11/30/95 7,920,241 7,462,534
12/31/95 8,042,735 7,567,261
01/31/96 8,110,490 7,617,512
02/29/96 7,917,045 7,485,103
03/31/96 7,848,991 7,433,072
04/30/96 7,813,232 7,391,271
05/31/96 7,795,663 7,376,262
06/30/96 7,938,312 7,475,319
07/31/96 7,953,817 7,495,775
08/31/96 7,937,131 7,483,213
09/30/96 8,134,267 7,613,621
10/31/96 8,353,533 7,782,274
11/30/96 8,530,260 7,915,573
12/31/96 8,415,107 7,841,975
01/31/97 8,452,273 7,865,989
02/28/97 8,465,767 7,885,556
03/31/97 8,379,284 7,798,172
04/30/97 8,523,528 7,914,906
05/31/97 8,625,020 7,989,727
06/30/97 8,714,471 8,084,560
07/31/97 8,945,988 8,302,575
08/31/97 8,888,809 8,231,756
09/30/97 9,006,608 8,353,160
10/31/97 9,140,798 8,474,341
11/30/97 9,172,684 8,513,363
12/31/97 9,274,215 8,599,079
01/31/98 9,418,706 8,709,477
02/28/98 9,404,616 8,702,528
03/31/98 9,436,938 8,732,823
04/30/98 9,472,905 8,778,405
05/31/98 9,559,386 8,861,676
06/30/98 9,655,888 8,936,830
07/31/98 9,697,309 8,955,841
08/31/98 9,843,713 9,101,592
09/30/98 10,148,628 9,314,715
10/31/98 10,097,948 9,265,464
11/30/98 10,154,614 9,318,050
12/31/98 10,237,306 9,346,067
01/31/99 10,291,019 9,412,772
02/28/99 10,083,482 9,248,455
03/31/99 10,210,751 9,299,706
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 5/1/1991, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Aggregate Bond Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 4/11/1997. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHT
- --------------------------------------------------------------------------------
. The Total Return Fund III Institutional Class shares strongly outperformed
the Lehman Brothers Aggregate Bond Index for the fiscal year ended March 31,
1999, returning 8.20% versus 6.49% for the benchmark.
. The Fund's duration was longer than the benchmark, which benefited returns as
Treasury yields fell in response to low inflation and a flight to safe assets
amid extreme financial market volatility in the latter part of 1998.
. The Fund's concentration in intermediate maturities for much of the period
was a positive as the Fund was appropriately positioned to benefit from a
steeper yield curve.
. The Fund's overweight of the mortgage sector was modestly positive. Falling
interest rates detracted from the mortgage sector's overall performance,
leading investors to anticipate higher prepayments. However, the Fund's
holdings of lower-coupon, less prepayment-sensitive mortgages helped soften
this impact.
. The Fund's underweight of the corporate sector benefited returns as corporate
yield premiums widened in response to more unstable financial markets in late
1998.
. Limited positions in dollar-denominated emerging market and non-investment
grade bonds detracted from performance as yield premiums relative to
Treasuries widened.
1999 Annual Report 9
<PAGE>
PIMCO Moderate Duration Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily short- and intermediate-term investment grade bonds.
Duration:
3.99 years
Total Net Assets:
$317 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 51.5%
Corporate Bonds and Notes 23.4%
Short-Term Instruments 9.8%
Sovereign Issues 7.5%
U.S. Treasury Obligations 5.1%
Other 2.7%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 64.2%
AA 10.6%
A 8.7%
BBB 8.0%
BB 8.5%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
Lehman Brothers Lipper Short
Inst'l Class Intermediate Government/ Intermediate Grade
(Incep. 12/31/1996) Corporate Bond Index Debt Fund Average
- --------------------------------------------------------------------------------
1 Year 6.70% 6.56% 5.36%
Since Inception* 7.18% -- --
* Annualized
Cumulative Returns Through March 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Brothers
Moderate Intermed.
Month Duration Gov't/
Fund Corporate
Bond
Index
<S> <C> <C>
12/31/96 5,000,000 5,000,000
01/31/97 5,018,573 5,019,499
02/28/97 5,025,671 5,029,037
03/31/97 4,987,552 4,994,337
04/30/97 5,045,822 5,053,270
05/31/97 5,078,973 5,095,212
06/30/97 5,141,280 5,141,578
07/31/97 5,240,626 5,245,952
08/31/97 5,220,094 5,219,722
09/30/97 5,282,529 5,280,271
10/31/97 5,331,654 5,338,882
11/30/97 5,354,915 5,350,628
12/31/97 5,398,734 5,393,432
01/31/98 5,454,128 5,464,087
02/28/98 5,448,868 5,459,715
03/31/98 5,476,199 5,477,186
04/30/98 5,507,779 5,504,572
05/31/98 5,547,118 5,544,756
06/30/98 5,574,030 5,580,242
07/31/98 5,603,136 5,599,773
08/31/98 5,657,953 5,687,689
09/30/98 5,812,116 5,830,450
10/31/98 5,807,792 5,824,620
11/30/98 5,807,850 5,824,037
12/31/98 5,837,909 5,847,334
01/31/99 5,869,063 5,879,494
02/28/99 5,778,416 5,793,065
03/31/99 5,842,985 5,836,513
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Intermediate Government/Corporate Bond
Index, an unmanaged market index. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Moderate Duration Fund returned 6.70%, outperforming the benchmark Lehman
Brothers Intermediate Government/Corporate Bond Index of 6.56% for the fiscal
year ended March 31, 1999.
. Positives for the Fund included an above-benchmark duration that boosted
returns significantly as interest rates declined with falling inflation and
world financial market turmoil.
. Concentrating on intermediate maturities contributed to the Fund's relative
performance as these securities were well positioned to benefit from a
steepening yield curve.
. The Fund's substantial allocation to mortgage-backed bonds detracted from
returns as prepayment concerns heightened with falling interest rates. The
Adviser's focus on lower-coupon, less prepayment-sensitive mortgages,
however, mitigated much of this impact.
. Underweighting the corporate sector helped relative returns as yield premiums
widened relative to Treasuries in response to volatile global financial
markets.
. The Fund's conservative allocation to currency-hedged, non-U.S. holdings in
developed markets was positive due to declining interest rates in many of
these markets.
. Limited holdings of U.S. dollar-denominated emerging market and
non-investment grade bonds experienced price declines in a turbulent global
market environment.
10 PIMCO Funds
<PAGE>
PIMCO Low Duration Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds.
Duration:
2.59 years
Total Net Assets:
$3,871 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 53.5%
Corporate Bonds and Notes 31.4%
U.S. Treasury Obligations 3.7%
Sovereign Issues 3.1%
Other 8.3%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 63.2%
AA 7.3%
A 11.7%
BBB 10.0%
BB 7.5%
B 0.3%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Short
Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade
(Incep. 5/11/1987) (Incep. 12/31/1994) Year Treasury Index Debt Fund Average
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 6.35% 6.09% 6.08% 5.13%
3 Years* 7.44% 7.17% 6.30% 5.75%
5 Years* 6.99% -- 6.22% 5.69%
10 Years* 8.25% -- 7.30% 6.96%
Since Inception* 8.12% 7.77% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Merrill
Lynch
Low 1-3 Year
Month Duration Treasury
Fund Index
<S> <C> <C>
05/31/87 5,000,000 5,000,000
06/30/87 5,046,628 5,054,486
07/31/87 5,065,090 5,079,247
08/31/87 5,064,335 5,083,277
09/30/87 5,052,060 5,063,694
10/31/87 5,133,989 5,175,497
11/30/87 5,191,951 5,206,753
12/31/87 5,222,390 5,239,924
01/31/88 5,308,798 5,323,917
02/29/88 5,347,411 5,367,579
03/31/88 5,380,986 5,378,053
04/30/88 5,403,325 5,385,796
05/31/88 5,415,511 5,378,103
06/30/88 5,466,198 5,433,788
07/31/88 5,495,264 5,437,868
08/31/88 5,517,425 5,449,457
09/30/88 5,568,286 5,512,752
10/31/88 5,619,832 5,567,754
11/30/88 5,626,975 5,552,801
12/31/88 5,652,043 5,565,872
01/31/89 5,699,277 5,609,584
02/28/89 5,708,130 5,609,468
03/31/89 5,730,286 5,635,162
04/30/89 5,798,151 5,721,387
05/31/89 5,917,401 5,806,895
06/30/89 6,046,639 5,915,301
07/31/89 6,135,363 6,002,808
08/31/89 6,107,180 5,965,890
09/30/89 6,137,963 6,001,276
10/31/89 6,219,093 6,091,880
11/30/89 6,275,483 6,149,263
12/31/89 6,307,554 6,173,858
01/31/90 6,303,536 6,178,987
02/28/90 6,346,767 6,207,779
03/31/90 6,381,164 6,228,694
04/30/90 6,377,250 6,240,900
05/31/90 6,484,898 6,336,383
06/30/90 6,554,775 6,403,041
07/31/90 6,626,735 6,482,955
08/31/90 6,639,802 6,502,338
09/30/90 6,676,368 6,555,691
10/31/90 6,724,978 6,627,712
11/30/90 6,805,177 6,692,922
12/31/90 6,878,682 6,774,101
01/31/91 6,942,193 6,836,151
02/28/91 6,997,644 6,876,758
03/31/91 7,057,271 6,923,107
04/30/91 7,143,402 6,988,670
05/31/91 7,199,368 7,030,881
06/30/91 7,245,425 7,059,426
07/31/91 7,325,646 7,120,914
08/31/91 7,430,571 7,218,612
09/30/91 7,527,775 7,296,718
10/31/91 7,593,269 7,375,086
11/30/91 7,675,305 7,451,712
12/31/91 7,804,629 7,565,276
01/31/92 7,811,724 7,553,701
02/29/92 7,850,357 7,579,762
03/31/92 7,854,905 7,577,109
04/30/92 7,910,379 7,646,439
05/31/92 7,990,995 7,716,175
06/30/92 8,065,552 7,794,942
07/31/92 8,172,756 7,882,416
08/31/92 8,227,543 7,951,624
09/30/92 8,309,644 8,027,323
10/31/92 8,312,516 7,979,320
11/30/92 8,317,418 7,966,313
12/31/92 8,404,634 8,041,993
01/31/93 8,484,134 8,125,469
02/28/93 8,584,735 8,194,941
03/31/93 8,633,491 8,219,527
04/30/93 8,674,838 8,270,487
05/31/93 8,685,036 8,247,329
06/30/93 8,771,815 8,308,113
07/31/93 8,802,074 8,327,387
08/31/93 8,888,391 8,400,002
09/30/93 8,922,962 8,427,302
10/31/93 8,984,843 8,443,819
11/30/93 8,993,553 8,445,931
12/31/93 9,056,846 8,477,097
01/31/94 9,106,228 8,531,519
02/28/94 9,066,980 8,477,003
03/31/94 9,027,600 8,434,789
04/30/94 8,998,069 8,404,930
05/31/94 8,988,338 8,416,864
06/30/94 9,007,246 8,441,778
07/31/94 9,091,298 8,514,377
08/31/94 9,129,999 8,544,348
09/30/94 9,116,482 8,524,952
10/31/94 9,115,926 8,544,133
11/30/94 9,118,176 8,506,026
12/31/94 9,113,801 8,525,250
01/31/95 9,198,589 8,643,921
02/28/95 9,314,539 8,762,689
03/31/95 9,352,866 8,811,585
04/30/95 9,470,326 8,890,096
05/31/95 9,642,739 9,045,405
06/30/95 9,692,391 9,094,070
07/31/95 9,696,402 9,131,718
08/31/95 9,802,372 9,186,053
09/30/95 9,890,345 9,230,697
10/31/95 9,964,908 9,308,604
11/30/95 10,081,178 9,390,892
12/31/95 10,201,089 9,463,014
01/31/96 10,276,453 9,543,450
02/29/96 10,210,333 9,503,081
03/31/96 10,206,317 9,494,623
04/30/96 10,210,668 9,502,599
05/31/96 10,220,903 9,522,079
06/30/96 10,324,796 9,590,448
07/31/96 10,360,157 9,628,235
08/31/96 10,411,622 9,661,259
09/30/96 10,559,003 9,748,888
10/31/96 10,711,509 9,858,660
11/30/96 10,856,335 9,934,177
12/31/96 10,827,172 9,934,177
01/31/97 10,917,928 9,980,768
02/28/97 10,962,362 10,003,723
03/31/97 10,918,161 9,999,822
04/30/97 11,051,403 10,081,520
05/31/97 11,144,606 10,150,277
06/30/97 11,232,679 10,220,213
07/31/97 11,414,133 10,332,533
08/31/97 11,408,378 10,342,038
09/30/97 11,508,994 10,420,534
10/31/97 11,594,791 10,497,958
11/30/97 11,628,837 10,523,470
12/31/97 11,718,950 10,595,345
01/31/98 11,808,398 10,698,225
02/28/98 11,849,111 10,707,426
03/31/98 11,900,389 10,751,006
04/30/98 11,965,788 10,801,320
05/31/98 12,042,787 10,858,892
06/30/98 12,072,222 10,915,357
07/31/98 12,130,281 10,966,441
08/31/98 12,177,935 11,104,289
09/30/98 12,426,371 11,251,422
10/31/98 12,407,993 11,306,666
11/30/98 12,480,576 11,296,829
12/31/98 12,558,314 11,336,708
01/31/99 12,614,507 11,381,600
02/28/99 12,548,547 11,326,059
03/31/99 12,656,332 11,404,775
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/1/1987, the first full month following the Fund's
Institutional Class inception on 5/11/1987, compared to the Merrill Lynch 1-3
Year Treasury Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 12/31/1994. The Fund may invest in foreign securities
which involve potentially higher risks including foreign currency fluctuations
and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Low Duration Fund's Institutional Class shares returned 6.35% for the
year ended March 31, 1999, outperforming the 6.08% return of the benchmark
Merrill Lynch 1-3 Year Treasury Index.
. The Fund maintained an above-index duration throughout the period, which
increased returns as interest rates declined by approximately 0.50% to 0.70%
on short- to intermediate-maturity instruments.
. Concentrating on maturities longer than the benchmark hindered relative
performance as these yields declined less.
. The Fund's substantial allocation to mortgage-backed bonds had limited impact
on returns. Falling interest rates led to concern over increased prepayments,
depressing prices. Despite this environment, the Fund`s holdings of
lower-coupon, less prepayment-sensitive mortgages faired better than the
sector as a whole.
. Corporate sector holdings helped returns relative to the all-Treasury
benchmark as yield premiums narrowed due to reduced market uncertainty and
sustained corporate profits
. The Fund's limited allocation to currency-hedged, non-U.S. holdings in
developed markets was modestly positive because of higher relative yields and
price gains from interest rate cuts.
. Limited holdings of U.S. dollar-denominated emerging market and
non-investment grade bonds experienced price declines in a turbulent global
market environment.
1999 Annual Report 11
<PAGE>
PIMCO Low Duration Fund II
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds with quality and foreign issuer
restrictions.
Duration:
2.39 years
Total Net Assets:
$437 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 67.9%
Corporate Bonds and Notes 28.0%
Other 4.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 71.8%
AA 7.0%
A 21.2%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Short
Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade
(Incep. 11/1/1991) (Incep. 2/2/1998) Year Treasury Index Debt Fund Average
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 5.89% 5.63% 6.08% 5.13%
3 Years* 6.83% -- 6.30% 5.75%
5 Years* 6.52% -- 6.22% 5.69%
Since Inception 6.45%* 5.38% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Merrill
Lynch
Low 1-3 Year
Month Duration Treasury
Fund II Index
<S> <C> <C>
10/31/91 5,000,000 5,000,000
11/30/91 5,070,496 5,051,950
12/31/91 5,150,788 5,128,941
01/31/92 5,126,506 5,121,094
02/29/92 5,159,358 5,138,762
03/31/92 5,157,326 5,136,964
04/30/92 5,197,109 5,183,966
05/31/92 5,240,589 5,231,244
06/30/92 5,302,476 5,284,645
07/31/92 5,355,736 5,343,949
08/31/92 5,377,728 5,390,869
09/30/92 5,426,036 5,442,189
10/31/92 5,423,401 5,409,645
11/30/92 5,417,545 5,400,827
12/31/92 5,471,783 5,452,135
01/31/93 5,544,427 5,508,728
02/28/93 5,600,313 5,555,828
03/31/93 5,619,040 5,572,496
04/30/93 5,660,962 5,607,045
05/31/93 5,649,149 5,591,344
06/30/93 5,710,514 5,632,553
07/31/93 5,724,808 5,645,621
08/31/93 5,775,444 5,694,851
09/30/93 5,794,689 5,713,359
10/31/93 5,802,333 5,724,557
11/30/93 5,799,743 5,725,988
12/31/93 5,831,720 5,747,117
01/31/94 5,872,093 5,784,014
02/28/94 5,850,184 5,747,054
03/31/94 5,796,320 5,718,434
04/30/94 5,779,212 5,698,191
05/31/94 5,767,710 5,706,282
06/30/94 5,772,326 5,723,172
07/31/94 5,831,607 5,772,392
08/31/94 5,826,033 5,792,711
09/30/94 5,810,813 5,779,561
10/31/94 5,821,529 5,792,565
11/30/94 5,828,521 5,766,731
12/31/94 5,850,354 5,779,763
01/31/95 5,935,515 5,860,217
02/28/95 6,029,620 5,940,737
03/31/95 6,074,370 5,973,886
04/30/95 6,107,608 6,027,114
05/31/95 6,211,631 6,132,407
06/30/95 6,235,805 6,165,399
07/31/95 6,243,368 6,190,923
08/31/95 6,297,641 6,227,760
09/30/95 6,346,020 6,258,027
10/31/95 6,405,255 6,310,844
11/30/95 6,478,110 6,366,632
12/31/95 6,539,804 6,415,528
01/31/96 6,580,351 6,470,061
02/29/96 6,535,860 6,442,692
03/31/96 6,518,000 6,436,958
04/30/96 6,505,764 6,442,365
05/31/96 6,502,485 6,455,572
06/30/96 6,575,782 6,501,923
07/31/96 6,606,321 6,527,541
08/31/96 6,630,457 6,549,930
09/30/96 6,719,145 6,609,338
10/31/96 6,816,464 6,683,760
11/30/96 6,887,004 6,734,957
12/31/96 6,881,011 6,734,957
01/31/97 6,918,655 6,766,544
02/28/97 6,946,342 6,782,107
03/31/97 6,930,530 6,779,461
04/30/97 6,993,758 6,834,850
05/31/97 7,044,400 6,881,464
06/30/97 7,099,424 6,928,877
07/31/97 7,200,340 7,005,026
08/31/97 7,201,737 7,011,470
09/30/97 7,257,640 7,064,687
10/31/97 7,324,878 7,117,177
11/30/97 7,343,098 7,134,473
12/31/97 7,405,208 7,183,201
01/31/98 7,464,768 7,252,950
02/28/98 7,477,590 7,259,187
03/31/98 7,505,393 7,288,733
04/30/98 7,541,498 7,322,844
05/31/98 7,593,666 7,361,875
06/30/98 7,623,903 7,400,156
07/31/98 7,657,543 7,434,789
08/31/98 7,746,767 7,528,244
09/30/98 7,854,078 7,627,994
10/31/98 7,838,078 7,665,447
11/30/98 7,857,712 7,658,778
12/31/98 7,893,710 7,685,814
01/31/99 7,943,452 7,716,249
02/28/99 7,885,625 7,678,594
03/31/99 7,947,390 7,731,961
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 11/1/1991, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annual basis.
The Administrative Class commenced operations on 2/2/1998.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Low Duration Fund II Institutional Class shares returned 5.89%, modestly
underperforming the benchmark Merrill Lynch 1-3 Year Treasury Index return of
6.08% for the year ended March 31, 1999.
. The Fund maintained an above-index duration throughout the period, which
increased returns as interest rates declined by approximately 0.50% to 0.70%
on short- to intermediate-maturity instruments.
. Concentrating on securities with maturities longer than the benchmark
hindered relative performance as these yields declined less.
. The Fund's substantial allocation to mortgage-backed bonds had limited impact
on returns. Falling interest rates led to concern over increased prepayments,
depressing prices. Despite this environment, the Fund`s holdings of
lower-coupon, less prepayment-sensitive mortgages faired better than the
sector as a whole.
. Corporate sector holdings helped returns relative to the all-Treasury
benchmark as yield premiums narrowed due to reduced market uncertainty and
sustained corporate profits.
12 PIMCO Funds
<PAGE>
PIMCO Low Duration Fund III
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily shorter-term investment grade bonds with prohibitions on firms engaged
in socially sensitive practices.
Duration:
1.83 years
Total Net Assets:
$27 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 62.5%
Corporate Bonds and Notes 24.3%
Short-Term Instruments 4.9%
Other 8.3%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 71.6%
AA 5.6%
A 8.6%
BBB 6.4%
BB 7.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Short
Inst'l Class Admin. Class Merrill Lynch 1-3 Investment Grade
(Incep. 12/31/1996) (Incep. 3/19/1999) Year Treasury Index Debt Fund Average
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 6.10% -- 6.08% 5.13%
Since Inception* 6.49% 0.15% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Merrill
Lynch
Low 1-3 Year
Duration Treasury
Month Fund III Index
<S> <C> <C>
12/31/96 5,000,000 5,000,000
01/31/97 5,019,544 5,023,450
02/28/97 5,044,724 5,035,003
03/31/97 5,028,885 5,033,040
04/30/97 5,074,774 5,074,160
05/31/97 5,116,879 5,108,766
06/30/97 5,156,800 5,143,965
07/31/97 5,193,007 5,200,497
08/31/97 5,219,920 5,205,281
09/30/97 5,260,771 5,244,790
10/31/97 5,310,323 5,283,758
11/30/97 5,313,692 5,296,598
12/31/97 5,355,776 5,332,774
01/31/98 5,393,985 5,384,555
02/28/98 5,402,862 5,389,186
03/31/98 5,427,616 5,411,120
04/30/98 5,458,772 5,436,444
05/31/98 5,490,624 5,465,421
06/30/98 5,503,181 5,493,840
07/31/98 5,527,294 5,519,552
08/31/98 5,543,567 5,588,932
09/30/98 5,649,590 5,662,986
10/31/98 5,656,322 5,690,791
11/30/98 5,694,733 5,685,840
12/31/98 5,712,097 5,705,912
01/31/99 5,732,230 5,728,507
02/28/99 5,719,966 5,700,552
03/31/99 5,758,729 5,740,171
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1996, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index. The performance of the Administrative Class (shown above) reflects the
payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 3/19/1999. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the year ended March 31, 1999, the Low Duration Fund's Institutional
Class shares returned 6.10%, slightly outperforming the benchmark Merrill
Lynch 1-3 Year Treasury Index return of 6.08%.
. The Fund maintained an above-index duration throughout the period, which
increased returns as interest rates declined by approximately 0.50% to 0.70%
on short- to intermediate-maturity instruments.
. Concentrating on maturities longer than the benchmark hindered relative
performance as these yields declined less.
. The Fund's substantial allocation to mortgage-backed bonds had limited impact
on returns. Falling interest rates led to concern over increased prepayments,
depressing prices. Despite this environment, the Fund's holdings of
lower-coupon, less prepayment-sensitive mortgages faired better than the
sector as a whole.
. Corporate sector holdings helped returns relative to the all-Treasury
benchmark as yield premiums narrowed due to reduced market uncertainty and
sustained corporate profits.
. The Fund's limited allocation to currency-hedged, non-U.S. holdings in
developed markets was modestly positive because of higher relative yields and
price gains from interest rate cuts.
. Limited holdings of U.S. dollar-denominated emerging market and
non-investment grade bonds experienced price declines in a turbulent global
market environment.
1999 Annual Report 13
<PAGE>
PIMCO Short-Term Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum current income, consistent with preservation of capital and daily
liquidity.
Portfolio:
Primarily short-term investment grade bonds.
Duration:
0.54 years
Total Net Assets:
$602 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 46.1%
Corporate Bonds and Notes 27.0%
Short-Term Instruments 12.5%
Asset-Backed Securities 4.9%
Other 9.5%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 64.3%
AA 4.4%
A 18.4%
BBB 5.1%
BB 7.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lipper Ultra-
Inst'l Class Admin. Class Lipper Money Short Obligation
(Incep. 10/7/1987) (Incep. 2/1/1996) Market Index Fund Average
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 5.63% 5.39% 4.92% 5.22%
3 Years* 6.60% 6.35% 5.03% 5.60%
5 Years* 6.54% -- 4.99% 5.46%
10 Years* 6.32% -- 5.22% 5.86%
Since Inception* 6.52% 6.15% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lipper
Short- Money
Term Market
Month Fund Index
<S> <C> <C>
10/31/87 5,000,000 5,000,000
11/30/87 5,029,461 5,028,003
12/31/87 5,060,119 5,057,166
01/31/88 5,094,787 5,085,483
02/29/88 5,116,116 5,111,420
03/31/88 5,144,560 5,138,509
04/30/88 5,173,186 5,163,690
05/31/88 5,202,593 5,191,059
06/30/88 5,232,291 5,219,609
07/31/88 5,259,411 5,249,882
08/31/88 5,293,423 5,282,958
09/30/88 5,328,409 5,316,238
10/31/88 5,375,276 5,350,261
11/30/88 5,411,635 5,383,970
12/31/88 5,443,779 5,421,120
01/31/89 5,483,420 5,460,149
02/28/89 5,522,499 5,496,732
03/31/89 5,571,029 5,539,060
04/30/89 5,613,569 5,580,602
05/31/89 5,665,094 5,625,247
06/30/89 5,708,266 5,667,437
07/31/89 5,756,794 5,709,374
08/31/89 5,788,039 5,749,912
09/30/89 5,828,328 5,789,009
10/31/89 5,883,335 5,829,532
11/30/89 5,922,983 5,868,010
12/31/89 5,957,698 5,907,325
01/31/90 5,987,232 5,947,492
02/28/90 6,024,238 5,983,180
03/31/90 6,064,842 6,022,072
04/30/90 6,090,417 6,061,216
05/31/90 6,148,665 6,101,825
06/30/90 6,189,318 6,140,264
07/31/90 6,232,885 6,180,788
08/31/90 6,267,095 6,220,965
09/30/90 6,309,632 6,258,290
10/31/90 6,358,334 6,298,971
11/30/90 6,409,912 6,338,025
12/31/90 6,462,141 6,377,954
01/31/91 6,509,418 6,416,859
02/28/91 6,545,494 6,449,583
03/31/91 6,576,473 6,483,125
04/30/91 6,618,103 6,515,539
05/31/91 6,656,338 6,547,464
06/30/91 6,682,104 6,576,275
07/31/91 6,722,727 6,607,838
08/31/91 6,766,617 6,638,234
09/30/91 6,804,471 6,666,779
10/31/91 6,844,965 6,696,114
11/30/91 6,862,973 6,722,899
12/31/91 6,892,228 6,750,464
01/31/92 6,919,339 6,775,439
02/29/92 6,934,403 6,796,441
03/31/92 6,948,634 6,818,190
04/30/92 6,979,006 6,839,326
05/31/92 7,001,946 6,859,847
06/30/92 7,031,099 6,879,740
07/31/92 7,061,296 6,899,690
08/31/92 7,080,606 6,917,632
09/30/92 7,100,505 6,934,232
10/31/92 7,109,622 6,950,875
11/30/92 7,119,728 6,966,860
12/31/92 7,142,089 6,984,279
01/31/93 7,167,580 7,001,040
02/28/93 7,187,715 7,015,741
03/31/93 7,222,352 7,031,879
04/30/93 7,248,666 7,047,351
05/31/93 7,279,042 7,062,147
06/30/93 7,309,491 7,077,686
07/31/93 7,337,521 7,093,258
08/31/93 7,358,333 7,109,572
09/30/93 7,378,551 7,125,210
10/31/93 7,406,168 7,140,887
11/30/93 7,435,531 7,156,597
12/31/93 7,472,268 7,173,058
01/31/94 7,487,037 7,189,554
02/28/94 7,497,133 7,204,654
03/31/94 7,486,772 7,221,944
04/30/94 7,500,714 7,240,000
05/31/94 7,507,684 7,260,269
06/30/94 7,544,131 7,281,328
07/31/94 7,581,551 7,303,901
08/31/94 7,613,244 7,328,734
09/30/94 7,623,522 7,353,648
10/31/94 7,645,459 7,380,856
11/30/94 7,653,660 7,408,906
12/31/94 7,688,576 7,440,763
01/31/95 7,728,764 7,474,248
02/28/95 7,801,580 7,505,640
03/31/95 7,820,739 7,540,914
04/30/95 7,906,502 7,574,851
05/31/95 7,988,187 7,611,211
06/30/95 8,016,388 7,646,219
07/31/95 8,066,833 7,681,394
08/31/95 8,106,191 7,715,959
09/30/95 8,183,875 7,749,906
10/31/95 8,244,808 7,784,781
11/30/95 8,323,417 7,818,256
12/31/95 8,396,279 7,852,655
01/31/96 8,438,474 7,887,206
02/29/96 8,455,531 7,917,969
03/31/96 8,484,975 7,949,641
04/30/96 8,526,887 7,981,437
05/31/96 8,573,734 8,014,160
06/30/96 8,622,971 8,045,418
07/31/96 8,649,616 8,079,208
08/31/96 8,706,604 8,113,140
09/30/96 8,792,582 8,144,784
10/31/96 8,865,196 8,178,174
11/30/96 8,947,374 8,210,888
12/31/96 8,984,288 8,245,372
01/31/97 9,039,631 8,280,004
02/28/97 9,081,953 8,310,639
03/31/97 9,089,081 8,344,714
04/30/97 9,142,882 8,378,927
05/31/97 9,211,364 8,414,958
06/30/97 9,273,987 8,450,300
07/31/97 9,348,891 8,486,635
08/31/97 9,379,554 8,523,128
09/30/97 9,444,784 8,558,926
10/31/97 9,469,319 8,595,729
11/30/97 9,513,992 8,631,831
12/31/97 9,569,434 8,669,809
01/31/98 9,628,194 8,707,958
02/28/98 9,663,998 8,741,919
03/31/98 9,730,989 8,779,511
04/30/98 9,777,926 8,815,504
05/31/98 9,824,621 8,853,411
06/30/98 9,860,451 8,889,709
07/31/98 9,921,920 8,927,934
08/31/98 9,927,830 8,966,325
09/30/98 9,996,273 9,003,090
10/31/98 10,036,673 9,039,102
11/30/98 10,073,050 9,074,353
12/31/98 10,118,477 9,109,741
01/31/99 10,160,402 9,145,273
02/28/99 10,203,832 9,176,364
03/31/99 10,278,911 9,211,234
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 11/1/1987, the first full month following the Fund's
Institutional Class inception on 10/7/1987, 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 above) reflects the payment
of a service fee in an amount not to exceed 0.25% on an annualized basis. The
Administrative Class commenced operations on 2/1/1996. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Short-Term Fund's Institutional Class shares outperformed the Lipper
Money Market Index by 0.71% for the 12-month period ended March 31, 1999,
returning 5.63% versus 4.92% for the benchmark.
. Despite continued strength in the U.S. economy, the Federal Reserve lowered
interest rates by 0.75% in an effort to restore confidence and liquidity
during the global financial crisis in the third calendar quarter of 1998.
. Russian devaluation coupled with problems in Asia resulted in a dramatic
flight by investors to the quality of U.S. Treasuries and other non-U.S.
developed government debt issues.
. An above-Index duration in the Fund was a positive for performance, as the
decline in interest rates provided greater price appreciation.
. Concentrating in longer maturities boosted portfolio yield given a positively
sloped yield curve.
. Mortgage-backed holdings added to returns due to their higher yields relative
to like-duration Treasuries and money market instruments.
. Short-maturity corporates also added to performance as the flight to quality
impact was not enough to offset the higher yield offered by high quality
corporates.
. A modest exposure to dollar-bloc, non-U.S. securities added to performance as
rates declined relative to the U.S.
. Limited positions in dollar-denominated Latin American issues detracted from
returns given the impact of the market uncertainty surrounding the confidence
crisis in 1998.
14 PIMCO Funds
<PAGE>
PIMCO Money Market Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum current income, consistent with preservation of capital and daily
liquidity.
Portfolio:
Primarily money market instruments.
Duration:
33 days
Total Net Assets:
$538 million
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 79.6%
AA 20.4%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Inst'l Class Admin. Class Lipper Money Lipper Money Market
(Incep. 3/1/1991) (Incep. 1/24/1995) Market Index Fund Average
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
7 Day Yield* 4.68% 4.25% -- --
1 Year 5.14% 4.93% 4.92% 5.15%
3 Years* 5.24% 5.00% 5.03% 5.26%
5 Years* 5.27% -- 4.99% 5.23%
Since Inception* 4.70% 5.20% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lipper
Money Money
Market Market
Month Fund Index
<S> <C> <C>
02/28/91 5,000,000 5,000,000
03/31/91 5,025,170 5,026,003
04/30/91 5,050,085 5,051,132
05/31/91 5,075,810 5,075,881
06/30/91 5,098,544 5,098,217
07/31/91 5,122,151 5,122,686
08/31/91 5,146,158 5,146,251
09/30/91 5,168,071 5,168,380
10/31/91 5,189,068 5,191,122
11/30/91 5,209,752 5,211,886
12/31/91 5,235,296 5,233,256
01/31/92 5,253,666 5,252,618
02/29/92 5,269,348 5,268,900
03/31/92 5,286,316 5,285,761
04/30/92 5,302,529 5,302,146
05/31/92 5,318,495 5,318,055
06/30/92 5,333,833 5,333,477
07/31/92 5,349,339 5,348,943
08/31/92 5,362,691 5,362,852
09/30/92 5,375,416 5,375,721
10/31/92 5,388,548 5,388,623
11/30/92 5,400,824 5,401,016
12/31/92 5,415,417 5,414,520
01/31/93 5,427,493 5,427,514
02/28/93 5,439,092 5,438,911
03/31/93 5,452,504 5,451,422
04/30/93 5,464,658 5,463,416
05/31/93 5,475,877 5,474,887
06/30/93 5,489,090 5,486,933
07/31/93 5,501,737 5,499,005
08/31/93 5,515,161 5,511,652
09/30/93 5,527,714 5,523,776
10/31/93 5,541,036 5,535,929
11/30/93 5,554,511 5,548,108
12/31/93 5,567,081 5,560,870
01/31/94 5,580,537 5,573,658
02/28/94 5,592,446 5,585,364
03/31/94 5,606,276 5,598,768
04/30/94 5,620,505 5,612,766
05/31/94 5,637,321 5,628,480
06/30/94 5,654,814 5,644,806
07/31/94 5,672,813 5,662,305
08/31/94 5,694,234 5,681,556
09/30/94 5,714,049 5,700,871
10/31/94 5,736,363 5,721,964
11/30/94 5,759,664 5,743,709
12/31/94 5,785,415 5,768,407
01/31/95 5,813,735 5,794,366
02/28/95 5,839,234 5,818,701
03/31/95 5,867,023 5,846,048
04/30/95 5,892,850 5,872,358
05/31/95 5,923,104 5,900,545
06/30/95 5,950,960 5,927,685
07/31/95 5,979,025 5,954,954
08/31/95 6,006,869 5,981,750
09/30/95 6,032,542 6,008,067
10/31/95 6,061,076 6,035,104
11/30/95 6,105,719 6,061,056
12/31/95 6,136,175 6,087,723
01/31/96 6,164,350 6,114,509
02/29/96 6,191,072 6,138,357
03/31/96 6,217,237 6,162,911
04/30/96 6,244,019 6,187,560
05/31/96 6,273,132 6,212,929
06/30/96 6,297,220 6,237,162
07/31/96 6,324,461 6,263,357
08/31/96 6,354,570 6,289,663
09/30/96 6,379,780 6,314,194
10/31/96 6,406,912 6,340,079
11/30/96 6,433,601 6,365,441
12/31/96 6,460,353 6,392,175
01/31/97 6,488,472 6,419,023
02/28/97 6,513,657 6,442,772
03/31/97 6,539,911 6,469,189
04/30/97 6,567,988 6,495,712
05/31/97 6,598,555 6,523,645
06/30/97 6,626,256 6,551,043
07/31/97 6,655,217 6,579,213
08/31/97 6,686,098 6,607,504
09/30/97 6,714,110 6,635,256
10/31/97 6,746,003 6,663,786
11/30/97 6,773,457 6,691,775
12/31/97 6,805,247 6,721,217
01/31/98 6,836,094 6,750,792
02/28/98 6,863,584 6,777,120
03/31/98 6,893,016 6,806,263
04/30/98 6,922,674 6,834,166
05/31/98 6,953,532 6,863,553
06/30/98 6,983,538 6,891,693
07/31/98 7,016,569 6,921,326
08/31/98 7,045,979 6,951,089
09/30/98 7,076,192 6,979,591
10/31/98 7,107,700 7,007,509
11/30/98 7,136,327 7,034,837
12/31/98 7,168,594 7,062,272
01/31/99 7,194,413 7,089,817
02/28/99 7,219,300 7,113,921
03/31/99 7,247,024 7,140,953
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/1/1991, 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 above) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 1/24/1995. An investment in the Money Market Fund is neither
insured nor guaranteed by the Federal Deposit Insurance Corporation nor any
other U.S. Government agency. Although the fund seeks to preserve the value of
your investment at $1.00 per share, it is possible to lose money by investing in
the fund. If there is a material difference between the quoted total return and
the quoted current yield, the yield quotation more closely reflects the current
earnings of the Money Market Fund than the total return quotation.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Money Market Fund Institutional Class shares returned 5.14% for the
12-month period ended March 31, 1999, exceeding the 4.92% return of the
benchmark, the Lipper Money Market Index.
. The Fund, which has a Aaa money market fund rating by Moody's Investors
Service, emphasized high quality U.S. and Yankee commercial paper because of
attractive yields with limited credit risks.
. Commercial paper yields dropped by 0.70% over the fiscal year in response to
the lowering of the federal funds rate by 0.75% in the latter part of 1998.
. Yield differentials between top-tier commercial paper and Treasury Bills were
approximately 0.50% after having increased to over 0.80% during the investor
"flight to quality" in latter 1998 and ended nearly identical to those at the
beginning of the fiscal year.
. The effective 30-day SEC yield at March 31, 1999 was 4.62% for Institutional
Class shares, representing a significant yield increment over the Consumer
Price Index increase of 1.7% over the fiscal year.
1999 Annual Report 15
<PAGE>
PIMCO Long-Term U.S. Government Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTIC
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily longer-term U.S. government bonds.
Duration:
10.33 years
Total Net Assets:
$282 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 47.1%
U.S. Treasury Obligations 46.8%
Other 6.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 98.3%
AA 1.2%
A 0.5%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
LB Int. & Lehman Brothers Lipper General
Inst'l Class Admin. Class 20+ Year Aggregate U.S. Government
(Incep. 7/1/1991) (Incep. 9/23/1997) Treasury Index Bond Index Fund Average
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year 7.76% 7.46% 6.80% 6.49% 5.29%
3 Years* 10.62% -- 9.57% 7.75% 6.66%
5 Years* 10.40% -- 9.42% 7.79% 6.58%
Since Inception* 12.11% 10.04% -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
LB Int. Lehman
& 20+ Brothers
Long-Term Year Aggregate
U.S. Gov't Treasury Bond
Month Fund Index Index
<S> <C> <C> <C>
06/30/91 5,000,000 5,000,000 5,000,000
07/31/91 5,068,858 5,078,653 5,069,337
08/31/91 5,265,511 5,253,833 5,179,037
09/30/91 5,442,627 5,415,685 5,283,983
10/31/91 5,470,292 5,423,958 5,342,814
11/30/91 5,543,810 5,449,855 5,391,803
12/31/91 5,909,199 5,774,939 5,551,931
01/31/92 5,742,566 5,595,656 5,476,401
02/29/92 5,771,828 5,625,075 5,512,010
03/31/92 5,753,678 5,562,934 5,480,935
04/30/92 5,725,465 5,551,125 5,520,525
05/31/92 5,930,074 5,707,247 5,624,696
06/30/92 6,016,162 5,781,880 5,702,106
07/31/92 6,300,744 6,023,037 5,818,441
08/31/92 6,427,326 6,061,588 5,877,383
09/30/92 6,540,767 6,149,824 5,947,052
10/31/92 6,378,211 6,022,902 5,868,205
11/30/92 6,445,336 6,055,985 5,869,532
12/31/92 6,614,191 6,221,353 5,962,865
01/31/93 6,790,743 6,388,329 6,077,211
02/28/93 7,063,398 6,593,498 6,183,594
03/31/93 7,101,318 6,608,592 6,209,360
04/30/93 7,156,851 6,657,303 6,252,599
05/31/93 7,184,508 6,685,270 6,260,561
06/30/93 7,540,954 6,950,671 6,374,021
07/31/93 7,650,608 7,066,676 6,410,072
08/31/93 7,942,707 7,331,491 6,522,427
09/30/93 7,968,888 7,351,540 6,540,341
10/31/93 8,009,725 7,404,297 6,564,781
11/30/93 7,792,708 7,233,849 6,508,935
12/31/93 7,842,784 7,252,703 6,544,212
01/31/94 8,022,521 7,413,784 6,632,570
02/28/94 7,708,576 7,126,553 6,517,340
03/31/94 7,394,709 6,825,285 6,356,659
04/30/94 7,268,749 6,744,159 6,305,901
05/31/94 7,246,140 6,693,854 6,305,016
06/30/94 7,204,478 6,629,252 6,291,082
07/31/94 7,383,601 6,861,152 6,416,044
08/31/94 7,399,922 6,802,522 6,424,006
09/30/94 7,169,097 6,580,310 6,329,455
10/31/94 7,122,283 6,559,449 6,323,816
11/30/94 7,100,894 6,601,562 6,309,771
12/31/94 7,263,266 6,705,670 6,353,342
01/31/95 7,453,074 6,883,563 6,479,077
02/28/95 7,711,268 7,070,315 6,633,122
03/31/95 7,801,463 7,134,690 6,673,818
04/30/95 7,935,436 7,258,496 6,767,041
05/31/95 8,543,447 7,792,055 7,028,907
06/30/95 8,641,206 7,879,508 7,080,440
07/31/95 8,492,085 7,759,077 7,064,626
08/31/95 8,683,920 7,924,423 7,149,887
09/30/95 8,871,163 8,063,754 7,219,445
10/31/95 9,089,923 8,278,998 7,313,332
11/30/95 9,313,423 8,471,111 7,422,922
12/31/95 9,556,575 8,682,059 7,527,093
01/31/96 9,571,589 8,688,221 7,577,078
02/29/96 9,125,878 8,293,222 7,445,371
03/31/96 8,958,506 8,135,410 7,393,617
04/30/96 8,759,744 8,006,952 7,352,037
05/31/96 8,771,139 7,969,721 7,337,108
06/30/96 8,947,395 8,133,816 7,435,639
07/31/96 8,918,333 8,136,866 7,455,987
08/31/96 8,856,612 8,036,207 7,443,491
09/30/96 9,102,968 8,252,684 7,573,207
10/31/96 9,493,678 8,566,251 7,740,965
11/30/96 9,851,090 8,833,466 7,873,557
12/31/96 9,624,385 8,631,621 7,800,349
01/31/97 9,576,361 8,569,404 7,824,236
02/28/97 9,598,405 8,572,900 7,843,699
03/31/97 9,359,770 8,360,698 7,756,779
04/30/97 9,570,437 8,557,405 7,872,893
05/31/97 9,684,481 8,651,795 7,947,317
06/30/97 9,875,451 8,816,262 8,041,646
07/31/97 10,424,177 9,309,083 8,258,504
08/31/97 10,161,918 9,067,905 8,188,061
09/30/97 10,427,124 9,303,828 8,308,820
10/31/97 10,781,870 9,598,856 8,429,358
11/30/97 10,884,053 9,721,316 8,468,174
12/31/97 11,070,318 9,873,400 8,553,435
01/31/98 11,276,193 10,064,364 8,663,246
02/28/98 11,199,620 9,999,353 8,656,334
03/31/98 11,253,545 10,021,549 8,686,469
04/30/98 11,318,487 10,058,381 8,731,809
05/31/98 11,539,028 10,237,616 8,814,637
06/30/98 11,809,161 10,459,638 8,889,393
07/31/98 11,801,731 10,422,257 8,908,303
08/31/98 12,300,067 10,851,859 9,053,280
09/30/98 12,791,270 11,213,683 9,265,272
10/31/98 12,445,690 11,077,410 9,216,283
11/30/98 12,490,607 11,140,516 9,268,589
12/31/98 12,554,165 11,132,558 9,296,457
01/31/99 12,649,540 11,223,803 9,362,808
02/28/99 12,075,837 10,721,119 9,199,363
03/31/99 12,126,451 10,703,044 9,250,343
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/1/1991, 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. The performance of the Administrative Class
(shown above) reflects the payment of a service fee in an amount not to exceed
0.25% on an annual basis. The Administrative Class commenced operations on
9/23/1997.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Long-Term U.S. Government Fund Institutional Class posted a return of
7.76% for the fiscal year ended March 31, 1999, outperforming the 6.80%
return of the Fund's blended Treasury benchmark.
. The Treasury yield curve steepened as yields fell more across shorter
maturities in response to the lowering of the federal funds rate as the
Federal Reserve supplied liquidity to the capital markets following the
Russian government bond default and the near-collapse of several large hedge
funds.
. While Treasury yields rallied substantially over the first half of the fiscal
year (30-year down 0.96%) as a result of a "flight to quality," Treasury
yields rose markedly during the second half (30-year up 0.65%) in response to
investors' willingness to accept greater credit and liquidity risks.
. Duration contributed positively to performance as Fund duration was above the
benchmark during the first half when rates declined and marginally below the
benchmark in the second half when rates climbed.
. Underweighting intermediate maturities during the first half (intermediate
yields fell more) and overweighting intermediate maturities during the second
half (intermediate yields rose more) lowered Fund performance.
. Mortgages contributed strongly to Fund performance as the total returns of
lower coupon and less prepayment-sensitive mortgages held in the Fund were
greater than similar-duration Treasury returns.
16 PIMCO Funds
<PAGE>
PIMCO High Yield Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily high yield bonds.
Duration:
4.76 years
Total Net Assets:
$3,223 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 79.2%
Short-Term Instruments 7.6%
Asset-Backed Securities 6.1%
Other 7.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 7.6%
AA 0.8%
A 0.1%
BBB 8.0%
BB 51.1%
B 32.4%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lehman Lipper High
Inst'l Class Admin. Class Intermediate BB rated Current Yield
(Incep. 12/16/1992) (Incep. 1/16/1995) Corporate Index Fund Average
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 4.73% 4.49% 4.39% -1.94%
3 Years* 10.59% 10.32% 8.87% 8.17%
5 Years* 11.23% -- 9.65% 8.15%
Since Inception* 11.71% 12.21% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Intermed.
High BB rated
Yield Corp.
Month Fund Index
<S> <C> <C>
12/31/92 5,000,000 5,000,000
01/31/93 5,113,886 5,105,500
02/28/93 5,208,126 5,180,551
03/31/93 5,313,333 5,239,092
04/30/93 5,369,686 5,283,100
05/31/93 5,409,077 5,322,195
06/30/93 5,556,254 5,435,026
07/31/93 5,595,567 5,489,919
08/31/93 5,658,345 5,553,602
09/30/93 5,686,689 5,594,144
10/31/93 5,839,376 5,669,106
11/30/93 5,884,380 5,683,845
12/31/93 5,935,129 5,732,726
01/31/94 6,061,596 5,828,463
02/28/94 6,060,370 5,822,051
03/31/94 5,879,246 5,643,896
04/30/94 5,828,068 5,610,598
05/31/94 5,870,524 5,615,648
06/30/94 5,878,587 5,632,494
07/31/94 5,934,013 5,701,210
08/31/94 5,984,086 5,761,643
09/30/94 6,025,467 5,772,015
10/31/94 6,028,706 5,785,289
11/30/94 6,004,787 5,745,950
12/31/94 6,077,394 5,781,575
01/31/95 6,137,436 5,874,658
02/28/95 6,305,367 6,053,248
03/31/95 6,397,464 6,110,148
04/30/95 6,537,390 6,232,351
05/31/95 6,727,023 6,415,582
06/30/95 6,781,902 6,472,039
07/31/95 6,872,762 6,530,935
08/31/95 6,925,387 6,568,814
09/30/95 7,022,543 6,639,758
10/31/95 7,125,446 6,692,211
11/30/95 7,212,331 6,776,533
12/31/95 7,334,202 6,883,602
01/31/96 7,453,084 6,995,117
02/29/96 7,460,951 6,969,934
03/31/96 7,402,000 6,933,691
04/30/96 7,434,433 6,930,917
05/31/96 7,459,688 6,940,621
06/30/96 7,490,201 7,015,579
07/31/96 7,557,060 7,053,463
08/31/96 7,680,144 7,110,596
09/30/96 7,858,765 7,263,475
10/31/96 7,937,607 7,364,437
11/30/96 8,110,110 7,513,198
12/31/96 8,191,022 7,529,728
01/31/97 8,275,049 7,601,259
02/28/97 8,402,615 7,693,234
03/31/97 8,292,841 7,601,685
04/30/97 8,381,534 7,695,946
05/31/97 8,572,658 7,827,547
06/30/97 8,699,809 7,928,522
07/31/97 8,924,236 8,164,792
08/31/97 8,921,803 8,087,226
09/30/97 9,072,091 8,214,195
10/31/97 9,081,530 8,242,125
11/30/97 9,168,890 8,299,819
12/31/97 9,273,057 8,376,177
01/31/98 9,432,639 8,476,692
02/28/98 9,483,456 8,515,684
03/31/98 9,557,939 8,570,184
04/30/98 9,581,967 8,613,893
05/31/98 9,631,622 8,669,883
06/30/98 9,702,825 8,722,769
07/31/98 9,806,262 8,768,128
08/31/98 9,412,663 8,526,128
09/30/98 9,532,027 8,706,882
10/31/98 9,438,479 8,595,433
11/30/98 9,836,791 8,801,724
12/31/98 9,879,676 8,857,175
01/31/99 10,010,006 8,948,403
02/28/99 9,927,890 8,882,185
03/31/99 10,010,331 8,946,137
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/1/1993, the first full month following the Fund's
Institutional Class inception on 12/16/1992, compared to the Lehman Intermediate
BB rated Corporate Index, an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 1/16/1995. The investments made by the High Yield Fund
may involve high risk and may have speculative characteristics.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the one-year period ended March 31, 1999, the High Yield Fund
Institutional Class shares posted a 4.73% total return, slightly
outperforming the Lehman Intermediate BB rated Corporate Index return of
4.39%.
. A defensive industry orientation and overweighting more stable securities in
such sectors as utility, telecommunications and cable TV, helped relative
performance during a volatile period in the corporate bond market.
. An allocation to higher yielding B rated securities detracted from returns as
investors favored higher rated BB instruments amid the uncertainty in the
financial markets during the market sell-off in the third quarter.
. Purchasing out-of-favor industries after the global turmoil in 1998 benefited
the portfolio as certain sectors, such as energy, recovered from their lows.
. Underweighting securities issued by commodity producers in the low
inflationary environment benefited the Fund as these issues have not
performed well.
. A small allocation to emerging market and European issues contributed to the
Fund's performance as they benefited from the recovery in emerging markets
and infrastructure development in Europe.
1999 Annual Report 17
<PAGE>
PIMCO Total Return Mortgage Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily intermediate-term mortgage-related securities.
Duration:
2.24 years
Total Net Assets:
$4 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 70.25
U.S. Treasury Obligations 19.6%
Short-Term Instruments 10.2%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 91.9%
AA 8.1%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
Inst'l Class Lehman Brothers Lipper U.S. Mortgage
(Incep. 7/31/1997) Mortgage Index Fund Average
- -------------------------------------------------------------------------------
1 Year 6.27% 6.27% 5.27%
Since Inception* 7.83% -- --
*Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Total Lehman
Return Brothers
Mortgage Mortgage
Month Fund Index
<S> <C> <C>
07/31/97 5,000,000 5,000,000
08/31/97 5,005,044 4,988,118
09/30/97 5,084,467 5,051,382
10/31/97 5,160,309 5,107,387
11/30/97 5,184,726 5,124,151
12/31/97 5,246,122 5,170,844
01/31/98 5,304,038 5,222,289
02/28/98 5,314,354 5,233,336
03/31/98 5,334,652 5,255,495
04/30/98 5,371,139 5,285,232
05/31/98 5,417,855 5,320,364
06/30/98 5,453,983 5,345,733
07/31/98 5,476,124 5,372,837
08/31/98 5,542,715 5,421,585
09/30/98 5,605,738 5,487,033
10/31/98 5,584,293 5,479,968
11/30/98 5,609,572 5,507,264
12/31/98 5,625,826 5,530,643
01/31/99 5,660,727 5,570,014
02/28/99 5,631,600 5,547,984
03/31/99 5,669,090 5,585,236
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers Mortgage Index, an unmanaged market index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Total Return Mortgage Fund matched the performance of its benchmark, the
Lehman Brothers Mortgage Index, with a 6.27% return for the 12-month period
ended March 31,1999.
. The Fund's above Index duration was positive for returns as interest rates
fell over the past 12 months.
. The Fund was more concentrated in longer maturities than the Index, which
slightly detracted from returns as the yield curve steepened.
. The Fund's overweight of less prepayment-sensitive, lower-coupon mortgages
added to performance as prepayment concerns escalated over the past year.
. The Fund's use of relatively high-yielding adjustable rate mortgages (ARMs)
detracted slightly from performance.
. Limited exposure to well structured, yield-enhancing collateralized mortgage
obligations (CMOs) detracted modestly from returns for the year.
18 PIMCO Funds
<PAGE>
PIMCO Low Duration Mortgage Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily short- and intermediate-term mortgage-related securities.
Duration:
2.47 years
Total Net Assets:
$4 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 88.1%
Short-Term Instruments 4.4%
Other 7.5%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 95.7%
A 2.4%
BBB 1.9%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
Inst'l Class Merrill Lynch 1-3 Lipper U.S. Mortgage
(Incep. 7/31/1997) Year Treasury Index Fund Average
- --------------------------------------------------------------------------------
1 Year 5.71% 6.08% 5.27%
Since Inception* 6.99% -- --
*Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Merrill
Low Lynch
Duration 1-3 Year
Mortgage Treasury
Month Fund Index
<S> <C> <C>
07/31/97 5,000,000 5,000,000
08/31/97 5,018,286 5,004,600
09/30/97 5,111,651 5,042,585
10/31/97 5,159,820 5,080,051
11/30/97 5,172,284 5,092,396
12/31/97 5,218,267 5,127,177
01/31/98 5,260,371 5,176,962
02/28/98 5,285,796 5,181,414
03/31/98 5,293,096 5,202,503
04/30/98 5,311,809 5,226,850
05/31/98 5,351,927 5,254,709
06/30/98 5,392,191 5,282,034
07/31/98 5,408,563 5,306,753
08/31/98 5,477,311 5,373,459
09/30/98 5,543,973 5,444,658
10/31/98 5,519,699 5,471,391
11/30/98 5,498,845 5,466,631
12/31/98 5,536,600 5,485,929
01/31/99 5,578,414 5,507,652
02/28/99 5,528,744 5,480,775
03/31/99 5,595,411 5,518,867
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the Merrill Lynch 1-3 Year Treasury Index, an unmanaged market
index.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The PIMCO Low Duration Mortgage Fund returned 5.71% for the 12 months ended
March 31, 1999, underperforming the benchmark Merrill Lynch 1-3 Year Treasury
Index by 0.37%.
. The Fund's above-benchmark duration added to returns as interest rates fell
over the past 12 months.
. The Fund was more concentrated in longer maturities than the Index, which
slightly detracted from returns as the yield curve steepened.
. Holdings of adjustable rate mortgages (ARMs) underperformed Treasuries
because of the high level of refinancing activity over the past 12 months.
. Holdings of short-term collateralized mortgage obligations (CMOs) detracted
from returns relative to the all-Treasury Index.
1999 Annual Report 19
<PAGE>
PIMCO Real Return Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
Portfolio:
Primarily inflation-indexed bonds.
Duration:
2.51 years
Total Net Assets:
$28 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
U.S. Treasury Obligations 51.2%
U.S. Government Agencies 15.8%
Corporate Bonds and Notes 12.6%
Asset-Backed Securities 10.7%
Other 9.7%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 85.4%
AA 5.9%
A 4.2%
BBB 1.8%
BB 2.7%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Inst'l Class Lehman Brothers Inflation Lipper Short U.S.
(Incep. 1/29/1997) Linked Treasury Index Government Fund Average
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 6.41% 4.01% 5.21%
Since Inception* 5.15% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Brothers
Real Inflation
Return Linked
Bond Treasury
Month Fund Index
<S> <C> <C>
01/31/97 5,000,000 5,000,000
02/28/97 5,017,061 5,016,499
03/31/97 4,971,983 4,947,776
04/30/97 5,002,809 4,977,955
05/31/97 5,032,748 5,004,838
06/30/97 5,021,938 4,988,823
07/31/97 5,083,742 5,036,214
08/31/97 5,094,469 5,051,322
09/30/97 5,104,457 5,061,426
10/31/97 5,169,085 5,113,556
11/30/97 5,196,006 5,142,195
12/31/97 5,169,329 5,120,599
01/31/98 5,199,466 5,145,691
02/28/98 5,193,833 5,141,057
03/31/98 5,205,501 5,138,489
04/30/98 5,233,211 5,157,501
05/31/98 5,254,770 5,194,120
06/30/98 5,272,877 5,207,097
07/31/98 5,313,726 5,231,257
08/31/98 5,317,549 5,243,132
09/30/98 5,441,195 5,348,519
10/31/98 5,469,946 5,360,284
11/30/98 5,461,835 5,354,923
12/31/98 5,438,790 5,322,793
01/31/99 5,518,587 5,384,539
02/28/99 5,505,806 5,346,309
03/31/99 5,538,991 5,344,703
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 2/1/1997, the first full month following the Fund's
Institutional Class inception date on 1/29/1997, compared to the Lehman Brothers
Inflation Linked Treasury Index, an unmanaged market index. The Fund may invest
in foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. Fund performance for Institutional Class shares exceeded the benchmark, the
Lehman Brothers Inflation Linked Treasury Index, by 2.40% for the fiscal
year, returning 6.41% versus 4.01% for the benchmark.
. The real yields of Treasury Inflation Protection securities (TIPS) increased
during the fiscal year with the real yield curve relatively flat at 3.9% at
March 31, 1999.
. The yield differentials between similar-maturity TIPS and nominal Treasuries
declined by 0.50%, causing such yield differentials for intermediate TIPS to
be less than the Consumer Price Index increase of 1.7% for the fiscal year.
. Real yield duration of the Fund contributed to performance due to an
above-Index real duration when real yields declined in the July to September
quarter and a below-benchmark duration when real yields increased in the
January to March quarter.
. Portfolio yield contributed to above-benchmark performance from the use of
shorter-duration nominal corporate and mortgage-backed securities.
. Limited holdings of emerging market and U.S. high yield securities boosted
returns.
. The Fund continued to emphasize the holdings of U.S. inflation-indexed
securities because of relatively high U.S. real yields.
20 PIMCO Funds
<PAGE>
PIMCO Municipal Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
High current income exempt from federal income tax, consistent with preservation
of capital. Capital appreciation is a secondary objective.
Portfolio:
Primarily debt securities whose interest is exempt from federal income tax.
Duration:
7.46 years
Total Net Assets:
$59 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Municipal Bonds and Notes 99.7%
Other 0.3%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 56.0%
AA 17.6%
A 12.6%
BBB 10.8%
BB 3.0%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Lehman Brothers Lipper General
Inst'l Class Admin. Class General Municipal Municipal
(Incep. 12/31/1997) (Incep. 9/30/1998) Bond Index Debt Fund Average
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 6.04% -- 6.20% 4.87%
Since Inception 5.48%* 0.83% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman
Brothers
General
Municipal Municipal
Bond Bond
Month Fund Index
<S> <C> <C>
12/31/97 5,000,000 5,000,000
01/31/98 5,058,771 5,051,500
02/28/98 5,035,172 5,053,016
03/31/98 5,039,379 5,057,562
04/30/98 5,006,296 5,034,805
05/31/98 5,105,540 5,114,354
06/30/98 5,122,719 5,134,299
07/31/98 5,128,447 5,147,137
08/31/98 5,223,548 5,226,915
09/30/98 5,293,484 5,292,252
10/31/98 5,282,938 5,292,252
11/30/98 5,296,412 5,310,775
12/31/98 5,302,933 5,324,053
01/31/99 5,373,214 5,387,409
02/28/99 5,338,814 5,363,705
03/31/99 5,343,842 5,371,213
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/31/1997, the Fund's Institutional Class inception
date, compared to the Lehman Brothers General Municipal Bond Index, an unmanaged
market index. Income may be subject to state and local taxes and (if applicable)
the Alternative Minimum Tax. The performance of the Administrative Class (shown
above) reflects the payment of a service fee in an amount not to exceed 0.25% on
an annualized basis. The Administrative Class commenced operations on 9/30/1998.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. While the Municipal Bond Fund's Institutional Class shares performance was
6.04% for the fiscal year versus 6.20% for the benchmark, the Lehman Brothers
General Municipal Bond Index, the Fund ranked in the top decile of the Lipper
General Municipal Debt Universe for the one-year period ended March 31, 1999.
. Municipal yields fell across all maturities in response to the drop in
Treasury yields, with shorter maturity yields falling more, leading to a
steeper municipal yield curve.
. Municipal-to-Treasury yield ratios remained above 80% for maturities of ten
years and more.
. Credit spreads remained relatively tight for the municipal sector with BBB
rated general obligation issues within 0.40% of AAA rated issues for all
maturities.
. Duration strategy was positive for performance due to an above-benchmark
duration during the first fiscal half when municipal yields declined.
. Security selection strategies improved returns as insured and revenue bond
holdings performed better than the associated benchmark Index sectors.
1999 Annual Report 21
<PAGE>
PIMCO Foreign Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
Portfolio:
Primarily investment grade foreign bonds.
Duration:
5.94 years
Total Net Assets:
$621 million
Country Allocation:*
[PIE CHART APPEARS HERE]
United States 33.9%
Japan 11.7%
United Kingdom 9.4%
Italy 7.5%
Germany 5.9%
Canada 5.0%
Supranational 4.7%
Short-Term Investments 4.1%
Other 17.8%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 68.0%
AA 19.0%
A 4.3%
BBB 6.7%
BB 1.4%
B 0.6%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Inst'l Class Admin. Class J.P. Morgan Non- Lipper International
(Incep. 12/3/1992) (Incep. 1/28/1997) U.S. Index (Hedged) Income Fund Average
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 7.92% 7.65% 10.59% 7.20%
3 Years* 12.68% -- 12.19% 5.57%
5 Years* 11.33% -- 10.65% 6.60%
Since Inception* 11.01% 8.80% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P.
Morgan
Foreign Non-U.S.
Bond Index
Month Fund (Hedged)
<S> <C> <C>
12/31/92 5,000,000 5,000,000
01/31/93 5,041,660 5,045,501
02/28/93 5,152,513 5,136,826
03/31/93 5,171,807 5,139,908
04/30/93 5,171,804 5,140,421
05/31/93 5,218,564 5,169,209
06/30/93 5,342,019 5,274,661
07/31/93 5,426,186 5,333,737
08/31/93 5,558,061 5,444,678
09/30/93 5,580,127 5,468,090
10/31/93 5,663,151 5,540,815
11/30/93 5,679,152 5,579,601
12/31/93 5,820,067 5,695,098
01/31/94 5,827,680 5,666,624
02/28/94 5,673,113 5,539,124
03/31/94 5,574,498 5,488,718
04/30/94 5,522,099 5,449,747
05/31/94 5,441,127 5,389,254
06/30/94 5,340,992 5,334,283
07/31/94 5,374,816 5,369,488
08/31/94 5,322,015 5,317,942
09/30/94 5,330,821 5,322,728
10/31/94 5,351,402 5,343,487
11/30/94 5,430,650 5,418,829
12/31/94 5,395,132 5,406,367
01/31/95 5,431,819 5,465,297
02/28/95 5,467,726 5,535,800
03/31/95 5,471,621 5,648,728
04/30/95 5,605,512 5,738,544
05/31/95 5,825,529 5,926,769
06/30/95 5,790,386 5,907,210
07/31/95 5,900,948 5,981,642
08/31/95 6,013,433 6,033,680
09/30/95 6,099,110 6,129,012
10/31/95 6,201,268 6,197,659
11/30/95 6,444,451 6,333,387
12/31/95 6,540,017 6,392,287
01/31/96 6,700,408 6,469,635
02/29/96 6,557,601 6,393,293
03/31/96 6,664,336 6,446,357
04/30/96 6,825,851 6,523,713
05/31/96 6,852,155 6,568,075
06/30/96 6,930,027 6,622,589
07/31/96 6,997,369 6,672,259
08/31/96 7,169,036 6,761,000
09/30/96 7,370,202 6,905,010
10/31/96 7,552,295 7,018,941
11/30/96 7,735,101 7,159,321
12/31/96 7,775,388 7,169,345
01/31/97 7,899,810 7,258,963
02/28/97 7,942,561 7,305,419
03/31/97 7,843,570 7,266,703
04/30/97 7,917,253 7,345,183
05/31/97 7,958,788 7,383,378
06/30/97 8,118,878 7,508,894
07/31/97 8,239,266 7,628,287
08/31/97 8,206,198 7,637,441
09/30/97 8,383,475 7,772,623
10/31/97 8,286,145 7,822,367
11/30/97 8,398,755 7,878,689
12/31/97 8,522,040 7,981,113
01/31/98 8,645,607 8,087,245
02/28/98 8,725,510 8,159,239
03/31/98 8,835,222 8,231,855
04/30/98 8,865,827 8,273,838
05/31/98 8,942,528 8,387,190
06/30/98 8,987,048 8,423,255
07/31/98 9,130,620 8,501,590
08/31/98 9,058,201 8,669,071
09/30/98 9,266,649 8,874,530
10/31/98 9,075,582 8,861,217
11/30/98 9,245,824 8,956,919
12/31/98 9,377,213 8,946,169
01/31/99 9,569,644 9,057,102
02/28/99 9,476,423 8,996,420
03/31/99 9,534,902 9,103,477
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/1/1993, the first full month following the Fund's
Institutional Class inception on 12/3/1992, compared to the J.P. Morgan Non-U.S.
Index (Hedged), an unmanaged market index. The performance of the Administrative
Class (shown above) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 1/28/1997. Foreign investing involves potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the fiscal year ended March 31, 1999, the Foreign Bond Fund Institutional
Class shares posted a return of 7.92%, underperforming the 10.59% return of
the Fund's benchmark, the J.P. Morgan Non-U.S. Index (Hedged).
. Heightened turmoil in the emerging markets beginning in July 1998,
particularly Russia's debt default, sparked a wave of volatility and a
subsequent flight to quality which hurt performance in all peripheral
markets.
. The hedge fund crisis meant that technical factors drove the markets as
investors scurried out of riskier asset classes into safe-haven trades.
. Commodity based economies suffered severely as oil prices declined and as
commodity prices fell.
. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects and an underweight government bond
and currency position in Japan were the primary factors limiting relative
returns.
. A bullish duration stance added to performance as yields in most developed
bond markets fell year on year.
. Country selection within the European bloc was a slight positive for returns.
. The Fund's currency strategy detracted from both absolute and relative
performance, particularly the Fund's initial overweighting of the Norwegian
krone versus the Deutschemark and overweighting the euro against the U.S.
dollar and Japanese yen.
22 PIMCO Funds
<PAGE>
PIMCO Global Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management (U.S. and non-U.S.).
Portfolio:
Primarily investment grade U.S. and foreign bonds.
Duration:
5.82 years
Total Net Assets:
$268 million
Country Allocation:*
[PIE CHART APPEARS HERE]
United States 50.1%
United Kingdom 9.0%
Japan 6.9%
Supranational 4.5%
Short-Term Instruments 3.4%
Other 26.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 68.4%
AA 15.2%
A 6.8%
BBB 8.8%
BB 1.8%
B 1.0%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
J.P. Morgan
Inst'l Class Admin. Class Global Index Lipper Global Income
(Incep. 11/23/1993) (Incep. 8/1/1996) (Unhedged) Fund Average
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 6.90% 6.78% 9.73% 2.43%
3 Years* 6.51% -- 6.09% 5.83%
5 Years* 8.36% -- 7.36% 6.27%
Since Inception* 7.80% 5.75% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P.
Morgan
Global Global
Month Bond Index
Fund (Unhedged)
<S> <C> <C>
11/30/93 5,000,000 5,000,000
12/31/93 5,159,354 5,051,001
01/31/94 5,172,612 5,098,479
02/28/94 5,050,687 5,042,396
03/31/94 4,981,799 5,019,201
04/30/94 4,983,396 5,015,186
05/31/94 4,957,155 4,973,560
06/30/94 4,993,232 5,032,746
07/31/94 5,040,972 5,080,054
08/31/94 5,023,423 5,066,846
09/30/94 5,045,769 5,091,673
10/31/94 5,117,441 5,168,048
11/30/94 5,070,101 5,102,929
12/31/94 5,071,554 5,114,666
01/31/95 5,158,706 5,217,982
02/28/95 5,306,429 5,352,606
03/31/95 5,497,439 5,625,054
04/30/95 5,586,069 5,714,492
05/31/95 5,774,015 5,873,926
06/30/95 5,791,402 5,910,344
07/31/95 5,833,592 5,938,122
08/31/95 5,749,603 5,773,043
09/30/95 5,839,678 5,902,936
10/31/95 5,966,446 5,960,786
11/30/95 6,121,956 6,027,545
12/31/95 6,236,009 6,102,287
01/31/96 6,250,544 6,039,434
02/29/96 6,152,157 6,004,405
03/31/96 6,159,100 5,995,399
04/30/96 6,210,796 5,973,217
05/31/96 6,191,536 5,979,190
06/30/96 6,265,488 6,031,208
07/31/96 6,379,395 6,142,182
08/31/96 6,491,924 6,167,980
09/30/96 6,584,759 6,201,904
10/31/96 6,764,325 6,324,702
11/30/96 6,923,739 6,415,146
12/31/96 6,879,967 6,370,239
01/31/97 6,702,769 6,210,983
02/28/97 6,656,620 6,168,128
03/31/97 6,576,929 6,121,249
04/30/97 6,536,080 6,086,970
05/31/97 6,699,780 6,230,622
06/30/97 6,783,140 6,301,651
07/31/97 6,758,684 6,278,337
08/31/97 6,721,424 6,270,802
09/30/97 6,895,854 6,410,014
10/31/97 6,891,415 6,545,905
11/30/97 6,834,927 6,467,355
12/31/97 6,817,845 6,460,241
01/31/98 6,851,128 6,524,843
02/28/98 6,915,929 6,573,126
03/31/98 6,961,654 6,523,829
04/30/98 7,063,593 6,624,295
05/31/98 7,059,363 6,652,780
06/30/98 7,070,889 6,671,407
07/31/98 7,130,372 6,689,420
08/31/98 7,124,542 6,874,048
09/30/98 7,491,180 7,232,874
10/31/98 7,509,415 7,394,889
11/30/98 7,456,893 7,311,327
12/31/98 7,669,954 7,448,780
01/31/99 7,718,892 7,387,701
02/28/99 7,459,185 7,140,951
03/31/99 7,441,983 7,158,805
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 12/1/1993, the first full month following the Fund's
Institutional Class inception on 11/23/1993, compared to the J.P. Morgan Global
Index (Unhedged), an unmanaged market index. The performance of the
Administrative Class (shown above) reflects the payment of a service fee in an
amount not to exceed 0.25% on an annualized basis. The Administrative Class
commenced operations on 8/1/1996. Foreign investing involves potentially higher
risks including foreign currency fluctuations and political or economic
uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the fiscal year ended March 31, 1999, the Global Bond Fund Institutional
Class shares posted a return of 6.90%, underperforming the 9.73% return of
the Fund's benchmark, the J.P. Morgan Global Index (Unhedged).
. Heightened turmoil in the emerging markets beginning in July 1998,
particularly Russia's debt default, sparked a wave of volatility and a
subsequent flight to quality which hurt performance in all peripheral
markets.
. The hedge fund crisis meant that technical factors drove the markets as
investors scurried out of riskier asset classes into safe-haven trades.
. Commodity based economies suffered severely as oil prices declined and as
commodity prices fell.
. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects and an underweight government bond
and currency position in Japan were the primary factors limiting relative
returns.
. A bullish duration stance added to performance as yields in most developed
bond markets fell year on year.
. Country selection within the European bloc was a slight positive for returns.
. The Fund's currency strategy detracted from both absolute and relative
performance, particularly the Fund's initial overweighting of the Norwegian
krone versus the Deutschemark and overweighting the euro against the U.S.
dollar and Japanese yen.
. In general, the US dollar declined against both the yen and the Deutschemark,
ending 1998 down. This helped unhedged portfolios such as the Fund. Although
the euro has dropped versus the U.S. dollar since its inception, fiscal year
on year the dollar has also depreciated.
1999 Annual Report 23
<PAGE>
PIMCO Global Bond Fund II
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management (U.S. and non-U.S.).
Portfolio:
Primarily investment grade U.S. and foreign bonds.
Duration:
5.90 years
Total Net Assets:
$43 million
Country Allocation:*
[PIE CHART APPEARS HERE]
United States 47.7%
United Kingdom 7.8%
Japan 7.0%
Supranational 4.7%
Canada 4.3%
Short-Term Instruments 6.4%
Other 22.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 70.8%
AA 16.4%
A 5.0%
BBB 5.2%
BB 1.6%
B 1.0%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PORTFOLIO CHARACTERISTICS
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
Inst'l Class J.P. Morgan Global Lipper Global Income
(Incep. 2/25/1998) Index (Hedged) Fund Average
- --------------------------------------------------------------------------------
1 Year 6.06% 9.33% 2.43%
Since Inception* 7.02% -- --
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P.
Morgan
Global Global
Index Index
Month Fund II (Hedged)
<S> <C> <C>
02/28/98 5,000,000 5,000,000
03/31/98 5,069,096 5,032,502
04/30/98 5,092,746 5,057,159
05/31/98 5,121,536 5,120,376
06/30/98 5,146,064 5,157,242
07/31/98 5,210,272 5,190,249
08/31/98 5,156,019 5,308,584
09/30/98 5,273,043 5,443,954
10/31/98 5,187,282 5,431,977
11/30/98 5,256,161 5,470,545
12/31/98 5,303,609 5,470,545
01/31/99 5,422,839 5,525,796
02/28/99 5,341,215 5,451,750
03/31/99 5,376,152 5,501,909
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 3/1/1998, the first full month following the Fund's
Institutional Class inception on 2/25/1998, compared to the J.P. Morgan Global
Index (Hedged), an unmanaged market index. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the fiscal year ended March 31, 1999, the Global Bond Fund II
Institutional Class shares posted a return of 6.06%, underperforming the
9.33% return of the Fund's benchmark, the J.P. Morgan Global Index (Hedged).
. Heightened turmoil in the emerging markets beginning in July 1998,
particularly Russia's debt default, sparked a wave of volatility and a
subsequent flight to quality which hurt performance in all peripheral
markets.
. The hedge fund crisis meant that technical factors drove the markets as
investors scurried out of riskier asset classes into safe-haven trades.
. Commodity based economies suffered severely as oil prices declined and as
commodity prices fell.
. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects and an underweight government bond
and currency position in Japan were the primary factors limiting relative
returns.
. A bullish duration stance added to performance as yields in most developed
bond markets fell year on year.
. Country selection within the European bloc was a slight positive for returns.
. The Fund's currency strategy detracted from both absolute and relative
performance, particularly the Fund's initial overweighting of the Norwegian
krone versus the Deutschemark and overweighting the euro against the U.S.
dollar and Japanese yen.
24 PIMCO Funds
<PAGE>
PIMCO Emerging Markets Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily emerging market bonds.
Duration:
5.01 years
Total Net Assets:
$5 million
Country Allocation:*
[PIE CHART APPEARS HERE]
Argentina 19.1%
Mexico 18.4%
Brazil 14.4%
South Korea 10.3%
United States 6.0%
Venezuela 5.8%
Poland 4.3%
Philippines 4.2%
Short-Term Instruments 4.3%
Other 13.2%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 4.9%
AA 1.0%
A 2.0%
BBB 22.9%
BB 46.6%
B 21.8%
CC 0.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
J.P. Morgan
Inst'l Class Admin. Class Emerging Markets Lipper Emerging Markets
(Incep. 7/31/1997) (Incep. 9/30/1998) Plus Index Debt Fund Average
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year -12.55% -- -14.46% -21.01%
Since Inception -6.03%* 17.88% -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P.
Morgan
Emerging Emerging
Markets Markets
Bond Plus
Month Fund Index
<S> <C> <C>
07/31/97 5,000,000 5,000,000
08/31/97 4,941,202 4,979,763
09/30/97 5,077,992 5,132,145
10/31/97 4,500,427 4,540,921
11/30/97 4,738,197 4,756,615
12/31/97 4,859,660 4,920,720
01/31/98 4,866,472 4,910,880
02/28/98 5,005,158 5,051,329
03/31/98 5,155,188 5,177,076
04/30/98 5,168,205 5,189,638
05/31/98 5,002,060 5,012,513
06/30/98 4,838,082 4,867,654
07/31/98 4,912,199 4,901,240
08/31/98 3,543,793 3,492,624
09/30/98 3,819,422 3,834,203
10/31/98 4,019,347 4,082,276
11/30/98 4,340,414 4,322,720
12/31/98 4,288,256 4,214,652
01/31/99 4,139,443 4,058,290
02/28/99 4,222,136 4,116,729
03/31/99 4,507,995 4,428,365
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/31/1997, the Fund's Institutional Class inception
date, compared to the J.P. Morgan Emerging Markets Plus Index, an unmanaged
market index. The performance of the Administrative Class (shown above) reflects
the payment of a service fee in an amount not to exceed 0.25% on an annualized
basis. The Administrative Class commenced operations on 9/30/1998. The Fund may
invest in foreign securities which involve potentially higher risks including
currency fluctuations and political or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Emerging Markets Bond Fund Institutional Class outperformed its
benchmark, the J.P. Morgan Emerging Markets Bond Index, for the fiscal year
ended March 31, 1999 (-12.55% for the Fund versus -14.46% for the Index).
. Above-Index duration detracted from relative returns in an environment where
yield premiums widened.
. Overweighting South Korea boosted performance as economic reform led to a
credit upgrade of "investment grade."
. Within Latin America, concentrations in higher-quality credits such as Mexico
and Argentina added to returns.
. Our overweight in Poland enhanced returns as Poland was the best emerging
market performer over the past 12 months.
. The Fund was substantially underweight in Russian debt, which was positive
for performance given Russia's default on domestic debt in August 1998.
1999 Annual Report 25
<PAGE>
PIMCO Strategic Balanced Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily a combination of short- and intermediate-term investment grade bonds,
and S&P 500 Index futures.
Duration:
1.99 years
Total Net Assets:
$98 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Mortgage-Backed Securities 35.0%
Short-Term Instruments 34.1%
Corporate Bonds and Notes 19.6%
Asset-Backed Securities 5.2%
Other 6.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 72.8%
AA 8.3%
A 9.3%
BBB 6.4%
BB 3.2%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
60% S&P 500 Index and Lipper Lipper
Inst'l Class 40% Lehman Brothers Balanced Balanced
(Incep. 6/28/1996) Aggregate Bond Index Index Fund Average
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 12.36% 14.18% 8.32% 6.47%
Since Inception* 20.66% -- -- --
</TABLE>
* Annualized
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
60%
S&P 500
Index
and 40%
Lehman
Brothers
Strategic Aggregate Lipper
Balanced Bond Balanced
Month Fund Index Index
<S> <C> <C> <C>
06/30/96 5,000,000 5,000,000 5,000,000
07/31/96 4,865,000 4,872,933 4,871,300
08/31/96 4,940,000 4,931,328 4,948,159
09/30/96 5,175,000 5,132,224 5,131,196
10/31/96 5,320,000 5,262,627 5,240,029
11/30/96 5,615,000 5,537,365 5,484,214
12/31/96 5,511,545 5,450,953 5,416,758
01/31/97 5,743,214 5,661,975 5,582,512
02/28/97 5,775,539 5,694,243 5,603,167
03/31/97 5,591,600 5,528,617 5,440,115
04/30/97 5,846,009 5,759,756 5,603,862
05/31/97 6,089,593 5,991,928 5,833,060
06/30/97 6,275,398 6,181,439 6,020,301
07/31/97 6,659,382 6,543,230 6,362,857
08/31/97 6,423,506 6,300,974 6,161,154
09/30/97 6,659,150 6,545,208 6,406,984
10/31/97 6,565,126 6,452,023 6,290,376
11/30/97 6,736,582 6,643,106 6,405,490
12/31/97 6,843,897 6,738,297 6,500,291
01/31/98 6,937,730 6,817,616 6,545,793
02/28/98 7,213,362 7,110,452 6,805,661
03/31/98 7,459,339 7,338,829 7,013,914
04/30/98 7,524,460 7,398,449 7,062,310
05/31/98 7,447,498 7,350,213 6,990,981
06/30/98 7,662,852 7,554,287 7,117,518
07/31/98 7,621,044 7,512,443 7,034,243
08/31/98 6,904,331 6,909,658 6,427,891
09/30/98 7,310,278 7,239,956 6,705,576
10/31/98 7,639,840 7,577,983 6,956,364
11/30/98 8,239,043 7,870,767 7,210,967
12/31/98 8,189,101 8,152,341 7,477,052
01/31/99 8,385,168 8,380,174 7,596,685
02/28/99 8,117,209 8,165,384 7,414,365
03/31/99 8,381,044 8,379,502 7,597,499
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 7/1/1996, the first full month following the Fund's
Institutional Class inception on 6/28/1996, compared to a static 60/40 blend of
the Standard and Poor's 500 Index and the Lehman Brothers Aggregate Bond Index,
and the 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.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. The Fund had a total return of 12.36% for the fiscal year versus 8.32% for
the Lipper Balanced Fund Index with the excess performance due mainly to a
larger equity apportionment.
. The Fund underperformed a "neutral" blend of 60% S&P 500 Index and 40% Lehman
Brothers Aggregate Bond Index (broad investment-grade U.S. debt markets)
which returned 14.18%.
. The Fund's asset strategy, which overweighted equities based upon the
Adviser's view of an expanding economy, was favorable for performance as the
S&P 500 Index had a total return of 18.46% for the fiscal year versus 6.49%
for the Lehman Brothers Aggregate Bond Index.
. Equity portfolio performance relative to the S&P 500 Index was affected
adversely by limited U.S. high yield and emerging market debt positions which
suffered price losses during the global financial markets' crisis in the
latter part of 1998.
. The fixed income portfolio underperformed the Lehman Brothers Aggregate Index
due to small emerging market and U.S. high yield positions and an
overweighting of intermediate maturities when yields increased during the
latter half of the fiscal year.
26 PIMCO Funds
<PAGE>
PIMCO StocksPLUS Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Total return which exceeds that of the S&P 500 Index.
Portfolio:
Primarily S&P 500 Index futures and short-term bonds.
Duration:
0.78 years
Total Net Assets:
$1,202 million
Sector Breakdown:*
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 37.2%
Short-Term Instruments 32.0%
Mortgage-Backed Securities 22.3%
Sovereign Issues 4.4%
Other 4.1%
Quality Breakdown:*
[PIE CHART APPEARS HERE]
AAA 48.3%
AA 20.3%
A 15.6%
BBB 9.0%
BB 6.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
Total Return Investment Performance For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Inst'l Class Admin. Class Lipper Growth &
(Incep. 5/14/1993) (Incep. 1/7/1997) S&P 500 Index Income Fund Average
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 17.65% 17.21% 18.46% 5.47%
3 Years* 27.58% -- 28.07% 19.49%
5 Years* 26.99% -- 26.25% 19.53%
Since Inception* 23.37% 27.93% -- --
</TABLE>
* Annualized
Cumulative Returns Through March 31, 1999
$5,000,000 invested at inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Stocks- S&P
PLUS 500
Month Fund Index
<S> <C> <C>
05/31/93 5,000,000 5,000,000
06/30/93 5,027,261 5,014,650
07/31/93 5,017,471 4,994,491
08/31/93 5,208,380 5,183,982
09/30/93 5,157,774 5,144,221
10/31/93 5,271,731 5,250,655
11/30/93 5,212,275 5,200,616
12/31/93 5,306,421 5,263,492
01/31/94 5,480,662 5,442,451
02/28/94 5,311,701 5,294,743
03/31/94 5,077,284 5,063,892
04/30/94 5,141,283 5,128,811
05/31/94 5,237,282 5,212,974
06/30/94 5,126,078 5,085,204
07/31/94 5,325,725 5,252,202
08/31/94 5,568,540 5,467,543
09/30/94 5,473,357 5,333,861
10/31/94 5,561,106 5,453,713
11/30/94 5,391,092 5,255,089
12/31/94 5,461,225 5,333,022
01/31/95 5,612,304 5,471,307
02/28/95 5,864,102 5,684,524
03/31/95 6,023,776 5,852,274
04/30/95 6,219,204 6,024,624
05/31/95 6,500,850 6,265,428
06/30/95 6,643,179 6,410,974
07/31/95 6,854,074 6,623,561
08/31/95 6,900,939 6,640,187
09/30/95 7,193,848 6,920,403
10/31/95 7,181,918 6,895,697
11/30/95 7,527,891 7,198,418
12/31/95 7,673,723 7,337,059
01/31/96 7,949,045 7,586,813
02/29/96 7,970,224 7,657,142
03/31/96 8,076,117 7,730,881
04/30/96 8,177,430 7,844,834
05/31/96 8,365,584 8,047,152
06/30/96 8,445,187 8,077,812
07/31/96 8,052,904 7,720,934
08/31/96 8,223,140 7,883,768
09/30/96 8,704,242 8,327,467
10/31/96 8,981,877 8,557,139
11/30/96 9,649,702 9,203,973
12/31/96 9,444,046 9,021,642
01/31/97 10,025,985 9,585,314
02/28/97 10,100,806 9,660,463
03/31/97 9,646,437 9,263,515
04/30/97 10,244,078 9,816,546
05/31/97 10,892,224 10,414,178
06/30/97 11,344,245 10,880,733
07/31/97 12,278,977 11,746,513
08/31/97 11,616,167 11,088,473
09/30/97 12,220,454 11,695,789
10/31/97 11,832,913 11,305,149
11/30/97 12,315,186 11,828,465
12/31/97 12,546,229 12,031,560
01/31/98 12,716,721 12,164,629
02/28/98 13,569,183 13,041,941
03/31/98 14,253,076 13,709,819
04/30/98 14,425,043 13,847,740
05/31/98 14,141,803 13,609,698
06/30/98 14,691,669 14,162,524
07/31/98 14,528,428 14,011,693
08/31/98 12,314,475 11,985,882
09/30/98 13,256,889 12,753,698
10/31/98 14,302,676 13,791,084
11/30/98 15,122,901 14,626,961
12/31/98 16,099,828 15,469,767
01/31/99 16,648,553 16,116,712
02/28/99 16,088,153 15,615,805
03/31/99 16,768,984 16,240,593
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 6/1/1993, the first full month following the Fund's
Institutional Class inception on 5/14/1993, compared to the Standard and Poor's
500 Index, an unmanaged market index. The performance of the Administrative
Class (shown above) reflects the payment of a service fee in an amount not to
exceed 0.25% on an annualized basis. The Administrative Class commenced
operations on 1/7/1997. The Fund may invest in foreign securities which involve
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. Large-cap U.S. equities had a remarkable year as the Dow Jones Industrial
Average broke 10,000 and the S&P 500 Index returned an impressive 18.46% for
the year ended March 31, 1999. The strength of the equity market was fueled
by a robust U.S. economy that continued to grow at a brisk rate despite the
financial and economic uncertainty abroad. The StocksPLUS Fund Institutional
Class shares delivered a strong, albeit lower return of 17.65% relative to
the S&P 500 Index for the fiscal year.
. Volatility in both equity and fixed income markets increased over the past 12
months led by the turmoil abroad. This volatility was especially acute during
the third calendar quarter of 1998 as a Russian devaluation coupled with
problems in Asia resulted in a dramatic flight by investors to the quality of
U.S. Treasuries and other non-U.S. developed government debt issues.
. An extended portfolio duration on the fixed income portfolio backing the
Fund's S&P 500 Index exposure (exposure achieved through investments in S&P
500 Index futures and swap contracts) was positive for relative performance
primarily due to the notable decline in interest rates.
. Mortgage-backed securities detracted from performance as falling interest
rates led to increased prepayment risk for investors. Corporate debt holdings
also performed poorly on a relative basis as credit risk premiums widened
dramatically.
1999 Annual Report 27
<PAGE>
Financial Highlights - Institutional Classes
<TABLE>
<CAPTION>
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/1999 $ 10.62 $ 0.63(a) $ 0.16(a) $ 0.79 $(0.63) $ 0.00
03/31/1998 10.27 0.64(a) 0.62(a) 1.26 (0.62) (0.02)
03/31/1997 10.29 0.68 (0.02) 0.66 (0.66) (0.02)
03/31/1996 10.02 0.81 0.29 1.10 (0.61) (0.10)
03/31/1995 10.25 0.64 (0.24) 0.40 (0.56) (0.05)
Administrative Class
03/31/1999 10.62 0.61(a) 0.16(a) 0.77 (0.61) 0.00
03/31/1998 10.27 0.61(a) 0.63(a) 1.24 (0.60) (0.02)
03/31/1997 10.29 0.66(a) (0.02)(a) 0.64 (0.64) (0.02)
03/31/1996 10.01 0.80 0.29 1.09 (0.60) (0.09)
09/07/1994 - 03/31/1995 10.00 0.31 0.06 0.37 (0.32) (0.03)
Total Return Fund II
Institutional Class
03/31/1999 $ 10.26 $ 0.59(a) $ 0.17(a) $ 0.76 $(0.59) $ 0.00
03/31/1998 9.85 0.63(a) 0.52(a) 1.15 (0.60) (0.03)
03/31/1997 9.89 0.61 (0.02) 0.59 (0.62) (0.01)
11/01/1995 - 03/31/1996 10.21 0.25 (0.17) 0.08 (0.26) 0.00
10/31/1995(a) 9.39 0.69 0.76 1.45 (0.62) 0.00
Administrative Class
03/31/1999 10.26 0.56(a) 0.17(a) 0.73 (0.56) 0.00
03/31/1998 9.85 0.60(a) 0.52(a) 1.12 (0.57) (0.03)
03/31/1997 9.89 0.59 (0.02) 0.57 (0.60) (0.01)
11/01/1995 - 03/31/1996 10.22 0.24 (0.17) 0.07 (0.26) 0.00
11/30/1994 - 10/31/1995(a) 9.34 0.56 0.88 1.44 (0.55) 0.00
Total Return Fund III
Institutional Class
03/31/1999 $ 9.55 $ 0.57(a) $ 0.20(a) $ 0.77 $(0.56) $ 0.00
03/31/1998 9.15 0.57(a) 0.56(a) 1.13 (0.54) (0.03)
03/31/1997 9.13 0.55 0.05 0.60 (0.55) (0.02)
03/31/1996 8.99 0.72 0.17 0.89 (0.54) (0.09)
03/31/1995 9.18 0.59 (0.16) 0.43 (0.52) (0.02)
Administrative Class
03/31/1999 9.55 0.55(a) 0.20(a) 0.75 (0.54) 0.00
04/11/1997 - 03/31/1998 9.12 0.54(a) 0.58(a) 1.12 (0.50) (0.03)
Moderate Duration Fund
Institutional Class
03/31/1999 $ 10.14 $ 0.60(a) $ 0.07(a) $ 0.67 $(0.60) $ 0.00
03/31/1998 9.83 0.38(a) 0.56(a) 0.94 (0.60) 0.00
12/31/1996 - 03/31/1997 10.00 0.15 (0.17) (0.02) (0.15) 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
28 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in Excess of Net Tax Basis Net Asset
Selected Per Share Data for Realized Realized Capital Return of Total Value End
the Year or Period Ended: Capital Gains Gains Capital Distributions of Period
<S> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/1999 $(0.24) $(0.18) $ 0.00 $(1.05) $10.36
03/31/1998 (0.27) 0.00 0.00 (0.91) 10.62
03/31/1997 0.00 0.00 0.00 (0.68) 10.27
03/31/1996 (0.12) 0.00 0.00 (0.83) 10.29
03/31/1995 0.00 0.00 (0.02) (0.63) 10.02
Administrative Class
03/31/1999 (0.24) (0.18) 0.00 (1.03) 10.36
03/31/1998 (0.27) 0.00 0.00 (0.89) 10.62
03/31/1997 0.00 0.00 0.00 (0.66) 10.27
03/31/1996 (0.12) 0.00 0.00 (0.81) 10.29
09/07/1994 - 03/31/1995 0.00 0.00 (0.01) (0.36) 10.01
Total Return Fund II
Institutional Class
03/31/1999 $(0.18) $(0.14) $ 0.00 $(0.91) $10.11
03/31/1998 (0.11) 0.00 0.00 (0.74) 10.26
03/31/1997 0.00 0.00 0.00 (0.63) 9.85
11/01/1995 - 03/31/1996 (0.09) (0.05) 0.00 (0.40) 9.89
10/31/1995(a) (0.01) 0.00 0.00 (0.63) 10.21
Administrative Class
03/31/1999 (0.18) (0.14) 0.00 (0.88) 10.11
03/31/1998 (0.11) 0.00 0.00 (0.71) 10.26
03/31/1997 0.00 0.00 0.00 (0.61) 9.85
11/01/1995 - 03/31/1996 (0.09) (0.05) 0.00 (0.40) 9.89
11/30/1994 - 10/31/1995(a) (0.01) 0.00 0.00 (0.56) 10.22
Total Return Fund III
Institutional Class
03/31/1999 $(0.24) $(0.25) $ 0.00 $(1.05) $ 9.27
03/31/1998 (0.16) 0.00 0.00 (0.73) 9.55
03/31/1997 0.00 (0.01) 0.00 (0.58) 9.15
03/31/1996 (0.12) 0.00 0.00 (0.75) 9.13
03/31/1995 0.00 0.00 (0.08) (0.62) 8.99
Administrative Class
03/31/1999 (0.24) (0.25) 0.00 (1.03) 9.27
04/11/1997 - 03/31/1998 (0.16) 0.00 0.00 (0.69) 9.55
Moderate Duration Fund
Institutional Class
03/31/1999 $(0.11) $(0.16) $ 0.00 $(0.87) $ 9.94
03/31/1998 (0.03) 0.00 0.00 (0.63) 10.14
12/31/1996 - 03/31/1997 0.00 0.00 0.00 (0.15) 9.83
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Selected Per Share Data for Net Assets End Average Net to Average Net Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C> <C>
Total Return Fund
Institutional Class
03/31/1999 7.60% $21,711,396 0.43% 5.91% 154%
03/31/1998 12.63 16,484,119 0.43 6.06 206
03/31/1997 6.60 12,528,536 0.43 6.60 173
03/31/1996 11.14 10,247,605 0.42 6.85 221
03/31/1995 4.22 7,239,735 0.41 6.72 98
Administrative Class
03/31/1999 7.33 1,972,984 0.68 5.52 154
03/31/1998 12.36 481,730 0.68 5.74 206
03/31/1997 6.34 151,194 0.68 6.35 173
03/31/1996 10.99 104,618 0.68 6.64 221
09/07/1994 - 03/31/1995 3.76 9,037 0.66+ 6.54+ 98
Total Return Fund II
Institutional Class
03/31/1999 7.46% $ 986,690 0.50% 5.65% 213%
03/31/1998 11.99 574,587 0.50 6.15 361
03/31/1997 6.15 478,451 0.50 6.38 293
11/01/1995 - 03/31/1996 0.78 455,583 0.51+ 6.36+ 73
10/31/1995(a) 15.96 442,091 0.50 6.47 41
Administrative Class
03/31/1999 7.19 54,736 0.75 5.33 213
03/31/1998 11.71 15,172 0.75 5.86 361
03/31/1997 5.88 5,304 0.75 6.13 293
11/01/1995 - 03/31/1996 0.57 3,320 0.76+ 6.06+ 73
11/30/1994 - 10/31/1995(a) 15.92 3,163 0.76+ 6.22+ 41
Total Return Fund III
Institutional Class
03/31/1999 8.20% $ 488,243 0.50% 5.85% 216%
03/31/1998 12.62 365,249 0.51 5.99 183
03/31/1997 6.76 193,297 0.51 6.21 90
03/31/1996 10.06 142,223 0.50 6.82 177
03/31/1995 4.92 99,497 0.50 6.95 146
Administrative Class
03/31/1999 7.93 1,867 0.75 5.59 216
04/11/1997 - 03/31/1998 12.46 178 0.76+ 5.85+ 183
Moderate Duration Fund
Institutional Class
03/31/1999 6.70% $ 317,400 0.45% 5.94% 169%
03/31/1998 9.80 239,152 0.45 3.75 96
12/31/1996 - 03/31/1997 (0.25) 13,458 0.44+ 6.01+ 49
</TABLE>
PIMCO Funds See accompanying notes 29
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/ Total Dividends Dividends in
Net Asset Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
03/31/1999 $ 10.18 $ 0.65(a) $ (0.02)(a) $ 0.63 $ (0.65) $ 0.00
03/31/1998 9.98 0.65(a) 0.23 (a) 0.88 (0.63) (0.02)
03/31/1997 9.95 0.64 0.03 0.67 (0.63) (0.01)
03/31/1996 9.76 0.66 0.21 0.87 (0.68) 0.00
03/31/1995 10.04 0.65 (0.30) 0.35 (0.54) 0.00
Administrative Class
03/31/1999 10.18 0.62(a) (0.02)(a) 0.60 (0.62) 0.00
03/31/1998 9.98 0.63(a) 0.22 (a) 0.85 (0.60) (0.02)
03/31/1997 9.95 0.62 0.03 0.65 (0.60) (0.02)
03/31/1996 9.76 0.63 0.21 0.84 (0.65) 0.00
12/31/1994 - 03/31/1995 9.67 0.18 0.07 0.25 (0.14) 0.00
Low Duration Fund II
Institutional Class
03/31/1999 $ 10.00 $ 0.58(a) $ 0.00 (a) $ 0.58 $ (0.58) $ 0.00
03/31/1998 9.81 0.22(a) 0.59 (a) 0.81 (0.56) (0.04)
03/31/1997 9.82 0.62 (0.03) 0.59 (0.58) (0.02)
03/31/1996 9.77 0.66 0.04 0.70 (0.60) (0.03)
03/31/1995 9.94 0.62 (0.16) 0.46 (0.58) (0.03)
Administrative Class
03/31/1999 10.00 0.56(a) 0.00 (a) 0.56 (0.56) 0.00
02/02/1998 - 03/31/1998 10.03 0.14(a) (0.08)(a) 0.06 (0.08) (0.01)
Low Duration Fund III
Institutional Class
03/31/1999 $ 10.05 $ 0.60(a) $ 0.00 (a) $ 0.60 $ (0.60) $ 0.00
03/31/1998 9.91 0.53(a) 0.24 (a) 0.77 (0.60) 0.00
12/31/1996 - 03/31/1997 10.00 0.15 (0.09) 0.06 (0.15) 0.00
Administrative Class
03/19/1999 - 03/31/1999 9.97 0.02 0.01 0.03 (0.02) 0.00
Short-Term Fund
Institutional Class
03/31/1999 $ 10.06 $ 0.57(a) $ (0.02)(a) $ 0.55 $ (0.57) $ 0.00
03/31/1998 10.00 0.62(a) 0.06 (a) 0.68 (0.60) (0.01)
03/31/1997 9.92 0.61 0.08 0.69 (0.59) (0.02)
03/31/1996 9.79 0.69 0.12 0.81 (0.65) (0.03)
03/31/1995 9.92 0.56 (0.13) 0.43 (0.55) (0.01)
Administrative Class
03/31/1999 10.06 0.54(a) (0.02)(a) 0.52 (0.54) 0.00
03/31/1998 10.00 0.59(a) 0.07 (a) 0.66 (0.58) (0.01)
03/31/1997 9.92 0.58 0.08 0.66 (0.57) (0.01)
02/01/1996 - 03/31/1996 9.98 0.11 (0.07) 0.04 (0.10) 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.75%
30 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in Excess of Tax Basis Net Asset
Selected Per Share Data for Realized Net Realized Return of Total Value End
the Year or Period Ended: Capital Gains Capital Gains Capital Distributions of Period
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
03/31/1999 $ (0.01) $ (0.05) $ 0.00 $ $(0.71) $ 10.10
03/31/1998 (0.03) 0.00 0.00 (0.68) 10.18
03/31/1997 0.00 0.00 0.00 (0.64) 9.98
03/31/1996 0.00 0.00 0.00 (0.68) 9.95
03/31/1995 0.00 0.00 (0.09) (0.63) 9.76
Administrative Class
03/31/1999 (0.01) (0.05) 0.00 (0.68) 10.10
03/31/1998 (0.03) 0.00 0.00 (0.65) 10.18
03/31/1997 0.00 0.00 0.00 (0.62) 9.98
03/31/1996 0.00 0.00 0.00 (0.65) 9.95
12/31/1994 - 03/31/1995 0.00 0.00 (0.02) (0.16) 9.76
Low Duration Fund II
Institutional Class
03/31/1999 $ 0.00 $ (0.05) $ 0.00 $ (0.63) $ 9.95
03/31/1998 (0.02) 0.00 0.00 (0.62) 10.00
03/31/1997 0.00 0.00 0.00 (0.60) 9.81
03/31/1996 0.00 0.00 (0.02) (0.65) 9.82
03/31/1995 0.00 0.00 (0.02) (0.63) 9.77
Administrative Class
03/31/1999 0.00 (0.05) 0.00 (0.61) 9.95
02/02/1998 - 03/31/1998 0.00 0.00 0.00 (0.09) 10.00
Low Duration Fund III
Institutional Class
03/31/1999 $ 0.00 $ (0.07) $ 0.00 $ (0.67) $ 9.98
03/31/1998 (0.03) 0.00 0.00 (0.63) 10.05
12/31/1996 - 03/31/1997 0.00 0.00 0.00 (0.15) 9.91
Administrative Class
03/19/1999 - 03/31/1999 0.00 (0.00) 0.00 (0.02) 9.98
Short-Term Fund
Institutional Class
03/31/1999 $ 0.00 $ (0.01) $ 0.00 $ (0.58) $ 10.03
03/31/1998 (0.01) 0.00 0.00 (0.62) 10.06
03/31/1997 0.00 0.00 0.00 (0.61) 10.00
03/31/1996 0.00 0.00 0.00 (0.68) 9.92
03/31/1995 0.00 0.00 0.00 (0.56) 9.79
Administrative Class
03/31/1999 0.00 (0.01) 0.00 (0.55) 10.03
03/31/1998 (0.01) 0.00 0.00 (0.60) 10.06
03/31/1997 0.00 0.00 0.00 (0.58) 10.00
02/01/1996 - 03/31/1996 0.00 0.00 0.00 (0.10) 9.92
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss) to
Selected Per Share Data for Net Assets End Average Net Average Net Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C> <C>
Low Duration Fund
Institutional Class
03/31/1999 6.35% $ 3,367,438 0.43% 6.36% 245%
03/31/1998 9.00 2,759,531 0.43 6.39 309
03/31/1997 6.97 2,797,001 0.43 6.46 240
03/31/1996 9.13 2,677,574 0.42 6.88 209
03/31/1995 3.60 2,332,032 0.41 6.46 77
Administrative Class
03/31/1999 6.09 128,212 0.68 6.09 245
03/31/1998 8.73 46,186 0.68 6.16 309
03/31/1997 6.71 23,564 0.68 6.21 240
03/31/1996 8.83 2,536 0.69 6.73 209
12/31/1994 - 03/31/1995 2.53 771 0.66+ 6.93+ 77
Low Duration Fund II
Institutional Class
03/31/1999 5.89% $ 414,463 0.57%(b) 5.79% 322%
03/31/1998 8.29 401,204 0.50 5.98 335
03/31/1997 6.33 339,375 0.51 6.31 237
03/31/1996 7.30 253,299 0.48 6.61 225
03/31/1995 4.80 170,866 0.47 6.35 102
Administrative Class
03/31/1999 5.63 22,594 0.85(c) 5.47 322
02/02/1998 - 03/31/1998 0.58 56 0.75+ 8.53+ 335
Low Duration Fund III
Institutional Class
03/31/1999 6.10% $ 26,549 0.50% 5.94% 167%
03/31/1998 7.93 23,896 0.50 5.98 307
12/31/1996 - 03/31/1997 0.58 10,056 0.49+ 6.00+ 155
Administrative Class
03/19/1999 - 03/31/1999 0.15 6 0.75 6.42 167
Short-Term Fund
Institutional Class
03/31/1999 5.63% $ 495,752 0.45% 5.66% 47%
03/31/1998 7.06 172,846 0.45 6.12 48
03/31/1997 7.12 156,515 0.47 6.12 77
03/31/1996 8.49 101,797 0.58 6.86 215
03/31/1995 4.46 90,114 0.50 5.67 79
Administrative Class
03/31/1999 5.39 3,769 0.70 5.37 47
03/31/1998 6.80 5,147 0.70 5.86 48
03/31/1997 6.86 4,513 0.72 5.87 77
02/01/1996 - 03/31/1996 0.41 3,999 0.52+ 4.44+ 215
</TABLE>
1999 Annual Report See accompanying notes 31
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/ Total Dividends Dividends in
Net Asset Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Money Market Fund
Institutional Class
03/31/1999 $ 1.00 $ 0.05(a) $ 0.00(a) $ 0.05 $ (0.05) $ 0.00
03/31/1998 1.00 0.05(a) 0.00(a) 0.05 (0.05) 0.00
03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00
11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00
10/31/1995(a) 1.00 0.06 0.00 0.06 (0.06) 0.00
Administrative Class
03/31/1999 1.00 0.05(a) 0.00(a) 0.05 (0.05) 0.00
03/31/1998 1.00 0.05(a) 0.00(a) 0.05 (0.05) 0.00
03/31/1997 1.00 0.05 0.00 0.05 (0.05) 0.00
11/01/1995 - 03/31/1996 1.00 0.02 0.00 0.02 (0.02) 0.00
01/24/1995 - 10/31/1995(a) 1.00 0.05 0.00 0.05 (0.05) 0.00
Long-Term U.S. Government Fund
Institutional Class
03/31/1999 $ 10.57 $ 0.63(a) $ 0.20(a) $ 0.83 $ (0.64) $ 0.00
03/31/1998 9.39 0.52(a) 1.34(a) 1.86 (0.62) 0.00
03/31/1997 9.96 0.79 (0.35) 0.44 (0.68) 0.00
03/31/1996 9.85 0.83 0.66 1.49 (0.68) (0.04)
03/31/1995 9.96 0.60 (0.09) 0.51 (0.60) (0.02)
Administrative Class
03/31/1999 10.57 0.60(a) 0.20(a) 0.80 (0.61) 0.00
09/23/1997 - 03/31/1998 10.17 0.26(a) 0.51(a) 0.77 (0.31) 0.00
High Yield Fund
Institutional Class
03/31/1999 $ 11.66 $ 0.95(a) $ (0.43)(a) $ 0.52 $ (0.94) $ (0.01)
03/31/1998 11.10 0.98(a) 0.65(a) 1.63 (0.98) 0.00
03/31/1997 10.94 0.92 0.34 1.26 (0.97) 0.00
03/31/1996 10.42 1.04 0.54 1.58 (1.01) 0.00
03/31/1995 10.52 0.99 (0.12) 0.87 (0.93) (0.02)
Administrative Class
03/31/1999 $ 11.66 0.93(a) (0.43)(a) $ 0.50 $ (0.92) (0.01)
03/31/1998 11.10 0.95(a) 0.65(a) 1.60 (0.95) 0.00
03/31/1997 10.94 0.85(a) 0.38(a) 1.23 (0.94) 0.00
03/31/1996 10.41 1.02(a) 0.54(a) 1.56 (0.98) 0.00
01/16/1995 - 03/31/1995 10.14 0.23 0.25 0.48 (0.21) 0.00
Total Return Mortgage Fund
Institutional Class
03/31/1999 $ 10.24 $ 0.58(a) $ 0.05(a) $ 0.63 $ (0.58) $ 0.00
07/31/1997 - 03/31/1998 10.00 0.41(a) 0.30(a) 0.71 (0.46) 0.00
Low Duration Mortgage Fund
Institutional Class
03/31/1999 $ 10.13 $ 0.64(a) $ (0.08)(a) $ 0.56 $ (0.64) $ 0.00
07/31/1997 - 03/31/1998 10.00 0.43(a) 0.14(a) 0.57 (0.42) 0.00
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.76%
(d) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.51%
(e) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.50%
32 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions
from Net in Excess of Tax Basis Net Asset
Selected Per Share Data for Realized Net Realized Return of Total Value End
the Year or Period Ended: Capital Gains Capital Gains Capital Distributions of Period
<S> <C> <C> <C> <C> <C>
Money Market Fund
Institutional Class
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 1.00
03/31/1998 0.00 0.00 0.00 (0.05) 1.00
03/31/1997 0.00 0.00 0.00 (0.05) 1.00
11/01/1995 - 03/31/1996 0.00 0.00 0.00 (0.02) 1.00
10/31/1995(a) 0.00 0.00 0.00 (0.06) 1.00
Administrative Class
03/31/1999 0.00 0.00 0.00 (0.05) 1.00
03/31/1998 0.00 0.00 0.00 (0.05) 1.00
03/31/1997 0.00 0.00 0.00 (0.05) 1.00
11/01/1995 - 03/31/1996 0.00 0.00 0.00 (0.02) 1.00
01/24/1995 - 10/31/1995(a) 0.00 0.00 0.00 (0.05) 1.00
Long-Term U.S. Government Fund
Institutional Class
03/31/1999 $ 0.00 $ (0.46) $ 0.00 $ (1.10) $ 10.30
03/31/1998 (0.06) 0.00 0.00 (0.68) 10.57
03/31/1997 0.00 (0.33) 0.00 (1.01) 9.39
03/31/1996 (0.50) (0.16) 0.00 (1.38) 9.96
03/31/1995 0.00 0.00 0.00 (0.62) 9.85
Administrative Class
03/31/1999 0.00 (0.46) 0.00 (1.07) 10.30
09/23/1997 - 03/31/1998 (0.06) 0.00 0.00 (0.37) 10.57
High Yield Fund
Institutional Class
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.95) $ 11.23
03/31/1998 0.00 (0.09) 0.00 (1.07) 11.66
03/31/1997 (0.13) 0.00 0.00 (1.10) 11.10
03/31/1996 (0.05) 0.00 0.00 (1.06) 10.94
03/31/1995 0.00 (0.02) 0.00 (0.97) 10.42
Administrative Class
03/31/1999 0.00 0.00 0.00 (0.93) 11.23
03/31/1998 0.00 (0.09) 0.00 (1.04) 11.66
03/31/1997 (0.13) 0.00 0.00 (1.07) 11.10
03/31/1996 (0.05) 0.00 0.00 (1.03) 10.94
01/16/1995 - 03/31/1995 0.00 0.00 0.00 (0.21) 10.41
Total Return Mortgage Fund
Institutional Class
03/31/1999 $ (0.03) $ (0.07) $ 0.00 $ (0.68) $ 10.19
07/31/1997 - 03/31/1998 (0.01) 0.00 0.00 (0.47) 10.24
Low Duration Mortgage Fund
Institutional Class
03/31/1999 0.00 (0.04) 0.00 (0.68) 10.01
07/31/1997 - 03/31/1998 (0.02) 0.00 0.00 (0.44) 10.13
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss) to
Selected Per Share Data for Net Assets End Average Net Average Net Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C> <C>
Money Market Fund
Institutional Class
03/31/1999 5.14% $ 322,290 0.35% 4.85% N/A
03/31/1998 5.40 55,335 0.35 5.29 N/A
03/31/1997 5.19 23,497 0.40 5.08 N/A
11/01/1995 - 03/31/1996 2.58 25,935 0.33+ 5.44+ N/A
10/31/1995(a) 5.67 7,741 0.40 5.53 N/A
Administrative Class
03/31/1999 4.93 9,273 0.60 4.44 N/A
03/31/1998 5.12 749 0.60 5.04 N/A
03/31/1997 4.94 12 0.66 4.83 N/A
11/01/1995 - 03/31/1996 2.47 10 0.61+ 5.95+ N/A
01/24/1995 - 10/31/1995(a) 4.21 10 0.68+ 5.94+ N/A
Long-Term U.S. Government Fund
Institutional Class
03/31/1999 7.76% $ 170,847 0.89%(b) 5.83% 364%
03/31/1998 20.23 48,547 0.51 4.88 177
03/31/1997 4.48 19,995 0.63 7.63 402
03/31/1996 14.83 32,511 0.56 6.80 238
03/31/1995 5.50 32,349 0.50 6.62 89
Administrative Class
03/31/1999 7.46 11,383 1.15(c) 5.58 364
09/23/1997 - 03/31/1998 7.60 4,957 0.76+ 4.87+ 177
High Yield Fund
Institutional Class
03/31/1999 4.73% $ 2,162,868 0.50% 8.41% 39%
03/31/1998 15.26 1,628,930 0.50 8.52 37
03/31/1997 12.04 744,498 0.50 8.77 67
03/31/1996 15.70 536,983 0.47 9.28 66
03/31/1995 8.81 336,310 0.48 9.37 78
Administrative Class
03/31/1999 4.49 238,792 0.75 8.17 39
03/31/1998 14.98 69,937 0.75 8.21 37
03/31/1997 11.76 10,428 0.76 8.48 67
03/31/1996 15.54 1,007 0.80 9.16 66
01/16/1995 - 03/31/1995 4.66 41 0.73+ 10.12+ 78
Total Return Mortgage Fund
Institutional Class
03/31/1999 6.27% $ 4,128 0.50% 5.66% 158%
07/31/1997 - 03/31/1998 6.69 3,588 0.52+ 6.07+ 593
Low Duration Mortgage Fund
Institutional Class
03/31/1999 5.71% $ 4,119 2.37%(d) 6.35% 198%
07/31/1997 - 03/31/1998 5.86 3,748 1.81+(e) 6.30+ 486
</TABLE>
1999 Annual Report See accompanying notes 33
<PAGE>
Financial Highlights - Institutional Classes (Cont.)
<TABLE>
<CAPTION>
Net Realized/ Total Dividends Dividends in
Net Asset Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/1999 $ 9.77 $ 0.51(a) $ 0.10(a) $ 0.61 $ (0.48) $ (0.07)
03/31/1998 9.93 0.44(a) 0.05(a) 0.49 (0.48) (0.03)
01/29/1997 - 03/31/1997 9.92 0.11 (0.02) 0.09 (0.08) 0.00
Municipal Bond Fund
Institutional Class
03/31/1999 $ 9.97 $ 0.45(a) $ 0.14(a) $ 0.59 $ (0.44) $ 0.00
12/31/1997 - 03/31/1998 10.00 0.11(a) (0.03)(a) 0.08 (0.11) 0.00
Administrative Class
09/30/98 - 03/31/1999 10.25 0.21 (0.13) 0.08 (0.21) 0.00
Foreign Bond Fund
Institutional Class
03/31/1999 $ 10.74 $ 0.58(a) $ 0.24(a) $ 0.82 $ (0.58) $ 0.00
03/31/1998 10.41 0.66(a) 0.61(a) 1.27 (0.63) 0.00
03/31/1997 10.50 0.80 1.00 1.80 (0.40) 0.00
03/31/1996 9.38 0.96 1.03 1.99 (0.34) (0.25)
03/31/1995 10.18 0.38 (0.57) (0.19) 0.00 0.00
Administrative Class
03/31/1999 10.74 0.56(a) 0.24(a) 0.80 (0.56) 0.00
03/31/1998 10.41 0.63(a) 0.61(a) 1.24 (0.60) 0.00
01/28/1997 - 03/31/1997 10.54 0.59 (0.67) (0.08) (0.05) 0.00
Global Bond Fund
Institutional Class
03/31/1999 $ 9.70 $ 0.52(a) $ 0.14(a) $ 0.66 $ (0.36) $ (0.16)
03/31/1998 9.86 0.66(a) (0.10)(a) 0.56 (0.53) 0.00
03/31/1997 10.05 0.70 (0.01) 0.69 (0.44) 0.00
03/31/1996 9.87 0.45 0.72 1.17 (0.61) 0.00
03/31/1995 9.85 0.69 (0.14) 0.55 (0.29) (0.24)
Administrative Class
03/31/1999 9.70 0.51(a) 0.14(a) 0.65 (0.35) (0.16)
03/31/1998 9.86 0.59(a) (0.05)(a) 0.54 (0.51) 0.00
08/01/1996 - 03/31/1997 10.28 0.51 (0.23) 0.28 (0.26) 0.00
Global Bond Fund II
Institutional Class
03/31/1999 $ 9.92 $ 0.52(a) $ 0.06(a) $ 0.58 $ (0.52) $ 0.00
02/25/1998 - 03/31/1998 9.82 0.06(a) 0.09(a) 0.15 0.00 (0.05)
</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>
Distributions Distributions
from Net in Excess of Tax Basis Net Asset
Selected Per Share Data for Realized Net Realized Return of Total Value End
the Year or Period Ended: Capital Gains Capital Gains Capital Distributions of Period
<S> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.55) $ 9.83
03/31/1998 (0.14) 0.00 0.00 (0.65) 9.77
01/29/1997 - 03/31/1997 0.00 0.00 0.00 (0.08) 9.93
Municipal Bond Fund
Institutional Class
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.44) $ 10.12
12/31/1997 - 03/31/1998 0.00 0.00 0.00 (0.11) 9.97
Administrative Class
09/30/98 - 03/31/1999 0.00 0.00 0.00 (0.21) 10.12
Foreign Bond Fund
Institutional Class
03/31/1999 $ (0.10) $ (0.25) $ 0.00 $ (0.93) $ 10.63
03/31/1998 (0.31) 0.00 0.00 (0.94) 10.74
03/31/1997 (1.49) 0.00 0.00 (1.89) 10.41
03/31/1996 (0.25) (0.03) 0.00 (0.87) 10.50
03/31/1995 0.00 0.00 (0.61) (0.61) 9.38
Administrative Class
03/31/1999 (0.10) (0.25) 0.00 (0.91) 10.63
03/31/1998 (0.31) 0.00 0.00 (0.91) 10.74
01/28/1997 - 03/31/1997 0.00 0.00 0.00 (0.05) 10.41
Global Bond Fund
Institutional Class
03/31/1999 $ (0.08) $ 0.00 $ 0.00 $ (0.60) $ 9.76
03/31/1998 0.00 (0.19) 0.00 (0.72) 9.70
03/31/1997 (0.44) 0.00 0.00 (0.88) 9.86
03/31/1996 (0.21) (0.17) 0.00 (0.99) 10.05
03/31/1995 0.00 0.00 0.00 (0.53) 9.87
Administrative Class
03/31/1999 (0.08) 0.00 0.00 (0.59) 9.76
03/31/1998 0.00 (0.19) 0.00 (0.70) 9.70
08/01/1996 - 03/31/1997 (0.44) 0.00 0.00 (0.70) 9.86
Global Bond Fund II
Institutional Class
03/31/1999 $ (0.01) $ (0.08) $ 0.00 $ (0.61) $ 9.89
02/25/1998 - 03/31/1998 0.00 0.00 0.00 (0.05) 9.92
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss) to
Selected Per Share Data for Net Assets End Average Net Average Net Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C> <C>
Real Return Bond Fund
Institutional Class
03/31/1999 6.41% $ 15,588 0.52% 5.18% 438%
03/31/1998 4.70 5,526 0.52 4.46 967
01/29/1997 - 03/31/1997 0.09 5,638 0.51+ 6.54+ 160
Municipal Bond Fund
Institutional Class
03/31/1999 6.04% $ 5,894 0.50% 4.41% 70%
12/31/1997 - 03/31/1998 0.78 3,023 0.50+ 4.46+ 60
Administrative Class
09/30/98 - 03/31/1999 0.83 1,419 0.75+ 2.11 70
Foreign Bond Fund
Institutional Class
03/31/1999 7.92% $ 530,326 0.50% 5.39% 376%
03/31/1998 12.64 392,198 0.50 6.32 280
03/31/1997 17.69 234,880 0.50 7.88 984
03/31/1996 21.80 258,493 0.52 5.83 1,234
03/31/1995 (1.85) 232,700 0.47 6.44 299
Administrative Class
03/31/1999 7.65 2,096 0.75 5.13 376
03/31/1998 12.34 315 0.75 6.07 280
01/28/1997 - 03/31/1997 (0.72) 30 0.79+ 7.63+ 984
Global Bond Fund
Institutional Class
03/31/1999 6.90% $ 266,984 0.55% 5.35% 143%
03/31/1998 5.85 256,274 0.55 6.64 389
03/31/1997 6.78 215,631 0.56 7.51 911
03/31/1996 12.04 133,833 0.58 5.88 1,083
03/31/1995 10.35 76,476 0.64 5.59 461
Administrative Class
03/31/1999 6.78 1,326 0.80 5.21 143
03/31/1998 5.57 1,548 0.80 6.39 389
08/01/1996 - 03/31/1997 2.97 346 0.78+ 5.66+ 911
Global Bond Fund II
Institutional Class
03/31/1999 6.06% $ 29,044 0.55% 5.29% 236%
02/25/1998 - 03/31/1998 1.02 24,517 0.55+ 6.24+ 369
</TABLE>
1999 Annual Report See accompanying notes 35
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights - Institutional Classes (Cont.)
Net Asset Net Realized/ Total Dividends Dividends in
Value Unrealized Income from from Net Excess of Net
Selected Per Share Data for Beginning Net Investment Gain (Loss) on Investment Investment Investment
the Year or Period Ended: of Period Income (Loss) Investments Operations Income Income
<S> <C> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Institutional Class
03/31/1999 $ 9.67 $ 0.87(a) $ (2.11)(a) $ (1.24) $(0.87) $ 0.00
07/31/1997 - 03/31/1998 10.00 0.46(a) (0.18)(a) 0.28 (0.46) 0.00
Administrative Class
09/30/98 - 03/31/1999 6.82 0.45 0.74 1.19 (0.45) 0.00
Strategic Balanced Fund
Institutional Class
03/31/1999 $ 12.60 $ 0.89(a) $ 0.60(a) $ 1.49 $(0.66) $ 0.00
03/31/1998 10.32 1.30(a) 2.05(a) 3.35 (0.84) 0.00
06/28/1996 - 03/31/1997 10.00 0.85 0.31 1.16 (0.63) 0.00
StocksPLUS Fund
Institutional Class
03/31/1999 $ 14.09 $ 0.97(a) $ 1.32(a) $ 2.29 $(0.82) $ 0.00
03/31/1998 11.46 1.90(a) 3.23(a) 5.13 (1.41) 0.00
03/31/1997 11.16 1.27 0.82 2.09 (1.27) 0.00
03/31/1996 10.48 0.91 2.48 3.39 (1.05) 0.00
03/31/1995 9.52 1.03 0.69 1.72 (0.76) 0.00
Administrative Class
03/31/1999 14.06 1.10(a) 1.13(a) 2.23 (0.80) 0.00
03/31/1998 11.46 1.89(a) 3.19(a) 5.08 (1.39) 0.00
01/07/1997 - 03/31/1997 11.56 0.14 (0.09) 0.05 (0.15) 0.00
</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>
Distributions Distributions
from Net in Excess of Tax Basis Net Asset
Selected Per Share Data for Realized Net Realized Return of Total Value End
the Year or Period Ended: Capital Gains Capital Gains Capital Distributions of Period
<S> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Institutional Class
03/31/1999 $ 0.00 $ (0.05) $ 0.00 $ (0.92) $ 7.51
07/31/1997 - 03/31/1998 (0.15) 0.00 0.00 (0.61) 9.67
Administrative Class
09/30/98 - 03/31/1999 0.00 (0.05) 0.00 (0.50) 7.51
Strategic Balanced Fund
Institutional Class
03/31/1999 $ (0.67) $ 0.00 $ 0.00 $ (1.33) $ 12.76
03/31/1998 (0.23) 0.00 0.00 (1.07) 12.60
06/28/1996 - 03/31/1997 (0.21) 0.00 0.00 (0.84) 10.32
StocksPLUS Fund
Institutional Class
03/31/1999 $ (1.24) $ 0.00 $ 0.00 $ (2.06) $ 14.32
03/31/1998 (1.09) 0.00 0.00 (2.50) 14.09
03/31/1997 (0.52) 0.00 0.00 (1.79) 11.46
03/31/1996 (1.62) (0.04) 0.00 (2.71) 11.16
03/31/1995 0.00 0.00 0.00 (0.76) 10.48
Administrative Class
03/31/1999 (1.24) 0.00 0.00 (2.04) 14.25
03/31/1998 (1.09) 0.00 0.00 (2.48) 14.06
01/07/1997 - 03/31/1997 0.00 0.00 0.00 (0.15) 11.46
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss) to
Selected Per Share Data for Net Assets End Average Net Average Net Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Assets Turnover Rate
<S> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Institutional Class
03/31/1999 (12.55)% $ 3,641 0.85% 11.08% 315%
07/31/1997 - 03/31/1998 3.10 3,676 0.86+ 7.21+ 695
Administrative Class
09/30/98 - 03/31/1999 17.88 118 1.10 6.24 315
Strategic Balanced Fund
Institutional Class
03/31/1999 12.36% $ 97,945 0.65% 7.00% 82%
03/31/1998 33.40 38,806 0.65 10.84 56
06/28/1996 - 03/31/1997 11.83 10,360 0.90+ 9.72+ 95
StocksPLUS Fund
Institutional Class
03/31/1999 17.65% $ 512,953 0.65% 6.92% 81%
03/31/1998 47.75 416,600 0.65% 13.74 30
03/31/1997 19.44 235,829 0.65 11.78 47
03/31/1996 34.07 151,869 0.70 15.23 102
03/31/1995 18.64 46,498 0.50 11.89 177
Administrative Class
03/31/1999 17.21 11,302 0.90 7.83 81
03/31/1998 47.19 2,143 0.90 13.49 30
01/07/1997 - 03/31/1997 0.34 682 0.95+ 4.83+ 47
</TABLE>
1999 Annual Report See accompanying notes 37
<PAGE>
Statements of Assets and Liabilitie
March 31, 1999
<TABLE>
<CAPTION>
Total Total Total Moderate Low Low
Return Return Return Duration Duration Duration
Amounts in thousands, except per share amounts Fund Fund II Fund III Fund Fund Fund II
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $32,325,240 $1,300,815 $ 605,046 $ 331,412 $4,596,321 $ 524,401
Cash and foreign currency 48,286 6,507 2,876 1,847 5,791 890
Receivable for investments and foreign currency sold 2,629,053 196,522 50,377 15,939 314,260 13,789
Receivable for Fund shares sold 127,001 31,542 548 9,369 16,140 15
Variation margin receivable 0 0 0 0 67 0
Interest and dividends receivable 256,572 11,343 4,896 2,971 40,659 4,411
Other assets 0 0 0 0 6 1
35,386,152 1,546,729 663,743 361,538 4,973,244 543,507
Liabilities:
Payable for investments and foreign currency purchased $ 8,369,974 $ 450,205 $ 132,356 $ 43,723 $1,001,719 $ 86,844
Payable for financing transactions 762,558 29,375 37,654 0 82,292 1,922
Reverse Repurchase Agreements 0 0 0 0 0 17,268
Written options outstanding 25,999 956 1,064 0 1,862 0
Payable for Fund shares redeemed 40,546 23,607 1,642 1 10,235 43
Dividends payable 26,551 399 209 20 3,941 121
Accrued investment advisory fee 5,593 224 103 68 847 95
Accrued administration fee 4,479 224 103 54 679 95
Accrued distribution fee 1,190 15 0 0 110 15
Accrued servicing fee 518 0 0 0 80 0
Variation margin payable 10,570 267 164 272 141 28
Other liabilities 13,670 31 338 0 91 19
9,261,648 505,303 173,633 44,138 1,101,997 106,450
Net Assets $26,124,504 $1,041,426 $ 490,110 $ 317,400 $3,871,247 $ 437,057
Net Assets Consist of:
Paid in capital $26,512,047 $1,051,129 $ 498,305 $ 321,507 $3,873,297 $ 437,984
Undistributed (overdistributed) net investment income (77,068) (185) (488) (521) (4,007) (172)
Accumulated undistributed net realized gain (loss) (196,279) (9,897) (8,056) (3,161) (12,565) (2,736)
Net unrealized appreciation (depreciation) (114,196) 379 349 (425) 14,522 1,981
$26,124,504 $1,041,426 $ 490,110 $ 317,400 $3,871,247 $ 437,057
Net Assets:
Institutional Class $21,711,396 $ 986,690 $ 488,243 $ 317,400 $3,367,438 $ 414,463
Administrative Class 1,972,984 54,736 1,867 0 128,212 22,594
Other Classes 2,440,124 0 0 0 375,597 0
Shares Issued and Outstanding:
Institutional Class 2,095,627 97,639 52,682 31,931 333,228 41,662
Administrative Class 190,436 5,417 202 0 12,687 2,271
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Institutional Class $ 10.36 $ 10.11 $ 9.27 $ 9.94 $ 10.10 $ 9.95
Administrative Class 10.36 10.11 9.27 -- 10.10 9.95
Cost of Investments Owned $32,423,650 $1,300,151 $ 604,040 $ 331,553 $4,581,453 $ 522,546
Cost of Foreign Currency Held $ 26,491 $ 0 $ 69 $ 1,611 $ 5,433 $ 0
</TABLE>
38 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low
Duration Short-Term Money Long-Term High-Yield
Amounts in thousands, except per share amounts Fund III Fund Market Fund U.S. Gov't Fund Fund
<S> <C> <C> <C> <C> <C>
Assets:
Investments, at value $ 31,249 $ 598,486 $ 487,065 $ 436,107 $ 3,230,719
Cash and foreign currency 0 342 0 0 10,312
Receivable for investments and foreign currency sold 2,682 15,874 0 4,199 14,094
Receivable for Fund shares sold 0 3,001 57,604 1,411 56,198
Variation margin receivable 0 0 0 0 0
Interest and dividends receivable 277 4,559 67 5,945 59,871
Other assets 0 0 0 0 0
34,208 622,262 544,736 447,662 3,371,194
Liabilities:
Payable for investments and foreign currency purchased $ 7,437 $ 15,177 $ 498 $ 59,857 $ 138,749
Payable for financing transactions 0 2,928 0 101,488 0
Reverse Repurchase Agreements 0 0 0 0 0
Written options outstanding 0 0 0 110 0
Payable for Fund shares redeemed 0 1,393 6,044 2,745 2,854
Dividends payable 3 498 95 305 4,169
Accrued investment advisory fee 6 131 63 61 654
Accrued administration fee 6 117 108 74 758
Accrued distribution fee 0 8 12 47 466
Accrued servicing fee 0 22 18 21 173
Variation margin payable 0 0 0 96 0
Other liabilities 201 0 8 1,220 121
7,653 20,274 6,846 166,024 147,944
Net Assets $ 26,555 $ 601,988 $ 537,890 $ 281,638 $ 3,223,250
Net Assets Consist of:
Paid in capital $ 26,698 $ 601,821 $ 537,876 $ 293,226 $ 3,300,975
Undistributed (overdistributed) net investment income (14) 343 14 100 (2,284)
Accumulated undistributed net realized gain (loss) (196) (125) 0 (7,256) (62,117)
Net unrealized appreciation (depreciation) 67 (51) 0 (4,432) (13,324)
$ 26,555 $ 601,988 $ 537,890 $ 281,638 $ 3,223,250
Net Assets:
Institutional Class $ 26,549 $ 495,752 $ 322,290 $ 170,847 $ 2,162,868
Administrative Class 6 3,769 9,273 11,383 238,792
Other Classes 0 102,467 206,327 99,408 821,590
Shares Issued and Outstanding:
Institutional Class 2,662 49,431 322,294 16,583 192,521
Administrative Class 1 376 9,273 1,105 21,254
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Institutional Class $ 9.98 $ 10.03 $ 1.00 $ 10.30 $ 11.23
Administrative Class 9.98 10.03 1.00 10.30 11.23
Cost of Investments Owned $ 31,182 $ 598,619 $ 487,065 $ 440,663 $ 3,244,167
Cost of Foreign Currency Held $ 0 $ 32 $ 0 $ 0 $ 0
<CAPTION>
Total Return Low Duration Real Return Municipal
Amounts in thousands, except per share amounts Mortgage Fund Mortgage Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 4,951 $ 5,262 $ 52,661 $ 58,377
Cash and foreign currency 0 0 888 1
Receivable for investments and foreign currency sold 9 0 2,199 0
Receivable for Fund shares sold 0 0 204 15
Variation margin receivable 0 0 0 0
Interest and dividends receivable 38 28 555 745
Other assets 1 1 25 0
4,999 5,291 56,532 59,138
Liabilities:
Payable for investments and foreign currency purchased $ 686 $ 100 $ 3,993 $ 350
Payable for financing transactions 0 0 24,194 0
Reverse Repurchase Agreements 0 1,068 0 0
Written options outstanding 0 0 0 0
Payable for Fund shares redeemed 0 1 60 104
Dividends payable 0 0 46 64
Accrued investment advisory fee 1 1 6 13
Accrued administration fee 1 1 7 17
Accrued distribution fee 0 0 3 21
Accrued servicing fee 0 0 3 11
Variation margin payable 0 0 2 0
Other liabilities 0 1 7 0
688 1,172 28,321 580
Net Assets $ 4,311 $ 4,119 $ 28,211 $ 58,558
Net Assets Consist of:
Paid in capital $ 4,252 $ 4,122 $ 28,342 $ 55,741
Undistributed (overdistributed) net investment income 2 5 (13) (2)
Accumulated undistributed net realized gain (loss) 0 (8) (1) (6)
Net unrealized appreciation (depreciation) 57 0 (117) 2,825
$ 4,311 $ 4,119 $ 28,211 $ 58,558
Net Assets:
Institutional Class $ 4,128 $ 4,119 $ 15,588 $ 5,894
Administrative Class 0 0 0 1,419
Other Classes 183 0 12,623 51,245
Shares Issued and Outstanding:
Institutional Class 405 411 1,586 582
Administrative Class 0 0 0 140
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding):
Institutional Class $ 10.19 $ 10.01 $ 9.83 $ 10.12
Administrative Class -- -- -- 10.12
Cost of Investments Owned $ 4,896 $ 5,262 $ 52,837 $ 55,551
Cost of Foreign Currency Held $ 0 $ 0 $ 10 $ 0
</TABLE>
1999 Annual Report See accompanying notes 39
<PAGE>
Statements of Assets and Liabilities (Cont.)
March 31, 1999
<TABLE>
<CAPTION>
Global Emerging Strategic
Foreign Global Bond Markets Balanced StocksPLUS
Amounts in thousands, except per share amounts Bond Fund Bond Fund Fund II Bond Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at value $1,096,045 $407,956 $ 64,634 $ 5,254 $ 116,118 $1,283,906
Cash and foreign currency 0 0 128 16 3,631 3,180
Receivable for investments and foreign currency sold 94,762 68,246 6,630 0 17 47,468
Receivable for Fund shares sold 2,341 2 94 0 0 6,716
Variation margin receivable 37 6 1 0 0 6
Interest and dividends receivable 16,064 5,912 835 162 919 13,648
Other assets 667 292 72 1 0 109
1,209,916 482,414 72,394 5,433 120,685 1,355,033
Liabilities:
Payable for investments and foreign currency purchased $ 50,075 $ 37,432 $ 7,942 $ 0 $ 21,527 $ 132,139
Payable for financing transactions 506,073 142,691 21,795 866 0 130
Written options outstanding 90 40 6 0 13 54
Payable for Fund shares redeemed 2,489 474 9 0 0 1,319
Dividends payable 609 367 20 3 0 0
Accrued investment advisory fee 134 59 9 2 27 407
Accrued administration fee 149 70 13 2 17 340
Accrued distribution fee 33 0 7 0 0 282
Accrued servicing fee 19 0 3 0 0 142
Variation margin payable 0 96 10 0 983 18,477
Other liabilities 29,462 32,875 36 2 0 1
589,133 214,104 29,850 875 22,567 153,291
Net Assets $ 620,783 $268,310 $ 42,544 $ 4,558 $ 98,118 $1,201,742
Net Assets Consist of:
Paid in capital $ 609,991 $277,876 $ 42,939 $ 5,681 $ 93,483 $1,089,543
Undistributed (overdistributed) net investment income 8,423 (3,116) (41) 0 2,185 54,973
Accumulated undistributed net realized gain (loss) (167) (1,341) (137) (560) 2,055 56,780
Net unrealized appreciation (depreciation) 2,536 (5,109) (217) (563) 395 446
$ 620,783 $268,310 $ 42,544 $ 4,558 $ 98,118 $1,201,742
Net Assets:
Institutional Class $ 530,325 $266,984 $ 29,044 $ 3,641 $ 97,945 $ 512,953
Administrative Class 2,096 1,326 0 118 0 11,302
Other Classes 88,362 0 13,500 799 173 677,487
Shares Issued and Outstanding:
Institutional Class 49,886 27,344 2,936 485 7,674 35,769
Administrative Class 197 136 0 16 0 792
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Institutional Class $ 10.63 $ 9.76 $ 9.89 $ 7.51 $ 12.76 $ 14.32
Administrative Class 10.63 9.76 -- 7.51 -- 14.25
Cost of Investments Owned $1,103,861 $412,080 $ 65,240 $ 5,818 $ 116,138 $1,285,297
Cost of Foreign Currency Held $ 0 $ 0 $ 114 $ 0 $ 23 $ 2,358
</TABLE>
40 PIMCO Funds See accompanying notes
<PAGE>
Statements of Operations
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
Total Total Moderate Low Low
Total Return Return Duration Duration Duration
Amounts in thousands Return Fund Fund II Fund III Fund Fund Fund II
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest $1,393,913 $ 51,881 $ 26,307 $ 17,248 $ 229,692 $ 26,969
Dividends 3,698 0 241 149 4,845 0
Total Income 1,397,611 51,881 26,548 17,397 234,537 26,969
Expenses:
Investment advisory fees 55,230 2,108 1,045 686 8,637 1,061
Administration fees 43,425 2,107 1,046 549 6,841 1,061
Distribution and/or servicing fees - Administrative Class 2,826 136 4 0 298 28
Distribution and/or servicing fees - Other Classes 10,685 0 0 0 1,467 0
Trustees' fees 115 4 2 1 18 2
Interest Expense 0 0 0 0 0 308
Miscellaneous 0 0 0 0 0 0
Total Expenses 112,281 4,355 2,097 1,236 17,261 2,460
Net Investment Income 1,285,330 47,526 24,451 16,161 217,276 24,509
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 395 (1,690) (4,724) 563 (15,308) (521)
Net realized gain (loss) on
futures contracts and written options 489,366 14,875 14,204 2,432 17,103 (101)
Net realized gain (loss)
on foreign currency transactions (17,345) 0 (17) (458) 2,354 0
Net change in unrealized appreciation
(depreciation) on investments (229,686) (6,588) (2,487) (1,678) (9,961) (20)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (3,574) 787 (542) (16) (2) 160
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies (6,180) 0 319 302 (455) 0
Net Gain (Loss) 232,976 7,384 6,753 1,145 (6,269) (482)
Net Increase (Decrease) in Assets
Resulting from Operations $1,518,306 $ 54,910 $ 31,204 $ 17,306 $ 211,007 $ 24,027
</TABLE>
1999 Annual Report See accompanying notes 41
<PAGE>
Statements of Operations (Cont.)
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
Total
Low Money Long-Term Return
Duration Short-Term Market U.S. Gov't High Yield Mortgage
Amounts in thousands Fund III Fund Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 1,597 $ 28,386 $ 12,980 $ 11,253 $ 219,482 $ 241
Dividends 0 0 0 0 5,854 0
Total Income 1,597 28,386 12,980 11,253 225,336 241
Expenses:
Investment advisory fees 62 1,163 364 420 6,324 10
Administration fees 62 1,025 731 508 7,243 10
Distribution and/or servicing fees - Administrative Class 0 17 10 16 337 0
Distribution and/or servicing fees - Other Classes 0 207 242 468 5,405 0
Trustees' fees 0 2 1 1 14 0
Interest Expense 0 0 0 705 0 0
Miscellaneous 0 0 0 0 0 0
Total Expenses 124 2,414 1,348 2,118 19,323 20
Net Investment Income 1,473 25,972 11,632 9,135 206,013 221
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (187) (51) 0 (988) (5,689) 17
Net realized gain (loss) on
futures contracts and written options 141 25 0 483 0 0
Net realized gain (loss) on
foreign currency transactions 0 243 0 0 0 0
Net change in unrealized appreciation
(depreciation) on investments 0 (530) 0 (5,908) (88,818) (4)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 14 2 0 24 0 0
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 (85) 0 0 0 0
Net Gain (Loss) (32) (396) 0 (6,389) (94,507) 13
Net Increase (Decrease) in Assets
Resulting from Operations $ 1,441 $ 25,576 $ 11,632 $ 2,746 $ 111,506 $ 234
</TABLE>
42 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Low Duration Real Return Municipal Foreign Global
Amounts in thousands Mortgage Fund Bond Fund Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest $ 339 $ 831 $ 2,121 $ 31,159 $ 15,749
Dividends 0 1 0 0 0
Total Income 339 832 2,121 31,159 15,749
Expenses:
Investment advisory fees 10 37 107 1,326 667
Administration fees 10 48 145 1,455 800
Distribution and/or servicing fees - Administrative Class 0 0 0 3 2
Distribution and/or servicing fees - Other Classes 0 50 266 462 1
Trustees' fees 0 0 1 3 2
Interest Expense 73 0 0 0 0
Miscellaneous 0 2 0 0 0
Total Expenses 93 137 519 3,249 1,472
Net Investment Income 246 695 1,602 27,910 14,277
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (2) 134 (6) 23,467 10,537
Net realized gain (loss) on
futures contracts and written options 0 33 0 2,176 3,024
Net realized gain (loss) on
foreign currency transactions 0 (36) 0 (20,570) (11,450)
Net change in unrealized appreciation
(depreciation) on investments (28) (56) 2,835 1,246 1,353
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 0 (31) 0 (360) 85
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 0 41 0 4,618 (415)
Net Gain (Loss) (30) 85 2,829 10,577 3,134
Net Increase (Decrease) in Assets
Resulting from Operations $ 216 $ 780 $ 4,431 $ 38,487 $ 17,411
<CAPTION>
Emerging Strategic
Global Markets Balanced StocksPLUS
Amounts in thousands Bond Fund II Bond Fund Fund Fund
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 2,500 $ 507 $ 3,859 $ 65,914
Dividends 0 0 0 0
Total Income 2,500 507 3,859 65,914
Expenses:
Investment advisory fees 107 19 202 3,433
Administration fees 151 18 126 2,758
Distribution and/or servicing fees - Administrative Class 0 0 0 13
Distribution and/or servicing fees - Other Classes 117 6 0 3,013
Trustees' fees 0 0 0 4
Interest Expense 0 0 0 0
Miscellaneous 0 0 0 0
Total Expenses 375 43 328 9,221
Net Investment Income 2,125 464 3,531 56,693
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 717 (379) (369) 553
Net realized gain (loss) on
futures contracts and written options 849 14 3,964 106,445
Net realized gain (loss) on
foreign currency transactions (1,491) 1 4 478
Net change in unrealized appreciation
(depreciation) on investments (18) (650) (183) (1,549)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (37) (1) 153 (8,651)
Net change in unrealized appreciation
(depreciation) on translation of assets and
liabilities denominated in foreign currencies 255 (1) (1) (210)
Net Gain (Loss) 275 (1,016) 3,568 97,066
Net Increase (Decrease) in Assets
Resulting from Operations $ 2,400 $ (552) $ 7,099 $ 153,759
</TABLE>
1999 Annual Report See accompanying notes 43
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Total Return Fund Total Return Fund II
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,285,330 $ 920,708 $ 47,526 $ 28,235
Net realized gain (loss) 472,416 644,154 13,185 16,095
Net change in unrealized appreciation (depreciation) (239,440) 196,253 (5,801) 7,391
Net increase (decrease) resulting from operations 1,518,306 1,761,115 54,910 51,721
Distributions to Shareholders:
From net investment income
Institutional Class (1,140,361) (843,692) (44,589) (26,226)
Administrative Class (62,402) (15,470) (2,906) (506)
Other Classes (83,130) (36,268) 0 0
In excess of net investment income
Institutional Class 0 (23,175) 0 (1,502)
Administrative Class 0 (425) 0 (30)
Other Classes 0 (996) 0 0
From net realized capital gains
Institutional Class (438,875) (375,236) (14,103) (5,211)
Administrative Class (31,973) (8,344) (1,325) (104)
Other Classes (41,716) (20,592) 0 0
In excess of net realized capital gains
Institutional Class (329,261) 0 (11,297) 0
Administrative Class (23,987) 0 (1,061) 0
Other Classes (31,297) 0 0 0
Total Distributions (2,183,002) (1,324,198) (75,281) (33,579)
Fund Share Transactions
Receipts for shares sold
Institutional Class 9,217,995 6,060,910 496,483 347,509
Administrative Class 1,767,082 420,992 79,589 10,297
Other Classes 1,709,684 730,357 0 0
Issued as reinvestment of distributions
Institutional Class 1,621,248 1,031,930 64,838 30,055
Administrative Class 79,793 23,828 5,036 610
Other Classes 127,090 46,126 0 0
Cost of shares redeemed
Institutional Class (5,071,068) (3,556,685) (131,415) (299,345)
Administrative Class (296,106) (117,585) (42,493) (1,264)
Other Classes (458,229) (183,785) 0 0
Net increase (decrease) resulting from
Fund share transactions 8,697,489 4,456,088 472,038 87,862
Total Increase (Decrease) in Net Assets 8,032,793 4,893,005 451,667 106,004
Net Assets:
Beginning of period 18,091,711 13,198,706 589,759 483,755
End of period * $ 26,124,504 $ 18,091,711 $ 1,041,426 $ 589,759
*Including net undistributed
(overdistributed) investment income of: $ (77,068) $ 111,760 $ (185) $ 2,245
<CAPTION>
Amounts in thousands Total Return Fund III
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998
<S> <C> <C>
Operations:
Net investment income (loss) $ 24,451 $ 16,793
Net realized gain (loss) 9,463 10,981
Net change in unrealized appreciation (depreciation) (2,710) 3,433
Net increase (decrease) resulting from operations 31,204 31,207
Distributions to Shareholders:
From net investment income
Institutional Class (24,338) (15,906)
Administrative Class (80) (7)
Other Classes 0 0
In excess of net investment income
Institutional Class 0 (857)
Administrative Class 0 0
Other Classes 0 0
From net realized capital gains
Institutional Class (10,085) (5,401)
Administrative Class (44) (2)
Other Classes 0 0
In excess of net realized capital gains
Institutional Class (10,226) 0
Administrative Class (44) 0
Other Classes 0 0
Total Distributions (44,817) (22,173)
Fund Share Transactions
Receipts for shares sold
Institutional Class 175,032 160,414
Administrative Class 1,618 211
Other Classes 0 0
Issued as reinvestment of distributions
Institutional Class 40,765 20,471
Administrative Class 151 1
Other Classes 0 0
Cost of shares redeemed
Institutional Class (79,250) (17,962)
Administrative Class (20) (39)
Other Classes 0 0
Net increase (decrease) resulting from
Fund share transactions 138,296 163,096
Total Increase (Decrease) in Net Assets 124,683 172,130
Net Assets:
Beginning of period 365,427 193,297
End of period * $ 490,110 $ 365,427
*Including net undistributed
(overdistributed) investment income of: $ (488) $ 1,694
</TABLE>
44 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Amounts in thousands Moderate Duration Fund Low Duration Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 16,161 $ 7,090 $ 217,276 $ 188,536
Net realized gain (loss) 2,537 928 4,149 25,424
Net change in unrealized appreciation (depreciation) (1,392) 1,131 (10,418) 38,823
Net increase (decrease) resulting from operations 17,306 9,149 211,007 252,783
Distributions to Shareholders:
From net investment income
Institutional Class (16,162) (7,093) (194,128) (171,675)
Administrative Class 0 0 (7,256) (1,723)
Other Classes 0 0 (15,906) (8,106)
In excess of net investment income
Institutional Class 0 (1) 0 (6,016)
Administrative Class 0 0 0 (61)
Other Classes 0 0 0 (283)
From net realized capital gains
Institutional Class (2,339) (565) (3,587) (7,885)
Administrative Class 0 0 (157) (78)
Other Classes 0 0 (389) (496)
In excess of net realized capital gains
Institutional Class (4,241) 0 (15,011) 0
Administrative Class 0 0 (657) 0
Other Classes 0 0 (1,627) 0
Total Distributions (22,742) (7,659) (238,718) (196,323)
Fund Share Transactions
Receipts for shares sold
Institutional Class 192,700 226,998 2,244,772 1,467,244
Administrative Class 0 0 160,036 33,741
Other Classes 0 0 667,128 427,414
Issued as reinvestment of distributions
Institutional Class 20,722 6,096 178,085 155,141
Administrative Class 0 0 8,030 1,852
Other Classes 0 0 14,872 7,702
Cost of shares redeemed
Institutional Class (129,738) (8,890) (1,790,902) (1,713,570)
Administrative Class 0 0 (85,080) (13,425)
Other Classes 0 0 (499,621) (369,736)
Net increase (decrease) resulting from
Fund share transactions 83,684 224,204 897,320 (3,637)
Total Increase (Decrease) in Net Assets 78,248 225,694 869,609 52,823
Net Assets:
Beginning of period 239,152 13,458 3,001,638 2,948,815
End of period * $ 317,400 $ 239,152 $ 3,871,247 $ 3,001,638
*Including net undistributed
(overdistributed) investment income of: $ (521) $ 560 $ (4,007) $ 736
<CAPTION>
Amounts in thousands Low Duration Fund II Low Duration Fund III
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 24,509 $ 20,920 $ 1,473 $ 783
Net realized gain (loss) (622) 2,785 (46) 74
Net change in unrealized appreciation (depreciation) 140 3,943 14 114
Net increase (decrease) resulting from operations 24,027 27,648 1,441 971
Distributions to Shareholders:
From net investment income
Institutional Class (23,889) (19,648) (1,473) (778)
Administrative Class (618) (1) 0 0
Other Classes 0 0 0 0
In excess of net investment income
Institutional Class 0 (1,272) 0 (5)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
From net realized capital gains
Institutional Class 0 (575) 0 (33)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
In excess of net realized capital gains
Institutional Class (1,940) 0 (174) 0
Administrative Class (98) 0 0 0
Other Classes 0 0 0 0
Total Distributions (26,545) (21,496) (1,647) (816)
Fund Share Transactions
Receipts for shares sold
Institutional Class 87,842 177,099 2,570 12,870
Administrative Class 22,291 72 7 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 24,013 20,086 1,637 816
Administrative Class 719 0 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (96,356) (141,508) (1,349) (1)
Administrative Class (194) (16) 0 0
Other Classes 0 0 0 0
Net increase (decrease) resulting from
Fund share transactions 38,315 55,733 2,865 13,685
Total Increase (Decrease) in Net Assets 35,797 61,885 2,659 13,840
Net Assets:
Beginning of period 401,260 339,375 23,896 10,056
End of period * $ 437,057 $ 401,260 $ 26,555 $ 23,896
*Including net undistributed
(overdistributed) investment income of: $ (172) $ 48 $ (14) $ 22
</TABLE>
1999 Annual Report See accompanying notes 45
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Short-Term Fund Money Market Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 25,972 $ 11,861 $ 11,632 $ 7,052
Net realized gain (loss) 217 922 0 0
Net change in unrealized appreciation (depreciation) (613) 455 0 0
Net increase (decrease) resulting from operations 25,576 13,238 11,632 7,052
Distributions to Shareholders:
From net investment income
Institutional Class (22,390) (10,663) (3,682) (1,932)
Administrative Class (360) (239) (182) (15)
Other Classes (3,228) (751) (7,771) (5,105)
In excess of net investment income
Institutional Class 0 (192) 0 (1)
Administrative Class 0 (4) 0 0
Other Classes 0 (13) 0 (2)
From net realized capital gains
Institutional Class (110) (251) 0 0
Administrative Class (3) (7) 0 0
Other Classes (21) (25) 0 0
In excess of net realized capital gains
Institutional Class (425) 0 0 0
Administrative Class (10) 0 0 0
Other Classes (80) 0 0 0
Total Distributions (26,627) (12,145) (11,635) (7,055)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 860,075 311,342 808,199 126,866
Administrative Class 27,827 4,605 40,192 1,317
Other Classes 157,205 54,585 5,353,575 3,188,249
Issued as reinvestment of distributions
Institutional Class 16,198 9,089 2,847 1,408
Administrative Class 301 35 177 15
Other Classes 2,859 681 5,275 3,634
Cost of shares redeemed
Institutional Class (552,459) (305,111) (544,088) (96,437)
Administrative Class (29,487) (4,023) (31,845) (594)
Other Classes (89,676) (27,134) (5,252,531) (3,224,002)
Net increase (decrease) resulting from
Fund share transactions 392,843 44,069 381,801 456
Total Increase (Decrease) in Net Assets 391,792 45,162 381,798 453
Net Assets:
Beginning of period 210,196 165,034 156,092 155,639
End of period * $ 601,988 $ 210,196 $ 537,890 $ 156,092
*Including net undistributed
(overdistributed) investment income of: $ 343 $ 741 $ 14 $ 20
<CAPTION>
Amounts in thousands Long-Term U.S. Gov't Fund
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998
<S> <C> <C>
Operations:
Net investment income (loss) $ 9,135 $ 2,312
Net realized gain (loss) (505) 3,273
Net change in unrealized appreciation (depreciation) (5,884) 1,860
Net increase (decrease) resulting from operations 2,746 7,445
Distributions to Shareholders:
From net investment income
Institutional Class (6,013) (2,186)
Administrative Class (335) (122)
Other Classes (2,789) (443)
In excess of net investment income
Institutional Class 0 (1)
Administrative Class 0 0
Other Classes 0 0
From net realized capital gains
Institutional Class 0 (218)
Administrative Class 0 (21)
Other Classes 0 (78)
In excess of net realized capital gains
Institutional Class (4,038) 0
Administrative Class (257) 0
Other Classes (3,303) 0
Total Distributions (16,735) (3,069)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 187,435 48,113
Administrative Class 9,432 4,924
Other Classes 114,014 22,677
Issued as reinvestment of distributions
Institutional Class 8,444 1,998
Administrative Class 587 97
Other Classes 4,587 353
Cost of shares redeemed
Institutional Class (65,866) (25,182)
Administrative Class (3,111) (191)
Other Classes (34,334) (4,654)
Net increase (decrease) resulting from
Fund share transactions 221,188 48,135
Total Increase (Decrease) in Net Assets 207,199 52,511
Net Assets:
Beginning of period 74,439 21,928
End of period * $ 281,638 $ 74,439
*Including net undistributed
(overdistributed) investment income of: $ 100 $ 488
</TABLE>
46 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Amounts in thousands High Yield Fund Total Return Mortgage Fund
Period from
Year Ended Year Ended Year Ended July 31, 1997 to
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 206,013 $ 120,838 $ 221 $ 140
Net realized gain (loss) (5,689) 17,622 17 22
Net change in unrealized appreciation (depreciation) (88,818) 53,329 (4) 61
Net increase (decrease) resulting from operations 111,506 191,789 234 223
Distributions to Shareholders:
From net investment income
Institutional Class (148,151) (90,115) (215) (140)
Administrative Class (10,883) (1,993) 0 0
Other Classes (44,450) (29,187) (6) 0
In excess of net investment income
Institutional Class (1,916) 0 0 0
Administrative Class (141) 0 0 0
Other Classes (573) 0 0 0
From net realized capital gains
Institutional Class 0 0 (12) (2)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
In excess of net realized capital gains
Institutional Class 0 (8,670) (23) 0
Administrative Class 0 (190) 0 0
Other Classes 0 (3,379) (1) 0
Total Distributions (206,114) (133,534) (257) (142)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 1,188,947 991,624 313 3,365
Administrative Class 211,212 63,673 0 0
Other Classes 589,193 298,068 178 0
Issued as reinvestment of distributions
Institutional Class 136,088 90,586 249 142
Administrative Class 10,049 1,429 0 0
Other Classes 26,142 19,420 7 0
Cost of shares redeemed
Institutional Class (721,757) (238,595) (1) 0
Administrative Class (48,081) (6,334) 0 0
Other Classes (284,595) (116,831) 0 0
Net increase (decrease) resulting from
Fund share transactions 1,107,198 1,103,040 746 3,507
Total Increase (Decrease) in Net Assets 1,012,590 1,161,295 723 3,588
Net Assets:
Beginning of period 2,210,660 1,049,365 3,588 0
End of period * $ 3,223,250 $ 2,210,660 $ 4,311 $ 3,588
*Including net undistributed
(overdistributed) investment income of: $ (2,284) $ (2,529) $ 2 $ 25
<CAPTION>
Amounts in thousands Low Duration Mortgage Fund Real Return Bond Fund
Period from
Year Ended July 31, 1997 to Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 246 $ 150 $ 695 $ 317
Net realized gain (loss) (2) 25 131 52
Net change in unrealized appreciation (depreciation) (28) 27 (46) (21)
Net increase (decrease) resulting from operations 216 202 780 348
Distributions to Shareholders:
From net investment income
Institutional Class (247) (150) (358) (248)
Administrative Class 0 0 0 0
Other Classes 0 0 (309) (71)
In excess of net investment income
Institutional Class 0 0 (50) (18)
Administrative Class 0 0 0 0
Other Classes 0 0 (44) (5)
From net realized capital gains
Institutional Class 0 (9) (3) (68)
Administrative Class 0 0 0 0
Other Classes 0 0 (4) (31)
In excess of net realized capital gains
Institutional Class (16) 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Total Distributions (263) (159) (768) (441)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 174 3,553 11,606 4,626
Administrative Class 0 0 0 0
Other Classes 0 0 13,163 3,598
Issued as reinvestment of distributions
Institutional Class 263 159 354 333
Administrative Class 0 0 0 0
Other Classes 0 0 253 91
Cost of shares redeemed
Institutional Class (19) (7) (1,921) (5,016)
Administrative Class 0 0 0 0
Other Classes 0 0 (3,138) (1,953)
Net increase (decrease) resulting from
Fund share transactions 418 3,705 20,317 1,679
Total Increase (Decrease) in Net Assets 371 3,748 20,329 1,586
Net Assets:
Beginning of period 3,748 0 7,882 6,296
End of period * $ 4,119 $ 3,748 $ 28,211 $ 7,882
*Including net undistributed
(overdistributed) investment income of: $ 5 $ 15 $ (13) $ (25)
</TABLE>
1999 Annual Report See accompanying notes 47
<PAGE>
Statements of Changes in Net Assets (Cont.)
<TABLE>
<CAPTION>
Amounts in thousands Municipal Bond Fund Foreign Bond Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,602 $ 33 $ 27,910 $ 20,326
Net realized gain (loss) (6) (1) 5,073 20,051
Net change in unrealized appreciation (depreciation) 2,835 (9) 5,504 (2,005)
Net increase (decrease) resulting from operations 4,431 23 38,487 38,372
Distributions to Shareholders:
From net investment income
Institutional Class (205) (33) (25,130) (18,748)
Administrative Class (8) 0 (64) (13)
Other Classes (1,389) 0 (2,866) (1,045)
In excess of net investment income
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes (2) 0 0 0
From net realized capital gains
Institutional Class 0 0 (4,309) (9,705)
Administrative Class 0 0 (14) (7)
Other Classes 0 0 (686) (761)
In excess of net realized capital gains
Institutional Class 0 0 (10,785) 0
Administrative Class 0 0 (36) 0
Other Classes 0 0 (1,716) 0
Total Distributions (1,604) (33) (45,606) (30,279)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 5,971 3,000 289,812 230,125
Administrative Class 1,529 0 2,200 298
Other Classes 10,783 0 67,890 34,319
Issued in reorganization
Other Classes 47,296 0 0 0
Issued as reinvestment of distributions
Institutional Class 200 33 29,323 21,425
Administrative Class 8 0 115 21
Other Classes 953 0 4,443 1,599
Cost of shares redeemed
Institutional Class (3,365) 0 (174,844) (102,060)
Administrative Class (112) 0 (507) (38)
Other Classes (10,555) 0 (20,336) (2,599)
Net increase (decrease) resulting from
Fund share transactions 52,708 3,033 198,096 183,090
Total Increase (Decrease) in Net Assets 55,535 3,023 190,977 191,183
Net Asset:
Beginning of period 3,023 0 429,806 238,623
End of period * $ 58,558 $ 3,023 $ 620,783 $ 429,806
*Including net undistributed
(overdistributed) investment income of: $ (2) $ 0 $ 8,423 $ 20,944
<CAPTION>
Amounts in thousands Global Bond Fund
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998
<S> <C> <C>
Operations:
Net investment income (loss) $ 14,277 $ 17,040
Net realized gain (loss) 2,111 (576)
Net change in unrealized appreciation (depreciation) 1,023 (2,734)
Net increase (decrease) resulting from operations 17,411 13,730
Distributions to Shareholders:
From net investment income
Institutional Class (9,599) (13,779)
Administrative Class (42) (167)
Other Classes 0 0
In excess of net investment income
Institutional Class (4,449) 0
Administrative Class (19) 0
Other Classes 0 0
From net realized capital gains
Institutional Class (2,103) (5,218)
Administrative Class (9) (11)
Other Classes 0 0
In excess of net realized capital gains
Institutional Class 0 0
Administrative Class 0 0
Other Classes 0 0
Total Distributions (16,221) (19,175)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 70,516 97,041
Administrative Class 1,116 18,488
Other Classes 0 0
Issued in reorganization
Other Classes 0 0
Issued as reinvestment of distributions
Institutional Class 12,222 15,183
Administrative Class 70 163
Other Classes 0 0
Cost of shares redeemed
Institutional Class (73,227) (66,343)
Administrative Class (1,398) (17,243)
Other Classes 0 0
Net increase (decrease) resulting from
Fund share transactions 9,299 47,289
Total Increase (Decrease) in Net Assets 10,489 41,844
Net Asset:
Beginning of period 257,821 215,977
End of period * $ 268,310 $ 257,821
*Including net undistributed
(overdistributed) investment income of: $ (3,116) $ 4,637
</TABLE>
48 PIMCO Funds See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Amounts in thousands Global Bond Fund II Emerging Markets Bond Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 2,125 $ 1,124 $ 464 $ 183
Net realized gain (loss) 75 1,252 (364) (108)
Net change in unrealized appreciation (depreciation) 200 (178) (652) 89
Net increase (decrease) resulting from operations 2,400 2,198 (552) 164
Distributions to Shareholders:
From net investment income
Institutional Class (1,435) (100) (388) (165)
Administrative Class 0 0 (7) 0
Other Classes (683) (833) (69) (19)
In excess of net investment income
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
From net realized capital gains
Institutional Class (42) 0 0 0
Administrative Class 0 0 0 0
Other Classes (20) (2,237) 0 0
In excess of net realized capital gains
Institutional Class (220) 0 (23) (51)
Administrative Class 0 0 (1) 0
Other Classes (107) 0 (4) (9)
Total Distributions (2,507) (3,170) (492) (244)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 4,100 24,247 794 3,907
Administrative Class 0 0 101 0
Other Classes 3,958 8,381 959 779
Issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 1,643 100 397 212
Administrative Class 0 0 8 0
Other Classes 641 2,575 45 22
Cost of shares redeemed
Institutional Class (1,175) 0 (346) (350)
Administrative Class 0 0 0 0
Other Classes (8,418) (9,329) (789) (57)
Net increase (decrease) resulting from
Fund share transactions 749 25,974 1,169 4,513
Total Increase (Decrease) in Net Assets 642 25,002 125 4,433
Net Asset:
Beginning of period 41,902 16,900 4,433 0
End of period * $ 42,544 $ 41,902 $ 4,558 $ 4,433
*Including net undistributed
(overdistributed) investment income of: $ (41) $ 141 $ 0 $ 27
<CAPTION>
Amounts in thousands Strategic Balanced Fund StockPLUS Fund
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 3,531 $ 3,200 $ 56,693 $ 64,898
Net realized gain (loss) 3,599 3,171 107,476 85,623
Net change in unrealized appreciation (depreciation) (31) 630 (10,410) 21,299
Net increase (decrease) resulting from operations 7,099 7,001 153,759 171,820
Distributions to Shareholders:
From net investment income
Institutional Class (3,137) (2,495) (26,793) (35,277)
Administrative Class 0 0 (392) (126)
Other Classes (7) 0 (23,747) (15,120)
In excess of net investment income
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
From net realized capital gains
Institutional Class (3,351) (811) (37,459) (25,683)
Administrative Class 0 0 (609) (96)
Other Classes (7) 0 (38,807) (12,860)
In excess of net realized capital gains
Institutional Class 0 0 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Total Distributions (6,502) (3,306) (127,807) (89,162)
Fund Share Transactions:
Receipts for shares sold
Institutional Class 55,153 29,336 204,651 225,911
Administrative Class 0 0 9,414 1,303
Other Classes 164 0 482,821 233,963
Issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 4,030 617 61,000 54,317
Administrative Class 0 0 978 211
Other Classes 14 0 54,076 26,317
Cost of shares redeemed
Institutional Class (640) (5,202) (181,983) (165,345)
Administrative Class 0 0 (1,643) (291)
Other Classes (6) 0 (131,236) (43,168)
Net increase (decrease) resulting from
Fund share transactions 58,715 24,751 498,078 333,218
Total Increase (Decrease) in Net Assets 59,312 28,446 524,030 415,876
Net Asset:
Beginning of period 38,806 10,360 677,712 261,836
End of period * $ 98,118 $ 38,806 $ 1,201,742 $ 677,712
*Including net undistributed
(overdistributed) investment income of: $ 2,185 $ 2,019 $ 54,973 $ 43,808
</TABLE>
1999 Annual Report See accompanying notes 49
<PAGE>
Statements of Cash Flows
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
Long-Term Low Duration
U.S. Gov't Mortgage Real Return Foreign
Amounts in thousands Fund Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 309,820 $ 174 $ 24,566 $ 361,271
Redemptions of Fund shares (100,796) (18) (5,000) (193,788)
Cash distributions paid (2,861) 0 (117) (11,529)
Increase/(decrease) from financing transactions 65,093 (288) 24,194 193,593
Net increase (decrease) from financing activities 271,256 (132) 43,643 349,547
Operating Activities
Purchases of long-term securities and foreign currency (1,397,805) (13,454) (149,863) (3,160,063)
Proceeds from sales of long-term securities and foreign currency 1,119,820 13,286 108,132 2,556,532
Purchases of short-term securities (net) 1,972 57 (1,213) 203,747
Net investment income 9,135 246 695 27,910
Change in other receivables/payables (net) (4,401) (4) (508) 20,460
Net increase (decrease) from operating activities (271,279) 131 (42,757) (351,414)
Net Increase in Cash and Foreign Currency (23) (1) 886 (1,867)
Cash and Foreign Currency
Beginning of period 23 1 2 1,867
End of period $ 0 $ 0 $ 888 $ 0
<CAPTION>
Emerging
Global Global Markets
Amounts in thousands Bond Fund Bond Fund II Bond Fund
<S> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 72,552 $ 7,967 $ 1,854
Redemptions of Fund shares (74,761) (9,615) (1,137)
Cash distributions paid (3,931) (213) (41)
Increase/(decrease) from financing transactions 17,184 (2,473) 866
Net increase (decrease) from financing activities 11,044 (4,334) 1,542
Operating Activities
Purchases of long-term securities and foreign currency (1,331,280) (214,970) (17,562)
Proceeds from sales of long-term securities and foreign currency 1,196,408 193,890 14,996
Purchases of short-term securities (net) 76,998 23,518 478
Net investment income 14,277 2,125 464
Change in other receivables/payables (net) 32,139 (325) (105)
Net increase (decrease) from operating activities (11,458) 4,238 (1,729)
Net Increase in Cash and Foreign Currency (414) (96) (187)
Cash and Foreign Currency
Beginning of period 414 224 203
End of period $ 0 $ 128 $ 16
</TABLE>
50 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------
CORPORATE BONDS & NOTES 36.3%
- --------------------------------------------------------------
Banking & Finance 23.2%
Abbey National PLC
6.625% due 05/23/2001 $ 240 $ 240
6.700% due 06/29/2049 5,000 4,888
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 156
Aetna, Inc.
7.250% due 08/15/2023 50 49
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 178
Allstate Corp.
6.750% due 05/15/2018 280 282
6.900% due 05/15/2038 60,400 59,830
American Express
8.500% due 08/15/2001 350 371
5.625% due 01/22/2004 3,700 3,655
American General Finance
7.250% due 04/15/2000 500 509
6.270% due 06/09/2000 800 808
5.875% due 07/01/2000 75 75
7.450% due 07/01/2002 200 209
6.250% due 12/18/2002 1,080 1,092
6.375% due 03/01/2003 350 356
AON Capital Trust `A'
8.205% due 01/01/2027 725 808
Associates Corp. of North America
7.250% due 09/01/1999 285 287
6.750% due 10/15/1999 90 91
7.850% due 10/20/1999 500 507
8.250% due 12/01/1999 200 204
7.250% due 12/17/1999 660 669
7.470% due 03/27/2000 1,000 1,020
6.000% due 06/15/2000 2,634 2,650
6.310% due 06/16/2000 500 506
6.250% due 09/15/2000 200 201
6.625% due 05/15/2001 300 306
6.700% due 05/29/2001 100 102
7.000% due 07/23/2001 500 515
5.104% due 08/27/2001(d) 3,500 3,509
6.450% due 10/15/2001 23,600 24,063
7.500% due 04/15/2002 185 194
6.500% due 07/15/2002 750 767
5.750% due 11/01/2003 4,175 4,140
6.000% due 07/15/2005 60,365 59,571
AT&T Capital Corp.
5.438% due 04/01/1999(d) 175,500 175,500
6.410% due 08/13/1999 4,000 4,015
6.580% due 09/03/1999 500 502
5.337% due 09/20/1999(d) 9,000 8,995
6.230% due 10/15/1999 2,000 2,011
6.160% due 12/03/1999 1,000 1,005
5.405% due 03/21/2000(d) 31,100 31,054
6.900% due 01/30/2002 1,000 1,025
6.750% due 02/04/2002 1,925 1,970
AVCO Financial Services
6.350% due 09/15/2000 100 101
7.375% due 08/15/2001 300 310
Banco Latino Americano SA
6.310% due 10/18/1999 850 854
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,609
Banesto Delaware
8.250% due 07/28/2002 28,900 30,639
BankAmerica Corp.
5.370% due 11/01/1999(d) 3,000 3,008
5.240% due 03/05/2001(d) 36,000 36,138
5.312% due 02/20/2002(d) 35,180 35,091
8.125% due 06/15/2002 350 374
7.750% due 07/15/2002 360 380
7.200% due 09/15/2002 400 416
7.500% due 10/15/2002 1,000 1,050
6.850% due 03/01/2003 65 67
6.875% due 06/01/2003 100 103
8.950% due 11/15/2004 500 506
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 147
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,582
Bankers Trust Corp.
6.750% due 10/03/2001 500 508
8.125% due 05/15/2002 300 315
5.139% due 07/03/2002(d) 10,000 9,766
7.125% due 07/31/2002 150 153
5.100% due 05/11/2003(d) 82,800 83,209
6.000% due 10/15/2008 500 478
Banponce Corp.
6.164% due 12/15/1999 5,000 5,002
Bear Stearns Co., Inc.
7.625% due 09/15/1999 550 556
4.440% due 06/12/2000(d) 8,700 8,708
4.520% due 06/20/2000(d) 7,700 7,706
6.750% due 08/15/2000 50 51
5.100% due 08/25/2000(d) 1,400 1,400
5.230% due 08/29/2000(d) 39,800 39,858
5.821% due 02/06/2001(d) 2,400 2,414
5.138% due 02/16/2001(d) 2,000 1,996
5.139% due 03/02/2001(d) 7,500 7,485
5.407% due 01/28/2002(d) 11,250 11,226
5.280% due 04/05/2002(d) 25,000 25,000
6.125% due 02/01/2003 25 25
6.750% due 04/15/2003 105 107
5.185% due 07/22/2003(d) 19,000 18,840
8.750% due 03/15/2004 75 83
6.625% due 10/01/2004 250 253
5.601% due 03/18/2005(d) 31,000 31,065
6.250% due 07/15/2005 25,000 24,711
Bell Atlantic Financial
5.750% due 04/01/2003 1,000 1,058
Beneficial Corp.
5.950% due 07/25/2000 5,000 4,995
5.360% due 11/27/2000(d) 90,000 90,170
4.790% due 01/09/2001(d) 9,000 8,988
5.115% due 01/09/2002(d) 500 497
5.358% due 01/23/2002(d) 5,000 5,012
5.451% due 03/01/2002(d) 40,000 40,173
6.030% due 01/14/2003 320 317
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,864
BT Securities Corp.
5.290% due 08/16/1999(d) 10,000 9,951
Capital One Bank
6.830% due 08/16/1999 275 276
Caterpillar Financial Service Corp.
5.370% due 06/08/2000 500 501
5.300% due 05/29/2001(d) 10,000 9,988
6.480% due 12/12/2001 575 586
Central Hispano Financial Services
5.720% due 04/29/2005(d) 5,000 5,018
Chase Manhattan Corp.
5.875% due 08/04/1999 400 400
8.500% due 02/15/2002 200 214
Chemical Banking Corp.
6.125% due 11/01/2008 400 400
Chrysler Financial Co. LLC
6.350% due 06/22/1999 8,000 8,020
8.460% due 01/19/2000 700 717
6.250% due 03/06/2000 14,735 14,884
4.250% due 07/28/2000(d) 100 100
6.625% due 08/15/2000 300 305
5.860% due 01/16/2001 500 504
4.968% due 06/11/2001(d) 6,000 6,003
5.690% due 11/15/2001 150 150
5.400% due 01/15/2002 15,250 15,103
5.080% due 07/17/2002(d) 20,000 20,019
5.077% due 08/08/2002(d) 34,000 34,057
5.118% due 02/03/2003(d) 15,000 15,007
1999 Annual Report See accompanying notes 51
<PAGE>
Schedule of Investments (cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------
5.108% due 03/06/2003(d) $ 5,000 $ 5,020
5.058% due 06/18/2003 35,000 35,038
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 104
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 33,656
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,235
6.750% due 05/14/2001 30,000 30,631
Citicorp
9.750% due 08/01/1999 2,200 2,231
5.619% due 10/20/1999(d) 10,000 10,027
5.371% due 10/25/1999(d) 11,000 11,031
5.230% due 05/23/2000(d) 25,000 25,102
5.491% due 06/01/2000 5,000 5,021
5.500% due 11/28/2000(d) 5,000 5,025
5.250% due 02/01/2001(d) 10,000 10,056
5.375% due 05/24/2001(d) 69,000 69,158
5.480% due 11/13/2001(d) 10,000 10,022
5.300% due 06/27/2002(d) 11,450 11,398
5.090% due 08/15/2002(d) 11,500 11,543
5.527% due 11/12/2002(d) 30,000 30,081
8.000% due 02/01/2003 250 266
7.125% due 09/01/2005 100 103
7.250% due 09/01/2008 500 527
Comerica, Inc.
7.250% due 06/15/2007 200 212
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 302
5.550% due 02/15/2001 1,300 1,298
8.250% due 11/01/2001 2,500 2,643
7.750% due 03/01/2005 550 589
Conseco Finance Trust
8.796% due 04/01/2027 125 117
Credit Asset Receivable
6.274% due 10/30/2003 49,343 50,345
Dean Witter Discover
5.584% due 06/27/2000(d) 1,900 1,894
6.750% due 08/15/2000 100 102
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,203
Donaldson, Lufkin & Jenrette
5.470% due 09/18/2002(d) 13,600 13,650
6.170% due 07/15/2003 20,000 19,902
Dow Capital BV
7.125% due 01/15/2003 100 104
Edison Funding
6.000% due 09/20/1999 5,000 5,021
6.000% due 12/20/1999 5,000 5,007
Exxon Capital Corp.
7.450% due 12/15/2001 250 261
First Chicago Corp.
5.614% due 02/10/2000(d) 20,000 20,061
5.300% due 03/11/2002(d) 10,000 10,063
5.547% due 02/18/2003(d) 10,000 9,848
5.344% due 07/28/2003(d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009(j) 181 188
First Union Corp.
6.375% due 01/15/2009 500 501
Fleet Financial Group
9.900% due 06/15/2001 200 216
Ford Holdings, Inc.
9.250% due 03/01/2000 9,190 9,490
Ford Motor Credit Corp.
8.875% due 06/15/1999 100 101
6.375% due 04/15/2000 250 253
6.950% due 05/15/2000 8,450 8,604
4.550% due 08/14/2000(d) 75,800 76,050
6.850% due 08/15/2000 1,500 1,525
6.375% due 10/06/2000 1,000 1,013
7.020% due 10/10/2000 71,250 72,943
6.250% due 11/08/2000 750 759
5.250% due 03/05/2001(d) 5,000 5,015
5.803% due 04/10/2001(d) 10,850 10,850
7.020% due 06/07/2001 1,000 1,028
4.970% due 07/13/2001(d) 36,500 36,680
5.104% due 08/27/2001(d) 27,500 27,454
5.166% due 09/03/2001(d) 11,000 11,008
7.000% due 09/25/2001 1,125 1,160
5.468% due 10/15/2001(d) 13,000 13,014
5.130% due 01/17/2002(d) 53,945 53,755
8.200% due 02/15/2002 11,600 12,315
6.500% due 02/28/2002 1,560 1,592
5.150% due 03/19/2002 28,208 28,175
5.382% due 04/29/2002(d) 33,000 33,001
7.320% due 05/23/2002 14,000 14,032
5.425% due 06/04/2002(d) 2,000 2,004
5.180% due 10/15/2002(d) 4,000 3,989
7.750% due 11/15/2002 5,430 5,763
7.500% due 01/15/2003 250 263
5.109% due 02/03/2003(d) 30,000 30,043
5.100% due 02/13/2003(d) 100,000 100,159
5.525% due 02/13/2003(d) 190,985 190,334
6.125% due 04/28/2003 580 585
6.625% due 06/30/2003 775 794
5.226% due 06/02/2004(d) 1,500 1,504
8.250% due 02/23/2005 2,500 2,757
5.407% due 04/28/2005(d) 50,000 49,677
6.125% due 01/09/2006 25 25
7.700% due 05/15/2097 450 489
General Electric Capital Corp.
8.375% due 03/01/2001 665 699
5.500% due 11/01/2001 50 50
6.210% due 12/09/2005 400 404
8.300% due 09/20/2009 150 176
General Motors Acceptance Corp.
8.400% due 10/15/1999 360 366
8.170% due 01/02/2000 312 320
6.500% due 01/17/2000 46,110 46,256
6.650% due 05/05/2000 6,500 6,578
6.875% due 06/01/2000 10,250 10,405
7.500% due 06/09/2000 1,000 1,024
5.699% due 11/20/2000 66,690 66,950
5.500% due 01/16/2001 15,000 14,984
8.625% due 01/18/2001 15,000 15,771
8.500% due 01/19/2001 3,675 3,858
5.800% due 04/09/2001 8,340 8,373
6.800% due 04/17/2001 4,800 4,909
5.950% due 04/20/2001 22,150 22,299
6.700% due 04/30/2001 3,000 3,064
7.125% due 05/01/2001 44,095 45,291
6.750% due 06/05/2001 880 900
4.991% due 10/22/2001(d) 25,000 25,008
9.625% due 12/15/2001 5,650 6,191
5.375% due 12/17/2001(d) 13,000 13,064
5.160% due 01/08/2002(d) 3,000 3,004
6.625% due 01/10/2002 500 510
6.750% due 02/07/2002 1,590 1,632
5.180% due 03/15/2002(d) 6,215 6,215
5.095% due 04/29/2002(d) 168,184 167,864
7.000% due 09/15/2002 250 259
6.625% due 10/01/2002 5,000 5,118
5.100% due 11/12/2002(d) 10,200 10,202
6.200% due 12/15/2002 500 508
6.000% due 01/15/2003 990 995
5.875% due 01/22/2003 30,500 30,503
6.750% due 03/15/2003 40,125 41,298
7.125% due 05/01/2003 36,000 37,492
5.100% due 08/18/2003(d) 34,740 34,578
5.550% due 09/15/2003 32,000 31,495
6.625% due 10/20/2003 2,000 2,052
5.750% due 11/10/2003 1,000 992
8.950% due 07/02/2009 21,500 23,597
Golden State Holdings
6.750% due 08/01/2001 1,250 1,254
Goldman Sachs Group
5.030% due 07/31/2000(d) 26,000 26,058
52 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
5.150% due 11/21/2000(d) $ 20,000 $ 19,894
5.210% due 11/24/2000(d) 108,000 108,305
6.200% due 12/15/2000 6,500 6,529
5.150% due 12/22/2000(d) 17,000 17,089
5.237% due 01/09/2001(d) 105,000 104,865
5.490% due 01/16/2001(d) 14,000 14,078
5.151% due 01/25/2001(d) 77,000 77,185
5.230% due 02/20/2001(d) 3,000 3,002
5.431% due 04/16/2001(d) 18,000 18,001
5.300% due 12/07/2001(d) 25,000 25,105
5.250% due 12/24/2001(d) 900 904
5.400% due 02/19/2002(d) 2,300 2,300
Hartford Life
7.650% due 06/15/2027 15,000 16,281
Heller Financial, Inc.
5.103% due 04/01/1999(d) 19,000 19,005
5.217% due 04/27/1999(d) 20,000 20,008
6.640% due 05/13/1999 2,000 2,002
5.352% due 09/03/1999(d) 4,000 4,003
6.405% due 10/15/1999 10,000 10,059
5.381% due 12/01/1999(d) 25,000 25,030
6.520% due 12/06/1999 8,750 8,819
5.443% due 01/18/2000 2,000 2,002
5.625% due 03/15/2000 200 200
6.500% due 05/15/2000 12,000 12,113
5.280% due 07/07/2000(d) 60,000 60,144
5.380% due 08/25/2000(d) 11,000 11,004
5.330% due 09/25/2000(d) 14,500 14,532
6.500% due 11/01/2001 250 254
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,027
5.310% due 07/07/2000(d) 40,000 40,071
Household Bank
5.410% due 09/26/2001(d) 9,000 9,011
5.159% due 10/22/2003(d) 15,000 14,919
Household Capital Trust
5.600% due 06/26/2004(d) 3,075 3,072
Household Finance Corp.
6.580% due 05/17/1999 165 165
5.369% due 08/01/2001(d) 1,500 1,503
5.369% due 11/01/2001(d) 5,000 5,012
5.096% due 05/07/2002(d) 40,850 40,869
5.260% due 06/24/2003(d) 31,000 31,149
5.500% due 06/24/2003 35,000 35,168
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,921
Inter-American Development Bank
8.875% due 06/01/2009 200 245
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 508
6.420% due 09/11/2000 500 505
5.930% due 07/15/2003 14,000 13,959
J.P. Morgan & Co.
6.250% due 12/15/2005 200 198
Key Bank NA
7.550% due 09/15/2006 350 375
Kimco Realty Corp.
6.500% due 10/01/2003 200 198
Korea Development Bank
6.250% due 05/01/2000 5,000 4,936
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 48
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 7,952
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,440
Lehman Brothers Holdings, Inc.
7.110% due 09/27/1999 20 20
4.990% due 08/11/2000(d) 30,000 29,890
5.900% due 04/01/2002(d) 56,850 56,850
Lehman Brothers, Inc.
7.410% due 05/25/1999 500 501
4.590% due 09/01/1999(d) 10,000 9,965
7.140% due 09/24/1999 34 34
6.150% due 03/15/2000 7,700 7,702
5.376% due 04/03/2000(d) 30,000 29,847
6.500% due 07/18/2000 3,000 3,011
6.650% due 07/27/2000(d) 8,000 7,990
6.330% due 08/01/2000 666 667
6.400% due 08/30/2000 1,500 1,508
6.500% due 09/25/2000 11,200 11,278
5.390% due 09/26/2000(d) 5,000 4,957
5.346% due 11/06/2000(d) 30,910 30,933
5.702% due 12/01/2000(d) 500 497
6.125% due 02/01/2001 2,000 1,992
5.750% due 02/20/2001 1,500 1,502
5.287% due 02/27/2001(d) 76,400 75,978
5.164% due 06/01/2001(d) 100,000 99,081
6.020% due 08/28/2002(d) 6,500 6,452
5.577% due 09/03/2002(d) 14,000 14,009
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 18,963
Marine Midland
5.375% due 12/20/2000(d) 3,700 3,709
MBNA Corp.
5.661% due 12/01/1999(d) 66,900 66,922
5.320% due 09/13/2001(d) 1,000 996
6.990% due 05/24/2002 1,000 1,003
5.619% due 12/10/2002 2,100 2,057
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
6.300% due 04/02/2001 7,500 7,485
7.120% due 01/16/2004 7,500 7,601
Meditrust
7.375% due 07/15/2000 345 334
Mellon Bank Corp.
6.500% due 08/01/2005 75 76
Merrill Lynch & Co.
8.250% due 11/15/1999 250 254
6.620% due 06/06/2000 500 505
6.450% due 06/20/2000 350 355
6.250% due 07/25/2000 490 495
5.269% due 08/03/2000(d) 5,000 5,013
5.300% due 09/25/2000(d) 5,000 5,008
5.362% due 10/03/2000(d) 20,000 20,002
5.440% due 12/05/2000(d) 89,000 89,032
6.500% due 04/01/2001 400 406
6.750% due 04/30/2001 2,775 2,838
5.081% due 05/08/2001 54,900 55,006
5.204% due 05/30/2001(d) 3,800 3,784
5.345% due 06/04/2001(d) 30,000 29,963
7.050% due 06/04/2001 6,175 6,356
5.299% due 11/01/2001(d) 30,000 30,004
5.457% due 11/09/2001(d) 10,000 10,011
5.130% due 01/15/2002(d) 17,000 17,024
5.345% due 02/01/2002(d) 4,000 4,011
8.000% due 02/01/2002 400 421
7.375% due 08/17/2002 300 313
8.300% due 11/01/2002 200 214
6.000% due 02/12/2003 500 502
6.875% due 03/01/2003 140 144
5.400% due 06/24/2003(d) 27,000 26,884
5.226% due 10/01/2003(d) 5,000 5,001
7.000% due 03/15/2006 1,500 1,545
7.000% due 04/27/2008 100 104
6.375% due 10/15/2008 17,000 16,896
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,829
Mexico Credit Link
10.508% due 02/22/2002(d) 29,500 30,527
MIC Financing Trust
8.375% due 02/01/2027 36,000 35,442
Morgan Stanley Group, Inc.
6.375% due 12/15/2003 150 152
Morgan Stanley, Dean Witter, Discover and Co.
5.657% due 02/06/2001 1,190 1,195
5.412% due 04/16/2001(d) 25,000 24,998
6.700% due 05/01/2001 600 610
1999 Annual Report See accompanying notes 53
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
9.375% due 06/15/2001 $ 300 $ 322
5.150% due 12/19/2001(d) 19,700 19,696
5.429% due 03/11/2003(d) 10,000 9,950
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 22,545
6.000% due 01/15/2009 27,000 26,091
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
8.649% due 12/01/2000(d) 25,250 25,755
NationsBank Corp.
6.750% due 02/26/2001 500 511
7.000% due 09/15/2001 1,500 1,543
5.650% due 06/17/2002(d) 10,000 9,954
NCNB Corp.
7.750% due 08/01/2002 796 797
Norwest Financial, Inc.
7.000% due 01/15/2003 300 312
6.000% due 02/01/2004 50 50
Okobank
5.350% due 05/23/2006(d) 10,000 9,882
Paccar Financial Corp.
6.740% due 09/15/2000 250 254
PaineWebber
5.520% due 10/04/1999 4,000 4,000
7.000% due 03/01/2000 200 202
6.950% due 03/31/2000 120 121
6.538% due 05/09/2000(d) 5,000 5,010
5.470% due 02/18/2002(d) 5,000 4,965
5.590% due 05/20/2002(d) 1,000 988
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
Pitney Bowes Credit Corp.
6.540% due 07/15/1999 400 402
PNC Bank Corp.
4.913% due 06/01/2000(d) 217,000 216,768
5.100% due 01/24/2002(d) 49,000 48,657
5.001% due 08/15/2002(d) 5,000 5,009
PNC Funding Corp.
6.875% due 03/01/2003 100 103
Popular, Inc
6.715% due 06/06/2000 20,000 20,069
6.625% due 01/15/2004 19,500 19,240
Prudential Insurance Co.
6.375% due 07/23/2006 15,000 14,938
Prudential Property Investment
6.625% due 04/01/2009 17,000 16,863
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,557
9.750% due 11/15/2003 10,000 10,388
Residential Reinsurance
9.180% due 06/01/1999(d) 39,500 39,944
Safeco Corp.
7.260% due 08/12/2002 500 520
Salomon, Inc.
4.704% due 04/05/1999(d) 5,500 5,500
7.000% due 05/15/1999 26,090 26,135
4.370% due 06/24/1999(d) 9,000 8,992
7.590% due 01/28/2000 150 152
6.500% due 03/01/2000 18,350 18,540
6.625% due 11/30/2000 235 238
6.650% due 07/15/2001 600 611
7.000% due 03/04/2002 5,000 5,122
5.400% due 05/16/2002(d) 23,000 23,026
Salomon, Smith Barney Holdings
7.980% due 03/01/2000 12,000 12,249
6.625% due 06/01/2000 95 96
5.875% due 02/01/2001 4,000 4,006
3.650% due 02/14/2002 17,610 17,158
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,010
5.695% due 07/13/2001(d) 1,000 1,002
Sears Roebuck Acceptance
6.000% due 03/20/2003 149,750 149,968
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,326
Signet Bank Corp.
9.625% due 06/01/1999 6,500 6,540
Societe Generale
7.400% due 06/01/2006 1,500 1,576
Sparbanken Sverige AB
8.490% due 10/29/2049(d) 12,670 12,670
Sumitomo
9.400% due 12/29/2049(d) 19,500 18,330
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 263
Swedbank
7.531% due 10/29/2049(d) 12,000 12,161
Textron Financial Corp.
5.100% due 11/24/1999(d) 10,000 10,014
Tokai Capital Corp.
9.980% due 12/29/2049(d) 13,050 11,646
Toronto-Dominion Bank
7.875% due 08/15/2004 50 53
Toyota Motor Credit Corp.
4.659% due 02/15/2002 40,000 38,495
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,054
7.750% due 12/10/2008 10,000 9,767
Transamerica Corp.
4.703% due 04/20/1999(d) 500 500
7.400% due 07/29/1999 2,000 2,012
5.469% due 09/17/2001(d) 20,000 19,970
7.500% due 03/15/2004 270 285
6.750% due 11/15/2006 500 513
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 40,204
Trinet Corp. Realty Trust
6.750% due 03/01/2003 45 45
Trizec Finance Limited
10.875% due 10/15/2005 2,489 2,725
U.S. Bancorp
5.085% due 01/16/2002(d) 49,000 49,040
Wachovia Corp.
6.700% due 04/14/1999 500 500
7.000% due 12/15/1999 100 101
Wells Fargo & Co.
5.625% due 02/05/2001 400 401
8.750% due 05/01/2002 100 108
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 4,083
6.050% due 01/15/2009 30,000 29,438
World Savings & Loan
9.900% due 07/01/2000 250 250
Xerox Corp.
7.010% due 04/30/1999 120 120
-----------
6,050,090
-----------
Industrials 9.3%
AK Steel Corp.
10.750% due 04/01/2004 22,050 22,939
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,642
Albertson's, Inc.
6.375% due 06/01/2000 150 152
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 18,483
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,730
American Home Products Corp.
7.700% due 02/15/2000 550 561
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,808
AMR Corp.
9.750% due 03/15/2000 10,760 11,134
10.610% due 01/11/2001 4,000 4,305
10.570% due 01/15/2001 3,000 3,226
10.590% due 01/31/2001 3,000 3,231
10.000% due 02/01/2001 2,000 2,130
9.400% due 05/08/2001 3,000 3,195
9.500% due 05/15/2001 2,250 2,399
54 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
9.130% due 10/25/2001 $ 2,000 $ 2,133
8.470% due 02/20/2002 2,000 2,119
8.500% due 02/26/2002 1,000 1,061
10.210% due 01/01/2010 6,500 8,143
Baxter International, Inc.
9.500% due 06/15/2008 200 241
Bellat Racers
5.969% due 04/01/2003 20,000 20,000
BOC Group PLC
5.875% due 01/29/2001 250 251
Boeing Co.
8.375% due 02/15/2001 150 157
6.350% due 06/15/2003 750 761
Boise Cascade Co.
9.900% due 03/15/2000 275 282
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002(d) 51,750 51,239
6.100% due 01/15/2003 6,000 5,676
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,314
CBS, Inc.
7.625% due 01/01/2002 100 103
Cemex SA
10.000% due 11/05/1999 1,000 1,018
8.500% due 08/31/2000 10,000 10,132
Centerior Fuel Corp.
9.540% due 08/02/1999(j) 10,000 10,394
9.750% due 08/02/2000(j) 8,000 8,585
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,150
0.000% due 03/15/2003 10,515 7,597
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,708
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,292
Coca-Cola Co.
6.375% due 08/01/2001 200 203
7.875% due 02/01/2002 600 633
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,488
Columbia/HCA Healthcare
8.020% due 08/05/2002 3,880 3,789
8.130% due 08/04/2003 7,000 6,824
6.630% due 07/15/2045 10,000 9,477
6.730% due 07/15/2045 14,760 14,030
Comverse Technology, Inc.
4.500% due 07/01/2005 2,000 2,913
Continental Airlines
6.954% due 02/02/2011 26,000 26,034
Continental Cablevision
11.000% due 06/01/2007 4,536 4,819
9.500% due 08/01/2013 27,000 32,204
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 22,003
Cumberland Farms
10.500% due 10/01/2003 2,711 2,697
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,068
Delta Air Lines, Inc.
9.875% due 05/15/2000 8,700 9,054
6.650% due 03/15/2004 13,500 13,508
10.140% due 08/14/2012 1,000 1,249
9.200% due 09/23/2014 6,000 7,053
Disney (Walt) Co.
6.375% due 03/30/2001 250 255
6.750% due 03/30/2006 100 104
DTE Capital Corp.
8.350% due 11/15/2003(d) 48,000 47,660
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 104
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,735
Eli Lilly & Co.
8.125% due 02/07/2000 387 395
8.125% due 12/01/2001 500 533
Enron Corp.
5.557% due 11/18/1999(d) 35,000 35,048
6.532% due 12/30/1999(d) 29,419 29,419
6.532% due 12/30/1999(d) 25,802 25,802
Flag Limited
6.900% due 12/15/2004 515 503
Ford Motor Co.
9.000% due 09/15/2001 880 945
6.625% due 10/01/2028 115,800 111,471
Fortune Brands
8.500% due 10/01/2003 500 557
Fred Meyer, Inc.
7.150% due 03/01/2003 6,000 6,168
7.375% due 03/01/2005 39,325 40,933
7.450% due 03/01/2008 300 317
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 558
7.100% due 03/15/2006 250 262
Gillette Co.
5.750% due 10/15/2005 1,500 1,497
Great Atlantic & Pac Tea
7.750% due 04/15/2007 150 149
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,385
9.625% due 07/01/2005 2,000 2,045
H.J. Heinz Co.
7.500% due 04/26/2000 150 153
Hollinger International Publishing
9.250% due 02/01/2006 3,000 3,135
Hyder PLC
6.500% due 12/15/2008 10,000 9,870
IBM Corp.
5.732% due 11/01/1999(d) 35,000 34,956
7.250% due 11/01/2002 100 105
7.125% due 12/01/2096 2,500 2,599
Inco Limited
9.875% due 06/01/2019 5,000 5,226
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 298
Intermedia Communications, Inc.
0.000% due 05/15/2006(i) 2,500 2,175
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,658
9.000% due 10/15/2003 5,000 5,125
ITT Corp.
6.250% due 11/15/2000 10,070 9,814
J. Seagram & Sons
6.250% due 12/15/2001 51,000 51,258
Jones International Networks Limited
11.750% due 07/01/2005 55 41
K-Mart Corp.
8.190% due 11/24/2003 5,000 5,039
K-III Communications Co.
8.500% due 02/01/2006 4,000 4,090
Kellogg
5.750% due 02/02/2001 74,850 74,894
Langdell
9.978% due 07/30/1999(d) 9,800 9,861
Lenfest Communications
8.375% due 11/01/2005 5,000 5,350
Limited, Inc.
7.800% due 05/15/2002 500 524
Loyola University of Chicago
6.030% due 06/15/2000(d) 16,100 16,188
Mallinckrodt, Inc.
6.300% due 03/15/2011(d) 10,000 9,971
Marlin Water Trust
7.090% due 12/15/2001 20,000 20,276
Mazda Manufacturing Corp.
10.500% due 07/01/2008(j) 1,980 2,596
McDonald's Corp.
6.500% due 08/01/2007 250 257
1999 Annual Report See accompanying notes 55
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------
Mobil Corp.
8.375% due 02/12/2001 $ 340 $ 356
Motorola, Inc.
7.600% due 01/01/2007 200 218
Nabisco, Inc.
6.800% due 09/01/2001 3,000 3,052
6.125% due 02/01/2033 15,000 14,733
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,298
New York Times Co.
7.625% due 03/15/2005 1,000 1,082
News America Holdings Corp.
8.625% due 02/01/2003 750 814
News Corp. Limited
0.000% due 06/15/1999(i) 900 845
Nike, Inc.
6.510% due 06/16/2000 1,000 1,017
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,747
Occidental Petroleum
6.400% due 04/01/2003 6,510 6,441
8.500% due 09/15/2004 5,000 5,023
Owens Corning
7.000% due 05/15/2000 200 201
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,665
7.150% due 05/15/2005 10,000 9,862
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,101
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000(d) 376,000 375,846
Petroleos Mexicanos
9.857% due 07/15/2005(d) 32,500 30,266
Philip Morris Cos., Inc.
6.150% due 03/15/2000 20,000 20,109
9.000% due 01/01/2001 300 316
7.250% due 09/15/2001 70 72
7.500% due 01/15/2002 50 52
6.800% due 12/01/2003 48,345 49,513
7.000% due 07/15/2005 1,125 1,156
7.200% due 02/01/2007 32,000 33,416
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 30,894
7.000% due 03/30/2029 16,000 15,940
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 34,462
Qwest Communications International, Inc.
0.000% due 10/15/2007(i) 2,507 2,000
R & B Falcon Corp.
6.500% due 04/15/2003 1,000 855
Racers
7.709% due 04/28/2003(d) 30,000 27,713
Reliant Energy, Inc.
8.920% due 05/15/2001 6,500 6,860
6.375% due 11/01/2003 14,000 13,818
RJR Nabisco
8.000% due 01/15/2000 6,777 6,860
7.625% due 09/01/2000 6,000 6,104
8.000% due 07/15/2001 35,630 36,589
8.625% due 12/01/2002 10,920 11,353
7.625% due 09/15/2003 9,000 9,211
8.750% due 04/15/2004 23,800 25,538
8.250% due 07/01/2004 2,000 2,105
8.750% due 07/15/2007 25,000 27,212
Rogers Cablesystems Limited
10.000% due 12/01/2007 5,000 5,613
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 3,032
Saferco
9.460% due 05/31/1999(j) 1,000 1,007
9.630% due 05/31/2000(j) 6,500 6,833
9.590% due 05/31/2001(j) 3,000 3,251
Safeway, Inc.
5.750% due 11/15/2000 150 150
6.850% due 09/15/2004 250 259
Sara Lee Corp.
6.300% due 11/07/2005 500 506
Sears Roebuck & Co.
6.800% due 05/07/2001 500 510
6.790% due 05/21/2001 500 510
9.400% due 08/02/2001 250 269
7.260% due 04/21/2003 3,000 3,123
6.250% due 01/15/2004 300 303
6.750% due 09/15/2005 785 804
Sears Roebuck Acceptance
5.155% due 06/27/2000(d) 5,000 5,008
7.110% due 06/19/2001 1,000 1,026
6.120% due 12/13/2001 260 262
6.950% due 05/15/2002 300 309
7.140% due 05/02/2003 5,000 5,184
6.560% due 11/20/2003 1,178 1,198
6.700% due 11/15/2006 500 511
Shell Oil Co.
7.250% due 02/15/2002 50 50
Smithfield Foods
7.625% due 02/15/2008 2,000 1,935
Smithkline Beecham
7.375% due 04/15/2005 150 161
Solectron Corp.
0.000% due 01/27/2019 4,000 1,975
SUPERVALU, Inc.
6.500% due 10/06/2000 140 142
TCI Communications, Inc.
7.250% due 06/15/1999 4,800 4,822
6.375% due 09/15/1999 39,175 39,398
5.080% due 02/02/2000(d) 50,000 49,951
5.395% due 09/11/2000(d) 48,500 48,362
5.750% due 12/20/2000(d) 10,000 10,034
6.375% due 05/01/2003 3,200 3,271
Telecommunications, Inc.
7.375% due 02/15/2000 12,000 12,213
8.250% due 01/15/2003 43,125 46,777
Telewest Communications
9.625% due 10/01/2006 5,000 5,313
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,228
7.625% due 06/01/2008 27,000 26,190
Texaco Capital
8.500% due 02/15/2003 700 767
6.000% due 06/15/2005 400 400
Time Warner, Inc.
7.550% due 02/01/2000 5,735 5,844
6.100% due 12/30/2001 1,375 1,382
7.975% due 08/15/2004 31,803 34,403
8.110% due 08/15/2006 80,929 89,539
8.180% due 08/15/2007 2,400 2,695
7.250% due 09/01/2008 125 134
Union Pacific Corp.
5.945% due 05/22/2000(d) 60,000 59,963
6.930% due 06/01/2003 1,000 1,020
6.000% due 09/01/2003 8,000 7,901
6.120% due 02/01/2004 250 245
United Airlines
9.000% due 12/15/2003 1,000 1,092
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 23,628
USX Corp.
9.800% due 07/01/2001 300 324
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 100 105
8.625% due 04/01/2001 1,450 1,536
Waste Management, Inc.
6.250% due 04/01/1999 1,000 1,000
4.000% due 02/01/2002 3,000 3,536
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 8,220
Westvaco Corp.
9.650% due 03/01/2002 150 165
Williams Co.
5.250% due 01/30/2000(d) 23,000 23,034
56 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
WMX Technologies
6.700% due 05/01/2001 $ 10,000 $ 10,152
7.000% due 10/15/2006 500 521
Xerox Corp.
7.040% due 04/30/1999 770 771
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 503
7.410% due 05/15/2001 1,000 1,030
------------
2,426,041
============
Utilities 3.8%
AES Corp.
10.250% due 07/15/2006 4,500 4,770
Alabama Power Co.
5.350% due 11/15/2003 600 587
Appalachian Power Co.
6.350% due 03/01/2000 500 504
AT&T Corp.
7.125% due 01/15/2002 75 78
7.000% due 05/15/2005 200 211
Baltimore Gas & Electric
6.125% due 07/01/2003 150 152
Beaver Valley Funding Corp.
8.250% due 06/01/2003 779 795
8.625% due 06/01/2007 5,000 5,339
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 191
California Energy
9.500% due 09/15/2006 12,040 13,270
Calpine Corp.
9.250% due 02/01/2004 4,150 4,275
7.625% due 04/15/2006 7,000 7,035
7.875% due 04/01/2008 2,500 2,556
Central Maine Power Co.
6.350% due 09/20/1999 30,000 30,022
6.413% due 10/25/1999 39,000 39,195
6.463% due 11/01/1999(d) 6,800 6,834
6.500% due 06/14/2000 5,500 5,492
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 481
8.000% due 10/15/2029 1,125 1,306
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,070
7.420% due 08/01/2001 10,000 10,280
9.500% due 05/15/2005 13,000 14,079
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,570
CMS Energy
7.375% due 11/15/2000 57,535 58,102
8.125% due 05/15/2002 5,000 5,140
7.000% due 01/15/2005 30,000 29,263
Coastal Corp.
8.750% due 05/15/1999 4,300 4,314
Commonwealth Edison
6.500% due 04/15/2000 6,185 6,248
5.060% due 06/15/2002(d) 1,000 1,003
6.625% due 07/15/2003 1,000 1,024
9.875% due 06/15/2020 11,700 13,837
Connecticut Light & Power Co.
7.250% due 07/01/1999 4,485 4,487
5.750% due 07/01/2000 2,000 1,994
7.750% due 06/01/2002 5,000 5,183
8.590% due 06/05/2003 27,000 26,823
Consolidated Edison
7.600% due 01/15/2000 100 102
5.321% due 12/15/2001(d) 10,000 9,974
Detroit Edison Co.
6.450% due 04/01/1999 10,500 10,500
Duke Energy Corp.
5.780% due 07/08/1999 500 501
8.000% due 11/01/1999 40 41
7.000% due 06/01/2000 700 713
6.750% due 08/01/2025 25 24
Eastern Edison Co.
7.780% due 07/30/2002 9,000 9,407
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,606
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 251
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 478
Indianapolis Power & Light
7.375% due 08/01/2007 225 245
Korea Electric Power
6.375% due 12/01/2003 170 160
Long Island Lighting Co.
7.300% due 07/15/1999 76,085 76,461
Louisiana Power & Light Co.
7.740% due 07/01/2002 1,900 1,934
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,262
MCI Worldcom, Inc.
8.875% due 01/15/2006 24,529 26,428
National Power Corp.
9.625% due 05/15/2028 16,000 14,185
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 49,853
Nevada Power Co.
6.200% due 04/15/2004 20,000 19,951
New Century Energies, Inc.
5.860% due 05/30/2000 15,000 14,986
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,320
New Jersey Bell Telephone
7.850% due 11/15/2029 70 79
New York Telephone Co.
6.250% due 02/15/2004 150 153
Niagara Mohawk Power
6.500% due 07/01/1999 25,000 25,032
7.000% due 10/01/2000 35,000 35,359
7.125% due 07/01/2001 27,250 27,702
7.250% due 10/01/2002 32,777 33,386
7.375% due 07/01/2003 28,000 29,356
7.375% due 08/01/2003 1,645 1,732
7.750% due 10/01/2008 25,200 27,057
North Atlantic Energy
9.050% due 06/01/2002 8,042 8,297
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,461
Northern Telecom Limited
8.750% due 06/12/2001 300 319
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 909
Ohio Edison
6.875% due 09/15/1999 5,750 5,781
Ohio Power Co.
6.875% due 06/01/2003 3,000 3,062
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,060
Pacific Northwest Bell
4.375% due 09/01/2002 50 48
Pennsylvania Power & Light
6.000% due 06/01/2000 500 503
Philadelphia Electric
5.625% due 11/01/2001 17,000 16,980
PP&L, Inc.
6.125% due 05/01/2001(d) 5,000 5,049
Public Service Electric & Gas
8.750% due 07/01/1999 90 91
7.625% due 02/01/2000 150 153
6.500% due 06/01/2000 500 505
6.125% due 08/01/2002 1,000 1,014
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000(d) 10,000 10,007
5.780% due 11/22/2000(d) 2,000 2,002
Queststar Pipeline
9.375% due 06/01/2021 200 225
1999 Annual Report See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Reliant Energy, Inc.
8.750% due 03/01/2022 $ 10,000 $ 10,862
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 11,010
System Energy Resources
7.380% due 10/01/2000 5,000 5,081
7.710% due 08/01/2001 14,850 15,371
Tennessee Valley Authority
0.000% due 04/15/2042(i) 855 360
Texas Utilities Co.
6.250% due 01/31/2000 6,000 6,033
6.270% due 02/01/2000 11,000 11,087
5.241% due 04/24/2000(d) 54,700 54,804
6.370% due 08/16/2001 1,000 1,005
5.940% due 10/15/2001 3,000 3,001
6.500% due 08/16/2002 1,000 1,006
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,243
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,470
8.700% due 09/01/2002 10,000 10,488
7.850% due 03/31/2003 7,000 7,290
7.875% due 08/01/2004 500 520
Tuscon Electric Power
8.500% due 10/01/2009 454 468
U.S. West Communications, Inc.
6.625% due 09/15/2005 300 311
6.125% due 11/15/2005 400 405
United Air Lines
10.670% due 05/01/2004 2,050 2,388
United Telecom, Inc.
9.440% due 08/15/2001 10,000 10,738
Western Massachusetts Electric
6.875% due 01/01/2000 700 704
7.375% due 07/01/2001 7,000 7,085
Western Resources, Inc.
6.250% due 08/15/2003 8,500 8,534
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013(j) 991 1,142
WorldCom, Inc.
6.125% due 08/15/2001 250 252
6.400% due 08/15/2005 1,000 1,016
------------
995,938
------------
Total Corporate Bonds & Notes 9,472,069
============
(Cost $9,450,839)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 3.7%
- --------------------------------------------------------------------------------
A.I.D. Housing Guarantee
9.980% due 08/01/2008 1,045 1,137
Federal Home Loan Bank
6.400% due 09/10/2008 525 520
Federal Home Loan Mortgage Corp.
6.140% due 03/03/2003 500 502
6.000% due 11/18/2003 750 747
5.580% due 12/10/2003 500 494
7.030% due 04/05/2004 125 125
7.540% due 05/03/2004 20 20
5.500% due 12/21/2004 1,000 981
5.900% due 12/02/2005 1,300 1,282
6.375% due 09/25/2006 1,250 1,241
6.350% due 10/13/2006 1,000 992
6.350% due 11/28/2006 100 99
6.690% due 04/23/2008 1,250 1,246
6.220% due 06/24/2008 1,850 1,847
6.250% due 08/11/2008 1,000 987
6.300% due 09/10/2008 260 256
Federal National Mortgage Assn.
9.050% due 04/10/2000 400 415
5.160% due 02/02/2001 800 795
5.125% due 02/13/2004 21,716 21,340
5.350% due 10/29/2004 1,000 971
5.750% due 10/28/2005 1,500 1,464
5.780% due 11/02/2005 500 489
6.000% due 11/24/2006 700 686
7.240% due 01/04/2007 255 257
6.490% due 08/27/2007 56,000 58,100
6.000% due 09/14/2007 200 195
6.470% due 02/22/2008 700 692
6.560% due 03/03/2008 250 248
6.125% due 08/28/2008 1,000 985
5.990% due 10/27/2008 125 121
Housing & Urban Development Corp.
8.810% due 08/01/2005 285 328
New York City
5.278% due 08/01/2002(d) 35,487 35,330
Resolution Funding
0.000% due 01/15/2007 800 520
Student Loan Marketing Assn.
4.129% due 02/20/2000(d) 134,700 133,361
5.684% due 06/30/2000(d) 63,700 63,584
5.248% due 01/25/2003(d) 41,537 41,600
5.070% due 04/25/2004(d) 20,459 20,255
4.988% due 10/25/2004(d) 27,806 27,743
5.008% due 10/25/2004(d) 50,033 49,946
4.958% due 10/25/2005(d) 11,583 11,546
5.038% due 10/25/2005(d) 36,723 36,629
5.098% due 04/25/2006(d) 119,639 119,236
5.208% due 01/25/2007(d) 114,483 114,439
5.178% due 04/25/2007(d) 210,062 210,093
------------
Total U.S .Government Agencies 963,844
============
(Cost $966,749)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 12.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(h)(l) 695,560 691,213
3.375% due 01/15/2007(h)(l) 69,478 66,917
3.625% due 01/15/2008(h) 248,671 242,998
3.875% due 01/15/2009(h)(l) 114,600 114,278
3.625% due 04/15/2028(h) 102,194 97,787
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,313
10.375% due 11/15/2012 10,820 14,272
12.000% due 08/15/2013(l) 8,845 12,892
13.250% due 05/15/2014 16,500 26,070
9.250% due 02/15/2016(l) 301,500 409,946
7.250% due 05/15/2016 107,450 123,333
8.750% due 05/15/2017(l) 9,460 12,455
8.875% due 08/15/2017(l) 544,900 726,420
9.125% due 05/15/2018 234,900 321,226
8.125% due 05/15/2021 225,000 285,891
8.000% due 11/15/2021 66,145 83,198
7.125% due 02/15/2023 1,650 1,906
6.500% due 11/15/2026 130 141
6.625% due 02/15/2027 3,165 3,486
6.375% due 08/15/2027 2,225 2,377
6.125% due 11/15/2027 1,650 1,710
U.S. Treasury Notes
7.750% due 11/30/1999 1,100 1,121
5.375% due 07/31/2000 20,000 20,106
4.500% due 01/31/2001 775 768
7.500% due 11/15/2001 1,350 1,428
6.250% due 02/15/2003 1,200 1,244
5.875% due 02/15/2004 1,200 1,236
4.750% due 11/15/2008 1,000 963
------------
Total U.S. Treasury Obligations 3,266,695
============
(Cost $3,389,678)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 52.7%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 18.4%
American Southwest Financial
0.000% due 06/04/2013(i) 64,050 70,617
12.250% due 11/01/2014 57 59
12.500% due 04/01/2015 437 486
12.000% due 05/01/2015 892 932
11.400% due 09/01/2015 661 690
58 Pimco Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Aspetuck Trust
5.151% due 08/02/1999(d) $ 80,000 $ 79,975
BA Mortgage Securities, Inc.
6.250% due 08/25/2028 25,000 23,632
Bankers Trust Co.
8.625% due 04/01/2018 77 78
Bear Stearns Mortgage Securities, Inc.
5.688% due 10/25/2023(d) 5,267 5,406
10.000% due 08/25/2024 7,463 7,824
7.000% due 03/25/2027 7,000 7,076
Cendant Mortgage Corp.
6.499% due 11/18/2028(d) 5,400 4,860
6.499% due 11/18/2028(d) 14,333 14,019
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 1,429 1,425
6.204% due 04/25/2025(d) 29,846 30,273
6.550% due 08/25/2028 3,000 3,029
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 250 249
6.906% due 10/25/2022(d) 13,664 13,698
6.250% due 04/25/2024 11,796 11,036
7.250% due 10/25/2027 20,462 20,823
CMC Securities Corp.
6.239% due 09/25/2023(d) 6,859 6,922
7.440% due 04/25/2025(d) 232 232
7.250% due 11/25/2027 9,453 9,678
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 467 489
8.000% due 09/20/2021 8,833 8,856
Collateralized Mortgage Securities Corp.
11.500% due 09/01/2015 34 36
11.450% due 11/01/2015(d) 203 204
8.750% due 04/20/2019 687 693
Comm
6.145% due 02/15/2008 5,000 5,109
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,656
7.936% due 07/25/2024(d) 6,892 6,991
6.750% due 11/25/2025 25,567 25,571
7.500% due 06/25/2027 12,364 12,695
7.250% due 12/25/2027 6,224 6,321
7.250% due 02/25/2028 57,846 58,790
6.050% due 04/25/2029 56,000 55,257
DLJ Mortgage Acceptance Corp.
7.413% due 08/01/2021(d)(j) 5,325 5,395
7.807% due 12/25/2022(d) 2,800 2,841
8.122% due 03/25/2024(d) 813 824
6.500% due 04/25/2024 1 1
8.365% due 05/25/2024(d) 192 195
6.850% due 12/17/2027 6,605 6,663
6.750% due 06/19/2028 128,425 128,412
Drexel Mortgage Funding
9.500% due 11/20/2017 1,153 1,175
8.600% due 03/01/2018 367 369
Federal Home Loan Mortgage Corp.
7.000% due 05/15/1999 11 11
6.500% due 03/15/2000 355 356
7.000% due 10/15/2003 4,974 5,077
7.500% due 11/01/2003 8,229 8,426
6.000% due 06/15/2005 9,904 9,949
6.500% due 07/25/2005 15,200 15,181
6.500% due 07/15/2006 1,075 1,088
6.500% due 08/15/2006 710 718
6.500% due 05/15/2008 1,000 1,012
6.200% due 12/15/2008 4,089 3,915
6.000% due 03/15/2009 265 266
8.500% due 08/15/2013 2,000 2,101
8.500% due 09/15/2013 5,941 6,240
11.000% due 11/30/2015 10,791 11,934
7.000% due 03/15/2016 33 33
5.400% due 05/25/2016 52,514 51,382
7.000% due 11/15/2016 9,540 9,617
6.210% due 08/15/2017 104 104
5.900% due 03/15/2018 10,961 10,203
6.350% due 03/25/2018 200 202
5.250% due 05/15/2018 635 634
6.500% due 12/15/2018 4,004 4,023
6.500% due 05/15/2019 615 618
6.250% due 07/15/2019 56,551 56,735
5.000% due 08/15/2019 178 176
9.125% due 06/15/2020 222 222
5.250% due 07/15/2020 598 594
5.500% due 10/15/2020 154 153
9.500% due 11/15/2020 6,338 6,701
9.000% due 12/15/2020 2,753 2,868
6.000% due 12/15/2020 413 411
9.000% due 12/15/2020 1,342 1,400
8.750% due 12/15/2020 1,265 1,310
6.250% due 01/15/2021 200 200
6.500% due 05/15/2021 159 160
6.500% due 05/17/2021 113 111
8.500% due 06/15/2021 36,377 37,764
6.950% due 07/15/2021 700 709
8.000% due 07/15/2021 10,375 10,682
9.500% due 07/15/2021 3,142 3,253
9.000% due 07/15/2021 2,551 2,689
6.950% due 08/15/2021 185 188
8.000% due 08/15/2021 23,472 24,289
6.200% due 08/15/2021 1,500 1,514
6.500% due 09/15/2021 1,543 1,549
8.000% due 09/15/2021 36 37
7.000% due 09/15/2021 423 426
7.000% due 10/15/2021 24 24
8.000% due 12/15/2021 16,222 17,023
6.850% due 01/15/2022 700 712
8.250% due 06/15/2022 5,000 5,228
7.000% due 07/15/2022 8,539 8,557
8.500% due 10/15/2022 11,001 11,395
7.500% due 01/15/2023 15,858 16,318
7.000% due 07/15/2023 244 239
7.250% due 07/15/2023 20 20
6.500% due 07/15/2023 107 107
7.500% due 01/20/2024 243 246
5.000% due 02/15/2024 116 104
6.500% due 02/15/2024 27 27
6.250% due 05/15/2024 12,165 11,193
7.250% due 08/15/2024 190 193
8.000% due 09/15/2024 16,250 17,292
7.000% due 11/17/2025 40 40
7.310% due 10/01/2026(d) 4,113 4,202
7.500% due 01/15/2027 22,511 23,016
7.500% due 03/17/2027 20,000 20,444
7.500% due 06/20/2027 17,492 17,658
6.500% due 08/15/2027 14,193 12,405
6.500% due 10/15/2027 32,300 31,636
6.500% due 01/25/2028 8,691 8,442
7.000% due 02/15/2028 1,608 1,557
6.500% due 04/15/2028 155,706 152,411
6.500% due 05/15/2028 48,000 46,777
6.500% due 06/15/2028 53,308 48,508
6.500% due 06/20/2028 21,224 18,918
6.500% due 07/15/2028 27,365 25,308
6.500% due 08/15/2028 251,255 230,348
7.000% due 11/15/2028 9,000 9,146
6.000% due 12/15/2028 22,146 19,742
6.500% due 12/15/2028 6,403 5,804
6.500% due 01/15/2029 10,411 10,245
6.500% due 03/15/2029 11,221 10,504
6.181% due 08/15/2032(d) 34,712 34,989
Federal Housing Administration
7.430% due 01/01/2024 1,044 1,094
Federal National Mortgage Assn.
9.100% due 02/25/2002 3,074 3,129
7.500% due 05/25/2005 6,700 6,901
7.500% due 02/25/2006 375 387
6.500% due 05/01/2006 277 279
6.500% due 07/25/2006 75 76
8.000% due 11/25/2006 30 31
6.000% due 07/25/2007 300 301
1999 Annual Report See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
=============================================================
8.638% due 08/25/2007(d) $ 42 $ 43
6.270% due 09/25/2007 3,000 3,002
7.000% due 10/25/2007 200 206
6.500% due 05/25/2008 500 509
10.500% due 08/25/2008 7,146 8,310
6.750% due 11/25/2010 1,300 1,311
7.000% due 01/25/2011 500 504
7.500% due 01/20/2012 8 8
9.670% due 01/25/2017 143 144
9.200% due 12/25/2017 107 107
9.300% due 05/25/2018 1,082 1,136
9.500% due 06/25/2018 579 628
5.488% due 06/25/2018(d) 5 5
6.500% due 06/25/2018 2,557 2,557
5.500% due 07/25/2018 115 115
9.500% due 11/25/2018 15,513 16,111
6.000% due 12/25/2018 44 44
6.500% due 03/25/2019 885 890
6.250% due 04/18/2019 6,241 6,246
9.500% due 06/25/2019 2,149 2,268
5.650% due 07/25/2019 3,650 3,649
6.350% due 08/25/2019 435 436
8.000% due 10/25/2019 7,122 7,206
7.500% due 12/25/2019 115 118
9.000% due 12/25/2019 9,287 9,853
6.500% due 03/25/2020 3,965 3,980
7.500% due 05/25/2020 5,240 5,367
6.000% due 06/25/2020 4,167 4,164
9.000% due 09/25/2020 5,840 6,109
7.000% due 09/25/2020 25,000 25,285
8.000% due 12/25/2020 23,440 24,548
9.000% due 01/25/2021 8,602 9,012
8.750% due 01/25/2021 5,031 5,260
7.500% due 02/17/2021 196 197
9.000% due 03/25/2021 736 778
7.500% due 03/25/2021 18,805 18,987
7.000% due 05/25/2021 300 307
6.500% due 06/25/2021 5,355 5,339
7.500% due 06/25/2021 187 189
8.000% due 07/25/2021 24,214 24,963
8.500% due 09/25/2021 8,427 8,775
7.000% due 10/25/2021 8,390 8,454
8.000% due 10/25/2021 22,430 23,329
7.000% due 11/25/2021 24,015 24,212
6.000% due 12/25/2021 87 87
8.000% due 01/25/2022 21,700 22,408
8.000% due 03/25/2022 208 212
7.000% due 04/25/2022 17,091 17,203
10.000% due 05/01/2022 220 238
7.000% due 06/25/2022 1,928 1,957
8.000% due 06/25/2022 3,426 3,673
8.000% due 07/25/2022 25,524 26,646
7.000% due 07/25/2022 8,598 8,727
8.000% due 07/25/2022 28,757 29,826
7.800% due 10/25/2022 5,131 5,290
6.500% due 10/25/2022 3,673 3,473
6.500% due 12/25/2022 459 460
7.000% due 03/25/2023 26,170 26,225
6.500% due 05/18/2023 11,418 11,497
6.900% due 05/25/2023 143 143
7.000% due 06/25/2023 4,481 4,292
6.500% due 08/25/2023 64 65
6.000% due 08/25/2023 3,068 3,013
6.750% due 09/25/2023 3,590 3,518
1.000% due 09/25/2023 350 309
6.750% due 10/25/2023 540 519
7.500% due 10/25/2023 89 90
6.500% due 11/25/2023 170 170
6.500% due 12/25/2023 1,054 968
6.500% due 01/25/2024 2,410 2,287
7.250% due 02/25/2024 50 50
7.500% due 06/20/2024 120 122
7.000% due 02/18/2025 140 142
7.500% due 12/25/2025 120 124
7.000% due 02/15/2026 180 183
7.000% due 07/18/2026 210 208
7.000% due 12/18/2026 14,689 14,409
6.000% due 05/17/2027 5,470 5,127
6.500% due 03/01/2028 599 598
6.500% due 06/25/2028 3,400 3,316
6.500% due 07/18/2028 67,412 64,104
6.000% due 04/25/2029 9,881 8,104
First Commonwealth Savings & Loan
10.375% due 04/01/2005 19 20
First Union Residential
Securitization, Inc.
6.750% due 08/25/2028 9,048 8,802
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,353 4,394
6.500% due 09/25/2023 1,175 1,110
6.500% due 02/25/2024 9 9
6.500% due 03/25/2024 53,964 52,601
6.500% due 04/25/2024 60,500 56,518
7.500% due 07/25/2027 10,329 10,467
7.000% due 11/25/2027 37,500 37,943
6.650% due 05/25/2028 9,064 9,146
6.750% due 05/25/2028 23,934 23,713
6.550% due 06/25/2028 23,450 23,597
6.750% due 06/25/2028 2,814 2,830
6.500% due 12/25/2028 19,500 18,993
General Motors Acceptance Corp.
6.700% due 03/15/2008 1,000 1,021
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007(j) 9,948 9,941
Government National Mortgage Assn.
7.500% due 07/20/2020 178 179
7.000% due 01/15/2024 500 510
8.000% due 05/16/2024 120 123
7.000% due 08/20/2026 150 147
7.500% due 02/16/2027 119 116
7.500% due 07/16/2027 26,744 27,280
6.500% due 06/20/2028 10,274 9,236
6.500% due 07/20/2028 35,502 32,590
6.500% due 09/20/2028 25,824 23,036
Greenwich
6.844% due 04/25/2022(d) 1,104 1,118
6.840% due 07/25/2022(d) 4,571 4,622
6.818% due 10/25/2022(d) 159 161
6.892% due 04/25/2023(d) 2,032 2,053
7.485% due 04/25/2024(d) 2,538 2,614
8.040% due 06/25/2024(d) 2,518 2,623
8.131% due 08/25/2024(d) 4,087 4,117
8.733% due 11/25/2024(d) 1,190 1,201
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 3,445 3,511
6.750% due 12/25/2028 59,468 59,344
6.650% due 02/25/2029 165,866 164,917
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 18,411
Imperial CMB Trust
5.320% due 09/25/2026(d) 11,842 11,920
6.650% due 11/25/2029 1,702 1,725
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,722
7.784% due 11/25/2024(d) 4,213 4,321
8.750% due 12/25/2024 30 31
7.978% due 01/25/2025(d) 328 334
8.000% due 06/25/2025 75 76
6.569% due 07/25/2025(d) 15,098 15,436
7.559% due 07/25/2025(d) 11,679 11,920
International Mortgage Acceptance Corp.
12.500% due 03/01/2014 400 448
J.P. Morgan & Co.
9.000% due 10/20/2020 15,380 15,843
J.P. Morgan Commercial Mortgage
Finance Corp.
6.533% due 01/15/2030 20,000 20,369
Kidder Peabody Acceptance Corp.
8.390% due 05/20/2018 277 280
7.927% due 09/25/2024(d) 20,000 20,084
60 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
=============================================================
Marine Midland
8.000% due 10/25/2023 $ 143 $ 142
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 22,100
Merrill Lynch Mortgage
7.428% due 06/15/2021(d) 6,660 6,741
7.688% due 06/15/2021(d) 6,248 6,381
8.339% due 06/25/2022(d) 648 648
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 21,645 22,105
Morgan Stanley Mortgage Trust
8.250% due 07/01/2018 6,355 6,421
Mortgage Capital Funding, Inc.
7.008% due 09/20/2006 15,545 15,978
Mortgage Capital Trust V
8.875% due 04/01/2018 115 118
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,732
6.250% due 10/25/2028 1,000 950
Nomura Asset Securities Corp.
7.492% due 05/25/2024(d) 6,606 6,790
Norwest Asset Securities Corp.
6.250% due 11/25/2013 45,716 45,414
6.350% due 04/25/2028 2,500 2,515
6.500% due 12/25/2028 20,000 19,476
6.500% due 02/25/2029 55,000 52,645
6.500% due 03/25/2029 12,200 11,828
5.950% due 03/30/2029 128,513 127,225
6.300% due 03/30/2029 11,419 11,414
5.950% due 04/30/2029 16,347 16,286
Norwest Mortgage
12.500% due 02/01/2014 794 848
12.250% due 04/01/2014 64 59
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,814
PNC Mortgage Securities Corp.
7.000% due 10/25/2027 36,616 36,983
6.500% due 02/25/2028 2,500 2,518
7.000% due 05/25/2028 10,144 10,260
6.750% due 07/25/2028 2,027 2,015
6.750% due 09/25/2028 4,000 3,975
6.200% due 04/30/2029 30,000 29,850
Prudential Bache
5.941% due 09/01/2018(d) 320 316
8.400% due 03/20/2021 3,105 3,199
Prudential Home Mortgage Securities
6.400% due 04/25/2009 2,482 2,488
8.000% due 06/25/2022 1,668 1,663
6.950% due 11/25/2022 222 220
6.750% due 10/25/2023 8,688 8,114
7.995% due 11/25/2023(d) 3,736 3,784
5.900% due 12/25/2023 11,816 11,813
6.050% due 04/25/2024 4,743 4,738
6.000% due 05/25/2024 13 13
6.450% due 11/25/2025 5,264 5,017
PSB Financial Corp.
11.050% due 12/01/2015 662 713
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 41,115 41,624
6.500% due 10/25/2028 17,928 17,838
Residential Asset Securities Corp.
7.000% due 03/25/2027 94 95
7.250% due 05/25/2027 162 163
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,260
7.000% due 10/25/2027 19,832 20,020
6.750% due 06/25/2028 32,549 32,764
6.500% due 12/25/2028 1,250 1,204
Residential Funding Mortgage
Securities, Inc.
7.000% due 08/25/2008 11,901 12,011
6.500% due 09/25/2008 7,000 7,047
6.250% due 10/25/2008 2,161 2,159
6.500% due 12/25/2012 19,016 19,068
6.500% due 01/25/2013 167,527 167,929
8.500% due 05/25/2017 65 68
7.750% due 09/25/2022 933 949
8.000% due 01/25/2023 5,489 5,592
7.400% due 09/25/2025 45 45
7.500% due 09/25/2025 18,183 18,507
7.500% due 12/25/2025 966 994
7.500% due 06/25/2027 51,535 52,836
7.500% due 07/25/2027 25,265 25,528
7.250% due 10/25/2027 24,000 24,377
7.000% due 11/25/2027 7,000 7,049
6.750% due 02/25/2028 4,572 4,598
6.750% due 05/25/2028 60,741 61,114
6.750% due 09/25/2028 61,993 61,561
6.500% due 10/25/2028 52,000 50,650
6.250% due 11/25/2028 3,000 2,863
6.500% due 01/25/2029 52,231 50,757
Resolution Trust Corp.
7.649% due 02/25/2020(d) 143 143
6.671% due 09/25/2020(d)(n) 12,307 2,831
6.925% due 09/25/2020(d) 2,121 1,795
5.977% due 01/25/2021(d) 799 797
8.417% due 06/25/2021(d) 584 582
8.689% due 08/25/2021(d) 9,244 9,285
8.694% due 08/25/2021 8,000 8,091
7.250% due 09/25/2021(d) 2,301 2,291
6.000% due 10/25/2021(d) 196 197
5.642% due 10/25/2021(d) 159 157
8.625% due 10/25/2021 210 209
8.141% due 10/25/2021(d) 207 207
7.632% due 03/25/2022(d) 6,691 6,752
8.579% due 05/25/2022(d) 2,073 2,151
7.625% due 08/25/2023(d) 2,001 2,003
9.450% due 05/25/2024 19,693 19,695
7.100% due 12/25/2024 1,500 1,488
7.010% due 07/25/2028(d) 14,001 13,946
7.189% due 10/25/2028(d) 8,500 8,541
6.987% due 10/25/2028(d) 19,546 19,646
7.068% due 05/25/2029(d) 3,497 3,568
7.490% due 05/25/2029(d) 4,660 4,654
Rural Housing Trust
3.330% due 10/01/2028 152 141
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 118 125
Ryland Acceptance Corp.
9.000% due 12/01/2016 614 627
11.500% due 12/25/2016 125 125
8.200% due 09/25/2022 70 71
14.000% due 11/25/2031 1,221 1,353
Ryland Mortgage Securities Corp.
7.381% due 08/25/2022(d) 2,615 2,651
6.802% due 08/25/2029(d) 4,489 4,615
6.803% due 10/25/2031(d) 7,946 8,027
Salomon Brothers Mortgage Securities
6.899% due 11/25/2022(d) 988 1,008
7.871% due 07/01/2024(d) 8,064 8,225
5.178% due 06/25/2027(d) 2,127 2,128
5.277% due 04/25/2029(d) 37,223 37,206
Santa Barbara Savings
9.500% due 11/20/2018 3,107 3,109
Saxon Mortgage
7.370% due 08/25/2023(d) 22,888 23,496
7.968% due 09/25/2024(d) 10,508 10,882
Sears Mortgage
6.707% due 09/25/2022(d) 1,523 1,550
Securitized Asset Sales, Inc.
7.027% due 10/25/2023(d) 2,678 2,753
7.304% due 12/26/2023(d) 1,937 1,966
7.410% due 09/25/2024(d) 9,900 10,111
5.944% due 02/25/2028 3,200 3,199
Security Pacific National Bank
6.200% due 03/01/2018(d) 106 105
Southern Pacific Secured Assets Corp.
5.107% due 06/25/2028(d) 81,776 80,535
Structured Asset Mortgage
Investments, Inc.
6.125% due 11/25/2013 18,026 17,756
1999 Annual Report See accompanying notes 61
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================
6.300% due 04/25/2024 $ 22,500 $ 22,386
6.917% due 06/25/2028(d) 47,361 47,938
6.250% due 11/25/2028 9,878 9,530
6.750% due 01/25/2029 3,000 2,976
6.580% due 06/25/2029(d) 32,620 32,996
Structured Asset Securities Corp.
5.439% due 10/25/2028(d) 5,214 5,224
TMA Mortgage Funding Trust
5.319% due 01/25/2029 47,500 47,485
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 4,023
6.800% due 01/25/2028 15,000 15,082
Vendee Mortgage Trust
7.000% due 02/15/2000 2,482 2,498
7.750% due 03/15/2016 600 610
7.750% due 05/15/2018 550 567
6.500% due 05/15/2020 26,086 25,721
Western Federal Savings & Loan
6.563% due 06/25/2021(d) 6,270 5,896
----------
4,807,440
==========
Federal Home Loan Mortgage Corporation 12.4%
5.000% due 04/01/1999 33 33
5.500% due 04/01/2001-05/15/2029(g) 243,464 229,629
5.750% due 08/15/2020 300 299
6.000% due 12/01/2000-05/17/2029(g) 2,277,099 2,224,480
6.171% due 12/01/2026(d) 8,125 8,184
6.250% due 03/15/2028 38,700 37,502
6.500% due 07/01/2001-05/17/2029(g) 488,256 484,540
6.625% due 01/01/2019(d) 13 14
6.750% due 04/01/2017-01/17/2025(d)(g) 17,222 17,346
6.775% due 11/01/2003 69 69
6.832% due 07/01/2023(d) 2,607 2,682
6.991% due 01/01/2024(d) 634 652
6.999% due 01/01/2024(d) 646 662
7.000% due 01/01/2000-03/01/2026(g) 17,163 17,399
7.210% due 05/01/2023-10/25/2023(d)(g) 23,212 23,829
7.279% due 05/01/2027(d) 1,709 1,742
7.296% due 07/01/2024(d) 2,736 2,800
7.299% due 06/01/2024(d) 1,532 1,578
7.321% due 04/01/2029(d) 2,076 2,137
7.354% due 08/01/2023(d) 13 14
7.356% due 07/01/2022(d) 1,377 1,409
7.377% due 09/01/2023(d) 15,417 15,704
7.427% due 04/01/2023(d) 737 747
7.461% due 07/01/2023(d) 801 818
7.470% due 11/01/2023(d) 647 655
7.500% due 05/01/1999-04/14/2029(g) 50,637 52,061
7.528% due 09/01/2023(d) 2,147 2,185
7.545% due 08/01/2023(d) 8,091 8,240
7.552% due 08/01/2023(d) 1,464 1,517
7.567% due 10/01/2023(d) 2,395 2,430
7.568% due 10/01/2023(d) 1,514 1,536
7.569% due 05/01/2023(d) 1,663 1,689
7.572% due 04/01/2024(d) 9,631 9,884
7.602% due 09/01/2023(d) 3,387 3,457
7.609% due 08/01/2024(d) 377 382
7.610% due 09/01/2023(d) 2,354 2,388
7.643% due 11/01/2023(d) 874 893
7.659% due 08/01/2023(d) 702 722
7.723% due 10/01/2023(d) 2,521 2,563
7.735% due 11/01/2023(d) 505 512
7.750% due 04/01/2007 42 43
7.821% due 10/01/2023(d) 514 531
7.909% due 10/01/2023(d) 1,462 1,517
8.000% due 10/01/2007-06/01/2026(g) 5,138 5,351
8.250% due 08/01/2007-12/01/2009(g) 273 283
8.500% due 09/01/2001-01/01/2028(g) 36,816 38,734
8.750% due 02/01/2001-12/01/2010(g) 228 234
8.900% due 11/15/2020 19,324 20,372
9.000% due 01/01/2002-09/15/2020(g) 845 883
9.250% due 06/01/2009-11/01/2013(g) 132 141
9.500% due 08/01/2001-06/01/2021(g) 2,079 2,204
9.750% due 11/01/2004-05/01/2009(g) 60 63
10.000% due 06/01/2004-11/15/2019(g) 1,069 1,118
10.250% due 03/15/2009-05/01/2009(g) 1,563 1,679
11.000% due 12/01/1999-07/01/2019(g) 813 883
11.250% due 10/01/2009-09/01/2015(g) 182 198
11.500% due 03/01/2000-05/01/2000(g) 10 10
13.250% due 10/01/2013 82 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011(g) 18 20
16.250% due 05/01/2011 3 3
----------
3,239,771
==========
Federal Housing Administration 0.9%
6.000% due 03/20/2028 23,900 23,139
6.500% due 03/01/2040 5,000 4,915
6.875% due 11/01/2015 3,153 3,164
7.125% due 03/01/2034 4,458 4,581
7.211% due 12/01/2021 2,816 2,908
7.250% due 12/01/2021-04/30/2039(g) 20,231 20,820
7.316% due 05/01/2019 4,978 5,131
7.375% due 03/01/2019-01/01/2024(g) 16,093 16,651
7.400% due 02/01/2021 2,522 2,630
7.430% due 12/01/2016-05/01/2025(g) 94,512 98,228
7.465% due 11/01/2019 42,238 43,650
7.500% due 04/30/2039 3,370 3,463
7.650% due 11/01/2018 135 129
----------
229,409
==========
Federal National Mortgage Association 4.3%
5.500% due 04/14/2029-05/17/2029(g) 213,000 200,835
5.650% due 04/25/2005 146 146
5.848% due 09/01/2017(d) 6,009 6,022
5.889% due 08/01/2029(d) 1,200 1,206
5.905% due 04/01/2018-05/01/2036(d)(g) 5,471 5,511
5.906% due 05/01/2036(d) 1,374 1,383
5.916% due 05/01/2036(d) 64,398 64,835
5.940% due 07/01/2017-04/26/2029(d)(g) 173,053 174,081
5.941% due 07/01/2027-10/01/2028(d)(g) 23,368 23,492
5.944% due 10/01/2032(d) 18,965 19,068
5.946% due 11/01/2035(d) 56,686 57,000
5.950% due 05/01/2036(d) 64,056 64,491
5.996% due 09/01/2024(d) 3,282 3,306
6.000% due 12/01/2000-05/17/2029(d)(g) 112,573 110,481
6.012% due 03/01/2033(d) 47,264 47,562
6.200% due 04/25/2005 771 773
6.218% due 04/01/2027(d) 199 201
6.250% due 07/25/2007 100 101
6.390% due 05/25/2036 16,606 14,382
6.406% due 12/01/2023(d) 1,133 1,153
6.500% due 11/01/2003-05/18/2029(g) 111,996 111,380
6.585% due 02/01/2026(d) 728 749
6.600% due 09/25/2018 6,485 6,547
6.622% due 01/01/2024(d) 551 568
6.690% due 01/01/2024(d) 1,157 1,196
6.750% due 08/01/2003 468 478
6.805% due 09/01/2022(d) 1,845 1,863
6.834% due 07/01/2003 68 70
6.909% due 01/01/2024(d) 253 261
6.950% due 11/01/2023-03/25/2026(d)(g) 469 477
6.983% due 03/01/2026(d) 4,590 4,719
6.990% due 11/01/2025(d) 2,932 3,014
7.000% due 07/01/2001-12/20/2027(g) 60,264 61,090
7.001% due 03/01/2025(d) 4,437 4,555
7.095% due 01/01/2024(d) 3,008 3,092
7.134% due 09/01/2022(d) 1,929 1,948
7.143% due 01/01/2026(d) 1,803 1,848
7.190% due 09/01/2025(d) 2,952 3,026
7.202% due 11/01/2023(d) 1,159 1,190
7.250% due 05/01/2002-01/01/2023(g) 11,284 11,536
7.252% due 11/01/2025(d) 2,029 2,071
7.308% due 07/01/2024(d) 7,334 7,551
7.310% due 12/01/2023(d) 1,600 1,646
7.338% due 09/01/2024(d) 2,169 2,219
7.410% due 11/01/2025(d) 5,811 5,946
7.500% due 08/01/2003-07/01/2028(g) 67,700 69,731
7.537% due 05/01/2026(d) 978 996
7.582% due 09/01/2023(d) 3,922 4,026
7.625% due 10/01/2023(d) 478 488
7.726% due 05/01/2024(d) 3,087 3,187
62 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
7.750% due 06/01/2009 $ 199 $ 209
8.000% due 09/01/2001-12/01/2026(g) 6,897 7,173
8.250% due 10/01/2008-02/01/2017(g) 684 718
8.500% due 07/01/1999-05/01/2027(g) 3,662 3,836
9.000% due 10/01/2004-04/01/2017(g) 1,334 1,396
9.250% due 10/01/2001 11 11
9.500% due 12/01/2006-07/01/2022(g) 109 118
9.750% due 11/01/2008 83 88
10.000% due 09/01/2003-05/01/2022(g) 735 791
10.500% due 12/01/2016-04/01/2022(g) 702 762
10.750% due 03/01/2014 26 29
12.000% due 05/01/2016 14 16
13.000% due 09/01/2013 43 48
13.250% due 09/01/2011 17 19
14.500% due 11/01/2011-01/01/2013(g) 66 74
14.750% due 08/01/2012-11/01/2012(g) 234 275
15.500% due 10/01/2012-12/01/2012(g) 24 28
15.750% due 12/01/2011-08/01/2012(g) 140 168
16.000% due 09/01/2012 156 182
------------
1,129,438
============
Government National Mortgage Association 16.1%
4.500% due 01/20/2024-06/20/2028(d)(g) 69,382 70,012
5.000% due 04/20/2028-08/20/2028(d)(g) 64,335 64,896
5.650% due 10/15/2012 12 12
6.000% due 10/15/2008-05/24/2029(g) 542,357 528,412
6.125% due 12/20/2020-12/20/2027(d)(g) 445,801 452,368
6.500% due 10/15/2008-09/15/2040(g) 1,795,088 1,786,856
6.625% due 08/20/2020-01/15/2040(d)(g) 517,273 525,268
6.750% due 06/20/2028 19,984 19,313
6.800% due 10/15/2040 3,000 3,057
6.820% due 10/15/2040 3,437 3,543
6.850% due 10/15/2038 13,685 13,718
6.875% due 06/20/2021-06/20/2027(d)(g) 567,742 576,640
6.880% due 04/20/2027-06/20/2027d)(g) 78,458 79,591
7.000% due 07/15/2008-03/15/2028(g) 17,315 17,641
7.125% due 08/20/2027(d) 61 62
7.375% due 04/20/2023 505 512
7.500% due 04/15/2007-09/15/2028(g) 34,230 35,335
8.000% due 05/15/2001-10/15/2025(g) 2,413 2,522
8.250% due 08/15/2004-05/15/2022(g) 606 639
8.500% due 06/15/2001-01/20/2027(g) 10,189 10,685
8.750% due 03/15/2007-07/15/2007(g) 120 125
9.000% due 06/15/2001-07/20/2022(g) 6,028 6,475
9.250% due 10/15/2001-12/20/2016(g) 342 359
9.500% due 04/15/2001-08/15/2023(g) 5,392 5,825
9.750% due 09/15/2002-01/15/2021(g) 182 193
10.000% due 04/15/2001-02/15/2025(g) 4,617 5,095
10.250% due 10/15/1999-02/20/2019(g) 33 36
10.500% due 06/15/2004 111 120
11.000% due 05/15/2004-03/15/2019(g) 125 137
11.250% due 03/15/2001-12/20/2015(g) 48 53
11.500% due 04/15/2013-05/15/2013(g) 8 8
12.000% due 02/15/2000-01/15/2015(g) 78 86
12.500% due 01/15/2011 1 2
13.000% due 12/15/2012-10/15/201(g) 37 43
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012(g) 6 7
15.000% due 09/15/2012-10/15/2012(g) 18 20
16.000% due 01/15/2012-04/15/2012(g) 9 11
17.000% due 11/15/2011-12/15/2011(g) 78 91
------------
4,209,791
============
Other Mortgage-Backed Securities 0.5%
Aames Mortgage Trust
7.275% due 05/15/2020 116 116
Bank of America
9.000% due 03/01/2008 58 58
Citibank, NA
8.000% due 07/25/2018 69 70
DBL Mortgage Funding
9.500% due 08/01/2019 11 11
First Interstate Bancorp
9.125% due 01/01/2009(j) 11 12
GE Capital Mortgage Services, Inc.
7.250% due 07/25/2011 8,821 8,886
General Electric Credit Corp.
8.000% due 03/01/2002(j) 48 49
German American Capital Corp.
8.360% due 09/30/2002 2,415 2,504
6.581% due 07/01/2018(d) 8,984 8,880
Great Western Savings & Loan
5.860% due 08/01/2017(d) 152 150
Guardian
6.903% due 12/25/2018(d) 216 189
Home Savings of America
8.464% due 08/01/2006 81 81
5.641% due 05/25/2027(d) 2,856 2,791
6.393% due 08/20/2029(d) 11,453 11,550
Imperial Savings & Loan
10.000% due 09/01/2016(j) 142 149
8.219% due 01/25/2017(d) 82 82
8.850% due 07/25/2017(d) 317 316
LTC Commercial Corp.
7.100% due 11/28/2012 3,835 3,835
MDC Mortgage Funding
8.268% due 01/25/2025(d) 420 437
Merrill Lynch Mortgage
9.250% due 12/15/2009 2 2
8.048% due 06/15/2021(d) 1,387 1,416
Mid-State Trust
8.330% due 04/01/2030 71,276 74,945
Morgan Stanley Mortgage
8.150% due 07/20/2021 9 9
Resolution Trust Corp.
6.653% due 09/25/2020(d) 456 392
7.039% due 05/25/2029(d) 4,591 4,599
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 1,163 1,225
Sears Mortgage
12.000% due 02/25/2014 862 864
6.499% due 06/25/2022(d) 534 540
7.217% due 10/25/2022(d) 3,087 3,122
Western Federal Savings & Loan
6.512% due 11/25/2018(d) 136 136
6.562% due 03/25/2019(d) 800 800
------------
128,216
============
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 548 34
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 581 31
6.500% due 11/15/2006 1,435 77
6.500% due 03/15/2007 2,028 95
5.750% due 09/15/2007(d) 7,526 637
6.000% due 10/15/2007 585 42
6.000% due 01/15/2008 235 17
5.428% due 02/15/2008(d) 748 76
6.400% due 10/15/2008 148 15
11.651% due 01/15/2016 11 0
6.500% due 08/15/2016 2,057 96
6.500% due 08/15/2017 431 23
7.000% due 04/15/2018 1,918 106
7.500% due 08/15/2018 163 7
9.993% due 11/15/2018 10 0
8.845% due 01/15/2021 295 60
9.000% due 05/15/2022 150 23
6.500% due 09/15/2023 450 64
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 30 1
7.000% due 06/25/2005 8 0
10.458% due 07/25/2005(d) 98 2
6.500% due 07/25/2006 3,333 169
7.272% due 09/25/2006 4 46
6.500% due 02/25/2007 2,838 225
6.500% due 07/25/2007 1,156 64
6.500% due 09/25/2007 3,639 303
6.500% due 10/25/2007 1,393 97
0.100% due 03/25/2009(d) 37,255 754
7.000% due 08/25/2015 1,607 43
1999 Annual Report See accompanying notes 63
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.000% due 08/25/2016 $ 478 $ 17
6.500% due 08/25/2020 2,666 411
10.070% due 01/25/2021 66 7
7.500% due 04/25/2021 2,222 320
9.032% due 08/25/2021 903 183
0.950% due 11/25/2021(d) 37,145 546
6.500% due 10/25/2022 258 27
6.500% due 01/25/2023 3,632 672
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 972 872
0.000% due 02/25/2021 2,497 2,397
0.000% due 06/25/2022 1,585 1,479
0.000% due 08/25/2023 335 250
PaineWebber (IO)
13.595% due 08/01/2019 189 66
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023(d) 188,696 3,428
-----------
13,782
-----------
Total Mortgage-Backed Securities 13,757,847
(Cost $13,747,931) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 5.7%
- --------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.903% due 10/25/2026(d) 5,329 5,424
America West Airlines
10.500% due 01/02/2004(d) 24 23
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,540
American Stores
5.300% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 500 506
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 6,018 6,038
Aspetuck Trust
5.688% due 09/01/1999(d) 100,000 100,094
Associates Manufactured Housing
7.000% due 03/15/2027 900 912
Auto Receivables Trust
6.500% due 04/16/2003 10,003 10,015
Bridgestone/Firestone Master Trust
6.170% due 07/01/2003 250 252
California Infrastructure
6.010% due 06/25/2001 5,422 5,431
6.150% due 06/25/2002 19,500 19,656
Capital Equipment Receivables Trust
6.030% due 02/15/2000 1,897 1,908
Case Equipment Loan Trust
6.150% due 09/15/2002 729 730
Charter Commercial Holdings LLC
7.750% due 03/31/2028 32,000 31,920
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 500 503
Chase Manhattan Grantor Trust
6.000% due 09/17/2001 1,164 1,167
5.900% due 11/15/2001 3,564 3,571
5.200% due 02/15/2002 575 576
6.610% due 09/15/2002 2,825 2,860
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 27,694
Citibank N.A.
0.000% due 09/27/1999 20,000 18,913
Citicorp Mortgage Securities, Inc.
6.750% due 04/25/2028 16,297 16,308
CMC Securities Corporation IV
7.250% due 11/25/2027 1,234 1,261
Columbia/HCA Healthcare
6.807% due 09/30/2000 25,000 24,594
Community Program Loan Trust
4.500% due 10/01/2018 26,079 24,528
4.500% due 04/01/2029 26,000 21,912
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012(d) 21,135 21,119
6.990% due 03/15/2021 350 359
5.079% due 06/15/2028(d) 6,306 6,300
Copelco Capital Funding Corp.
6.340% due 07/20/2004 33 34
CPS Auto Trust
6.070% due 03/15/2003 103 103
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,877
Daimler-Benz Vehicle Trust
5.850% due 07/20/2003 9,252 9,278
6.050% due 03/31/2005 6,825 6,882
Delta Air Lines Equipment Trust
9.230% due 07/02/2002(j) 10,099 10,876
10.500% due 01/02/2007(j) 7,412 9,064
10.570% due 01/02/2007(j) 15,881 20,262
9.550% due 01/02/2008(j) 7,773 8,996
10.000% due 06/05/2013 10,828 13,561
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,589
5.314% due 10/16/2013(d) 400 403
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 335
5.160% due 10/15/2027(d) 1,697 1,684
Equivantage Home Equity Loan Trust
6.550% due 04/01/2027 129 130
Felco Funding LLC
5.980% due 09/15/2001 500 502
First Omni Bank
6.650% due 09/15/2003(d) 1,500 1,535
First Plus Home Loan Trust
6.230% due 06/10/2010 3,000 3,013
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,971 1,988
First Security Corp.
5.875% due 11/01/2003 9,000 8,884
First Union Master Credit Card Trust
5.760% due 09/15/2003 88,750 88,931
Flag Limited
6.900% due 12/15/2004(d) 14,106 13,789
FMAC Loan Receivables Trust
6.830% due 09/15/2020 680 640
6.200% due 09/15/2020 358 353
6.500% due 09/15/2020 258 255
Ford Credit Auto Owner Trust
6.750% due 09/15/2000 1,611 1,621
5.800% due 10/15/2000 1,417 1,424
Ford Credit Grantor Trust
5.900% due 10/15/2000 3,947 3,954
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,300
Fred Meyer, Inc.
5.937% due 03/19/2003(d) 111,918 110,938
General Motors Acceptance Corp.
6.500% due 04/15/2002 20,395 20,509
Green Tree Financial Corp.
7.150% due 07/15/2027 1,025 1,039
6.870% due 03/01/2028 1,105 1,113
6.660% due 05/01/2028 1,405 1,373
6.170% due 05/15/2029 450 451
IMC Home Equity Loan Trust
5.075% due 05/21/2012(d) 7,107 7,110
7.352% due 07/25/2026(d) 941 948
Indymac Home Equity Loan
5.207% due 10/25/2029(d) 28,737 28,813
Integrated Health Services
6.750% due 12/31/2005(d) 14,813 14,109
Ip Timberland Limited
5.229% due11/13/1999(d) 10,000 9,850
Korea National Housing
8.500% due 05/23/2001 65,000 64,513
Lyondell Petroleum
6.937% due 06/17/1999 20,000 19,750
6.937% due 06/17/2000 27,000 26,190
6.943% due 06/17/2003(d) 4,005 3,985
64 PIMCO Funds See Accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.974% due 06/17/2003 $ 4,500 $ 4,478
7.219% due 06/17/2003 2,500 2,488
7.344% due 06/17/2003 7,500 7,463
MBNA Master Credit Card Trust
5.083% due 01/15/2002 73,635 73,725
6.050% due 11/15/2002 245 247
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008(d) 320 328
Money Store Home Equity Trust
6.520% due 08/15/2009 11,552 11,569
6.115% due 06/15/2010 3,000 3,005
7.550% due 02/15/2020 500 508
6.345% due 11/15/2021(d) 3,625 3,648
5.069% due 05/15/2025(d) 16,255 16,257
Morgan Stanley Capital
5.170% due 07/25/2027(d) 2,573 2,564
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 10,000 9,712
Myra-United Mexican States
5.813% due 12/23/2006 22,388 19,502
National Medical Care
6.375% due 09/30/2003 (d) 58,333 57,487
NationsBank Auto Owner Trust
6.375% due 07/15/2000 167 167
NationsBank Corp.
5.850% due 06/15/2002 1,199 1,203
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 14 14
Norwest Asset Securities Corp.
6.500% due 04/25/2013 21,627 21,600
6.500% due 06/25/2013 11,204 11,187
7.500% due 03/25/2027 28,487 29,262
6.750% due 05/25/2028 27,707 27,577
6.750% due 07/25/2028 12,657 12,181
6.200% due 09/25/2028 19,077 19,145
Premiere Auto Trust
6.575% due 10/06/2000 1,662 1,672
Republic of Korea
8.063% due 04/08/2001(d) 10,000 10,003
Residential Asset Securities Corp.
6.450% due 10/25/2012 3,341 3,333
8.000% due 10/25/2024(d) 9,440 9,880
5.240% due 10/25/2027(d) 5,816 5,774
6.750% due 03/25/2028 40,000 39,607
Saxon Asset Securities Trust
6.475% due 11/25/2020 144 145
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 507
7.000% due 07/15/2008 500 524
Stone Container Corp.
8.520% due 10/01/2003(d) 5,749 5,763
Total Renal Care Holdings
6.813% due 03/31/2008(d) 47,520 47,461
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,538
10.360% due 11/13/2012 7,000 8,666
10.020% due 03/22/2014 5,825 6,978
10.850% due 07/05/2014 34,111 44,124
10.125% due 03/22/2015 14,300 17,642
9.060% due 06/17/2015 5,000 5,483
9.210% due 01/21/2017 2,000 2,213
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 7,241 7,289
WFS Financial Owner Trust
6.050% due 07/20/2001 1,013 1,014
6.500% due 09/20/2001 4,468 4,501
Ziff-Davis, Inc.
7.437% due 03/31/2006 15,000 15,009
-----------
Total Asset-Backed Securities 1,486,286
(Cost $1,471,064) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.6%
- --------------------------------------------------------------------------------
Alcan Aluminum
5.875% due 04/01/2000 $ 250 $ 252
Cemex SA
10.750% due 07/15/2000 5,000 5,178
Central Bank Philippines
6.000% due 06/01/2008(d) 12,240 10,526
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,638
Embotelladora Arica SA
9.875% due 03/15/2006 8,500 8,607
Hydro Quebec
5.030% due 04/15/1999(d) 10,000 9,997
7.375% due 02/01/2003 150 158
9.400% due 02/01/2021 500 654
8.500% due 12/01/2029 5,085 6,154
9.375% due 04/15/2030 600 793
9.500% due 11/15/2030 2,370 3,205
Kingdom of Sweden
10.250% due 11/01/2015 500 678
Korea Development Bank
6.172% due 10/20/2000 11,000 10,892
6.500% due 11/15/2002 2,000 1,907
Korean Export-Import Bank
7.125% due 03/15/2007 10,000 9,815
Nacional Financiera
8.649% due 12/01/2000(d) 510 514
9.750% due 03/12/2002 10,000 10,188
6.875% due 05/08/2003(d) 4,750 4,168
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,005
9.375% due 12/02/2008 28,500 29,203
Providence of Newfoundland
9.000% due 06/01/2019 500 627
Province of Buenos Aires
12.500% due 03/15/2002 10,400 10,556
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,106
Province of Ontario
6.125% due 06/28/2000 50 51
7.750% due 06/04/2002 200 213
7.625% due 06/22/2004 1,000 1,085
7.000% due 08/04/2005 1,000 1,064
5.500% due 10/01/2008 10,000 9,685
Province of Quebec
5.340% due 06/21/1999(d) 50,000 50,041
7.500% due 07/15/2002 6,000 6,285
8.800% due 04/15/2003 100 110
5.391% due 06/11/2004(d) 15,500 15,426
7.125% due 02/09/2024 710 742
Republic of Argentina
8.099% due 08/15/1999(d) 17,500 17,483
10.950% due 11/01/1999 4,075 4,162
5.288% due 04/01/2000(d) 12,321 9,724
4.940% due 04/01/2001(d) 57,501 53,160
14.250% due 11/30/2002(d) 56,511 54,699
5.937% due 03/31/2005(d) 209,204 179,142
12.110% due 04/10/2005(d) 68,650 63,501
Republic of Columbia
8.750% due 10/06/1999 500 506
Republic of Korea
8.281% due 04/08/2000(d) 31,044 31,160
7.813% due 04/08/2000(d) 91,000 90,889
Republic of Philippines
5.885% due 01/05/2005(d) 18,166 16,256
6.000% due 12/01/2007 3,438 2,890
6.500% due 12/01/2017 4,216 3,757
Republic of Poland
5.000% due 10/27/2014 25,000 23,063
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 14,916
State of Israel
6.200% due 06/14/2003 25 25
United Mexican States
5.560% due 04/07/2000(m) 52,855 52,855
1999 Annual Report See accompanying notes 65
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
5.750% due 04/07/2000(d) $ 26,945 $ 26,473
6.250% due 06/27/2002 (d) 84,250 80,243
-----------
Total Sovereign Issues 940,427
(Cost $946,410) ===========
- -------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.2%
- -------------------------------------------------------------------------------
AXA
2.500% due 01/01/2014 EC 2,475 2,765
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,046
Commonwealth of Canada
6.500% due 06/01/2004 1,000 707
4.250% due 12/01/2026(h) 95,856 64,584
Commonwealth of New Zealand
10.000% due 03/15/2002(l) N$ 23,100 14,011
4.500% due 02/15/2016 23,000 12,462
France Telecom
2.000% due 01/01/2004 FF 9,761 1,820
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 18,635
Korea Development Bank
3.258% due 05/14/2001(d) DM 50,000 26,280
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,875
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 36,149
3.011% due 04/01/2001(d) AP 5,779 5,109
Reynolds, R.J.
6.875% due 11/22/2000 DM 9,500 5,465
United Mexican States
3.100% due 04/24/2002 1,500,000 11,896
8.750% due 05/30/2002 BP 14,000 21,976
7.000% due 06/02/2003 C$ 30,000 18,310
3.850% due 12/31/2019 JY 9,145,000 64,323
-----------
Total Foreign Currency-Denominated Issues 313,413
(Cost $320,042) ===========
- -------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.3%
- -------------------------------------------------------------------------------
U.S. Treasury Bond (OTC)
7.250% due 05/15/2016
Strike @ 121.641 Exp. 05/21/1999 $ 50,000 65
U.S. Treasury Note (OTC)
5.375% due 07/31/2000
Strike @ 98.453 Exp. 06/12/1999 100,000 1,924
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 140,000 7,221
6.625% due 06/30/2001
Strike @ 95.453 Exp. 04/19/1999 174,000 6,603
6.625% due 03/31/2002
Strike @ 98.500 Exp. 05/03/1999 242,000 13,308
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 48,800 2,672
5.750% due11/30/2002
Strike @ 96.187 Exp. 05/24/1999 336,400 18,539
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 62,400 3,471
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 82,300 4,409
5.250% due 08/15/2003
Strike @ 99.469 Exp. 08/27/1999 380,000 5,681
5.250% due 08/15/2003
Strike @ 100.000 Exp. 08/20/1999 250,000 2,955
5.250% due 08/15/2003
Strike @ 99.289 Exp. 08/20/1999 127,000 2,007
4.750% due 02/15/2004
Strike @ 99.007 Exp. 08/20/1999 79,000 748
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 121,000 1,359
-----------
Total Purchased Call Options 70,962
(Cost $76,655) ===========
- -------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- -------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.250% due 08/15/2003
Strike @ 92.164 Exp. 08/20/1999 $ 1,500,000 $ 15
-----------
Total Purchased Put Options 15
(Cost $469) ===========
- -------------------------------------------------------------------------------
PREFERRED STOCK 0.1%
- -------------------------------------------------------------------------------
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266 7,171
Barclays Bank
2.875% due 01/01/2000 216 5,926
CSC Holdings, Inc.
11.125% due 01/02/2000 22 2,555
Fresenius Medical Care
7.875% due 01/02/2000 4 3,910
Home Ownership Funding
13.310% due 01/02/2000 1 1,029
TCI Communications, Inc.
2.500% due 01/02/2000 49 1,326
9.720% due 01/02/2000 623 17,042
Unocal Capital Trust
3.125% due 01/01/2000 0 22
-----------
Total Preferred Stock 38,981
(Cost $39,214) ===========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.7%
- -------------------------------------------------------------------------------
Principal
Commercial Paper 5.1% Amount
(000s)
American Express
4.840% due 04/06/1999 $ 300 300
BellSouth Telecommunications, Inc.
4.810% due 05/07/1999 25,000 24,880
4.810% due 05/10/1999 1,200 1,194
Caisse d'Amortissement
4.780% due 10/08/1999 10,000 9,710
Canadian Wheat Board
4.790% due 06/21/1999 12,000 11,868
Coca-Cola Co.
4.810% due 04/22/1999 2,300 2,294
4.750% due 04/28/1999 1,400 1,395
4.810% due 05/27/1999 11,700 11,612
4.790% due 05/28/1999 500 496
4.790% due 06/11/1999 800 792
4.780% due 06/21/1999 14,200 14,044
Commonwealth Bank of Australia
4.830% due 08/10/1999 6,000 5,894
E.I. Du Pont de Nemours
4.840% due 04/05/1999 1,500 1,499
4.860% due 04/05/1999 16,300 16,291
4.830% due 04/21/1999 100 100
4.820% due 04/23/1999 500 499
4.800% due 06/04/1999 1,000 991
4.810% due 06/07/1999 500 495
4.800% due 06/07/1999 18,600 18,431
Federal Home Loan Bank
4.760% due 04/21/1999 21,900 21,842
4.750% due 04/21/1999 3,100 3,092
Federal Home Loan Mortgage Corp.
4.780% due 04/09/1999 1,300 1,299
4.740% due 04/14/1999 36,000 35,938
4.760% due 04/14/1999 2,000 1,997
Federal National Mortgage Assn.
4.750% due 04/08/1999 900 899
Florida Power Corp.
4.840% due 04/21/1999 16,000 15,957
Ford Motor Credit Corp.
4.850% due 04/08/1999 5,000 4,995
4.840% due 04/20/1999 146,100 145,727
4.840% due 04/23/1999 59,200 59,025
66 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
4.840% due 04/26/1999 $ 123,600 $ 123,185
4.830% due 04/28/1999 7,000 6,975
General Electric Capital Corp.
4.850% due 04/26/1999 39,800 39,666
4.840% due 04/28/1999 9,100 9,067
4.840% due 04/30/1999 19,700 19,623
4.840% due 05/18/1999 285,000 283,199
General Motors Acceptance Corp.
4.810% due 04/06/1999 4,000 3,997
4.860% due 04/07/1999 400 400
4.840% due 04/08/1999 8,700 8,692
IBM Corp.
4.880% due 04/07/1999 13,800 13,789
4.830% due 04/09/1999 25,000 24,973
4.820% due 06/28/1999 14,000 13,833
Imperial Tobacco Financial
5.170% due 07/29/1999 105,000 103,313
KFW International Finance, Inc.
4.790% due 06/21/1999 6,100 6,033
4.790% due 06/23/1999 41,300 40,835
4.790% due 06/24/1999 15,900 15,719
Minnesota Mining & Manufacturing Co.
4.800% due 06/21/1999 41,200 40,748
National Rural Utilities Cooperative
4.810% due 05/25/1999 15,500 15,388
4.820% due 06/10/1999 6,000 5,943
4.820% due 06/11/1999 2,300 2,278
4.820% due 06/17/1999 300 297
Oesterreich Kontrollbank
4.870% due 04/06/1999 1,000 999
Pfizer, Inc.
4.820% due 05/17/1999 400 398
Proctor & Gamble Co.
4.810% due 05/10/1999 71,500 71,127
4.840% due 05/26/1999 800 794
Province of British Colombia
4.800% due 06/11/1999 8,097 8,019
4.820% due 08/18/1999 2,500 2,453
Shell Oil Co.
4.790% due 06/04/1999 1,900 1,883
4.780% due 06/22/1999 50,000 49,445
USAA Capital Corp.
4.810% due 05/17/1999 1,500 1,491
Wisconsin Electric Power & Light
4.850% due 05/07/1999 2,000 1,990
-------------
1,330,108
=============
Repurchase Agreements 1.5%
State Street Bank
4.000% due 04/01/1999 120,000 120,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bond 8.500% 02/15/2020 valued at $20,401,063 and U.S Treasury
Note 5.500% 03/31/2000 valued at $51,001,057 and U.S Treasury
Note 6.000% 08/15/2000 valued at $51,000,774.
Repurchase proceeds are $120,013,334.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 68,200 68,200
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.875% 05/15/2006 valued at $70,296,192.
Repurchase proceeds are $68,209,283.)
Daiwa Securities
4.920% due 04/01/1999 195,700 195,700
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $200,343,986.
Repurchase proceeds are $195,726,746.)
-------------
383,900
=============
U.S. Treasury Bills (b) 1.1%
4.438% due 04/29/1999-03/30/2000(g) 310,710 300,693
-------------
Total Short-Term Instruments 2,014,701
(Cost $2,014,599) =============
Total Investments (a) 123.8% $ 32,325,240
(Cost $32,423,650)
Written Options (c) (0.1%) (25,999)
(Premiums $35,106)
Other Assets and Liabilities (Net) (23.7%) (6,174,737)
-------------
Net Assets 100.0% $ 26,124,504
=============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$32,428,668 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 186,591
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (290,019)
-------------
Unrealized depreciation-net $ (103,428)
=============
(b) Securities with an aggregate market value of
$287,131 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts Depreciation
- -------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 2,804 $ (3,618)
Eurodollar March Futures (03/2001) 58 0
Eurodollar June Futures (06/2000) 2,804 (3,725)
Eurodollar June Futures (06/2001) 58 (2)
Eurodollar September Futures (09/2000) 3,854 (3,273)
Eurodollar September Futures (09/2001) 1,715 285
Eurodollar December Futures (12/1999) 2,804 (2,742)
Eurodollar December Futures (12/2000) 1,058 270
U.S. Treasury 10 Year Note (06/1999) 32,633 (2,046)
U.S. Treasury 30 Year Bond (06/1999) 23 29
Municipal Bond Index (06/1999) 1,250 (855)
Government of Japan 10 Year Note (06/1999) 100 (2,221)
United Kingdom 90 Day LIBOR (03/2000) 1,016 (26)
United Kingdom 90 Day LIBOR (06/2000) 1,099 (300)
United Kingdom 90 Day LIBOR (09/1999) 291 183
United Kingdom 90 Day LIBOR (12/1999) 877 2,707
-------------
$ (15,334)
=============
1999 Annual Report See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
(c) Premiums received on written options:
Type Par Premium Value
- ----------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $1,192,900 $ 4,037 $ 932
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 632,800 3,994 3,955
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 632,800 1,836 198
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 1,923,600 9,787 5,110
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 939,500 2,870 1,615
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 130.00 Exp. 08/21/1999 149,200 552 420
Put - CBOT U.S. Treasury Bond September Futures
Strike @ 112.00 Exp. 08/21/1999 10,000 40 38
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 132.00 Exp. 08/21/1999 10,000 39 17
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.25 Exp. 08/20/1999 127,000 466 828
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.97 Exp. 08/20/1999 254,000 1,012 815
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 250,000 859 1,405
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.94 Exp. 08/27/1999 760,000 2,850 2,538
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 130,000 447 731
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 98.59 Exp. 08/20/1999 500,000 1,719 2,370
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.79 Exp. 08/20/1999 250,000 1,172 1,215
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 100.34 Exp. 08/20/1999 79,000 395 393
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.54 Exp. 08/20/1999 79,000 401 616
Call - OTC U.S. Treasury Note
4.760% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 121,000 700 788
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 121,000 520 740
Put - CME Eurodollar September Futures
Strike @ 95.00 Exp. 09/13/1999 1,000,000 495 488
Put - CME Eurodollar September Futures
Strike @ 94.75 Exp. 09/13/1999 1,000,000 320 225
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 1,000,000 595 562
-------------------
$ 35,106 $25,999
===================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------
Buy BP 26,299 04/1999 $ 251
Sell 26,299 04/1999 (334)
Sell 26,300 08/1999 (251)
Sell C$ 161,572 04/1999 670
Sell EC 24,267 04/1999 591
Buy JY 229,202 04/1999 (5)
Sell 2,607,903 04/1999 (101)
Buy 413,100 05/1999 (5)
Buy 1,331,429 02/2000 4
Sell 7,118,555 02/2000 2,388
Sell 229,202 04/2000 (16)
Sell 4,519,202 04/2001 (256)
Sell N$ 54,210 04/1999 713
Buy 7,970 05/1999 (3)
--------------
$ 3,646
==============
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF- French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Swap agreements outstanding at March 31, 1999:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- ----------------------------------------------------------------------------
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.340%
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 $ (9,299)
Receive floating rate based on 6 month JY-LIBOR and pay fixed rate equal to
2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 11,635,000 (3,640)
Receive floating rate based on 6 month JY-LIBOR and pay fixed rate equal to
2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 JY 7,563,000 (2,418)
Receive floating rate based on 6 month JY-LIBOR and pay fixed rate equal to
1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 JY 7,000,000 2,204
Receive floating rate based on 6 month United Mexican States and pay United
Mexican States fixed rate.
Broker: Merrill Lynch
Exp. 04/07/2000 $ 52,855 (1,057)
------------
$ (14,210)
============
(l) Subject to a financing transaction.
(m) Subject to an asset swap.
(n) Security is in default.
68 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 44.9%
- --------------------------------------------------------------------------------
Banking & Finance 33.7%
Allstate Corp.
6.750% due 06/15/2003 $ 9,300 $ 9,516
American Express
5.625% due 01/22/2004 5,000 4,939
American General Finance
8.500% due 06/15/1999 125 126
Associates Corp. of North America
6.750% due 07/15/2001 24,000 24,597
Bank of Hawaii
6.875% due 06/01/2003 7,750 7,948
Bank of New York
6.625% due 06/15/2003 5,000 5,121
BankAmerica Corp.
5.240% due 03/05/2001(d) 15,000 15,057
Chase Manhattan Corp.
4.960% due 01/20/2000(d) 5,000 4,998
7.625% due 01/15/2003 5,000 5,283
Chrysler Financial Co. LLC
4.938% due 06/15/2001(d) 5,000 4,996
Citicorp
7.125% due 06/01/2003 4,000 4,150
Commercial Credit Co.
5.550% due 02/15/2001 30 30
Dresdner Bank-New York
6.625% due 09/15/2005 7,000 7,059
First Chicago Corp.
6.875% due 06/15/2003 4,000 4,146
Ford Motor Credit Corp.
5.280% due 03/21/2001(d) 10,000 10,020
5.150% due 03/19/2002 35 35
8.000% due 06/15/2002 5,000 5,313
5.109% due 02/03/2003(d) 10,000 10,014
General Motors Acceptance Corp.
8.400% due 10/16/1999 225 229
6.500% due 01/17/2000 17,230 17,284
5.100% due 08/18/2003(d) 1,700 1,692
Goldman Sachs Group
5.151% due 01/25/2001(d) 15,000 15,036
5.431% due 04/16/2001(d) 10,000 10,001
7.800% due 07/15/2002 6,000 6,291
5.900% due 01/15/2003 2,000 1,983
5.658% due 03/19/2003(d) 5,000 5,009
Heller Financial, Inc.
5.110% due 07/06/1999 5,000 5,003
5.210% due 10/08/1999(d) 10,000 10,011
5.211% due 04/22/2002(d) 5,000 5,003
Household Finance Corp.
5.260% due 06/24/2003(d) 20,000 20,096
Lehman Brothers Holdings, Inc.
5.900% due 04/01/2002(d) 20,000 20,000
Merrill Lynch & Co.
6.475% due 03/01/2000 300 303
7.050% due 06/04/2001 10,000 10,285
5.299% due 11/01/2001(d) 20,000 20,002
5.400% due 06/24/2003(d) 20,000 19,914
Morgan, J.P. & Co., Inc.
6.000% due 01/15/2009 15,000 14,495
NationsBank Corp.
6.200% due 08/15/2003 10,800 10,907
8.625% due 11/15/2003 1,550 1,703
PNC Bank Corp.
4.913% due 06/01/2000(d) 20,000 19,979
PNC Funding Corp.
6.125% due 09/01/2003 1,400 1,397
Textron Financial Corp.
5.100% due 11/24/1999(d) 10,000 10,014
Transamerica Financial Corp.
6.480% due 03/15/2001 1,000 1,005
-----------
350,990
===========
Industrials 8.1%
AMR Corp.
9.430% due 05/10/2001 1,000 1,066
8.900% due 02/26/2007 6,450 7,247
Dow Chemical Co.
8.040% due 07/02/2005 4,800 5,108
Occidental Petroleum
5.776% due 04/03/2000 10,800 10,800
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000(d) 40,000 39,984
Philip Morris Cos., Inc.
6.000% due 07/15/2001 1,000 1,003
Time Warner, Inc.
7.975% due 08/15/2004 3,345 3,618
8.110% due 08/15/2006 6,690 7,402
8.180% due 08/15/2007 6,690 7,514
-----------
83,742
===========
Utilities 3.1%
Commonwealth Edison
6.625% due 07/15/2003 288 295
Metropolitan Edison Co.
7.220% due 01/30/2003 2,000 2,081
6.400% due 02/09/2006 2,412 2,417
Pacificorp
7.200% due 08/15/2002 11,000 11,432
Philadelphia Electric
8.000% due 04/01/2002 1,008 1,066
7.125% due 09/01/2002 90 94
6.500% due 05/01/2003 1,840 1,879
Texas Utilities Co.
7.375% due 08/01/2001 1,900 1,970
6.750% due 03/01/2003 5,000 5,172
United Telecom
9.750% due 04/01/2000 5,000 5,194
-----------
31,600
-----------
Total Corporate Bonds & Notes 466,332
(Cost $462,649) ===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 3.1%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.070% due 04/25/2004(d) 8,895 8,806
5.178% due 04/25/2007(d) 23,594 23,598
-----------
Total U.S. Government Agencies 32,404
(Cost $32,473) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 5.8%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008(e) 1,932 1,888
3.875% due 01/15/2009(e) 3,105 3,097
U.S. Treasury Bonds
9.250% due 02/15/2016 14,000 19,036
7.250% due 05/15/2016 1,800 2,066
8.875% due 08/15/2017(g) 5,000 6,666
9.125% due 05/15/2018 17,400 23,795
9.000% due 11/15/2018 2,800 3,803
U.S. Treasury Strips
0.000% due 05/15/2008 200 121
-----------
Total U.S. Treasury Obligations 60,472
(Cost $63,523) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 61.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 21.2%
Comm
6.145% due 02/15/2008 5,000 5,109
Dime Savings
7.050% due 11/01/2018(d) 116 106
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 206 228
1999 Annual Report See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
5.950% due 07/15/2003 $ 130 $ 130
8.800% due 12/01/2015 211 224
9.250% due 11/15/2019 40 43
9.000% due 12/15/2020 1,739 1,811
7.000% due 07/15/2022 15,315 15,351
7.500% due 01/15/2023 15,759 16,217
6.500% due 07/15/2028 31,325 29,191
Federal National Mortgage Assn.
6.000% due 06/25/2001 53 53
9.000% due 06/25/2018 25 26
6.000% due 09/25/2018 76 76
9.250% due 07/25/2019 3,276 3,479
6.000% due 08/25/2020 5,529 5,529
7.000% due 09/25/2020 75 76
6.500% due 05/18/2023 12,224 12,309
Guaranteed Mortgage Corp.
9.300% due 07/20/2019 641 673
Independent National Mortgage Corp.
7.784% due 11/25/2024(d) 1,788 1,834
8.107% due 11/25/2024(d) 1,235 1,257
Morgan Stanley Capital
6.190% due 01/15/2007 29,330 29,492
Norwest Asset Securities Corp.
6.250% due 11/25/2013 3,912 3,886
Norwest Mortgage
12.375% due 01/01/2014 233 240
Residential Funding Mortgage Securities, Inc.
6.500% due 08/25/2013 5,373 5,323
7.250% due 10/25/2027 20,000 20,278
7.000% due 11/25/2027 12,115 12,200
6.750% due 06/25/2028 25,600 24,975
Salomon Brothers Mortgage Securities, Inc.
5.316% due 03/01/2029(d) 30,000 30,000
---------
220,116
=========
Federal Home Loan Mortgage Corporation 10.3%
5.750% due 11/15/2017 2,180 2,184
6.000% due 05/17/2029 49,700 48,302
6.500% due 05/13/2028 38,850 38,644
6.764% due 02/01/2023(d) 676 682
7.000% due 03/01/2007 29 30
7.250% due 03/01/2006 204 207
7.500% due 08/01/2009-04/14/2029(f) 10,016 10,296
7.591% due 12/01/2022(d) 6,873 6,974
8.250% due 03/01/2008-05/01/2008(f) 152 158
8.500% due 12/01/2001 2 2
9.500% due 02/01/2011 74 79
10.000% due 06/01/2011 16 17
10.500% due 04/01/2001 38 38
15.500% due 06/01/2011 1 1
---------
107,614
=========
Federal Housing Administration 3.0%
5.596% due 10/01/2019 369 370
6.650% due 07/20/2038 15,500 15,673
8.250% due 11/01/2021 14,954 15,444
8.829% due 05/01/2019 383 407
---------
31,894
=========
Federal National Mortgage Association 2.9%
6.150% due 09/25/2016 3,388 3,395
6.500% due 05/18/2029 5,000 4,970
6.526% due 02/01/2023(d) 2,491 2,525
6.875% due 12/01/2023(d) 614 630
7.000% due 08/01/2009 253 257
7.095% due 01/01/2024(d) 1,504 1,546
7.233% due 07/01/2020(d) 1,093 1,124
7.411% due 04/01/2024(d) 1,750 1,802
7.500% due 04/01/2024 9,678 9,968
7.750% due 10/01/2007 275 285
8.000% due 10/01/2005 314 327
8.500% due 12/01/2001-04/01/2017(f) 2,275 2,367
9.000% due 12/01/2001-06/01/2010(f) 720 755
11.000% due 09/01/2010 250 277
13.750% due 10/01/2010-11/01/2013(f) 103 115
14.500% due 03/01/2013 5 6
14.750% due 10/01/2012-11/01/2012(f) 18 21
---------
30,370
=========
Government National Mortgage Association 23.5%
6.000% due 04/22/2029-05/24/2029(f) 49,500 47,985
6.500% due 01/15/2024-05/24/2029(d)(f) 79,471 79,126
6.625% due 09/20/2024-08/20/2027(d)(f) 52,890 53,594
6.875% due 06/20/2023-05/20/2027(d)(f) 30,401 30,840
6.880% due 06/20/2027(d) 6,325 6,411
7.500% due 03/15/2024 248 256
8.000% due 06/15/2024-12/15/2026(f) 25,762 26,857
12.000% due 10/15/2012-10/15/2015(f) 29 34
---------
245,103
=========
Other Mortgage-Backed Securities 0.1%
Bank of America
9.000% due 03/01/2008 48 48
Federal Home Loan Mortgage Corp.
11.875% due 06/15/2013 174 190
Security Pacific National Bank
8.500% due 03/01/2017 53 52
Western Federal Savings & Loan
6.562% due 03/25/2019(d) 173 173
---------
463
---------
Total Mortgage-Backed Securities 635,560
(Cost $635,796) =========
- ------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 8.9%
- ------------------------------------------------------------------------------
AFC Home Equity Loan Trust
6.903% due 10/25/2026(d) 1,332 1,356
Banc One Auto Grantor Trust
6.270% due 11/20/2003 8,528 8,623
Comed Transitional Funding Trust
5.290% due 06/25/2003 3,000 2,991
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 7,729 7,794
NationsBanc Montgomery Funding Corp.
6.750% due 08/25/2028 20,009 19,377
Norwest Asset Securities Corp.
7.500% due 03/25/2027 17,000 17,476
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 27,500 27,383
United Air Lines Equipment Trust
9.190% due 12/24/2013 7,213 8,022
---------
Total Asset-Backed Securities 93,022
(Cost $92,794) =========
- ------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.2%
- ------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 3,600 197
5.875% due 09/30/2002
Strike @ 96.590 Exp. 05/24/1999 15,300 839
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 3,800 211
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 5,100 273
5.250% due 08/15/2003
Strike @ 99.469% Exp. 08/27/1999 50,000 748
---------
Total Purchased Call Options 2,268
(Cost $2,159) =========
70 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.0%
- -------------------------------------------------------------------------------
Repurchase Agreements 0.7%
State Street Bank
4.000% due 04/01/1999 $ 510 $ 510
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 01/31/2000 valued at $522,978.
Repurchase proceeds are $510,057.)
Daiwa Securities
4.920% due 04/01/1999 7,000 7,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.545% 09/23/1999 valued at $7,148,483.
Repurchase proceeds are $7,000,957.)
-----------
7,510
===========
U.S. Treasury Bills (b)(f) 0.3%
4.407% due 04/29/1999-06/24/1999 3,275 3,247
Total Short-Term Instruments 10,757
(Cost $10,757) -----------
Total Investments (a) 124.9% $ 1,300,815
(Cost $1,300,151)
Written Options (c) (0.1%) (956)
(Premiums $1,186)
Other Assets and Liabilities (Net) (24.8%) (258,433)
-----------
Net Assets 100.0% $ 1,041,426
-----------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$1,300,161 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost $ 7,728
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (7,074)
-----------
Unrealized appreciation-net $ 654
===========
(b) Securities with an aggregate market value of
$3,247 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 108 $ (138)
Eurodollar March Futures (03/2001) 22 5
Eurodollar June Futures (06/2000) 108 (143)
Eurodollar June Futures (06/2001) 22 4
Eurodollar September Futures (09/2000) 129 (133)
Eurodollar September Futures (09/2001) 65 10
Eurodollar December Futures (12/1999) 108 (102)
Eurodollar December Futures (12/2000) 22 5
U.S. Treasury 10 Year Note (06/1999) 1,427 (23)
--------------
$ (515)
==============
(c) Premiums received on written options:
Type Par Premium Value
- -------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $ 35,200 $ 92 $ 28
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 25,000 156 156
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 25,000 73 8
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 47,200 259 125
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 14,100 59 24
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 50,000 172 281
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.94 Exp. 08/27/1999 100,000 375 334
----------------
$ 1,186 $ 956
================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Principal amount of the security is adjusted for inflation.
(f) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(g) Subject to a financing transaction.
1999 Annual Report See accompanying notes 71
<PAGE>
Schedule of Investments
Total Return Fund III
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 35.3%
- -------------------------------------------------------------------------------
Banking & Finance 17.6%
ABN-AMRO Bank (Chicago)
7.000% due 04/01/2008 $ 1,000 $ 1,037
Associates Corp. of North America
7.240% due 05/17/2006 1,000 1,057
BankAmerica Corp.
9.375% due 09/15/2009 1,000 1,225
BankBoston Corp.
6.125% due 03/15/2002 15,000 15,099
Bear Stearns Co., Inc.
5.100% due 08/25/2000(d) 10,000 10,002
Deutsche Bank Financial
6.700% due 12/13/2006 1,000 1,018
Ford Motor Credit Corp.
7.450% due 04/13/2000 300 306
6.620% due 02/27/2006 1,000 1,024
Goldman Sachs Group
5.151% due 01/25/2001(d) 10,000 10,024
Household Finance Corp.
7.150% due 06/15/2000 500 509
5.096% due 05/07/2002(d) 5,000 5,002
International Lease Finance Corp.
5.450% due 01/04/2002 500 495
Lehman Brothers Holdings, Inc.
5.900% due 04/01/2002(d) 10,000 10,000
Merrill Lynch & Co.
5.269% due 08/03/2000(d) 3,000 3,008
6.375% due 10/15/2008 5,000 4,969
Mid-Amercian Funding LLC
5.850% due 03/01/2001 12,000 12,025
Morgan Stanley, Dean Witter, Discover and Co.
6.375% due 08/01/2002 1,000 1,015
Spieker Properties
6.950% due 12/15/2002 2,000 2,020
Textron Financial Corp.
5.100% due 11/24/1999(d) 5,000 5,007
Tokai Capital Corp.
9.980% due 12/29/2049(d) 400 357
Wells Fargo Co.
6.875% due 08/08/2006 1,000 1,040
-----------
86,239
===========
Industrials 13.2%
Amerco, Inc.
7.200% due 04/01/2002 14,200 14,158
E.I. Du Pont de Nemours and Co.
6.900% due 11/12/1999 300 303
Langdell
9.978% due 07/30/1999(d) 5,000 5,031
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000(d) 15,000 14,994
Petroleos Mexicanos
9.857% due 07/15/2005(d) 5,000 4,656
TCI Communications, Inc.
5.395% due 09/11/2000(d) 5,000 4,986
Time Warner, Inc.
6.100% due 12/30/2001 10,000 10,052
Westpoint Stevens, Inc.
7.875% due 06/15/2005 5,000 5,138
WMX Technologies
6.700% due 05/01/2001 5,500 5,583
-----------
64,901
===========
Utilities 4.5%
Connecticut Light & Power
7.250% due 07/01/1999 740 740
GTE California
5.625% due 02/01/2001 300 301
Niagara Mohawk Power
7.250% due 10/01/2002 15,000 15,279
7.375% due 07/01/2003 4,000 4,194
North Atlantic Energy
9.050% due 06/01/2002 543 560
Texas Utilities Co.
6.375% due 10/01/2004 1,000 1,020
-----------
22,094
-----------
Total Corporate Bonds & Notes 173,234
(Cost $172,782) ===========
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.3%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
6.550% due 09/19/2003 52 52
Federal Home Loan Mortgage Corp.
7.500% due 07/01/2011 488 505
8.000% due 01/01/2012 257 267
8.000% due 09/01/2025 1,025 1,068
Student Loan Marketing Assn.
5.070% due 04/25/2004(d) 2,965 2,935
4.958% due 10/25/2005(d) 6,261 6,241
-----------
Total U.S. Government Agencies 11,068
(Cost $11,068) ===========
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 5.8%
- -------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008(h) 7,118 6,956
U.S. Treasury Bonds
10.375% due 11/15/2009 200 247
12.750% due 11/15/2010 1,680 2,344
7.250% due 05/15/2016 4,800 5,510
8.875% due 08/15/2017 4,400 5,866
9.000% due 11/15/2018 1,100 1,494
8.875% due 02/15/2019 3,700 4,975
7.875% due 02/15/2021 400 496
U.S. Treasury Notes
6.250% due 04/30/2001 530 543
7.500% due 02/15/2005 100 111
-----------
Total U.S. Treasury Obligations 28,542
(Cost $29,479) ===========
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 64.7%
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations 24.6%
ABN-AMRO Mortgage Corp.
6.750% due 11/25/2028 9,750 9,675
CMC Securities Corp.
7.440% due 04/25/2025(d) 1,158 1,162
Federal Home Loan Mortgage Corp.
8.000% due 05/15/2000 61 62
8.000% due 02/15/2015 223 223
7.000% due 02/15/2027 12,678 12,509
6.181% due 08/15/2032(d) 7,709 7,771
Federal National Mortgage Assn.
6.500% due 12/18/2004 4,606 4,663
7.750% due 07/25/2019 67 67
7.000% due 09/25/2021 5,861 6,032
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,582 4,626
7.500% due 03/25/2027 15,000 15,417
Greenwich
8.733% due 11/25/2024(d) 165 166
Norwest Asset Securities Corp.
6.250% due 12/25/2028 11,082 10,266
PNC Mortgage Securities Corp.
6.500% due 12/25/2028 6,449 6,265
Prudential Home Mortgage Securities
7.995% due 11/25/2023(d) 430 435
Residential Accredit Loans, Inc.
7.050% due 01/25/2026 2,000 2,009
7.250% due 01/25/2026 3,000 3,029
6.500% due 12/25/2028 24,000 23,708
Resolution Trust Corp.
8.835% due 12/25/2023 2,500 2,502
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029(d) 9,997 10,112
-----------
120,699
===========
72 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 2.6%
6.000% due 04/14/2029-05/17/2029(g) $ 2,600 $ 2,529
6.500% due 05/17/2029 8,530 8,485
6.750% due 10/01/2006 155 155
7.591% due 12/01/2022(d) 1,107 1,123
8.000% due 02/01/2006 193 199
-----------
12,491
===========
Federal Housing Administration 3.2%
7.430% due 11/25/2019-01/25/2023(g) 15,577 15,928
-----------
Federal National Mortgage Association 10.5%
5.889% due 08/01/2029(d) 1,805 1,814
5.940% due 04/26/2029(d) 15,700 15,744
5.964% due 02/01/2031(d) 83 83
6.000% due 08/25/2016 7,279 7,291
6.012% due 08/01/2018-03/01/2033(d)(g) 1,737 1,747
6.200% due 04/25/2005 5,780 5,797
6.500% due 05/18/2029 8,500 8,448
7.500% due 04/01/2024-02/01/2027(g) 6,992 7,201
8.000% due 07/01/2023-07/01/2026(g) 2,772 2,889
8.250% due 07/01/2017 91 96
8.500% due 02/01/2007 346 358
9.000% due 07/01/2005 27 28
-----------
51,496
===========
Government National Mortgage Association 23.3%
6.000% due 04/22/2029 25,000 24,293
6.125% due 10/20/2024-12/20/2026(d)(g) 8,921 9,053
6.500% due 09/15/2023-05/24/2029 (g) 61,703 61,434
6.625% due 09/20/2023-08/20/2027(d)(g) 9,069 9,209
6.875% due 06/20/2022-01/20/2026(d)(g) 9,398 9,546
10.250% due 02/15/2017 635 686
12.750% due 02/20/2015 4 5
-----------
114,226
===========
Other Mortgage-Backed Securities 0.3%
Resolution Trust Corp.
7.039% due 05/25/2029(d) 1,578 1,580
-----------
Stripped Mortgage-Backed Securities 0.2%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 04/15/2022 3,253 357
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 388 389
-----------
746
-----------
Total Mortgage-Backed Securities 317,166
(Cost $315,040) ===========
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.7%
- -------------------------------------------------------------------------------
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 13,046 13,158
-----------
Total Asset-Backed Securities 13,158
(Cost $13,079) ===========
- -------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.6%
- -------------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008(d) 5,000 4,300
Nacional Financiera
8.649% due 12/01/2000(d) 5,750 5,790
Province of Quebec
8.800% due 04/15/2003 1,000 1,103
Republic of Argentina
10.950% due 11/01/1999 2,000 2,043
14.250% due 11/30/2002(d) 1,000 968
5.937% due 03/31/2005(d) 4,362 3,735
United Mexican States
6.250% due 06/27/2002(d) 5,000 4,767
-----------
Total Sovereign Issues 22,706
(Cost $22,646) ===========
- -------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.6%
- -------------------------------------------------------------------------------
Commonwealth of Canada
8.500% due 04/01/2002 C$ 2,000 1,454
Province of Saskatchewan
11.000% due 01/09/2001 2,000 1,457
-----------
Total Foreign Currency-Denominated Issues 2,911
(Cost $3,188) ===========
- -------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.8%
- -------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 50,000 2,579
6.625% due 03/31/2002
Strike @ 98.500 Exp. 05/03/1999 10,000 550
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 900 49
5.875% due 09/30/2002
Strike @ 96.594 Exp. 05/24/1999 3,800 209
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 900 50
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 1,300 70
5.250% due 08/15/2003
Strike @ 99.289 Exp. 08/20/1999 10,000 158
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 22,000 247
-----------
Total Purchased Call Options 3,912
(Cost $4,338) ===========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
Eurodollar June Futures (CME)
Strike @ 92.500 Exp. 06/14/1999 3,000 15
Eurodollar September Futures (CME)
Strike @ 91.750 Exp. 09/13/1999 250 0
-----------
Total Purchased Put Options 15
(Cost $24) ===========
- -------------------------------------------------------------------------------
PREFERRED STOCK 0.7%
- -------------------------------------------------------------------------------
Shares
TCI Communications, Inc.
9.720% due 01/02/2000 132 3,614
-----------
Total Preferred Stock 3,614
(Cost $3,676) ===========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.9%
- -------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 2.9%
General Electric Capital Corp.
4.850% due 04/26/1999 $ 10,200 10,166
Shell Oil Co.
4.790% due 05/27/1999 900 893
4.790% due 06/04/1999 3,000 2,974
-----------
14,033
===========
Repurchase Agreements 2.3%
State Street Bank
4.000% due 04/01/1999 1,925 1,925
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$1,967,309. Repurchase proceeds are $1,925,214.)
Daiwa Securities
4.920% due 04/01/1999 9,200 9,200
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.488% 06/17/1999 valued at $9,394,081.
Repurchase proceeds are $9,201,257.)
-----------
11,125
===========
U.S. Treasury Bills (b) 0.7%
4.385% due 06/24/1999 3,598 3,562
-----------
Total Short-Term Instruments 28,720
(Cost $28,720) ===========
1999 Annual Report See accompanying notes 73
<PAGE>
Schedule of Investments
Total Return Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Total Investments (a) 123.4% $ 605,046
(Cost $604,040)
Written Options (c) (0.2%) (1,064)
(Premiums $1,185)
Other Assets and Liabilities (Net) (23.2%) (113,872)
--------------
Net Assets 100.0% $ 490,110
==============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes of $604,132 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 4,331
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (3,417)
--------------
Unrealized appreciation-net $ 914
==============
(b) Securities with an aggregate market value of
$3,562 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 43 $ (55)
Eurodollar March Futures (03/2001) 10 4
Eurodollar June Futures (06/2000) 43 (56)
Eurodollar June Futures (06/2001) 10 3
Eurodollar September Futures (09/2000) 53 (51)
Eurodollar September Futures (09/2001) 29 6
Eurodollar December Futures (12/1999) 43 (42)
Eurodollar December Futures (12/2000) 10 4
Government of Japan 10 Year Note (06/1999) 9 (203)
U.S. Treasury 10 Year Note (06/1999) 167 (10)
U.S. Treasury 30 Year Bond (06/1999) 139 (78)
--------------
$ (478)
==============
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 $ 11,800 $ 34 $ 4
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 11,800 73 74
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 15,800 42 12
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 21,400 118 57
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 6,500 27 11
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.25 Exp. 08/20/1999 10,000 37 65
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.97 Exp. 08/20/1999 20,000 80 64
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 22,000 127 143
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 22,000 95 135
Put - CME Eurodollar September Futures
Strike @ 94.75 Exp. 09/13/1999 700,000 206 158
Put - CME Eurodollar September Futures
Strike @ 95.00 Exp. 09/13/1999 700,000 346 341
----------------------
$ 1,185 $ 1,064
======================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 4,581 04/1999 $ (16)
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
JY - Japanese Yen
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 580,000 $ (182)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 JY 377,000 (121)
------------
$ (303)
============
74 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Moderate Duration Fund
March 31, 1999 Principal
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------
CORPORATE BONDS & NOTES 24.5%
- ------------------------------------------------------------------------
Banking & Finance 9.8%
Bear Stearns Co., Inc.
5.821% due 02/06/2001 (d) $ 500 $ 503
CIT Group, Inc.
6.200% due 10/20/2000 5,000 5,043
Citicorp
6.650% due 05/15/2000 (d) 2,000 2,023
Ford Motor Credit Corp.
5.130% due 01/17/2002 (d) 5,000 4,982
Korean Export-Import Bank
6.500% due 10/06/1999 1,580 1,570
Lehman Brothers Holdings, Inc.
8.150% due 05/15/2000 600 613
NationsBank Corp.
5.748% due 04/15/2003 (d) 5,000 5,043
Okobank
6.750% due 09/27/2049 (d) 1,150 1,157
PNC Bank Corp.
4.913% due 06/01/2000 (d) 8,000 7,991
PSE&G Capital Corp.
6.740% due 10/23/2001 1,100 1,127
Salomon, Inc.
5.291% due 07/23/2001 (d) 1,000 1,003
----------
31,055
==========
Industrials 10.8%
Amerco, Inc.
6.890% due 10/15/2000 2,400 2,353
7.230% due 01/21/2027 500 511
DTE Capital Corp.
8.350% due 11/15/2003 (d) 7,000 6,950
Langdell
9.978% due 07/30/1999 (d) 5,000 5,031
News America Holdings Corp.
7.450% due 06/01/2000 3,000 3,056
Occidental Petroleum
6.400% due 04/01/2003 2,600 2,572
Owens-Illinois, Inc.
7.850% due 05/15/2004 6,000 6,151
RJR Nabisco
8.625% due 12/01/2002 480 499
Sears Roebuck Acceptance
6.720% due 10/23/2002 3,000 3,073
TCI Communications, Inc.
5.395% due 09/11/2000 (d) 2,000 1,994
5.640% due 04/03/2002 (d) 250 255
7.550% due 09/02/2003 500 535
6.690% due 03/31/2006 1,200 1,248
----------
34,228
==========
Utilities 3.9%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 357 364
8.625% due 06/01/2007 690 737
Cable & Wireless Communications
6.750% due 12/01/2008 5,000 5,050
Central Maine Power Co.
5.389% due 05/04/1999 (d) 2,500 2,500
CMS Energy
8.125% due 05/15/2002 750 771
System Energy Resources
7.710% due 08/01/2001 2,900 3,002
----------
12,424
----------
Total Corporate Bonds & Notes 77,707
(Cost $77,465) ==========
- ------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.1%
- ------------------------------------------------------------------------
Student Loan Marketing Assn.
5.684% due 06/30/2000 (d) 3,400 3,394
----------
Total U.S. Government Agencies 3,394
(Cost $3,398) ==========
- ------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 5.3%
- ------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (g) 3,078 3,058
3.375% due 01/15/2007 (g) 2,074 1,998
3.625% due 01/15/2008 (g) 1,932 1,888
3.875% due 01/15/2009 (g) 3,106 3,097
U.S. Treasury Bonds
9.125% due 05/15/2018 4,900 6,701
----------
Total U.S. Treasury Obligations 16,742
(Cost $17,205) ==========
- ------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 53.8%
- ------------------------------------------------------------------------
Collateralized Mortgage Obligations 18.1%
Chase Mortgage Finance Corp.
6.204% due 04/25/2025 (d) 5,236 5,311
Criimi Mae Financial Corp.
7.000% due 01/01/2033 12,940 13,128
Federal Home Loan Mortgage Corp.
7.000% due 05/15/2004 1,000 1,019
6.000% due 12/15/2008 5,759 5,728
6.500% due 10/15/2023 1,245 1,201
8.500% due 04/15/2025 2,090 2,232
8.000% due 02/15/2027 411 427
Federal National Mortgage Assn.
6.000% due 03/25/2009 1,349 1,308
6.500% due 01/18/2019 3,687 3,725
7.000% due 09/25/2021 2,885 2,969
6.500% due 03/25/2023 2,000 2,005
GE Capital Mortgage Services, Inc.
6.000% due 02/25/2024 414 412
Government National Mortgage Assn.
7.500% due 04/20/2027 2,308 2,366
Norwest Asset Securities Corp.
6.250% due 11/25/2013 2,729 2,711
7.000% due 01/25/2028 5,908 5,960
PNC Mortgage Securities Corp.
6.500% due 10/25/2028 5,000 4,913
Prudential Home Mortgage Securities
7.000% due 05/25/2023 140 140
Resolution Trust Corp.
9.400% due 05/25/2024 265 264
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 1,534 1,537
----------
57,356
==========
Federal Home Loan Mortgage Corporation 5.4%
6.000% due 05/17/2029 3,900 3,790
6.500% due 05/17/2029 9,130 9,082
7.500% due 10/01/2026-04/14/2029 (e) 4,134 4,250
----------
17,122
==========
Federal Housing Administration 3.7%
7.430% due 04/01/2022-06/01/2023 (e) 11,128 11,635
----------
Federal National Mortgage Association 15.0%
5.900% due 08/01/2018(d) 973 982
5.905% due 08/01/2018-12/01/2027 (d)(e) 150 151
5.906% due 06/01/2018-05/01/2036 (d)(e) 1,883 1,897
5.916% due 05/01/2036(d) 4,788 4,821
5.934% due 08/01/2029(d) 796 800
5.940% due 09/01/2017-03/01/2029 (d)(e) 1,049 1,058
5.941% due 11/01/2018-08/01/2027 (d)(e) 763 768
5.942% due 01/01/2027(d) 730 734
5.946% due 11/01/2035(d) 591 594
6.012% due 03/01/2033(d) 833 838
6.500% due 08/25/2021 28,509 28,526
7.500% due 08/01/2017-01/01/2027 (e) 3,129 3,227
8.000% due 09/01/2026-10/01/2026 (e) 3,191 3,337
----------
47,733
==========
Government National Mortgage Association 11.5%
6.000% due 03/20/2028-04/22/2029 (d)(e) 18,767 18,910
6.125% due 11/20/2017-11/20/2025 (d)(e) 817 831
6.500% due 04/22/2029-05/24/2029 (e) 8,970 8,929
6.875% due 03/20/2020 (d) 96 97
8.000% due 08/15/2025-05/15/2027 (e) 6,006 6,262
9.000% due 06/15/2009 1,488 1,608
----------
36,637
==========
1999 Annual Report See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Moderate Duration Fund
March 31, 1999 Principal
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------
Other Mortgage-Backed Securities 0.1%
Paine Webber Mortgage
7.500% due 07/25/2023 $ 310 $ 310
--------
Total Mortgage-Backed Securities 170,793
(Cost $169,382) ========
- --------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.5%
- --------------------------------------------------------------------------
Caterpillar Financial Asset Trust
6.450% due 05/25/2003 2,435 2,450
Chase Manhattan Corp.
7.000% due 04/25/2025 894 903
EQCC Home Equity Loan Trust
6.700% due 09/15/2008 276 278
IMC Home Equity Loan Trust
5.117% due 03/25/2027 (d) 153 152
LIBOR-Index Certificates
6.726% due 12/16/2001 (d) 800 800
--------
Total Asset-Backed Securities 4,583
(Cost $4,589) ========
- --------------------------------------------------------------------------
SOVEREIGN ISSUES 7.8%
- --------------------------------------------------------------------------
Commonwealth of Canada
6.500% due 05/30/2000 2,500 2,534
Hydro Quebec
7.620% due 04/02/2001 1,000 1,038
5.187% due 09/29/2049 (d) 5,000 4,125
Republic of Argentina
5.937% due 03/31/2005 (d) 5,673 4,858
12.110% due 04/10/2005 (d) 3,000 2,775
United Mexican States
6.250% due 06/27/2002 (d) 10,000 9,534
--------
Total Sovereign Issues 24,864
(Cost $26,066) ========
- --------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (c)(f) 0.1%
- --------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 800 433
--------
Total Foreign Currency-Denominated Issues 433
(Cost $524) ========
- --------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
- --------------------------------------------------------------------------
U.S. Treasury Note (OTC)
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 $ 1,100 60
5.875% due 09/30/2002
Strike @ 96.590 Exp. 05/24/1999 4,500 247
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 1,100 61
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 1,500 80
--------
Total Purchased Call Options 448
(Cost $475) ========
- --------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 10.2%
- --------------------------------------------------------------------------
Commercial Paper 8.7%
Coca-Cola Co.
4.790% due 06/11/1999 600 594
IBM Corp.
4.840% due 05/03/1999 15,000 14,935
KFW International Finance, Inc.
4.790% due 06/24/1999 11,200 11,073
Shell Oil Co.
4.790% due 06/04/1999 900 892
--------
27,494
========
Repurchase Agreements 0.9%
State Street Bank
4.000% due 04/01/1999 2,022 2,022
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$2,066,721. Repurchase proceeds are
$2,022,225.)
Daiwa Securities
4.920% due 04/01/1999 1,000 1,000
(Dated 03/31/1999. Collateralized by U.S.
Treasury Bill 4.545% 09/23/1999 valued at
$1,020,513. Repurchase proceeds are
$1,000,137.)
--------
3,022
========
U.S. Treasury Bills (b)(e) 0.6%
4.341% due 04/29/1999-06/24/1999 1,945 1,932
Total Short-Term Instruments 32,448
(Cost $32,449) ========
Total Investments (a) 104.4% $331,412
(Cost $331,553)
Other Assets and Liabilities (Net) (4.4%) (14,012)
--------
Net Assets 100.0% $317,400
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $331,572 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 2,030
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (2,190)
--------
Unrealized depreciation-net $ (160)
========
(b) Securities with an aggregate market value
of $1,932 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------
U.S. Treasury 5 Year Note (12/1998) 8 $ 2
Eurodollar March Futures (03/2001) 8 2
Eurodollar June Futures (06/2001) 8 4
Eurodollar September Futures (09/2000) 8 3
Eurodollar December Futures (12/2000) 3 (65)
Government of Japan 10 Year Note (06/1999) 392 (31)
U.S. Treasury 10 Year Note (06/1999) 270 (174)
--------
$ (259)
========
(c) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------
Buy JY 7,500 04/1999 $ 1
Sell 21,000 04/1999 (5)
Sell N$ 763 05/1999 (4)
--------
$ (8)
========
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Principal amount denoted in indicated currency:
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Principal amount of the security is adjusted for inflation.
76 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Moderate Duration Fund
March 31, 1999 Principal
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 37.3%
- --------------------------------------------------------------------------------
Banking & Finance 19.4%
Associates Corp. of North America
5.104% due 08/27/2001 (d) $ 1,000 $ 1,003
6.875% due 06/20/2002 20,000 20,515
6.950% due 08/01/2002 1,000 1,035
AT&T Capital Corp.
6.490% due 05/17/1999 10,000 10,011
Banc One Corp.
7.250% due 08/01/2002 500 521
BankAmerica Corp.
7.200% due 09/15/2002 100 104
7.875% due 12/01/2002 100 106
Bear Stearns Co., Inc.
5.230% due 08/29/2000 (d) 21,000 21,031
5.821% due 02/06/2001 (d) 8,600 8,649
Beneficial Corp.
9.220% due 06/15/1999 1,000 1,008
6.650% due 09/12/2002 5,000 5,056
6.575% due 12/16/2002 5,440 5,487
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,798
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,951
Case Credit Corp.
5.850% due 02/20/2001 (d) 63,000 62,911
5.157% due 08/01/2001 (d) 4,750 4,667
Chase Manhattan Corp.
5.500% due 02/15/2001 1,000 997
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 5,028
5.077% due 08/08/2002 (d) 8,000 8,013
CIT Group, Inc.
6.200% due 10/20/2000 50,000 50,429
5.875% due 06/18/2001 10,000 10,037
Citicorp
9.750% due 08/01/1999 100 101
5.371% due 10/25/1999 (d) 5,000 5,014
Credit Asset Receivable
6.274% due 10/30/2003 44,709 45,618
Ford Motor Credit Corp.
7.500% due 11/15/1999 100 101
5.280% due 03/21/2001 (d) 3,000 3,006
5.150% due 03/19/2002 3,107 3,103
6.520% due 08/12/2002 13,000 13,272
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 15,407
5.020% due 09/19/2001 (d) 5,000 4,996
5.100% due 12/10/2001 (d) 5,300 5,306
5.095% due 04/29/2002 (d) 2,000 1,996
5.100% due 11/12/2002 (d) 17,400 17,403
5.875% due 01/22/2003 500 500
Goldman Sachs Group
6.200% due 12/15/2000 1,000 1,004
Great Western Financial
8.600% due 02/01/2002 4,000 4,263
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,949
Household Finance Corp.
6.490% due 04/09/2001 20,000 20,308
6.125% due 07/15/2002 10,000 10,068
7.625% due 01/15/2003 10,849 11,444
Lehman Brothers Holdings, Inc.
5.370% due 05/14/1999 (d) 5,000 4,998
7.625% due 07/15/1999 (d) 50 50
7.110% due 09/27/1999 45 45
8.150% due 05/15/2000 13,900 14,192
4.990% due 08/11/2000 (d) 7,900 7,871
5.900% due 04/01/2002 (d) 2,000 2,000
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,170
6.000% due 01/15/2001 1,336 1,343
5.604% due 11/26/2001 (d) 115,000 116,621
5.348% due 02/08/2002 (d) 25,000 24,985
6.130% due 04/07/2003 7,770 7,837
Morgan Stanley Group, Inc.
5.070% due 04/15/1999 5,000 5,001
New England Educational Loan Marketing
5.104% due 11/30/1999 (d) 20,000 20,040
Okobank
6.510% due 10/29/2049 (d) 750 749
PaineWebber
7.000% due 03/01/2000 50 51
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
PNC Bank Corp.
5.100% due 01/24/2002 (d) 20,000 19,860
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,704
Salomon, Inc.
7.125% due 08/01/1999 1,050 1,056
7.750% due 05/15/2000 19,000 19,441
7.500% due 02/01/2003 3,000 3,146
Salomon, Smith Barney Holdings
7.875% due 10/01/1999 100 101
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,164
SGE Associates
8.070% due 07/20/2000 (j) 9,373 9,562
Toyota Motor Credit Corp.
4.659% due 02/15/2002 (d) 11,600 11,163
Transamerica Financial Corp.
6.125% due 11/01/2001 5,000 5,040
Travelers Group, Inc.
7.300% due 05/15/2002 15,000 15,549
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,014
----------
751,861
==========
Industrials 10.1%
AK Steel Corp.
10.750% due 04/01/2004 10,650 11,079
Allied Waste North America
7.375% due 01/01/2004 5,000 4,875
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,174
9.910% due 03/01/2001 2,500 2,669
9.440% due 05/15/2001 5,000 5,318
9.125% due 10/24/2001 1,000 1,066
Building Materials Corp.
0.000% due 07/01/2004 (i) 4,700 4,853
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,793
Container Corp. of America
11.250% due 05/01/2004 2,500 2,650
Delta Air Lines
9.800% due 12/16/2000 250 263
8.500% due 09/15/2001 205 216
10.430% due 01/02/2011 850 1,053
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 28,684
Ford Motor Co.
9.000% due 09/15/2001 500 537
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,794
Hertz Corp.
6.625% due 07/15/2000 100 101
IBM Corp.
6.375% due 06/15/2000 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,105
J Seagram & Sons
6.250% due 12/15/2001 52,000 52,263
Langdell
9.978% due 07/30/1999 (d) 5,000 5,031
1999 Annual Report See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Nabisco, Inc.
6.000% due 02/15/2001 (d) $ 20,000 $ 20,012
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,009
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,412
6.400% due 04/01/2003 15,945 15,776
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 5,000 4,656
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,365
7.500% due 01/15/2002 200 209
RJR Nabisco
8.000% due 07/15/2001 10,135 10,408
8.625% due 12/01/2002 4,500 4,679
Stater Brothers Holdings
11.000% due 03/01/2001 3,875 3,972
TCI Communications, Inc.
5.700% due 03/11/2003 (d) 3,000 3,068
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,295
8.625% due 12/01/2003 1,700 1,740
Time Warner, Inc.
4.900% due 07/29/1999 3,000 2,994
7.975% due 08/15/2004 21,247 22,984
8.110% due 08/15/2006 42,495 47,017
8.180% due 08/15/2007 42,495 47,727
Xerox Capital
5.875% due 06/01/2000 3,000 3,013
Yorkshire Power
6.154% due 02/25/2003 40,000 39,857
------------
389,920
============
Utilities 7.8%
Central Maine Power Co.
5.263% due 07/30/1999 (d) 10,000 10,008
6.463% due 11/01/1999 (d) 18,200 18,291
6.380% due 02/24/2000 10,000 10,073
Cleveland Electric Illuminating Co.
9.300% due 07/26/1999 1,500 1,517
8.550% due 11/15/2001 2,075 2,183
7.850% due 07/30/2002 3,500 3,646
CMS Energy
7.375% due 11/15/2000 15,150 15,299
8.125% due 05/15/2002 1,750 1,799
7.625% due 11/15/2004 14,500 14,718
Connecticut Light & Power
7.875% due 06/01/2001 500 511
7.750% due 06/01/2002 11,700 12,127
8.590% due 06/05/2003 10,000 9,934
Consolidated Natural Gas Co.
8.750% due 06/01/1999 400 402
Flag Limited
8.250% due 01/30/2008 2,000 1,940
Illinois Power Co.
6.250% due 07/15/2002 10,000 10,038
6.000% due 09/15/2003 12,500 12,509
Long Island Lighting Co.
7.300% due 07/15/1999 4,500 4,522
Louisiana Power & Light Co.
7.740% due 07/01/2002 10,500 10,685
MCI Worldcom, Inc.
8.875% due 01/15/2006 5,170 5,570
New Centuries Energies
5.860% due 05/28/2000 12,100 12,078
New Orleans Public Service
8.000% due 03/01/2006 400 412
Niagara Mohawk Power
7.000% due 10/01/2000 27,400 27,682
7.125% due 07/01/2001 2,000 2,033
7.250% due 10/01/2002 21,300 21,697
9.500% due 03/01/2021 1,725 1,830
North Atlantic Energy
9.050% due 06/01/2002 4,930 5,086
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000(d) 10,000 10,007
Puget Sound Energy, Inc.
6.500% due 09/14/1999 2,000 2,011
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 2,017
Texas Utilities Co.
6.750% due 04/01/2003 3,875 4,011
Union Electric Co.
8.000% due 12/15/2022 1,000 1,077
US West, Inc.
5.650% due 11/01/2004 4,250 4,201
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,314
7.750% due 12/01/2002 10,300 10,508
WorldCom, Inc.
6.125% due 08/15/2001 45,000 45,448
------------
301,184
------------
Total Corporate Bonds & Notes 1,442,965
(Cost $1,426,940) ============
- ---------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 0.3%
- ---------------------------------------------------------------------------
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,108
------------
Total Municipal Bonds & Notes 13,108
(Cost $12,997) ============
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.6%
- ---------------------------------------------------------------------------
Federal Home Loan Bank
4.350% due 04/19/1999 (d) 3,000 2,998
Small Business Administration
7.000% due 01/25/2013 (d) 273 281
6.500% due 02/25/2014 (d) 849 868
Student Loan Marketing Assn
5.684% due 06/30/2000 (d) 46,000 45,917
5.098% due 04/25/2006 (d) 4,441 4,426
5.178% due 04/25/2007 (d) 45,374 45,381
------------
Total U.S. Government Agencies 99,871
(Cost $99,900) ============
- ---------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 4.4%
- ---------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(k) 95,400 94,804
3.625% due 01/15/2008 (h) 7,627 7,453
3.875% due 01/15/2009 (h)(k) 12,522 12,486
U.S. Treasury Notes
5.375% due 07/31/2000 (k) 55,000 55,293
------------
Total U.S. Treasury Obligations 170,036
(Cost $169,795) ============
- ---------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 63.4%
- ---------------------------------------------------------------------------
Collateralized Mortgage Obligations 16.2%
American Southwest Financial
5.500% due 06/02/1999 2,334 2,314
Asset Securitization Corp.
7.320% due 01/13/2030 116 122
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 233 248
6.900% due 09/19/2006 135 140
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 525 538
6.204% due 04/25/2025 (d) 5,236 5,311
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/2015 131 131
Collateralized Mortgage Obligation Trust
6.062% due 01/20/2003 (d) 13 13
9.500% due 06/25/2020 413 422
Countrywide Funding Corp.
6.000% due 01/25/2035 (d) 5,910 5,923
78 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Countrywide Home Loans
6.250% due 07/25/2009 $ 1,400 $ 1,407
6.900% due 12/25/2027 18,168 18,033
6.750% due 06/25/2028 15,103 14,390
6.050% due 04/25/2029 56,626 55,875
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,029 10,174
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 163 165
6.520% due 07/17/2007 145 147
Dime Savings
7.050% due 11/01/2018 (d) 2,285 2,097
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 1,114 1,232
8.365% due 05/25/2024 (d) 1,802 1,832
6.850% due 12/17/2027 165 166
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 144 141
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,200 3,213
10.000% due 09/15/2009 9 9
6.375% due 08/15/2011 6,120 6,156
6.500% due 08/15/2011 22,726 22,788
12.500% due 09/30/2013 809 886
6.250% due 07/15/2014 3,072 3,079
11.000% due 11/30/2015 6,744 7,459
10.000% due 07/15/2019 373 403
9.000% due 11/15/2019 1,284 1,326
8.000% due 04/15/2020 430 432
7.500% due 04/15/2020 2,900 2,927
10.000% due 05/15/2020 256 270
9.000% due 12/15/2020 4,964 5,167
7.500% due 12/15/2020 2,000 2,033
9.500% due 01/15/2021 1,633 1,725
8.000% due 04/15/2021 1,793 1,847
9.000% due 05/15/2021 320 334
7.500% due 01/20/2024 10,826 10,955
Federal National Mortgage Assn.
8.950% due 05/25/2003 58 60
9.400% due 07/25/2003 97 101
9.000% due 07/25/2003 442 454
6.875% due 06/25/2009 2,407 2,427
5.750% due 04/25/2016 167 167
9.300% due 05/25/2019 1 1
8.750% due 05/25/2019 70 71
9.000% due 07/25/2019 200 202
9.500% due 03/25/2020 3,211 3,540
9.500% due 05/25/2020 1,450 1,590
9.000% due 03/25/2021 5,050 5,343
9.000% due 04/25/2021 173 182
8.000% due 03/25/2022 83 85
7.100% due 12/25/2023 6,769 6,878
5.000% due 01/25/2024 239 237
8.500% due 04/01/2025 4,635 4,878
6.464% due 02/01/2028 (d) 9,464 9,715
First Plus Home Loan Trust
6.060% due 09/10/2011 500 502
Fleet Mortgage
7.200% due 10/25/2023 198 200
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,582 4,626
6.500% due 02/25/2024 18 18
Glendale Federal Savings & Loan
6.305% due 03/25/2030 (d) 1,658 1,680
Greenwich
8.733% due 11/25/2024 (d) 923 932
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/2015 874 931
Independent National Mortgage Corp.
8.107% due 11/25/2024 (d) 1,646 1,677
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 194
6.373% due 01/15/2030 147 149
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 144 145
Lehman Large Loan
6.790% due 06/12/2004 165 170
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,677
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 265 267
Morgan Stanley Capital
6.860% due 07/15/2005 130 130
7.227% due 01/16/2006 230 240
6.220% due 06/03/2030 230 232
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,843 24,117
Nomura Asset Securities Corp.
6.625% due01/25/2009 1,974 1,986
Norwest Asset Securities Corp.
6.250% due 11/25/2013 18,196 18,076
7.000% due 01/25/2028 42,677 43,050
Norwest Mortgage
12.375% due 01/01/2014 155 160
12.500% due 02/01/2014 438 468
12.250% due 04/01/2014 255 237
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,969 12,055
6.750% due 05/25/2028 7,149 7,195
Prudential Bache
5.941% due 09/01/2018 (d) 32 32
8.400% due 03/20/2021 5,175 5,331
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 899
7.000% due 11/25/2007 56 56
7.000% due 01/25/2008 10,000 10,126
7.000% due 06/25/2023 3,014 3,028
6.050% due 04/25/2024 267 267
6.000% due 05/25/2024 28 28
Resecuritization Mortgage Trust
5.189% due 04/26/2021 (d) 21,748 21,299
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 31,201 31,152
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 2,006 2,014
6.500% due 04/25/2009 66 66
5.913% due 07/01/2019 (d) 998 973
7.036% due 09/01/2019 (d) 141 140
7.250% due 10/25/2027 19,500 19,771
Resolution Trust Corp.
6.786% due 09/25/2019 (d) 1,335 1,325
5.977% due 01/25/2021 (d) 160 159
8.625% due 10/25/2021 16,777 16,732
7.006% due 10/25/2021 (d) 142 141
6.948% due 10/25/2021 (d) 812 810
6.900% due 02/25/2027 4,911 4,629
6.134% due 09/27/2027 (d) 1,926 1,896
9.000% due 09/25/2028 197 198
7.482% due 10/25/2028 (d) 121 126
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 238
Ryland Acceptance Corp.
9.450% due 10/01/2016 145 144
8.000% due 03/01/2018 2,403 2,450
Salomon Brothers Mortgage Securities
6.974% due 12/25/2017 (d) 2,133 2,135
9.504% due 10/25/2018 (d) 944 980
7.518% due 03/25/2024 (d) 2,058 2,099
Sears Mortgage
7.572% due 08/25/2023 (d) 335 343
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 4,547 4,556
Shearson Lehman
9.600% due 03/25/2021 558 557
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 40,058 39,459
8.992% due 06/25/2029 12,939 13,566
6.580% due 06/25/2029 (d) 32,620 32,997
6.750% due 05/02/2030 5,000 4,972
1999 Annual Report See accompanying notes 79
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 $ 26,153 $ 25,892
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 4,601 4,609
TMA Mortgage Funding Trust
5.319% due 01/25/2029 (d) 16,700 16,695
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 6,007
----------
628,772
==========
Federal Home Loan Mortgage Corporation 15.6%
4.750% due 06/01/2001 8 8
5.500% due 04/01/2007-05/15/2029 (g) 30,001 28,285
5.750% due 01/15/2008 7,096 7,114
5.900% due 01/01/2017-06/01/2017 (d)(g) 585 588
5.905% due 09/01/2015-06/01/2030 (d)(g) 3,859 3,872
5.928% due 01/01/2020(d) 660 663
5.941% due 02/01/2015-08/01/2019 (d)(g) 2,024 2,031
5.955% due 05/01/2017 (d) 177 177
5.985% due 02/01/2016 (d) 90 90
6.000% due 03/01/2011-05/17/2029 (d)(g) 319,098 310,218
6.012% due 01/01/2030-12/01/2030 (d)(g) 3,428 3,446
6.031% due 10/01/2030 (d) 359 361
6.125% due 01/01/2020 (d) 234 236
6.132% due 11/01/2014 (d) 62 62
6.500% due 04/01/2000-05/17/2029 (g) 82,896 82,706
6.750% due 03/01/2017 (d) 267 269
6.778% due 03/01/2024 (d) 130 134
6.991% due 01/01/2024 (d) 1,266 1,302
6.999% due 01/01/2024 (d) 2,593 2,660
7.021% due 11/01/2022 (d) 2,094 2,149
7.046% due 02/01/2020 (d) 3,105 3,182
7.299% due 06/01/2024 (d) 958 986
7.484% due 11/01/2023 (d) 1,056 1,082
7.496% due 07/01/2018 (d) 536 549
7.500% due 09/01/2006 110 112
7.567% due 10/01/2023 (d) 1,561 1,584
7.591% due 12/01/2022 (d) 1,107 1,123
7.619% due 09/01/2023 (d) 401 408
8.000% due 07/01/2006-06/01/2027 (g) 121,316 126,452
8.250% due 10/01/2007-11/01/2007 (g) 39 40
8.500% due 07/01/2001-11/01/2025 (g) 20,273 21,353
8.750% due 02/01/2001-04/01/2002 (g) 43 44
9.000% due 05/01/2002-07/01/2004 (g) 56 58
9.250% due 07/01/2001 4 4
9.500% due 03/01/2001-12/01/2004 (g) 90 93
9.750% due 03/01/2001-11/01/2008 (g) 895 941
10.000% due 04/01/2001-04/01/2015 (g) 16 16
10.500% due 07/01/2000-02/01/2016 (g) 67 70
10.750% due 10/01/2000-08/01/2011 (g) 423 454
11.500% due 10/01/2015 2 2
11.750% due 11/01/2010-08/01/2015 (g) 15 16
14.000% due 09/01/2012-04/01/2016 (g) 13 14
14.500% due 12/01/2010 5 6
15.000% due 08/01/2011-12/01/2011 (g) 4 5
15.500% due 11/01/2011 0 1
----------
604,966
==========
Federal Housing Administration 0.4%
6.950% due 04/01/2014 2,207 2,113
7.400% due 02/01/2019 129 134
7.421% due 11/01/2019 701 725
7.430% due 10/01/2019-12/01/2021 (g) 11,618 12,073
----------
15,045
==========
Federal National Mortgage Association 9.6%
5.538% due 04/25/2022 (d) 289 292
5.858% due 06/01/2021 (d) 79 79
5.889% due 08/01/2029 (d) 802 807
5.905% due 04/01/2019-05/01/2031 (d)(g) 12,159 12,255
5.910% due 06/01/2014 (d) 307 310
5.916% due 05/01/2036 (d) 1,377 1,386
5.940% due 11/01/2016-04/26/2029 (d)(g) 7,464 7,521
5.941% due 11/01/2018-10/01/2028 (d)(g) 9,852 9,911
5.942% due 01/01/2027-04/01/2028 (d)(g) 1,175 1,181
5.944% due 07/01/2024 (d) 1,373 1,384
5.948% due 02/01/2024 (d) 1,021 1,029
5.987% due 06/01/2024 (d) 49 49
5.999% due 07/01/2020 (d) 901 909
6.000% due 05/01/2011-12/25/2020 (g) 507 507
6.012% due 07/01/2014 (d) 1,165 1,172
6.042% due 04/01/2018 (d) 7,470 7,522
6.050% due 08/01/2023 (d) 1,127 1,133
6.331% due 07/01/2017 (d) 724 742
6.500% due 06/01/2008-01/25/2024 (g) 39,160 38,042
6.505% due 01/01/2021 (d) 590 597
6.602% due 11/01/2017 (d) 421 426
6.724% due 11/01/2018 (d) 240 246
6.909% due 01/01/2024 (d) 63 65
6.923% due 01/01/2024 (d) 3,082 3,164
7.000% due 04/01/2002-09/01/2007 (g) 180 183
7.016% due 04/01/2024 (d) 2,953 3,032
7.478% due 07/01/2023 (d) 2,029 2,088
7.500% due 04/01/2024-05/01/2024 (g) 12,058 12,420
7.998% due 10/01/2024 (d) 5,625 5,785
8.000% due 03/01/2004-12/01/2025 (g) 8,989 9,390
8.500% due 03/01/2008-08/01/2026 (g) 232,874 244,943
10.000% due 02/01/2004-06/01/2019 (g) 1,748 1,865
10.500% due 06/01/2005-11/01/2005 (g) 239 250
11.000% due 09/01/2000 8 8
11.250% due 12/01/2010-10/01/2015 (g) 175 191
11.750% due 02/01/2016 38 42
12.000% due 01/01/2015-10/01/2015 (g) 10 10
12.750% due 03/01/2014-11/01/2014 (g) 74 83
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 18 21
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 41 46
15.500% due 10/01/2012-12/01/2012 (g) 73 85
15.750% due 12/01/2011 37 44
16.000% due 09/01/2012-12/01/2012 (g) 21 23
----------
371,251
==========
Government National Mortgage Association 20.1%
6.125% due 10/20/2023-10/20/2025 (d)(g) 64,128 65,092
6.500% due 05/15/2023-05/24/2029 (d)(g) 317,706 316,099
6.550% due 11/15/2013 21 21
6.625% due 08/20/2022-07/20/2027 (d)(g) 111,688 113,335
6.875% due 04/20/2016-05/20/2027 (d)(g) 58,470 59,303
6.880% due 06/20/2027(d) 4,233 4,290
7.000% due 03/15/2011-04/15/2026 (g) 78,522 80,017
7.500% due 02/15/2022-01/15/2027 (g) 97,005 100,156
8.000% due 07/15/2004-05/15/2025 (g) 36,530 38,466
8.500% due 04/15/2022 15 16
9.750% due 07/15/2013-02/15/2020 (g) 964 1,050
11.250% due 10/15/2000 3 3
11.750% due 07/15/2013-08/15/2015 (g) 100 110
12.000% due 06/20/2015 16 18
12.250% due 01/15/2014-03/15/2014 (g) 276 311
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 29 33
16.000% due 12/15/2011-04/15/2012 (g) 38 46
----------
778,373
==========
Other Mortgage-Backed Securities 1.0%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 150 151
Glendale Federal Savings & Loan
11.000% due 03/01/2010 20 21
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 13,409 13,895
Great Western Savings & Loan
5.960% due 12/01/2017 (d) 417 413
Home Savings of America
5.641% due 05/25/2027 (d) 1,607 1,570
5.682% due 09/25/2028 (d) 1,180 1,175
80 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Imperial Savings & Loan
8.850% due 07/25/2017 (d) $ 44 $ 44
9.900% due 02/25/2018 528 540
MDC Mortgage Funding
8.268% due 01/25/2025 (d) 440 458
Resolution Trust Corp.
7.068% due 05/25/2019 (d) 4,252 4,255
7.300% due 08/25/2019 (d) 4,387 4,389
10.279% due 08/25/2021 (d) 657 668
9.500% due 05/25/2024 114 113
5.887% due 10/25/2028 (d) 2,488 2,518
7.035% due 05/25/2029 (d) 2,733 2,781
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 582 612
7.581% due 12/25/2017 (d) 228 224
Sears Mortgage
12.000% due 02/25/2014 91 91
7.217% due 10/25/2022 (d) 2,964 2,997
Western Federal Savings & Loan
6.386% due 06/25/2018 (d) 2 2
6.512% due 11/25/2018 (d) 109 109
10.069% due 02/01/2020 (d)(j) 42 42
----------
37,068
==========
Stripped Mortgage-Backed Securities 0.5%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 1,154 18
6.000% due 02/15/2006 1,442 81
9.982% due 07/15/2006 34 274
10.195% due 08/15/2006 10 104
11.944% due 12/15/2006 23 292
6.000% due 10/15/2007 1,460 90
6.000% due 02/15/2008 4,395 303
6.500% due 08/25/2013 537 4
7.000% due 08/15/2018 7,321 801
7.500% due 12/15/2018 1,582 52
7.000% due 04/15/2019 1,727 103
6.500% due 05/15/2019 8,601 772
6.500% due 06/15/2019 7,345 503
10.496% due 04/15/2021 19 344
6.500% due 04/15/2022 5,390 592
7.000% due 05/15/2023 532 77
4.000% due 01/15/2024 20,919 4,943
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 1,062 40
7.272% due 09/25/2006 52 602
6.000% due 02/25/2008 5,756 410
256.000% due 11/01/2008 34 160
6.500% due 03/25/2009 7,490 850
0.100% due 03/25/2009 (d) 24,961 505
6.500% due 03/25/2009 2,720 312
8.815% due 06/25/2016 28 108
9.987% due 12/25/2018 5 15
7.500% due 03/25/2019 4,880 341
6.500% due 05/25/2019 10,000 1,415
6.500% due 04/25/2020 15,299 1,305
7.000% due 05/25/2021 8,348 822
8.598% due 02/25/2022 35 530
6.500% due 03/25/2023 5,953 751
4.875% due 03/25/2024 (d) 9,627 408
Federal National Mortgage Assn. (PO)
0.000% due 07/25/2022 1,485 1,451
0.000% due 09/25/2022 46 41
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 69,776 378
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 388 389
----------
20,186
----------
Total Mortgage-Backed Securities 2,455,661
(Cost $2,448,484) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 1.9%
- --------------------------------------------------------------------------------
Capital Asset Research Funding LP
6.400% due 12/15/2004 122 122
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 6,227
CMC Securities Corporation IV
7.250% due 11/25/2027 8,884 9,081
Contimortgage Home Equity Loan Trust
5.116% due 04/15/2028 (d) 1,024 1,020
Delta Air Lines Equipment Trust
10.430% due 01/02/2011 960 1,189
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 30,000 30,097
IMC Home Equity Loan Trust
5.152% due 10/20/2027 (d) 11,006 10,989
Stone Container Corp.
8.500% due 04/01/2000 (d) 6,566 6,590
8.520% due 10/01/2003 (d) 5,000 5,013
United Air Lines Equipment Trust
10.850% due 02/19/2015 1,500 1,878
---------
Total Asset-Backed Securities 72,206
(Cost $71,983) =========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.7%
- --------------------------------------------------------------------------------
Hydro Quebec
9.000% due 03/07/2001 10,000 10,597
Korea Development Bank
7.125% due 09/17/2001 5,000 4,921
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 1,500 1,538
Province of Quebec
5.563% due 10/26/2001 (d) 250 248
7.125% due 02/09/2024 200 209
Republic of Argentina
5.288% due 04/01/2000 (d) 616 486
14.250% due 11/30/2002 (d) 3,000 2,904
5.937% due 03/31/2005 (d) 48,825 41,809
12.110% due 04/10/2005 (d) 5,000 4,625
Republic of Korea
7.562% due 04/07/1999 (d) 40,000 40,010
7.813% due 04/08/2000 (d) 8,500 8,489
Republic of Philippines
6.000% due 12/01/2007 3,000 2,522
United Mexican States
5.820% due 06/28/2001 10,500 10,147
6.250% due 06/27/2002 (d) 9,000 8,438
----------
Total Sovereign Issues 144,717
(Cost $147,590) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1%
- --------------------------------------------------------------------------------
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 920
4.250% due 12/01/2026 52,096 35,100
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,709
----------
Total Foreign Currency-Denominated Issues 40,729
(Cost $45,820) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 $ 45,000 505
----------
Total Purchased Call Options 505
(Cost $480) ==========
1999 Annual Report See accompanying notes 81
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Value
(000s)
- --------------------------------------------------------------------------------
PREFERRED STOCK 2.1%
- --------------------------------------------------------------------------------
Shares
Home Ownership Funding
133.310% due 01/02/2000 3 $ 2,745
Rhone-Poulenc SA
2.031% due 01/02/2000 13 338
SI Financing Trust
2.375% due 01/02/2000 807 21,375
TCI Communications, Inc.
2.500% due 01/02/2000 800 21,658
2.430% due 01/02/2000 225 6,151
2.180% due 01/02/2000 1,170 30,569
-----------
Total Preferred Stock 82,836
(Cost $83,777) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.9%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Repurchase Agreements 1.8%
State Street Bank
4.000% due 04/01/1999 $ 4,926 4,926
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$5,028,149.
Repurchase proceeds are $4,926,547.)
Daiwa Securities
4.920% due 04/01/1999 64,000 64,000
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 8.375% 08/15/2008 valued at
$21,700,072 and U.S. Treasury Bill 4.545%
09/23/1999 valued at $43,715,721.
Repurchase proceeds are $64,008,747.)
-----------
68,926
===========
U.S. Treasury Bills (b)(g) 0.1%
4.383% due 05/13/1999-06/24/1999 4,805 4,761
-----------
Total Short-Term Instruments 73,731 73,687
(Cost $73,687) ===========
Total Investments (a) 118.7% $ 4,596,321
(Cost $4,581,453)
Written Options (c) (0.0%) (1,862)
(Premiums $1,830)
Other Assets and Liabilities (Net) (18.7%) (723,212)
-----------
Net Assets 100.0% $ 3,871,247
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $4,584,759 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 36,300
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (24,738)
-----------
Unrealized appreciation-net $ 11,562
===========
(b) Securities with an aggregate market value of
$4,761 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 330 $ (439)
Eurodollar December Futures (12/1999) 330 (431)
Eurodollar December Futures (12/2000) 1,380 542
United Kingdom 90 Day LIBOR (03/2000) 314 14
United Kingdom 90 Day LIBOR (06/2000) 686 (190)
------------
$ (504)
------------
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 $ 45,000 $ 260 $ 293
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 45,000 193 275
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 500,000 200 169
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 2,000,000 1,177 1,125
-------------------------
$ 1,830 $ 1,862
=========================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 6,183 08/1999 $ (70)
Sell C$ 55,662 04/1999 (196)
------------
$ (266)
============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Subject to a financing transaction.
82 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 33.7%
- --------------------------------------------------------------------------------
Banking & Finance 26.8%
Associates Corp. of North America
6.750% due 07/15/2001 $ 20,000 $ 20,497
Banponce Corp.
6.880% due 06/16/2000 2,390 2,413
Bear Stearns Co., Inc.
5.100% due 08/25/2000(d) 10,000 10,002
CIT Group, Inc.
6.200% due 10/20/2000 15,000 15,128
Ford Motor Credit Corp.
4.550% due 08/14/2000(d) 13,000 13,043
General Motors Acceptance Corp.
7.125% due 05/01/2001 4,000 4,108
6.625% due 01/10/2002 4,000 4,081
5.875% due 01/22/2003 4,000 4,000
7.625% due 05/05/2003 1,100 1,167
Goldman Sachs Group
5.151% due 01/25/2001(d) 10,000 10,024
Hitachi Credit America
6.100% due 04/24/2001 20,000 19,959
Household Finance Corp.
6.700% due 06/15/2002 2,525 2,585
Lehman Brothers Holdings, Inc.
5.900% due 04/01/2002(d) 10,000 10,000
-----------
117,007
===========
Industrials 5.7%
Philip Morris Cos., Inc.
9.000% due 01/01/2001 4,316 4,541
Sears Roebuck Acceptance
6.720% due 10/23/2002 20,000 20,485
-----------
25,026
===========
Utilities 1.2%
Pennsylvania Electric Co.
7.430% due 07/15/2002 5,000 5,013
-----------
Total Corporate Bonds & Notes 147,046
(Cost $146,616) ===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.1%
- --------------------------------------------------------------------------------
Federal National Mortgage Association
7.500% due 02/11/2002 175 185
Student Loan Marketing Assn.
5.178% due 04/25/2007(d) 9,075 9,076
-----------
Total U.S. Government Agencies 9,261
(Cost $9,256) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.7%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008(f) 1,119 1,093
3.875% due 01/15/2009 (e)(f) 1,903 1,898
-----------
Total U.S. Treasury Obligations 2,991
(Cost $3,000) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 81.4%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 25.2%
American Southwest Financial
7.500% due 10/01/2018 779 787
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/2015 98 98
CMC Securities Corp.
7.440% due 04/25/2025(d) 2,316 2,324
Countrywide Home Loans
7.500% due 09/25/2027 20,000 20,524
Criimi Mae Financial Corp.
7.000% due 01/01/2033 12,940 13,128
DLJ Mortgage Acceptance Corp.
8.365% due 05/25/2024(d) 910 925
Federal Home Loan Mortgage Corp.
12.900% due 05/01/2014 218 256
9.250% due 10/25/2018 100 106
Federal National Mortgage Assn.
8.000% due 11/25/2023 5,815 6,086
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,582 4,626
Kidder Peabody Acceptance Corp.
7.150% due 04/25/2025 306 306
Lomas & Nettleton
12.000% due 03/17/2014 140 148
Norwest Asset Securities Corp.
6.250% due 11/25/2013 2,456 2,440
7.000% due 01/25/2028 8,863 8,940
Residential Funding Mortgage Securities, Inc.
7.500% due 10/25/2022 999 1,027
7.250% due 08/25/2027 16,000 16,300
Resolution Trust Corp.
6.948% due 10/25/2021(d) 203 202
7.482% due 10/25/2028(d) 3,880 4,025
Ryland Acceptance Corp.
14.000% due 11/25/2031 107 119
Salomon Brothers Mortgage Securities
6.899% due 11/25/2022(d) 1,581 1,613
Structured Asset Mortgage Investments, Inc.
6.750% due 05/02/2030 10,000 9,944
Structured Asset Securities Corp.
5.439% due 10/25/2028(d) 3,067 3,073
Union Planters Mortgage Finance Corp.
6.600% due 01/25/2028 13,000 13,110
-----------
110,107
===========
Federal Home Loan Mortgage Corporation 12.7%
6.000% due 05/15/2022-05/17/2029(c) 20,970 20,488
6.500% due 07/15/2017-05/17/2029(c) 24,953 24,839
7.657% due 07/01/2023(d) 651 654
8.000% due 07/01/2024-12/01/2025(c) 8,546 8,911
8.500% due 06/01/2009-06/01/2025(c) 687 723
10.500% due 09/01/2015-12/01/2018(c) 65 70
-----------
55,685
===========
Federal Housing Administration 6.6%
7.200% due 05/01/2009 1,969 1,982
7.430% due 07/01/2024 25,810 26,673
-----------
28,655
===========
Federal National Mortgage Association 14.3%
5.858% due 02/01/2021(d) 290 292
5.889% due 08/01/2029(d) 2,030 2,041
5.900% due 01/01/2017-07/01/2017(c)(d) 1,722 1,737
5.905% due 08/01/2020-05/01/2036(c)(d) 11,430 11,516
5.906% due 05/01/2036(d) 1,701 1,712
5.916% due 05/01/2036(d) 5,638 5,676
5.934% due 08/01/2029(d) 1,753 1,762
5.940% due 07/01/2014-06/01/2026(c)(d) 1,567 1,578
5.941% due 01/01/2027-08/01/2028(c)(d) 6,881 6,918
5.944% due 10/01/2032(d) 4,099 4,122
5.950% due 05/01/2036(d) 4,269 4,298
6.150% due 09/25/2016-01/01/2017(c)(d) 7,630 7,653
6.192% due 12/01/2028(d) 826 831
6.643% due 01/01/2024(d) 1,122 1,135
8.500% due 06/01/2024-06/01/2026(c) 9,453 9,944
10.500% due 05/01/2012 1,045 1,155
-----------
62,370
===========
Government National Mortgage Association 22.1%
6.125% due 10/20/2025(d) 13,754 13,947
6.500% due 08/15/2023-05/24/2029(c)(d) 24,137 24,019
6.625% due 07/20/2023(d) 9,413 9,576
6.875% due 04/20/2022-05/20/2027(c)(d) 20,292 20,636
7.000% due 03/15/2022-04/22/2029(c) 19,890 20,236
7.500% due 02/15/2022-03/15/2024(c) 6,079 6,279
8.000% due 03/15/2023-10/15/2025(c) 1,259 1,313
9.000% due 07/20/2016-12/20/2017(c) 689 737
-----------
96,743
===========
1999 Annual Report See accompanying notes 83
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Other Mortgage-Backed Securities 0.5%
Guardian
7.765% due 07/25/2019(d) $ 100 $ 98
Resolution Trust Corp.
7.068% due 05/25/2019(d) 924 925
Sears Mortgage
6.500% due 03/25/2017 52 52
7.217% due 10/25/2022(d) 1,235 1,249
-----------
2,324
-----------
Total Mortgage-Backed Securities 355,884
(Cost $354,353) ===========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.3%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.500% due 05/31/2000
Strike @ 97.063 Exp. 04/12/1999 30,000 1,070
6.375% due 08/15/2002
Strike @ 98.188 Exp. 04/12/1999 500 27
5.875% due 09/30/2002
Strike @ 96.594 Exp. 05/24/1999 2,100 115
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 500 28
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 700 37
-----------
Total Purchased Call Options 1,277
(Cost $1,379) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.8%
- --------------------------------------------------------------------------------
Commercial Paper 0.9%
IBM Corp.
4.840% due 05/03/1999 1,400 1,394
Shell Oil Co.
4.790% due 06/04/1999 2,600 2,578
-----------
3,972
===========
Repurchase Agreements 0.8%
State Street Bank
4.000% due 04/01/1999 1,469 1,469
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.750% 11/30/1999 valued at $1,499,548.
Repurchase proceeds are $1,469,163.)
Daiwa Securities
4.920% due 04/01/1999 2,000 2,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.545% 09/23/1999 valued at $2,042,004.
Repurchase proceeds are $2,000,273.) -----------
3,469
===========
U.S. Treasury Bills (b)(c) 0.1%
4.330% due 05/13/1999-06/24/1999 505 501
-----------
Total Short-Term Instruments 7,942
(Cost $7,942) ===========
Total Investments (a) 120.0% $ 524,401
(Cost $522,546)
Other Assets and Liabilities (Net) (20.0%) (87,344)
-----------
Net Assets 100.0% $ 437,057
===========
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $522,546 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $2,631
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (776)
-----------
Unrealized appreciation-net $1,855
===========
(b) Securities with an aggregate market value of $501
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at March 31, 1999:
# of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2001) 110 $43
Eurodollar June Futures (06/2001) 110 40
Eurodollar December Futures (12/2000) 110 43
------------
$126
============
(c) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Subject to a financing transaction.
(f) Principal amount of the security is adjusted for inflation.
84 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund III
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 28.6%
- --------------------------------------------------------------------------------
Banking & Finance 13.4%
BankAmerica Corp. $ 1,000 $ 1,058
8.125% due 02/01/2002
General Motors Acceptance Corp. 1,000 1,001
5.160% due 01/08/2002(b)
Goldman Sachs Group 500 502
6.200% due 12/15/2000 665 665
5.400% due 02/19/2002(b)
Salomon, Inc.
7.750% due 05/15/2000 325 333
-----------
3,559
===========
Industrials 9.5%
Hertz Corp.
6.625% due 07/15/2000 1,000 1,010
ITT Corp.
6.250% due 11/15/2000 500 487
Marlin Water Trust
7.090% due 12/15/2001 1,000 1,014
-----------
2,511
===========
Utilities 5.7%
Commonwealth Edison
5.060% due 06/15/2002(b) 500 501
Niagara Mohawk Power
7.125% due 07/01/2001 1,000 1,017
-----------
1,518
Total Corporate Bonds & Notes -----------
(Cost $7,552) 7,588
===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.5%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.038% due 10/25/2005(b) 656 654
-----------
Total U.S. Government Agencies 654
(Cost $654) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.8%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 01/15/2008(d) 406 397
3.875% due 01/15/2009(d) 600 598
-----------
Total U.S. Treasury Obligations 995
(Cost $998) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 73.5%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 9.9%
Independent National Mortgage Corp.
7.250% due 11/25/2010 1,000 1,018
Norwest Asset Securities Corp.
7.000% due 01/25/2028 591 596
Prudential Home Mortgage Securities
7.500% due 08/25/2024 1,000 1,027
-----------
2,641
===========
Federal Home Loan Mortgage Corporation 0.8%
8.750% due 10/01/2001 205 212
Federal Housing Administration 17.7%
7.375% due 03/25/2022 2,000 2,045
7.430% due 07/01/2024 2,573 2,659
-----------
4,704
===========
Federal National Mortgage Association 19.0%
5.858% due 02/01/2021(b) 95 95
6.130% due 09/01/2016-03/01/2027(b)(c) 1,894 1,908
6.131% due 08/01/2020(b) 98 99
6.150% due 06/01/2017(b) 753 760
6.160% due 10/01/2016-02/01/2017(b)(c) 913 921
6.170% due 01/01/2023(b) 151 152
8.500% due 03/01/2025-05/01/2025(c) 1,056 1,110
-----------
5,045
===========
Government National Mortgage Association 26.1%
6.500% due 05/24/2029(b) 2,700 2,045
6.880% due 06/20/2027(b) 1,050 1.064
8.500% due 10/20/2026-06/20/2027 (c) 3,022 3,170
6,919
-----------
Total Mortgage-Backed Securities 19,521
(Cost $19,440) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.5%
- --------------------------------------------------------------------------------
United Mexican States
6.250% due 06/27/2002(b) 1,000 938
-----------
Total Sovereign Issues 938
(Cost $984) ===========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
5.875% due 09/30/2002
Strike @ 96.590 Exp. 05/24/1999 200 11
-----------
Total Purchased Call Options 11
(Cost $12 ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.8%
- --------------------------------------------------------------------------------
Commercial Paper 4.5%
General Electric Capital Corp.
4.850% due 04/26/1999 400 399
General Motors Acceptance Corp.
4.790% due 04/08/1999 200 200
KFW International Finance, Inc.
4.830% due 04/06/1999 300 300
Shell Oil Co.
4.790% due 06/04/1999 300 297
-----------
1,196
===========
Repurchase Agreement 1.2%
State Street Bank
4.000% due 04/01/1999 316 316
(Dated 03/31/1999. Collateralized by U.S. Treasury -----------
Note 5.500% 01/31/2003 valued at $326,400.
Repurchase proceeds are $316,035.)
U.S. Treasury Bills (c) 0.1%
4.370% due 05/27/1999-06/24/1999 30 30
-----------
Total Short-Term Instruments 1,542
(Cost $1,542) ===========
Total Investments (a) 117.7% 31,249
(Cost $31,182)
Other Assets and Liabilities (Net) (17.7%) (4,694)
-----------
Net Assets 100.0% 26,555
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $31,182 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 125
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (58)
-----------
Unrealized appreciation-net $ 67
===========
(b) Variable rate security. The rate listed is as of
March 31, 1999.
(c) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
(d) Principal amount of the security is adjusted for inflation.
1999 Annual Report See accompanying notes 85
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 26.8%
- --------------------------------------------------------------------------------
Banking & Finance 13.6%
BankBoston Corp.
6.125% due 03/15/2002 $ 1,000 $ 1,008
Bankers Trust Corp.
5.100% due 05/11/2003(d) 11,000 11,054
Capital One Bank
6.740% due 05/31/1999 875 876
Caterpillar Financial Service Corp.
4.220% due 04/01/1999(d) 2,000 2,000
Dean Witter Discover
5.222% due 02/13/2001(d) 5,000 4,992
Donaldson, Lufkin & Jenrette
5.688% due 05/25/2026(d) 437 437
Ford Motor Credit Corp.
5.104% due 08/27/2001(d) 3,000 2,995
5.150% due 03/19/2002 4,295 4,290
General Motors Acceptance Corp.
8.400% due 10/15/1999 2,450 2,488
5.160% due 01/08/2002(d) 1,000 1,001
5.100% due 08/18/2003(d) 16,575 16,498
Goldman Sachs Group
5.030% due 07/31/2000(d) 8,000 8,018
Heller Financial, Inc.
5.211% due 04/22/2002(d) 15,000 15,008
Lehman Brothers, Inc.
4.590% due 09/01/1999(d) 3,000 2,989
4.990% due 08/11/2000(d) 3,000 2,989
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 1,002
Nacional Finaciers Trust
8.356% due 03/31/1999(d) 11 11
Residential Funding
7.254% due 12/01/2018(d) 1,394 1,423
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,108 3,028
-----------
82,107
===========
Industrials 8.1%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,903
Champion International Corp.
7.700% due 12/15/1999 10,000 10,145
COFIRI International, Inc.
5.267% due 10/27/2000(d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,924
Maytag Corp.
8.875% due 07/15/1999 500 505
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,046
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000(d) 20,000 19,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 3,016
-----------
48,525
===========
Utilities 5.1%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,790
Niagara Mohawk Power
9.990% due 05/11/2004 1,500 1,518
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,126
System Energy Resources
7.625% due 04/01/1999 2,500 2,500
-----------
30,934
-----------
Total Corporate Bonds & Notes 161,566
(Cost $161,427) ===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.8%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.070% due 04/25/2004(d) 2,965 2,935
5.178% due 04/25/2007(d) 13,612 13,614
-----------
Total U.S. Government Agencies 16,549
(Cost $16,574) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(f) 5,129 5,097
3.625% due 01/15/2008(f)(g) 1,119 1,093
3.875% due 01/15/2009(f)(g) 1,903 1,898
U.S. Treasury Notes
5.750% due 10/31/2000 1,000 1,011
-----------
Total U.S. Treasury Obligations 9,099
(Cost $9,124) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 45.8%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 29.9%
CMC Securities Corp.
7.500% due 02/25/2023 7,337 7,410
Dime Savings
7.050% due 11/01/2018(d) 356 327
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020(d) 850 875
7.790% due 09/01/2021(d) 47 47
6.946% due 06/25/2022(d) 301 303
7.488% due 05/25/2023(d) 281 284
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 3,553 3,557
6.000% due 03/15/2005 2,128 2,136
6.000% due 02/15/2007 1,375 1,382
6.500% due 10/25/2014 8,264 8,252
5.750% due 10/15/2016 154 155
Federal National Mortgage Assn.
6.500% due 10/18/2006 1,171 1,174
6.000% due 02/25/2008 1,893 1,889
5.358% due 07/25/2008(d) 1,782 1,767
5.800% due 08/25/2015 720 719
6.000% due 08/18/2016 47,726 47,872
6.500% due 11/25/2017 8,337 8,337
5.875% due 03/25/2018 212 213
7.000% due 05/25/2018 5,901 5,917
5.850% due 05/25/2019 2,612 2,609
6.000% due 06/25/2020 417 416
6.000% due 08/25/2020 3,686 3,686
5.000% due 02/25/2022 248 244
6.500% due 09/18/2023 2,943 2,964
9.011% due 06/25/2032 13,657 14,906
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 5,021
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 9,164 9,251
Greenwich
7.634% due 04/25/2022(d) 128 131
6.818% due 10/25/2022(d) 91 92
Housing Securities, Inc.
6.000% due 02/25/2008 3,012 3,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,072
Prudential Bache
5.941% due 09/01/2018(d) 31 30
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 231
Resolution Trust Corp.
6.733% due 06/25/2024(d) 354 353
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 20,033 19,733
Structured Asset Securities Corp.
7.000% due 01/20/2021 3,102 3,120
5.439% due 10/25/2028(d) 3,067 3,073
Structured Mortgage Asset Residential Trust
6.500% due 08/25/2021 164 164
TMA Mortgage Funding Trust
5.319% due 01/25/2029 14,300 14,296
-----------
180,026
===========
Federal Home Loan Mortgage Corporation 1.1%
6.250% due 10/15/2016 827 826
7.500% due 11/01/2001 5,408 5,508
-----------
6,334
===========
Federal National Mortgage Association 4.9%
6.000% due 12/18/2014 11,071 11,076
6.150% due 09/25/2016 10,163 10,186
86 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
8.000% due 06/01/2027 $ 5,301 $ 5,518
8.500% due 01/01/2026 2,714 2,856
-----------
29,636
===========
Government National Mortgage Association 9.5%
6.125% due 11/20/2026(d) 19,957 20,242
6.625% due 09/20/2023-08/20/2027 (d)(e) 11,783 11,987
6.875% due 02/20/2024-04/20/2025(d)(e) 15,256 15,490
8.500% due 06/20/2027 9,368 9,823
-----------
57,542
===========
Other Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn.
1.000% due 06/25/2023 26 26
First Nationwide Trust
6.798% due 10/25/2018(d) 13 13
Resolution Trust Corp.
6.609% due 05/25/2029(d) 787 785
-----------
824
===========
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 6,973 697
Federal National Mortgage Assn. (IO)
7.000% due 07/25/2006 2,083 191
6.500% due 12/25/2006 4,610 253
6.500% due 06/25/2017 2,401 147
6.500% due 10/25/2023 2,095 285
1,573
-----------
Total Mortgage-Backed Securities 275,935
(Cost $275,240) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.9%
- --------------------------------------------------------------------------------
Banc One Auto Grantor Trust
6.290% due 07/20/2004 4,362 4,410
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,985 1,997
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 13,046 13,159
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003(d) 10,000 10,000
-----------
Total Asset-Backed Securities 29,566
(Cost $29,454) ===========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.6%
- --------------------------------------------------------------------------------
Air Canada
5.613% due 07/31/2005(d) 2,000 1,824
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,138
Republic of Argentina
7.700% due 08/15/1999(d) 5,240 5,253
5.937% due 03/31/2005(d) 4,724 4,046
United Mexican States
6.250% due 06/27/2002(d) 9,000 8,580
-----------
Total Sovereign Issues 21,841
(Cost $22,162) ===========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.6%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,863
Commonwealth of Canada
4.250% due 12/01/2026 C$ 2,292 1,544
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,926
-----------
Total Foreign Currency-Denominated Issues 9,333
(Cost $10,040) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 12.4%
- --------------------------------------------------------------------------------
Commercial Paper 10.2%
Abbott Laboratories
4.820% due 04/12/1999 12,000 11,982
American Express
4.840% due 04/06/1999 2,400 2,398
Coca-Cola Co.
4.770% due 04/08/1999 1,900 1,898
4.780% due 06/21/1999 8,600 8,507
Florida Power Corp.
4.840% due 04/21/1999 800 798
Ford Motor Credit Corp.
4.800% due 04/08/1999 6,200 6,194
General Motors Acceptance Corp.
4.810% due 04/06/1999 5,000 4,997
KFW International Finance, Inc.
4.830% due 04/06/1999 2,500 2,498
4.770% due 04/06/1999 3,400 3,398
4.790% due 06/24/1999 10,500 10,383
National Rural Utilities Cooperative
4.780% due 04/22/1999 1,600 1,596
4.820% due 06/10/1999 100 99
4.820% due 06/11/1999 5,600 5,546
Proctor & Gamble Co.
4.780% due 04/28/1999 900 897
-----------
61,191
===========
Repurchase Agreements 2.2%
State Street Bank
4.000% due 04/01/1999 8,396 8,396
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 5.500% 05/31/2000 valued at $8,568,914.
Repurchase proceeds are $8,396,933.)
Daiwa Securities
4.920% due 04/01/1999 5,000 5,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $5,120,991.
Repurchase proceeds are $5,000,683.) -----------
13,396
U.S. Treasury Bills 0.0%
4.310% due 05/27/1999 10 10
-----------
Total Short-Term Instruments 74,597
(Cost $74,598) ===========
Total Investments (a) 99.4% $ 598,486
(Cost $598,619)
Other Assets and Liabilities (Net) 0.6% 3,502
Net Assets 100.0% $ 601,988
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes of $598,164 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,142
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (1,820)
-----------
Unrealized appreciation-net $ 322
===========
(b) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 3,090 04/1999 $ (18)
Sell C$ 2,390 04/1999 (8)
Sell N$ 5,023 04/1999 20
Sell 381 05/1999 (2)
-----------
$ (8)
===========
(c) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(f) Principal amount of the security is adjusted for inflation.
(g) Subject to a financing transaction.
1999 Annual Report See accompanying notes 87
<PAGE>
Schedule of Investments
Money Market Fund
March 31,1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 90.6%
- --------------------------------------------------------------------------------
Commercial Paper 69.2%
Abbott Laboratories
4.810% due 04/13/1999 $ 11,000 $ 10,982
Albertson's, Inc
4.830% due 04/08/1999 20,500 20,481
Anheuser Busch Cos., Inc.
4.810% due 04/22/1999 20,000 19,944
Archer-Daniels-Midland Co.
4.830% due 05/17/1999 5,000 4,969
AT&T Capital Corp.
4.820% due 04/22/1999 20,000 19,944
Campbell Soup Co.
4.830% due 05/06/1999 12,000 11,944
4.800% due 09/21/1999 10,000 9,769
Canadian Wheat Board
4.780% due 05/14/1999 5,000 4,971
Commonwealth Bank of Australia
4.850% due 04/06/1999 6,500 6,496
E.I. Du Pont de Nemours
4.830% due 05/10/1999 500 498
4.840% due 06/08/1999 12,000 11,890
Eastman Kodak Co.
4.790% due 04/09/1999 700 699
4.780% due 04/22/1999 12,000 11,966
Ford Motor Credit Corp.
4.850% due 05/03/1999 11,000 10,952
General Electric Capital Corp.
4.860% due 06/15/1999 10,000 9,899
4.800% due 07/29/1999 12,000 11,810
Goldman Sachs Group
4.850% due 04/14/1999 20,000 19,965
GTE Funding, Inc.
4.820% due 04/08/1999 6,400 6,394
IBM Corp.
4.860% due 08/24/1999 10,000 9,804
4.820% due 04/29/1999 12,330 12,284
Monsanto Co.
4.860% due 05/05/1999 10,854 10,804
4.820% due 05/10/1999 2,500 2,487
4.750% due 07/23/1999 8,000 7,881
Motorola, Inc.
4.800% due 05/28/1999 11,500 11,413
National Australia Funding
4.770% due 05/12/1999 11,500 11,438
National Rural Utilities Cooperative
4.830% due 07/08/1999 8,250 8,142
Nike, Inc.
4.850% due 04/29/1999 561 559
Oesterreich Kontrollbank
4.810% due 09/22/1999 12,000 11,721
Proctor & Gamble Co.
4.800% due 04/19/1999 2,100 2,095
4.740% due 04/21/1999 6,000 5,984
4.810% due 06/18/1999 10,000 9,896
Province of British Colombia
4.820% due 05/13/1999 3,800 3,779
4.820% due 08/18/1999 7,500 7,360
Shell Oil Co.
4.810% due 04/29/1999 21,500 21,419
St. Paul Cos., Inc.
4.830% due 04/23/1999 2,675 2,667
USAA Capital Corp.
4.830% due 04/22/1999 8,800 8,775
4.810% due 06/14/1999 10,000 9,901
Xerox Corp.
4.820% due 04/14/1999 10,490 10,472
-----------
371,949
===========
Repurchase Agreements 21.4%
State Street Bank
4.000% due 04/01/1999 1,616 1,616
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 10/31/1999 valued at $1,653,377.
Repurchase proceeds are $1,616,180.)
Merrill Lynch
4.850% due 04/01/1999 113,500 113,500
(Dated 03/31/1999. Collateralized by Cash Management
Bill 4.887% 04/19/1999 valued at $115,766,368.
Repurchase proceeds are $113,515,291.) -----------
115,116
-----------
Total Short-Term Instruments 487,065
(Cost $487,065) ===========
Total Investments 90.6% $ 487,065
(Cost $487,065)
Other Assets and Liabilities (Net) 9.4% 50,825
-----------
Net Assets 100.0% $ 537,890
===========
88 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31,1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 0.7%
- --------------------------------------------------------------------------------
Merita Bank
6.500% due 04/01/2009 $ 2,000 $ 1,988
-----------
Ttal Corporate Bonds & Notes 1,988
(Cost $1,999) ===========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 2.0%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.684% due 06/30/2000(d) $ 1,000 $ 998
4.975% due 07/25/2004(d) 1,838 1,820
5.098% due 04/25/2006(d) 2,106 2,099
5.208% due 01/25/2007(d) 853 853
-----------
Total U.S. Government Agencies 5,770
(Cost $5,779) ===========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 72.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(f)(g) 15,900 15,801
U.S. Treasury Bonds
9.250% due 02/15/2016(g) 4,200 5,711
8.125% due 08/15/2019(g) 19,500 24,558
8.500% due 02/15/2020 16,400 21,458
8.125% due 05/15/2021(g) 4,000 5,083
8.125% due 08/15/2021 26,200 33,282
8.000% due 11/15/2021(g) 29,100 36,602
7.500% due 11/15/2024 1,300 1,573
6.875% due 08/15/2025 150 170
6.500% due 11/15/2026(g) 32,200 34,867
6.625% due 02/15/2027 750 826
U.S. Treasury Notes
7.500% due 11/15/2001(g) 22,800 24,118
-----------
Total U.S. Treasury Obligations 204,049
(Cost $209,818) ===========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 73.0%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 35.6%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 387
California Federal Bank
6.390% due 08/25/2030(d) 953 960
Chase Mortgage Finance Corp.
6.204% due 04/25/2025(d) 3,413 3,462
CMC Securities Corp.
6.000% due 02/25/2009 2,769 2,773
6.150% due 05/25/2028 3,000 3,008
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,965 2,005
7.500% due 06/01/2004 80 82
7.500% due 07/01/2004 757 776
7.500% due 08/01/2004 112 114
7.500% due 09/01/2004 286 293
9.500% due 01/15/2005 64 66
6.000% due 03/15/2007 102 102
5.500% due 05/15/2007 72 72
8.000% due 02/15/2015 377 402
6.500% due 05/12/2017 2,498 2,504
4.250% due 12/15/2021 541 509
7.000% due 07/15/2022 999 1,001
7.000% due 05/15/2023 210 212
6.500% due 05/15/2023 223 216
7.000% due 08/15/2023 301 294
7.000% due 09/15/2023 734 744
5.910% due 10/25/2023 2,053 2,055
6.500% due 11/15/2023 373 342
6.000% due 11/15/2023 894 827
6.500% due 11/15/2023 247 237
6.500% due 11/25/2023 254 240
6.500% due 12/15/2023 853 812
7.000% due 01/15/2024 57 58
6.500% due 02/15/2024 108 103
6.500% due 03/15/2024 848 815
8.000% due 12/15/2024 1,000 1,035
Federal Housing Administration
7.430% due 11/01/2023 1,527 1,602
7.430% due 01/01/2024 403 422
Federal National Mortgage Assn.
7.500% due 04/25/1999 205 204
7.500% due 02/01/2004 517 530
7.500% due 03/01/2004 381 391
7.500% due 04/01/2004 527 541
7.500% due 05/01/2004 669 687
7.500% due 06/01/2004 747 766
7.500% due 07/01/2004 525 539
7.500% due 08/01/2004 1,562 1,602
7.500% due 09/01/2004 288 296
7.500% due 10/01/2004 349 358
5.750% due 06/25/2006 348 348
5.600% due 07/25/2006 315 315
7.000% due 03/25/2013 274 274
6.250% due 12/25/2013 72 70
6.000% due 09/25/2016 1,378 1,380
5.750% due 12/25/2016 152 152
6.650% due 01/24/2017 303 304
8.750% due 08/25/2020 69 70
8.000% due 03/25/2022 21 21
7.000% due 04/25/2022 792 778
7.000% due 06/25/2022 381 368
7.000% due 10/25/2022 1,077 1,052
7.800% due 10/25/2022 691 712
6.900% due 05/25/2023 287 285
7.000% due 05/25/2023 1,109 1,095
7.000% due 06/25/2023 478 474
6.000% due 08/25/2023 47 43
4.500% due 10/25/2023 184 119
6.500% due 11/25/2023 2,000 1,931
7.000% due 12/25/2023 1,443 1,452
6.500% due 12/25/2023 182 168
6.500% due 01/25/2024 190 182
6.000% due 05/17/2027 2,500 2,343
7.000% due 05/18/2027 1,441 1,377
8.500% due 06/01/2027 1,873 1,971
9.000% due 06/01/2027 2,178 2,324
6.464% due 02/01/2028(d) 706 725
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,340 1,366
First Plus Home Loan Trust
5.970% due 11/10/2010 2,000 2,003
GE Capital Mortgage Services, Inc.
9.000% due 09/25/2023 737 759
6.500% due 10/25/2023 3,000 2,877
7.500% due 07/25/2026 4,786 4,917
Headlands Mortgage Securities, Inc.
6.500% due 10/25/2028 4,366 3,934
Independent National Mortgage Corp.
7.978% due 01/25/2025(d) 164 167
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 3,114 3,111
Norwest Asset Securities Corp.
6.750% due 10/25/2028 995 990
PHH Mortgage Services Corp.
6.730% due 06/18/2011 12,000 12,030
PNC Mortgage Securities Corp.
7.000% due 02/25/2028 1,483 1,499
6.750% due 04/25/2028 3,000 3,013
Prudential Home Mortgage Securities
6.950% due 09/25/2023 63 61
6.500% due 01/25/2024 1,273 1,156
Residential Funding Mortgage Securities, Inc.
7.793% due 03/25/2025(d) 124 128
7.750% due 09/25/2026 1,100 1,125
7.500% due 04/25/2027 1,962 2,011
Resolution Trust Corp.
6.000% due 09/25/2029 2,273 2,287
Vendee Mortgage Trust
6.500% due 06/15/2024 2,041 1,959
-----------
100,170
Federal Home Loan Mortgage Corporation 5.8% ===========
1999 Annual Report See accompanying notes 89
<PAGE>
Schedule of Investments(Cont.)
Long-Term U.S. Government Fund
March 31,1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.250% due 12/15/2023 $ 416 $ 384
6.542% due 10/01/2026(d) 2,198 2,215
6.706% due 05/01/2022(d) 115 117
7.483% due 06/01/2022(d) 87 90
7.500% due 10/01/2004 5,708 5,845
8.000% due 05/01/2004 5,892 6,051
8.008% due 12/01/2024(d) 1,701 1,752
-----------
16,454
===========
Federal Housing Administration 10.9%
6.800% due 10/15/2040(e) 3,767 3,834
7.000% due 11/25/2019-10/15/2040(e) 6,689 6,744
7.375% due 01/01/2018 1,820 1,880
7.400% due 12/18/2018 2,974 3,074
7.421% due 11/01/2019 158 164
7.430% due 08/01/2019-06/01/2024(e) 12,666 13,136
7.450% due 03/25/2022 1,703 1,763
-----------
30,595
===========
Federal National Mortgage Association 8.5%
6.390% due 05/25/2036 1,557 1,348
6.568% due 08/01/2026(d) 634 641
6.914% due 08/01/2026(d) 950 976
7.000% due 03/01/2009-07/25/2023(e) 10,791 11,061
7.132% due 10/01/2024(d) 2,615 2,643
7.399% due 08/01/2027(d) 364 371
7.636% due 10/01/2024(d) 147 151
8.500% due 09/01/2026-09/01/2027(e) 6,437 6,783
-----------
23,974
===========
Government National Mortgage Association 10.3%
6.125% due 05/20/2024-10/20/2026 (d)(e) 2,294 2,329
6.500% due 04/20/2027-05/24/2029 (d)(e) 4,228 4,211
6.625% due 12/15/2000-02/15/2040 (d)(e) 11,127 11,267
6.875% due 04/20/2017-03/20/2027 (d)(e) 11,050 11,229
-----------
29,036
===========
Other Mortgage-Backed Securities 0.4%
Resolution Trust Corp.
6.609% due 05/25/2029(d) 1,049 1,047
-----------
1,047
===========
Stripped Mortgage-Backed Securities 1.5%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 09/15/1999 45 1
7.000% due 03/15/2003 1,416 170
6.500% due 11/15/2003 2,250 302
6.500% due 08/15/2006 145 8
6.500% due 10/15/2006 248 21
6.500% due 11/15/2006 287 15
8.191% due 02/15/2007 6 114
7.500% due 06/15/2007 561 55
6.000% due 10/15/2007 260 19
6.500% due 10/15/2007 2,031 180
6.500% due 11/15/2008 1,015 179
7.000% due 12/15/2023 2,377 344
7.000% due 02/15/2026 119 9
Federal National Mortgage Assn. (IO)
11.876% due 08/25/2006 13 133
6.500% due 02/25/2007 163 13
6.500% due 07/25/2007 2,834 157
11.980% due 08/25/2007 9 250
10.146% due 09/25/2007 5 115
6.500% due 08/25/2020 496 39
6.500% due 09/25/2021 661 84
7.000% due 12/25/2021 380 40
Federal National Mortgage Assn. (PO)
0.000% due 03/25/2009 2,944 1,969
First Plus Home Loan Trust (IO)
6.000% due 08/10/2028 1,200 121
-----------
4,338
-----------
Total Mortgage-Backed Securities 205,614
(Cost $203,829) ===========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 4.1%
- --------------------------------------------------------------------------------
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 $ 3,202 $ 3,211
Chase Manhattan Corp
6.750% due 08/25/2028 1,850 1,792
Discover Card Trust
6.792% due 04/16/2010 1,325 1,338
Merrill Lynch Mortgage Investors, Inc.
6.210% due 11/24/2028 2,000 2,003
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,887
Residential Funding Mortgage Securities, Inc. (IO)
5.000% due 06/25/2000 6,000 426
-----------
Total Asset-Backed Securities 11,657
(Cost $11,636) ===========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 1.1%
- --------------------------------------------------------------------------------
U.S. Treasury Bond (OTC)
6.250% due 08/15/2023
Strike @ 96.968 Exp. 04/12/1999 14,400 1,097
U.S. Treasury Note (OTC)
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 20,000 1,032
7.250% due 05/15/2004
Strike @ 101.906 Exp. 04/12/1999 11,100 777
4.750% due 11/15/2008
Strike @ 97.859 Exp. 04/9/1999 95,000 66
-----------
Total Purchased Call Options 2,972
(Cost $3,545) ===========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 1.4%
- --------------------------------------------------------------------------------
Repurchase Agreement 1.2%
State Street Bank
4.000% due 04/01/1999 3,315 3,315
(Dated 03/31/1999. Collateralized by U.S. Treasury -----------
Note 7.750% 01/31/2000 valued at $3,386,412.
Repurchase proceeds are $3,315,368.)
U.S. Treasury Bills (b) 0.2%
4.366% due 06/24/1999 750 742
-----------
Total Short-Term Instruments 4,057
(Cost $4,057) ===========
Total Investments (a) 154.8% $ 436,107
(Cost $440,663)
Written Options (c) (0.0%) (110)
(Premiums $224)
Other Assets and Liabilities (Net) (54.8%) (154,359)
-----------
Net Assets 100.0% $ 281,638
===========
90 PIMCO Funds See accompanying notes
<PAGE>
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $440,484 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,772
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (7,149)
----------
Unrealized depreciation-net $ (4,377)
==========
(b) Securities with an aggregate market value of $742
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
# of Unrealized
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
U.S. Treasury 30 Year Bond (06/1999) 180 (90)
(c) Premium on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Federal Home Loan Mortgage
6.000% due 04/2029
Strike @ 97.83 Exp. 04/09/1999 $ 19,000 $ 103 $ 9
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 23,200 53 40
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 23,200 68 61
------------------------
$ 224 $ 110
========================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Principal amount of security is adjusted for inflation.
(g) Subject to a financing transaction.
1999 Annual Report See accompanying notes 91
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 79.4%
- --------------------------------------------------------------------------------
Banking & Finance 5.2%
Arvin Capital
9.500% due 02/01/2027 $ 19,000 $ 19,517
Bay View Capital Corp.
9.125% due 08/15/2007 8,000 7,800
Charter Commercial Holdings LLC
8.250% due 04/01/2007 7,600 7,809
Circus Circus Enterprise
9.250% due 12/01/2005 8,100 8,485
Forest City Enterprises
8.500% due 03/15/2008 12,350 12,473
Fuji Bank
9.870% due 12/31/2049(d) 26,000 20,386
General Motors Acceptance Corp.
5.095% due 04/29/2002(d) 800 798
Golden State Holdings
7.000% due 08/01/2003 205 206
7.125% due 08/01/2005 870 877
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,503
Sumitomo
9.400% due 12/29/2049(d) 29,800 28,012
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,624
Trizec Finance Limited
10.875% due 10/15/2005 18,751 20,532
Willis Corroon Corp.
9.000% due 02/01/2009 14,200 14,449
-----------
167,471
===========
Industrials 60.8%
Aaf-Mcquay, Inc.
8.875% due 02/15/2003 1,000 955
Abbey Healthcare Group
9.500% due 11/01/2002 15,195 14,891
Advanced Lighting
8.000% due 03/15/2008 15,675 13,912
AEI Holding Co.
10.500% due 12/15/2005 11,130 11,241
Agriculuture Minerals & Chemicals
10.750% due 09/30/2003 3,000 3,060
Airtrust
0.000% due 06/01/2013(c) 12,942 5,032
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 14,760
7.625% due 01/01/2006 25,975 25,354
American Airlines
10.610% due 03/04/2010 650 836
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,813
American Standard, Inc.
7.125% due 02/15/2003 300 296
7.375% due 02/01/2008 10,800 10,611
9.250% due 12/01/2016 6,084 6,213
Amerigas Partners LP
10.125% due 04/15/2007 4,200 4,389
Amphenol Corp.
9.875% due 05/15/2007 7,100 7,420
Applied Power, Inc.
8.750% due 04/01/2009 14,200 14,413
Avalon Cable
9.375% due 12/01/2008 1,600 1,686
Ball Corp.
7.750% due 08/01/2006 10,500 10,894
8.250% due 08/01/2008 9,600 9,960
Beckman Instruments, Inc.
7.100% due 03/04/2003 4,475 4,481
7.450% due 03/04/2008 10,625 10,649
Benedek Broadcasting Corp.
11.875% due 03/01/2005 24,940 26,935
Benedek Communications Corp.
0.000% due 05/15/2006(c) 1,500 1,148
Beverly Enterprises, Inc.
9.000% due 02/15/2006 12,700 12,509
Bresnan Communications
8.000% due 02/01/2009 1,000 1,032
Buckeye Technologies, Inc.
8.000% due 10/15/2010 14,100 14,206
Building Materials Corp.
7.750% due 07/15/2005 18,450 18,035
8.625% due 12/15/2006 1,235 1,261
8.000% due 10/15/2007 4,050 3,999
8.000% due 12/01/2008 17,600 17,424
Caesars World
8.875% due 08/15/2002 1,250 1,253
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 6,900
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,100 3,977
Century Communications Corp.
9.500% due 08/15/2000 600 615
0.000% due 03/15/2003 15,400 11,126
9.500% due 03/01/2005 2,000 2,140
8.750% due 10/01/2007 6,000 6,285
0.000% due 01/15/2008 5,000 2,363
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,610
Chattem, Inc.
8.875% due 04/01/2008 4,950 5,000
Circus Circus Enterprises
6.750% due 07/15/2003 17,400 16,597
Clark R & M, Inc.
8.625% due 08/15/2008 4,000 3,600
Clark R&M Holdings
8.375% due 11/15/2007 5,000 4,481
Coltec Industries, Inc.
7.500% due 04/15/2008 38,750 39,525
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,949
7.000% due 07/01/2007 3,350 3,018
6.730% due 07/15/2045 9,000 8,555
Columbus McKinnon
8.500% due 04/01/2008 16,500 16,046
Comcast Corp.
9.500% due 01/15/2008 6,837 7,256
Container Corp. of America
11.250% due 05/01/2004 12,020 12,741
Continental Cablevision
9.500% due 08/01/2013 10,000 11,927
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,750 4,631
8.750% due 11/01/2009 6,000 5,790
CSC Holdings, Inc.
9.875% due 05/15/2006 850 918
9.875% due 02/15/2013 2,000 2,212
10.500% due 05/15/2016 11,000 13,200
7.875% due 02/15/2018 10,000 10,175
9.875% due 04/01/2023 9,000 10,102
Cumberland Farms
10.500% due 10/01/2003 4,175 4,154
Decision One
7.890% due 08/07/2003(d) 4,513 2,031
8.040% due 08/07/2003(d) 516 232
Delta Air Lines
10.790% due 03/26/2014 2,264 3,006
Dial Call Communications
10.250% due 12/15/2005(d) 3,772 3,781
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,055
0.000% due 12/15/2005(d) 5,000 4,444
Echostar DBS Corp.
9.250% due 02/01/2006 33,150 34,435
9.375% due 02/01/2009 2,000 2,087
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 7,224
Envirosource, Inc.
9.750% due 06/15/2003 12,068 11,473
Extended Stay America
9.150% due 03/15/2008 11,500 11,212
92 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Extendicare Health Services
9.350% due 12/15/2007 $ 7,750 $ 6,200
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,691
Falcon Holding Group LP
0.000% due 04/15/2010(c) 11,700 8,161
8.375% due 04/15/2010 7,150 7,221
Federal-Mogul Corp.
7.500% due 07/01/2004 24,000 24,070
7.375% due 01/15/2006 250 246
7.750% due 07/01/2006 9,100 9,133
Ferrellgas Partners LP
9.375% due 06/15/2006 125 125
Fisher Scientific International
7.125% due 12/15/2005 6,500 5,784
9.000% due 02/01/2008 30,075 30,376
Foamex LP
9.875% due 06/15/2007 700 669
Fred Meyer, Inc.
7.450% due 03/01/2008 400 423
Furon Co.
8.125% due 03/01/2008 1,400 1,379
Garden State Newspapers
8.750% due 10/01/2009 24,155 24,517
8.625% due 07/01/2011 6,900 6,969
Globalstar LP
11.375% due 02/15/2004 8,350 5,302
11.250% due 06/15/2004 5,500 3,465
10.750% due 11/01/2004 3,106 1,864
Golden Northwest Aluminum
12.000% due 12/15/2006 4,850 4,874
Goss Graphic Systems, Inc.
12.000% due 10/15/2006 6,450 2,290
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,319
0.000% due 05/15/2008(c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,809
9.625% due 07/01/2005 1,680 1,718
8.375% due 11/15/2005 4,000 4,000
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 5,608
7.250% due 12/15/2025 9,500 7,084
Harrahs Operating Co., Inc
7.875% due 12/15/2005 4,900 4,957
7.500% due 01/15/2009 20,675 20,941
Henry Co.
10.000% due 04/15/2008 2,000 1,990
HMH Properties, Inc.
7.875% due 08/01/2005 20,650 20,289
8.450% due 12/08/2006 6,350 6,350
Hollinger International Publishing
8.625% due 03/15/2005 4,200 4,378
9.250% due 02/01/2006 2,800 2,926
Holmes Products Corp.
9.875% due 11/15/2007 5,200 4,966
Host Marriott LP
8.375% due 02/15/2006 5,000 5,056
Huntsman Corp.
9.500% due 07/01/2007 12,350 12,227
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 11,105
Impsat Corp.
12.375% due 06/15/2008 10,900 9,756
Integrated Health Services
7.312% due 12/31/2005(d) 9,875 9,505
9.500% due 09/15/2007 2,950 1,962
Intermedia Communications, Inc.
0.000% due 05/15/2006(c) 30,735 26,739
8.500% due 01/15/2008 4,950 4,962
9.500% due 03/01/2009 800 842
ISP Holdings, Inc.
9.750% due 02/15/2002 250 259
9.000% due 10/15/2003 23,370 23,954
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,591
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,904
J.Q. Hammons Hotels
8.875% due 02/15/2004 8,500 7,916
Jones Intercable, Inc.
8.875% due 04/01/2007 10,060 11,016
Jupiters Limited
8.500% due 03/01/2006 10,100 10,201
K-Mart Corp.
12.350% due 01/01/2008(b) 4,127 4,581
8.800% due 07/01/2010 1,250 1,296
9.350% due 01/02/2020 15,374 15,375
9.780% due 01/05/2020 9,575 9,950
K-III Communications Co.
8.500% due 02/01/2006 18,190 18,599
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,354
Lenfest Communications
8.375% due 11/01/2005 13,650 14,605
10.500% due 06/15/2006 525 609
Level 3 Communications, Inc.
9.125% due 05/01/2008 30,200 30,275
Lin Holdings Corp.
0.000% due 03/01/2008(d) 18,750 13,313
Lin Television Corp.
8.375% due 03/01/2008 8,800 8,833
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 3,900 3,451
Mail-Well, Inc.
8.750% due 12/15/2008(d) 16,100 16,583
Market Hub Partners
8.250% due 03/01/2008 7,700 7,816
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 4,000 4,200
McLeodUSA, Inc.
0.000% due 03/01/2007(c) 27,475 22,049
8.375% due 03/15/2008 300 303
9.500% due 11/01/2008 13,625 14,681
8.125% due 02/15/2009 9,050 9,073
MJD Communications, Inc.
9.500% due 05/01/2008 6,525 6,623
Navistar International Corp.
8.000% due 02/01/2008 8,000 8,280
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,823
Newsquest Capital
11.000% due 05/01/2006 2,550 2,818
NTL, Inc.
10.000% due 02/15/2007 2,000 2,125
11.500% due 10/01/2008 10,900 12,344
Occidental Petroleum
6.400% due 04/01/2003 2,500 2,474
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,459
Octel Developments PLC
10.000% due 05/01/2006 2,100 2,179
Optel, Inc.
13.000% due 02/15/2005 1,500 1,519
11.500% due 07/01/2008 5,300 4,770
Orion Network Systems, Inc.
0.000% due 01/15/2007(c) 20,350 11,396
11.250% due 01/15/2007 16,375 14,656
Owens & Minor, Inc.
10.875% due 06/01/2006 950 1,030
P&L Coal Holdings
8.875% due 05/15/2008 29,550 30,991
Packaging Corp. of America
9.625% due 04/01/2009 11,025 11,025
Packard Bioscience Co.
9.375% due 03/01/2007 2,950 2,869
Perkins Family Restaurants
10.125% due 12/15/2007 3,450 3,709
1999 Annual Report See accompanying notes 93
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Perry-Judd
10.625% due 12/15/2007 $ 6,445 $ 6,735
Petroleos Mexicanos
9.857% due 07/15/2005(d) 8,600 8,009
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 8,445
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 16,667
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 10,404
Piedmont Aviation
10.250% due 03/28/2005 821 883
Pioneer Natonal Resources
8.875% due 04/15/2005 17,000 16,402
6.500% due 01/15/2008 6,950 5,744
Polymer Group, Inc.
9.000% due 07/01/2007 20,805 21,169
8.750% due 03/01/2008 6,200 6,371
Pool Energy Co.
8.625% due 04/01/2008 11,750 11,838
Pride International, Inc.
9.375% due 05/01/2007 3,400 3,264
Primedia, Inc.
7.625% due 04/01/2008 8,250 8,209
Printpack, Inc.
9.875% due 08/15/2004 2,325 2,293
Qwest Communications International, Inc.
0.000% due 10/15/2007(c) 13,040 10,432
0.000% due 02/01/2008(c) 10,550 8,203
7.250% due 11/01/2008 1,200 1,233
R & B Falcon Corp.
9.500% due 12/15/2008 3,200 2,896
R.H. Donnelly, Inc.
9.125% due 06/01/2008 4,600 4,876
Racers
8.375% due 10/01/2007 21,417 20,794
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 12,484
8.875% due 12/15/2010 7,475 7,344
Renaissance Media Group
0.000% due 04/15/2008(c) 21,250 14,769
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,327
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,647
RJR Nabisco
8.625% due 12/01/2002 14,500 15,075
Rogers Cablesystems Limited
10.000% due 03/15/2005 7,500 8,494
Rogers Cantel, Inc.
8.300% due 10/01/2007 16,385 17,122
9.375% due 06/01/2008 15,500 17,089
Safety-Kleen Services
9.250% due 06/01/2008 25,500 26,775
Salem Communications
9.500% due 10/01/2007 5,400 5,724
Satelites Mexicanos
9.060% due 06/30/2004(d) 8,882 7,416
SC International Services, Inc.
9.250% due 09/01/2007 11,200 12,152
Scotsman Group, Inc.
8.625% due 12/15/2007 4,000 4,020
Silgan Holdings, Inc.
9.000% due 06/01/2009 23,160 23,913
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 10,102
9.200% due 07/02/2018 15,750 17,212
Smithfield Foods
7.625% due 02/15/2008 5,950 5,757
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 9,116
8.875% due 12/01/2008 3,000 3,090
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,040
10.750% due 10/01/2002 3,802 3,978
11.500% due 10/01/2004 2,000 2,130
Sun Healthcare Group, Inc.
9.500% due 07/01/2007 1,550 318
9.375% due 05/01/2008 5,300 1,087
Supercanal Holdings
11.500% due 05/15/2005 4,800 1,920
Superior Telecom, Inc.
9.312% due 11/27/2006 16,000 15,840
Synthetic Industries, Inc.
9.250% due 02/15/2007 12,000 12,420
Telewest Communications
9.625% due 10/01/2006 12,750 13,547
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 999
8.625% due 12/01/2003 1,600 1,638
8.000% due 01/15/2005 5,300 5,267
8.625% due 01/15/2007 3,500 3,518
7.625% due 06/01/2008 20,000 19,400
TFM SA de CV
0.000% due 06/15/2009(c) 7,800 4,641
Trans-Resources, Inc.
10.750% due 03/15/2008 14,650 14,650
0.000% due 03/15/2008(c) 1,750 919
TV Guide, Inc.
8.125% due 03/01/2009 18,400 18,768
Unisys Corp.
12.000% due 04/15/2003 8,900 9,812
7.875% due 04/01/2008 4,000 4,210
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 9,090
United Refining Co.
10.750% due 06/15/2007 1,650 1,163
US Air, Inc.
9.625% due 09/01/2003 18,083 19,025
9.330% due 01/01/2006 6,443 6,669
Vectura Group, Inc.
10.250% due 06/30/2008 7,150 7,382
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,490
9.750% due 06/30/2009 7,850 8,066
Westpoint Stevens, Inc.
7.875% due 06/15/2005 2,500 2,569
7.875% due 06/15/2008 17,450 17,930
World Color Press, Inc.
8.375% due 11/15/2008 15,650 16,120
Young Broadcasting, Inc.
9.000% due 01/15/2006 11,000 11,605
8.750% due 06/15/2007 4,510 4,645
-----------
1 ,961,472
===========
Utilities 13.4%
AES Corp.
10.250% due 07/15/2006 12,735 13,499
8.375% due 08/15/2007 1,000 985
8.500% due 11/01/2007 6,300 6,206
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 35,610
Bridas Corp.
12.500% due 11/15/1999 4,500 4,590
California Energy
9.500% due 09/15/2006 10,000 11,021
Calpine Corp.
9.250% due 02/01/2004 15,250 15,707
15.000% due 03/15/2004(b) 10,000 11,751
7.625% due 04/15/2006 4,500 4,523
8.750% due 07/15/2007 14,950 15,259
7.875% due 04/01/2008 11,000 11,248
CMS Energy
8.125% due 05/15/2002 9,500 9,767
7.000% due 01/15/2005 12,000 11,705
94 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Flag Limited
8.250% due 01/30/2008 $ 39,575 $ 38,388
GST Network
0.000% due 05/01/2008(c) 8,000 4,240
Intermedia Communications
0.000% due 07/15/2007(c) 6,250 4,766
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 12,484
9.750% due 11/15/2008 1,750 1,859
Mastec, Inc.
7.750% due 02/01/2008 7,250 7,069
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 9,725 10,479
Metronet Communications
0.000% due 06/15/2008(c) 8,975 6,978
10.625% due 11/01/2008 9,600 11,232
MJD Communications, Inc.
9.160% due 05/01/2008(d) 6,000 5,848
Nextel Communications, Inc.
9.750% due 08/15/2004 10,000 10,413
8.500% due 03/31/2007 4,000 3,880
0.000% due 02/15/2008(c) 38,750 27,367
Nextel Partners, Inc.
0.000% due 02/01/2009(c) 17,750 10,295
Niagara Mohawk Power
9.990% due 05/11/2004 2,500 2,530
7.625% due 10/01/2005 8,400 8,658
7.750% due 05/15/2006 1,100 1,192
7.750% due 10/01/2008 27,000 28,990
9.500% due 03/01/2021 2,500 2,652
7.875% due 04/01/2024 7,500 7,907
North Atlantic Energy
9.050% due 06/01/2002 5,265 5,432
Orange PLC
8.000% due 08/01/2008 40,550 41,969
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,355
Telewest Communications PLC
0.000% due 10/01/2007(d) 2,500 2,212
11.250% due 11/01/2008 1,000 1,170
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009(b) 500 552
10.732% due 01/01/2013(b) 6,993 8,055
-----------
430,843
-----------
Total Corporate Bonds & Notes 2,559,786
(Cost $2,564,972) ===========
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 0.2%
- -------------------------------------------------------------------------------
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 6,046
-----------
Total U.S. Treasury Obligations 6,046
(Cost $6,048) ===========
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 1.7%
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.4%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,464
Federal Deposit Insurance Corp.
6.187% due 11/25/2026(d) 400 373
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,821
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 5,058
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028(d) 3,835 2,877
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 8,005
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 5,562
Resolution Trust Corp.
9.250% due 06/25/2023 1,931 2,020
9.050% due 08/25/2023 568 566
6.900% due 02/25/2027 7,164 6,752
7.000% due 05/25/2027 5,759 5,762
-----------
45,260
===========
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 3,235 3,215
Resolution Trust Corp.
6.653% due 09/25/2020(d) 444 382
9.500% due 05/25/2024 28 28
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,535
-----------
7,160
===========
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 821 31
7.000% due 07/25/2008 4,289 551
6.500% due 06/25/2017 1,336 82
7.000% due 04/25/2019 12,000 1,562
7.000% due 12/25/2021 7,591 797
Fund America (Ioette)
9.590% due 10/20/2021 10 25
-----------
3,048
-----------
Total Mortgage-Backed Securities 55,468
(Cost $56,557) ===========
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 6.1%
- -------------------------------------------------------------------------------
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 27,460
Apria Healthcare Group
7.938% due 08/09/2001 1,356 1,343
8.438% due 08/09/2001 6,148 5,971
BCP SA
11.280% due 03/31/2006 10,000 8,500
Charter Commercial Holdings LLC
7.750% due 03/31/2028 15,000 14,962
Columbia/HCA Healthcare
6.807% due 09/30/1999 13,750 13,526
6.807% due 09/30/2000 13,750 13,526
Decision One
7.890% due 08/07/2003 5,641 2,538
Huntsman Corp.
8.812% due 03/20/2007(d) 3,500 3,500
Jefferson Smurfit
8.250% due 03/31/2006 18,905 18,076
Lyondell Petroleum
6.937% due 06/17/1999 7,675 7,579
6.937% due 06/17/2000 22,325 21,655
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,646
NTL, Inc.
0.000% due 02/01/2006 6,000 5,250
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003(d) 15,000 15,000
Stone Container Corp.
8.500% due 04/01/2000(d) 8,185 8,216
TFM SA de CV
6.190% due 06/30/2003(d) 4,000 3,760
Varig SA
8.651% due 06/02/2005 5,847 4,385
8.777% due 06/02/2005 1,732 1,299
-----------
Total Asset-Backed Securities 196,192
(Cost $206,937) ===========
1999 Annual Report See accompanying notes 95
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.2%
- --------------------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 $ 22,000 $ 22,277
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,200
Republic of Argentina
5.937% due 03/31/2005(d) 5,650 4,838
5.750% due 03/31/2023(d) 9,000 6,255
Republic of Korea
8.875% due 04/15/2008 28,550 30,607
------------
Total Sovereign Issues 72,177
(Cost $65,865) ============
- --------------------------------------------------------------------------------
PREFERRED STOCK 3.0%
- --------------------------------------------------------------------------------
Shares
CSC Holdings, Inc.
12.738% due 01/02/2000 169 19,358
Fresenius Medical Care
7.875% due 01/02/2000 28 27,468
9.000% due 12/01/2006 27 27,511
Newscorp Overseas Limited
2.156% due 01/02/2000 133 3,330
Primedia, Inc.
8.624% due 01/02/2000 50 4,763
9.200% due 12/01/2006 70 7,193
Sig Capital Trust
9.500% due 08/15/2027 7 5,479
------------
Total Preferred Stock 95,102
(Cost $97,840) ============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 7.6%
- --------------------------------------------------------------------------------
Principal
Amount
(000s)
Commercial Paper 6.4%
Abbott Laboratories
4.840% due 04/09/1999 $ 4,500 4,495
Coca-Cola Co.
4.770% due 04/08/1999 22,600 22,579
4.810% due 04/22/1999 2,100 2,094
4.780% due 06/21/1999 6,200 6,133
E.I. Du Pont de Nemours
4.800% due 06/04/1999 12,500 12,393
Ford Motor Credit Corp.
4.850% due 04/09/1999 14,100 14,085
4.840% due 04/23/1999 3,500 3,490
General Electric Capital Corp.
4.840% due 04/28/1999 300 299
4.840% due 04/30/1999 24,100 24,006
4.810% due 05/05/1999 800 796
IBM Corp.
4.810% due 04/21/1999 7,200 7,181
KFW International Finance, Inc.
4.760% due 04/06/1999 2,900 2,898
National Rural Utilities Cooperative
4.810% due 05/17/1999 35,000 34,785
4.820% due 06/10/1999 3,400 3,368
Shell Oil Co.
4.790% due 05/27/1999 17,100 16,973
4.780% due 06/22/1999 50,000 49,456
------------
205,031
============
Repurchase Agreements 1.2%
State Street Bank
4.000% due 04/01/1999 4,217 4,217
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 10/31/1999 valued at $4,306,105.
Repurchase proceeds are $4,217,469.)
Daiwa Securities
4.920% due 04/01/1999 13,600 13,600
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $13,927,080.
Repurchase proceeds are $13,601,859.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 $ 23,100 $ 23,100
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 12.000% 08/15/2013 valued at $23,511,616.
Repurchase proceeds are $23,103,144.)
40,917
------------
Total Short-Term Instruments 245,948
(Cost $245,948) ============
Total Investments (a) 100.2% $ 3,230,719
(Cost $3,244,167)
Other Assets and Liabilities (Net) (0.2%) (7,469)
------------
Net Assets 100.0% $ 3,223,250
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,244,633 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 66,233
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (80,147)
------------
Unrealized depreciation-net $ (13,914)
============
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of March 31, 1999.
96 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Total Return Mortgage Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 22.5%
- --------------------------------------------------------------------------------
U.S. Treasury Notes
6.750% due 04/30/2000 $ 700 $ 713
6.250% due 08/31/2002 250 258
------------
Total U.S. Treasury Obligations 971
(Cost $968) ------------
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 80.5%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 26.8%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 132 133
Countrywide Home Loans
6.750% due 11/25/2027 70 71
Donaldson, Lufkin & Jenrette
6.500% due 04/25/2024 2 2
Federal Home Loan Mortgage Corp.
5.941% due 02/01/2018 (b) 216 218
4.500% due 03/15/2021 83 78
3.500% due 12/15/2022 13 10
6.500% due 05/15/2023 102 99
6.500% due 03/15/2024 97 93
8.000% due 06/15/2026 62 66
Federal National Mortgage Assn.
5.600% due 11/25/2016 145 145
5.000% due 04/25/2020 4 4
7.500% due 11/25/2020 12 12
7.500% due 03/25/2023 86 88
5.969% due 04/25/2023 (b) 25 25
6.500% due 09/25/2023 33 31
6.750% due 09/25/2023 48 47
Vendee Mortgage Trust
7.750% due 05/15/2022 34 35
------------
1,157
============
Federal Home Loan Mortgage Corporation 7.9%
6.000% due 10/01/2024 182 178
7.000% due 02/01/2027 160 162
------------
340
============
Federal National Mortgage Association 8.6%
6.490% due 11/01/2018 61 62
7.661% due 05/01/2023 205 208
8.500% due 09/01/2026 95 100
------------
370
============
Government National Mortgage Association 36.7%
6.125% due 12/20/2021-11/20/2026 (b)(c) 151 154
6.625% due 07/20/2025 57 57
6.875% due 03/20/2016-03/20/2027 (b)(c) 258 263
6.880% due 02/20/2018 68 69
7.000% due 04/22/2029 600 609
7.500% due 05/15/2027-08/15/2027 (c) 418 431
------------
1,583
============
Stripped Mortgage-Backed Securities 0.5%
Federal National Mortgage Assn. (IO)
6.500% due 07/25/2007 315 17
7.000% due 12/25/2016 197 6
------------
23
------------
Total Mortgage-Backed Securities 3,473
(Cost $3,422) ============
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 11.8%
- --------------------------------------------------------------------------------
Commercial Paper 7.0%
Abbott Laboratories
4.840% due 04/09/1999 $ 100 $ 100
Ford Motor Credit Corp.
4.820% due 04/08/1999 100 100
4.850% due 04/09/1999 100 100
------------
300
============
Repurchase Agreement 4.8%
State Street Bank
4.000% due 04/01/1999 207 207
------------
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.500% 02/15/2000 valued at $213,428.
Repurchase proceeds are $207,023.)
Total Short-Term Instruments 507
(Cost $506) ============
Total Investments (a) 114.8% $ 4,951
(Cost $4,896)
Other Assets and Liabilities (Net)(14.8%) (640)
------------
Net Assets 100.0% $ 4,311
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax of $4,893 purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 62
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4)
------------
Unrealized appreciation-net $ 58
============
(b) Variable rate security. The rate listed is as of March 31,1999.
(c) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
1999 Annual Report See accompanying notes 97
<PAGE>
Schedule of Investments
Low Duration Mortgage Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 2.4%
- --------------------------------------------------------------------------------
Banking & Finance 2.4%
Heller Financial, Inc.
5.330% due 09/25/2000(c) $ 100 $ 100
----------
Total Corporate Bonds & Notes 100
(Cost $100) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 2.5%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(d) 102 102
----------
Total U.S. Treasury Obligations 102
(Cost $102) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 112.6%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 52.1%
ABN AMRO Mortgage Corp.
6.750% due 04/25/2029 200 181
Citicorp Mortgage Securities, Inc.
6.750% due 09/25/2028 179 178
Federal Home Loan Mortgage Corp.
8.000% due 11/15/2026 241 248
Federal National Mortgage Assn.
4.000% due 01/25/2022 388 354
8.000% due 07/25/2022 621 644
6.500% due 09/25/2023 257 243
Norwest Asset Securities Corp.
6.250% due 11/25/2013 182 181
6.250% due 12/25/2028 125 119
----------
2,148
==========
Federal Housing Administration 4.3%
7.430% due 03/01/2022 170 177
----------
Federal National Mortgage Association 5.2%
9.000% due 07/01/2018 199 213
----------
Government National Mortgage Association 51.0%
6.125% due 12/20/2017(c) 114 116
6.625% due 07/20/2018-08/20/2025 (b)(c) 825 838
6.875% due 05/20/2016-06/20/2025 (b)(c) 994 1,010
11.250% due 07/20/2015 123 137
----------
2,101
----------
Total Mortgage-Backed Securities 4,639
(Cost $ 4,639) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 2.2%
- --------------------------------------------------------------------------------
Money Store Home Equity Trust
6.345% due 11/15/2021(c) 91 91
----------
Total Asset-Backed Securities 91
(Cost $91) ==========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.4%
- --------------------------------------------------------------------------------
Republic of Korea
7.813% due 04/08/2000(c) 100 100
----------
Total Sovereign Issues 100
(Cost $100) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.6%
- --------------------------------------------------------------------------------
Commercial Paper 4.8%
Coca-Cola Co.
4.790% due 06/11/1999 $ 200 $ 198
----------
Repurchase Agreement 0.8%
State Street Bank
4.000% due 04/01/1999 32 32
----------
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.625% 3/31/2002 valued at $36,449.
Repurchase proceeds are $32,004.)
Total Short-Term Instruments 230
(Cost $230) ==========
Total Investments (a) 127.7% $ 5,262
(Cost $5,262)
Other Assets and Liabilities (Net) (27.7%) (1,143)
----------
Net Assets 100.0% $ 4,119
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$5,263 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 39
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (40)
----------
Unrealized depreciation-net $ (1)
==========
(b) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(c) Variable rate security. The rate listed is as of March 31,1999.
(d) Principal amount of the security is adjusted for inflation.
(e) Reverse repurchase agreements were entered into March 24, 1999
paying interest at 4.90%. The following securities were segregated
with collateral for reverse repurchase agreements:
Type Maturity Value
- --------------------------------------------------------------------------------
Government National Mortgage Assn. 6.875% 05/20/2025 $ 174
Government National Mortgage Assn. 7.375% 05/20/2025 363
Government National Mortgage Assn. 7.000% 08/20/2025 261
Government National Mortgage Assn. 7.000% 07/20/2025 318
-----------
$ 1,116
===========
98 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 23.6%
- -------------------------------------------------------------------------------
Banking & Finance 20.3%
Chase Manhattan Corp.
5.518% due 12/10/2001(d) $ 500 $ 505
Ford Motor Credit Corp.
5.525% due 02/13/2003(d) 350 349
General Motors Acceptance Corp.
5.707% due 11/09/2000(d) 500 502
Heller Financial, Inc.
5.323% due 02/05/2001 400 401
HRPT Properties Trust
5.658% due 07/09/1999 250 249
J.P. Morgan & Co.
5.459% due 02/15/2012 700 620
Korean Export-Import Bank
6.500% due 10/06/1999 250 248
Lehman Brothers Holdings, Inc.
9.875% due 10/15/2000 250 264
5.900% due 04/01/2002(d) 500 500
Merrill Lynch & Co.
5.348% due 02/08/2002(d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.002% due 11/13/2000(d) 250 251
Residential Reinsurance
9.180% due 06/01/1999(d) 357 361
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 725 706
Toyota Motor Credit Corp.
4.659% due 02/15/2002 400 385
---------
5,741
=========
Industrials 3.3%
Langdell
9.978% due 07/30/1999(d) 200 201
Petroleos Mexicanos
9.857% due 07/15/2005(d) 500 466
Time Warner, Inc.
4.900% due 07/29/1999 250 250
---------
917
---------
Total Corporate Bonds & Notes 6,658
(Cost $6,695) =========
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES (d) 29.6%
- -------------------------------------------------------------------------------
Federal Home Loan Bank
4.609% due 02/15/2002 2,985 2,912
Federal National Mortgage Assn.
5.328% due 03/13/2002 2,000 1,949
New York City
5.278% due 08/01/2002 196 194
Student Loan Marketing Assn.
4.129% due 02/20/2000 250 248
4.975% due 07/25/2004 131 130
5.008% due 10/25/2004 163 163
5.098% due 04/25/2006 2,323 2,315
5.208% due 01/25/2007 427 426
---------
Total U.S. Government Agencies 8,337
=========
(Cost $8,302)
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (g)(h) 95.5%
- -------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002 5,442 5,408
3.375% due 01/15/2007 11,406 10,986
3.625% due 01/15/2008 6,813 6,657
3.625% due 04/15/2028 4,063 3,888
---------
Total U.S. Treasury Obligations 26,939
(Cost $27,140) =========
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 6.5%
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations 1.8%
Comed Transitional Funding Trust
5.375% due 03/25/2002 $ 400 $ 397
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 97
---------
494
=========
Federal Housing Administration 1.1%
7.430% due 12/01/2020 309 317
---------
Federal National Mortgage Association 3.6%
6.500% due 06/25/2009 89 88
7.775% due 10/01/2024(d) 918 938
---------
1,026
---------
Total Mortgage-Backed Securities 1,837
(Cost $1,836) =========
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 20.0%
- -------------------------------------------------------------------------------
AFC Home Equity Loan Trust
5.157% due 03/25/2027(d) 409 409
Capital Equipment Receivables Trust
6.030% due 02/15/2000 95 95
6.120% due 09/15/2000 600 604
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 500 500
EQCC Home Equity Loan Trust
5.202% due 03/20/2029 500 500
First Plus Home Loan Trust
6.450% due 02/10/2009 421 421
IMC Home Equity Loan Trust
5.075% due 05/21/2012(d) 39 39
6.610% due 06/20/2013 500 504
NationsBank Auto Owner Trust
6.375% due 07/15/2000 25 25
Pacific Southwest Bank
6.060% due 06/15/2002 45 45
Premiere Auto Trust
6.150% due 03/06/2000 21 21
5.510% due 07/08/2001 500 500
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 500 498
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 729
WMC Mortgage Loan
5.168% due 03/20/2028 749 749
---------
Total Asset-Backed Securities 5,639
(Cost $5,621) =========
- -------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 6.0%
- -------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,300 704
Fuji International Finance Trust
0.250% due 12/31/2002 JY 12,000 59
Republic of France
3.000% due 07/25/2009 EC 379 409
Tokai Bank
2.750% due 10/04/2004 JY 16,000 104
United Mexican States
3.850% due 12/31/2019 35,000 246
6.630% due 12/31/2019 FF 1,500 185
---------
Total Foreign Currency-Denominated Issues 1,707
(Cost $1,700) =========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.5%
- -------------------------------------------------------------------------------
Repurchase Agreement 2.1%
State Street Bank
4.000% due 04/01/1999 $ 579 579
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$591,239. Repurchase proceeds are $579,064.)
1999 Annual Report See accompanying notes 99
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
U.S. Treasury Bills (e)(f) 3.4%
4.493% due 05/27/1999-03/30/2000 $ 1,010 $ 965
----------
Total Short-Term Instruments 1,544
(Cost $1,543) =======
Total Investments (a) 186.7% $ 52,661
(Cost $52,837)
Other Assets and Liabilities (Net) (86.7%) (24,450)
----------
Net Assets 100.0% $ 28,211
==========
Notes to Schedule of Investments (amounts in
thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$52,851 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost. $ 139
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (329)
----------
Unrealized depreciation-net $ (190)
==========
(b) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------------------
Sell EC 570 11/1999 $ 52
Sell JY 10,272 05/1999 0
Sell 27,245 02/2000 9
Sell N$ 814 04/1999 (4)
Sell 503 05/1999 0
----------
$ 57
==========
(c) Principal amount denoted in indicated currency:
EC - European Currency Unit
FF- French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is
as of March 31,1999.
(e) Securities with an aggregate market value of $965
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at March 31, 1999:
Unrealized
Type Contracts Appreciation
- -------------------------------------------------------------------------------
10 Year Euro-Bond EUX (06/1999) 3 $ 1
(f) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
100 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 99.4%
- -------------------------------------------------------------------------------
Alabama 0.4%
Mobile, Alabama General Obligation Bonds,
(MBIA Insured), Series 1998,
0.000%, 02/15/2000(b) $ 325 $ 221
---------
Arizona 4.1%
Santa Cruz County, Arizona Utility Revenue Bonds,
Series 1997, 4.750%, 08/01/2020 100 102
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500%, 09/01/2004 1,130 1,266
Show Low, Arizona Industrial Development Authority
Hospital Revenue Bond, Series 1998,
5.500%, 12/01/2017 1,000 1,030
---------
2,398
=========
California 12.3%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000%, 09/02/2006 360 357
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000%, 09/01/2008 350 350
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000%, 08/01/2015 500 578
Irvine, California Special Assessment Bond,
Series 1998, 4.800%, 09/02/2004 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group One, 4.900%, 09/02/2005 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group Three, 4.900%, 09/02/2005 160 160
Irvine, California Special Assessment Bond,
Series 1998, 5.000%, 09/02/2006 150 150
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000%, 09/01/2006 350 350
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B,
6.500%, 07/01/2013 1,000 1,076
Los Angeles, California Convention & Exhibition
Center Authority Lease Revenue Bonds, (MBIA Insured),
Series 1993, 6.125%, 08/15/2011 1,000 1,155
Orange County, California Improvement Bond,
Series 1998 A, 4.900%, 09/02/2005 300 300
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900%, 09/02/2003 150 155
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000%, 09/02/2004 150 155
Riverside County, California Special Tax
Refunding Bonds, Series 1999, 4.200%, 09/01/2001 300 300
Riverside County, California Special Tax, Series 1999,
4.700%, 09/01/2005 170 169
Sacramento County, California Refunding Bonds,
Series 1998, 4.900%, 09/02/2005 300 299
San Jose, California Redevelopment Agency Tax
Allocation Bond, Series 1998, 5.000%, 08/01/2021 $ 1,000 $ 991
West Sacramento, California Refunding Bonds,
Series 1998, 5.000%, 09/02/2004 350 355
---------
7,200
=========
Colorado 4.9%
Colorado Public Highway Authority Revenue Bond,
Series 1997 A, 5.000%, 09/01/2026 1,500 1,472
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000%, 12/01/2009 1,390 1,406
---------
2,878
=========
Florida 5.9%
Dade County, Florida General Obligation Bonds,
(AMBAC Insured), Series 1988, 7.600%, 10/01/2006 1,690 2,070
Gainesville, Florida Revenue Bonds, Series 1979,
6.200%, 10/01/2002 300 312
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/2000),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750%, 10/01/2021 1,000 1,064
---------
3,446
=========
Georgia 0.2%
Dawson County, Georgia School District General
Obligation Bond, Series 1997, 4.900%, 04/01/2012 105 107
---------
Illinois 3.6%
Chicago, Illinois Wastewater Transmission
Revenue Bond, Series 1998 A, 5.000%, 01/01/2019 1,000 984
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000%, 6/15/2012 1,000 1,125
---------
2,109
=========
Indiana 5.9%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992,
6.750%, 02/01/2014 1,000 1,204
Indiana Transportation Revenue Bonds, Series 1996,
6.000%, 11/01/2011 2,000 2,270
---------
3,474
=========
Louisiana 2.6%
Jefferson Parish, Louisiana Industrial Development
Board, Inc. Revenue Bonds, (Regions Bank Insured),
Series 1986, 2.632%, 12/01/2004 600 600
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500%, 12/01/2018(b) 1,000 930
---------
1,530
=========
Massachusetts 0.5%
Massachusetts State Development Finance Agency,
Series 1998, 4.700%, 11/01/2007 210 210
Massachusetts State Development Finance Agency,
Series 1998, 4.800%, 11/01/2008 90 90
---------
300
=========
Michigan 2.3%
Michigan State Building Authority Revenue Bonds,
Series 1997, 5.000%, 10/15/2014 100 101
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250%, 11/01/2012 1,100 1,274
---------
1,375
=========
Minnesota 1.7%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500%, 08/01/2004 1,000 1,017
---------
1999 Annual Report See accompanying notes 101
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Mississippi 0.3%
Mississippi State Department of Corrections,
Certificate Participation Bonds, (AMBAC Insured),
Series 1997, 4.600%, 01/01/2008 $ 150 $ 152
----------
Missouri 0.3%
Kansas City Water Revenue Bonds, Series 1998 B,
4.750%, 12/01/2003 100 104
Missouri State Development Finance Board
Infrastructure Facility Revenue Bonds,
(Canadian Imperial Bank Insured), Series 1997,
2.650%, 12/01/2003(b) 100 100
----------
204
==========
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A,
6.750%, 11/01/2011 1,000 1,159
----------
New Jersey 1.8%
Essex County, New Jersey Utility Authority,
Series 1999, 0.000%, 04/01/2011 1,000 568
New Jersey Economic Development Authority,
Series 1998, 4.750%, 05/15/2002 365 364
New Jersey State Tranportation Revenue Bonds,
(FSA Insured), Series 1997 A, 5.000%, 06/15/2018 150 150
----------
1,082
==========
New Mexico 2.7%
Bernalillo County, New Mexico General
Obligation Bonds, Series 1997, 4.750%, 12/01/2013 150 152
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000%, 07/01/2008 1,000 1,099
Santa Fe County, El Castillo Retirement Nursing
Home Bonds, Series 1998 A, 5.250%, 05/15/2007 315 311
----------
1,562
==========
New York 14.8%
New York City General Obligation Bonds,
Series 1995 B, 6.750%, 08/15/2003 1,000 1,109
New York City General Obligation Bonds,
Series 1996 A, 7.000%, 08/01/2007 1,000 1,170
New York Metropolitan Transit Authority Commuter
Revenue Bonds, Series 1997, 5.500%, 07/01/2021 1,000 1,033
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000%, 08/15/2005 1,850 2,029
New York State Dorm Authority Revenue Bonds,
Series 1998 B, 4.900%, 02/15/2009 100 102
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996,
5.125%, 04/01/2022 1,000 1,002
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996,
6.000%, 04/01/2005 1,000 1,103
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500%, 04/01/2015 1,000 1,046
----------
8,594
==========
North Carolina 3.6%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000%, 01/01/2008 1,000 1,116
North Carolina State School Improvement Bonds,
Series 1998, 4.750%, 04/01/2012 1,000 1,016
----------
2,132
==========
North Dakota 1.8%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900%, 02/01/2019 1,000 1,071
----------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500%, 01/01/2021 1,000 1,085
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000%, 06/01/2005 1,000 1,106
----------
2,191
==========
Pennsylvania 3.8%
Delaware County, Pennsylvania Hospital Revenue Bonds,
Series 1998, 4.900%, 12/01/2008 100 101
Pennsylvania State Higher Educational Facilities
Health Services Revenue Bonds, Series 1994 B,
2.750%, 1/01/2024(b) 100 100
Philadelphia Gas Revenue Bonds, (FSA Insured),
Series 1998 C, 4.600%, 07/01/2008 100 102
Philadelphia, Pennsylvania Authority for Industrial
Development, Series 1996, 3.200%, 12/01/200824(b) 300 300
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A, 5.500%, 09/01/2014 1,525 1,645
----------
2,248
----------
South Carolina 1.8%
Piedmont Municipal Power Agency Electric
Revenue Bonds, (MBIA Insured), Series 1996 B,
5.250%, 01/01/2013 1,000 1,038
----------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350%, 09/01/2012 1,000 1,041
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450%, 08/01/2007 1,000 1,001
----------
2,042
==========
Texas 12.8%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000%, 05/01/2035 2,190 312
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B,
6.750%, 08/15/2013 735 789
Houston, Texas Revenue Bonds, Series 1998,
0.000%, 09/15/2009. 175 109
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000%, 12/01/2018 2,000 2,002
Nueces County, Texas Health Facilities,
(BankOne Texas N.A. Insured), Series 1985,
2.700%, 07/01/2015 300 300
San Antonio, Texas Refunding Bonds, Series 1998,
5.000%, 02/01/2014 1,380 1,399
Texas Municipal Power Agency, Series 1993,
0.000%, 09/01/2015 3,000 1,320
University of Texas Revenue Bonds, Series 1996,
5.250%, 08/15/2007 1,000 1,071
Waco, Texas General Obligation Bonds, Series 1997,
4.800%, 02/01/2011 150 152
----------
7,454
==========
102 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Washington State 1.7%
Washington State Health Care Facility, Series 1985,
3.100%, 10/01/2005 (b) $ 400 $ 400
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000%, 07/01/2014 1,270 600
---------
1,000
=========
West Virginia 0.4%
Kanawha Putnam County Huntington Charleston
West Virginia Single family Mortgage, Series 1984 A,
0.000%, 12/01/2016 550 222
---------
Total Municipal Bonds & Notes 58,206
(Cost $55,380) =========
- -------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 0.3%
- -------------------------------------------------------------------------------
State Street Global Advisors Tax Free Money Market
2.51% due 04/01/1999 171 171
---------
Total Short-Term Instruments 171
(Cost $171) =========
Total Investments (a) 99.7% $ 58,377
(Cost $55,551) =========
Other Assets and Liabilities (Net) 0.3% 181
---------
Net Assets 100.0% $ 58,558
---------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $55,551 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,835
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9)
---------
Unrealized appreciation-net $ 2,826
=========
(b) Variable rate security. The rate listed is as of March 31, 1999.
1999 Annual Report See accompanying notes 103
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------
Argentina (e)(f) 2.6%
- -------------------------------------------------------------------------------
Republic of Argentina
2.687% due 04/01/2001(d) AP 12,136 $ 10,738
5.000% due 12/20/2002 JY 219,000 1,727
12.110% due 04/10/2005(d) $ 4,240 3,922
-------------
Total Argentina 16,387
(Cost $17,066) =============
- -------------------------------------------------------------------------------
Belgium (e)(f) 0.9%
- -------------------------------------------------------------------------------
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
5.100% due 11/21/2004(d) BF 183,200 5,648
-------------
Total Belgium 5,654
(Cost $6,075) =============
- -------------------------------------------------------------------------------
Canada (e)(f) 8.8%
- -------------------------------------------------------------------------------
Commonwealth of Canada
5.250% due 09/01/2003(j) C$ 31,200 20,924
6.625% due 10/03/2007 N$ 20,830 11,233
6.000% due 06/01/2008(j) C$ 18,000 12,751
Hydro-Quebec
3.526% due 04/25/2000 DM 5,000 2,756
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,574
Province of Quebec
3.352% due 02/09/2000(d) DM 5,000 2,760
Sears Canada
11.700% due 07/10/2000 C$ 1,000 712
-------------
Total Canada 54,710
(Cost $55,270) =============
- -------------------------------------------------------------------------------
Cayman Islands (e)(f) 0.3%
- -------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 200,000 1,722
-------------
Total Cayman Islands 1,722
(Cost $1,728) =============
- -------------------------------------------------------------------------------
Colombia (e)(f) 0.2%
- -------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,163
-------------
Total Colombia 1,163
(Cost $1,160) =============
- -------------------------------------------------------------------------------
Denmark (e)(f) 5.4%
- -------------------------------------------------------------------------------
Kingdom of Denmark
6.000% due 11/15/2002 DK 53,500 8,392
7.000% due 11/15/2007 61,200 10,586
Unikredit Mortgage
5.000% due 10/01/2029 27,150 3,643
Nykredit Mortgage
5.000% due 10/01/2029 59,370 7,972
Realkredit Mortgage
5.000% due 10/01/2029 19,200 2,581
-------------
Total Denmark 33,174
(Cost $33,463) =============
- -------------------------------------------------------------------------------
France (e)(f) 1.4%
- -------------------------------------------------------------------------------
Caisse Autonome de Refinancement
7.750% due 12/06/1999 1,100 187
Republic of France
7.750% due 10/25/2005(j) FF 2,800 3,727
3.000% due 07/25/2009(h) EC 4,151 4,477
-------------
Total France 8,391
(Cost $8,835) =============
- -------------------------------------------------------------------------------
Germany (e)(f) 10.4%
- -------------------------------------------------------------------------------
Allgemeine Hypobank AG
3.250% due 07/02/1999 DM 15,000 $ 16,189
Barclays Capital Corp.
3.246% due 12/20/2000 2,000 1,101
Depfa Pfandbriefbank
2.964% due 03/26/2001(d) EC 16,480 17,764
Dresdner Finance BV
3.179% due 01/11/2000(d) DM 1,000 551
Republic of Germany
6.500% due 07/04/2027(j) EC 21,379 28,154
5.625% due 01/04/2028 350 411
-------------
Total Germany 64,170
(Cost $63,332) =============
- -------------------------------------------------------------------------------
Greece (e)(f) 1.7%
- -------------------------------------------------------------------------------
Hellenic Republic
11.200% due 05/19/2003(d) GD 100,000 341
11.100% due 06/17/2003(d) 107,400 365
11.000% due 10/23/2003(d) 376,000 1,294
8.600% due 03/26/2008(j) 2,140,300 8,364
-------------
Total Greece 10,364
(Cost $10,797) =============
- -------------------------------------------------------------------------------
Ireland (f) 0.1%
- -------------------------------------------------------------------------------
Republic of Ireland
7.250% due 06/22/1999 DM 1,500 835
-------------
Total Ireland 835
(Cost $851) =============
- -------------------------------------------------------------------------------
Italy (e)(f) 13.2%
- -------------------------------------------------------------------------------
Republic of Italy
6.000% due 02/15/2000 EC 50,000 55,344
5.500% due 09/15/2000(j) 360 402
4.750% due 05/01/2003 0 0
7.250% due 11/01/2026(j) 6,321 8,873
6.500% due 11/01/2027(j) 13,430 17,316
-------------
Total Italy 81,935
(Cost $82,977) =============
- -------------------------------------------------------------------------------
Japan (e)(f) 20.7%
- -------------------------------------------------------------------------------
Government of Japan
4.100% due 12/22/2003(j) JY 4,063,000 39,290
4.500% due 12/20/2004(j) 1,294,300 12,882
4.600% due 03/21/2005(j) 1,940,500 19,589
4.000% due 06/20/2005(j) 1,078,300 10,599
3.400% due 06/20/2005(j) 1,078,300 10,272
3.000% due 09/20/2005(j) 1,775,600 16,571
0.900% due 12/22/2008(j) 1,192,700 9,257
2.000% due 03/20/2009(j) 1,136,600 9,852
-------------
Total Japan 128,312
(Cost $132,128) =============
- -------------------------------------------------------------------------------
Mexico (f) 1.7%
- -------------------------------------------------------------------------------
United Mexican States
5.560% due 04/07/2000(l) $ 5,804 5,804
8.750% due 05/30/2002 270 427
10.375% due 01/29/2003 DM 2,575 1,542
8.750% due 04/07/2004(d) $ 3,100 3,065
-------------
Total Mexico 10,838
(Cost $10,855) =============
- -------------------------------------------------------------------------------
Netherlands (f) 1.3%
- -------------------------------------------------------------------------------
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,217
Kingdom of Netherlands
5.750% due 01/15/2004 DG 2,214 2,631
LBW Finance NV
7.000% due 03/08/2000 4,985 2,851
104 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
TPSA Finance BV
7.750% due 12/10/2008 $ 1,470 $ 1,436
----------
Total Netherlands 8,135
(Cost $8,221) ==========
- --------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 1.4%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016(j) N$ 16,500 8,940
----------
Total New Zealand 8,940
(Cost $9,440) ==========
- --------------------------------------------------------------------------------
NORWAY (f) 0.8%
- --------------------------------------------------------------------------------
Norwegian Government
5.500% due 05/15/2009(j) NK 37,200 5,056
----------
Total Norway 5,056
(Cost $5,024) ==========
- --------------------------------------------------------------------------------
SINGAPORE (e)(f) 1.3%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 13,300 7,875
----------
Total Singapore 7,875
(Cost $7,867) ==========
- --------------------------------------------------------------------------------
SOUTH KOREA (f) 1.0%
- --------------------------------------------------------------------------------
Korea Development Bank
3.258% due 05/14/2001(d) DM 7,310 3,842
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,901
6.500% due 02/10/2002 800 769
----------
Total South Korea 6,512
(Cost $6,515) ==========
- --------------------------------------------------------------------------------
SPAIN (e)(f) 3.4%
- --------------------------------------------------------------------------------
Kingdom of Spain
6.000% due 01/31/2008(j) EC 0 0
6.000% due 01/31/2029 17,260 20,818
----------
Total Spain 20,818
(Cost $22,223) ==========
- --------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 8.4%
- --------------------------------------------------------------------------------
Eurofima
5.625% due 11/25/1999 FF 1,000 167
European Investment Bank
6.250% due 07/28/1999 3,000 499
12.750% due 02/15/2000 IL 1,262,000 761
7.000% due 12/08/2003 BP 6,300 10,892
International Bank for Reconstruction & Development
7.250% due 10/13/1999 DM 20,870 11,793
6.875% due 07/14/2000 BP 2,500 4,113
7.000% due 09/18/2000 N$ 6,400 3,516
7.250% due 04/09/2001 6,400 3,547
7.000% due 06/07/2002 BP 1,100 1,862
7.250% due 05/27/2003 N$ 10,670 5,991
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,079
World Bank
10.250% due 04/11/2002 PP 31,000 729
----------
Total Supranational 51,949
(Cost $52,615) ==========
- --------------------------------------------------------------------------------
SWEDEN (e)(f) 6.0%
- --------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,638
5.500% due 04/12/2002(j) 6,100 788
6.500% due 05/05/2008(j) 248,600 35,057
----------
Total Sweden 37,483
(Cost $37,234) ==========
- --------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 17.5%
- --------------------------------------------------------------------------------
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 $ 5,564
Polestar Corp. PLC
10.500% due 05/30/2008 BP 4,300 7,056
SCCR Series 1 Limited
4.838% due 05/15/2000(d) IL 15,380,000 8,566
United Kingdom Gilt
8.000% due 06/10/2003(j) BP 17,735 32,479
8.500% due 12/07/2005(j) 9,656 18,999
7.250% due 12/07/2007(j) 18,949 36,208
----------
Total United Kingdom 108,872
(Cost $108,262) ==========
- --------------------------------------------------------------------------------
UNITED STATES (e)(f) 60.8%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 19.5%
Associates Corp. of North America
5.104% due 08/27/2001(d) $ 5,000 5,013
AT&T Capital Corp.
5.438% due 04/01/1999(d) 7,800 7,800
6.410% due 08/13/1999 4,310 4,327
Capital One Bank
6.420% due 11/12/1999(i) 12,080 12,148
CSFP Credit
6.199% due 11/19/2004(i) 19,000 18,953
Delta Air Lines
6.034% due 06/29/1999 1,910 1,911
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 8,055
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,676
9.000% due 02/14/2000 1,157 1,920
General Motors Acceptance Corp.
5.100% due 12/10/2001-11/12/2002(d)(g) $ 7,100 7,103
5.250% due 04/05/2004(d) 12,200 12,179
J.P. Morgan & Co.
5.459% due 02/15/2012 5,500 4,869
Lehman Brothers, Inc.
5.287% due 02/27/2001(d) 4,900 4,873
Merrill Lynch & Co.
5.299% due 11/01/2001(d) 6,830 6,831
Occidental Petroleum
8.500% due 09/15/2004 1,800 1,808
Residential Reinsurance
9.180% due 06/01/1999(d) 2,250 2,275
RJR Nabisco
8.625% due 12/01/2002 4,100 4,263
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,555 12,232
Toyota Motor Credit
7.250% due 02/23/2000 DM 5,090 2,905
----------
121,141
==========
U.S. Government Agencies 11.0%
Federal Home Loan Bank
4.609% due 02/15/2002(d) $ 14,000 13,655
Federal National Mortgage Assn.
6.875% due 06/07/2002(j) BP 10,230 17,315
7.250% due 06/20/2002 N$ 14,850 8,299
6.500% due 07/10/2002(j) A$ 7,900 5,189
Student Loan Marketing Assn.
5.248% due 01/25/2003(d) $ 6,353 6,362
5.070% due 04/25/2004(d) 504 499
5.008% due 10/25/2004(d) 1,047 1,045
5.098% due 04/25/2006(d) 6,466 6,444
5.178% due 04/25/2007(d) 9,710 9,711
----------
68,519
==========
U.S. Treasury Obligations 13.0%
Treasury Inflation Protected Securities
3.625% due 07/15/2002(h)(j) 66,780 66,362
3.625% due 07/15/2002(h) 14,310 14,220
----------
80,582
==========
1999 Annual Report See accompanying notes 105
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
Mortgage-Backed Securities 8.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 $ 3,360 $ 3,392
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,980 4,014
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,220 1,223
9.050% due 06/15/2019 92 98
7.441% due 06/01/2022(d) 1,714 1,745
7.500% due 08/01/2022(d) 1,060 1,086
6.500% due 09/15/2022 287 287
6.000% due 05/17/2029 2,000 1,944
Federal National Mortgage Assn.
5.500% due 02/25/2005 523 522
7.531% due 07/01/2021(d) 1,311 1,339
7.060% due 11/01/2022(d) 1,362 1,400
6.561% due 01/01/2023(d) 1,775 1,820
6.613% due 01/01/2023(d) 2,398 2,457
7.329% due 08/01/2023(d) 1,431 1,470
Government National Mortgage Assn.
6.125% due 11/20/2021(d) 739 752
6.875% due 05/20/2022(d) 67 68
6.625% due 07/20/2022-09/20/2022(d)(g) 1,269 1,291
6.875% due 05/20/2023(d) 734 747
6.625% due 07/20/2023-09/20/2023(d)(g) 4,517 4,592
6.125% due 10/20/2023-10/20/2024(d)(g) 4,495 4,564
6.875% due 04/20/2025(d) 259 263
6.625% due 07/20/2025-09/20/2025(d)(g) 8,712 8,845
6.125% due 12/20/2025(d) 434 440
6.625% due 09/20/2026(d) 977 990
6.125% due 11/20/2026-12/20/2026(d)(g) 2,305 2,343
6.880% due 04/20/2027(d) 2,580 2,620
Independent National Mortgage Corp.
8.107% due 11/25/2024(d) 82 84
Morgan Stanley Mortgage
8.150% due 07/20/2021 3 3
Sears Mortgage
6.499% due 06/25/2022(d) 107 108
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029(d) 3,300 3,338
Structured Asset Securities Corp.
5.439% due 10/25/2028(d) 882 883
----------
54,728
==========
Asset-Backed Securities 8.5%
AFC Home Equity Loan Trust
5.157% due 03/25/2027(d) 1,566 1,566
Banc One Auto Grantor Trust
6.270% due 11/20/2003 891 901
6.290% due 07/20/2004 1,183 1,196
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 706 715
Citibank Credit Card Master Trust
4.946% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 1,318 1,321
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012(d) 3,337 3,335
6.020% due 12/25/2013 17,000 16,995
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 2,880 2,881
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 2,494 2,504
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 5,000 5,001
5.202% due 03/20/2029(d) 1,000 1,000
First Security Auto Owner Trust
5.311% due 04/15/2002 2,000 2,005
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 1,140 1,144
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,090
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 4,581 4,578
Premier Auto Trust
6.250% due 08/06/2001 2,277 2,290
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 $ 1,955 $ 1,968
----------
52,690
----------
Total United States 377,660
(Cost $376,841) ==========
- --------------------------------------------------------------------------------
Purchased Call Options 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
Strike @ 101.188 Exp. 06/14/1999
7.250% due 05/15/2004 3,400 249
----------
Total Purchased Call Options 249
(Cost $255) ==========
- --------------------------------------------------------------------------------
Short-Term Instruments 7.2%
- --------------------------------------------------------------------------------
Commercial Paper 5.2%
Bank of Tokyo
5.928% due 07/30/1999 5,940 5,955
E.I. Du Pont de Nemours
4.860% due 04/23/1999 2,300 2,293
4.800% due 06/07/1999 2,700 2,675
Ford Motor Credit Corp.
4.840% due 04/23/1999 9,500 9,472
National Rural Utilities Cooperative
4.820% due 06/17/1999 1,800 1,781
Pfizer, Inc.
4.820% due 05/17/1999 8,000 7,951
Proctor & Gamble Co.
4.810% due 05/26/1999 1,900 1,886
Shell Oil Co.
4.790% due 06/04/1999 400 397
----------
32,410
==========
Repurchase Agreement 2.0%
State Street Bank
4.000% due 04/01/1999 12,158 12,158
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 5.375% 01/31/2000 valued at
$12,402,018. Repurchase proceeds are
$12,159,351.)
U.S. Treasury Bills (b)(g) 0.0%
4.402% due 06/24/1999 275 273
----------
Total Short-Term Instruments 44,841
(Cost $44,827) ==========
Total Investments (a) 176.5% $1,096,045
(Cost $1,103,861)
Written Options (c) (0.0%) (90)
(Premiums $126)
Other Assets and Liabilities (Net) (76.5%) (475,172)
----------
Net Assets 100.0% $ 620,783
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$1,097,543 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 8,571
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (16,493)
----------
Unrealized depreciation net $ (7,922)
==========
106 PIMCO Funds See accompanying notes
<PAGE>
================================================================================
(b) Securities with an aggregate market value of
$273 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 19 $ 13
Eurodollar September Futures (09/2000) 34 16
Eurodollar December Futures (12/2000) 19 10
U.S. Treasury 30 Year Bond (06/1999) 40 (41)
United Kingdom 90 Day LIBOR (12/2000) 287 (114)
--------------
$ (116)
==============
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Japanese Yen vs US Dollar
Strike 115.00 Exp. 04/22/1999 JY 6,110 $ 79 $ 43
Call - OTC Government of Japan
2,000% due 03/20/2009
Strike 102.50 Exp. 04/23/1999 972,800 47 47
--------------------
$ 126 $ 90
====================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 7,130 04/1999 $ (9)
Sell 7,139 04/1999 35
Buy AP 6,455 04/1999 158
Buy 3,410 05/1999 102
Buy BP 2,086 04/1999 (8)
Sell 51,501 04/1999 308
Sell 790 05/1999 0
Buy C$ 8,318 04/1999 17
Sell 15,201 04/1999 62
Buy DK 28,442 04/1999 5
Sell 141,782 04/1999 1,453
Buy 26,966 05/1999 (58)
Sell 81,015 05/1999 60
Buy EC 50,872 04/1999 (2,293)
Sell 137,087 04/1999 3,062
Buy 3,880 05/1999 (3)
Sell GD 596,882 04/1999 73
Buy JY 39,539 04/1999 11
Sell 138,795 04/1999 4
Sell 2,185,916 05/1999 49
Buy N$ 40,847 04/1999 (109)
Sell 36,088 04/1999 174
Sell 82,083 05/1999 (477)
Buy S$ 45 04/1999 (1)
Sell 13,805 06/1999 (6)
Buy SF 19,457 04/1999 (186)
Sell 19,799 04/1999 124
Buy SK 335,632 04/1999 (1,753)
Sell 374,274 04/1999 1,747
----------
$ 2,541
==========
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
FM - Finnish Markka
GD - Greek Drachma
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kroner
S$ - Singapore Dollar
SF - Swiss Franc
SK - Swedish Krona
(g) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
(h) Principal amount of the security is adjusted
for inflation.
(i) Restricted security.
(j) Subject to a financing transaction.
(k) Swap agreements outstanding at March 31, 1999
Notional Unrealized
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month United Mexican States and
pay United Mexican States fixed rate.
Broker: Merrill Lynch $ 5,804 $ (116)
Exp. 04/07/2000
(l) Subject to an asset swap.
1999 Annual Report See accompanying notes 107
<PAGE>
Schedule of Investments
Global Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (f)(g) 2.7%
- --------------------------------------------------------------------------------
Republic of Argentina
2.687% due 04/01/2001(d) AP 5,562 $ 4,921
12.110% due 04/10/2005(d) $ 2,610 2,414
----------
Total Argentina 7,335
(Cost $7,725) ==========
- --------------------------------------------------------------------------------
BELGIUM (f) 1.1%
- --------------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/2004(d)(h) BF 95,900 2,957
----------
Total Belgium 2,957
(Cost $3,165) ==========
- --------------------------------------------------------------------------------
CANADA (f)(g) 5.7%
- --------------------------------------------------------------------------------
Canadian Imperial Bank
3.166% due 10/16/2000(d) DM 600 331
Commonwealth of Canada
5.250% due 09/01/2003(h) C$ 11,840 7,940
6.625% due 10/03/2007 N$ 8,680 4,681
6.000% due 06/01/2008(h) C$ 3,400 2,409
----------
Total Canada 15,361
(Cost $15,257) ==========
- --------------------------------------------------------------------------------
CAYMAN ISLANDS (f)(g) 0.3%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 80,000 689
----------
Total Cayman Islands 689
(Cost $691) ==========
- --------------------------------------------------------------------------------
COLOMBIA (f) 0.3%
- --------------------------------------------------------------------------------
Republic of Colombia
3.000% due 12/22/2000 JY 100,000 775
----------
Total Colombia 775
(Cost $773) ==========
- --------------------------------------------------------------------------------
DENMARK (f)(g) 5.1%
- --------------------------------------------------------------------------------
Kingdom of Denmark
6.000% due 11/15/2002 DK 18,800 2,949
7.000% due 11/15/2007(h) 25,500 4,411
Nykredit Mortgage
5.000% due 10/01/2029 26,740 3,590
Realkredit Danmark Mortgage
5.000% due 10/01/2029 8,100 1,089
Unikredit Realkredit Mortgage
5.000% due 10/01/2029 11,350 1,523
----------
Total Denmark 13,562
(Cost $13,722) ==========
- --------------------------------------------------------------------------------
FINLAND (f)(g) 0.6%
- --------------------------------------------------------------------------------
Republic of Finland
6.000% due 04/25/2008(h) EC 1,346 1,639
----------
Total Finland 1,639
(Cost $1,688) ==========
- --------------------------------------------------------------------------------
FRANCE (f)(g) 1.4%
- --------------------------------------------------------------------------------
Republic of France
3.000% due 07/25/2009 EC 3,315 3,575
RhonePoulenc
8.750% due 11/26/1999 FF 780 133
----------
Total France 3,708
(Cost $3,842) ==========
- --------------------------------------------------------------------------------
GERMANY (f)(g) 1.5%
- --------------------------------------------------------------------------------
Republic of Germany
5.625% due 01/04/2028(h) EC 3,403 $ 3,999
----------
Total Germany 3,999
(Cost $4,097) ==========
- --------------------------------------------------------------------------------
GREECE (f)(g) 2.0%
- --------------------------------------------------------------------------------
Hellenic Republic
12.600% due 05/19/2003(d) GD 100,000 341
11.100% due 06/17/2003(d) 69,100 235
11.000% due 10/23/2003(d) 344,000 1,184
8.600% due 03/26/2008(h) 955,500 3,707
----------
Total Greece 5,467
(Cost $5,807) ==========
- --------------------------------------------------------------------------------
ITALY (f)(g) 2.6%
- --------------------------------------------------------------------------------
Republic of Italy
6.500% due 11/01/2027(h) EC 5,460 7,040
----------
Total Italy 7,040
(Cost $6,999) ==========
- --------------------------------------------------------------------------------
JAPAN (f)(g) 10.5%
- --------------------------------------------------------------------------------
Government of Japan
4.500% due 12/20/2004(h) JY 444,000 4,419
4.600% due 03/21/2005(h) 558,900 5,642
3.400% due 06/20/2005(h) 179,200 1,707
4.000% due 06/20/2005(h) 179,200 1,761
3.000% due 09/20/2005(h) 636,900 5,944
0.900% due 12/22/2008(h) 498,100 3,866
2.000% due 03/20/2009(h) 498,200 4,318
Nippon Telegraph & Telephone Corp.
7.125% due 03/06/2000 DM 700 400
----------
Total Japan 28,057
(Cost $28,718) ==========
- --------------------------------------------------------------------------------
MEXICO (f) 1.5%
- --------------------------------------------------------------------------------
United Mexican States
5.560% due 04/07/2000(l) $ 967 967
10.375% due 01/29/2003 DM 2,904 1,739
8.750% due 04/07/2004(d) $ 1,400 1,384
----------
Total Mexico 4,090
(Cost $4,131) ==========
- --------------------------------------------------------------------------------
NETHERLANDS 0.3%
- --------------------------------------------------------------------------------
TPSA Finance BV
7.750% due 12/10/2008 $ 760 742
----------
Total Netherlands 742
(Cost $755) ==========
- --------------------------------------------------------------------------------
NEW ZEALAND (f)(g) 1.2%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 6,181 3,349
----------
Total New Zealand 3,349
(Cost $3,705) ==========
- --------------------------------------------------------------------------------
NORWAY (f) 0.8%
- --------------------------------------------------------------------------------
Norwegian Government
5.500% due 05/15/2009(h) NK 16,030 2,179
----------
Total Norway 2,179
(Cost $2,165) ==========
108 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
PORTUGAL (f)(g) 2.7%
- --------------------------------------------------------------------------------
Obrig Do Tes Medio Prazo
5.375% due 03/23/2000 EC 6,500 $ 7,173
----------
Total Portugal 7,173
(Cost $7,478) ==========
- --------------------------------------------------------------------------------
SINGAPORE (f)(g) 1.3%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 5,900 3,493
----------
Total Singapore 3,493
(Cost $3,490) ==========
- --------------------------------------------------------------------------------
SOUTH KOREA (f)(g) 1.5%
- --------------------------------------------------------------------------------
Korea Development Bank
5.668% due 05/06/2000(d) BP 1,470 2,281
3.258% due 05/14/2001(d) DM 520 273
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,300 1,271
6.500% due 02/10/2002 300 288
----------
Total South Korea 4,113
(Cost $4,145) ==========
- --------------------------------------------------------------------------------
SPAIN (f)(g) 1.3%
- --------------------------------------------------------------------------------
Kingdom of Spain
6.000% due 01/31/2029(h) EC 2,862 3,452
----------
Total Spain 3,452
(Cost $3,849) ==========
- --------------------------------------------------------------------------------
SUPRANATIONAL (f)(g) 6.8%
- --------------------------------------------------------------------------------
European Investment Bank
7.000% due 12/08/2003 BP 2,800 4,841
International Bank for Reconstruction & Development (World Bank)
6.875% due 07/14/2000 1,500 2,468
7.000% due 09/18/2000 N$ 3,200 1,758
7.250% due 04/09/2001 3,200 1,774
7.000% due 06/07/2002 BP 1,000 1,693
7.250% due 05/27/2003 N$ 9,190 5,160
World Bank
10.250% due 04/11/2002 PP 29,000 682
----------
Total Supranational 18,376
(Cost $18,623) ==========
- --------------------------------------------------------------------------------
SWEDEN (f)(g) 5.7%
- --------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 10,300 1,506
5.500% due 04/12/2002(h) 2,700 349
6.500% due 05/05/2008(h) 94,800 13,368
----------
Total Sweden 15,223
(Cost $15,270) ==========
- --------------------------------------------------------------------------------
UNITED KINGDOM (f)(g) 13.7%
- --------------------------------------------------------------------------------
Cadbury Schweppes PLC
8.000% due 12/29/2000 BP 800 1,342
Equitable
8.000% due 08/29/2049(d) 6,100 10,710
Polestar Corp. PLC
10.500% due 05/30/2008 2,360 3,872
SCCR Series 1 Limited
4.838% due 05/15/2000(d) IL 200,000 111
United Kingdom Gilt
8.000% due 06/10/2003(h) BP 9,480 17,213
7.250% due 12/07/2007(h) 1,880 3,595
----------
Total United Kingdom 36,843
(Cost $37,206) ==========
- --------------------------------------------------------------------------------
UNITED STATES (f)(g) 76.1%
- --------------------------------------------------------------------------------
Asset-Backed Securities 8.2%
AFC Home Equity Loan Trust
5.249% due 12/22/2027(d) $ 1,358 $ 1,347
Banc One Auto Grantor Trust
6.270% due 11/20/2003 384 388
6.290% due 07/20/2004 591 598
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 339 343
Comed Transitional Funding Trust
5.380% due 03/25/2002 678 680
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012(d) 1,613 1,612
6.020% due 12/25/2013 5,575 5,573
DaimlerBenz Vehicle Trust
5.230% due 06/10/2000 1,480 1,480
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 1,209 1,214
First Security Auto Owner Trust
5.311% due 04/15/2002 1,000 1,003
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 585 587
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,848 1,846
Pacific Southwest Bank
6.060% due 06/15/2002 714 715
Premier Auto Trust
6.250% due 08/06/2001 759 763
Residential Asset Securities Corp.
5.080% due 12/25/2013(d) 2,950 2,950
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 941 948
----------
22,047
==========
Corporate Bonds & Notes 18.1%
Associates Corp. of North America
5.104% due 08/27/2001(d) 2,400 2,406
3.374% due 06/30/2003(d) 800 860
AT&T Capital Corp.
6.410% due 08/13/1999 2,000 2,008
CSFP Credit
6.199% due 11/19/2004(j) 10,750 10,723
Delta Air Lines
6.034% due 06/29/1999(j) 960 960
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 3,500 3,524
General Motors Acceptance Corp.
5.100% due 12/10/2001(d) 1,900 1,902
9.000% due 10/15/2002 1,140 1,257
5.250% due 04/05/2004(d) 4,800 4,792
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 1,300 743
Lehman Brothers, Inc.
5.287% due 02/27/2001(d) $ 2,300 2,287
Merrill Lynch & Co.
5.334% due 09/30/2000(d) 540 538
5.299% due 11/01/2001(d) 2,970 2,970
Occidental Petroleum
8.500% due 09/15/2004 800 804
Residential Reinsurance
9.180% due 06/01/1999(d) 1,250 1,264
RJR Nabisco
8.625% due 12/01/2002 2,400 2,495
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 6,443 6,278
TCI Communications, Inc.
5.675% due 04/01/2002(d) 2,700 2,754
----------
48,565
==========
Mortgage-Backed Securities 16.1%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 1,590 1,605
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 1,890 1,906
1999 Annual Report See accompanying notes 109
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 $ 610 $ 612
7.324% due 05/01/2023(d) 418 429
6.000% due 01/01/2029-05/17/2029(c) 26,617 25,237
Federal Housing Administration
7.400% due 02/01/2021 1,513 1,578
Federal National Mortgage Assn.
7.500% due 11/01/2001 01/01/2002(c) 329 338
5.500% due 02/25/2005 244 244
6.500% due 04/01/2009 537 544
7.441% due 11/01/2023(d) 314 326
6.707% due 03/01/2024(d) 235 242
Government National Mortgage Association
6.625% due 07/20/2022-09/20/2022(c)(d) 540 550
6.875% due 05/20/2023-06/20/2023(c)(d) 784 796
6.625% due 07/20/2023-09/20/2023(c)(d) 1,149 1,167
6.125% due 11/20/2023-10/20/2024(c)(d) 1,514 1,537
6.625% due 07/20/2025-09/20/2025(c)(d) 2,264 2,298
6.125% due 12/20/2025(d) 155 157
6.625% due 09/20/2026(d) 313 317
6.125% due 11/20/2026-12/20/2026(c)(d) 1,207 1,226
Independent National Mortgage Corp.
8.107% due 11/25/2024(d) 45 46
Residential Funding Mortgage Securities, Inc.
7.793% due 03/25/2025(d) 621 639
Resolution Trust Corp.
8.000% due 04/25/2025 4 4
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029(d) 1,440 1,456
Structured Asset Securities Corp.
5.439% due 10/25/2028(d) 77 77
----------
43,331
==========
U.S. Government Agencies 11.0%
Federal National Mortgage Assn.
6.875% due 06/07/2002(h) BP 6,510 11,019
7.250% due 06/20/2002 N$ 6,360 3,554
Student Loan Marketing Assn.
5.248% due 01/25/2003(d) $ 3,502 3,507
5.070% due 04/25/2004(d) 504 499
5.178% due 04/25/2007(d) 10,799 10,801
----------
29,380
==========
U.S. Treasury Obligations 22.7%
Treasury Inflation Protected Securities
3.625% due 07/15/2002(i) 44,315 44,038
3.375% due 01/15/2007(i) 7,259 6,991
U.S. Treasury Bonds
6.000% due 02/15/2026 2,320 2,361
U.S. Treasury Notes
7.250% due 05/15/2004 6,890 7,508
----------
60,898
----------
Total United States 204,221
(Cost $204,671) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
7.250% due 05/15/2004
Strike @ 101.188 Exp.06/14/1999 2,000 146
----------
Total Purchased Call Options 146
(Cost $150) ==========
- --------------------------------------------------------------------------------
SHORT TERM INSTRUMENTS 5.2%
- --------------------------------------------------------------------------------
Certificate of Deposit 1.2%
Bank of Tokyo
5.928% due 07/30/1999 3,080 3,088
Commercial Paper 2.2%
IBM Corp.
4.810% due 04/08/1999 1,400 1,399
Shell Oil Co.
4.790% due 06/04/1999 4,500 4,461
----------
5,860
==========
Repurchase Agreements 1.6%
State Street Bank
4.000% due 04/01/1999 $ 949 $ 949
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.750% 01/30/2000 valued at
$968,286. Repurchase proceeds are $949,105.)
Daiwa Securities
4.920% due 04/01/1999 3,400 3,400
----------
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 8.375% 08/15/2008 valued at
$3,481,770. Repurchase proceeds are $3,400,465.) 4,349
----------
U.S. Treasury Bills (b)(c) 0.2%
4.438% due 04/29/1999-06/24/1999 675 670
----------
Total Short-Term Instruments 13,967
(Cost $13,958) ==========
Total Investments (a) 152.0% $ 407,956
(Cost $412,080)
Written Options (e) (0.0%) (40)
(Premiums $56)
Other Assets and Liabilities (Net) (52.0%) (139,606)
----------
Net Assets 100.0% $ 268,310
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$412,261 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 1,967
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (6,272)
----------
Unrealized depreciation-net $ (4,305)
==========
(b) Securities with an aggregate market value of $670
have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 8 $ 5
Eurodollar September Futures (09/2000) 17 8
Eurodollar December Futures (12/2000) 8 4
U.S. Treasury 10 Year Note (06/1999) 332 149
United Kingdom 90 Day LIBOR (12/2000) 81 (39)
----------
$ 127
==========
(c) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
(d) Variable rate security. The rate listed is as of
March 31,1999.
110 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund
March 31, 1999
================================================================================
(e) Premium received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Government of Japan
2.000% due 03/2009
Strike @ 102.50 Exp. 04/23/1999 JY 426 $ 21 $ 21
Call - OTC Japanese Yen vs US Dollar
Strike @ 115.50 Exp. 04/22/1999 2,700 35 19
-------------------------
$ 56 $ 40
=========================
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
GD - Greek Drachma
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kron
PP - Philippines Peso
S$ - Singapore Dollar
SF - Swiss Franc
SK - Swedish Krona
(g) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 3,229 05/1999 $ (37)
Buy AP 3,132 04/1999 77
Buy 1,600 05/1999 48
Buy BP 1,296 04/1999 (5)
Sell 16,433 04/1999 271
Sell 340 05/1999 0
Buy C$ 20,905 04/1999 82
Sell 10,467 04/1999 34
Buy DK 10,735 04/1999 2
Sell 22,803 04/1999 194
Buy 8,053 05/1999 (17)
Sell 34,052 05/1999 21
Buy EC 106,473 04/1999 (4,110)
Sell 13,067 04/1999 349
Buy 3,300 05/1999 (3)
Sell GD 532,714 04/1999 65
Buy JY 3,094,255 04/1999 (510)
Sell 8,245 04/1999 0
Buy 1,453,543 05/1999 (18)
Sell 62,921 05/1999 7
Buy N$ 1,304 04/1999 14
Sell 32,316 04/1999 171
Buy 1,424 05/1999 (3)
Sell 8,885 05/1999 (20)
Sell S$ 3 04/1999 0
Sell 6,123 06/1999 (3)
Buy SF 3,333 04/1999 (32)
Sell 3,497 04/1999 22
Buy SK 98,422 04/1999 (739)
Sell 94,902 04/1999 526
Sell 901 05/1999 0
----------
$ (3,614)
==========
(h) Subject to a financing transaction.
(i) Principal amount of the security is adjusted for inflation.
(j) Restricted security.
(k) Swap agreements outstanding at March 31, 1999:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay floating
rate on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 7,300 $ 293
Receive floating rate based on 6 month United Mexican
States and pay United
Mexican States fixed rate.
Broker: Merrill Lynch
Exp. 04/07/2000 $ 967 (19)
----------
$ 274
==========
(l) Subject to an asset swap.
1999 Annual Report See accompanying notes 111
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (c)(f) 2.8%
- --------------------------------------------------------------------------------
Republic of Argentina
2.687% due 04/01/2001(d) AP 939 $ 830
12.110% due 04/10/2005(d) $ 410 379
----------
Total Argentina 1,209
(Cost $1,273) ==========
- --------------------------------------------------------------------------------
AUSTRALIA (c)(f) 0.2%
- --------------------------------------------------------------------------------
Commonwealth of Australia
9.500% due 08/15/2003(i) A$ 100 74
----------
Total Australia 74
(Cost $85) ==========
- --------------------------------------------------------------------------------
BELGIUM (f) 0.4%
- --------------------------------------------------------------------------------
Kingdom of Belgium
5.100% due 11/21/2004(d)(i) BF 5,800 179
----------
Total Belgium 179
(Cost $191) ==========
- --------------------------------------------------------------------------------
CANADA (c)(f) 6.5%
- --------------------------------------------------------------------------------
Commonwealth of Canada
5.250% due 09/01/2003(i) C$ 2,230 1,496
6.625% due 10/03/2007 N$ 1,410 760
6.000% due 06/01/2008(i) C$ 700 496
----------
Total Canada 2,752
(Cost $2,736) ==========
- --------------------------------------------------------------------------------
CAYMAN ISLANDS (c)(f) 0.2%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 10,000 86
----------
Total Cayman Islands 86
(Cost $86) ==========
- --------------------------------------------------------------------------------
DENMARK (c)(f) 5.2%
- --------------------------------------------------------------------------------
Kingdom of Denmark
6.000% due 11/15/2002 DK 3,100 486
7.000% due 11/15/2007(i) 4,400 761
Nykredit
5.000% due 10/01/2029 4,030 541
Realkredit Danmark Mortgage
5.000% due 10/01/2029 1,300 175
Unikredit
5.000% due 10/01/2029 1,740 233
----------
Total Denmark 2,196
(Cost $2,219) ==========
- --------------------------------------------------------------------------------
FRANCE (c)(f) 0.8%
- --------------------------------------------------------------------------------
Republic of France
3.000% due 07/25/2009(j) EC 303 326
----------
Total France 326
(Cost $347) ==========
- --------------------------------------------------------------------------------
GERMANY (c)(f) 4.3%
- --------------------------------------------------------------------------------
Depfa Pfandbriefbank
2.964% due 03/26/2001(d) EC 1,283 1,283
Republic of Germany
5.625% due 01/04/2028 453 532
----------
Total Germany 1,815
(Cost $1,847) ==========
- --------------------------------------------------------------------------------
GREECE (c)(f) 1.7%
- --------------------------------------------------------------------------------
Hellenic Republic
11.100% due 06/17/2003(d) GD 7,400 25
11.000% due 10/23/2003(d) 33,600 116
8.600% due 03/26/2008 149,100 578
----------
Total Greece 719
(Cost $754) ==========
- --------------------------------------------------------------------------------
ITALY (c)(f) 5.1%
- --------------------------------------------------------------------------------
Republic of Italy
4.750% due 05/01/2003 EC 664 $ 753
7.250% due 11/01/2026(i) 160 225
6.500% due 11/01/2027 920 1,186
----------
Total Italy 2,164
(Cost $2,197) ==========
- --------------------------------------------------------------------------------
JAPAN (c)(f) 10.6%
- --------------------------------------------------------------------------------
Government of Japan
4.500% due 12/20/2004(i) JY 68,700 684
4.600% due 03/21/2005(i) 94,200 951
4.000% due 06/20/2005(i) 36,000 354
3.400% due 06/20/2005(i) 36,000 343
3.000% due 09/20/2005(i) 100,000 933
0.900% due 12/22/2008(i) 76,800 596
2.000% due 03/20/2009(i) 76,800 666
----------
Total Japan 4,527
(Cost $4,627) ==========
- --------------------------------------------------------------------------------
MEXICO (f) 1.3%
- --------------------------------------------------------------------------------
United Mexican States
8.750% due 05/30/2002 237 235
10.375% due 01/29/2003 DM 200 120
8.750% due 04/07/2004(d)$ 200 198
----------
Total Mexico 553
(Cost $556) ==========
- --------------------------------------------------------------------------------
NEW ZEALAND (c)(f) 1.3%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,000 542
----------
Total New Zealand 542
(Cost $571) ==========
- --------------------------------------------------------------------------------
Norway (f) 0.9%
- --------------------------------------------------------------------------------
Norwegian Government
5.500% due 05/15/2009 NK 2,720 370
----------
Total Norway 370
(Cost $367) ==========
- --------------------------------------------------------------------------------
SINGAPORE (c)(f) 1.5%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 1,100 651
----------
Total Singapore 651
(Cost $651) ==========
- --------------------------------------------------------------------------------
SOUTH KOREA (f) 1.1%
- --------------------------------------------------------------------------------
Korea Development Bank
3.258% due 05/14/2001(d) DM 440 231
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 254
----------
Total South Korea 485
(Cost $484) ==========
- --------------------------------------------------------------------------------
SPAIN (c)(f) 1.3%
- --------------------------------------------------------------------------------
Kingdom of Spain
6.000% due 01/31/2029 EC 468 564
----------
Total Spain 564
(Cost $629) ==========
- --------------------------------------------------------------------------------
SUPRANATIONAL (c)(f) 7.1%
- --------------------------------------------------------------------------------
European Investment Bank
7.000% due 12/08/2003 BP 400 692
International Bank for Reconstruction & Development (World Bank)
6.875% due 07/14/2000 200 329
7.000% due 09/18/2000 N$ 500 275
7.250% due 04/09/2001 1,376 763
112 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.250% due 01/16/2002 480 $ 266
10.250% due 04/11/2002 PP 2,000 47
7.000% due 06/07/2002 BP 100 169
7.250% due 05/27/2003 N$ 890 500
----------
Total Supranational 3,041
(Cost $3,011) ==========
- --------------------------------------------------------------------------------
SWEDEN (c)(f) 5.5%
- --------------------------------------------------------------------------------
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 132
5.500% due 04/12/2002 400 52
6.500% due 05/05/2008 15,400 2,172
----------
Total Sweden 2,356
(Cost $2,358) ==========
- --------------------------------------------------------------------------------
UNITED KINGDOM (c)(f) 11.8%
- --------------------------------------------------------------------------------
Equitable
8.000% due 08/29/2049(d) BP 700 1,229
Polestar Corp. PLC
10.500% due 05/30/2008 390 640
United Kingdom Gilt
8.000% due 06/10/2003(i) 1,240 2,252
7.250% due 12/07/2007(i) 470 899
----------
Total United Kingdom 5,020
(Cost $5,064) ==========
- --------------------------------------------------------------------------------
UNITED STATES (f) 72.6%
- --------------------------------------------------------------------------------
Asset-Backed Securities 8.5%
AFC Home Equity Loan Trust
5.249% due 12/22/2027(d) $ 136 135
Banc One Auto Grantor Trust
6.270% due 11/20/2003 43 43
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 57 57
Comed Transitional Funding Trust
5.380% due 03/25/2002 108 108
Conti Mortgage Home Equity Loan Trust
6.020% due 12/25/2013 600 600
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 230 230
5.850% due 07/20/2003 34 34
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 151 152
First Security Auto Owner Trust
5.311% due 04/15/2002 1,000 1,003
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 95 95
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 162 162
Premier Auto Trust
6.250% due 08/06/2001 455 458
Residential Asset Securities Corp.
5.080% due 12/25/2013(d) 400 400
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 145 146
----------
3,623
==========
Corporate Bonds & Notes 13.9%
Associates Corp. of North America
5.104% due 08/27/2001(d) 400 401
CSFP Credit
6.199% due 11/19/2004(h) 1,750 1,746
Delta Air Lines
6.034% due 06/29/1999(h) 150 150
General Motors Acceptance Corp.
5.250% due 04/05/2004(d) 1,298 1,298
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 57
Merrill Lynch & Co.
5.299% due 11/01/2001(d) $ 510 510
Occidental Petroleum
8.500% due 09/15/2004 $ 100 $ 100
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,388 1,352
TCI Communications, Inc.
5.675% due 04/01/2002(d) 300 306
----------
5,920
==========
Mortgage-Backed Securities 17.5%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 250 252
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 300 303
Federal Home Loan Mortgage Corp.
6.000% due 01/01/2029-05/17/2029(e) 3,970 3,767
Federal National Mortgage Association
5.500% due 02/25/2005-05/17/2029(e) 555 525
Government National Mortgage Association
6.125% due 11/20/2021(d) 55 56
6.625% due 07/20/2022-09/20/2025(d)(e) 1,455 1,482
6.125% due 12/20/2025(d) 31 31
6.625% due 09/20/2026(d) 39 40
6.125% due 11/20/2026-12/20/2026(d)(e) 649 658
7.500% due 09/15/2028 83 86
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029(d) 230 233
----------
7,433
==========
U.S. Government Agencies 9.6%
Federal National Mortgage Association
6.875% due 06/07/2002 BP 350 592
7.250% due 06/20/2002 N$ 340 190
Student Loan Marketing Assn.
5.248% due 01/25/2003(d) $ 570 571
5.178% due 04/25/2007(d) 1,815 1,815
5.245% due 10/25/2007(d) 900 899
----------
4,067
==========
U.S. Treasury Obligations 23.1%
Treasury Inflation Protected Securities
3.625% due 07/15/2002(i)(j) 821 816
3.625% due 07/15/2002(j) 6,360 6,320
3.375% due 01/15/2007(j) 259 250
U.S. Treasury Bonds
6.000% due 02/15/2026 1,430 1,455
U.S. Treasury Notes
7.250% due 05/15/2004 890 970
----------
9,811
----------
Total United States 30,854
(Cost $31,037) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.1%
- --------------------------------------------------------------------------------
U.S. Treasury Note (OTC)
7.250% due 05/15/2004
Strike @ 101.188 Exp. 06/14/1999 300 22
----------
Total Purchased Call Options 22
(Cost $23) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 9.6%
- --------------------------------------------------------------------------------
Certificate of Deposit 1.2%
Bank of Tokyo
5.937% due 07/30/1999 530 531
----------
Commercial Paper 7.5%
Abbott Laboratories
4.840% due 04/09/1999 1,600 1,598
CocaCola Co.
4.840% due 05/28/1999 500 496
IBM Corp.
4.810% due 04/08/1999 1,100 1,099
----------
3,193
==========
1999 Annual Report See accompanying notes 113
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
Repurchase Agreement 0.4%
State Street Bank
4.000% due 04/01/1999 $ 177 $ 177
----------
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.125% 07/31/2000 valued at $184,441.
Repurchase proceeds are $177,020.)
U.S. Treasury Bills (b) 0.5%
4.460% due 06/24/1999 230 228
----------
Total ShortTerm-Instruments 4,129
(Cost $4,127) ==========
Total Investments (a) 151.9% $ 64,634
(Cost $65,240)
Written Options (g) (0.0%) (6)
(Premiums $9)
Other Assets and Liabilities (Net) (51.9%) (22,084)
----------
Net Assets 100.0% $ 42,544
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$65,256 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 325
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (947)
----------
Unrealized depreciation-net $ (622)
==========
(b) Securities with an aggregate market value of
$228 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 1 $ 1
Eurodollar September Futures (09/2000) 2 1
Eurodollar December Futures (12/2000) 1 1
U.S. Treasury 10 Year Note (06/1999) 34 22
United Kingdom 90 Day LIBOR (12/2000) 14 (7)
----------
$ 18
==========
(c) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell A$ 3 04/1999 $0
Buy AP 484 04/1999 12
Buy 240 05/1999 7
Buy BP 210 04/1999 (1)
Sell 3,562 04/1999 16
Sell 20 05/1999 0
Buy C$ 1,674 04/1999 6
Sell 1,626 04/1999 6
Buy DK 1,505 04/1999 0
Sell 7,924 04/1999 79
Buy 1,342 05/1999 (3)
Sell 5,402 05/1999 4
Buy EC 5,356 04/1999 (164)
Sell 4,365 04/1999 148
Buy 140 05/1999 (0)
Sell GD 40,780 04/1999 5
Buy JY 1,919 04/1999 1
Sell 9,024 04/1999 (1)
Sell 126,051 05/1999 2
Buy N$ 188 04/1999 2
Sell 4,201 04/1999 (0)
Buy 724 05/1999 (2)
Sell 1,953 05/1999 (5)
Sell S$ 1,142 06/1999 (1)
Buy SF 1,164 04/1999 (11)
Sell 1,190 04/1999 8
Buy SK 12,575 04/1999 (101)
Sell 16,432 04/1999 110
Sell 5,972 05/1999 5
----------
$ 122
==========
(d) Variable rate security. The rate listed is as
of March 31, 1999.
(e) Securities are grouped by coupon or range of
coupons and represent a range of securities.
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar GD - Greek Drachma
AP - Argentine Peso JY - Japanese Yen
BF - Belgian Franc N$ - New Zealand Dollar
BP - British Pound NK - Norwegian Kron
C$ - Canadian Dollar PP - Philippines Peso
DK - Danish Krone S$ - Singapore Dollar
DM - German Mark SF - Swiss Franc
EC - European Currency Unit SK - Swedish Krona
(g) Premium received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call OTC Japanese Yen vs US Dollar
Strike @115.00 Exp. 04/22/1999 $ 420 $ 6 $ 3
Call OTC Government of Japan
2.000% due 03/20/2009
Strike @102.50 Exp. 04/23/1999 65,730 3 3
---------------------------
$ 9 $ 6
===========================
(h) Restricted security.
(i) Subject to a financing transaction.
(j) Principal amount of the security is adjusted
for inflation.
(k) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay
floating rate on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 1,700 $ 68
114 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (b) 22.0%
- --------------------------------------------------------------------------------
Province of Buenos Aires
12.500% due 03/15/2002 $ 100 $ 102
Republic of Argentina
8.750% due 07/10/2002 AP 100 86
5.937% due 03/31/2005(d) $ 186 159
12.110% due 04/10/2005(d) 200 185
11.375% due 01/30/2017(e) 500 471
----------
Total Argentina 1,003
(Cost $1,079) ==========
- --------------------------------------------------------------------------------
BRAZIL 16.6%
- --------------------------------------------------------------------------------
Government of Brazil
6.187% due 04/15/2012(d) $ 850 495
8.000% due 04/15/2014 412 262
----------
Total Brazil 757
(Cost $720) ==========
- --------------------------------------------------------------------------------
BULGARIA 1.5%
- --------------------------------------------------------------------------------
Government of Bulgaria
6.688% due 07/28/2011(d) $ 100 67
----------
Total Bulgaria 67
(Cost $62) ==========
- --------------------------------------------------------------------------------
COLOMBIA 2.9%
- --------------------------------------------------------------------------------
Republic of Colombia
8.625% due 04/01/2008 $ 150 133
----------
Total Colombia 133
(Cost $148) ==========
- --------------------------------------------------------------------------------
ECUADOR 2.2%
- --------------------------------------------------------------------------------
Government of Ecuador
3.500% due 02/28/2025(d) $ 250 101
----------
Total Ecuador 101
(Cost $140) ==========
- --------------------------------------------------------------------------------
MEXICO 21.1%
- --------------------------------------------------------------------------------
Petroleos Mexicanos
9.857% due 07/15/2005(d) $ 250 233
9.375% due 12/02/2008 250 256
United Mexican States
6.250% due 12/31/2019 250 196
11.500% due 05/15/2026(c) 250 279
United Mexican States Rights
6.250% due 12/31/2019 250 0
----------
Total Mexico 964
(Cost $1,007) ==========
- --------------------------------------------------------------------------------
PANAMA 3.3%
- --------------------------------------------------------------------------------
Republic of Panama
9.375% due 04/01/2029 $ 150 151
----------
Total Panama 151
(Cost $150) ==========
- --------------------------------------------------------------------------------
PERU 2.8%
- --------------------------------------------------------------------------------
Republic of Peru
4.000% due 03/07/2017(d) $ 200 128
----------
Total Peru 128
(Cost $117) ==========
- --------------------------------------------------------------------------------
PHILIPPINES 4.9%
- --------------------------------------------------------------------------------
Republic of Philippines
6.500% due 12/01/2017 $ 250 223
----------
Total Philippines 223
(Cost $189) ==========
- --------------------------------------------------------------------------------
POLAND 5.0%
- --------------------------------------------------------------------------------
Republic of Poland
3.000% due 10/27/2024(d) $ 350 226
----------
Total Poland 226
(Cost $229) ==========
- --------------------------------------------------------------------------------
RUSSIA 1.3%
- --------------------------------------------------------------------------------
Republic of Russia
6.625% due 12/15/2015(d) $ 505 $ 38
6.625% due 12/15/2020(d) 300 20
----------
Total Russia 58
(Cost $546) ==========
- --------------------------------------------------------------------------------
SOUTH KOREA 11.8%
- --------------------------------------------------------------------------------
Korea Development Bank
8.650% due 01/26/2000 $ 100 101
Korean Export-Import Bank
7.100% due 03/15/2007 175 171
Republic of Korea
8.875% due 04/15/2008(e) 250 268
----------
Total South Korea 540
(Cost $487) ==========
- --------------------------------------------------------------------------------
UNITED STATES 4.0%
- --------------------------------------------------------------------------------
Asset-Backed Securities 0.9%
IMC Home Equity Loan Trust
5.075% due 05/21/2012(d) $ 26 26
NationsBank Auto Owner Trust
6.375% due 07/15/2000 15 15
----------
41
==========
Corporate Bonds & Notes 3.1%
Ford Motor Credit Corp.
5.104% due 08/27/2001(d) 100 100
Supercanal Holdings
11.500% due 05/15/2005 100 40
----------
140
----------
Total United States 181
(Cost $241) ==========
- --------------------------------------------------------------------------------
URUGUAY 4.2%
- --------------------------------------------------------------------------------
Banco Central Del Uruguay
6.125% due 02/19/2006 $ 206 191
----------
Total Uruguay 191
(Cost $205) ==========
- --------------------------------------------------------------------------------
VENEZUELA 6.7%
- --------------------------------------------------------------------------------
Government of Venezuela
5.937% due 12/18/2007(d) $ 214 150
9.250% due 09/15/2027 250 154
----------
Total Venezuela 304
(Cost $271) ==========
PIMCO Funds See accompanying notes 115
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 5.0%
- --------------------------------------------------------------------------------
Commercial Paper 2.2%
National Rural Utilities Cooperative
4.820% due 05/18/1999 $ 100 99
----------
Repurchase Agreement 2.6%
State Street Bank
4.000% due 04/01/1999 118 118
----------
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.750% 11/30/1999 valued at $125,398.
Repurchase proceeds are $118,013.)
U.S. Treasury Bills 0.2%
4.280% due 05/27/1999 10 10
----------
Total Short-Term Instruments 227
(Cost $227) ==========
Total Investments (a) 115.3% $ 5,254
(Cost $5,818)
Other Assets and Liabilities (Net) (15.3%) (696)
----------
Net Assets 100.0% $ 4,558
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$5,956 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 198
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (900)
----------
Unrealized depreciation-net $ (702)
==========
(b) Principal amount denoted in indicated currency:
AP - Argentine Peso
(c) Subject to a financing transaction.
(d) Variable rate security. The rate listed is as of March 31,1999.
116 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 23.2%
- --------------------------------------------------------------------------------
Banking & Finance 15.2%
AT&T Capital Corp.
6.580% due 09/03/1999 $ 300 $ 301
Edison Funding
6.050% due 12/17/1999 1,000 1,006
Finova Capital Corp.
5.250% due 06/18/2003(d) 2,000 1,985
Ford Motor Credit Corp.
5.280% due 03/21/2001(d) 500 501
General Motors Acceptance Corp.
4.991% due 10/22/2001(d) 100 100
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,729
Lehman Brothers, Inc.
6.330% due 08/01/2000 305 306
Merrill Lynch & Co.
5.226% due 10/01/2003(d) 2,000 2,000
5.400% due 03/17/2004(d) 100 100
Nacional Financiera
8.649% due 12/01/2000(d) 500 510
NationsBank Corp.
7.033% due 02/18/2002(d) 100 96
Okobank
6.750% due 09/27/2049(d) 500 503
Republic New York Corp.
5.279% due 10/28/2002(d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,119 1,090
5.220% due 04/01/2002(d) 200 200
Sparbanken Sverige AB
8.490% due 10/29/2049(d) 500 500
Westdeutsche Landesbank
6.050% due 01/15/2009 3,000 2,944
----------
14,970
==========
Industrials 3.7%
DTE Capital Corp.
8.350% due 11/15/2003(d) 1,000 993
Gulf Canada Resources
9.000% due 08/15/1999 300 300
Norfolk Southern Corp.
6.700% due 05/01/2000 100 101
Occidental Petroleum
5.776% due 04/03/2000(d) 600 600
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 987
RJR Nabisco
8.625% due 12/01/2002 100 104
Sequa Corp.
9.625% due 10/15/1999 300 300
Williams Co., Inc.
5.950% due 02/15/2000(d) 200 200
----------
3,585
==========
Utilities 4.3%
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 504
Florida Gas Transmission
8.140% due 11/01/1999 1,000 1,015
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 999
System Energy Resources
7.710% due 08/01/2001 650 673
Texas Utilities Co.
6.410% due 11/21/2001 1,000 1,012
----------
4,203
----------
Total Corporate Bonds & Notes 22,758
(Cost $22,772) ==========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 0.9%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.684% due 06/30/2000(d) $ 900 $ 898
----------
Total U.S. Government Agencies 898
(Cost $899) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 3.2%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(h) 410 408
3.625% due 07/15/2002(g)(h) 1,846 1,835
U.S. Treasury Bonds
8.875% due 08/15/2017 700 933
----------
Total U.S. Treasury Obligations 3,176
(Cost $3,222) ==========
- --------------------------------------------------------------------------------
MORTGAGE BACKED-SECURITIES 41.4%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 20.5%
Countrywide Home Loans
6.050% due 04/25/2029 300 300
Federal Home Loan Mortgage Corp.
6.500% due 11/15/2000 172 172
6.500% due 01/15/2004 134 134
5.500% due 07/15/2005 360 360
7.000% due 05/15/2023 1,618 1,670
6.500% due 08/15/2023 187 189
6.500% due 03/15/2024 290 278
Federal National Mortgage Assn.
6.500% due 10/25/2004 239 239
5.700% due 06/25/2017 2,035 2,037
6.500% due 06/25/2021 202 201
4.000% due 01/25/2022 126 115
5.000% due 04/25/2022 48 45
7.000% due 06/25/2023 254 252
6.500% due 12/25/2023 138 127
GE Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,496 1,448
Greenwich
6.844% due 04/25/2022(d) 583 591
Independent National Mortgage Corp.
8.350% due 06/25/2025 749 757
Norwest Asset Securities Corp.
7.000% due 01/25/2028 2,954 2,980
6.500% due 02/25/2029 2,000 1,914
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 484 486
6.500% due 11/25/2029 1,000 974
Resecuritization Mortgage Trust
5.189% due 04/26/2021(d) 791 774
Residential Asset Securitization Trust
6.500% due 03/25/2029 300 300
Residential Funding Mortgage Securities, Inc.
6.500% due 11/25/2023 3,000 2,914
Resolution Trust Corp.
8.000% due 06/25/2026 848 874
----------
20,131
==========
Federal Home Loan Mortgage Corporation 11.5%
7.500% due 04/14/2029 11,000 11,305
----------
11,305
----------
Federal Housing Administration 1.8%
7.430% due 01/25/2023 1,759 1,798
----------
1,798
==========
Federal National Mortgage Association 0.4%
6.130% due 03/01/2029(d) 398 401
----------
401
==========
Government National Mortgage Association 6.8%
6.000% due 04/22/2029 3,000 2,915
6.500% due 05/24/2029 1,000 995
6.625% due 07/20/2023-08/20/2026(d)(i) 833 844
6.875% due 01/15/2001-02/01/2040(i) 1,000 1,013
6.880% due 06/20/2027(d) 903 915
7.000% due 01/20/2027(d) 45 45
----------
6,727
==========
1999 Annual Report See accompanying notes 117
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.3%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 $ 18 $ 17
Federal Home Loan Mortgage Corp. (IO)
7.000% due 05/15/2004 202 2
6.500% due 08/15/2016 654 31
7.000% due 02/15/2017 560 19
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 972 131
6.500% due 09/25/2008 550 53
----------
253
----------
Total Mortgage-Backed Securities 40,615
(Cost $40,486) ==========
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES 6.1%
- --------------------------------------------------------------------------------
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012(d) 779 778
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 870 877
First Plus Home Loan Trust
6.450% due 02/10/2009 842 842
Green Tree Financial Corp.
6.220% due 02/15/2029 40 40
Money Store Home Equity Trust
6.550% due 09/15/2021 2,000 2,015
WMC Mortgage Loan
5.168% due 03/20/2028(d) 1,497 1,497
----------
Total Asset-Backed Securities 6,049
(Cost $6,027) ==========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 3.0%
- --------------------------------------------------------------------------------
Hydro Quebec
5.187% due 09/29/2049(d) 200 165
Republic of Argentina
4.940% due 04/01/2001(d) 693 641
5.937% due 03/31/2005(d) 1,302 1,115
Republic of Korea
8.281% due 04/08/2000(d) 1,000 1,004
----------
Total Sovereign Issues 2,925
(Cost $3,035) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.1%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/2026 C$ 104 70
----------
Total Foreign Currency-Denominated Issues 70
(Cost $70) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 40.4%
- --------------------------------------------------------------------------------
Commercial Paper 22.4%
BellSouth Telecommunications, Inc.
4.810% due 05/10/1999 $ 4,000 3,979
Coca-Cola Co.
4.770% due 04/08/1999 2,000 1,998
Ford Motor Credit Corp.
4.840% due 04/23/1999 1,600 1,595
General Electric Capital Corp.
4.860% due 05/05/1999 1,100 1,095
KFW International Finance, Inc.
4.830% due 04/06/1999 1,200 1,199
4.790% due 06/24/1999 2,200 2,176
National Rural Utilities Cooperative
4.820% due 06/10/1999 4,500 4,458
Proctor & Gamble Co.
4.780% due 04/28/1999 1,100 1,096
Sara Lee Credit Corp.
4.840% due 04/28/1999 4,400 4,384
----------
21,980
==========
Repurchase Agreements 14.7%
State Street Bank
4.000% due 04/01/1999 $ 898 $ 898
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 6.125% 07/31/2000 valued at
$917,080. Repurchase proceeds are $898,100.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 12,500 12,500
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 13.125% 05/15/2001 valued at
$9,982,000 and U.S. Treasury Note 12.000%
08/15/2013 valued at $2,855,245. Repurchase
proceeds are $12,501,701.)
Daiwa Securities
4.920% due 04/01/1999 1,000 1,000
(Dated 03/31/1999. Collateralized by U.S.
Treasury Bill 4.545% 09/23/1999 valued at
$1,021,491. Repurchase proceeds are $1,000,137.)
----------
14,398
==========
U.S. Treasury Bills (b)(i) 3.3%
4.417% due 04/29/1999 06/24/1999 3,278 3,249
----------
Total Short-Term Instruments 39,627
(Cost $39,627) ==========
Total Investments (a) 118.3% $ 116,118
(Cost $116,138)
Written Options (c) (0.0%) (13)
(Premiums $21)
Other Assets and Liabilities (Net) (18.3%) (17,987)
----------
Net Assets 100.0% $ 98,118
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$116,120 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 409
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (411)
----------
Unrealized depreciation-net $ (2)
==========
118 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 1999
================================================================================
(b) Securities with an aggregate market value of
$3,249 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 1999:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 3 $ (4)
Eurodollar March Futures (03/2001) 1 0
Eurodollar June Futures (06/2000) 3 (4)
Eurodollar June Futures (06/2001) 1 0
Eurodollar September Futures (09/2000) 4 (3)
Eurodollar September Futures (09/2001) 4 (1)
Eurodollar December Futures (12/1999) 3 (4)
Eurodollar December Futures (12/2000) 1 0
Mini S&P 500 Index (06/1999) 1 0
S&P 500 Index (06/1999) 173 419
U.S. Treasury 10 Year Note (06/1999) 42 (8)
United Kingdom 90 Day LIBOR Futures (03/2000) 2 (0)
United Kingdom 90 Day LIBOR Futures (06/2000) 2 (1)
----------
$ 394
==========
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $ 700 $ 2 $ 1
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 700 4 4
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 700 2 0
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 1,100 6 3
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 400 2 1
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 5,000 2 1
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 5,000 3 3
---------------------------
$ 21 $ 13
===========================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 109 04/1999 $ (0)
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
(g) Subject to a financing transaction.
(h) Principal amount of the security adjusted for
inflation.
(i) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 07/31/1999 $ 6,335 $ 0
1999 Annual Report See accompanying notes 119
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.9%
- --------------------------------------------------------------------------------
Banking & Finance 28.4%
AT&T Capital Corp.
6.920% due 04/29/1999 $ 5,725 $ 5,730
Bankers Trust Corp.
5.100% due 05/11/2003(d) 20,000 20,099
Caterpillar Financial Service Corp.
4.220% due 04/01/1999(d) 2,000 2,000
CIT Group, Inc.
6.200% due 10/20/2000 10,000 10,086
Edison Funding
6.000% due 09/20/1999 15,000 15,062
Finova Capital Corp.
5.250% due 06/18/2003(d) 25,000 24,813
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,261
5.150% due 03/19/2002 590 589
5.525% due 02/13/2003(d) 15,000 14,949
General Motors Acceptance Corp.
4.991% due 10/22/2001(d) 1,600 1,601
5.375% due 12/17/2001(d) 2,000 2,010
5.080% due 02/25/2002(d) 1,000 1,002
5.100% due 08/18/2003(d) 35,300 35,135
Goldman Sachs Group
5.490% due 01/16/2001(d) 5,000 5,028
5.151% due 01/25/2001(d) 10,000 10,024
5.530% due 02/19/2004(d) 10,000 9,995
Heller Financial, Inc.
5.330% due 09/25/2000 15,500 15,534
Household Finance Corp.
5.120% due 06/22/2001(d) 5,000 5,001
HRPT Properties Trust
5.658% due 07/09/1999 5,000 4,978
Lehman Brothers, Inc.
4.990% due 08/11/2000(d) 9,400 9,366
MBNA America Bank NA
5.311% due 10/18/1999(d) 10,000 9,999
MBNA Corp.
5.320% due 09/13/2001(d) 4,000 3,986
Merrill Lynch & Co.
5.598% due 10/10/2000(d) 3,000 3,014
5.750% due 11/20/2000 10,000 10,035
5.070% due 06/18/2001(d) 10,000 10,010
5.508% due 01/11/2002(d) 8,550 8,594
5.345% due 02/01/2002(d) 24,500 24,569
5.174% due 02/04/2003(d) 6,000 6,016
Nacional Financiera
8.649% due 12/01/2000(d) 10,000 10,200
Residential Reinsurance
9.180% due 06/01/1999(d) 4,500 4,551
Salomon, Inc.
4.704% due 04/05/1999(d) 500 500
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 5,007
3.650% due 02/14/2002 2,072 2,019
5.220% due 04/01/2002(d) 3,600 3,599
5.250% due 03/26/2003 5,000 4,973
Sanwa Business Credit
5.695% due 07/13/2001(d) 10,000 10,016
Steers Securities
6.438% due 05/12/1999(d) 20,000 20,000
----------
341,351
==========
Industrials 8.4%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,474
Black & Decker
6.450% due 12/20/2001(d) 7,250 7,303
COFIRI International, Inc.
5.267% due 10/27/2000(d) 2,000 1,994
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,908
Delta Air Lines
6.034% due 06/29/1999(d)(g) 5,000 5,002
Marlin Water Trust
7.090% due 12/15/2001 5,000 5,069
Merita
5.378% due 12/01/2005(d) 1,000 987
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,629
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,047
RJR Nabisco
8.300% due 04/15/1999 2,300 2,301
8.000% due 07/15/2001 500 513
TCI Communications, Inc.
7.250% due 06/15/1999 30,000 30,138
5.640% due 04/03/2002(d) 11,600 11,820
5.700% due 03/11/2003(d) 4,000 4,090
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,499
Williams Co., Inc.
5.950% due 02/15/2000(d) 4,200 4,204
----------
100,978
==========
Utilities 3.1%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 2,279 2,325
Niagara Mohawk Power
7.000% due 10/01/2000 5,000 5,051
7.125% due 07/01/2001 9,000 9,149
North Atlantic Energy
9.050% due 06/01/2002 1,220 1,259
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000(d) 15,000 15,011
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,081
----------
36,876
----------
Total Corporate Bonds & Notes 479,205
(Cost $477,537) ==========
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES 1.4%
- --------------------------------------------------------------------------------
Student Loan Marketing Assn.
5.038% due 10/25/2005(d) 12,512 12,480
5.098% due 04/25/2006(d) 4,491 4,476
----------
Total U.S. Government Agencies 16,956
(Cost $16,915) ==========
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 1.8%
- --------------------------------------------------------------------------------
Treasury Inflation Protected Securities
3.625% due 07/15/2002(e) 21,850 21,713
----------
Total U.S. Treasury Obligations 21,713
(Cost $21,776) ==========
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES 23.7%
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 8.3%
Bank Mart
6.883% due 03/01/2019(d)(g) 6,273 6,374
Citicorp Mortgage Securities, Inc.
7.044% due 09/25/2018(d) 57 57
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,592
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020(d) 241 248
Federal National Mortgage Association
8.005% due 04/25/2020(d) 57 57
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 2,009
Greenwich
6.818% due 10/25/2022(d) 23 23
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,633
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,305
PaineWebber Mortgage
6.503% due 02/25/2001(d) 853 852
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 11,947 11,995
120 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Residential Asset Securitization Trust
6.500% due 03/25/2029 $ 6,000 $ 5,992
Residential Funding Mortgage Securities, Inc.
6.178% due 03/25/2018(d) 2,294 2,283
Resolution Trust Corp.
8.000% due 07/25/2024 1,031 1,027
5.900% due 05/25/2029(d) 292 293
Structured Asset Mortgage Investments, Inc.
8.992% due 06/25/2029 28,277 29,646
Structured Asset Securities Corp.
7.750% due 02/25/2028 679 686
5.439% due 10/25/2028(d) 3,067 3,073
TMA Mortgage Funding Trust
5.319% due 01/25/2029 7,200 7,198
----------
100,343
==========
Federal Home Loan Mortgage Corporation 4.8%
6.666% due 07/01/2019(d) 1,654 1,681
7.163% due 12/01/2022(d) 756 778
7.364% due 06/01/2022(d) 546 558
7.500% due 11/01/2025-04/14/2029(c) 53,018 54,496
8.500% due 04/01/2025-06/01/2025(c) 264 278
----------
57,791
==========
Federal National Mortgage Association 1.3%
5.904% due 07/01/2018(d) 581 586
5.905% due 04/01/2018-05/01/2036(c)(d) 1,157 1,164
5.909% due 08/01/2029(d) 366 368
5.916% due 05/01/2036(d) 6,312 6,354
5.940% due 05/01/2017(d) 356 360
5.941% due 11/01/2018-11/01/2028(c)(d) 5,330 5,362
5.946% due 11/01/2035(d) 559 562
5.964% due 02/01/2031(d) 112 113
7.337% due 05/01/2022(d) 394 406
----------
15,275
==========
Government National Mortgage Association 9.0%
6.125% due 12/20/2022-12/20/2027(c)(d) 13,165 13,344
6.500% due 01/20/2028-05/24/2029(c)(d) 53,505 53,354
6.625% due 07/20/2018-07/20/2023(c)(d) 22,383 22,754
6.875% due 02/20/2026-04/20/2027(c)(d) 18,745 19,031
----------
108,483
==========
Other Mortgage-Backed Securities 0.2%
California Federal Savings & Loan
6.644% due 01/01/2019(d) 37 37
Fund America
7.187% due 06/25/2023(d) 155 159
Great Western Savings & Loan
6.389% due 01/25/2018(d) 74 74
J.P. Morgan & Co.
6.937% due 01/25/2018(d) 658 658
Resolution Trust Corp.
6.842% due 12/25/2023(d) 27 27
Structured Asset Securities Corp.
6.811% due 09/25/2036(d) 1,178 1,207
Western Federal Savings & Loan
6.312% due 10/25/2018(d) 77 76
6.821% due 03/25/2019(d) 37 37
6.403% due 06/25/2019(d) 222 220
----------
2,495
==========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 3,896 267
992.576% due 07/15/2016 3 3
7.500% due 08/15/2019 2,282 97
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 456 21
7.000% due 07/25/2006 417 38
6.500% due 02/25/2021(d) 4,237 375
7.000% due 07/25/2021 960 132
6.500% due 03/25/2023 5,778 729
----------
1,662
----------
Total Mortgage-Backed Securities 286,049
(Cost $285,442) ==========
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES 0.4%
- --------------------------------------------------------------------------------
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 $ 2,316 $ 2,330
Green Tree Financial Corp.
6.220% due 02/15/2029 2,273 2,276
----------
Total Asset-Backed Securities 4,606
(Cost $4,589) ==========
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 4.7%
- --------------------------------------------------------------------------------
Air Canada
5.613% due 07/31/2005(d) 12,000 10,943
Cemex SA
10.750% due 07/15/2000 3,650 3,780
Hydro Quebec
5.187% due 09/29/2049(d) 1,000 825
Republic of Argentina
5.937% due 03/31/2005(d) 16,833 14,414
12.110% due 04/10/2005(d) 7,000 6,475
Republic of Korea
7.562% due 04/07/1999(d) 10,000 10,003
United Mexican States
6.250% due 06/27/2002(d) 10,000 9,534
----------
Total Sovereign Issues 55,974
(Cost $58,185) ==========
- --------------------------------------------------------------------------------
FOREIGN CURRENCY-DENOMINATED ISSUES (h)(i) 0.7%
- --------------------------------------------------------------------------------
Commonwealth of Canada
4.250% due 12/01/2026 C$ 5,210 3,510
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,283
Kingdom of Sweden
10.250% due 05/05/2000(f) SK 1,000 131
----------
Total Foreign Currency-Denominated Issues 8,924
(Cost $10,497) ==========
- --------------------------------------------------------------------------------
PURCHASED PUT OPTIONS 0.0%
- --------------------------------------------------------------------------------
Eurodollar June Futures (CME)
Strike @ 92.75 Exp. 06/14/1999 $ 3,463 17
Eurodollar December Futures (CME)
Strike @ 92.00 Exp. 12/13/1999 1,750 9
----------
Total Purchased Put Options 26
(Cost $73) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 34.2%
- --------------------------------------------------------------------------------
Certificate of Deposit 0.4%
Nacional Financial
6.305% due 07/15/1999 5,000 4,975
----------
Commercial Paper 27.0%
Abbott Laboratories
4.820% due 04/09/1999 11,400 11,388
4.820% due 04/12/1999 5,200 5,192
American Express
4.770% due 04/05/1999 20,000 19,989
4.790% due 04/06/1999 8,500 8,494
American Express Credit
4.830% due 04/19/1999 10,000 9,976
Ameritech Corp.
4.800% due 04/12/1999 36,700 36,646
Cemex SA
7.239% due 08/11/1999 15,000 14,733
Coca-Cola Co.
4.770% due 04/08/1999 8,700 8,692
4.810% due 05/27/1999 1,500 1,489
E.I. Du Pont de Nemours
4.770% due 04/05/1999 9,500 9,495
4.810% due 04/23/1999 20,400 20,340
4.800% due 06/07/1999 8,700 8,621
1999 Annual Report See accompanying notes 121
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Ford Motor Credit Corp.
4.800% due 04/06/1999 $ 20,000 $ 19,987
4.840% due 04/23/1999 4,700 4,686
General Electric Capital Corp.
4.860% due 04/16/1999 29,200 29,141
4.840% due 04/26/1999 5,000 4,983
4.840% due 04/30/1999 4,000 3,984
General Motors Acceptance Corp.
4.820% due 04/06/1999 5,000 4,997
IBM Corp.
4.810% due 04/21/1999 8,900 8,876
4.840% due 05/03/1999 10,500 10,455
Imperial Tobacco PLC
5.170% due 07/29/1999 20,000 19,679
KFW International Finance, Inc.
4.830% due 04/06/1999 3,200 3,198
National Rural Utilities Cooperative
4.810% due 05/25/1999 6,400 6,354
4.820% due 06/11/1999 20,800 20,599
4.820% due 06/17/1999 7,900 7,818
Proctor & Gamble Co.
4.820% due 04/19/1999 2,300 2,294
4.780% due 04/28/1999 6,000 5,978
Shell Oil Co.
4.790% due 06/04/1999 16,100 15,963
----------
324,047
===========
Repurchase Agreements 2.0%
State Street Bank
4.000% due 04/01/1999 2,716 2,716
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 7.500% 10/31/1999
valued at $2,773,069. Repurchase
proceeds are $2,716,302.)
Daiwa Securities
4.920% due 04/01/1999 21,000 21,000
(Dated 03/31/1999. Collateralized by
U.S. Treasury Bill 4.545% 09/23/1999
valued at $21,445,448. Repurchase
proceeds are $21,002,870.)
----------
23,716
==========
U.S. Treasury Bills (b)(c) 4.8%
4.404% due 04/29/1999-06/24/1999 58,060 57,715
----------
Total Short-Term Instruments 410,453
(Cost $410,283) ==========
Total Investments (a) 106.8% $1,283,906
(Cost $1,285,297) ===========
Written Options (l) (0.0%) (54)
(Premiums $53)
Other Assets and Liabilities (Net) (6.8%) (82,110)
-----------
Net Assets 100.0% $1,201,742
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax purposes of
$1,285,351 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 3,429
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,874)
-----------
Unrealized depreciation-net $ (1,445)
===========
(b) Securities with an aggregate market value of
$57,715 have been segregated with the custodian
to cover margin requirements for the following
open futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 308 $ (522)
Eurodollar September Futures (09/2000) 273 (488)
Eurodollar December Futures (12/2000) 100 (159)
S&P 500 Index (06/1999) 3,281 2,708
United Kingdom 90 Day LIBOR Futures (03/2000) 33 0
United Kingdom 90 Day LIBOR Futures (06/1999) 400 (4)
United Kingdom 90 Day LIBOR Futures (06/2000) 53 (14)
United Kingdom 90 Day LIBOR Futures (09/1999) 287 279
----------
$ 1,800
==========
(c) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
(d) Variable rate security. The rate listed is as of
March 31, 1999.
(e) Principal amount of the security is adjusted for
inflation.
(f) Financing transaction.
(g) Restricted security.
(h) Foreign forward currency contracts outstanding at
March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 5,404 04/1999 $ (19)
Sell N$ 8,043 04/1999 32
Sell 1,668 05/1999 (9)
Buy SK 1,843 04/1999 (1)
Sell 1,843 04/1999 15
Sell 1,843 05/1999 1
----------
$ 19
==========
(i) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 06/30/1999 $ 50,000 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Morgan Stanley
Exp. 09/30/1999 54,785 0
----------
$ 0
==========
(k) Principal amount of the security is adjusted for inflation.
(l) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 $ 58,000 $ 20 $ 21
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 58,000 33 33
---------------------------
$ 53 $ 54
===========================
122 PIMCO Funds See accompanying notes
<PAGE>
Notes to Financial Statements
March 31, 1999
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 26 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares:
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). The Commercial
Mortgage Securities, Long Duration and StocksPLUS Short Strategy Funds had not
commenced operations as of March 31, 1999. Information presented in these
financial statements pertains to the Institutional and Administrative Classes
(the "Institutional Classes") of the Trust. Certain detailed financial
information for the A, B, C and D Classes (the "Other Classes") is provided
separately and is available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. 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.
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. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-divdidend date, except certain
dividends from foreign securities where the ex-divdidend date may have passed,
are recorded as soon as the Fund is informed of the ex-divdidend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of each Fund, except the Strategic Balanced and StocksPLUS
Funds, are declared on each day the Trust is open for business and are
distributed to shareholders monthly. Dividends from net investment income, if
any, of the Strategic Balanced and StocksPLUS Funds are declared and distributed
to shareholders quarterly. Net realized capital gains earned by a Fund, if any,
will be distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from 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 Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses
1999 Annual Report 123
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
and paid in capital to more appropriately conform financial accounting to tax
characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the Strategic Balanced and StocksPLUS Funds, are allocated daily to
each class of shares based on the relative value of settled shares. Income and
nonclass specific expenses of the Strategic Balanced and StocksPLUS Funds are
allocated daily to each class of shares based on the relative net assets of each
class. Realized and unrealized capital gains and losses of each Fund are
allocated daily to each class of shares based on the relative net assets of each
class.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Financing Transactions. 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. If the
counterparty to whom the Fund sells the security becomes insolvent, a Fund's
right to repurchase the security may be restricted; the value of the security
may change over the term of the financing transaction and the return earned by a
Fund with the proceeds of a financing transaction may not exceed transaction
costs.
Futures and Options. Certain Funds are authorized to enter into futures
contracts and options. A Fund may use futures contracts and options to manage
its exposure to the securities markets or to movements in interest rates and
currency values. The primary risks associated with the use of futures contracts
and options are imperfect correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts and options, the
possibility of an illiquid market, and the inability of the counterparty to meet
the terms of the contract. Futures contracts and purchased options are valued
based upon their quoted daily settlement prices. The premium received for a
written option is recorded as an asset with an equal liability which is marked
to market based on the option's quoted daily settlement price. Fluctuations in
the value of such instruments are recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains and losses are
recognized.
Forward Currency Transactions. Certain Funds are authorized to enter into
forward foreign exchange contracts for the purpose of hedging against foreign
exchange risk arising from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. A Fund also may enter into these
contracts for purposes of increasing exposure to a foreign currency or to shift
exposure to foreign currency fluctuations from one country to another. All
commitments are marked to market daily at the applicable translation rates and
any resulting unrealized gains or losses are recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
124 PIMCO Funds
<PAGE>
Swaps. Certain Funds are authorized to enter into interest rate, total return
and currency exchange swap agreements in order to obtain a desired return at a
lower cost than if the Fund had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statements of Operations. A Fund bears the risk of loss
of the amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a counterparty.
Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in,
or are secured by and payable from, mortgage loans on real property, and may be
structured in classes with rights to receive varying proportions of principal
and interest. SMBS include interest-only securities (IOs), which receive all of
the interest, and principal-only securities (POs), which receive all of the
principal. If the underlying mortgage assets experience greater than anticipated
payments of principal, a Fund may fail to recoup some or all of its initial
investment in these securities. The market value of these securities is highly
sensitive to changes in interest rates.
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.
Inflation-Indexed Bonds. Inflation indexed bonds are fixed income securities
whose principal value is periodically adjusted to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though investors do not receive their principal until
maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
1999 Annual Report 125
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
Restricted Securities. Certain funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly-owned subsidiary partnership of PIMCO Advisors L.P. which serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.15% for the Money Market Fund, 0.40% for the
Strategic Balanced and StocksPLUS Funds, 0.45% for the Emerging Markets Bond
Fund and 0.25% for all other Funds.
Administration Fee. PIMCO serves as administrator (the "Administrator"), and
provides administrative services to the Trust for which it receives from each
Fund a monthly administrative fee based on each share class'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
and Global Bond II Funds, 0.40% for the Emerging Markets Bond Fund and 0.25% for
all other Funds. The Administration Fee for the A, B and C Classes is charged at
an annual rate of 0.35% for the Short-Term, Money Market and Municipal Bond
Funds, 0.45% for the Foreign Bond and Global Bond II Fund, 0.55% for the
Emerging Markets Bond Fund and 0.40% for all other Funds. The Administration Fee
for Class D is charged at the annual rate of 0.25% for the Total Return, Low
Duration and ShortTerm Funds, 0.35% for the Municipal Bond, 0.45% for the
Foreign Bond and 0.40% for all other Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly
PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors
L.P., serves as the distributor of the Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class
assets of each Fund offering Administrative Class shares in an amount up to
0.25% on an annual basis of the average daily net assets of that class,
financial intermediaries that provide services in connection with the
distribution of shares or administration of plans or programs that use Fund
shares as their funding medium. The effective rate paid to PFD was 0.25% during
current fiscal year.
126 PIMCO Funds
<PAGE>
Pursuant to the Distribution and Servicing Plans adopted by the A, B, C
and D Classes of the Trust, the Trust compensates PFD or an affiliate with
respect to Class D for services provided and expenses incurred in connection
with assistance rendered in the sale of shares and services rendered to
shareholders and for maintenance of shareholder accounts of the A, B, C and D
Classes. The Trust paid PFD distribution and servicing fees at an effective rate
as set forth below (calculated as a percentage of each Fund's average daily net
assets attributable to each class):
<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
Total Return, Long-Term U.S. Gov't.,
High Yield, Foreign Bond, Global Bond II
and Emerging Markets Bond Funds 0.75 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 0.25
Real Return Bond, Municipal 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
Class D
Foreign Bond Fund -- 0.25 -- 0.70
Total Return, Low Duration and Short-Term Funds -- 0.25 -- 0.50
Municipal Bond Fund -- 0.25 -- 0.60
All other Funds -- 0.25 -- 0.65
</TABLE>
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of A, B and C Class shares. For the period ended March 31,
1999, PFD received $8,461,652 representing commissions (sales charges) and
contingent deferred sales charges.
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expense; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) expenses, such as
organizational expenses; and (viii) any expenses allocated or allocable to a
specific class of shares, which include service fees payable with respect to the
Administrative Class shares and may include certain other expenses as permitted
by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act
and subject to review and approval by the Trustees. The ratio of expenses to
average net assets per share class, as disclosed in Financial Highlights, may
differ from the annual fund operating expenses per share class as disclosed in
the Prospectus for the reasons set forth above. Each unaffiliated Trustee
receives an annual retainer of $45,000, plus $3,000 for each Board of Trustees
meeting attended in person and $500 for each meeting attended telephonically,
plus reimbursement of related expenses. In addition, each committee chair
receives an annual retainer of $1,500. These expenses are allocated to the Funds
of the Trust according to their respective net assets.
1999 Annual Report 127
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended March 31, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Fund $ 56,153,806 $ 50,784,821 $ 14,567,264 $ 5,013,754
Total Return Fund II 2,041,690 1,860,858 790,475 116,463
Total Return Fund III 957,676 870,800 315,625 121,870
Moderate Duration Fund 380,089 346,791 216,012 141,763
Low Duration Fund 8,576,718 9,130,827 2,462,283 379,813
Low Duration Fund II 1,462,737 1,541,992 206,232 69,728
Low Duration Fund III 53,538 52,123 22,056 6,692
Short-Term Fund 305,288 47,698 411,299 159,576
Long-Term U.S. Gov't Fund 1,260,249 1,018,870 192,085 58,678
High Yield Fund 5,760 7,121 1,983,993 969,168
Total Return Mortgage Fund 7,655 6,412 304 0
Low Duration Mortgage Fund 3,241 4,123 7,660 6,339
Real Return Bond Fund 123,476 101,542 23,967 6,252
Municipal Bond Fund 0 0 83,000 30,386
Foreign Bond Fund 817,410 699,955 2,288,270 1,633,832
Global Bond Fund 487,981 459,174 872,644 747,307
Global Bond Fund II 84,404 72,772 138,249 120,577
Emerging Markets Bond Fund 0 0 16,318 14,580
Strategic Balanced Fund 45,898 29,876 48,819 6,414
StocksPLUS Fund 708,140 592,151 587,571 140,926
</TABLE>
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Total Return Total Return II Total Return III Moderate Duration Low Duration
- -----------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------ Premium ------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 04/01/1998 $ 3,653 $ 0 $ 198 $ 0 $ 0
Sales 57,683 1,414 1,866 373 2,878
Closing Buys 0 0 0 (373) 0
Expirations (25,302) (228) (879) 0 (1,048)
Exercised (928) 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------
Balance at 03/31/1999 $ 35,106 $ 1,186 $ 1,185 $ 0 $ 1,830
=================================================================================================================
<CAPTION>
Long-Term
Low Duration II Short-Term U.S.Gov't Real Return Foreign Bond
- -----------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------ Premium ------------------------------------
<S> <C> <C> <C> <C> <C>
Balance at 04/01/1998 $ 0 $ 0 $ 0 $ 88 $ 0
Sales 25 25 224 0 126
Closing Buys 0 0 0 0 0
Expirations (25) (25) 0 (88) 0
Exercised 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------
Balance at 03/31/1999 $ 0 $ 0 $ 224 $ 0 $ 126
=================================================================================================================
<CAPTION>
Strategic
Global Bond Global Bond II Balanced StocksPLUS
- -----------------------------------------------------------------------------------------------
- ---------------------------------------------------------- Premium --------------------------
<S> <C> <C> <C> <C>
Balance at 04/01/1998 $ 0 $ 0 $ 0 $ 0
Sales 56 9 21 102
Closing Buys 0 0 0 0
Expirations 0 0 0 (49)
Exercised 0 0 0 0
- -----------------------------------------------------------------------------------------------
Balance at 03/31/1999 $ 56 $ 9 $ 21 $ 53
===============================================================================================
</TABLE>
128 PIMCO Funds
<PAGE>
6. Reorganization
The 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>
Total
Shares Value of Total Net Net Assets Acquired
Issued by Shares Issued Assets of Total Net of Acquiring Fund's
Acquiring by Acquiring Acquired Assets of Fund After Unrealized
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund Acquiring Fund Acquisition Appreciation
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO PIMCO
Municipal Bond Fund Tax Exempt Fund 06/26/1998 4,716 $47,296 $47,296 $4,295 $51,591 $2,335
</TABLE>
7. Federal Income Tax Matters
As of March 31, 1999, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the Total Return, Total Return II, Total Return III,
Moderate Duration, Low Duration,Low Duration II, Low Duration III, Short-Term,
Long-Term U.S. Government, High Yield, Low Duration Mortgage, Real Return Bond,
Municipal Bond, Foreign Bond, Global Bond, Global Bond II, Emerging Markets
Bond, Strategic Balanced, and StocksPLUS Funds realized capital losses and/or
foreign currency losses during the period November 1, 1998 through March 31,
1999 which the Fund elected to defer to the following fiscal year pursuant to
income tax regulations. The amounts are $261,459,467, $10,104,287, $8,485,454,
$5,552, $3,832,031, $13,422,023, $2,610,083, $195,588, $43,907, $7,314,010,
$12,696,573, $7,309, $754, $142,162, $8,073,809, $86,050, $364, $1,971, and
$133,965, 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
------------------------------------
Realized Losses Acquired Losses Expiration
- -------------------------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term Fund $ 109,956 $ 0 03/31/2007
High Yield Fund 0 48,559,227 03/31/2002
Municipal Bond Fund 5,734 0 03/31/2007
Emerging Markets Bond Fund 420,637 0 03/31/2007
</TABLE>
1999 Annual Report 129
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
8. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Total Return Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 865,137 $ 9,217,995 569,689 $ 6,060,910
Administrative Class 165,308 1,767,082 39,423 420,992
Other Classes 160,449 1,709,684 68,465 730,357
Issued as reinvestment of distributions
Institutional Class 152,580 1,621,248 97,133 1,031,930
Administrative Class 7,521 79,793 2,241 23,828
Other Classes 11,969 127,090 4,339 46,126
Cost of shares redeemed
Institutional Class (474,696) (5,071,068) (333,872) (3,556,685)
Administrative Class (27,767) (296,106) (11,009) (117,585)
Other Classes (42,934) (458,229) (17,283) (183,785)
Net increase resulting from
Fund share transactions 817,567 $ 8,697,489 419,126 $ 4,456,088
<CAPTION>
Total Return Fund II
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 47,982 $ 496,483 33,950 $ 347,509
Administrative Class 7,593 79,589 1,005 10,297
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 6,253 64,838 2,944 30,055
Administrative Class 507 5,036 60 610
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (12,604) (131,415) (29,485) (299,345)
Administrative Class (4,162) (42,493) (124) (1,264)
Other Classes 0 0 0 0
Fund share transactions 45,569 $ 472,038 8,350 $ 87,862
<CAPTION>
Total Return Fund III
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 18,305 $ 175,032 16,851 $ 160,414
Administrative Class 169 1,618 23 211
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 4,287 40,765 2,151 20,471
Administrative Class 16 151 0 1
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (8,139) (79,250) (1,903) (17,962)
Administrative Class (2) (20) (4) (39)
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 14,636 $ 138,296 17,118 $ 163,096
</TABLE>
<TABLE>
<CAPTION>
Short-Term Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 85,689 $ 860,075 30,985 $ 311,342
Administrative Class 2,713 27,827 458 4,605
Other Classes 15,676 157,205 5,433 54,585
Issued as reinvestment of distributions
Institutional Class 1,615 16,198 904 9,089
Administrative Class 93 301 3 35
Other Classes 285 2,859 67 681
Cost of shares redeemed
Institutional Class (55,050) (552,459) (30,360) (305,111)
Administrative Class (2,942) (29,487) (401) (4,023)
Other Classes (8,944) (89,676) (2,700) (27,134)
Net increase resulting from
Fund share transactions 39,135 $ 392,843 4,389 $ 44,069
<CAPTION>
Money Market Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 808,199 $ 808,199 126,866 $ 126,866
Administrative Class 40,192 40,192 1,317 1,317
Other Classes 5,353,575 5,353,575 3,188,249 3,188,249
Issued as reinvestment of distributions
Institutional Class 2,847 2,847 1,408 1,408
Administrative Class 177 177 15 15
Other Classes 5,275 5,275 3,634 3,634
Cost of shares redeemed
Institutional Class (544,088) (544,088) (96,437) (96,437)
Administrative Class (31,845) (31,845) (594) (594)
Other Classes (5,252,531) (5,252,531) (3,224,002) (3,224,002)
Net increase resulting from
Fund share transactions 381,801 $ 381,801 456 $ 456
<CAPTION>
Long-Term U.S. Government Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 17,156 $ 187,435 4,747 $ 48,113
Administrative Class 872 9,432 478 4,924
Other Classes 10,378 114,014 2,183 22,677
Issued as reinvestment of distributions
Institutional Class 780 8,444 194 1,998
Administrative Class 54 587 9 97
Other Classes 423 4,587 34 353
Cost of shares redeemed
Institutional Class (5,944) (65,866) (2,479) (25,182)
Administrative Class (290) (3,111) (18) (191)
Other Classes (3,131) (34,334) (443) (4,654)
Net increase resulting from
Fund share transactions 20,298 $ 221,188 4,705 $ 48,135
</TABLE>
130 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Moderate Duration Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 19,071 $ 192,700 22,490 $ 226,998
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 2,044 20,722 602 6,096
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class 12,764) (129,738) (881) (8,890)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 8,351 $ 83,684 22,211 $ 224,204
<CAPTION>
Low Duration Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 220,726 $ 2,244,772 144,295 $ 1,467,244
Administrative Class 15,711 160,036 3,319 33,741
Other Classes 65,554 667,128 41,975 427,414
Issued as reinvestment of distributions
Institutional Class 17,508 178,085 15,257 155,141
Administrative Class 789 8,030 182 1,852
Other Classes 1,463 14,872 757 7,702
Cost of shares redeemed
Institutional Class (176,127) (1,790,902) (168,625) (1,713,670)
Administrative Class (8,351) (85,080) (1,324) (13,425)
Other Classes (49,098) (499,621) (36,330) (369,736)
Net increase resulting from
Fund share transactions 88,175 $ 897,320 (494) $ (3,637)
<CAPTION>
Low Duration Fund II
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 8,746 $ 87,842 17,716 $ 177,099
Administrative Class 2,212 22,291 7 72
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 2,394 24,013 2,014 20,086
Administrative Class 72 719 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (9,600) (96,356) (14,185) (141,508)
Administrative Class (19) (194) (2) (16)
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 3,805 $ 38,315 5,550 $ 55,733
<CAPTION>
Low Duration Fund III
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 256 $ 2,570 1,281 $ 12,870
Administrative Class 1 7 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 163 1,637 81 816
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (134) (1,349) 0 (1)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 286 $ 2,865 1,362 $ 13,685
</TABLE>
<TABLE>
<CAPTION>
High Yield Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 104,904 $ 1,188,947 85,745 $ 991,624
Administrative Class 18,654 211,212 5,481 63,673
Other Classes 51,924 589,193 25,809 298,068
Issued as reinvestment of distributions
Institutional Class 12,000 136,088 7,846 90,586
Administrative Class 889 10,049 123 1,429
Other Classes 2,307 26,142 1,683 19,420
Cost of shares redeemed
Institutional Class (64,085) (721,757) (20,969) (238,595)
Administrative Class (4,287) (48,081) (546) (6,334)
Other Classes (24,998) (284,595) (10,129) (116,831)
Net increase resulting from
Fund share transactions 97,308 $ 1,107,198 95,043 $ 1,103,040
<CAPTION>
Total Return Mortgage Fund
Period from
Year Ended 03/31/1999 07/31/1997 to 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 31 $ 313 336 $ 3,365
Administrative Class 0 0 0 0
Other Classes 17 178 0 0
Issued as reinvestment of distributions
Institutional Class 24 249 14 142
Administrative Class 0 0 0 0
Other Classes 1 7 0 0
Cost of shares redeemed
Institutional Class 0 (1) 0 0
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 73 $ 746 350 $ 3,507
<CAPTION>
Low Duration Mortgage Fund
Period from
Year Ended 03/31/1999 07/31/1997 to 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 17 $ 174 355 $ 3,553
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 26 263 16 159
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (2) (19) (1) (7)
Administrative Class 0 0 0 0
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 41 $ 418 370 $ 3,705
<CAPTION>
Real Return Bond Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 1,180 $ 11,606 465 $ 4,626
Administrative Class 0 0 0 0
Other Classes 1,338 13,163 363 3,598
Issued as reinvestment of distributions
Institutional Class 35 354 34 333
Administrative Class 0 0 0 0
Other Classes 26 253 8 91
Cost of shares redeemed
Institutional Class (195) (1,921) (501) (5,016)
Administrative Class 0 0 0 0
Other Classes (320) (3,138) (197) (1,953)
Net increase resulting from
Fund share transactions 2,064 $ 20,317 172 $ 1,679
</TABLE>
1999 Annual Report 131
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
Shares of Beneficial Interest (Cont.)
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Municipal Bond Fund
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 589 $ 5,971 300 $ 3,000
Administrative Class 150 1,529 0 0
Other Classes 1,294 10,783 0 0
Shares issued in reorganization
Other Classes 4,716 47,296 0 0
Issued as reinvestment of distributions
Institutional Class 20 200 3 33
Administrative Class 1 8 0 0
Other Classes 94 953 0 0
Cost of shares redeemed
Institutional Class (330) (3,365) 0 0
Administrative Class (11) (112) 0 0
Other Classes (1,039) (10,555) 0 0
Net increase resulting from
Fund share transactions 5,484 $ 52,708 303 $ 3,033
<CAPTION>
Foreign Bond Fund
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 26,952 $ 289,812 21,531 $ 230,125
Administrative Class 204 2,200 28 298
Other Classes 6,321 67,890 3,209 34,319
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 2,746 29,323 2,017 21,425
Administrative Class 11 115 2 21
Other Classes 417 4,443 151 1,599
Cost of shares redeemed
Institutional Class (16,338) (174,844) (9,581) (7,326)
Administrative Class (47) (507) (4) (38)
Other Classes (1,897) (20,336) (244) (2,599)
Net increase resulting from
Fund share transactions 18,369 $ 198,096 17,109 $ 183,090
<CAPTION>
Global Bond Fund
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 7,003 $ 70,516 9,748 $ 97,041
Administrative Class 111 1,116 1,869 18,488
Other Classes 0 0 0 0
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 1,228 12,222 1,552 15,183
Administrative Class 7 70 16 163
Other Classes 0 0 0 0
Cost of shares redeemed
Institutional Class (7,326) (73,227) (6,739) (66,343)
Administrative Class (142) (1,398) (1,761) (17,243)
Other Classes 0 0 0 0
Net increase resulting from
Fund share transactions 881 $ 9,299 4,685 $ 47,289
</TABLE>
132 PIMCO Funds
<PAGE>
<TABLE>
<CAPTION>
Global Bond Fund II
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 418 $ 4,100 2,462 $ 24,247
Administrative Class 0 0 0 0
Other Classes 399 3,958 774 8,381
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 166 1,643 10 100
Administrative Class 0 0 0 0
Other Classes 65 641 257 2,575
Cost of shares redeemed
Institutional Class (119) (1,175) 0 0
Administrative Class 0 0 0 0
Other Classes (852) (8,418) (839) (9,329)
Net increase resulting from
Fund share transactions 77 $ 749 2,664 $ 25,974
<CAPTION>
Emerging Markets Bond Fund
Period from 07/31/1997
Year Ended 03/31/1998 to 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 99 $ 794 395 $ 3,907
Administrative Class 15 101 0 0
Other Classes 125 959 82 779
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 53 397 22 212
Administrative Class 1 8 0 0
Other Classes 5 45 3 22
Cost of shares redeemed
Institutional Class (47) (346) (37) (350)
Administrative Class 0 0 0 0
Other Classes (103) (789) (6) (57)
Net increase resulting from
Fund share transactions 148 $ 1,169 459 $ 4,513
<CAPTION>
Strategic Balanced Fund
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 4,322 $ 55,153 2,472 $ 29,336
Administrative Class 0 0 0 0
Other Classes 13 164 0 0
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 322 4,030 53 617
Administrative Class 0 0 0 0
Other Classes 1 14 0 0
Cost of shares redeemed
Institutional Class (50) (640) (448) (5,202)
Administrative Class 0 0 0 0
Other Classes 0 (6) 0 0
Net increase resulting from
Fund share transactions 4,608 $ 58,715 2,077 $ 24,751
<CAPTION>
StocksPLUS Fund
Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Institutional Class 14,640 $ 204,651 16,854 $ 225,911
Administrative Class 685 9,414 98 1,303
Other Classes 34,617 482,821 17,361 233,963
Shares issued in reorganization
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Institutional Class 4,466 61,000 4,247 54,317
Administrative Class 72 978 17 211
Other Classes 3,988 54,076 2,078 26,317
Cost of shares redeemed
Institutional Class (12,901) (181,983) (12,110) (165,345)
Administrative Class (117) (1,643) (22) (291)
Other Classes (9,449) (131,236) (3,197) (43,168)
Net increase resulting from
Fund share transactions 36,001 $ 498,078 25,326 $ 333,218
</TABLE>
1999 Annual Report 133
<PAGE>
Report of Independent Accountants
To the Trustees and Institutional and Administrative Class 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, changes
in net assets and of cash flows and the financial highlights for the
Institutional and Administrative Class shares 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, Money Market Fund, Long-Term
U.S. Government Fund, High Yield Fund, Total Return Mortgage Fund, Low Duration
Mortgage Fund, Real Return Bond Fund, Municipal Bond Fund, Foreign Bond Fund,
Global Bond Fund, Global Bond Fund II, Emerging Markets Bond Fund, Strategic
Balanced Fund and StocksPLUS Fund (hereafter referred to as the "Funds") at
March 31, 1999, 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, Low
Duration Mortgage Fund, Real Return Bond Fund, Foreign Bond Fund, Global Bond
Fund, Global Bond Fund II and Emerging Markets Bond Fund and the financial
highlights for the Institutional and Administrative Class shares for each of the
periods indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with 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, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 19, 1999
134 PIMCO Funds
<PAGE>
Federal Income Tax Information
(unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 1999)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 1999 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
Total Return Fund 0.18%
Total Return Fund III 0.66%
Moderate Duration Fund 0.90%
Low Duration Fund 1.97%
High Yield Fund 2.91%
Strategic Balanced Fund 0.05%
For the benefit of shareholders of the Municipal Bond Fund, this is to inform
you that 99.00% of the dividends paid by the Fund during its fiscal year qualify
as exempt interest dividends. Shareholders are advised to consult their own tax
advisor with respect to the tax consequences of their investment in the Trust.
In January 2000, you will be advised on IRS Form 1099-DIV as to the federal tax
status of the dividends and distributions received by you in calendar year
1999.
1999 Annual Report 135
<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 $165 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 Holdings L.P., the nation's fourth largest publicly
traded investment management concern with combined assets under management in
excess of $248 billion. Widely recognized for providing consistent performance
and high-quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Oppenheimer Capital/New York, New York
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Units of PIMCO Advisors Holdings L.P. trade on the New York Stock Exchange under
the ticker symbol "PA."
Trustees and Officers
Brent R. Harris Chairman and Trustee
R. Wesley Burns President and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Adviser and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 300
Newport Beach, California 92660
Custodian
Investors Fiduciary Trust Company
801 Pennsylvania
Kansas City, Missouri 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
PIMCO Funds Distributors LLC
2187 Atlantic Street, Stamford, CT 06902
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.
P I M C O
- ---------
FUNDS
840 Newport Center Drive, Suite 300
Newport Beach, CA 92660
800.927.4648
www.pimco.com
<PAGE>
- --------------------------------------------------------------------------------
PIMCO Funds Shareholder Update
and Annual Report
This Update is published twice a year to provide PIMCO Funds shareholders with
general market commentary and fund information. It also includes the financial
report for the PIMCO Funds Pacific Investment Management Series.
[ARTWORK APPEARS HERE]
Before analyzing your PIMCO bond fund portfolio, refresh your knowledge of "Bond
Basics" on page 4.
March 31, 1999
Pacific Investment Management Series
Share Classes
(A) (B) (C)
Emerging Markets
Bond
Foreign Bond
Global Bond II
High Yield
Long-Term U.S.
Government
Low Duration
Money Market
Municipal Bond
Real Return Bond
Short-Term
StocksPLUS
Total Return
Page 3 Morningstar Names Bill Gross and his Management Team
1998 Fixed-Income Manager of the Year
Page 4 Today's Investor
Bond Basics--a Quick Refresher Course for Investors
Page 6 Market Review
Page 7 Manager Spotlight
Q&A with Bill Gross
Page 8 Fund Spotlight
A More Responsible High Yield Investment
Page 9 In the News
Page 10 Service Update
Preparing for the Year 2000
Page 12 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds Pacific Investment Management Series
Annual Report
P I M C O
---------
FUNDS
<PAGE>
Morningstar Names Bill Gross
1998 Fixed-Income Manager of
Bill Gross, Founder and Managing Director of PIMCO and Portfolio Manager of the
PIMCO Total Return and Low Duration Funds, and leader of the team that manages
the PIMCO Short-Term, StocksPLUS, Moderate Duration and Strategic Balanced Funds
has been named 1998 Fixed-Income Manager of the Year by Morningstar.
[PICTURE OF BILL GROSS AND HIS MANAGEMENT TEAM APPEARS HERE]
Bill Gross (seated at left)
2
<PAGE>
and his Management Team the Year
<TABLE>
<CAPTION>
Overall Morningstar Ratings as of 3/31/99 for Bill Gross' Funds
<S> <C> <C> <C>
Fund Name Objective Primary Portfolio Composition Morningstar Rating
PIMCO Total Return Fund Maximum total return Intermediate-term, investment-grade bonds *****
(3-6 year duration)
PIMCO Low Duration Fund Maximum total return Shorter-term, investment-grade bonds *****
(1-3 year duration)
PIMCO Short-Term Fund Maximum current income consistent Money market securities and short-term bonds *****
with preservation of capital and (up to 1 year duration)
daily liquidity
PIMCO StocksPLUS Fund Total return exceeding the S&P 500 stock Index futures backed by a *****
S&P 500 index portfolio of short-term, fixed-income
securities
</TABLE>
Established in 1987, the Morningstar Fund Manager of the Year Award
recognizes portfolio managers who demonstrate excellent investment skill,
the courage to differ from consensus, and the commitment to share-holders
necessary to deliver outstanding long-term performance. The award is
bestowed on fund managers in only three categories: Domestic Equity, Fixed-
Income, and International.
Morningstar (1/99) lauded Bill Gross for distinguishing PIMCO "by building a
fixed-income management process that blends discipline and flexibility."
Morningstar explained that PIMCO's investment committee, led by Bill Gross,
was able to aggressively take advantage of declining interest rates but was
also able to shelter shareholders from losses by taking a more defensive
position when needed.
Two of the PIMCO Funds managed by Bill were highlighted by Morningstar--
PIMCO Total Return Fund, which has ranked in the top half of its category
for 11 consecutive years, and PIMCO Low Duration Fund, which has also been a
strong performer.
Morningstar (1/99) commended Gross for his acumen and independence: "Making
small, selective plays on undervalued sectors, such as foreign bonds, high-
yield and adjustable rate mortgages, PIMCO has gained an edge with its
flexibility. In contrast, many bond managers either limit returns by
sticking with overly narrow segments of the market or take on excessive risk
by loading up on lower-quality issues such as high-yield bonds."
Past performance is not indicative of future results.
PIMCO StocksPLUS Fund rated among 2,947 domestic equity funds. PIMCO Total
Return, Low Duration and Short-Term Funds rated among 1,521 taxable bond
funds. See page 9 for more details.
Morningstar rankings for the PIMCO Total Return Fund are based on the funds
in the Morningstar Intermediate-Term Bond category. It reflects funds
tracked by Morningstar that invest in intermediate-term bonds. It does not
take into account sales charges and is based on total return. Total Return
Institutional was ranked 14/522, 7/251 and 1/87 for the 1-, 5- and 10-year
periods ended 3/31/99, respectively. Class A shares were ranked 20/522 for
the 1-year period ended 3/31/99. Since Class A shares were first offered in
January 1997, they have not yet been ranked for longer periods.
3
<PAGE>
Today's
Investor
The Bond Market
Bond Basics--a Quick Refresher Course for Investors
Sometimes it may seem as if bonds inhabit a parallel universe, where good
economic news is bad news, where prices go up and yields go down, interest rates
rise and prices fall. But it's not as confusing as you might think. Once you
brush up on a few facts, you'll find the strange world of bonds actually starts
to make sense.
[GRAPHIC APPEARS HERE]
Here's a brief review of some of the basics so you'll be better informed about
your investments. Given the volatility of today's stock market, this just might
be the right time to take a fresh look at how bonds fit into your portfolio mix.
An IOU with interest
When a bond issuer borrows your money, it undertakes to pay you interest,
usually at specific intervals, and then to repay the original sum after a
predetermined period of time. In bond-lingo, the value of your bond as
originally issued is its principal, face value or par value. The interest you
receive is called the coupon or coupon rate, and the date on which a bond is
payable is called its maturity.
Never take a bond at face value
Face value and price are not necessarily the same. While face value won't vary,
a bond's price will change as general interest rates go up or down. Here's why:
Say you buy a $10,000 bond paying 5% interest with a maturity of 20 years. Five
years later, you decide to sell the bond, but now the interest rate for new
bonds is 7%. A bond paying 5% will be a hard sell when bonds paying 7% are
easily available. To sell your bond, you'll have to discount its asking price to
below face value. If, instead, interest rates have fallen when you decide to
sell, say to 3%, your 5% bond will look pretty good. You'll be able to sell it
at a premium (for more than its face value).
Interest rates and bond prices move in opposite directions
When interest rates fall, bond prices rise, and vice versa.
[GRAPHIC OF INTEREST RATES AND BOND PRICES APPEARS HERE]
Yield, coupon rate and price
Yield, it's important to remember, is not the same as coupon rate, unless the
price you paid for a bond is the same as its face value. Yield, or current
yield, is the return you actually earn, based on the price you paid and the
interest rate you receive. Unlike the coupon rate, yield fluctuates with a
bond's price. As the price falls, the yield rises, and vice versa.
How to calculate current yield
To figure out your bond's current yield, simply divide its coupon rate by its
price:
Coupon Rate / Purchase price = Current Yield
8% / $1,000 = 8%
8% / $ 500 = 16%
A bond's yield to maturity, however, is often considered a truer gauge of its
value. It tells you the entire return you'll receive if you keep your bond until
maturity, including all interest payments and any principal gains or losses.
Where bonds come from
Bonds are issued by a variety of institutions to raise capital for specific
undertakings. The federal government sells bonds through the Treasury to finance
national debt. Some U.S. government agencies sell bonds, such as the
mortgage-backed bonds issued by the Government National Mortgage Association
(Ginnie Mae) and the Federal National Mortgage Association (Fannie Mae). State
and municipal governments issue bonds (munis) to finance public projects, and
corporations sell them to pay for long-term enterprises, such as building
offices or buying equipment. Investors can also purchase bonds issued by foreign
governments and corporations.
How creditworthy is it?
A bond's quality, or credit risk, depends on who issues it and how likely they
will be to make interest payments and, ultimately, to repay the debt. U.S.
Treasury bonds are considered the highest quality--free of credit or default
risk--because they are backed by the "full faith and credit" of the U.S.
government. At the other end of the spectrum are high yield corporate bonds, so
4
<PAGE>
called because they offer higher returns to compensate investors for the greater
risks they entail. They are often called "junk bonds" because their issuers lack
long track records or have uncertain credit strength.
Most corporate bonds are rated on the basis of their credit risk by independent
bond rating agencies, such as Moody's and Standard & Poor's. The lower the
rating, the more risk and, generally speaking, the higher the return potential.
Bond credit ratings
Moody's Standard & Poor's
Rating Rating
Investment Grade Bonds
- --------------------------------------------------------------
Highest quality Aaa AAA
High quality Aa AA
Good quality A A
Medium quality Baa BBB
High Yield Bonds
- --------------------------------------------------------------
Less speculative Ba BB
Speculative B B
More speculative Caa CCC
Highly speculative Ca CC
In default - D
Not rated N N
Risk and maturity
Bonds are also classified by their maturities. Short-term bonds mature in less
than three years, long-term bonds in more than 10 years, and intermediate-term
bonds somewhere in between. In general, the longer the maturity, the greater the
risk, and the higher the coupon rate. We've already seen that longer maturities
increase interest rate risk. Another risk that increases over time is call risk.
Some bonds may be called by their issuer, i.e. redeemed before they mature. This
can happen when interest rates fall below the coupon rate. If a bond is called,
bond holders have to reinvest their money in a lower interest rate environment,
therefore reducing yield. Prepayment risk is similar, but relates to
mortgage-backed bonds such as Fannie Maes. As interest rates fall, many
homeowners will refinance and pay their mortgages off, which means the bonds
backing those mortgages will be paid off before maturity.
Longer-term bonds are also subject to inflation risk. Inflation is often the
result of a hyperactive economy, and can lead, in turn, to higher interest
rates. Because rising interest rates depress bond prices, the bond markets tend
to react negatively to news of a booming economy. That's why good news can be
bad news in the world of bonds.
Maturity is one way to assess a bond's price sensitivity to interest rate
changes. But maturity only measures time. Duration is considered by many to be a
more accurate tool for managing interest rate risk because it incorporates
yield, interest payments, final maturity and call features into one measurement.
Like maturity, duration is stated in terms of years. So if you're investing for
a specific purpose, you should look for a bond investment with a duration that
matches your time horizon. To find out your bond investment's duration, simply
consult your financial advisor.
Bonds or bond mutual funds?
Investing in a bond mutual fund rather than directly in bonds can help reduce
exposure to many of these risks. A bond fund offers instant diversification
which lessens the risks associated with holding a single investment. Bond funds
also offer the benefit of active, professional investment management and the
lower trading costs fund managers can often negotiate. Finally, shares in a bond
fund are simpler to buy and sell than individual bonds, and performance can be
easily tracked.
Don't forget total return
When assessing the value of your investment, whether an individual bond or a
bond mutual fund, make sure to consider total return. Total return is a more
accurate measure of value because it comprises both yield and capital
appreciation. By seeking income alone, you may limit your return potential and
even increase risk.
All of these factors will help you evaluate a bond investment and the degree to
which it fits with your financial objectives and your tolerance for risk. Bond
investments have an important role to play in a well-diversified portfolio. Your
financial advisor can help you determine which ones advance your financial goals
best.
Duration, interest rates and price
Duration represents the approximate percentage change in a bond's price for a
100-basis point (1%) change in interest rates.
If a bond has a duration of 6 years
Interest rates drop 1% value rises 6%
Interest rates rise 1% value drops 6%
5
<PAGE>
Market
Review
Bond Market
Real Rates Remain High
In our last annual report we projected that inflation would remain low and that
the real rate of return on bonds would remain high. Inflation over the past six
months has remained low. Even though bond prices fell over the past six months,
they remain a relatively attractive opportunity given the low inflation
scenario.
Last summer's flight to quality, started by Russia's collapse, reversed course
towards the end of the year as hopes for stability returned to the global
financial markets. In particular, Treasury securities lost appeal as a safe
haven as investors returned to other sectors of the bond market and to the stock
market. Brazil's surprise devaluation did not prompt the same flight to quality
that the market had previously experienced.
At the beginning of this year, stronger than expected economic growth and
concern that the Federal Reserve might reverse policy sent bond prices lower
again, as investors feared that higher inflation was on the horizon. While
Treasuries lagged, other sectors of the bond market outperformed. Investment
grade corporate and high yield bonds did better on hopes that domestic economic
strength would continue, and municipal bonds rose as investors took advantage of
their relatively attractive yields. Looking ahead, we see the current U.S.
economic expansion continuing, but at a slower rate as consumer spending
retreats from its currently unsustainable pace. The Federal Reserve will likely
maintain a neutral stance in the face of a moderating economy, subdued
inflation, and relatively calm global financial markets.
In this environment, the bond market is likely to remain stable, with interest
rates moving within a relatively tight range. Short-term, bond yields could move
to the lower end of this range as the bond market anticipates a slower economy.
Long-term, with the bull market for bonds relatively over, lower interest rate
volatility will make securities that provide incremental yield attractive to
bond investors.
A round trip for long-term interest rate
[GRAPH APPERARS HERE]
Source: Bloomberg
30-Year U.S. Treasury Rates (%)
-------------------------------
03/06/1998 6.02
03/13/1998 5.89
03/20/1998 5.89
03/27/1998 5.96
04/03/1998 5.80
04/10/1998 5.88
04/17/1998 5.88
04/24/1998 5.95
05/01/1998 5.93
05/08/1998 5.98
05/15/1998 5.97
05/22/1998 5.90
05/29/1998 5.80
06/05/1998 5.79
06/12/1998 5.66
06/19/1998 5.67
06/26/1998 5.63
07/03/1998 5.60
07/10/1998 5.63
07/17/1998 5.75
07/24/1998 5.69
07/31/1998 5.71
08/07/1998 5.63
08/14/1998 5.54
08/21/1998 5.43
08/28/1998 5.34
09/04/1998 5.29
09/11/1998 5.23
09/18/1998 5.15
09/25/1998 5.11
10/02/1998 4.84
10/09/1998 5.11
10/16/1998 4.98
10/23/1998 5.18
10/30/1998 5.16
11/06/1998 5.39
11/13/1998 5.25
11/20/1998 5.22
11/27/1998 5.16
12/04/1998 5.04
12/11/1998 5.02
12/18/1998 5.00
12/25/1998 5.22
01/01/1999 5.09
01/08/1999 5.27
01/15/1999 5.11
01/22/1999 5.08
01/29/1999 5.09
02/05/1999 5.35
02/12/1999 5.42
02/19/1999 5.39
02/26/1999 5.57
03/05/1999 5.59
03/12/1999 5.52
03/19/1999 5.56
03/26/1999 5.60
04/01/1999 5.59
Source: Bloomberg
Stock Market
The Bull Keeps Charging
The stock market has had a strong year, in spite of the fact that it hit a speed
bump in the third quarter of 1998. Interest rate cuts and a strong economy
ensured that the market continued to rise after this setback, with the Dow
reaching the historic 10,000 mark in the first quarter of 1999. For the year
ended March 31, 1999, the stock market, as measured by the S&P 500 Index, gained
18.5%.
However, these gains were not felt by all of the market. In fact, the market
this year was characterized by narrowness, as only the largest of the large-cap
growth stocks saw strong performance. In fact, the disparity in performance
between large-cap growth-oriented stocks and small-cap value-oriented stocks has
never been greater in the more than 20 years that Morningstar has tracked such
data.
The market was led in large part this year by technology issues. Despite
concerns about overvaluation, technology stocks--and especially Internet
stocks--continued their ascent to new highs. Many technology companies have been
expanding quickly and, in recent years, have offered investors enormous growth
opportunities, which explains their continued popularity. Positive earnings
outlooks and an increased need for technology have also fueled these advances.
Conversely, relatively undervalued issues--known as "value stocks" as well as
small-cap issues, did not partake in the stock market's record rise this year.
Investors ignored dividends in their quest for greater growth, and value stocks
suffered as a result. In addition, investors favored more liquid,
large-capitalization stocks, avoiding smaller, less liquid issues.
Looking ahead, we continue to be cautiously optimistic about the stock market.
While we believe there is a strong possibility of an earnings slow-down in the
coming year, we believe it will not push the market into negative territory but
only temper it. In such an atmosphere, stock selection will be of utmost
importance, and we believe that many attractive opportunities still exist.
The stock market rises to new highs.
[GRAPH APPEARS HERE]
S & P 500 Index
---------------
03/06/1998 1,056
03/13/1998 1,069
03/20/1998 1,099
03/27/1998 1,095
04/03/1998 1,123
04/10/1998 1,111
04/17/1998 1,123
04/24/1998 1,108
05/01/1998 1,121
05/08/1998 1,108
05/15/1998 1,109
05/22/1998 1,110
05/29/1998 1,091
06/05/1998 1,114
06/12/1998 1,099
06/19/1998 1,101
06/26/1998 1,133
07/03/1998 1,146
07/10/1998 1,164
07/17/1998 1,187
07/24/1998 1,141
07/31/1998 1,121
08/07/1998 1,089
08/14/1998 1,063
08/21/1998 1,081
08/28/1998 1,027
09/04/1998 974
09/11/1998 1,010
09/18/1998 1,020
09/25/1998 1,045
10/02/1998 1,003
10/09/1998 984
10/16/1998 1,056
10/23/1998 1,071
10/30/1998 1,099
11/06/1998 1,141
11/13/1998 1,126
11/20/1998 1,164
11/27/1998 1,192
12/04/1998 1,177
12/11/1998 1,166
12/18/1998 1,188
12/25/1998 1,226
01/01/1999 1,229
01/08/1999 1,275
01/15/1999 1,243
01/22/1999 1,225
01/29/1999 1,280
02/05/1999 1,239
02/12/1999 1,230
02/19/1999 1,239
02/26/1999 1,238
03/05/1999 1,275
03/12/1999 1,295
03/19/1999 1,299
03/26/1999 1,283
04/01/1999 1,294
Source: Bloomberg
6
<PAGE>
Managing Director and Portfolio Manager
Q&A with Bill Gross
Bill Gross is a Managing Director and one of the founders of PIMCO. He is also
the portfolio manager of the PIMCO Total Return and Low Duration Funds, and is
leader of the team that manages the Short-Term, StocksPLUS, Moderate Duration
and Strategic Balanced Funds. Mr. Gross' views on the financial markets are
regularly featured in The Wall Street Journal, Barron's, Money magazine and The
New York Times. We recently spoke with him regarding his latest outlook for the
economy and the bond market.
Q: The bond market backed up in the first quarter of 1999. What happened?
A: Interest rates rose across all maturities as evidence of U.S. economic
strength heightened concern that the Federal Reserve would raise interest rates
to forestall a resurgence in inflation. Investors reacted to surprisingly strong
economic news, including robust consumer spending and housing activity. Federal
Reserve Chairman Alan Greenspan added to the concern when he spoke of the need
to evaluate whether last year's three interest rate cuts remain "appropriate" in
light of the economy's performance.
In addition, the turmoil in Brazil, caused by their surprise decision to devalue
their currency in January, did not generate the same flight to quality rally
that the Treasury market experienced last summer when Russia collapsed. In fact,
since the end of September, other segments of the bond market, like municipals
and corporates, have done better than Treasuries as yield spreads began to
shrink back to historical norms.
[PICTURE APPEARS HERE]
Q: Is the bull market for bonds over?
A: Yes, I think the end of the historic 18-year bull run ended when long-term
Treasuries fell to 43/4% last fall. I don't see us entering a new bull market
phase anytime soon, although in the near-term yields could decline a bit as the
bond market anticipates a slower economy.
Q: Do you think the economy will remain strong in 1999?
A: I expect the current U.S. expansion to continue, albeit at a more moderate
pace than in the fourth quarter of 1998 or the past year as a whole. Consumer
and investment spending will remain positive for the economy, though growth of
each will slow from current high levels. Consumers, confident in the face of low
unemployment and stock market gains, have recently dipped into savings to
finance purchases. We believe this trend is not sustainable and that consumption
will slow as savings return to more normal levels. Investment spending will grow
at a slower pace because capacity utilization remains relatively low and
provides less incentive to make investments.
Q: What is your outlook for inflation?
A: Last year I was quite concerned about the risk of deflation, or falling
prices, here in the U.S. Although I think the risks of a dangerous deflationary
spiral in the U.S. have subsided, many parts of the world, including Japan, are
still fighting its effects on their economies. Going forward, there is nothing
on the horizon that suggests rising prices anytime soon.
Q: Given your economic outlook, what will happen to interest rates?
A: The Federal Reserve will likely maintain a neutral stance in the face of
moderate growth, subdued inflation, and relatively calm global financial
markets. I think, given these circumstances, we may be entering a period where
interest rates remain stable and range-bound. In this environment interest rate
volatility will decline.
Q: Given this outlook, where do you see opportunities over the next six months?
A: Looking ahead, strategies and securities that provide incremental yield will
be very important to portfolio performance. Therefore, we will target duration
near the benchmark and focus on adding value by maximizing yield without adding
significant risk. We will continue to own mo rtgages as one prudent way of doing
this.
Past performance is no guarantee of future results. The views of Mr. Gross are
not indicative of the past or future performance of any PIMCO Fund.
7
<PAGE>
PIMCO High Yield Fund
A More Responsible High Yield Investment
At first glance, "responsible" and "high yield" may seem to be a contradiction
in terms. After all, high yield is synonymous with greater risk. However, there
is a high yield option that can offer the higher return potential you'd expect
from such an investment with less risk exposure--PIMCO High Yield Fund.
High yield performance
The Fund's 1998 performance confirmed that it's different from most competitive
funds. It returned +6.1% in contrast to the Lipper High Yield Fund Average,
which lost 0.4%. Nearly half of the 246 high yield funds tracked by Lipper
posted negative returns.
High Yield Fund's long-term record is equally strong. Since inception, the
Fund's Class A average annual return is 11.3%, exceeding the overall high yield
market (as measured by the Lehman Intermediate BB-rated Corporate Index). It has
also outperformed its peers over the 1-, 3-, 5- year and since inception periods
ended March 31, 1999. All of this has earned the Fund Morningstar's overall 5H
rating as of March 31, 1999 among 1,521 taxable bond funds. (See page 9 for more
details.)
[LOGO APPEARS HERE]
Less relative risk
The Fund has produced these impressive returns with less relative risk than many
other high yield funds. In fact, for the 5-year period ended March 31, 1999,
PIMCO High Yield Fund has the second lowest risk rating and the second highest
return rating among 96 similar funds tracked by Morningstar. (See page 27 for
more details.) Notably, since the Fund's inception, it has only had one of its
holdings default, compared to 198 defaults for the overall high yield market.
A proven investment process
The key to PIMCO High Yield Fund's outstanding performance record and relatively
lower risk has been its strict adherence to these principles:
. Focus on higher quality--PIMCO High Yield Fund attempts to control risk by
targeting the upper- and middle-tier credit qualities of the high yield market,
rather than the most speculative lower-tier.
. Diversification--The Fund further reduces risk by investing in a wide variety
of industries and issues. PIMCO's expertise across all sectors of the bond
market allows the Fund to invest in mortgage and international issues which are
not usually considered for high yield investments.
. Extensive research--The Fund manager and his research team conduct exhaustive
credit research, relying heavily on independent analysis, not just on rating
agencies.
. Total return philosophy--The Fund's emphasis on total return (income plus
capital appreciation) distinguishes it from its high yield peers, which tend to
concentrate on income alone. Capital appreciation has made up 18% of the Fund's
total return since inception.
Fixed-income expertise
The Fund is managed by Ben Trosky. Mr. Trosky is a PIMCO Managing Director and a
Chartered Financial Analyst with 18 years of investment experience.
By investing in PIMCO High Yield Fund rather than directly in bonds, you can
secure the benefits of high yield bonds with less relative risk. But all high
yield investments carry more credit risk than investment-grade bonds, so it's
important to view this Fund as a longer-term investment.
To learn more about PIMCO High Yield Fund, contact your financial advisor. Or
call 1-800-426-0107.
Attractive Risk/Reward Tradeoff
PIMCO High Yield Fund versus competitive funds average (3/94-3/99)
Past performance is no guarantee of future results. Results for other periods
may vary. "Competitive funds" are all high yield funds tracked by Morningstar.
Plot points represent Morningstar risk and return ratings for all high yield
funds (distinct portfolios only) tracked by Morningstar for the 5-year period
ended 3/31/99. See page 27 for footnotes, which contain additional information.
8
<PAGE>
Recent News on PIMCO Funds
The PIMCO Funds and their institutional portfolio managers are regularly
featured in the press. Here is a sample of some recent articles:
. The Baron of Bonds Bill Gross made the cover of the Barron's (2/8/99) Mutual
Fund Section where he was referred to as the "Baron of Bonds" and was described
as a "fixed income phenomenon" in recognition of his management of PIMCO Total
Return, Low Duration, Short-Term and StocksPLUS Funds.
In addition, The Wall Street Journal (2/9/99) described Bill Gross as "a rare
bond-fund star. He has consistently bet the right direction of interest rates in
recent years, leading to outperformance by his big PIMCO bond funds."
. PIMCO StocksPLUS Fund Makes Money The March issue of Money did a story on
enhanced index funds, citing PIMCO StocksPLUS as "having delivered, beating the
S&P 500 by an annual average of 0.8 percentage points over the past five years."
. The Risk Reward Continuum In a Los Angeles Times (1/26/99)story on the junk
bond market, PIMCO High Yield made the paper's short list of high yield bond
funds exhibiting a combination of high return and low risk based on their
screening parameters. The paper praised the Fund's manager, "Despite Ben
Trosky's play-it-safe approach--recently, 50% of the fund was in BB-rated debt
and 10% was in investment-grade bonds--this fund still beat more than 97% of
it's peers in 1998."
. Investment News Interviews Ken Corba Investment News (3/1/99) spoke with Ken
Corba, portfolio manager of PIMCO Growth and Target Funds, about his outlook for
growth stocks and his investment philosophy. In this informative Q&A, Ken
describes his "pure" growth stock picking process and talks about his proven
ability to produce high returns with low turnover.
Morningstar Inc., an independent organization, provides investors with
information regarding a wide range of investment products. One service offered
by Morningstar is assigning star ratings to the mutual funds it tracks. Funds
begin to be rated once they have a three-year record. The highest Morningstar
rating is five-stars, and the lowest rating is one-star. Following are the PIMCO
Fund family's five- and four-star rated Funds as of March 31, 1999.
- --------------------------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------------------------
StocksPLUS ***** 5 5 -
Innovation ***** 5 - -
Capital Appreciation **** 4 4 -
Growth **** 4 4 4
Renaissance **** 4 4 3
- --------------------------------------------------------------------------------
PIMCO BOND FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------------------------
Short-Term ***** 5 5 4
Low Duration ***** 5 5 5
Total Return ***** 5 4 5
High Yield ***** 5 5 -
Global Bond II ***** 5 - -
Foreign Bond ***** 5 5 -
The chart above is based on March 31, 1999 Morningstar ratings. Overall rating
is a weighted average of a fund's 3-, 5- and 10-year ratings (when applicable).
During the 3-, 5- and 10-year periods there were 2,947, 1,810 and 743 domestic
equity funds and 1,521, 1,048 and 371 taxable bond funds rated, respectively.
Morningstar proprietary ratings reflect historical risk-adjusted performance and
are subject to monthly changes. Therefore, past ratings are not a guarantee of
future results. Overall ratings are calculated from a fund's 3-, 5- and 10-year
(if applicable) average annual total returns in excess of 90-day Treasury bill
returns with appropriate fee adjustments and a risk factor that reflects fund
performance below 90-day T-bill returns. With the exception of Growth,
Renaissance, Innovation and Global Bond II, ratings are based on institutional
class shares. Class A, B and C shares, which were initially offered on 1/17/97,
have not yet been rated by Morningstar. Had Class A, B and C shares been in
existence for the same time period as the institutional class shares, they may
have received different ratings due to Class A, B and C shares' higher expenses
and sales charges. Growth, Renaissance and Global Bond II ratings are based on
Class C shares. Innovation rating based on Class A shares. Other ratings may
vary. 5-star ratings are limited to the top 10% of funds in an investment
category; the next 22.5% earn 4 stars, and the next 35% earn 3 stars.
Institutional class shares generally have a $5 million minimum investment. Under
special circumstances, institutional shares may be available. Call for details.
9
<PAGE>
Introducing: PIMCO Tax-Efficient Equity Fund
For the past several years, the press has trumpeted the positive aspects of
index funds. However, index funds lack active management, which can have
negative implications. PIMCO Tax-Efficient Equity Fund offers investors the
opportunity to invest in an enhanced index fund with an important plus: active
tax management.
Seeking to Outperform the Index
The Fund is managed by Dr. David Stein, a Ph.D. from Harvard in Applied
Mathematics. In an attempt to closely track the movement of the S&P 500 Index,
Dr. Stein employs his proprietary quantitative stock selection model--the same
model the manager uses to privately manage portfolios for endowments, trusts and
high net worth individuals. He also employs a number of enhanced tax management
techniques, such as tax-lot accounting , tax-loss matching and harvesting, and
low turnover.
The Added Benefit of Tax Efficiency
It's easy to lose sight of investment taxes in a land of high annual returns.
But if the stock market slows down in 1999, as some experts predict, after-tax
performance could become a major issue--and a sore spot for investors.
As its name implies, PIMCO Tax-Efficient Equity Fund is a tax-sensitive fund.
Every portfolio transaction is closely analyzed with an eye toward minimizing
taxes. The Fund uses a variety of techniques to achieve this goal.
. Low Turnover The manager seeks to hold securities for 5-10 years. This leads
to extremely low portfolio turnover and deferred capital gains.
. Low-Dividend Bias The manager favors low-dividend paying stocks and stocks
that do not pay any dividends.
. Tax-Loss Matching and Harvesting The manager attempts to match realized losses
with gains to effectively negate tax consequences. When practical, an
"inventory" of losses is maintained to offset gains in the portfolio.
For additional information on PIMCO Tax-Efficient Equity Fund, please contact
your financial advisor or call us at 1-800-426-0107.
Preparing for the Year 2000
There has been much written about the potential pitfalls associated with the
Year 2000--or Y2K. We would like to take this opportunity to provide you with an
update on how PIMCO Funds Distributors is addressing this issue.
The firm is implementing its Year 2000 preparedness plan. This plan has been
reviewed and approved by upper management and the firm's management board. The
plan includes awareness, inventory, assessment, implementation, testing and
contingency planning. This includes a compliance review of the Y2K preparedness
of all our major external business partners. Based on our review and analysis of
the situation, we believe we have allocated necessary staffing and funding for
the project.
We expect all our internal systems to be tested in advance of the Year 2000.
Portfolio Implications
Investment analysts and portfolio managers are aware of the Year 2000 risk.
Due to the pervasive and world-wide nature of the Year 2000 problem, PIMCO
cannot guarantee that its operations will be unaffected by Y2K or that no losses
will be incurred by clients. However, PIMCO believes that its Year 2000 efforts
are reasonably designed to meet these goals.
If you have any questions regarding our Year 2000 preparedness, please write to
us at PIMCO Advisors Y2K Project Office, 800 Newport Center Drive, Newport
Beach, CA 92660.
This is a Year 2000 readiness disclosure.
10
<PAGE>
What's new @ www.pimcofunds.com
Access Your PIMCO Funds Account On-line
If you've visited the PIMCO Funds Web site, you know that we provide "one-stop"
access to the most timely and complete information available on all of the PIMCO
Funds.
[GRAPHIC APPEARS HERE]
Once you've received your Personal Identification Number (PIN), you can access
your account--simply, securely, whenever you want.
There's always room for improvement, however, and so we are pleased to
announce an enhancement to the site that will make it even more useful.
Now, access your account--securely--on-line. Shareholders with direct accounts
are now able to access their accounts on-line. A direct account is an account
where the shareholder receives statements directly from PIMCO Funds.
To access your account, click on "My PIMCO Funds Account" on the site's Home
page. This link brings you to a page where you will enter your PIN (Personal
Identification Number) and Social Security number.
Your PIMCO Funds Customer Service Representative can provide you with a
temporary PIN over the phone. Call 1-800-426-0107, Mon.-Fri., 8:00am-8:00pm ET.
We know how important your privacy is, so we've employed 128-bit encryption--the
highest level available on the Internet. If your Web browser does not support
this level of encryption, you will get a message indicating your browser needs
to be upgraded.* Simply follow the links provided for information on how to
download a browser that meets our security requirements.
Once you gain access to your account, you'll be able to:
. view your current account balance (both for individual funds and your account
total)
. check recent transactions
. see cumulative distributions for both the current and previous year (such as
dividends and capital gains)
. change your PIN.
Also, remember the site features "My Portfolio," which enables you to track the
market value of your entire investment portfolio--PIMCO Funds as well as other
funds, stocks, futures and options holdings.
If you have any comments or questions about the site, please call us today at
1-800-426-0107. Or use the e-mail feature of the site to contact us.
[GRAPHIC APPEARS HERE]
View your account balance, check recent transactions and see all your
distributions--all on the PIMCO Funds Web site.
*You may also elect to use the system if your browser supports 40-bit
encryption.
11
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages $248 billion, including assets for 46 of the 100 largest U.S.
corporations.
The firm's institutional heritage is reflected in the PIMCO Funds, each seeking
the highest caliber performance in a specific investment style. To learn more
about any of the PIMCO Funds, please call us at 1-800-426-0107.
<TABLE>
<CAPTION>
Fund Name Objective Primary Portfolio Composition
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Growth Growth Long-term growth of capital Stocks of larger-capitalized companies
Stock Funds
Target Capital appreciation Stocks of medium-capitalized companies
Opportunity Capital appreciation Stocks of smaller-capitalized companies
- ------------------------------------------------------------------------------------------------------------------------------------
Blend Capital Appreciation Growth of capital Stocks of larger-capitalized companies the
Stock Funds manager believes are reasonably priced
Mid-Cap Growth Growth of capital Stocks of medium-capitalized companies the
manager believes are reasonably priced
- ------------------------------------------------------------------------------------------------------------------------------------
Value Equity Income Current income and long-term growth Stocks of companies with below-average P/Es
Stock Funds and above-average dividends
Renaissance Long-term growth of capital and income Stocks with below-average valuations
Value Long-term growth of capital and income Stocks of companies with below-average P/Es
Value 25 Long-term growth of capital and income Stocks of medium-capitalized companies with
below-average P/Es
Small-Cap Value Growth of capital and income Stocks of smaller-capitalized companies
with below-average P/Es
- ------------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax growth of capital Stocks of larger-capitalized companies
Stock Funds
StocksPLUS Total return exceeding the S&P 500 S&P 500 stock index futures backed by a
Index portfolio of short-term, fixed-income
securities
- ------------------------------------------------------------------------------------------------------------------------------------
International International Capital appreciation Stocks of non-U.S. companies in developed
Stock Funds and emerging markets
- ------------------------------------------------------------------------------------------------------------------------------------
Sector Related Innovation Capital appreciation Stocks of technology-related companies
Stock Funds
Precious Metals Capital appreciation Stocks of precious metals-related companies
- ------------------------------------------------------------------------------------------------------------------------------------
Short Duration Money Market Maximum current income, consistent with Money market securities (Less than or equal
Bond Funds to 90 days)
preservation of capital and daily
liquidity
Short-Term Maximum current income consistent with Money market securities and short-term
preservation of capital and daily bonds (up to 1 year duration)
liquidity
Low Duration Maximum total return Shorter-term, investment-grade bonds
(1-3 year duration)
- ------------------------------------------------------------------------------------------------------------------------------------
Intermediate Total Return Maximum total return Intermediate-term, investment-grade bond
Duration (3-6 year duration)
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Long Duration Long-Term U.S. Government Maximum total return Long-term U.S. government bonds (8+ year
Bond Funds duration)
- ------------------------------------------------------------------------------------------------------------------------------------
International Global Bond II Maximum total return Investment-grade U.S. and foreign bonds (3-7
Bond Funds year duration)
Foreign Bond Maximum total return Investment-grade foreign bonds (3-7 year
duration)
Emerging Markets Bond Maximum total return Emerging market bonds (0-8 year duration)
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield High Yield Maximum total return High-yield bonds (2-6 year duration)
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Municipal Bond High current income exempt from Investment-grade municipal bonds (3-10
Bond Funds federal taxes, year duration)
preservation of capital
- ------------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum total return Inflation-adjusted government bonds
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Stock and Bond Balanced Maximum total return Stocks, bonds and money market instruments
Funds
90/10 Portfolio Long-term capital appreciation 90% in PIMCO Stock Funds and 10% in
PIMCO Bond Funds
60/40 Portfolio Long-term capital appreciation and 60% in PIMCO Stock Funds and 40% in PIMCO
current income Bond Funds
30/70 Portfolio Current income, with long-term capital 30% in PIMCO Stock Funds and 70% in PIMCO
appreciation as a secondary objective Bond Funds
</TABLE>
For more information on the risks associated with these Funds, see page 27.
12
<PAGE>
PIMCO Funds Annual Report
Dear Fellow Shareholder:
The past 12 months have been an eventful time. While domestic political tensions
have slowly diffused, on the international front the U.S. embarked with its NATO
allies on a difficult military mission in the Balkans. So far that situation has
had little impact on the markets, but all eyes are upon it.
Meanwhile, the U.S. economy has continued to expand while inflation has remained
exceptionally low. Against this backdrop, both stocks and bonds have done well.
The stock market maintained its upward momentum, even after the volatile third
quarter of 1998, with most of the major indices heading into record territory by
the end of the first quarter of this year. 1998 saw the U.S. bond markets
flourish, hitting record levels of activity in the primary markets.
On a more microcosmic level, the past 12 months have been eventful at PIMCO
Funds too. The Funds in our Pacific Investment Management Series have continued
to excel, with relative strong performance experienced in all of our domestic
and foreign portfolios. The year culminated with the news that Morningstar had
named Bill Gross and his team Fixed Income Manager of the Year. Another
milestone followed when Total Return Fund (managed by Mr. Gross) topped the $25
billion mark, making it the largest bond fund in the world, and the only bond
fund on the select list of the 25 biggest mutual funds in America (Source:
Bloomberg).
As we move toward the new millennium, we will of course continue to work hard to
help you meet your financial objectives. As viable new opportunities arise, we
will be expanding our fund family to offer you additional investment options
managed by PIMCO's institutional-quality investment professionals. In the coming
year, we expect to introduce two new funds to our offerings: Strategic Balanced
Fund and Convertible Bond Fund.
Within this Annual, you'll find detailed fund information and financial
highlights. As always, we appreciate the trust you have placed in us through
your investments. If you have any questions regarding your investment, contact
your financial advisor, or call us at 1-800-426-0107. Or visit our Web site at
www.pimcofunds.com.
Sincerely,
Brent R. Harris
Chairman of the Board
/s/ Brent R. Harris
13
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of the PIMCO Funds: Pacific
Investment Management Series Funds as of March 31, 1999. In order to help
analyze, compare and contrast the Funds, the report is broken down into a number
of sections. Listed below is a table of contents and descriptions of the various
sections.
Page 15-27 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Page 28-79 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of March 31, 1999, including the number of shares or principal
amount and value as of that date.
Schedule of
Fund Name Fund Summary Investments
Emerging Markets Bond Fund Page 15 Page 28
Foreign Bond Fund Page 16 Page 30
Global Bond Fund II Page 17 Page 34
High Yield Fund Page 18 Page 37
Long-Term U.S. Government Fund Page 19 Page 42
Low Duration Fund Page 20 Page 45
Money Market Fund Page 21 Page 51
Municipal Bond Fund Page 22 Page 52
Real Return Bond Fund Page 23 Page 55
Short-Term Fund Page 24 Page 57
StocksPLUS Fund Page 25 Page 59
Total Return Fund Page 26 Page 62
Page 80-85 Financial Highlights
This chart shows a per share breakdown of the factors that affect a Fund's NAV
for the current and past reporting periods. In addition to showing total
returns, the chart reports distributions, asset sizes, expense ratios and
portfolio turnover rates.
Page 86-87 Statements of Assets and Liabilities
A "balance sheet" of a Fund as of the last day of the fiscal period. It includes
the Fund's class-level NAVs per share by dividing the Fund's class-level net
assets (assets minus liabilities) by the number of class-level shares
outstanding.
Page 88-89 Statements of Operations
This statement lists a Fund's income, expenses, and gains and losses on
securities and currency transactions, and appreciation or depreciation from
portfolio holdings.
Page 90-92 Statements of Changes in Net Assets
This reports the increase or decrease in a Fund's net assets during the
reporting period. Changes in net assets are due to a variety of factors,
including investment operations, dividends, distributions and capital share
transactions.
Page 93 Statement of Cash Flows
For certain Funds that employ leveraging in the investment strategy, this
reports the increase or decrease in a Fund's cash balance during the reporting
period. Changes in cash balances are due to a variety of factors, including
investment operations, dividends, distributions and capital share transactions.
Page 94-100 Notes to Financial Statements
A description of the significant accounting policies of the Funds, and more
detailed information about the schedules and tables that appear in the report.
14
<PAGE>
PIMCO Emerging Markets Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily emerging market bonds.
DURATION RANGE:
0-8 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$5 million
PORTFOLIO MANAGER:
Michael Rosborough
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper J.P. Morgan
Emerg. Mkts. Emerg. Mkts.
Adjusted Adjusted Adjusted Debt Fund Avg. Index
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year -12.9% -16.8% -13.6% -17.5% -14.4% -21.0% -14.5%
Inception -6.4% -9.0% -7.1% -9.1% -7.1% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO J.P. Morgan
MONTH Emerging Emerging Emerging Emerging Markets
Markets A Markets B Markets C Index
<S> <C> <C> <C> <C>
07/31/97 9,550 10,000 10,000 10,000
08/31/97 9,434 9,870 9,872 9,960
09/30/97 9,693 10,134 10,135 10,264
10/31/97 8,587 8,970 8,971 9,082
11/30/97 9,038 9,436 9,437 9,513
12/31/97 9,266 9,668 9,669 9,841
01/31/98 9,277 9,673 9,674 9,822
02/28/98 9,538 9,940 9,941 10,103
03/31/98 9,822 10,228 10,229 10,354
04/30/98 9,844 10,245 10,245 10,379
05/31/98 9,524 9,905 9,905 10,025
06/30/98 9,209 9,571 9,571 9,735
07/31/98 9,347 9,706 9,706 9,802
08/31/98 6,741 6,994 6,994 6,985
09/30/98 7,263 7,531 7,532 7,668
10/31/98 7,641 7,916 7,919 8,165
11/30/98 8,250 8,542 8,544 8,645
12/31/98 8,147 8,430 8,432 8,429
01/31/99 7,862 8,130 8,133 8,117
02/28/99 8,016 8,285 8,288 8,233
03/31/99 8,556 8,538 8,840 8,857
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. These risks can be enhanced when investing in emerging
markets. See page 27 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------
1 year or less 13%
- ------------------------------------
1-5 years 22%
- ------------------------------------
5-10 years 24%
- ------------------------------------
10-20 years 27%
- ------------------------------------
20-30 years 14%
- ------------------------------------
Duration 5.0 years
- ------------------------------------
Top 10 Countries
- ------------------------------------
Argentina 19.1%
- ------------------------------------
Mexico 18.4%
- ------------------------------------
Brazil 14.4%
- ------------------------------------
South Korea 10.3%
- ------------------------------------
United States 6.0%
- ------------------------------------
Venezuela 5.8%
- ------------------------------------
Poland 4.3%
- ------------------------------------
Philippines 4.2%
- ------------------------------------
Uruguay 3.6%
- ------------------------------------
Panama 2.9%
- ------------------------------------
Quality Breakdown
- ------------------------------------
AAA 4.9%
- ------------------------------------
AA 1.0%
- ------------------------------------
A 2.0%
- ------------------------------------
BBB 22.9%
- ------------------------------------
BB 46.6%
- ------------------------------------
B 21.8%
- ------------------------------------
CC 0.8%
- ------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Emerging Markets Bond Fund was launched on July 31, 1997. The Fund seeks
maximum total return through investment in fixed income instruments issued in
emerging market countries, which offer higher yields and capital appreciation
potential. The last twelve months have been an extremely difficult period for
the emerging market economies. Although the Fund outperformed the Lipper
Emerging Markets Debt Fund Average for the year ending March 31, 1999, Class A
shares lost 12.9%, while the Lipper average declined 21.0%.
Throughout the second and third quarters of 1998 turmoil grew in the
emerging markets, emanating from Asia. The crisis spread to Russia, which
devalued its currency and defaulted on its loans. Investors worried whether the
IMF and G7 countries would continue to assist financially strapped regions. With
leveraged investors in the most volatile markets forced to liquidate their
positions, many emerging bond markets were dragged down far further than their
fundamentals warranted. As a result, the Fund suffered.
However, investor confidence returned in the fourth quarter of 1998, and
most emerging bond markets posted positive returns in the first quarter of this
year despite the currency devaluation by Brazil. In fact, Brazil was the top
performer in the first quarter, as the announcement of a positive inflation
report, lower interest rates and IMF support brought investors back to this
emerging market. For the last six months, the Fund did post positive returns.
During this period of outperformance, the Fund benefited from a
concentration of investments in higher-quality credit issues in Mexico and
Argentina, countries that felt little negative impact from Brazil's problems. An
overweight position in South Korea benefited from a debt restructuring program
and economic reform which ultimately led to a credit upgrade back to the
investment grade level. Finally, an overweight position in Poland enhanced
return, as it was the top performer over the past year.
Looking ahead, the manager plans to remain cautious and currently keep the
portfolio quality at BB or better. Over the long term, the manager believes that
the emerging market bond sector should benefit from economic reform and further
integration with the developed economies of the world.
See page 28 for financial details. 15
<PAGE>
PIMCO Foreign Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily investment grade foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
12/3/92
TOTAL NET ASSETS:
$621 million
PORTFOLIO MANAGER:
Lee Thomas
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Adjusted Adjusted Adjusted Average Index (Hedged)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 7.4% 2.6% 6.7% 1.7% 5.6% 7.2% 10.6%
3 years 12.2% 10.5% 11.4% 10.6% 11.4% 5.6% 12.2%
5 years 10.8% 9.8% 10.0% 9.8% 10.0% 6.6% 10.7%
Inception 10.5% 9.7% 9.7% 9.7% 9.7% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
J.P. Morgan
MONTH PIMCO PIMCO PIMCO Non-U.S.
Foreign A Foreign B Foreign C Index
<S> <C> <C> <C> <C>
12/31/92 9,550 10,000 10,000 10,000
01/31/93 9,625 10,073 10,073 10,091
02/28/93 9,833 10,286 10,286 10,274
03/31/93 9,867 10,314 10,314 10,280
04/30/93 9,863 10,304 10,304 10,281
05/31/93 9,949 10,387 10,387 10,338
06/30/93 10,180 10,623 10,623 10,549
07/31/93 10,337 10,781 10,781 10,667
08/31/93 10,584 11,033 11,033 10,889
09/30/93 10,622 11,067 11,067 10,936
10/31/93 10,776 11,221 11,221 11,082
11/30/93 10,803 11,242 11,242 11,159
12/31/93 11,068 11,511 11,511 11,390
01/31/94 11,079 11,515 11,515 11,333
02/28/94 10,782 11,200 11,200 11,078
03/31/94 10,590 10,994 10,994 10,977
04/30/94 10,486 10,879 10,879 10,899
05/31/94 10,329 10,709 10,709 10,779
06/30/94 10,135 10,501 10,501 10,669
07/31/94 10,195 10,557 10,557 10,739
08/31/94 10,091 10,442 10,442 10,636
09/30/94 10,104 10,448 10,448 10,645
10/31/94 10,139 10,477 10,477 10,687
11/30/94 10,285 10,622 10,622 10,838
12/31/94 10,214 10,541 10,541 10,813
01/31/95 10,280 10,601 10,601 10,931
02/28/95 10,343 10,660 10,660 11,072
03/31/95 10,347 10,656 10,656 11,297
04/30/95 10,596 10,905 10,905 11,477
05/31/95 11,008 11,322 11,322 11,854
06/30/95 10,938 11,243 11,243 11,814
07/31/95 11,142 11,445 11,445 11,963
08/31/95 11,351 11,651 11,651 12,067
09/30/95 11,508 11,806 11,806 12,258
10/31/95 11,697 11,991 11,991 12,395
11/30/95 12,152 12,450 12,450 12,667
12/31/95 12,328 12,623 12,623 12,785
01/31/96 12,627 12,919 12,919 12,939
02/29/96 12,354 12,632 12,632 12,787
03/31/96 12,550 12,826 12,826 12,893
04/30/96 12,850 13,125 13,125 13,047
05/31/96 12,895 13,163 13,163 13,136
06/30/96 13,037 13,299 13,299 13,245
07/31/96 13,160 13,417 13,417 13,345
08/31/96 13,478 13,733 13,733 13,522
09/30/96 13,851 14,107 14,107 13,810
10/31/96 14,189 14,442 14,442 14,038
11/30/96 14,528 14,780 14,780 14,319
12/31/96 14,601 14,845 14,845 14,339
01/31/97 14,826 15,067 15,070 14,518
02/28/97 14,900 15,133 15,136 14,611
03/31/97 14,708 14,929 14,932 14,533
04/30/97 14,840 15,054 15,057 14,690
05/31/97 14,912 15,117 15,120 14,767
06/30/97 15,205 15,406 15,409 15,018
07/31/97 15,424 15,619 15,622 15,257
08/31/97 15,356 15,539 15,542 15,275
09/30/97 15,683 15,859 15,862 15,545
10/31/97 15,495 15,658 15,661 15,645
11/30/97 15,700 15,856 15,860 15,757
12/31/97 15,924 16,072 16,075 15,962
01/31/98 16,149 16,289 16,292 16,174
02/28/98 16,293 16,424 16,428 16,318
03/31/98 16,491 16,615 16,618 16,464
04/30/98 16,542 16,666 16,660 16,548
05/31/98 16,680 16,793 16,786 16,774
06/30/98 16,756 16,860 16,853 16,847
07/31/98 17,016 17,111 17,104 17,003
08/31/98 16,875 16,959 16,952 17,338
09/30/98 17,256 17,332 17,325 17,749
10/31/98 16,894 16,956 16,949 17,722
11/30/98 17,205 17,258 17,251 17,914
12/31/98 17,441 17,482 17,475 17,892
01/31/99 17,793 17,825 17,818 18,114
02/28/99 17,613 17,634 17,627 17,993
03/31/99 17,715 17,726 17,719 18,207
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 27 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 1%
- ---------------------------------------
1-5 years 41%
- ---------------------------------------
5-10 years 43%
- ---------------------------------------
10-20 years 2%
- ---------------------------------------
20-30 years 13%
- ---------------------------------------
Duration 5.9 years
- ---------------------------------------
Top 10 Countries
- ---------------------------------------
United States 34.0%
- ---------------------------------------
Japan 11.7%
- ---------------------------------------
United Kingdom 9.4%
- ---------------------------------------
Italy 7.5%
- ---------------------------------------
Germany 5.9%
- ---------------------------------------
Canada 5.0%
- ---------------------------------------
Supranational 4.7%
- ---------------------------------------
Sweden 3.4%
- ---------------------------------------
Denmark 3.0%
- ---------------------------------------
Argentina 1.9%
- ---------------------------------------
Quality Breakdown
- ---------------------------------------
AAA 68.0%
- ---------------------------------------
AA 19.0%
- ---------------------------------------
A 4.3%
- ---------------------------------------
BBB 6.7%
- ---------------------------------------
BB 1.4%
- ---------------------------------------
B 0.6%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Foreign Bond Fund returned 7.4% for Class A shares for the one-year period
ended March 31, 1999, outperforming the Lipper International Income Fund
Average's 7.2% return for the period. The Fund also did well over longer
periods, outperforming the Lipper Average for the three- and five-year time
periods and since its inception.
Beginning in July of 1998, the heightened turmoil in the emerging markets, in
particular Russia's debt default, and the near collapse of Long-Term Capital
Management sparked a wave of volatility and a subsequent flight to quality which
drove investors out of riskier asset classes and into safe-haven securities.
Natural resource-based economies suffered as commodity prices, particularly oil,
fell. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects negatively influenced many other bond
markets.
However, there were several positive factors that helped to boost the Fund's
performance. The turmoil of last summer created opportunities in the fall as
calm returned to the markets and investors regained confidence. As a result, the
Fund's bullish duration stance proved beneficial as yields in most developed
bond markets ended the year lower.
Country selection within the European bloc was also important to performance.
The Fund benefited from an overweight position in long-term German bonds as low
inflation data pushed bond prices higher. In addition, the Fund's position in
the Greek bond market contributed to performance as investors responded
positively to Greece's announcement of timely entry into the EMU. Overweight
positions in other second round EMU candidates, especially Scandinavian
countries, also enhanced returns as their yields converged on German levels in
response to successive interest rate cuts by their central banks.
Our underweight exposure to the Japanese yen and government bonds was the
primary detractor from performance over the past year. Contrary to most
expectations the yen actually strengthened and, despite supply concerns at the
end of 1998, the Japanese bond market saw a sustained rally for most of the
year. In addition, the Fund's currency strategy in Europe detracted from
returns as the euro suffered a shaky debut.
Looking ahead, the manager currently sees further interest declines across
many of the world's major markets, especially Europe and Japan where
sub-potential economic growth should likely keep a downward bias on interest
rates. The Fund intends to continue to invest in high quality fixed-income
securities that the manager believes to be among the safest and most liquid
within the foreign bond market.
16 See page 30 for financial details.
<PAGE>
PIMCO Global Bond Fund II
OBJECTIVE:
Maximum total return, consistent with preservation of capital (U.S. and
non-U.S.).
PORTFOLIO:
Primarily investment grade U.S. and foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
10/2/95
TOTAL NET ASSETS:
$43 million
PORTFOLIO MANAGER:
Lee Thomas
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Global J.P. Morgan
Income Fund. Global Index
Adjusted Adjusted Adjusted Average (Hedged)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 Year 5.7% 0.9% 4.9% -0.1% 3.8% 2.4% 9.3%
3 Years 9.7% 8.0% 8.8% 7.9% 8.7% 5.8% 10.6%
Inception 10.0% 8.6% 9.2% 8.5% 9.2% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO J.P. Morgan
Global Global Global Global
Bond II A Bond II B Bond II B Index
<S> <C> <C> <C> <C>
10/31/95 9,550 10,000 10,000 10,000
11/30/95 9,869 10,334 10,334 10,191
12/31/95 9,926 10,394 10,394 10,302
01/31/96 10,115 10,591 10,591 10,406
02/29/96 9,923 10,390 10,390 10,257
03/31/96 9,941 10,404 10,404 10,279
04/30/96 10,065 10,515 10,515 10,334
05/31/96 10,057 10,496 10,487 10,373
06/30/96 10,150 10,566 10,566 10,471
07/31/96 10,193 10,608 10,608 10,530
08/31/96 10,443 10,851 10,850 10,614
09/30/96 10,687 11,098 11,098 10,814
10/31/96 10,917 11,340 11,330 11,009
11/30/96 11,186 11,603 11,603 11,215
12/31/96 11,157 11,576 11,566 11,188
01/31/97 11,252 11,656 11,656 11,283
02/28/97 11,330 11,730 11,729 11,334
03/31/97 11,173 11,561 11,560 11,255
04/30/97 11,306 11,690 11,690 11,392
05/31/97 11,395 11,773 11,773 11,468
06/30/97 11,589 11,967 11,967 11,638
07/31/97 11,830 12,208 12,208 11,886
08/31/97 11,787 12,155 12,155 11,844
09/30/97 12,006 12,373 12,374 12,043
10/31/97 11,865 12,220 12,221 12,176
11/30/97 11,950 12,299 12,300 12,254
12/31/97 12,082 12,428 12,429 12,405
01/31/98 12,191 12,534 12,534 12,581
02/28/98 12,261 12,598 12,597 12,632
03/31/98 12,426 12,760 12,760 12,714
04/30/98 12,480 12,807 12,807 12,777
05/31/98 12,546 12,868 12,867 12,936
06/30/98 12,602 12,918 12,914 13,030
07/31/98 12,755 13,065 13,061 13,113
08/31/98 12,618 12,917 12,913 13,412
09/30/98 12,900 13,199 13,195 13,754
10/31/98 12,685 12,971 12,967 13,724
11/30/98 12,852 13,132 13,127 13,821
12/31/98 12,962 13,235 13,231 13,821
01/31/99 13,250 13,521 13,517 13,961
02/28/99 13,046 13,306 13,302 13,774
03/31/99 13,127 13,081 13,376 13,900
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty. See page 27 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------
1 year or less 4%
- ------------------------------------
1-5 years 33%
- ------------------------------------
5-10 years 41%
- ------------------------------------
10-20 years 11%
- ------------------------------------
20-30 years 11%
- ------------------------------------
Duration 5.9 years
- ------------------------------------
Top 10 Countries
- ------------------------------------
United States 47.7%
- ------------------------------------
United Kingdom 7.8%
- ------------------------------------
Japan 7.0%
- ------------------------------------
Supranational 4.7%
- ------------------------------------
Canada 4.3%
- ------------------------------------
Sweden 3.6%
- ------------------------------------
Denmark 3.4%
- ------------------------------------
Italy 3.3%
- ------------------------------------
Germany 2.8%
- ------------------------------------
Argentina 1.9%
- ------------------------------------
Quality Breakdown
- ------------------------------------
AAA 70.8%
- ------------------------------------
AA 16.4%
- ------------------------------------
A 5.0%
- ------------------------------------
BBB 5.2%
- ------------------------------------
BB 1.6%
- ------------------------------------
B 1.0%
- ------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Global Bond Fund II posted good results for the past one-year period ending
March 31, 1999, returning 5.7% for Class A shares, and outperforming the Lipper
Global Income Fund Average's 2.4% return. The Fund has also outperformed the
Lipper Average for the three-year period and since inception.
Beginning in July of 1998, the heightened turmoil in the emerging markets, in
particular Russia's debt default, and the near collapse of Long-Term Capital
Management, sparked a wave of volatility and a subsequent flight to quality that
drove investors out of riskier asset classes and into safe-haven securities.
Natural resource-based economies suffered as commodity prices, particularly oil,
fell. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects negatively influenced many other bond
markets.
The Fund's exposure to the U.S. bond market, which received much of the
flight to quality flows, helped mitigate the damage to the Fund's foreign
holdings. In addition, there were other factors that helped to boost the Fund's
performance. The turmoil of last summer created opportunities in the fall as
calm returned to the markets and investors regained confidence. As a result, the
Fund's bullish duration stance proved beneficial as yields in most developed
bond markets ended the year lower.
Country selection within the European bloc was also important to performance.
The Fund benefited from an overweight position in long-term German bonds as low
inflation data pushed bond prices higher. In addition, the Fund's position in
the Greek bond market contributed to performance as investors responded
positively to Greece's announcement of timely entry into the European Monetary
Union. Overweight positions in other second round EMU candidates, especially
Scandinavian countries, also enhanced returns as their yields converged on
German levels in response to successive interest rate cuts by their central
banks.
Our underweight exposure to the Japanese yen and government bonds was the
primary detractor from performance over the past year. Contrary to most
expectations the yen actually strengthened and, despite supply concerns at the
end of 1998, the Japanese bond market saw a sustained rally for most of the
year. In addition, the Fund's currency strategy in Europe detracted from returns
as the euro suffered a shaky debut.
Going forward, the manager currently sees the potential for further interest
declines across many of the world's major markets. The Fund intends to continue
to invest in high quality fixed-income securities that the manager believes to
be among the safest and most liquid within the global bond market.
See page 34 for financial details. 17
<PAGE>
PIMCO High Yield Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily high
yield bonds.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
12/16/92
TOTAL NET ASSETS:
$3,223 million
PORTFOLIO MANAGER:
Ben Trosky
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper High Lehman BB
Current Yield Int. Corp.
Adjusted Adjusted Adjusted Fund Avg. Index
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 4.3% -0.4% 3.5% -1.3% 2.6% -1.9% 4.4%
3 years 10.2% 8.5% 9.4% 8.5% 9.4% 8.2% 8.9%
5 years 10.8% 9.8% 10.0% 9.7% 10.0% 8.2% 9.7%
Inception 11.3% 10.5% 10.5% 10.5% 10.5% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO Lehman BB
High Yield A High Yield B High Yield C Int. Corp.
Index
<S> <C> <C> <C> <C>
12/31/92 9,550 10,000 10,000 10,000
01/31/93 9,764 10,218 10,218 10,211
02/28/93 9,941 10,398 10,398 10,361
03/31/93 10,138 10,597 10,597 10,478
04/30/93 10,243 10,700 10,700 10,566
05/31/93 10,315 10,769 10,769 10,644
06/30/93 10,592 11,052 11,052 10,870
07/31/93 10,664 11,120 11,120 10,980
08/31/93 10,780 11,235 11,235 11,107
09/30/93 10,831 11,281 11,281 11,188
10/31/93 11,118 11,573 11,573 11,338
11/30/93 11,200 11,652 11,652 11,368
12/31/93 11,293 11,742 11,742 11,465
01/31/94 11,530 11,981 11,981 11,657
02/28/94 11,525 11,969 11,969 11,644
03/31/94 11,177 11,601 11,601 11,288
04/30/94 11,076 11,489 11,489 11,221
05/31/94 11,154 11,562 11,562 11,231
06/30/94 11,166 11,567 11,567 11,265
07/31/94 11,267 11,666 11,666 11,402
08/31/94 11,359 11,753 11,753 11,523
09/30/94 11,434 11,824 11,824 11,544
10/31/94 11,436 11,819 11,819 11,571
11/30/94 11,387 11,761 11,761 11,492
12/31/94 11,520 11,892 11,892 11,563
01/31/95 11,629 11,997 11,997 11,749
02/28/95 11,945 12,315 12,315 12,106
03/31/95 12,115 12,484 12,484 12,220
04/30/95 12,376 12,746 12,746 12,465
05/31/95 12,731 13,104 13,104 12,831
06/30/95 12,832 13,200 13,200 12,944
07/31/95 13,000 13,365 13,365 13,062
08/31/95 13,096 13,456 13,456 13,138
09/30/95 13,275 13,634 13,634 13,280
10/31/95 13,465 13,822 13,822 13,384
11/30/95 13,625 13,978 13,978 13,553
12/31/95 13,852 14,202 14,202 13,767
01/31/96 14,072 14,419 14,419 13,990
02/29/96 14,083 14,422 14,422 13,940
03/31/96 13,968 14,295 14,295 13,867
04/30/96 14,025 14,345 14,345 13,862
05/31/96 14,068 14,381 14,381 13,881
06/30/96 14,122 14,427 14,427 14,031
07/31/96 14,243 14,542 14,542 14,107
08/31/96 14,471 14,766 14,766 14,221
09/30/96 14,804 15,097 15,097 14,527
10/31/96 14,948 15,236 15,236 14,729
11/30/96 15,267 15,554 15,554 15,026
12/31/96 15,416 15,696 15,696 15,059
01/31/97 15,570 15,837 15,842 15,203
02/28/97 15,805 16,067 16,071 15,386
03/31/97 15,593 15,842 15,846 15,203
04/30/97 15,755 15,997 16,002 15,392
05/31/97 16,110 16,346 16,351 15,655
06/30/97 16,343 16,573 16,578 15,857
07/31/97 16,760 16,984 16,989 16,330
08/31/97 16,750 16,962 16,967 16,174
09/30/97 17,026 17,232 17,237 16,428
10/31/97 17,038 17,232 17,237 16,484
11/30/97 17,197 17,381 17,387 16,600
12/31/97 17,386 17,562 17,567 16,752
01/31/98 17,680 17,847 17,852 16,953
02/28/98 17,770 17,927 17,932 17,031
03/31/98 17,903 18,051 18,056 17,140
04/30/98 17,943 18,080 18,085 17,228
05/31/98 18,029 18,156 18,161 17,340
06/30/98 18,157 18,272 18,279 17,446
07/31/98 18,344 18,447 18,454 17,536
08/31/98 17,603 17,691 17,698 17,052
09/30/98 17,821 17,898 17,905 17,414
10/31/98 17,639 17,705 17,712 17,191
11/30/98 18,378 18,436 18,443 17,603
12/31/98 18,452 18,497 18,504 17,714
01/31/99 18,690 18,724 18,731 17,897
02/28/99 18,531 18,554 18,561 17,764
03/31/99 18,679 18,689 18,697 17,892
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. The investments made by the
High Yield Fund may involve high risk and may have speculative characteristics.
See page 27 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------
1 year or less 11%
- -----------------------------------
1-5 years 21%
- -----------------------------------
5-10 years 58%
- -----------------------------------
10-20 years 6%
- -----------------------------------
20-30 years 4%
- -----------------------------------
Duration 4.8 years
- -----------------------------------
Sector Breakdown
- -----------------------------------
Corporate Bonds & Notes 79.2%
- -----------------------------------
Short-Term Instruments 7.6%
- -----------------------------------
Asset-Backed Securities 6.1%
- -----------------------------------
Other 7.1%
- -----------------------------------
Quality Breakdown
- -----------------------------------
AAA 7.6%
- -----------------------------------
AA 0.8%
- -----------------------------------
A 0.1%
- -----------------------------------
BBB 8.0%
- -----------------------------------
BB 51.1%
- -----------------------------------
B 32.4%
- -----------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Despite a difficult year in the high yield market, the High Yield Fund posted
strong relative results. For the year ended March 31, 1999, the Fund returned
4.3% for Class A shares, comparing quite favorably to the Lipper High Current
Yield Average, which lost 1.9% for the period. The Fund also performed well over
the long term, outpacing the average over the three- and five-year periods, as
well as since its inception.
The Fund's manager invests primarily in middle- and upper-tier quality, high
yield bonds in an effort to limit the portfolio's exposure to risks associated
with the lower-tier of the junk bond market. In the second and third quarters of
1998 this strategy paid off handsomely, as much of the high yield market
suffered large losses as the corporate sector was hit by worries about growing
global turmoil and its possible effect on domestic corporate profits.
The Fund managed to avoid many of the problems that beset most of its peers
for several reasons. First, a defensive industry orientation, accomplished by a
large weight in more stable credit sectors such as utilities, telecommunications
and cable TV benefited the Fund, as these sectors were less prone to the
volatility created by the global turmoil. Second, the Fund avoided securities
issued by commodity producers who have been hurt by the deflationary
environment, which has kept commodity prices low. Third, purchasing out-of-favor
industries when calm returned to the financial markets after last year's global
turmoil enhanced performance. In particular, the energy sector was a good buy
for the Fund. Finally, a small allocation to emerging market issues contributed
positively to results as they benefited from the calm after the storm.
The Fund was negatively impacted by its holdings of single B-rated credits,
which underperformed for the same reasons that the sectors mentioned above
outperformed. In response, over the past year the manager has trimmed the Fund's
exposure to single B-rated credits to 32% of the portfolios from 50% in the
first quarter of 1998.
Looking ahead, the manager currently expects to remain cautious, keeping the
portfolio solidly in the BB category, given the expectation that the economy and
corporate profits will slow. The Fund intends to underweight cyclical credits, a
sector that should have difficulty maintaining price levels as the economy
slows. The Fund intends to continue to overweight in defensive sectors, focusing
on industries with stable cash flow.
18 See page 37 for financial details.
<PAGE>
PIMCO Long-Term U.S. Government Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily longer-term U.S. Govern-ment securities.
DURATION RANGE:
Equal to or greater than 8 years
FUND INCEPTION DATE:
7/1/91
Total Net Assets:
$282 million
PORTFOLIO MANAGER:
Pasi Hamaleinen
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Gen. Lehman Lehman
U.S. Govt. Int. & 20+ Aggregate
Adjusted Adjusted Adjusted Fund Average Treasury Index Bond Index
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 7.3% 2.5% 6.5% 1.6% 5.5% 5.3% 6.8% 6.5%
3 years 10.2% 8.5% 9.3% 8.5% 9.4% 6.7% 9.6% 7.8%
5 years 10.0% 9.0% 9.1% 8.8% 9.2% 6.6% 9.4% 7.8%
Inception 11.7% 11.0% 11.0% 11.0% 10.9% -- -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO Lehman Int. Lehman
Long-Term A Long-Term B Long-Term C & 20+ Treas. Agg. Bond
Index Index
<S> <C> <C> <C> <C> <C>
06/30/91 9,550 10,000 10,000 10,000 10,000
07/31/91 9,678 10,128 10,128 10,157 10,139
08/31/91 10,051 10,511 10,511 10,508 10,358
09/30/91 10,385 10,855 10,855 10,831 10,568
10/31/91 10,435 10,900 10,900 10,848 10,686
11/30/91 10,572 11,037 11,037 10,900 10,784
12/31/91 11,265 11,755 11,755 11,550 11,104
01/31/92 10,944 11,413 11,413 11,191 10,953
02/29/92 10,997 11,462 11,462 11,250 11,024
03/31/92 10,958 11,416 11,416 11,126 10,962
04/30/92 10,901 11,350 11,350 11,102 11,041
05/31/92 11,287 11,745 11,745 11,414 11,249
06/30/92 11,447 11,906 11,906 11,564 11,404
07/31/92 11,986 12,458 12,458 12,046 11,637
08/31/92 12,223 12,697 12,697 12,123 11,755
09/30/92 12,436 12,911 12,911 12,300 11,894
10/31/92 12,123 12,579 12,579 12,046 11,736
11/30/92 12,247 12,701 12,701 12,112 11,739
12/31/92 12,567 13,025 13,025 12,443 11,926
01/31/93 12,898 13,361 13,361 12,777 12,154
02/28/93 13,413 13,886 13,886 13,187 12,367
03/31/93 13,482 13,948 13,948 13,217 12,419
04/30/93 13,583 14,046 14,046 13,315 12,505
05/31/93 13,632 14,088 14,088 13,371 12,521
06/30/93 14,304 14,776 14,776 13,901 12,748
07/31/93 14,508 14,978 14,978 14,133 12,820
08/31/93 15,058 15,538 15,538 14,663 13,045
09/30/93 15,103 15,577 15,577 14,703 13,081
10/31/93 15,177 15,644 15,644 14,809 13,130
11/30/93 14,761 15,208 15,208 14,468 13,018
12/31/93 14,856 15,296 15,296 14,505 13,088
01/31/94 15,191 15,632 15,632 14,828 13,265
02/28/94 14,593 15,009 15,009 14,253 13,035
03/31/94 13,995 14,383 14,383 13,651 12,713
04/30/94 13,751 14,124 14,124 13,488 12,612
05/31/94 13,703 14,066 14,066 13,388 12,610
06/30/94 13,619 13,972 13,972 13,259 12,582
07/31/94 13,953 14,304 14,304 13,722 12,832
08/31/94 13,980 14,321 14,321 13,605 12,848
09/30/94 13,539 13,860 13,860 13,161 12,659
10/31/94 13,446 13,755 13,755 13,119 12,648
11/30/94 13,400 13,700 13,700 13,203 12,620
12/31/94 13,702 13,999 13,999 13,411 12,707
01/31/95 14,055 14,350 14,350 13,767 12,958
02/28/95 14,537 14,833 14,833 14,141 13,266
03/31/95 14,701 14,992 14,992 14,269 13,348
04/30/95 14,948 15,235 15,235 14,517 13,534
05/31/95 16,089 16,387 16,387 15,584 14,058
06/30/95 16,268 16,561 16,561 15,759 14,161
07/31/95 15,981 16,259 16,259 15,518 14,129
08/31/95 16,338 16,612 16,612 15,849 14,300
09/30/95 16,686 16,956 16,956 16,128 14,439
10/31/95 17,091 17,359 17,359 16,558 14,627
11/30/95 17,506 17,771 17,771 16,942 14,846
12/31/95 17,960 18,220 18,220 17,364 15,054
01/31/96 17,983 18,233 18,233 17,376 15,154
02/29/96 17,140 17,369 17,369 16,586 14,891
03/31/96 16,819 17,034 17,034 16,271 14,787
04/30/96 16,441 16,640 16,640 16,014 14,704
05/31/96 16,457 16,645 16,645 15,939 14,674
06/30/96 16,783 16,963 16,963 16,268 14,871
07/31/96 16,723 16,892 16,892 16,274 14,912
08/31/96 16,601 16,758 16,758 16,072 14,887
09/30/96 17,057 17,208 17,208 16,505 15,146
10/31/96 17,784 17,929 17,929 17,133 15,482
11/30/96 18,447 18,587 18,587 17,667 15,747
12/31/96 18,017 18,142 18,142 17,263 15,601
01/31/97 17,924 18,026 18,043 17,139 15,648
02/28/97 17,959 18,050 18,068 17,146 15,687
03/31/97 17,507 17,586 17,602 16,721 15,514
04/30/97 17,897 17,966 17,980 17,115 15,746
05/31/97 18,103 18,161 18,176 17,304 15,895
06/30/97 18,454 18,503 18,518 17,633 16,083
07/31/97 19,473 19,513 19,527 18,618 16,517
08/31/97 18,976 19,002 19,017 18,136 16,376
09/30/97 19,466 19,481 19,497 18,608 16,618
10/31/97 20,122 20,124 20,140 19,198 16,859
11/30/97 20,307 20,295 20,313 19,443 16,936
12/31/97 20,648 20,621 20,640 19,747 17,107
01/31/98 21,026 20,984 21,003 20,129 17,326
02/28/98 20,877 20,823 20,842 19,999 17,313
03/31/98 20,971 20,904 20,923 20,043 17,373
04/30/98 21,084 21,004 21,023 20,117 17,464
05/31/98 21,487 21,393 21,412 20,475 17,629
06/30/98 21,983 21,874 21,892 20,919 17,779
07/31/98 21,961 21,852 21,855 20,845 17,817
08/31/98 22,881 22,768 22,757 21,704 18,107
09/30/98 23,801 23,683 23,643 22,427 18,531
10/31/98 23,149 23,034 22,981 22,155 18,433
11/30/98 23,230 23,115 23,043 22,281 18,537
12/31/98 23,337 23,221 23,133 22,265 18,593
01/31/99 23,507 23,391 23,290 22,448 18,726
02/28/99 22,435 22,324 22,214 21,442 18,399
03/31/99 22,521 22,409 22,285 21,406 18,501
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. See page 27 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ------------------------------------------
1 year or less 0%
- ------------------------------------------
1-5 years 18%
- ------------------------------------------
5-10 years 11%
- ------------------------------------------
10-20 years 7%
- ------------------------------------------
20-30 years 64%
- ------------------------------------------
Duration 10.3 years
- ------------------------------------------
Sector Breakdown
- ------------------------------------------
Mortgage-Backed Securities 47.1%
- ------------------------------------------
U.S. Treasury Obligations 46.8%
- ------------------------------------------
Other 6.1%
- ------------------------------------------
Quality Breakdown
- ------------------------------------------
AAA 98.3%
- ------------------------------------------
AA 1.2%
- ------------------------------------------
A 0.5%
- ------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Long-Term U.S. Government Fund posted good results for the one-year period
ended March 31, 1999, as Class A shares returned 7.3%, outperforming the Lipper
General U.S. Government Fund Average return of 5.3% for the same period.
The Fund's long-term perspective makes it sensitive to changes in interest
rates. In particular, last year's market had an opposite influence on Fund
performance in each half of 1998. The first half performance was strong as the
flight-to-quality rally, after the financial collapse of Russia last summer and
easing by the Federal Reserve in the fall, pushed long-term interest rates as
low as 4.7%. This created tremendous price appreciation for U.S. Treasury
securities, which benefited the Fund.
The second half proved difficult as interest rates rose in the U.S. Treasury
market. By March, these rates climbed as high as 5.7% - a one percentage point
swing from October. This move came as investors moved out of the safety of U.S.
Treasuries and back into other bond segments and the stock market. Of course,
the rise in interest rates led to large declines in Treasury prices, which hurt
the Fund.
The Fund's duration (sensitivity to changes in interest rates) management
helped performance for the period. As interest rates declined the Fund's
duration was pushed above the benchmark. When interest rates began climbing
duration was pushed marginally below the benchmark. The Fund's allocation of
mortgage-backed securities also enhanced performance as that segment's total
return, price appreciation plus income, was greater than similar duration
Treasuries.
Looking ahead, the domestic economic expansion will likely continue, albeit at
a more moderate pace as consumer and investment spending slow from recent high
rates of growth. The Federal Reserve will likely maintain a neutral stance with
regards to monetary policy, given more moderate growth and continued low
inflation, fostering a more stable, range-bound interest rate environment. As
interest rate volatility declines, the manager will seek to enhance performance
by employing strategies that provide incremental yield. We believe commitment to
quality and our long-term perspective should help us continue to identify
profitable opportunities in the bond market going forward.
See page 42 for financial details. 19
<PAGE>
PIMCO Low Duration Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$3,871 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<TABLE>
<CAPTION>
A Shares B Shares C Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Tsy.
Adjusted Adjusted Adjusted Average Index
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 5.9% 2.7% 5.1% 0.1% 4.3% 5.1% 6.1%
5 years 6.5% 5.9% 5.7% 5.4% 6.0% 5.7% 6.2%
10 years 7.8% 7.4% 7.2% 7.2% 7.2% 7.0% 7.3%
Inception 7.6% 7.4% 7.2% 7.2% 7.1% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO Merrill Lynch
Low Duration A Low Duration B Low Duration C 1-3 yr. Tsy.
Index
<S> <C> <C> <C> <C>
05/31/87 9,700 10,000 10,000 10,000
06/30/87 9,786 10,083 10,085 10,109
07/31/87 9,819 10,109 10,114 10,158
08/31/87 9,813 10,097 10,104 10,167
09/30/87 9,785 10,063 10,072 10,127
10/31/87 9,940 10,215 10,227 10,351
11/30/87 10,048 10,320 10,334 10,414
12/31/87 10,103 10,370 10,387 10,480
01/31/88 10,266 10,531 10,550 10,648
02/29/88 10,337 10,598 10,619 10,735
03/31/88 10,398 10,653 10,677 10,756
04/30/88 10,437 10,687 10,713 10,772
05/31/88 10,457 10,700 10,728 10,756
06/30/88 10,551 10,788 10,821 10,868
07/31/88 10,603 10,835 10,869 10,876
08/31/88 10,641 10,867 10,904 10,899
09/30/88 10,735 10,956 10,996 11,026
10/31/88 10,830 11,046 11,088 11,136
11/30/88 10,840 11,050 11,094 11,106
12/31/88 10,884 11,087 11,134 11,132
01/31/89 10,970 11,168 11,217 11,219
02/28/89 10,983 11,175 11,226 11,219
03/31/89 11,021 11,206 11,260 11,270
04/30/89 11,147 11,327 11,384 11,443
05/31/89 11,372 11,548 11,608 11,614
06/30/89 11,615 11,788 11,852 11,831
07/31/89 11,781 11,948 12,015 12,006
08/31/89 11,723 11,882 11,950 11,932
09/30/89 11,778 11,929 12,000 12,003
10/31/89 11,928 12,075 12,149 12,184
11/30/89 12,032 12,172 12,250 12,299
12/31/89 12,089 12,222 12,303 12,348
01/31/90 12,077 12,202 12,284 12,358
02/28/90 12,155 12,274 12,359 12,416
03/31/90 12,216 12,328 12,416 12,457
04/30/90 12,204 12,308 12,399 12,482
05/31/90 12,405 12,502 12,597 12,673
06/30/90 12,534 12,625 12,723 12,806
07/31/90 12,667 12,750 12,853 12,966
08/31/90 12,687 12,761 12,867 13,005
09/30/90 12,752 12,819 12,927 13,111
10/31/90 12,840 12,898 13,010 13,255
11/30/90 12,988 13,039 13,155 13,386
12/31/90 13,123 13,167 13,286 13,548
01/31/91 13,238 13,275 13,398 13,672
02/28/91 13,339 13,367 13,494 13,754
03/31/91 13,447 13,468 13,598 13,846
04/30/91 13,605 13,619 13,753 13,977
05/31/91 13,706 13,711 13,849 14,062
06/30/91 13,788 13,785 13,927 14,119
07/31/91 13,936 13,924 14,070 14,242
08/31/91 14,130 14,110 14,260 14,437
09/30/91 14,309 14,280 14,436 14,593
10/31/91 14,428 14,390 14,550 14,750
11/30/91 14,578 14,531 14,695 14,903
12/31/91 14,817 14,761 14,930 15,131
01/31/92 14,824 14,759 14,932 15,107
02/29/92 14,893 14,818 14,995 15,160
03/31/92 14,895 14,813 14,992 15,154
04/30/92 14,995 14,903 15,086 15,293
05/31/92 15,142 15,040 15,228 15,432
06/30/92 15,279 15,166 15,359 15,590
07/31/92 15,476 15,353 15,551 15,765
08/31/92 15,573 15,440 15,643 15,903
09/30/92 15,723 15,579 15,786 16,055
10/31/92 15,723 15,568 15,780 15,959
11/30/92 15,726 15,562 15,777 15,933
12/31/92 15,885 15,710 15,930 16,084
01/31/93 16,029 15,842 16,067 16,251
02/28/93 16,213 16,015 16,245 16,390
03/31/93 16,299 16,090 16,325 16,439
04/30/93 16,371 16,151 16,390 16,541
05/31/93 16,384 16,154 16,397 16,495
06/30/93 16,541 16,300 16,548 16,616
07/31/93 16,593 16,339 16,591 16,655
08/31/93 16,749 16,483 16,740 16,800
09/30/93 16,807 16,530 16,792 16,855
10/31/93 16,917 16,628 16,894 16,888
11/30/93 16,927 16,628 16,898 16,892
12/31/93 17,040 16,728 17,002 16,954
01/31/94 17,127 16,801 17,081 17,063
02/28/94 17,047 16,714 16,995 16,954
03/31/94 16,966 16,624 16,907 16,870
04/30/94 16,904 16,552 16,838 16,810
05/31/94 16,878 16,517 16,806 16,834
06/30/94 16,907 16,546 16,827 16,884
07/31/94 17,057 16,693 16,970 17,029
08/31/94 17,124 16,758 17,028 17,089
09/30/94 17,091 16,726 16,989 17,050
10/31/94 17,083 16,718 16,974 17,088
11/30/94 17,080 16,714 16,964 17,012
12/31/94 17,064 16,699 16,942 17,050
01/31/95 17,216 16,848 17,086 17,288
02/28/95 17,426 17,053 17,287 17,525
03/31/95 17,491 17,117 17,344 17,623
04/30/95 17,704 17,325 17,547 17,780
05/31/95 18,019 17,634 17,852 18,091
06/30/95 18,106 17,718 17,931 18,188
07/31/95 18,106 17,718 17,924 18,263
08/31/95 18,296 17,904 18,105 18,372
09/30/95 18,453 18,058 18,253 18,461
10/31/95 18,584 18,187 18,376 18,617
11/30/95 18,794 18,392 18,576 18,782
12/31/95 19,010 18,604 18,782 18,926
01/31/96 19,143 18,734 18,906 19,087
02/29/96 19,013 18,607 18,770 19,006
03/31/96 18,998 18,592 18,747 18,989
04/30/96 18,998 18,592 18,740 19,005
05/31/96 19,009 18,603 18,744 19,044
06/30/96 19,196 18,785 18,920 19,181
07/31/96 19,253 18,841 18,969 19,256
08/31/96 19,342 18,928 19,047 19,323
09/30/96 19,609 19,189 19,302 19,498
10/31/96 19,883 19,458 19,565 19,717
11/30/96 20,144 19,713 19,813 19,868
12/31/96 20,081 19,652 19,744 19,868
01/31/97 20,242 19,809 19,896 19,962
02/28/97 20,317 19,882 19,961 20,007
03/31/97 20,227 19,795 19,866 20,000
04/30/97 20,466 20,028 20,092 20,163
05/31/97 20,630 20,189 20,245 20,301
06/30/97 20,784 20,340 20,388 20,440
07/31/97 21,113 20,661 20,700 20,665
08/31/97 21,094 20,643 20,671 20,684
09/30/97 21,271 20,816 20,837 20,841
10/31/97 21,420 20,962 20,976 20,996
11/30/97 21,476 21,016 21,029 21,047
12/31/97 21,632 21,170 21,176 21,191
01/31/98 21,790 21,324 21,320 21,396
02/28/98 21,858 21,390 21,378 21,415
03/31/98 21,943 21,474 21,452 21,502
04/30/98 22,055 21,583 21,553 21,603
05/31/98 22,187 21,713 21,674 21,718
06/30/98 22,234 21,759 21,709 21,831
07/31/98 22,332 21,854 21,793 21,933
08/31/98 22,412 21,933 21,863 22,209
09/30/98 22,860 22,372 22,291 22,503
10/31/98 22,817 22,329 22,240 22,613
11/30/98 22,942 22,452 22,354 22,594
12/31/98 23,075 22,582 22,472 22,673
01/31/99 23,170 22,675 22,555 22,763
02/28/99 23,040 22,548 22,420 22,652
03/31/99 23,229 22,733 22,595 22,810
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. See page 27 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------------
1 year or less 13%
- -------------------------------------------
1-5 years 72%
- -------------------------------------------
5-10 years 15%
- -------------------------------------------
10-20 years 0%
- -------------------------------------------
20-30 years 0%
- -------------------------------------------
Duration 2.6 years
- -------------------------------------------
Sector Breakdown
- -------------------------------------------
Mortgage-Backed Securities 53.5%
- -------------------------------------------
Corporate Bonds & Notes 31.4%
- -------------------------------------------
U.S. Treasury Obligations 3.7%
- -------------------------------------------
Sovereign Issues 3.1%
- -------------------------------------------
Other 8.3%
- -------------------------------------------
Quality Breakdown
- -------------------------------------------
AAA 63.2%
- -------------------------------------------
AA 7.3%
- -------------------------------------------
A 11.7%
- -------------------------------------------
BBB 10.0%
- -------------------------------------------
BB 7.5%
- -------------------------------------------
B 0.3%
- -------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Low Duration Fund seeks to maximize total return in a method consistent with
the preservation of capital and prudent investment management. For the year
ended March 31, 1999, the Fund's Class A shares returned 5.9%, which compared
favorably to the Lipper Short Investment Grade Fund Average, which returned 5.1%
for the same period. Over the longer-term, the Fund has outperformed the Lipper
Average over the three, five, and ten-year periods as well as since inception.
The Fund's above index duration (sensitivity to changes in interest rates)
increased returns as short- and intermediate-term interest rates fell during the
flight-to-quality rally that ensued after Russia's collapse in the third quarter
of 1998. Corporate sector holdings also helped returns in the fourth quarter of
1998 and first quarter of this year when yield premiums, the difference in yield
between corporate issues and like-maturity Treasuries, narrowed as market
uncertainty declined and the outlook for corporate profits improved.
The substantial allocation to mortgage-backed securities was neutral for
performance over the past year. As interest rates fell, the Fund's holdings in
this segment fell actually in price because of the increased prepayment risks.
However, the manager's choice of lower-coupon, less prepayment sensitive
mortgages faired better than the sector as a whole. The portfolio's
concentration in maturities longer than the benchmark hindered relative
performance as these yields declined less than other areas of the yield curve.
Looking ahead the manager sees the U.S. economic expansion continuing, albeit
at a more moderate pace. With inflation still low the Federal Reserve is likely
to remain neutral. In this environment interest rates should be stable and
range-bound. The decreasing interest rate volatility will require the manager to
employ strategies that enhance yield in order to improve performance. That means
the Fund intends to target duration slightly above the benchmark in order to
capture the higher yield that the longer-maturity securities provide and
emphasize mortgage-backed securities as high quality, yield-enhancing holdings.
20 See page 45 for financial details.
<PAGE>
PIMCO Money Market Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
FUND INCEPTION DATE:
3/1/91
TOTAL NET ASSETS:
$538 million
PORTFOLIO MANAGER:
Leslie Barbi
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
PERFORMANCE
- ------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
<S> <C> <C> <C> <C> <C>
A Shares B Shares C Shares Lipper Money Lipper Money
Market Fund Market
Average Index
- ------------------------------------------------------------------------------------------
1 year 4.8% 4.0% 4.9% 4.7% 4.9%
3 years 4.9% 4.1% 5.0% 4.8% 5.0%
5 years 5.0% 4.1% 5.0% 4.9% 5.0%
Inception 4.4% 3.5% 4.4% -- --
7-Day Yields
A Shares B Shares C Shares
- ------------------------------------------------------------------------------------------
As of 3/31/99 4.4% 3.5% 4.4%
As of 9/30/98 5.2% 4.2% 5.1%
As of 3/31/98 5.0% 4.2% 5.0%
</TABLE>
*Past performance is no guarantee of future results. An investment in the Money
Market Fund is neither insured nor guaranteed by the Federal Deposit Insurance
Company or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. Yield quotations more closely reflect the current
earnings of the Fund than the total return quotations. See page 27 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------
1 year or less 100%
- --------------------------------------
Duration: 33 days
- --------------------------------------
Sector Breakdown
- --------------------------------------
Short-Term Instruments 100.0%
- --------------------------------------
Quality Breakdown
- --------------------------------------
AAA 79.6%
AA 20.4%
- --------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Money Market Fund posted good results for the 12-month period ended March
31, 1999, as Class A shares returned 4.8%, outperforming the Lipper Money Market
Fund Average, which returned 4.7% for the period. The Fund, which seeks current
income consistent with capital preservation and liquidity through investment in
short-term, fixed income securities, has an Aaa money market fund rating by
Moody's Investors Service.
Over the course of the past year, commercial paper yields fell by 70 basis
points after the Federal Reserve cut interest rates by 75 basis points in
response to the financial market turmoil around the world. This move had a
negative impact on performance. However, the yield differential between top-tier
commercial paper and Treasury bills widened during the year as the
flight-to-quality money ran to Treasury bills. This left the commercial paper
segment with a relatively attractive yield. In addition, the 7-day SEC yield at
the end of March stood at 4.4% for Class A shares, which represents a
significant premium over the inflation rate for that time period of 1.7%.
Looking ahead, the Fund's manager currently intends to emphasize liquid,
high-quality commercial paper, which offer higher yields than Treasuries with
minimal additional risk. It is currently anticipated that the Fund will continue
to have an average maturity of 30 days, as the additional yield obtained from
holding longer maturities is minimal.
See page 51 for financial details. 21
<PAGE>
PIMCO Municipal Bond Fund
OBJECTIVE:
High current income exempt from federal income tax, consistent with
preservation of capital.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-10 years
FUND INCEPTION DATE:
12/31/97
TOTAL NET ASSETS:
$59 million
PORTFOLIO MANAGER:
Ben Ehlert
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ----------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper Lehman Bros.
Gen. Municipal Municipal Bond
Adjusted Adjusted Adjusted Bond Fund Avg. Index
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 5.7% 2.5% 4.9% -0.1% 4.1% 4.9% 6.2%
Inception 5.1% 2.6% 4.3% 1.1% 4.6% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO Lehman Bros.
Municipal Municipal Municipal Municipal
Bond A Bond B Bond C Bond Index
<S> <C> <C> <C> <C>
12/31/97 9,700 10,000 10,000 10,000
01/31/98 9,812 10,108 10,110 10,103
02/28/98 9,763 10,052 10,056 10,106
03/31/98 9,768 10,051 10,057 10,115
04/30/98 9,700 9,976 9,984 10,070
05/31/98 9,890 10,164 10,174 10,229
06/30/98 9,921 10,188 10,201 10,269
07/31/98 9,928 10,189 10,205 10,294
08/31/98 10,109 10,369 10,388 10,454
09/30/98 10,242 10,499 10,520 10,585
10/31/98 10,218 10,467 10,391 10,585
11/30/98 10,242 10,485 10,311 10,622
12/31/98 10,251 10,487 10,215 10,648
01/31/99 10,384 10,617 10,244 10,775
02/28/99 10,316 10,541 10,071 10,727
03/31/99 10,322 10,141 9,973 10,742
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. These returns represent the
blended performance of the Fund's retail class shares (for the period from
4/1/98) and the prior performance of the Fund's institutional class shares,
adjusted for retail class fees and expenses. Retail class shares were first
offered in April 1998. Income from the Fund may be subject to state and local
taxes and (if applicable) the Alternative Minimum Tax. See page 27 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ---------------------------------------
1 year or less 4%
- ---------------------------------------
1-5 years 12%
- ---------------------------------------
5-10 years 53%
- ---------------------------------------
10-20 years 27%
- ---------------------------------------
20-30 years 4%
- ---------------------------------------
Duration 7.5 years
- ---------------------------------------
Sector Breakdown
- ---------------------------------------
Municipal Bonds & Notes 99.7%
- ---------------------------------------
Other 0.3%
Quality Breakdown
- ---------------------------------------
AAA 56.0%
- ---------------------------------------
AA 17.6%
- ---------------------------------------
A 12.6%
- ---------------------------------------
BBB 10.8%
- ---------------------------------------
BB 3.0%
- ---------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Municipal Bond Fund was launched on December 31, 1997. The Fund seeks high
current income exempt from federal taxes through investment in investment-grade
municipal securities. A secondary objective of the Fund is to seek capital
appreciation. The total return potential of this Fund sets it apart from many
other tax-exempt funds.
For the year ending March 31, 1999, the Fund returned 5.7% for its Class A
shares, outpacing the Lipper General Municipal Bond Fund Average, which returned
4.9% for the same period.
The global turmoil that effected other credit segments, such as foreign and
emerging markets, in the second and third quarter of 1998, positively impacted
the municipal bond market as their yields fell in sympathy with the drop in U.S.
Treasury yields. The Fund benefited from above benchmark duration (the
sensitivity to changes in interest rates) during this period. In addition, the
ratio of municipal yields to Treasury yields, for maturities above 10 years,
narrowed, meaning that on an after-tax basis Treasury yields were lower than
municipal yields. This enhanced performance on a relative basis. The Fund's
results were aided further by the manager's selection of insured and revenue
bond holdings, which performed better than the associated benchmark index
sectors.
Going forward, the manager currently intends to keep the duration of the Fund
closer to the benchmark as we enter a period where we believe interest rates
will remain within a tight range. As the benefits of investing in lower quality
municipal securities remain relatively marginal, it is anticipated that the Fund
will maintain an average quality of AA in order to maximize returns while
minimizing risk.
22 See page 52 for financial details.
<PAGE>
PIMCO Real Return Bond Fund
OBJECTIVE:
Maximum real return, consistent with preservation of real capital
and prudent investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
FUND INCEPTION DATE:
1/29/97
Total Net Assets:
$28 million
PORTFOLIO MANAGER:
John Brynjolfsson
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper Short Lehman
U.S. Govt. Inflation Linked
Adjusted Adjusted Adjusted Fund Avg. Tsy. Index
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 6.0% 2.8% 5.2% 0.2% 4.5% 5.2% 4.0%
Inception 4.7% 3.3% 4.0% 2.7% 4.2% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO Lehman
Real Return A Real Return B Real Return C Infl Linked
Treas. Index
<S> <C> <C> <C> <C>
01/31/97 9,700 10,000 10,000 10,000
02/28/97 9,735 10,029 10,032 10,033
03/31/97 9,651 9,927 9,928 9,896
04/30/97 9,698 9,978 9,977 9,956
05/31/97 9,750 10,028 10,027 10,010
06/30/97 9,726 9,997 9,996 9,978
07/31/97 9,841 10,110 10,108 10,072
08/31/97 9,858 10,121 10,124 10,103
09/30/97 9,874 10,131 10,142 10,123
10/31/97 9,995 10,249 10,263 10,227
11/30/97 10,044 10,293 10,309 10,284
12/31/97 9,989 10,230 10,249 10,241
01/31/98 10,044 10,280 10,301 10,291
02/28/98 10,030 10,260 10,282 10,282
03/31/98 10,047 10,274 10,298 10,277
04/30/98 10,097 10,318 10,344 10,315
05/31/98 10,135 10,350 10,379 10,388
06/30/98 10,167 10,376 10,407 10,414
07/31/98 10,242 10,446 10,479 10,463
08/31/98 10,246 10,444 10,479 10,486
09/30/98 10,481 10,676 10,715 10,697
10/31/98 10,533 10,722 10,763 10,721
11/30/98 10,514 10,697 10,739 10,710
12/31/98 10,466 10,640 10,685 10,646
01/31/99 10,617 10,787 10,834 10,769
02/28/99 10,589 10,752 10,802 10,693
03/31/99 10,649 10,506 10,859 10,689
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 27 for Footnotes,
which include additional details.
- ------------------------------------------
PORTFOLIO COMPOSITION
- ------------------------------------------
Maturity Profile
- ------------------------------------------
1 year or less 4%
- ------------------------------------------
1-5 years 92%
- ------------------------------------------
5-10 years 1%
- ------------------------------------------
10-20 years 1%
- ------------------------------------------
20-30 years 2%
- ------------------------------------------
Duration 2.5 years
- ------------------------------------------
Sector Breakdown
- ------------------------------------------
U.S. Treasury Obligations 51.2%
- ------------------------------------------
U.S. Government Agencies 15.8%
- ------------------------------------------
Corporate Bonds & Notes 12.6%
- ------------------------------------------
Asset-Backed Securities 10.7%
- ------------------------------------------
Other 9.7%
- ------------------------------------------
Quality Breakdown
- ------------------------------------------
AAA 85.4%
- ------------------------------------------
AA 5.9%
- ------------------------------------------
A 4.2%
- ------------------------------------------
BBB 1.8%
- ------------------------------------------
BB 2.7%
- ------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
This Fund seeks to maximize real return, consistent with preservation of real
capital through investment in inflation-indexed bonds. Inflation-indexed
Treasury securities are offered by the U.S. government to provide protection
against the effects of inflation. Specifically, these bonds pay a fixed interest
rate, while the principal value fluctuates with changes in the inflation rate
(as measured by the Consumer Price Index). And if an investor holds the bonds to
maturity, the government guarantees the return of the inflation-adjusted initial
principal.
Over the past 12 months, the Fund returned 6.0% for its Class A shares,
beating it's benchmark, the Lehman Inflation-Linked Index, which returned 4.0%
for the same period.
Although the Fund may invest in securities that are not inflation-indexed,
the manager chose to limit the Fund's weight in this area, as U.S. real yields
remained at historically high levels. The Fund benefited from the narrowing in
the difference between the yields of inflation-indexed Treasuries and regular
Treasuries over the course of the year, which made the inflation-indexed yields
higher than regular yields adjusted for inflation.
The Fund's duration (sensitivity to changes in interest rates) management
also enhanced performance. During the third quarter of 1998, the flight-to-
quality rally caused by Russia's collapse led to lower interest rates and
enhanced returns as the portfolio's duration was targeted above the benchmark.
And in the first quarter of this year the duration was reduced to lower the
Fund's exposure to price erosion as interest rates rose.
Looking forward, although inflation currently sits at historic lows, the
manager currently feels this is an opportune time to invest in inflation-indexed
bonds. By investing before prices start to climb, investors retain their
purchasing power and with the potential to take maximum advantage of the
adjustment to principal that will come if prices do increase.
See page 55 for financial details. 23
<PAGE>
PIMCO Short-Term Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
10/7/87
TOTAL NET ASSETS:
$602 million
PORTFOLIO MANAGER:
Bill Gross
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ----------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper Ultra- Lipper Money
Short Obligation Market
Adjusted Adjusted Adjusted Fund Average Index
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 5.2% 3.1% 4.4% -0.6% 3.9% 5.2% 4.9%
5 years 6.1% 5.7% 5.4% 5.0% 5.8% 5.5% 5.0%
10 years 5.9% 5.7% 5.3% 5.3% 5.6% 5.9% 5.2%
Inception 6.1% 5.9% 5.6% 5.6% 5.8% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lipper
MONTH Short- Short- Short- Money
Term A Term B Term C Mkt. Index
<S> <C> <C> <C> <C>
10/31/87 9,800 10,000 10,000 10,000
11/30/87 9,855 10,049 10,053 10,056
12/31/87 9,912 10,100 10,108 10,114
01/31/88 9,976 10,160 10,172 10,171
02/29/88 10,015 10,193 10,209 10,223
03/31/88 10,067 10,240 10,260 10,277
04/30/88 10,120 10,287 10,311 10,327
05/31/88 10,173 10,336 10,364 10,382
06/30/88 10,228 10,385 10,416 10,439
07/31/88 10,277 10,429 10,464 10,500
08/31/88 10,340 10,486 10,526 10,566
09/30/88 10,405 10,546 10,589 10,632
10/31/88 10,494 10,628 10,676 10,701
11/30/88 10,561 10,690 10,742 10,768
12/31/88 10,620 10,743 10,799 10,842
01/31/89 10,693 10,811 10,871 10,920
02/28/89 10,766 10,878 10,943 10,993
03/31/89 10,858 10,963 11,033 11,078
04/30/89 10,937 11,036 11,111 11,161
05/31/89 11,033 11,127 11,207 11,250
06/30/89 11,114 11,201 11,285 11,335
07/31/89 11,205 11,286 11,374 11,419
08/31/89 11,262 11,335 11,429 11,500
09/30/89 11,336 11,403 11,502 11,578
10/31/89 11,439 11,500 11,603 11,659
11/30/89 11,513 11,567 11,675 11,736
12/31/89 11,576 11,623 11,737 11,815
01/31/90 11,629 11,670 11,789 11,895
02/28/90 11,698 11,732 11,855 11,966
03/31/90 11,773 11,800 11,927 12,044
04/30/90 11,819 11,839 11,970 12,122
05/31/90 11,927 11,941 12,078 12,204
06/30/90 12,002 12,009 12,150 12,281
07/31/90 12,083 12,082 12,228 12,362
08/31/90 12,144 12,136 12,288 12,442
09/30/90 12,223 12,207 12,364 12,517
10/31/90 12,314 12,288 12,452 12,598
11/30/90 12,410 12,377 12,545 12,676
12/31/90 12,507 12,466 12,641 12,756
01/31/91 12,594 12,545 12,725 12,834
02/28/91 12,660 12,604 12,789 12,899
03/31/91 12,715 12,651 12,842 12,966
04/30/91 12,792 12,720 12,915 13,031
05/31/91 12,861 12,781 12,982 13,095
06/30/91 12,906 12,818 13,025 13,153
07/31/91 12,979 12,883 13,096 13,216
08/31/91 13,060 12,955 13,174 13,276
09/30/91 13,129 13,016 13,239 13,334
10/31/91 13,203 13,081 13,311 13,392
11/30/91 13,233 13,104 13,339 13,446
12/31/91 13,285 13,147 13,388 13,501
01/31/92 13,332 13,186 13,432 13,551
02/29/92 13,358 13,203 13,454 13,593
03/31/92 13,380 13,218 13,474 13,636
04/30/92 13,434 13,263 13,525 13,679
05/31/92 13,473 13,293 13,562 13,720
06/30/92 13,524 13,336 13,611 13,759
07/31/92 13,578 13,380 13,661 13,799
08/31/92 13,611 13,404 13,690 13,835
09/30/92 13,645 13,430 13,720 13,868
10/31/92 13,657 13,434 13,729 13,902
11/30/92 13,672 13,440 13,740 13,934
12/31/92 13,710 13,470 13,775 13,969
01/31/93 13,754 13,505 13,816 14,002
02/28/93 13,789 13,531 13,848 14,031
03/31/93 13,851 13,582 13,906 14,064
04/30/93 13,896 13,619 13,949 14,095
05/31/93 13,949 13,662 13,999 14,124
06/30/93 14,004 13,706 14,050 14,155
07/31/93 14,053 13,746 14,095 14,187
08/31/93 14,088 13,772 14,126 14,219
09/30/93 14,122 13,797 14,157 14,250
10/31/93 14,170 13,835 14,201 14,282
11/30/93 14,221 13,877 14,249 14,313
12/31/93 14,286 13,932 14,310 14,346
01/31/94 14,309 13,946 14,330 14,379
02/28/94 14,323 13,953 14,342 14,409
03/31/94 14,299 13,920 14,313 14,444
04/30/94 14,320 13,932 14,332 14,480
05/31/94 14,329 13,931 14,336 14,521
06/30/94 14,393 13,985 14,398 14,563
07/31/94 14,460 14,041 14,461 14,608
08/31/94 14,515 14,086 14,513 14,657
09/30/94 14,529 14,092 14,525 14,707
10/31/94 14,565 14,127 14,558 14,762
11/30/94 14,576 14,137 14,565 14,818
12/31/94 14,637 14,196 14,624 14,882
01/31/95 14,708 14,266 14,691 14,948
02/28/95 14,842 14,395 14,822 15,011
03/31/95 14,873 14,426 14,848 15,082
04/30/95 15,031 14,579 15,003 15,150
05/31/95 15,181 14,724 15,148 15,222
06/30/95 15,230 14,771 15,194 15,292
07/31/95 15,321 14,860 15,280 15,363
08/31/95 15,390 14,927 15,346 15,432
09/30/95 15,533 15,066 15,484 15,500
10/31/95 15,644 15,173 15,589 15,570
11/30/95 15,788 15,312 15,728 15,637
12/31/95 15,920 15,441 15,857 15,705
01/31/96 15,995 15,514 15,927 15,774
02/29/96 16,022 15,540 15,951 15,836
03/31/96 16,072 15,588 15,997 15,899
04/30/96 16,146 15,660 16,067 15,963
05/31/96 16,228 15,740 16,146 16,028
06/30/96 16,316 15,825 16,230 16,091
07/31/96 16,362 15,869 16,271 16,158
08/31/96 16,463 15,967 16,368 16,226
09/30/96 16,619 16,119 16,521 16,290
10/31/96 16,751 16,246 16,648 16,356
11/30/96 16,900 16,391 16,793 16,422
12/31/96 16,964 16,453 16,851 16,491
01/31/97 17,064 16,550 16,946 16,560
02/28/97 17,138 16,622 17,015 16,621
03/31/97 17,144 16,628 17,020 16,689
04/30/97 17,240 16,721 17,112 16,758
05/31/97 17,363 16,840 17,230 16,830
06/30/97 17,477 16,951 17,337 16,901
07/31/97 17,612 17,082 17,467 16,973
08/31/97 17,663 17,131 17,514 17,046
09/30/97 17,780 17,244 17,626 17,118
10/31/97 17,819 17,282 17,662 17,191
11/30/97 17,895 17,357 17,736 17,264
12/31/97 17,994 17,452 17,828 17,340
01/31/98 18,098 17,553 17,928 17,416
02/28/98 18,160 17,613 17,985 17,484
03/31/98 18,280 17,729 18,100 17,559
04/30/98 18,362 17,809 18,178 17,631
05/31/98 18,443 17,887 18,255 17,707
06/30/98 18,505 17,948 18,311 17,779
07/31/98 18,614 18,054 18,414 17,856
08/31/98 18,620 18,059 18,416 17,933
09/30/98 18,743 18,179 18,532 18,006
10/31/98 18,812 18,246 18,595 18,078
11/30/98 18,874 18,306 18,652 18,149
12/31/98 18,952 18,381 18,725 18,219
01/31/99 19,024 18,451 18,792 18,291
02/28/99 19,100 18,525 18,862 18,353
03/31/99 19,234 18,654 18,990 18,422
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 27 for Footnotes,
which include additional details.
- -------------------------------------------
PORTFOLIO COMPOSITION
- -------------------------------------------
Maturity Profile
- -------------------------------------------
1 year or less 64%
- -------------------------------------------
1-5 years 36%
- -------------------------------------------
5-10 years 0%
- -------------------------------------------
10-20 years 0%
- -------------------------------------------
20-30 years 0%
- -------------------------------------------
Duration 0.5 years
- -------------------------------------------
Sector Breakdown
- -------------------------------------------
Mortgage-Backed Securities 46.1%
- -------------------------------------------
Corporate Bonds & Notes 27.0%
- -------------------------------------------
Short-Term Instruments 12.5%
- -------------------------------------------
Asset-Backed Securities 4.9%
- -------------------------------------------
Other 9.5%
- -------------------------------------------
Quality Breakdown
- -------------------------------------------
AAA 64.3%
- -------------------------------------------
AA 4.4%
- -------------------------------------------
A 18.4%
- -------------------------------------------
BBB 5.1%
- -------------------------------------------
BB 7.8%
- -------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Short-Term Fund seeks maximum current income through investment in
short-term, investment grade bonds. For the year ended March 31, 1999, the Fund
returned 5.2% for Class A shares matching the performance of the Lipper
Ultra-Short Obligations Fund. Over the longer term the Fund outperformed the
Lipper Average for the three- and five-year periods as well as since inception.
The Fund's standardized yield over the past year was 4.7%. This compares
favorably with the 7-day money market yield of 4.4% and the six-month CD yield
of 4.0%, according to Banxquote Money Market. Please keep in mind when comparing
these yields that money market funds attempt to keep a fixed share price and
that CDs are guaranteed. The Fund's shares, on the other hand, are not
guaranteed and its share price can fluctuate.
Asia's economic problems coupled with Russia's collapse in the third quarter
of 1998 led to a flight-to-quality rally for U.S. Treasuries. Despite the
continued strength of the U.S. economy, the Federal Reserve lowered interest
rates by three-quarters of a percentage point in a successful effort to restore
confidence and liquidity.
Holdings in mortgage-backed securities, the Fund's largest weight at the end
of the first quarter, helped returns over the past year, as these bonds offered
a higher yield than government securities with similar duration (sensitivity to
changes in interest rates) without adding a significant amount of additional
risk. Short-maturity corporate bonds also added to performance, as the flight to
quality impact from the global financial crisis was not enough to offset the
higher yield offered by the higher-quality corporate issues. The Fund's above-
index duration was a positive, as the decline in interest rates provided greater
price appreciation. Finally, the Fund's small allocation to dollar-denominated
Latin American issues detracted from performance as the asset class was hit by
the uncertainty surrounding the global turmoil.
Going forward, it is currently anticipated that the duration of the Fund will
be targeted near its benchmark as the manager anticipates a stable, range bound
interest rate environment with a slowing economy. Given this outlook, it is
currently anticipated that the manager will likely add shorter-term BBB and
fundamentally sound, below-investment grade securities to the portfolio in order
to capture their higher yields.
24 See page 57 for financial details.
<PAGE>
PIMCO StocksPLUS Fund
OBJECTIVE:
Total return which exceeds that of the S&P 500.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
5/14/93
TOTAL NET ASSETS:
$1,202 million
PORTFOLIO MANAGER:
Bill Gross
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- -----------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper Growth
Income Fund S&P 500
Adjusted Adjusted Adjusted Average Index
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 17.1% 13.6% 16.2% 11.2% 15.5% 5.5% 18.5%
3 years 27.0% 25.8% 26.1% 25.5% 26.4% 19.5% 28.1%
5 years 26.5% 25.7% 25.6% 25.4% 25.8% 19.5% 26.3%
Inception 22.9% 22.2% 22.0% 21.9% 22.3% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
MONTH PIMCO PIMCO PIMCO S&P
Stocks Stocks Stocks 500
PLUS A PLUS B PLUS C Index
<S> <C> <C> <C> <C>
05/31/93 9,700 10,000 10,000 10,000
06/30/93 9,749 10,043 10,044 10,029
07/31/93 9,727 10,015 10,016 9,989
08/31/93 10,094 10,383 10,397 10,368
09/30/93 9,993 10,276 10,289 10,288
10/31/93 10,211 10,487 10,501 10,501
11/30/93 10,092 10,362 10,376 10,401
12/31/93 10,271 10,544 10,560 10,527
01/31/94 10,605 10,880 10,899 10,885
02/28/94 10,275 10,534 10,550 10,589
03/31/94 9,818 10,052 10,084 10,128
04/30/94 9,938 10,175 10,198 10,258
05/31/94 10,120 10,350 10,384 10,426
06/30/94 9,902 10,126 10,158 10,170
07/31/94 10,284 10,510 10,546 10,504
08/31/94 10,750 10,978 11,018 10,935
09/30/94 10,563 10,784 10,823 10,668
10/31/94 10,729 10,942 10,983 10,907
11/30/94 10,397 10,593 10,642 10,510
12/31/94 10,529 10,729 10,768 10,666
01/31/95 10,816 11,009 11,061 10,943
02/28/95 11,299 11,493 11,550 11,369
03/31/95 11,603 11,800 11,849 11,705
04/30/95 11,975 12,165 12,228 12,049
05/31/95 12,513 12,706 12,774 12,531
06/30/95 12,783 12,969 13,039 12,822
07/31/95 13,185 13,375 13,448 13,247
08/31/95 13,270 13,454 13,528 13,280
09/30/95 13,829 14,006 14,096 13,841
10/31/95 13,801 13,971 14,061 13,791
11/30/95 14,461 14,624 14,720 14,397
12/31/95 14,736 14,892 15,003 14,674
01/31/96 15,259 15,421 15,522 15,174
02/29/96 15,296 15,448 15,550 15,314
03/31/96 15,494 15,638 15,755 15,462
04/30/96 15,683 15,818 15,938 15,690
05/31/96 16,039 16,165 16,288 16,094
06/30/96 16,187 16,304 16,428 16,156
07/31/96 15,429 15,537 15,655 15,442
08/31/96 15,750 15,850 15,985 15,768
09/30/96 16,667 16,760 16,902 16,655
10/31/96 17,194 17,277 17,426 17,114
11/30/96 18,466 18,544 18,706 18,408
12/31/96 18,067 18,134 18,292 18,043
01/31/97 19,177 19,218 19,402 19,171
02/28/97 19,303 19,345 19,548 19,321
03/31/97 18,446 18,461 18,657 18,527
04/30/97 19,573 19,591 19,797 19,633
05/31/97 20,812 20,817 21,036 20,828
06/30/97 21,667 21,667 21,886 21,761
07/31/97 23,438 23,407 23,661 23,493
08/31/97 22,170 22,122 22,378 22,177
09/30/97 23,311 23,261 23,519 23,392
10/31/97 22,554 22,505 22,755 22,610
11/30/97 23,474 23,394 23,670 23,657
12/31/97 23,908 23,810 24,101 24,063
01/31/98 24,214 24,115 24,409 24,329
02/28/98 25,842 25,702 26,032 26,084
03/31/98 27,128 26,971 27,305 27,420
04/30/98 27,457 27,279 27,617 27,695
05/31/98 26,897 26,701 27,053 27,219
06/30/98 27,943 27,723 28,097 28,325
07/31/98 27,633 27,393 27,763 28,023
08/31/98 23,394 23,188 23,513 23,972
09/30/98 25,186 24,932 25,288 25,507
10/31/98 27,178 26,912 27,273 27,582
11/30/98 28,722 28,408 28,806 29,254
12/31/98 30,537 30,167 30,623 30,940
01/31/99 31,560 31,159 31,631 32,233
02/28/99 30,493 30,100 30,558 31,232
03/31/99 31,765 31,340 31,808 32,481
</TABLE>
*Past performance is no guarantee of future results. The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 27 for Footnotes,
which include additional details.
- ---------------------------------------------
PORTFOLIO COMPOSITION
- ---------------------------------------------
Maturity Profile
- ---------------------------------------------
1 year or less 0%
- ---------------------------------------------
1-5 years 99%
- ---------------------------------------------
5-10 years 1%
- ---------------------------------------------
10-20 years 0%
- ---------------------------------------------
20-30 years 0%
- ---------------------------------------------
Duration 0.8 years
- ---------------------------------------------
Sector Breakdown
- ---------------------------------------------
Corporate Bonds & Notes 37.2%
- ---------------------------------------------
Short-Term Instruments 32.0%
- ---------------------------------------------
Mortgage-Backed Securities 22.3%
- ---------------------------------------------
Sovereign Issues 4.4%
- ---------------------------------------------
Other 4.1%
- ---------------------------------------------
Quality Breakdown
- ---------------------------------------------
AAA 48.3%
- ---------------------------------------------
AA 20.3%
- ---------------------------------------------
A 15.6%
- ---------------------------------------------
BBB 9.0%
- ---------------------------------------------
BB 6.8%
- ---------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
StocksPLUS is an innovative, enhanced index stock fund that seeks total return
in excess of the Standard & Poor's 500 index (S&P 500) in part through
investment in S&P 500 futures. These futures are purchased with a small
percentage of the Fund's assets, freeing the remaining assets for investment in
an actively managed portfolio of short-term, investment grade bonds that can add
incremental return beyond that of the S&P 500 Index.
The Fund produced strong relative returns for the year ended March 31, 1999,
with Class A shares returning 17.1%. For the same time period the Fund's
benchmark, the Lipper Growth and Income Fund Average, returned 5.5% and the S&P
500 posted a gain of 18.5%.
The past year can be broken down into two halves. The first half was
dominated by global turmoil, emanating from Asia and Russia's default and
devaluation, which increased volatility in the financial markets. As investors
fled to safe-haven securities, such as Treasuries, the S&P 500 Index declined
significantly.
However, in response to the crisis the Federal Reserve cut interest rates
three times, setting the stage for a dramatic rebound in the stock market, which
made new highs in the fourth quarter of 1998. In the first quarter of 1999, the
S&P 500 extended its gains, fueled by a strong U.S. economy and a relatively
calm global backdrop.
When all four quarters are taken together, the Fund captured most of the
stock market's gains. The bond portion of the Fund also did well as the
portfolio's extended duration (sensitivity to changes in interest rates) helped
performance as interest rates fell over the course of the year. However, the
Fund's allocation to corporate debt did relatively poorly because of increased
credit risk related to the global problems. Mortgage-backed securities also
underperformed as prepayment risk increased.
Looking ahead, the Fund's management currently anticipates that the economy
will continue to expand, but at a more moderate pace, and that the Federal
Reserve will maintain a neutral stance. In such circumstances, interest rates
would likely remain stable and range bound for the coming year. The manager
currently plans to attempt to enhance performance, seeking to outperform the S&P
500, by adding higher-yielding corporate and mortgage issues to the Fund's bond
portfolio.
See page 59 for financial details. 25
<PAGE>
PIMCO Total Return Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of investment grade bonds.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$26,125 million
PORTFOLIO MANAGER:
Bill Gross
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
PERFORMANCE*
- ---------------------------------------------------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
A Shares B Shares C Shares Lipper Inter. Lehman
Inv. Grade Debt Agg. Bond
Adjusted Adjusted Adjusted Fund Avg. Index
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 year 7.1% 2.3% 6.3% 1.4% 5.3% 5.2% 6.5%
5 years 7.9% 6.9% 7.1% 6.8% 7.1% 6.9% 7.8%
10 years 9.6% 9.1% 9.1% 9.1% 8.8% 8.2% 9.1%
Inception 9.1% 8.7% 8.7% 8.7% 8.4% -- --
</TABLE>
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO PIMCO PIMCO Lehman
MONTH Total Return A Total Return B Total Return C Agg. Bond
Index
<S> <C> <C> <C> <C>
05/31/87 9,550 10,000 10,000 10,000
06/30/87 9,668 10,117 10,117 10,138
07/31/87 9,641 10,082 10,082 10,130
08/31/87 9,615 10,048 10,048 10,076
09/30/87 9,371 9,787 9,787 9,861
10/31/87 9,666 10,089 10,089 10,212
11/30/87 9,733 10,152 10,152 10,294
12/31/87 9,818 10,233 10,233 10,434
01/31/88 10,215 10,642 10,642 10,801
02/29/88 10,329 10,753 10,753 10,929
03/31/88 10,233 10,646 10,646 10,827
04/30/88 10,176 10,581 10,581 10,768
05/31/88 10,122 10,518 10,518 10,696
06/30/88 10,360 10,759 10,759 10,954
07/31/88 10,343 10,735 10,735 10,897
08/31/88 10,388 10,775 10,775 10,925
09/30/88 10,581 10,969 10,969 11,172
10/31/88 10,744 11,132 11,132 11,383
11/30/88 10,644 11,021 11,021 11,244
12/31/88 10,688 11,059 11,059 11,257
01/31/89 10,816 11,184 11,184 11,419
02/28/89 10,744 11,102 11,102 11,336
03/31/89 10,790 11,143 11,143 11,385
04/30/89 11,027 11,382 11,382 11,624
05/31/89 11,291 11,647 11,647 11,929
06/30/89 11,667 12,028 12,028 12,292
07/31/89 11,910 12,271 12,271 12,554
08/31/89 11,700 12,047 12,047 12,368
09/30/89 11,754 12,096 12,096 12,431
10/31/89 12,031 12,374 12,374 12,737
11/30/89 12,132 12,470 12,470 12,858
12/31/89 12,152 12,483 12,483 12,893
01/31/90 11,944 12,262 12,262 12,740
02/28/90 11,971 12,283 12,283 12,781
03/31/90 11,957 12,261 12,261 12,790
04/30/90 11,784 12,074 12,074 12,673
05/31/90 12,165 12,457 12,457 13,048
06/30/90 12,366 12,655 12,655 13,258
07/31/90 12,563 12,847 12,847 13,441
08/31/90 12,361 12,632 12,632 13,261
09/30/90 12,368 12,632 12,632 13,371
10/31/90 12,535 12,793 12,793 13,541
11/30/90 12,846 13,103 13,103 13,832
12/31/90 13,067 13,320 13,320 14,048
01/31/91 13,192 13,440 13,440 14,222
02/28/91 13,372 13,615 13,615 14,343
03/31/91 13,536 13,774 13,774 14,442
04/30/91 13,753 13,986 13,986 14,598
05/31/91 13,850 14,077 14,077 14,684
06/30/91 13,867 14,086 14,086 14,676
07/31/91 14,061 14,275 14,275 14,880
08/31/91 14,436 14,647 14,647 15,202
09/30/91 14,773 14,980 14,980 15,510
10/31/91 14,919 15,119 15,119 15,682
11/30/91 15,043 15,235 15,235 15,826
12/31/91 15,550 15,740 15,740 16,296
01/31/92 15,418 15,596 15,596 16,074
02/29/92 15,547 15,720 15,720 16,179
03/31/92 15,482 15,644 15,644 16,088
04/30/92 15,558 15,711 15,711 16,204
05/31/92 15,874 16,021 16,021 16,510
06/30/92 16,069 16,210 16,210 16,737
07/31/92 16,456 16,591 16,591 17,078
08/31/92 16,591 16,717 16,717 17,251
09/30/92 16,848 16,966 16,966 17,456
10/31/92 16,695 16,802 16,802 17,224
11/30/92 16,703 16,800 16,800 17,228
12/31/92 16,990 17,079 17,079 17,502
01/31/93 17,298 17,378 17,378 17,838
02/28/93 17,677 17,749 17,749 18,150
03/31/93 17,772 17,836 17,836 18,226
04/30/93 17,922 17,976 17,976 18,353
05/31/93 17,957 18,001 18,001 18,376
06/30/93 18,342 18,375 18,375 18,709
07/31/93 18,448 18,471 18,471 18,815
08/31/93 18,861 18,873 18,873 19,145
09/30/93 18,931 18,934 18,934 19,197
10/31/93 19,060 19,051 19,051 19,269
11/30/93 18,886 18,868 18,868 19,105
12/31/93 19,038 19,008 19,008 19,209
01/31/94 19,262 19,221 19,221 19,468
02/28/94 18,912 18,861 18,861 19,130
03/31/94 18,505 18,444 18,444 18,658
04/30/94 18,316 18,245 18,245 18,509
05/31/94 18,223 18,141 18,141 18,507
06/30/94 18,148 18,067 18,056 18,466
07/31/94 18,513 18,430 18,408 18,832
08/31/94 18,559 18,476 18,443 18,856
09/30/94 18,318 18,236 18,192 18,578
10/31/94 18,289 18,207 18,152 18,562
11/30/94 18,283 18,201 18,136 18,521
12/31/94 18,270 18,189 18,111 18,648
01/31/95 18,590 18,507 18,417 19,017
02/28/95 19,019 18,934 18,831 19,470
03/31/95 19,193 19,107 18,991 19,589
04/30/95 19,523 19,435 19,306 19,863
05/31/95 20,134 20,044 19,897 20,631
06/30/95 20,114 20,024 19,865 20,783
07/31/95 20,118 20,028 19,857 20,736
08/31/95 20,419 20,328 20,143 20,986
09/30/95 20,668 20,576 20,377 21,191
10/31/95 20,974 20,881 20,666 21,466
11/30/95 21,421 21,325 21,094 21,788
12/31/95 21,781 21,684 21,436 22,094
01/31/96 21,951 21,853 21,590 22,240
02/29/96 21,409 21,313 21,044 21,854
03/31/96 21,235 21,140 20,861 21,702
04/30/96 21,140 21,045 20,754 21,580
05/31/96 21,074 20,980 20,678 21,536
06/30/96 21,403 21,307 20,988 21,825
07/31/96 21,450 21,354 21,021 21,885
08/31/96 21,424 21,328 20,981 21,848
09/30/96 21,908 21,810 21,443 22,229
10/31/96 22,469 22,369 21,979 22,721
11/30/96 22,993 22,890 22,478 23,111
12/31/96 22,699 22,597 22,177 22,896
01/31/97 22,771 22,669 22,241 22,966
02/28/97 22,814 22,712 22,270 23,023
03/31/97 22,532 22,431 21,980 22,768
04/30/97 22,930 22,828 22,354 23,109
05/31/97 23,157 23,054 22,560 23,327
06/30/97 23,421 23,317 22,803 23,604
07/31/97 24,068 23,960 23,417 24,240
08/31/97 23,851 23,745 23,190 24,034
09/30/97 24,230 24,122 23,545 24,388
10/31/97 24,512 24,402 23,801 24,742
11/30/97 24,614 24,504 23,889 24,856
12/31/97 24,893 24,781 24,142 25,106
01/31/98 25,268 25,155 24,493 25,428
02/28/98 25,190 25,077 24,402 25,408
03/31/98 25,266 25,153 24,460 25,497
04/30/98 25,354 25,241 24,534 25,630
05/31/98 25,641 25,526 24,794 25,873
06/30/98 25,882 25,766 25,012 26,092
07/31/98 25,957 25,841 25,070 26,148
08/31/98 26,359 26,241 25,443 26,573
09/30/98 27,139 27,018 26,181 27,196
10/31/98 26,949 26,829 25,979 27,052
11/30/98 27,041 26,920 26,052 27,205
12/31/98 27,195 27,073 26,182 27,287
01/31/99 27,347 27,225 26,316 27,482
02/28/99 26,833 26,713 25,808 27,002
03/31/99 27,053 26,932 26,004 27,152
</TABLE>
*Past performance is no guarantee of future results.The adjusted returns above
include the effect of applicable sales charges. Excluding the 1-year returns,
these returns represent the blended performance of the Fund's retail class
shares (for the period from 1/17/97) and the prior performance of the Fund's
institutional class shares, adjusted for retail class fees and expenses. Retail
class shares were first offered in January 1997. The Fund may invest in foreign
securities which involve potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 27 for Footnotes,
which include additional details.
- -----------------------------------------
PORTFOLIO COMPOSITION
- -----------------------------------------
Maturity Profile
- -----------------------------------------
1 year or less 13%
- -----------------------------------------
1-5 years 40%
- -----------------------------------------
5-10 years 21%
- -----------------------------------------
10-20 years 22%
- -----------------------------------------
20-30 years 4%
- -----------------------------------------
Duration 4.7 years
- -----------------------------------------
Sector Breakdown
- -----------------------------------------
Mortgage-Backed Securities 42.6%
- -----------------------------------------
Corporate Bonds & Notes 29.3%
- -----------------------------------------
U.S. Treasury Obligations 10.1%
- -----------------------------------------
Short-Term Instruments 6.2%
- -----------------------------------------
Asset-Backed Securities 4.6%
- -----------------------------------------
Other 7.2%
- -----------------------------------------
Quality Breakdown
- -----------------------------------------
AAA 62.3%
- -----------------------------------------
AA 7.0%
- -----------------------------------------
A 18.0%
- -----------------------------------------
BBB 6.0%
- -----------------------------------------
BB 6.6%
- -----------------------------------------
B 0.1%
- -----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Fund continues to deliver solid returns for shareholders. For
the year ended March 31, 1999, the Fund's Class A shares returned 7.1%,
exceeding the Lipper Intermediate Investment Grade Debt Fund Average of 5.2% for
the same time period. In addition, the Fund has outperformed the Lipper Average
for the three-, five- and ten-year periods as well as since the Fund's
inception.
The Fund's manager was cautiously bullish in the second and third quarters of
1998, enjoying a favorable interest rate environment while remaining wary of the
global economic turmoil. This strategy proved prudent, as the Fund benefited
from a combination of declining interest rates and successful allocation
strategies. The Fund's above-index duration (sensitivity to changes in interest
rates) boosted returns as yields fell. The portfolio's focus on higher-quality
securities helped performance as the global financial crisis deepened and
economic problems spread around the globe, pushing nervous investors into
higher-quality bonds. Our underweight position in corporate bonds also helped
the Fund since that sector underperformed for much of the year, due to
investors' fear that the U.S. economy and corporate earnings would slow due to
the global crisis.
Some of the strategies that contributed to performance in the second and
third quarters of last year detracted from returns in the fourth quarter of 1998
and the first quarter of 1999. As the global financial markets settled down,
investors returned to other segments of the bond market. Treasury prices
declined as interest rates picked up on news that the U.S. economy continued to
grow faster than expected. The portfolio's concentration in intermediate-
maturity securities was modestly negative for returns, as interest rates picked
up most in that portion of the yield curve. One strategy that did help results
in the first quarter was an overweighting in mortgage-backed securities, which
allowed the manager to enhance the portfolio's yield without undertaking a large
amount of additional risk.
Looking ahead, the manager currently sees the U.S. economic expansion
continuing, but at a more moderate pace, as consumer and investment spending
cool off later this year. The Federal Reserve would likely maintain a neutral
stance in such an environment, and interest rates would likely to remain stable
and range bound. If interest rate volatility declines, strategies and securities
that add incremental yield will be used to enhance performance.
26 See page 62 for financial details.
<PAGE>
- --------------------------------------------------------------------------------
FOOTNOTES
- --------------------------------------------------------------------------------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no indication of future results. Investment return will
fluctuate, and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. Total return measures
performance, assuming that all dividends and capital gains distributions were
reinvested.
Total return, both with and without a sales charge, has been presented. For
shareholders who have not bought or sold shares during the period quoted, the
non-adjusted figures are probably more meaningful than the adjusted figures. The
adjusted figures for Class A shares include the effect of paying the maximum
initial sales charge of either 4.5% (Long-Term U.S. Government, Foreign Bond,
Global Bond II, Emerging Markets Bond, High Yield and Total Return Funds), 3.00%
(Real Return Bond, Municipal Bond, Low Duration and StocksPLUS Funds) or 2.00%
(Short-Term Fund). The adjusted figures for Class B shares include the effect of
paying the contingent deferred sales charge (CDSC), which declines from 5% in
the first year to 0% at the beginning of the seventh year. The adjusted figures
for Class C shares include the effect of paying the 1% CDSC which may apply to
shares redeemed during the first year of ownership.
+Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended March 31,
1999.
Duration is a measurement of a Fund's price sensitivity expressed in years.
Line graphs have been included so an investor can compare a Fund's historical
performance to that of an appropriate broad-based index. Each index reflects a
group of unmanaged securities, and it is not possible to directly invest in an
unmanaged index. The J.P. Morgan Global Index (Hedged) is an index of
currency-hedged U.S. and foreign government bonds. The J.P. Morgan Non-U.S.
Index (Hedged) is an index of currency-hedged foreign government bonds. The J.P.
Morgan Emerging Markets Plus Index is an index of emerging-market bonds. The
Lehman Municipal Bond Index is an index of municipal bonds. The Lehman BB
Intermediate Corporate Index is an index of intermediate-term bonds with a BB
rating. The Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S.
Treasury issues with maturities from one to three years. The Lehman
Inflation-Linked Treasury Index is an index of inflation linked Treasury bonds.
The Lehman Aggregate Bond Index is an index of a variety of bonds. The Lehman
Intermediate and 20+ Year Treasury Index is an index of intermediate- and
long-term government securities. The Lipper Money Market Index is an index of
money market funds. The Standard & Poor's 500 Index is an index of stocks of
large-capitalization companies.
Lipper averages are calculated by Lipper, Inc., a nationally recognized mutual
fund performance evaluation firm. They are total-return performance averages of
those funds that are tracked by Lipper, with the investment objective noted.
They do not take sales charges into account.
Morningstar's risk rating is a statistic that evaluates a fund's downside
volatility relative to that of others in its investment class. To calculate it,
Morningstar concentrates on those months during which a fund underperformed the
average return of a 3-month Treasury bill. It does not take sales charges into
account. For the 3-year period ended 3/31/99, PIMCO High Yield Fund's risk
rating was the 3rd lowest among 146 funds.
Morningstar's return rating is a statistic that compares a fund's excess return,
adjusted for maximum front-end loads, applicable deferred fees, and redemption
fees, over the risk-free rate (as measured by Treasury bills) to the average
excess return for the investment class. For the 3-year period ended 3/31/99,
PIMCO High Yield Fund had the 11th highest return rating among 146 funds.
PIMCO Stocks Funds and PIMCO Bond Funds (excluding Long-Term U.S. Govt. and
Municipal Bond) can invest a portion of their assets in foreign securities,
which can entail special risks due to foreign economic and political
developments. These risks can be enhanced when investing in emerging markets.
The Opportunity and Small-Cap Value Funds invest primarily in small-cap stocks,
which can entail greater risks due to greater price volatility and less
liquidity. The Innovation and Precious Metals Funds concentrate their
portfolios, making them more volatile than the overall stock market. PIMCO Bond
Funds (excluding Long-Term U.S. Govt) can invest in lower-rated bonds, which
entail special risks such as less liquidity and possibility of default.
An investment in the Money Market Fund is not insured or guaranteed by the
Federal Deposit Insurance Company or any other government agency. Although the
Fund seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Fund.
For additional information on the PIMCO equity funds, contact your financial
advisor to receive a prospectus that contains more complete information,
including charges and expenses. Or contact PIMCO Funds Distributors LLC at 2187
Atlantic Street, Stamford, CT 06902, www.pimcofunds.com, 1-800-227-7337. Please
read the prospectus carefully before you invest or send money.
27
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
Argentina (b) 22.0%
Province of Buenos Aires
12.500% due 03/15/2002 $ 100 $ 102
Republic of Argentina
8.750% due 07/10/2002 AP 100 86
5.937% due 03/31/2005 (d) $ 186 159
12.110% due 04/10/2005 (d) 200 185
11.375% due 01/30/2017 (e) 500 471
------------
Total Argentina 1,003
(Cost $1,079) ============
Brazil 16.6%
Government of Brazil
6.187% due 04/15/2012 (d) $ 850 495
8.000% due 04/15/2014 412 262
------------
Total Brazil 757
(Cost $720) ============
Bulgaria 1.5%
Government of Bulgaria
6.688% due 07/28/2011 (d) $ 100 67
------------
Total Bulgaria 67
(Cost $62) ============
Colombia 2.9%
Republic of Colombia
8.625% due 04/21/2008 $ 150 133
------------
Total Colombia 133
(Cost $148) ============
Ecuador 2.2%
Government of Ecuador
3.500% due 02/28/2025 (d) $ 250 101
------------
Total Ecuador 101
(Cost $140) ============
Mexico 21.1%
Petroleos Mexicanos
9.857% due 07/15/2005 (d) $ 250 233
9.375% due 12/02/2008 250 256
United Mexican States
6.250% due 12/31/2019 250 196
11.500% due 05/15/2026 (c) 250 279
Shares
United Mexican States Rights
6.250% due 12/31/2019 250 0
------------
Total Mexico 964
(Cost $1,007) ============
Panama 3.3%
Principal
Amount
(000s)
Republic of Panama
9.375% due 04/01/2029 $ 150 151
------------
Total Panama 151
(Cost $150) ============
Peru 2.8%
Republic of Peru
4.000% due 03/07/2017 (d) $ 200 128
------------
Total Peru 128
(Cost $117) ============
Philippines 4.9%
Republic of Philippines
6.500% due 12/01/2017 $ 250 223
------------
Total Philippines 223
(Cost $189) ============
Poland 5.0%
Republic of Poland
3.000% due 10/27/2024 (d) $ 350 226
------------
Total Poland 226
(Cost $229) ============
Russia 1.3%
Republic of Russia
6.625% due 12/15/2015 (d) $ 505 $ 38
6.625% due 12/15/2020 (d) 300 20
------------
Total Russia 58
(Cost $546) ============
South Korea 11.8%
Korea Development Bank
8.650% due 01/26/2000 $ 100 101
Korean Export-Import Bank
7.100% due 03/15/2007 175 171
Republic of Korea
8.875% due 04/15/2008 (e) 250 268
------------
Total South Korea 540
(Cost $487) ============
United States 4.0%
Asset-Backed Securities 0.9%
IMC Home Equity Loan Trust
5.075% due 05/21/2012 (d) $ 26 26
NationsBank Auto Owner Trust
6.375% due 07/15/2000 15 15
------------
41
============
Corporate Bonds & Notes 3.1%
Ford Motor Credit Corp.
5.104% due 08/27/2001 (d) 100 100
Supercanal Holdings
11.500% due 05/15/2005 100 40
------------
140
============
Total United States 181
(Cost $241) ============
Uruguay 4.2%
Banco Central Del Uruguay
6.125% due 02/19/2006 $ 206 191
------------
Total Uruguay 191
(Cost $205) ============
Venezuela 6.7%
Government of Venezuela
5.937% due 12/18/2007 (d) $ 214 150
9.250% due 09/15/2027 250 154
------------
Total Venezuela 304
(Cost $271) ============
28 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
<S> <C> <C> <C>
Short-Term Instruments 5.0%
Commercial Paper 2.2%
National Rural Utilities Cooperative
4.820% due 05/18/1999 $ 100 99
-----------
Repurchase Agreement 2.6%
State Street Bank
4.000% due 04/01/1999 118 118
(Dated 03/31/1999. Collateralized by U.S. Treasury -----------
Note 7.750% 11/30/1999 valued at $125,398.
Repurchase proceeds are $118,013.)
U.S. Treasury Bills 0.2%
4.280% due 05/27/1999 10 10
-----------
Total Short-Term Instruments 227
(Cost $227) -----------
Total Investments (a) 115.3% $ 5,254
(Cost $5,818)
Other Assets and Liabilities (Net) (15.3%) (696)
-----------
Net Assets 100.0% $ 4,558
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $5,956 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 198
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (900)
-----------
Unrealized depreciation-net $ (702)
===========
</TABLE>
(b) Principal amount denoted in indicated currency:
AP - Argentine Peso
(c) Subject to a financing transaction.
(d) Variable rate security. The rate listed is as of March 31,1999.
See accompanying notes 29
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1999 Principal
Amount Value
(000s) (000s)
Argentina (e)(f) 2.6%
Republic of Argentina
2.687% due 04/01/2001 (d) AP 12,136 $ 10,738
5.000% due 12/20/2002 JY 219,000 1,727
12.110% due 04/10/2005 (d) $ 4,240 3,922
--------
Total Argentina 16,387
(Cost $17,066) ========
Belgium (e)(f) 0.9%
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
5.100% due 11/21/2004 (d) BF 183,200 5,648
--------
Total Belgium 5,654
(Cost $6,075) ========
Canada (e)(f) 8.8%
Commonwealth of Canada
5.250% due 09/01/2003 (j) C$ 31,200 20,924
6.625% due 10/03/2007 N$ 20,830 11,233
6.000% due 06/01/2008 (j) C$ 18,000 12,751
Hydro-Quebec
3.526% due 04/25/2000 DM 5,000 2,756
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,574
Province of Quebec
3.352% due 02/09/2000 (d) DM 5,000 2,760
Sears Canada
11.700% due 07/10/2000 C$ 1,000 712
--------
Total Canada 54,710
(Cost $55,270) ========
Cayman Islands (e)(f) 0.3%
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,722
--------
Total Cayman Islands 1,722
(Cost $1,728) ========
Colombia (e)(f) 0.2%
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,163
--------
Total Colombia 1,163
(Cost $1,160) ========
Denmark (e)(f) 5.4%
Kingdom of Denmark
6.000% due 11/15/2002 DK 53,500 8,392
7.000% due 11/15/2007 61,200 10,586
Unikredit Mortgage
5.000% due 10/01/2029 27,150 3,643
Nykredit Mortgage
5.000% due 10/01/2029 59,370 7,972
Realkredit Mortgage
5.000% due 10/01/2029 19,200 2,581
--------
Total Denmark 33,174
(Cost $33,463) ========
France (e)(f) 1.4%
Caisse Autonome de Refinancement
7.750% due 12/06/1999 1,100 187
Republic of France
7.750% due 10/25/2005 (j) FF 2,800 3,727
3.000% due 07/25/2009 (h) EC 4,151 4,477
--------
Total France 8,391
(Cost $8,835) ========
Germany (e)(f) 10.4%
Allgemeine Hypobank AG
3.250% due 07/02/1999 DM 15,000 16,189
Barclays Capital Corp.
3.246% due 12/20/2000 2,000 1,101
Depfa Pfandbriefbank
2.964% due 03/26/2001 (d) EC 16,480 17,764
Dresdner Finance BV
3.179% due 01/11/2000 (d) DM 1,000 551
Republic of Germany
6.500% due 07/04/2027 (j) EC 21,379 28,154
5.625% due 01/04/2028 350 411
--------
Total Germany 64,170
(Cost $63,332) ========
Greece (e)(f) 1.7%
Hellenic Republic
11.200% due 05/19/2003 (d) GD 100,000 341
11.100% due 06/17/2003 (d) 107,400 365
11.000% due 10/23/2003 (d) 376,000 1,294
8.600% due 03/26/2008 (j) 2,140,300 8,364
--------
Total Greece 10,364
(Cost $10,797) ========
Ireland (f) 0.1%
Republic of Ireland
7.250% due 06/22/1999 DM 1,500 835
--------
Total Ireland 835
(Cost $851) ========
Italy (e)(f) 13.2%
Republic of Italy
6.000% due 02/15/2000 EC 50,000 55,344
5.500% due 09/15/2000 (j) 360 402
4.750% due 05/01/2003 0 0
7.250% due 11/01/2026 (j) 6,321 8,873
6.500% due 11/01/2027 (j) 13,430 17,316
--------
Total Italy 81,935
(Cost $82,977) ========
Japan (e)(f) 20.7%
Government of Japan
4.100% due 12/22/2003 (j) JY 4,063,000 39,290
4.500% due 12/20/2004 (j) 1,294,300 12,882
4.600% due 03/21/2005 (j) 1,940,500 19,589
4.000% due 06/20/2005 (j) 1,078,300 10,599
3.400% due 06/20/2005 (j) 1,078,300 10,272
3.000% due 09/20/2005 (j) 1,775,600 16,571
0.900% due 12/22/2008 (j) 1,192,700 9,257
2.000% due 03/20/2009 (j) 1,136,600 9,852
--------
Total Japan 128,312
(Cost $132,128) ========
Mexico (f) 1.7%
United Mexican States
5.560% due 04/07/2000 (l) $ 5,804 5,804
8.750% due 05/30/2002 270 427
10.375% due 01/29/2003 DM 2,575 1,542
8.750% due 04/07/2004 (d) $ 3,100 3,065
--------
Total Mexico 10,838
(Cost $10,855) ========
Netherlands (f) 1.3%
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,217
Kingdom of Netherlands
5.750% due 01/15/2004 DG 2,214 2,631
LBW Finance NV
7.000% due 03/08/2000 4,985 2,851
30 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
TPSA Finance BV
7.750% due 12/10/2008 $ 1,470 $ 1,436
----------
Total Netherlands 8,135
(Cost $8,221) ==========
New Zealand (e)(f) 1.4%
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 16,500 8,940
----------
Total New Zealand 8,940
(Cost $9,440) ==========
Norway (f) 0.8%
Norwegian Government
5.500% due 05/15/2009 (j) NK 37,200 5,056
----------
Total Norway 5,056
(Cost $5,024) ==========
Singapore (e)(f) 1.3%
Singapore Government
4.375% due 10/15/2005 S$ 13,300 7,875
----------
Total Singapore 7,875
(Cost $7,867) ==========
South Korea (f) 1.0%
Korea Development Bank
3.258% due 05/14/2001 (d) DM 7,310 3,842
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,901
6.500% due 02/10/2002 800 769
----------
Total South Korea 6,512
(Cost $6,515) ==========
Spain (e)(f) 3.4%
Kingdom of Spain
6.000% due 01/31/2008 (j) EC 0 0
6.000% due 01/31/2029 17,260 20,818
----------
Total Spain 20,818
(Cost $22,223) ==========
Supranational (e)(f) 8.4%
Eurofima
5.625% due 11/25/1999 FF 1,000 167
European Investment Bank
6.250% due 07/28/1999 3,000 499
12.750% due 02/15/2000 IL 1,262,000 761
7.000% due 12/08/2003 BP 6,300 10,892
International Bank for Reconstruction & Development
7.250% due 10/13/1999 DM 20,870 11,793
6.875% due 07/14/2000 BP 2,500 4,113
7.000% due 09/18/2000 N$ 6,400 3,516
7.250% due 04/09/2001 6,400 3,547
7.000% due 06/07/2002 BP 1,100 1,862
7.250% due 05/27/2003 N$ 10,670 5,991
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,079
World Bank
10.250% due 04/11/2002 PP 31,000 729
----------
Total Supranational 51,949
(Cost $52,615) ==========
Sweden (e)(f) 6.0%
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,638
5.500% due 04/12/2002 (j) 6,100 788
6.500% due 05/05/2008 (j) 248,600 35,057
----------
Total Sweden 37,483
(Cost $37,234) ==========
United Kingdom (e)(f) 17.5%
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 5,564
Polestar Corp. PLC
10.500% due 05/30/2008 BP 4,300 7,056
SCCR Series 1 Limited
4.838% due 05/15/2000 (d) IL 15,380,000 8,566
United Kingdom Gilt
8.000% due 06/10/2003 (j) BP 17,735 32,479
8.500% due 12/07/2005 (j) 9,656 18,999
7.250% due 12/07/2007 (j) 18,949 36,208
----------
Total United Kingdom 108,872
(Cost $108,262) ==========
United States (e)(f) 60.8%
Corporate Bonds & Notes 19.5%
Associates Corp. of North America
5.104% due 08/27/2001 (d) $ 5,000 5,013
AT&T Capital Corp.
5.438% due 04/01/1999 (d) 7,800 7,800
6.410% due 08/13/1999 4,310 4,327
Capital One Bank
6.420% due 11/12/1999 (i) 12,080 12,148
CSFP Credit
6.199% due 11/19/2004 (i) 19,000 18,953
Delta Air Lines
6.034% due 06/29/1999 1,910 1,911
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 8,055
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,676
9.000% due 02/14/2000 1,157 1,920
General Motors Acceptance Corp.
5.100% due 12/10/2001-11/12/2002 (d)(g) $ 7,100 7,103
5.250% due 04/05/2004 (d) 12,200 12,179
J.P. Morgan & Co.
5.459% due 02/15/2012 5,500 4,869
Lehman Brothers, Inc.
5.287% due 02/27/2001 (d) 4,900 4,873
Merrill Lynch & Co.
5.299% due 11/01/2001 (d) 6,830 6,831
Occidental Petroleum
8.500% due 09/15/2004 1,800 1,808
Residential Reinsurance
9.180% due 06/01/1999 (d) 2,250 2,275
RJR Nabisco
8.625% due 12/01/2002 4,100 4,263
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,555 12,232
Toyota Motor Credit
7.250% due 02/23/2000 DM 5,090 2,905
----------
121,141
==========
U.S. Government Agencies 11.0%
Federal Home Loan Bank
4.609% due 02/15/2002 (d) $ 14,000 13,655
Federal National Mortgage Assn
6.875% due 06/07/2002 (j) BP 10,230 17,315
7.250% due 06/20/2002 N$ 14,850 8,299
6.500% due 07/10/2002 (j) A$ 7,900 5,189
Student Loan Marketing Assn
5.248% due 01/25/2003 (d) $ 6,353 6,362
5.070% due 04/25/2004 (d) 504 499
5.008% due 10/25/2004 (d) 1,047 1,045
5.098% due 04/25/2006 (d) 6,466 6,444
5.178% due 04/25/2007 (d) 9,710 9,711
----------
68,519
==========
U.S. Treasury Obligations 13.0%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(j) 66,780 66,362
3.625% due 07/15/2002 (h) 14,310 14,220
----------
80,582
==========
</TABLE>
See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
Mortgage-Backed Securities 8.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 $ 3,360 $ 3,392
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,980 4,014
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,220 1,223
9.050% due 06/15/2019 92 98
7.441% due 06/01/2022 (d) 1,714 1,745
7.500% due 08/01/2022 (d) 1,060 1,086
6.500% due 09/15/2022 287 287
6.000% due 05/17/2029 2,000 1,944
Federal National Mortgage Assn.
5.500% due 02/25/2005 523 522
7.531% due 07/01/2021 (d) 1,311 1,339
7.060% due 11/01/2022 (d) 1,362 1,400
6.561% due 01/01/2023 (d) 1,775 1,820
6.613% due 01/01/2023 (d) 2,398 2,457
7.329% due 08/01/2023 (d) 1,431 1,470
Government National Mortgage Assn.
6.125% due 11/20/2021 (d) 739 752
6.875% due 05/20/2022 (d) 67 68
6.625% due 07/20/2022-09/20/2022 (d)(g) 1,269 1,291
6.875% due 05/20/2023 (d) 734 747
6.625% due 07/20/2023-09/20/2023 (d)(g) 4,517 4,592
6.125% due 10/20/2023-10/20/2024 (d)(g) 4,495 4,564
6.875% due 04/20/2025 (d) 259 263
6.625% due 07/20/2025-09/20/2025 (d)(g) 8,712 8,845
6.125% due 12/20/2025 (d) 434 440
6.625% due 09/20/2026 (d) 977 990
6.125% due 11/20/2026-12/20/2026 (d)(g) 2,305 2,343
6.880% due 04/20/2027 (d) 2,580 2,620
Independent National Mortgage Corp.
8.107% due 11/25/2024 (d) 82 84
Morgan Stanley Mortgage
8.150% due 07/20/2021 3 3
Sears Mortgage
6.499% due 06/25/2022 (d) 107 108
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 3,300 3,338
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 882 883
-----------
54,728
===========
Asset-Backed Securities 8.5%
AFC Home Equity Loan Trust
5.157% due 03/25/2027 (d) 1,566 1,566
Banc One Auto Grantor Trust
6.270% due 11/20/2003 891 901
6.290% due 07/20/2004 1,183 1,196
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 706 715
Citibank Credit Card Master Trust
4.946% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 1,318 1,321
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012 (d) 3,337 3,335
6.020% due 12/25/2013 17,000 16,995
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 2,880 2,881
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 2,494 2,504
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 5,000 5,001
5.202% due 03/20/2029 (d) 1,000 1,000
First Security Auto Owner Trust
5.311% due 04/15/2002 2,000 2,005
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 1,140 1,144
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,090
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 4,581 4,578
Premier Auto Trust
6.250% due 08/06/2001 2,277 2,290
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,955 1,968
-----------
52,690
-----------
Total United States 377,660
(Cost $376,841) ===========
Purchased Call Options 0.0%
U.S. Treasury Note (OTC)
Strike @ 101.188 Exp. 06/14/1999
7.250% due 05/15/2004 3,400 249
-----------
Total Purchased Call Options 249
(Cost $255) ===========
Short-Term Instruments 7.2%
Commercial Paper 5.2%
Bank of Tokyo
5.928% due 07/30/1999 5,940 5,955
E.I. Du Pont de Nemours
4.860% due 04/23/1999 2,300 2,293
4.800% due 06/07/1999 2,700 2,675
Ford Motor Credit Corp.
4.840% due 04/23/1999 9,500 9,472
National Rural Utilities Cooperative
4.820% due 06/17/1999 1,800 1,781
Pfizer, Inc.
4.820% due 05/17/1999 8,000 7,951
Proctor & Gamble Co.
4.810% due 05/26/1999 1,900 1,886
Shell Oil Co.
4.790% due 06/04/1999 400 397
-----------
32,410
===========
Repurchase Agreement 2.0%
State Street Bank
4.000% due 04/01/1999 12,158 12,158
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 5.375% 01/31/2000 valued at
$12,402,018. Repurchase proceeds are
$12,159,351.)
U.S. Treasury Bills (b)(g) 0.0%
4.402% due 06/24/1999 275 273
-----------
Total Short-Term Instruments 44,841
(Cost $44,827) ===========
Total Investments (a) 176.5% $ 1,096,045
(Cost $1,103,861)
Written Options (c) (0.0%) (90)
(Premiums $126)
Other Assets and Liabilities (Net) (76.5%) (475,172)
-----------
Net Assets 100.0% $ 620,783
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,097,543 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 8,571
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (16,493)
-----------
Unrealized depreciation-net $ (7,922)
===========
32 See accompanying notes
<PAGE>
(b) Securities with an aggregate market value of
$273 have been segregated with the custodian to cover
margin requirements for the following open futures
contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 19 $ 13
Eurodollar September Futures (09/2000) 34 16
Eurodollar December Futures (12/2000) 19 10
U.S. Treasury 30 Year Bond (06/1999) 40 (41)
United Kingdom 90 Day LIBOR (12/2000) 287 (114)
---------
$ (116)
=========
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Japanese Yen vs US Dollar
Strike 115.00 Exp. 04/22/1999 JY 6,110 $ 79 $ 43
Call - OTC Government of Japan
2,000% due 03/20/2009
Strike 102.50 Exp. 04/23/1999 972,800 47 47
---------------------
$ 126 $ 90
=====================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 7,130 04/1999 $ (9)
Sell 7,139 04/1999 35
Buy AP 6,455 04/1999 158
Buy 3,410 05/1999 102
Buy BP 2,086 04/1999 (8)
Sell 51,501 04/1999 308
Sell 790 05/1999 0
Buy C$ 8,318 04/1999 17
Sell 15,201 04/1999 62
Buy DK 28,442 04/1999 5
Sell 141,782 04/1999 1,453
Buy 26,966 05/1999 (58)
Sell 81,015 05/1999 60
Buy EC 50,872 04/1999 (2,293)
Sell 137,087 04/1999 3,062
Buy 3,880 05/1999 (3)
Sell GD 596,882 04/1999 73
Buy JY 39,539 04/1999 11
Sell 138,795 04/1999 4
Sell 2,185,916 05/1999 49
Buy N$ 40,847 04/1999 (109)
Sell 36,088 04/1999 174
Sell 82,083 05/1999 (477)
Buy S$ 45 04/1999 (1)
Sell 13,805 06/1999 (6)
Buy SF 19,457 04/1999 (186)
Sell 19,799 04/1999 124
Buy SK 335,832 04/1999 (1,753)
Sell 374,274 04/1999 1,747
--------
$ 2,541
========
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
FM - Finnish Markka
GD - Greek Drachma
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kroner
S$ - Singapore Dollar
SF - Swiss Franc
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Restricted security.
(j) Subject to a financing transaction.
(k) Swap agreements outstanding at March 31, 1999
Notional Unrealized
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month United Mexican States and
pay United Mexican States fixed rate.
Broker: Merrill Lynch $ 5,804 $ (116)
Exp. 04/07/2000
(l) Subject to an asset swap.
See accompanying notes 33
<PAGE>
Schedule of Investments
Global Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
Argentina (c)(f) 2.8%
Republic of Argentina
2.687% due 04/01/2001 (d) AP 939 $ 830
12.110% due 04/10/2005 (d) $ 410 379
-----------
Total Argentina 1,209
(Cost $1,273) ==========
Australia (c)(f) 0.2%
Commonwealth of Australia
9.500% due 08/15/2003 (i) A$ 100 74
-----------
Total Australia 74
(Cost $85) ===========
Belgium (f) 0.4%
Kingdom of Belgium
5.100% due 11/21/2004 (d)(i) BF 5,800 179
-----------
Total Belgium 179
(Cost $191) ===========
Canada (c)(f) 6.5%
Commonwealth of Canada
5.250% due 09/01/2003 (i) C$ 2,230 1,496
6.625% due 10/03/2007 N$ 1,410 760
6.000% due 06/01/2008 (i) C$ 700 496
-----------
Total Canada 2,752
(Cost $2,736) ===========
Cayman Islands (c)(f) 0.2%
Banco Nacional de Comercio Exterior, S.N.C.
5.300% due 09/21/2000 JY 10,000 86
-----------
Total Cayman Islands 86
(Cost $86) ===========
Denmark (c)(f) 5.2%
Kingdom of Denmark
6.000% due 11/15/2002 DK 3,100 486
7.000% due 11/15/2007 (i) 4,400 761
Nykredit
5.000% due 10/01/2029 4,030 541
Realkredit Danmark Mortgage
5.000% due 10/01/2029 1,300 175
Unikredit
5.000% due 10/01/2029 1,740 233
-----------
Total Denmark 2,196
(Cost $2,219) ===========
France (c)(f) 0.8%
Republic of France
3.000% due 07/25/2009 (j) EC 303 326
-----------
Total France 326
(Cost $347) ===========
Germany (c)(f) 4.3%
Depfa Pfandbriefbank
2.964% due 03/26/2001 (d) EC 1,283 1,283
Republic of Germany
5.625% due 01/04/2028 453 532
-----------
Total Germany 1,815
(Cost $1,847) ===========
Greece (c)(f) 1.7%
Hellenic Republic
11.100% due 06/17/2003 (d) GD 7,400 25
11.000% due 10/23/2003 (d) 33,600 116
8.600% due 03/26/2008 149,100 578
-----------
Total Greece 719
(Cost $754) ===========
Italy (c)(f) 5.1%
Republic of Italy
4.750% due 05/01/2003 EC 664 $ 753
7.250% due 11/01/2026 (i) 160 225
6.500% due 11/01/2027 920 1,186
-----------
Total Italy 2,164
(Cost $2,197) ===========
Japan (c)(f) 10.6%
Government of Japan
4.500% due 12/20/2004 (i) JY 68,700 684
4.600% due 03/21/2005 (i) 94,200 951
4.000% due 06/20/2005 (i) 36,000 354
3.400% due 06/20/2005 (i) 36,000 343
3.000% due 09/20/2005 (i) 100,000 933
0.900% due 12/22/2008 (i) 76,800 596
2.000% due 03/20/2009 (i) 76,800 666
-----------
Total Japan 4,527
(Cost $4,627) ===========
Mexico (f) 1.3%
United Mexican States
8.750% due 05/30/2002 237 235
10.375% due 01/29/2003 DM 200 120
8.750% due 04/07/2004 (d) $ 200 198
-----------
Total Mexico 553
(Cost $556) ===========
New Zealand (c)(f) 1.3%
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,000 542
-----------
Total New Zealand 542
(Cost $571) ===========
Norway (f) 0.9%
Norwegian Government
5.500% due 05/15/2009 NK 2,720 370
-----------
Total Norway 370
(Cost $367) ===========
Singapore (c)(f) 1.5%
Singapore Government
4.375% due 10/15/2005 S$ 1,100 651
-----------
Total Singapore 651
(Cost $651) ===========
South Korea (f) 1.1%
Korea Development Bank
3.258% due 05/14/2001 (d) DM 440 231
Korean Export-Import Bank
7.250% due 06/25/2001 $ 260 254
-----------
Total South Korea 485
(Cost $484) ===========
Spain (c)(f) 1.3%
Kingdom of Spain
6.000% due 01/31/2029 EC 468 564
-----------
Total Spain 564
(Cost $629) ===========
Supranational (c)(f) 7.1%
European Investment Bank
7.000% due 12/08/2003 BP 400 692
International Bank for Reconstruction & Development (World Bank)
6.875% due 07/14/2000 200 329
7.000% due 09/18/2000 N$ 500 275
7.250% due 04/09/2001 1,376 763
34 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
7.250% due 01/16/2002 480 $ 266
10.250% due 04/11/2002 PP 2,000 47
7.000% due 06/07/2002 BP 100 169
7.250% due 05/27/2003 N$ 890 500
-----------
Total Supranational 3,041
(Cost $3,011) ===========
Sweden (c)(f) 5.5%
Kingdom of Sweden
13.000% due 06/15/2001 SK 900 132
5.500% due 04/12/2002 400 52
6.500% due 05/05/2008 15,400 2,172
-----------
Total Sweden 2,356
(Cost $2,358) ===========
United Kingdom (c)(f) 11.8%
Equitable
8.000% due 08/29/2049 (d) BP 700 1,229
Polestar Corp. PLC
10.500% due 05/30/2008 390 640
United Kingdom Gilt
8.000% due 06/10/2003 (i) 1,240 2,252
7.250% due 12/07/2007 (i) 470 899
-----------
Total United Kingdom 5,020
(Cost $5,064) ===========
United States (f) 72.6%
Asset-Backed Securities 8.5%
AFC Home Equity Loan Trust
5.249% due 12/22/2027 (d) $ 136 135
Banc One Auto Grantor Trust
6.270% due 11/20/2003 43 43
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 57 57
Comed Transitional Funding Trust
5.380% due 03/25/2002 108 108
Conti Mortgage Home Equity Loan Trust
6.020% due 12/25/2013 600 600
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 230 230
5.850% due 07/20/2003 34 34
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 151 152
First Security Auto Owner Trust
5.311% due 04/15/2002 1,000 1,003
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 95 95
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 162 162
Premier Auto Trust
6.250% due 08/06/2001 455 458
Residential Asset Securities Corp.
5.080% due 12/25/2013 (d) 400 400
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 145 146
-----------
3,623
===========
Corporate Bonds & Notes 13.9%
Associates Corp. of North America
5.104% due 08/27/2001 (d) 400 401
CSFP Credit
6.199% due 11/19/2004 (h) 1,750 1,746
Delta Air Lines
6.034% due 06/29/1999 (h) 150 150
General Motors Acceptance Corp.
5.250% due 04/05/2004 (d) 1,298 1,298
Hewlett-Packard Finance
5.625% due 11/20/2000 DM 100 57
Merrill Lynch & Co.
5.299% due 11/01/2001 (d) $ 510 510
Occidental Petroleum
8.500% due 09/15/2004 $ 100 $ 100
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,388 1,352
TCI Communications, Inc.
5.675% due 04/01/2002 (d) 300 306
-----------
5,920
===========
Mortgage-Backed Securities 17.5%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 250 252
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 300 303
Federal Home Loan Mortgage Corp.
6.000% due 01/01/2029-05/17/2029 (e) 3,970 3,767
Federal National Mortgage Association
5.500% due 02/25/2005-05/17/2029 (e) 555 525
Government National Mortgage Association
6.125% due 11/20/2021 (d) 55 56
6.625% due 07/20/2022-09/20/2025 (d)(e) 1,455 1,482
6.125% due 12/20/2025 (d) 31 31
6.625% due 09/20/2026 (d) 39 40
6.125% due 11/20/2026-12/20/2026 (d)(e) 649 658
7.500% due 09/15/2028 83 86
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 230 233
-----------
7,433
===========
U.S. Government Agencies 9.6%
Federal National Mortgage Association
6.875% due 06/07/2002 BP 350 592
7.250% due 06/20/2002 N$ 340 190
Student Loan Marketing Assn.
5.248% due 01/25/2003 (d) $ 570 571
5.178% due 04/25/2007 (d) 1,815 1,815
5.245% due 10/25/2007 (d) 900 899
-----------
4,067
===========
U.S. Treasury Obligations 23.1%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (i)(j) 821 816
3.625% due 07/15/2002 (j) 6,360 6,320
3.375% due 01/15/2007 (j) 259 250
U.S. Treasury Bonds
6.000% due 02/15/2026 1,430 1,455
U.S. Treasury Notes
7.250% due 05/15/2004 890 970
-----------
9,811
-----------
Total United States 30,854
(Cost $31,037) ===========
Purchased Call Options 0.1%
U.S. Treasury Note (OTC)
7.250% due 05/15/2004
Strike @ 101.188 Exp. 06/14/1999 300 22
-----------
Total Purchased Call Options 22
(Cost $23) ===========
Short-Term Instruments 9.6%
Certificate of Deposit 1.2%
Bank of Tokyo
5.937% due 07/30/1999 530 531
-----------
Commercial Paper 7.5%
Abbott Laboratories
4.840% due 04/09/1999 1,600 1,598
Coca-Cola Co.
4.840% due 05/28/1999 500 496
IBM Corp.
4.810% due 04/08/1999 1,100 1,099
-----------
3,193
===========
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Global Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
Repurchase Agreement 0.4%
State Street Bank
4.000% due 04/01/1999 $ 177 $ 177
(Dated 03/31/1999. Collateralized by U.S. ------------
Treasury Note 6.125% 07/31/2000 valued at
$184,441. Repurchase proceeds are
$177,020.)
U.S. Treasury Bills (b) 0.5%
4.460% due 06/24/1999 230 228
------------
Total Short-Term Instruments 4,129
(Cost $4,127) ============
Total Investments (a) 151.9% $ 64,634
(Cost $65,240)
Written Options (g) (0.0%) (6)
(Premiums $9)
Other Assets and Liabilities (Net) (51.9%) (22,084)
-----------
Net Assets 100.0% $ 42,544
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost for federal income tax purposes of $65,256 was as
follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 325
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (947)
------------
Unrealized depreciation-net $ (622)
============
(b) Securities with an aggregate market value of $228 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- ------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 1 $ 1
Eurodollar September Futures (09/2000) 2 1
Eurodollar December Futures (12/2000) 1 1
U.S. Treasury 10 Year Note (06/1999) 34 22
United Kingdom 90 Day LIBOR (12/2000) 14 (7)
--------
$ 18
========
(c) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- ---------------------------------------------------------------
Sell A$ 3 04/1999 $0
Buy AP 484 04/1999 12
Buy 240 05/1999 7
Buy BP 210 04/1999 (1)
Sell 3,562 04/1999 16
Sell 20 05/1999 0
Buy C$ 1,674 04/1999 6
Sell 1,626 04/1999 6
Buy DK 1,505 04/1999 0
Sell 7,924 04/1999 79
Buy 1,342 05/1999 (3)
Sell 5,402 05/1999 4
Buy EC 5,356 04/1999 (164)
Sell 4,365 04/1999 148
Buy 140 05/1999 (0)
Sell GD 40,780 04/1999 5
Buy JY 1,919 04/1999 1
Sell 9,024 04/1999 (1)
Sell 126,051 05/1999 2
Buy N$ 188 04/1999 2
Sell 4,201 04/1999 (0)
Buy 724 05/1999 (2)
Sell 1,953 05/1999 (5)
Sell S$ 1,142 06/1999 (1)
Buy SF 1,164 04/1999 (11)
Sell 1,190 04/1999 8
Buy SK 12,575 04/1999 (101)
Sell 16,432 04/1999 110
Sell 5,972 05/1999 5
-------
$ 122
=======
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of securities.
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar GD - Greek Drachma
AP - Argentine Peso JY - Japanese Yen
BF - Belgian Franc N$ - New Zealand Dollar
BP - British Pound NK - Norwegian Kron
C$ - Canadian Dollar PP - Philippines Peso
DK - Danish Krone S$ - Singapore Dollar
DM - German Mark SF - Swiss Franc
EC - European Currency Unit SK - Swedish Krona
(g) Premium received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Japanese Yen vs US Dollar
Strike @115.00 Exp. 04/22/1999 $ 420 $6 $3
Call - OTC Government of Japan
2.000% due 03/20/2009
Strike @102.50 Exp. 04/23/1999 65,730 3 3
-------------------------------
$9 $6
===============================
(h) Restricted security.
(i) Subject to a financing transaction.
(j) Principal amount of the security is adjusted for inflation.
(k) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 5.935% and pay floating rate on 6 month BP-LIBOR.
Broker: Merrill Lynch
Exp. 11/05/2003 BP 1,700 $ 68
36 See accompanying notes
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 79.4%
Banking & Finance 5.2%
Arvin Capital
9.500% due 02/01/2027 $ 19,000 $ 19,517
Bay View Capital Corp.
9.125% due 08/15/2007 8,000 7,800
Charter Commercial Holdings LLC
8.250% due 04/01/2007 7,600 7,809
Circus Circus Enterprise
9.250% due 12/01/2005 8,100 8,485
Forest City Enterprises
8.500% due 03/15/2008 12,350 12,473
Fuji Bank
9.870% due 12/31/2049 (d) 26,000 20,386
General Motors Acceptance Corp.
5.095% due 04/29/2002 (d) 800 798
Golden State Holdings
7.000% due 08/01/2003 205 206
7.125% due 08/01/2005 870 877
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,503
Sumitomo
9.400% due 12/29/2049 (d) 29,800 28,012
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,624
Trizec Finance Limited
10.875% due 10/15/2005 18,751 20,532
Willis Corroon Corp.
9.000% due 02/01/2009 14,200 14,449
------------
167,471
============
Industrials 60.8%
Aaf-Mcquay, Inc.
8.875% due 02/15/2003 1,000 955
Abbey Healthcare Group
9.500% due 11/01/2002 15,195 14,891
Advanced Lighting
8.000% due 03/15/2008 15,675 13,912
AEI Holding Co.
10.500% due 12/15/2005 11,130 11,241
Agriculuture Minerals & Chemicals
10.750% due 09/30/2003 3,000 3,060
Airtrust
0.000% due 06/01/2013 12,942 5,032
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 14,760
7.625% due 01/01/2006 25,975 25,354
American Airlines
10.610% due 03/04/2010 650 836
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,813
American Standard, Inc.
7.125% due 02/15/2003 300 296
7.375% due 02/01/2008 10,800 10,611
9.250% due 12/01/2016 6,084 6,213
Amerigas Partners LP
10.125% due 04/15/2007 4,200 4,389
Amphenol Corp.
9.875% due 05/15/2007 7,100 7,420
Applied Power, Inc.
8.750% due 04/01/2009 14,200 14,413
Avalon Cable
9.375% due 12/01/2008 1,600 1,686
Ball Corp.
7.750% due 08/01/2006 10,500 10,894
8.250% due 08/01/2008 9,600 9,960
Beckman Instruments, Inc.
7.100% due 03/04/2003 4,475 4,481
7.450% due 03/04/2008 10,625 10,649
Benedek Broadcasting Corp.
11.875% due 03/01/2005 24,940 26,935
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,148
Beverly Enterprises, Inc.
9.000% due 02/15/2006 12,700 12,509
Bresnan Communications
8.000% due 02/01/2009 1,000 1,032
Buckeye Technologies, Inc.
8.000% due 10/15/2010 14,100 14,206
Building Materials Corp.
7.750% due 07/15/2005 18,450 18,035
8.625% due 12/15/2006 1,235 1,261
8.000% due 10/15/2007 4,050 3,999
8.000% due 12/01/2008 17,600 17,424
Caesars World
8.875% due 08/15/2002 1,250 1,253
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 6,900
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,100 3,977
Century Communications Corp.
9.500% due 08/15/2000 600 615
0.000% due 03/15/2003 15,400 11,126
9.500% due 03/01/2005 2,000 2,140
8.750% due 10/01/2007 6,000 6,285
0.000% due 01/15/2008 5,000 2,363
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,610
Chattem, Inc.
8.875% due 04/01/2008 4,950 5,000
Circus Circus Enterprises
6.750% due 07/15/2003 17,400 16,597
Clark R & M, Inc.
8.625% due 08/15/2008 4,000 3,600
Clark R&M Holdings
8.375% due 11/15/2007 5,000 4,481
Coltec Industries, Inc.
7.500% due 04/15/2008 38,750 39,525
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,949
7.000% due 07/01/2007 3,350 3,018
6.730% due 07/15/2045 9,000 8,555
Columbus McKinnon
8.500% due 04/01/2008 16,500 16,046
Comcast Corp.
9.500% due 01/15/2008 6,837 7,256
Container Corp. of America
11.250% due 05/01/2004 12,020 12,741
Continental Cablevision
9.500% due 08/01/2013 10,000 11,927
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,750 4,631
8.750% due 11/01/2009 6,000 5,790
CSC Holdings, Inc.
9.875% due 05/15/2006 850 918
9.875% due 02/15/2013 2,000 2,212
10.500% due 05/15/2016 11,000 13,200
7.875% due 02/15/2018 10,000 10,175
9.875% due 04/01/2023 9,000 10,102
Cumberland Farms
10.500% due 10/01/2003 4,175 4,154
Decision One
7.890% due 08/07/2003 (d) 4,513 2,031
8.040% due 08/07/2003 (d) 516 232
Delta Air Lines
10.790% due 03/26/2014 2,264 3,006
Dial Call Communications
10.250% due 12/15/2005 (d) 3,772 3,781
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,055
0.000% due 12/15/2005 (d) 5,000 4,444
Echostar DBS Corp.
9.250% due 02/01/2006 33,150 34,435
9.375% due 02/01/2009 2,000 2,087
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 7,224
Envirosource, Inc.
9.750% due 06/15/2003 12,068 11,473
Extended Stay America
9.150% due 03/15/2008 11,500 11,212
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Extendicare Health Services
9.350% due 12/15/2007 $ 7,750 $ 6,200
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,691
Falcon Holding Group LP
0.000% due 04/15/2010 (c) 11,700 8,161
8.375% due 04/15/2010 7,150 7,221
Federal-Mogul Corp.
7.500% due 07/01/2004 24,000 24,070
7.375% due 01/15/2006 250 246
7.750% due 07/01/2006 9,100 9,133
Ferrellgas Partners LP
9.375% due 06/15/2006 125 125
Fisher Scientific International
7.125% due 12/15/2005 6,500 5,784
9.000% due 02/01/2008 30,075 30,376
Foamex LP
9.875% due 06/15/2007 700 669
Fred Meyer, Inc.
7.450% due 03/01/2008 400 423
Furon Co.
8.125% due 03/01/2008 1,400 1,379
Garden State Newspapers
8.750% due 10/01/2009 24,155 24,517
8.625% due 07/01/2011 6,900 6,969
Globalstar LP
11.375% due 02/15/2004 8,350 5,302
11.250% due 06/15/2004 5,500 3,465
10.750% due 11/01/2004 3,106 1,864
Golden Northwest Aluminum
12.000% due 12/15/2006 4,850 4,874
Goss Graphic Systems, Inc.
12.000% due 10/15/2006 6,450 2,290
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,319
0.000% due 05/15/2008 (c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,809
9.625% due 07/01/2005 1,680 1,718
8.375% due 11/15/2005 4,000 4,000
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 5,608
7.250% due 12/15/2025 9,500 7,084
Harrahs Operating Co., Inc
7.875% due 12/15/2005 4,900 4,957
7.500% due 01/15/2009 20,675 20,941
Henry Co.
10.000% due 04/15/2008 2,000 1,990
HMH Properties, Inc.
7.875% due 08/01/2005 20,650 20,289
8.450% due 12/08/2006 6,350 6,350
Hollinger International Publishing
8.625% due 03/15/2005 4,200 4,378
9.250% due 02/01/2006 2,800 2,926
Holmes Products Corp.
9.875% due 11/15/2007 5,200 4,966
Host Marriott LP
8.375% due 02/15/2006 5,000 5,056
Huntsman Corp.
9.500% due 07/01/2007 12,350 12,227
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 11,105
Impsat Corp.
12.375% due 06/15/2008 10,900 9,756
Integrated Health Services
7.312% due 12/31/2005 (d) 9,875 9,505
9.500% due 09/15/2007 2,950 1,962
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 30,735 26,739
8.500% due 01/15/2008 4,950 4,962
9.500% due 03/01/2009 800 842
ISP Holdings, Inc.
9.750% due 02/15/2002 250 259
9.000% due 10/15/2003 23,370 23,954
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,591
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,904
J.Q. Hammons Hotels
8.875% due 02/15/2004 8,500 7,916
Jones Intercable, Inc.
8.875% due 04/01/2007 10,060 11,016
Jupiters Limited
8.500% due 03/01/2006 10,100 10,201
K-Mart Corp.
12.350% due 01/01/2008 (b) 4,127 4,581
8.800% due 07/01/2010 1,250 1,296
9.350% due 01/02/2020 15,374 15,375
9.780% due 01/05/2020 9,575 9,950
K-III Communications Co.
8.500% due 02/01/2006 18,190 18,599
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,354
Lenfest Communications
8.375% due 11/01/2005 13,650 14,605
10.500% due 06/15/2006 525 609
Level 3 Communications, Inc.
9.125% due 05/01/2008 30,200 30,275
Lin Holdings Corp.
0.000% due 03/01/2008 (d) 18,750 13,313
Lin Television Corp.
8.375% due 03/01/2008 8,800 8,833
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 3,900 3,451
Mail-Well, Inc.
8.750% due 12/15/2008 (d) 16,100 16,583
Market Hub Partners
8.250% due 03/01/2008 7,700 7,816
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 4,000 4,200
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 27,475 22,049
8.375% due 03/15/2008 300 303
9.500% due 11/01/2008 13,625 14,681
8.125% due 02/15/2009 9,050 9,073
MJD Communications, Inc.
9.500% due 05/01/2008 6,525 6,623
Navistar International Corp.
8.000% due 02/01/2008 8,000 8,280
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,823
Newsquest Capital
11.000% due 05/01/2006 2,550 2,818
NTL, Inc.
10.000% due 02/15/2007 2,000 2,125
11.500% due 10/01/2008 10,900 12,344
Occidental Petroleum
6.400% due 04/01/2003 2,500 2,474
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,459
Octel Developments PLC
10.000% due 05/01/2006 2,100 2,179
Optel, Inc.
13.000% due 02/15/2005 1,500 1,519
11.500% due 07/01/2008 5,300 4,770
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 20,350 11,396
11.250% due 01/15/2007 16,375 14,656
Owens & Minor, Inc.
10.875% due 06/01/2006 950 1,030
P&L Coal Holdings
8.875% due 05/15/2008 29,550 30,991
Packaging Corp. of America
9.625% due 04/01/2009 11,025 11,025
Packard Bioscience Co.
9.375% due 03/01/2007 2,950 2,869
Perkins Family Restaurants
10.125% due 12/15/2007 3,450 3,709
See accompanying notes 39
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Perry-Judd
10.625% due 12/15/2007 $ 6,445 $ 6,735
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 8,600 8,009
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 8,445
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 16,667
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 10,404
Piedmont Aviation
10.250% due 03/28/2005 821 883
Pioneer Natonal Resources
8.875% due 04/15/2005 17,000 16,402
6.500% due 01/15/2008 6,950 5,744
Polymer Group, Inc.
9.000% due 07/01/2007 20,805 21,169
8.750% due 03/01/2008 6,200 6,371
Pool Energy Co.
8.625% due 04/01/2008 11,750 11,838
Pride International, Inc.
9.375% due 05/01/2007 3,400 3,264
Primedia, Inc.
7.625% due 04/01/2008 8,250 8,209
Printpack, Inc.
9.875% due 08/15/2004 2,325 2,293
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,432
0.000% due 02/01/2008 (c) 10,550 8,203
7.250% due 11/01/2008 1,200 1,233
R & B Falcon Corp.
9.500% due 12/15/2008 3,200 2,896
R.H. Donnelly, Inc.
9.125% due 06/01/2008 4,600 4,876
Racers
8.375% due 10/01/2007 21,417 20,794
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 12,484
8.875% due 12/15/2010 7,475 7,344
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,769
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,327
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,647
RJR Nabisco
8.625% due 12/01/2002 14,500 15,075
Rogers Cablesystems Limited
10.000% due 03/15/2005 7,500 8,494
Rogers Cantel, Inc.
8.300% due 10/01/2007 16,385 17,122
9.375% due 06/01/2008 15,500 17,089
Safety-Kleen Services
9.250% due 06/01/2008 25,500 26,775
Salem Communications
9.500% due 10/01/2007 5,400 5,724
Satelites Mexicanos
9.060% due 06/30/2004 (d) 8,882 7,416
SC International Services, Inc.
9.250% due 09/01/2007 11,200 12,152
Scotsman Group, Inc.
8.625% due 12/15/2007 4,000 4,020
Silgan Holdings, Inc.
9.000% due 06/01/2009 23,160 23,913
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 10,102
9.200% due 07/02/2018 15,750 17,212
Smithfield Foods
7.625% due 02/15/2008 5,950 5,757
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 9,116
8.875% due 12/01/2008 3,000 3,090
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,040
10.750% due 10/01/2002 3,802 3,978
11.500% due 10/01/2004 2,000 2,130
Sun Healthcare Group, Inc.
9.500% due 07/01/2007 1,550 318
9.375% due 05/01/2008 5,300 1,087
Supercanal Holdings
11.500% due 05/15/2005 4,800 1,920
Superior Telecom, Inc.
9.312% due 11/27/2006 16,000 15,840
Synthetic Industries, Inc.
9.250% due 02/15/2007 12,000 12,420
Telewest Communications
9.625% due 10/01/2006 12,750 13,547
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 999
8.625% due 12/01/2003 1,600 1,638
8.000% due 01/15/2005 5,300 5,267
8.625% due 01/15/2007 3,500 3,518
7.625% due 06/01/2008 20,000 19,400
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 4,641
Trans-Resources, Inc.
10.750% due 03/15/2008 14,650 14,650
0.000% due 03/15/2008 (c) 1,750 919
TV Guide, Inc.
8.125% due 03/01/2009 18,400 18,768
Unisys Corp.
12.000% due 04/15/2003 8,900 9,812
7.875% due 04/01/2008 4,000 4,210
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 9,090
United Refining Co.
10.750% due 06/15/2007 1,650 1,163
US Air, Inc.
9.625% due 09/01/2003 18,083 19,025
9.330% due 01/01/2006 6,443 6,669
Vectura Group, Inc.
10.250% due 06/30/2008 7,150 7,382
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,490
9.750% due 06/30/2009 7,850 8,066
Westpoint Stevens, Inc.
7.875% due 06/15/2005 2,500 2,569
7.875% due 06/15/2008 17,450 17,930
World Color Press, Inc.
8.375% due 11/15/2008 15,650 16,120
Young Broadcasting, Inc.
9.000% due 01/15/2006 11,000 11,605
8.750% due 06/15/2007 4,510 4,645
------------
1,961,472
============
Utilities 13.4%
AES Corp.
10.250% due 07/15/2006 12,735 13,499
8.375% due 08/15/2007 1,000 985
8.500% due 11/01/2007 6,300 6,206
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 35,610
Bridas Corp.
12.500% due 11/15/1999 4,500 4,590
California Energy
9.500% due 09/15/2006 10,000 11,021
Calpine Corp.
9.250% due 02/01/2004 15,250 15,707
15.000% due 03/15/2004 (b) 10,000 11,751
7.625% due 04/15/2006 4,500 4,523
8.750% due 07/15/2007 14,950 15,259
7.875% due 04/01/2008 11,000 11,248
CMS Energy
8.125% due 05/15/2002 9,500 9,767
7.000% due 01/15/2005 12,000 11,705
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Flag Limited
8.250% due 01/30/2008 $ 39,575 $ 38,388
GST Network
0.000% due 05/01/2008 (c) 8,000 4,240
Intermedia Communications
0.000% due 07/15/2007 (c) 6,250 4,766
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 12,484
9.750% due 11/15/2008 1,750 1,859
Mastec, Inc.
7.750% due 02/01/2008 7,250 7,069
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 9,725 10,479
Metronet Communications
0.000% due 06/15/2008 (c) 8,975 6,978
10.625% due 11/01/2008 9,600 11,232
MJD Communications, Inc.
9.160% due 05/01/2008 (d) 6,000 5,848
Nextel Communications, Inc.
9.750% due 08/15/2004 10,000 10,413
8.500% due 03/31/2007 4,000 3,880
0.000% due 02/15/2008 (c) 38,750 27,367
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 17,750 10,295
Niagara Mohawk Power
9.990% due 05/11/2004 2,500 2,530
7.625% due 10/01/2005 8,400 8,658
7.750% due 05/15/2006 1,100 1,192
7.750% due 10/01/2008 27,000 28,990
9.500% due 03/01/2021 2,500 2,652
7.875% due 04/01/2024 7,500 7,907
North Atlantic Energy
9.050% due 06/01/2002 5,265 5,432
Orange PLC
8.000% due 08/01/2008 40,550 41,969
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,355
Telewest Communications PLC
0.000% due 10/01/2007 (d) 2,500 2,212
11.250% due 11/01/2008 1,000 1,170
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (b) 500 552
10.732% due 01/01/2013 (b) 6,993 8,055
-----------
430,843
-----------
Total Corporate Bonds & Notes 2,559,786
(Cost $2,564,972) ===========
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 6,046
-----------
Total U.S. Treasury Obligations 6,046
(Cost $6,048) ===========
MORTGAGE-BACKED SECURITIES 1.7%
Collateralized Mortgage Obligations 1.4%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,464
Federal Deposit Insurance Corp.
6.187% due 11/25/2026 (d) 400 373
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,821
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 5,058
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028 (d) 3,835 2,877
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 8,005
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 5,562
Resolution Trust Corp.
9.250% due 06/25/2023 1,931 2,020
9.050% due 08/25/2023 568 566
6.900% due 02/25/2027 7,164 6,752
7.000% due 05/25/2027 5,759 5,762
-----------
45,260
-----------
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 3,235 3,215
Resolution Trust Corp.
6.653% due 09/25/2020 (d) 444 382
9.500% due 05/25/2024 28 28
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,535
-----------
7,160
-----------
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 821 31
7.000% due 07/25/2008 4,289 551
6.500% due 06/25/2017 1,336 82
7.000% due 04/25/2019 12,000 1,562
7.000% due 12/25/2021 7,591 797
Fund America (Ioette)
9.590% due 10/20/2021 10 25
-----------
3,048
-----------
Total Mortgage-Backed Securities 55,468
(Cost $56,557) ===========
ASSET-BACKED SECURITIES 6.1%
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 27,460
Apria Healthcare Group
7.938% due 08/09/2001 1,356 1,343
8.438% due 08/09/2001 6,148 5,971
BCP SA
11.280% due 03/31/2006 10,000 8,500
Charter Commercial Holdings LLC
7.750% due 03/31/2028 15,000 14,962
Columbia/HCA Healthcare
6.807% due 09/30/1999 13,750 13,526
6.807% due 09/30/2000 13,750 13,526
Decision One
7.890% due 08/07/2003 5,641 2,538
Huntsman Corp.
8.812% due 03/20/2007 (d) 3,500 3,500
Jefferson Smurfit
8.250% due 03/31/2006 18,905 18,076
Lyondell Petroleum
6.937% due 06/17/1999 7,675 7,579
6.937% due 06/17/2000 22,325 21,655
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,646
NTL, Inc.
0.000% due 02/01/2006 6,000 5,250
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003 (d) 15,000 15,000
Stone Container Corp.
8.500% due 04/01/2000 (d) 8,185 8,216
TFM SA de CV
6.190% due 06/30/2003 (d) 4,000 3,760
Varig SA
9.651% due 06/02/2005 5,847 4,385
8.777% due 06/02/2005 1,732 1,299
-----------
Total Asset-Backed Securities 196,192
(Cost $206,937) ===========
40 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.2%
Embotelladora Arica SA
9.875% due 03/15/2006 $ 22,000 $ 22,277
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,200
Republic of Argentina
5.937% due 03/31/2005 (d) 5,650 4,838
5.750% due 03/31/2023 (d) 9,000 6,255
Republic of Korea
8.875% due 04/15/2008 28,550 30,607
-----------
Total Sovereign Issues 72,177
(Cost $65,865) ===========
PREFERRED STOCK 3.0%
Shares
CSC Holdings, Inc.
12.738% due 01/02/2000 169 19,358
Fresenius Medical Care
7.875% due 01/02/2000 28 27,468
9.000% due 12/01/2006 27 27,511
Newscorp Overseas Limited
2.156% due 01/02/2000 133 3,330
Primedia, Inc.
8.624% due 01/02/2000 50 4,763
9.200% due 12/01/2006 70 7,193
Sig Capital Trust
9.500% due 08/15/2027 7 5,479
-----------
Total Preferred Stock 95,102
(Cost $97,840) ===========
SHORT-TERM INSTRUMENTS 7.6%
Principal
Amount
(000s)
Commercial Paper 6.4%
Abbott Laboratories
4.840% due 04/09/1999 $ 4,500 4,495
Coca-Cola Co.
4.770% due 04/08/1999 22,600 22,579
4.810% due 04/22/1999 2,100 2,094
4.780% due 06/21/1999 6,200 6,133
E.I. Du Pont de Nemours
4.800% due 06/04/1999 12,500 12,393
Ford Motor Credit Corp.
4.850% due 04/09/1999 14,100 14,085
4.840% due 04/23/1999 3,500 3,490
General Electric Capital Corp.
4.840% due 04/28/1999 300 299
4.840% due 04/30/1999 24,100 24,006
4.810% due 05/05/1999 800 796
IBM Corp.
4.810% due 04/21/1999 7,200 7,181
KFW International Finance, Inc.
4.760% due 04/06/1999 2,900 2,898
National Rural Utilities Cooperative
4.810% due 05/17/1999 35,000 34,785
4.820% due 06/10/1999 3,400 3,368
Shell Oil Co.
4.790% due 05/27/1999 17,100 16,973
4.780% due 06/22/1999 50,000 49,456
-----------
205,031
===========
Repurchase Agreements 1.2%
State Street Bank
4.000% due 04/01/1999 4,217 4,217
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$4,306,105. Repurchase proceeds are
$4,217,469.)
Daiwa Securities
4.920% due 04/01/1999 13,600 13,600
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 8.375% 08/15/2008 valued at
$13,927,080. Repurchase proceeds are
$13,601,859.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 23,100 23,100
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 12.000% 08/15/2013 valued at
$23,511,616. Repurchase proceeds are
$23,103,144.)
-----------
40,917
-----------
Total Short-Term Instruments 245,948
(Cost $245,948) ===========
Total Investments (a) 100.2% $ 3,230,719
(Cost $3,244,167)
Other Assets and Liabilities (Net) (0.2%) (7,469)
-----------
Net Assets 100.0% $ 3,223,250
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $3,244,633 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 66,233
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (80,147)
-----------
Unrealized depreciation-net $ (13,914)
===========
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of March 31, 1999.
See accompanying notes 41
<PAGE>
Schedule of Investments
Long-Term U.S. Government Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 0.7%
Merita Bank
6.500% due 04/01/2009 $ 2,000 $ 1,988
-----------
Total Corporate Bonds & Notes 1,988
(Cost $1,999) ===========
U.S. GOVERNMENT AGENCIES 2.0%
Student Loan Marketing Assn.
5.684% due 06/30/2000 (d) $ 1,000 $ 998
4.975% due 07/25/2004 (d) 1,838 1,820
5.098% due 04/25/2006 (d) 2,106 2,099
5.208% due 01/25/2007 (d) 853 853
-----------
Total U.S. Government Agencies 5,770
(Cost $5,779) ===========
U.S. TREASURY OBLIGATIONS 72.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f)(g) 15,900 15,801
U.S. Treasury Bonds
9.250% due 02/15/2016 (g) 4,200 5,711
8.125% due 08/15/2019 (g) 19,500 24,558
8.500% due 02/15/2020 16,400 21,458
8.125% due 05/15/2021 (g) 4,000 5,083
8.125% due 08/15/2021 26,200 33,282
8.000% due 11/15/2021 (g) 29,100 36,602
7.500% due 11/15/2024 1,300 1,573
6.875% due 08/15/2025 150 170
6.500% due 11/15/2026 (g) 32,200 34,867
6.625% due 02/15/2027 750 826
U.S. Treasury Notes
7.500% due 11/15/2001 (g) 22,800 24,118
-----------
Total U.S. Treasury Obligations 204,049
(Cost $209,818) ===========
MORTGAGE-BACKED SECURITIES 73.0%
Collateralized Mortgage Obligations 35.6%
Bear Stearns Mortgage Securities, Inc.
7.100% due 06/25/2024 385 387
California Federal Bank
6.390% due 08/25/2030 (d) 953 960
Chase Mortgage Finance Corp.
6.204% due 04/25/2025 (d) 3,413 3,462
CMC Securities Corp.
6.000% due 02/25/2009 2,769 2,773
6.150% due 05/25/2028 3,000 3,008
Federal Home Loan Mortgage Corp.
7.000% due 07/01/2002 1,965 2,005
7.500% due 06/01/2004 80 82
7.500% due 07/01/2004 757 776
7.500% due 08/01/2004 112 114
7.500% due 09/01/2004 286 293
9.500% due 01/15/2005 64 66
6.000% due 03/15/2007 102 102
5.500% due 05/15/2007 72 72
8.000% due 02/15/2015 377 402
6.500% due 05/12/2017 2,498 2,504
4.250% due 12/15/2021 541 509
7.000% due 07/15/2022 999 1,001
7.000% due 05/15/2023 210 212
6.500% due 05/15/2023 223 216
7.000% due 08/15/2023 301 294
7.000% due 09/15/2023 734 744
5.910% due 10/25/2023 2,053 2,055
6.500% due 11/15/2023 373 342
6.000% due 11/15/2023 894 827
6.500% due 11/15/2023 247 237
6.500% due 11/25/2023 254 240
6.500% due 12/15/2023 853 812
7.000% due 01/15/2024 57 58
6.500% due 02/15/2024 108 103
6.500% due 03/15/2024 848 815
8.000% due 12/15/2024 1,000 1,035
Federal Housing Administration
7.430% due 11/01/2023 1,527 1,602
7.430% due 01/01/2024 403 422
Federal National Mortgage Assn.
7.500% due 04/25/1999 205 204
7.500% due 02/01/2004 517 530
7.500% due 03/01/2004 381 391
7.500% due 04/01/2004 527 541
7.500% due 05/01/2004 669 687
7.500% due 06/01/2004 747 766
7.500% due 07/01/2004 525 539
7.500% due 08/01/2004 1,562 1,602
7.500% due 09/01/2004 288 296
7.500% due 10/01/2004 349 358
5.750% due 06/25/2006 348 348
5.600% due 07/25/2006 315 315
7.000% due 03/25/2013 274 274
6.250% due 12/25/2013 72 70
6.000% due 09/25/2016 1,378 1,380
5.750% due 12/25/2016 152 152
6.650% due 01/24/2017 303 304
8.750% due 08/25/2020 69 70
8.000% due 03/25/2022 21 21
7.000% due 04/25/2022 792 778
7.000% due 06/25/2022 381 368
7.000% due 10/25/2022 1,077 1,052
7.800% due 10/25/2022 691 712
6.900% due 05/25/2023 287 285
7.000% due 05/25/2023 1,109 1,095
7.000% due 06/25/2023 478 474
6.000% due 08/25/2023 47 43
4.500% due 10/25/2023 184 119
6.500% due 11/25/2023 2,000 1,931
7.000% due 12/25/2023 1,443 1,452
6.500% due 12/25/2023 182 168
6.500% due 01/25/2024 190 182
6.000% due 05/17/2027 2,500 2,343
7.000% due 05/18/2027 1,441 1,377
8.500% due 06/01/2027 1,873 1,971
9.000% due 06/01/2027 2,178 2,324
6.464% due 02/01/2028 (d) 706 725
First Boston Mortgage Securities Corp.
7.300% due 07/25/2023 1,340 1,366
First Plus Home Loan Trust
5.970% due 11/10/2010 2,000 2,003
GE Capital Mortgage Services, Inc.
9.000% due 09/25/2023 737 759
6.500% due 10/25/2023 3,000 2,877
7.500% due 07/25/2026 4,786 4,917
Headlands Mortgage Securities, Inc.
6.500% due 10/25/2028 4,366 3,934
Independent National Mortgage Corp.
7.978% due 01/25/2025 (d) 164 167
Merrill Lynch Mortgage Investors, Inc.
6.050% due 10/15/2008 3,114 3,111
Norwest Asset Securities Corp.
6.750% due 10/25/2028 995 990
PHH Mortgage Services Corp.
6.730% due 06/18/2011 12,000 12,030
PNC Mortgage Securities Corp.
7.000% due 02/25/2028 1,483 1,499
6.750% due 04/25/2028 3,000 3,013
Prudential Home Mortgage Securities
6.950% due 09/25/2023 63 61
6.500% due 01/25/2024 1,273 1,156
Residential Funding Mortgage Securities, Inc.
7.793% due 03/25/2025 (d) 124 128
7.750% due 09/25/2026 1,100 1,125
7.500% due 04/25/2027 1,962 2,011
Resolution Trust Corp.
6.000% due 09/25/2029 2,273 2,287
Vendee Mortgage Trust
6.500% due 06/15/2024 2,041 1,959
-----------
100,170
===========
42 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation 5.8%
6.250% due 12/15/2023 $ 416 $ 384
6.542% due 10/01/2026 (d) 2,198 2,215
6.706% due 05/01/2022 (d) 115 117
7.483% due 06/01/2022 (d) 87 90
7.500% due 10/01/2004 5,708 5,845
8.000% due 05/01/2004 5,892 6,051
8.008% due 12/01/2024 (d) 1,701 1,752
-----------
16,454
===========
Federal Housing Administration 10.9%
6.800% due 10/15/2040 (e) 3,767 3,834
7.000% due 11/25/2019-10/15/2040 (e) 6,689 6,744
7.375% due 01/01/2018 1,820 1,880
7.400% due 12/18/2018 2,974 3,074
7.421% due 11/01/2019 158 164
7.430% due 08/01/2019-06/01/2024 (e) 12,666 13,136
7.450% due 03/25/2022 1,703 1,763
-----------
30,595
===========
Federal National Mortgage Association 8.5%
6.390% due 05/25/2036 1,557 1,348
6.568% due 08/01/2026 (d) 634 641
6.914% due 08/01/2026 (d) 950 976
7.000% due 03/01/2009-07/25/2023 (e) 10,791 11,061
7.132% due 10/01/2024 (d) 2,615 2,643
7.399% due 08/01/2027 (d) 364 371
7.636% due 10/01/2024 (d) 147 151
8.500% due 09/01/2026-09/01/2027 (e) 6,437 6,783
-----------
23,974
===========
Government National Mortgage Association 10.3%
6.125% due 05/20/2024-10/20/2026 (d)(e) 2,294 2,329
6.500% due 04/20/2027-05/24/2029 (d)(e) 4,228 4,211
6.625% due 12/15/2000-02/15/2040 (d)(e) 11,127 11,267
6.875% due 04/20/2017-03/20/2027 (d)(e) 11,050 11,229
-----------
29,036
===========
Other Mortgage-Backed Securities 0.4%
Resolution Trust Corp.
6.609% due 05/25/2029 (d) 1,049 1,047
-----------
1,047
===========
Stripped Mortgage-Backed Securities 1.5%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 09/15/1999 45 1
7.000% due 03/15/2003 1,416 170
6.500% due 11/15/2003 2,250 302
6.500% due 08/15/2006 145 8
6.500% due 10/15/2006 248 21
6.500% due 11/15/2006 287 15
8.191% due 02/15/2007 6 114
7.500% due 06/15/2007 561 55
6.000% due 10/15/2007 260 19
6.500% due 10/15/2007 2,031 180
6.500% due 11/15/2008 1,015 179
7.000% due 12/15/2023 2,377 344
7.000% due 02/15/2026 119 9
Federal National Mortgage Assn. (IO)
11.876% due 08/25/2006 13 133
6.500% due 02/25/2007 163 13
6.500% due 07/25/2007 2,834 157
11.980% due 08/25/2007 9 250
10.146% due 09/25/2007 5 115
6.500% due 08/25/2020 496 39
6.500% due 09/25/2021 661 84
7.000% due 12/25/2021 380 40
Federal National Mortgage Assn. (PO)
0.000% due 03/25/2009 2,944 1,969
First Plus Home Loan Trust (IO)
6.000% due 08/10/2028 1,200 121
-----------
4,338
-----------
Total Mortgage-Backed Securities 205,614
(Cost $203,829) ===========
ASSET-BACKED SECURITIES 4.1%
Bear Stearns Mortgage Securities, Inc.
6.350% due 08/25/2024 3,202 3,211
Chase Manhattan Corp
6.750% due 08/25/2028 1,850 1,792
Discover Card Trust
6.792% due 04/16/2010 1,325 1,338
Merrill Lynch Mortgage Investors, Inc.
6.210% due 11/24/2028 2,000 2,003
Norwest Asset Securities Corp.
6.750% due 07/25/2028 3,000 2,887
Residential Funding Mortgage Securities, Inc. (IO)
5.000% due 06/25/2000 6,000 426
-----------
Total Asset-Backed Securities 11,657
(Cost $11,636) ===========
PURCHASED CALL OPTIONS 1.1%
U.S. Treasury Bond (OTC)
6.250% due 08/15/2023
Strike @ 96.968 Exp. 04/12/1999 14,400 1,097
U.S. Treasury Note (OTC)
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 20,000 1,032
7.250% due 05/15/2004
Strike @ 101.906 Exp. 04/12/1999 11,100 777
4.750% due 11/15/2008
Strike @ 97.859 Exp. 04/9/1999 95,000 66
-----------
Total Purchased Call Options 2,972
(Cost $3,545) ===========
SHORT-TERM INSTRUMENTS 1.4%
Repurchase Agreement 1.2%
State Street Bank
4.000% due 04/01/1999 3,315 3,315
(Dated 03/31/1999. Collateralized by U.S. -----------
Treasury Note 7.750% 01/31/2000 valued at
$3,386,412. Repurchase proceeds are
$3,315,368.)
U.S. Treasury Bills (b) 0.2%
4.366% due 06/24/1999 750 742
-----------
Total Short-Term Instruments 4,057
(Cost $4,057) ===========
Total Investments (a) 154.8% $ 436,107
(Cost $440,663)
Written Options (c) (0.0%) (110)
(Premiums $224)
Other Assets and Liabilities (Net) (54.8%) (154,359)
-----------
Net Assets 100.0% $ 281,638
===========
See accompanying notes 43
<PAGE>
Schedule of Investments (Cont.)
Long-Term U.S. Government Fund
March 31, 1999
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $440,484 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,772
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (7,149)
------------
Unrealized depreciation-net $ (4,377)
============
(b) Securities with an aggregate market value of $742
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at March 31, 1999:
# of Unrealized
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
U.S. Treasury 30 Year Bond (06/1999) 180 (90)
(c) Premium on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Federal Home Loan Mortgage
6.000% due 04/2029
Strike @ 97.83 Exp. 04/09/1999 $ 19,000 $ 103 $ 9
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 23,200 53 40
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 23,200 68 61
----------------------------
$ 224 $ 110
============================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Principal amount of security is adjusted for inflation.
(g) Subject to a financing transaction.
44 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 37.3%
Banking & Finance 19.4%
Associates Corp. of North America
5.104% due 08/27/2001 (d) $1,000 $1,003
6.875% due 06/20/2002 20,000 20,515
6.950% due 08/01/2002 1,000 1,035
AT&T Capital Corp.
6.490% due 05/17/1999 10,000 10,011
Banc One Corp.
7.250% due 08/01/2002 500 521
BankAmerica Corp.
7.200% due 09/15/2002 100 104
7.875% due 12/01/2002 100 106
Bear Stearns Co., Inc.
5.230% due 08/29/2000 (d) 21,000 21,031
5.821% due 02/06/2001 (d) 8,600 8,649
Beneficial Corp.
9.220% due 06/15/1999 1,000 1,008
6.650% due 09/12/2002 5,000 5,056
6.575% due 12/16/2002 5,440 5,487
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,798
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,951
Case Credit Corp.
5.850% due 02/20/2001 (d) 63,000 62,911
5.157% due 08/01/2001 (d) 4,750 4,667
Chase Manhattan Corp.
5.500% due 02/15/2001 1,000 997
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 5,028
5.077% due 08/08/2002 (d) 8,000 8,013
CIT Group, Inc.
6.200% due 10/20/2000 50,000 50,429
5.875% due 06/18/2001 10,000 10,037
Citicorp
9.750% due 08/01/1999 100 101
5.371% due 10/25/1999 (d) 5,000 5,014
Credit Asset Receivable
6.274% due 10/30/2003 44,709 45,618
Ford Motor Credit Corp.
7.500% due 11/15/1999 100 101
5.280% due 03/21/2001 (d) 3,000 3,006
5.150% due 03/19/2002 3,107 3,103
6.520% due 08/12/2002 13,000 13,272
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 15,407
5.020% due 09/19/2001 (d) 5,000 4,996
5.100% due 12/10/2001 (d) 5,300 5,306
5.095% due 04/29/2002 (d) 2,000 1,996
5.100% due 11/12/2002 (d) 17,400 17,403
5.875% due 01/22/2003 500 500
Goldman Sachs Group
6.200% due 12/15/2000 1,000 1,004
Great Western Financial
8.600% due 02/01/2002 4,000 4,263
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,949
Household Finance Corp.
6.490% due 04/09/2001 20,000 20,308
6.125% due 07/15/2002 10,000 10,068
7.625% due 01/15/2003 10,849 11,444
Lehman Brothers Holdings, Inc.
5.370% due 05/14/1999 (d) 5,000 4,998
7.625% due 07/15/1999 (d) 50 50
7.110% due 09/27/1999 45 45
8.150% due 05/15/2000 13,900 14,192
4.990% due 08/11/2000 (d) 7,900 7,871
5.900% due 04/01/2002 (d) 2,000 2,000
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,170
6.000% due 01/15/2001 1,336 1,343
5.604% due 11/26/2001 (d) $115,000 $116,621
5.348% due 02/08/2002 (d) 25,000 24,985
6.130% due 04/07/2003 7,770 7,837
Morgan Stanley Group, Inc.
5.070% due 04/15/1999 5,000 5,001
New England Educational Loan Marketing
5.104% due 11/30/1999 (d) 20,000 20,040
Okobank
6.510% due 10/29/2049 (d) 750 749
PaineWebber
7.000% due 03/01/2000 50 51
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
PNC Bank Corp.
5.100% due 01/24/2002 (d) 20,000 19,860
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,704
Salomon, Inc.
7.125% due 08/01/1999 1,050 1,056
7.750% due 05/15/2000 19,000 19,441
7.500% due 02/01/2003 3,000 3,146
Salomon, Smith Barney Holdings
7.875% due 10/01/1999 100 101
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,164
SGE Associates
8.070% due 07/20/2000 (j) 9,373 9,562
Toyota Motor Credit Corp.
4.659% due 02/15/2002 (d) 11,600 11,163
Transamerica Financial Corp.
6.125% due 11/01/2001 5,000 5,040
Travelers Group, Inc.
7.300% due 05/15/2002 15,000 15,549
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,014
------------
751,861
============
Industrials 10.1%
AK Steel Corp.
10.750% due 04/01/2004 10,650 11,079
Allied Waste North America
7.375% due 01/01/2004 5,000 4,875
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,174
9.910% due 03/01/2001 2,500 2,669
9.440% due 05/15/2001 5,000 5,318
9.125% due 10/24/2001 1,000 1,066
Building Materials Corp.
0.000% due 07/01/2004 (i) 4,700 4,853
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,793
Container Corp. of America
11.250% due 05/01/2004 2,500 2,650
Delta Air Lines
9.800% due 12/16/2000 250 263
8.500% due 09/15/2001 205 216
10.430% due 01/02/2011 850 1,053
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 28,684
Ford Motor Co.
9.000% due 09/15/2001 500 537
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,794
Hertz Corp.
6.625% due 07/15/2000 100 101
IBM Corp.
6.375% due 06/15/2000 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,105
J Seagram & Sons
6.250% due 12/15/2001 52,000 52,263
Langdell
9.978% due 07/30/1999 (d) 5,000 5,031
See accompanying notes 45
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Nabisco, Inc.
6.000% due 02/15/2001 (d) $ 20,000 $ 20,012
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,009
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,412
6.400% due 04/01/2003 15,945 15,776
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 5,000 4,656
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,365
7.500% due 01/15/2002 200 209
RJR Nabisco
8.000% due 07/15/2001 10,135 10,408
8.625% due 12/01/2002 4,500 4,679
Stater Brothers Holdings
11.000% due 03/01/2001 3,875 3,972
TCI Communications, Inc.
5.700% due 03/11/2003 (d) 3,000 3,068
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,295
8.625% due 12/01/2003 1,700 1,740
Time Warner, Inc.
4.900% due 07/29/1999 3,000 2,994
7.975% due 08/15/2004 21,247 22,984
8.110% due 08/15/2006 42,495 47,017
8.180% due 08/15/2007 42,495 47,727
Xerox Capital
5.875% due 06/01/2000 3,000 3,013
Yorkshire Power
6.154% due 02/25/2003 40,000 39,857
-----------
389,920
-----------
Utilities 7.8%
Central Maine Power Co.
5.263% due 07/30/1999 (d) 10,000 10,008
6.463% due 11/01/1999 (d) 18,200 18,291
6.380% due 02/24/2000 10,000 10,073
Cleveland Electric Illuminating Co.
9.300% due 07/26/1999 1,500 1,517
8.550% due 11/15/2001 2,075 2,183
7.850% due 07/30/2002 3,500 3,646
CMS Energy
7.375% due 11/15/2000 15,150 15,299
8.125% due 05/15/2002 1,750 1,799
7.625% due 11/15/2004 14,500 14,718
Connecticut Light & Power
7.875% due 06/01/2001 500 511
7.750% due 06/01/2002 11,700 12,127
8.590% due 06/05/2003 10,000 9,934
Consolidated Natural Gas Co.
8.750% due 06/01/1999 400 402
Flag Limited
8.250% due 01/30/2008 2,000 1,940
Illinois Power Co.
6.250% due 07/15/2002 10,000 10,038
6.000% due 09/15/2003 12,500 12,509
Long Island Lighting Co.
7.300% due 07/15/1999 4,500 4,522
Louisiana Power & Light Co.
7.740% due 07/01/2002 10,500 10,685
MCI Worldcom, Inc.
8.875% due 01/15/2006 5,170 5,570
New Centuries Energies
5.860% due 05/28/2000 12,100 12,078
New Orleans Public Service
8.000% due 03/01/2006 400 412
Niagara Mohawk Power
7.000% due 10/01/2000 27,400 27,682
7.125% due 07/01/2001 2,000 2,033
7.250% due 10/01/2002 21,300 21,697
9.500% due 03/01/2021 1,725 1,830
North Atlantic Energy
9.050% due 06/01/2002 4,930 5,086
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 10,000 10,007
Puget Sound Energy, Inc.
6.500% due 09/14/1999 2,000 2,011
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 2,017
Texas Utilities Co.
6.750% due 04/01/2003 3,875 4,011
Union Electric Co.
8.000% due 12/15/2022 1,000 1,077
US West, Inc.
5.650% due 11/01/2004 4,250 4,201
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,314
7.750% due 12/01/2002 10,300 10,508
WorldCom, Inc.
6.125% due 08/15/2001 45,000 45,448
-----------
301,184
-----------
Total Corporate Bonds & Notes 1,442,965
(Cost $1,426,940) ===========
MUNICIPAL BONDS & NOTES 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,108
-----------
Total Municipal Bonds & Notes 13,108
(Cost $12,997) ===========
U.S. GOVERNMENT AGENCIES 2.6%
Federal Home Loan Bank
4.350% due 04/19/1999 (d) 3,000 2,998
Small Business Administration
7.000% due 01/25/2013 (d) 273 281
6.500% due 02/25/2014 (d) 849 868
Student Loan Marketing Assn.
5.684% due 06/30/2000 (d) 46,000 45,917
5.098% due 04/25/2006 (d) 4,441 4,426
5.178% due 04/25/2007 (d) 45,374 45,381
-----------
Total U.S. Government Agencies 99,871
(Cost $99,900) ===========
U.S. TREASURY OBLIGATIONS 4.4%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(k) 95,400 94,804
3.625% due 01/15/2008 (h) 7,627 7,453
3.875% due 01/15/2009 (h)(k) 12,522 12,486
U.S. Treasury Notes
5.375% due 07/31/2000 (k) 55,000 55,293
-----------
Total U.S. Treasury Obligations 170,036
(Cost $169,795) ===========
MORTGAGE-BACKED SECURITIES 63.4%
Collateralized Mortgage Obligations 16.2%
American Southwest Financial
5.500% due 06/02/1999 2,334 2,314
Asset Securitization Corp.
7.320% due 01/13/2030 116 122
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 233 248
6.900% due 09/19/2006 135 140
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 525 538
6.204% due 04/25/2025 (d) 5,236 5,311
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/2015 131 131
Collateralized Mortgage Obligation Trust
6.062% due 01/20/2003 (d) 13 13
9.500% due 06/25/2020 413 422
Countrywide Funding Corp.
6.000% due 01/25/2035 (d) 5,910 5,923
46 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Countrywide Home Loans
6.250% due 07/25/2009 $ 1,400 $ 1,407
6.900% due 12/25/2027 18,168 18,033
6.750% due 06/25/2028 15,103 14,390
6.050% due 04/25/2029 56,626 55,875
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,029 10,174
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 163 165
6.520% due 07/17/2007 145 147
Dime Savings
7.050% due 11/01/2018 (d) 2,285 2,097
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 1,114 1,232
8.365% due 05/25/2024 (d) 1,802 1,832
6.850% due 12/17/2027 165 166
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 144 141
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,200 3,213
10.000% due 09/15/2009 9 9
6.375% due 08/15/2011 6,120 6,156
6.500% due 08/15/2011 22,726 22,788
12.500% due 09/30/2013 809 886
6.250% due 07/15/2014 3,072 3,079
11.000% due 11/30/2015 6,744 7,459
10.000% due 07/15/2019 373 403
9.000% due 11/15/2019 1,284 1,326
8.000% due 04/15/2020 430 432
7.500% due 04/15/2020 2,900 2,927
10.000% due 05/15/2020 256 270
9.000% due 12/15/2020 4,964 5,167
7.500% due 12/15/2020 2,000 2,033
9.500% due 01/15/2021 1,633 1,725
8.000% due 04/15/2021 1,793 1,847
9.000% due 05/15/2021 320 334
7.500% due 01/20/2024 10,826 10,955
Federal National Mortgage Assn.
8.950% due 05/25/2003 58 60
9.400% due 07/25/2003 97 101
9.000% due 07/25/2003 442 454
6.875% due 06/25/2009 2,407 2,427
5.750% due 04/25/2016 167 167
9.300% due 05/25/2019 1 1
8.750% due 05/25/2019 70 71
9.000% due 07/25/2019 200 202
9.500% due 03/25/2020 3,211 3,540
9.500% due 05/25/2020 1,450 1,590
9.000% due 03/25/2021 5,050 5,343
9.000% due 04/25/2021 173 182
8.000% due 03/25/2022 83 85
7.100% due 12/25/2023 6,769 6,878
5.000% due 01/25/2024 239 237
8.500% due 04/01/2025 4,635 4,878
6.464% due 02/01/2028 (d) 9,464 9,715
First Plus Home Loan Trust
6.060% due 09/10/2011 500 502
Fleet Mortgage
7.200% due 10/25/2023 198 200
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,582 4,626
6.500% due 02/25/2024 18 18
Glendale Federal Savings & Loan
6.305% due 03/25/2030 (d) 1,658 1,680
Greenwich
8.733% due 11/25/2024 (d) 923 932
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/2015 874 931
Independent National Mortgage Corp.
8.107% due 11/25/2024 (d) 1,646 1,677
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 194
6.373% due 01/15/2030 147 149
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 144 145
Lehman Large Loan
6.790% due 06/12/2004 165 170
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,677
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 265 267
Morgan Stanley Capital
6.860% due 07/15/2005 130 130
7.227% due 01/16/2006 230 240
6.220% due 06/03/2030 230 232
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,843 24,117
Nomura Asset Securities Corp.
6.625% due 01/25/2009 1,974 1,986
Norwest Asset Securities Corp.
6.250% due 11/25/2013 18,196 18,076
7.000% due 01/25/2028 42,677 43,050
Norwest Mortgage
12.375% due 01/01/2014 155 160
12.500% due 02/01/2014 438 468
12.250% due 04/01/2014 255 237
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,969 12,055
6.750% due 05/25/2028 7,149 7,195
Prudential Bache
5.941% due 09/01/2018 (d) 32 32
8.400% due 03/20/2021 5,175 5,331
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 899
7.000% due 11/25/2007 56 56
7.000% due 01/25/2008 10,000 10,126
7.000% due 06/25/2023 3,014 3,028
6.050% due 04/25/2024 267 267
6.000% due 05/25/2024 28 28
Resecuritization Mortgage Trust
5.189% due 04/26/2021 (d) 21,748 21,299
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 31,201 31,152
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 2,006 2,014
6.500% due 04/25/2009 66 66
5.913% due 07/01/2019 (d) 998 973
7.036% due 09/01/2019 (d) 141 140
7.250% due 10/25/2027 19,500 19,771
Resolution Trust Corp.
6.786% due 09/25/2019 (d) 1,335 1,325
5.977% due 01/25/2021 (d) 160 159
8.625% due 10/25/2021 16,777 16,732
7.006% due 10/25/2021 (d) 142 141
6.948% due 10/25/2021 (d) 812 810
6.900% due 02/25/2027 4,911 4,629
6.134% due 09/27/2027 (d) 1,926 1,896
9.000% due 09/25/2028 197 198
7.482% due 10/25/2028 (d) 121 126
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 238
Ryland Acceptance Corp.
9.450% due 10/01/2016 145 144
8.000% due 03/01/2018 2,403 2,450
Salomon Brothers Mortgage Securities
6.974% due 12/25/2017 (d) 2,133 2,135
9.504% due 10/25/2018 (d) 944 980
7.518% due 03/25/2024 (d) 2,058 2,099
Sears Mortgage
7.572% due 08/25/2023 (d) 335 343
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 4,547 4,556
Shearson Lehman
9.600% due 03/25/2021 558 557
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 40,058 39,459
8.992% due 06/25/2029 12,939 13,566
6.580% due 06/25/2029 (d) 32,620 32,997
6.750% due 05/02/2030 5,000 4,972
See accompanying notes 47
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 $ 26,153 $ 25,892
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 4,601 4,609
TMA Mortgage Funding Trust
5.319% due 01/25/2029 (d) 16,700 16,695
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 6,007
-----------
628,772
-----------
Federal Home Loan Mortgage Corporation 15.6%
4.750% due 06/01/2001 8 8
5.500% due 04/01/2007-05/15/2029 (g) 30,001 28,285
5.750% due 01/15/2008 7,096 7,114
5.900% due 01/01/2017-06/01/2017 (d)(g) 585 588
5.905% due 09/01/2015-06/01/2030 (d)(g) 3,859 3,872
5.928% due 01/01/2020 (d) 660 663
5.941% due 02/01/2015-08/01/2019 (d)(g) 2,024 2,031
5.955% due 05/01/2017 (d) 177 177
5.985% due 02/01/2016 (d) 90 90
6.000% due 03/01/2011-05/17/2029 (d)(g) 319,098 310,218
6.012% due 01/01/2030-12/01/2030 (d)(g) 3,428 3,446
6.031% due 10/01/2030 (d) 359 361
6.125% due 01/01/2020 (d) 234 236
6.132% due 11/01/2014 (d) 62 62
6.500% due 04/01/2000-05/17/2029 (g) 82,896 82,706
6.750% due 03/01/2017 (d) 267 269
6.778% due 03/01/2024 (d) 130 134
6.991% due 01/01/2024 (d) 1,266 1,302
6.999% due 01/01/2024 (d) 2,593 2,660
7.021% due 11/01/2022 (d) 2,094 2,149
7.046% due 02/01/2020 (d) 3,105 3,182
7.299% due 06/01/2024 (d) 958 986
7.484% due 11/01/2023 (d) 1,056 1,082
7.496% due 07/01/2018 (d) 536 549
7.500% due 09/01/2006 110 112
7.567% due 10/01/2023 (d) 1,561 1,584
7.591% due 12/01/2022 (d) 1,107 1,123
7.619% due 09/01/2023 (d) 401 408
8.000% due 07/01/2006-06/01/2027 (g) 121,316 126,452
8.250% due 10/01/2007-11/01/2007 (g) 39 40
8.500% due 07/01/2001-11/01/2025 (g) 20,273 21,353
8.750% due 02/01/2001-04/01/2002 (g) 43 44
9.000% due 05/01/2002-07/01/2004 (g) 56 58
9.250% due 07/01/2001 4 4
9.500% due 03/01/2001-12/01/2004 (g) 90 93
9.750% due 03/01/2001-11/01/2008 (g) 895 941
10.000% due 04/01/2001-04/01/2015 (g) 16 16
10.500% due 07/01/2000-02/01/2016 (g) 67 70
10.750% due 10/01/2000-08/01/2011 (g) 423 454
11.500% due 10/01/2015 2 2
11.750% due 11/01/2010-08/01/2015 (g) 15 16
14.000% due 09/01/2012-04/01/2016 (g) 13 14
14.500% due 12/01/2010 5 6
15.000% due 08/01/2011-12/01/2011 (g) 4 5
15.500% due 11/01/2011 0 1
-----------
604,966
-----------
Federal Housing Administration 0.4%
6.950% due 04/01/2014 2,207 2,113
7.400% due 02/01/2019 129 134
7.421% due 11/01/2019 701 725
7.430% due 10/01/2019-12/01/2021 (g) 11,618 12,073
-----------
15,045
-----------
Federal National Mortgage Association 9.6%
5.538% due 04/25/2022 (d) 289 292
5.858% due 06/01/2021 (d) 79 79
5.889% due 08/01/2029 (d) 802 807
5.905% due 04/01/2019-05/01/2031 (d)(g) 12,159 12,255
5.910% due 06/01/2014 (d) 307 310
5.916% due 05/01/2036 (d) 1,377 1,386
5.940% due 11/01/2016-04/26/2029 (d)(g) 7,464 7,521
5.941% due 11/01/2018-10/01/2028 (d)(g) 9,852 9,911
5.942% due 01/01/2027-04/01/2028 (d)(g) 1,175 1,181
5.944% due 07/01/2024 (d) 1,373 1,384
5.948% due 02/01/2024 (d) 1,021 1,029
5.987% due 06/01/2024 (d) 49 49
5.999% due 07/01/2020 (d) 901 909
6.000% due 05/01/2011-12/25/2020 (g) 507 507
6.012% due 07/01/2014 (d) 1,165 1,172
6.042% due 04/01/2018 (d) 7,470 7,522
6.050% due 08/01/2023 (d) 1,127 1,133
6.331% due 07/01/2017 (d) 724 742
6.500% due 06/01/2008-01/25/2024 (g) 39,160 38,042
6.505% due 01/01/2021 (d) 590 597
6.602% due 11/01/2017 (d) 421 426
6.724% due 11/01/2018 (d) 240 246
6.909% due 01/01/2024 (d) 63 65
6.923% due 01/01/2024 (d) 3,082 3,164
7.000% due 04/01/2002-09/01/2007 (g) 180 183
7.016% due 04/01/2024 (d) 2,953 3,032
7.478% due 07/01/2023 (d) 2,029 2,088
7.500% due 04/01/2024-05/01/2024 (g) 12,058 12,420
7.998% due 10/01/2024 (d) 5,625 5,785
8.000% due 03/01/2004-12/01/2025 (g) 8,989 9,390
8.500% due 03/01/2008-08/01/2026 (g) 232,874 244,943
10.000% due 02/01/2004-06/01/2019 (g) 1,748 1,865
10.500% due 06/01/2005-11/01/2005 (g) 239 250
11.000% due 09/01/2000 8 8
11.250% due 12/01/2010-10/01/2015 (g) 175 191
11.750% due 02/01/2016 38 42
12.000% due 01/01/2015-10/01/2015 (g) 10 10
12.750% due 03/01/2014-11/01/2014 (g) 74 83
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 18 21
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 41 46
15.500% due 10/01/2012-12/01/2012 (g) 73 85
15.750% due 12/01/2011 37 44
16.000% due 09/01/2012-12/01/2012 (g) 21 23
-----------
371,251
-----------
Government National Mortgage Association 20.1%
6.125% due 10/20/2023-10/20/2025 (d)(g) 64,128 65,092
6.500% due 05/15/2023-05/24/2029 (d)(g) 317,706 316,099
6.550% due 11/15/2013 21 21
6.625% due 08/20/2022-07/20/2027 (d)(g) 111,688 113,335
6.875% due 04/20/2016-05/20/2027 (d)(g) 58,470 59,303
6.880% due 06/20/2027 (d) 4,233 4,290
7.000% due 03/15/2011-04/15/2026 (g) 78,522 80,017
7.500% due 02/15/2022-01/15/2027 (g) 97,005 100,156
8.000% due 07/15/2004-05/15/2025 (g) 36,530 38,466
8.500% due 04/15/2022 15 16
9.750% due 07/15/2013-02/15/2020 (g) 964 1,050
11.250% due 10/15/2000 3 3
11.750% due 07/15/2013-08/15/2015 (g) 100 110
12.000% due 06/20/2015 16 18
12.250% due 01/15/2014-03/15/2014 (g) 276 311
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 29 33
16.000% due 12/15/2011-04/15/2012 (g) 38 46
-----------
778,373
-----------
Other Mortgage-Backed Securities 1.0%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 150 151
Glendale Federal Savings & Loan
11.000% due 03/01/2010 20 21
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 13,409 13,895
Great Western Savings & Loan
5.960% due 12/01/2017 (d) 417 413
Home Savings of America
5.641% due 05/25/2027 (d) 1,607 1,570
5.682% due 09/25/2028 (d) 1,180 1,175
48 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Imperial Savings & Loan
8.850% due 07/25/2017 (d) $ 44 $ 44
9.900% due 02/25/2018 528 540
MDC Mortgage Funding
8.268% due 01/25/2025 (d) 440 458
Resolution Trust Corp.
7.068% due 05/25/2019 (d) 4,252 4,255
7.300% due 08/25/2019 (d) 4,387 4,389
10.279% due 08/25/2021 (d) 657 668
9.500% due 05/25/2024 114 113
5.887% due 10/25/2028 (d) 2,488 2,518
7.035% due 05/25/2029 (d) 2,733 2,781
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 582 612
7.581% due 12/25/2017 (d) 228 224
Sears Mortgage
12.000% due 02/25/2014 91 91
7.217% due 10/25/2022 (d) 2,964 2,997
Western Federal Savings & Loan
6.386% due 06/25/2018 (d) 2 2
6.512% due 11/25/2018 (d) 109 109
10.069% due 02/01/2020 (d)(j) 42 42
-----------
37,068
===========
Stripped Mortgage-Backed Securities 0.5%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 1,154 18
6.000% due 02/15/2006 1,442 81
9.982% due 07/15/2006 34 274
10.195% due 08/15/2006 10 104
11.944% due 12/15/2006 23 292
6.000% due 10/15/2007 1,460 90
6.000% due 02/15/2008 4,395 303
6.500% due 08/25/2013 537 4
7.000% due 08/15/2018 7,321 801
7.500% due 12/15/2018 1,582 52
7.000% due 04/15/2019 1,727 103
6.500% due 05/15/2019 8,601 772
6.500% due 06/15/2019 7,345 503
10.496% due 04/15/2021 19 344
6.500% due 04/15/2022 5,390 592
7.000% due 05/15/2023 532 77
4.000% due 01/15/2024 20,919 4,943
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 1,062 40
7.272% due 09/25/2006 52 602
6.000% due 02/25/2008 5,756 410
256.000% due 11/01/2008 34 160
6.500% due 03/25/2009 7,490 850
0.100% due 03/25/2009 (d) 24,961 505
6.500% due 03/25/2009 2,720 312
8.815% due 06/25/2016 28 108
9.987% due 12/25/2018 5 15
7.500% due 03/25/2019 4,880 341
6.500% due 05/25/2019 10,000 1,415
6.500% due 04/25/2020 15,299 1,305
7.000% due 05/25/2021 8,348 822
8.598% due 02/25/2022 35 530
6.500% due 03/25/2023 5,953 751
4.875% due 03/25/2024 (d) 9,627 408
Federal National Mortgage Assn. (PO)
0.000% due 07/25/2022 1,485 1,451
0.000% due 09/25/2022 46 41
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 69,776 378
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 388 389
-----------
20,186
-----------
Total Mortgage-Backed Securities 2,455,661
(Cost $2,448,484) ===========
ASSET-BACKED SECURITIES 1.9%
Capital Asset Research Funding LP
6.400% due 12/15/2004 122 122
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 6,227
CMC Securities Corporation IV
7.250% due 11/25/2027 8,884 9,081
Contimortgage Home Equity Loan Trust
5.116% due 04/15/2028 (d) 1,024 1,020
Delta Air Lines Equipment Trust
10.430% due 01/02/2011 960 1,189
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 30,000 30,097
IMC Home Equity Loan Trust
5.152% due 10/20/2027 (d) 11,006 10,989
Stone Container Corp.
8.500% due 04/01/2000 (d) 6,566 6,590
8.520% due 10/01/2003 (d) 5,000 5,013
United Air Lines Equipment Trust
10.850% due 02/19/2015 1,500 1,878
-----------
Total Asset-Backed Securities 72,206
(Cost $71,983) ===========
SOVEREIGN ISSUES 3.7%
Hydro Quebec
9.000% due 03/07/2001 10,000 10,597
Korea Development Bank
7.125% due 09/17/2001 5,000 4,921
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 1,500 1,538
Province of Quebec
5.563% due 10/26/2001 (d) 250 248
7.125% due 02/09/2024 200 209
Republic of Argentina
5.288% due 04/01/2000 (d) 616 486
14.250% due 11/30/2002 (d) 3,000 2,904
5.937% due 03/31/2005 (d) 48,825 41,809
12.110% due 04/10/2005 (d) 5,000 4,625
Republic of Korea
7.562% due 04/07/1999 (d) 40,000 40,010
7.813% due 04/08/2000 (d) 8,500 8,489
Republic of Philippines
6.000% due 12/01/2007 3,000 2,522
United Mexican States
5.820% due 06/28/2001 10,500 10,147
6.250% due 06/27/2002 (d) 9,000 8,438
-----------
Total Sovereign Issues 144,717
(Cost $147,590) ===========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1%
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 920
4.250% due 12/01/2026 52,096 35,100
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,709
-----------
Total Foreign Currency-Denominated Issues 40,729
(Cost $45,820) ===========
PURCHASED CALL OPTIONS 0.0%
U.S. Treasury Note (OTC)
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 $ 45,000 505
-----------
Total Purchased Call Options 505
(Cost $480) ===========
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Value
(000s)
PREFERRED STOCK 2.1%
Shares
Home Ownership Funding
133.310% due 01/02/2000 3 $ 2,745
Rhone-Poulenc SA
2.031% due 01/02/2000 13 338
SI Financing Trust
2.375% due 01/02/2000 807 21,375
TCI Communications, Inc.
2.500% due 01/02/2000 800 21,658
2.430% due 01/02/2000 225 6,151
2.180% due 01/02/2000 1,170 30,569
-------------
Total Preferred Stock 82,836
(Cost $83,777) =============
SHORT-TERM INSTRUMENTS 1.9%
Principal
Amount
(000s)
Repurchase Agreements 1.8%
State Street Bank
4.000% due 04/01/1999 $ 4,926 4,926
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$5,028,149. Repurchase proceeds are
$4,926,547.)
Daiwa Securities
4.920% due 04/01/1999 64,000 64,000
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 8.375% 08/15/2008 valued
at $21,700,072 and U.S. Treasury Bill 4.545%
09/23/1999 valued at $43,715,721.
Repurchase proceeds are $64,008,747.)
-------------
68,926
=============
U.S. Treasury Bills (b)(g) 0.1%
4.383% due 05/13/1999-06/24/1999 4,805 4,761
-------------
Total Short-Term Instruments 73,731 73,687
(Cost $73,687) =============
Total Investments (a) 118.7% $ 4,596,321
(Cost $4,581,453)
Written Options (c) (0.0%) (1,862)
(Premiums $1,830)
Other Assets and Liabilities (Net) (18.7%) (723,212)
-------------
Net Assets 100.0% $ 3,871,247
=============
- --------------------------------------------------------------------------------
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $4,584,759 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 36,300
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (24,738)
------------
Unrealized appreciation-net $ 11,562
============
(b) Securities with an aggregate market value of $4,761 have
been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 330 $ (439)
Eurodollar December Futures (12/1999) 330 (431)
Eurodollar December Futures (12/2000) 1,380 542
United Kingdom 90 Day LIBOR (03/2000) 314 14
United Kingdom 90 Day LIBOR (06/2000) 686 (190)
------------
$ (504)
============
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 $ 45,000 $ 260 $ 293
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 45,000 193 275
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 500,000 200 169
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 2,000,000 1,177 1,125
-------------------------
$ 1,830 $ 1,862
=========================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 6,183 08/1999 $ (70)
Sell C$ 55,662 04/1999 (196)
---------
$ (266)
============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Subject to a financing transaction.
50 See accompanying notes
<PAGE>
Schedule of Investments
Money Market Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
SHORT-TERM INSTRUMENTS 90.6%
Commercial Paper 69.2%
Abbott Laboratories
4.810% due 04/13/1999 $ 11,000 $ 10,982
Albertson's, Inc
4.830% due 04/08/1999 20,500 20,481
Anheuser Busch Cos., Inc.
4.810% due 04/22/1999 20,000 19,944
Archer-Daniels-Midland Co.
4.830% due 05/17/1999 5,000 4,969
AT&T Capital Corp.
4.820% due 04/22/1999 20,000 19,944
Campbell Soup Co.
4.830% due 05/06/1999 12,000 11,944
4.800% due 09/21/1999 10,000 9,769
Canadian Wheat Board
4.780% due 05/14/1999 5,000 4,971
Commonwealth Bank of Australia
4.850% due 04/06/1999 6,500 6,496
E.I. Du Pont de Nemours
4.760% due 04/05/1999 9,500 9,495
4.830% due 05/10/1999 500 498
4.840% due 06/08/1999 12,000 11,890
Eastman Kodak Co.
4.790% due 04/09/1999 700 699
4.780% due 04/22/1999 12,000 11,966
Ford Motor Credit Corp.
4.850% due 05/03/1999 11,000 10,952
General Electric Capital Corp.
4.860% due 06/15/1999 10,000 9,899
4.800% due 07/29/1999 12,000 11,810
Goldman Sachs Group
4.850% due 04/14/1999 20,000 19,965
GTE Funding, Inc.
4.820% due 04/08/1999 6,400 6,394
IBM Corp.
4.860% due 08/24/1999 10,000 9,804
Kimberly-Clark Corp.
4.820% due 04/29/1999 12,330 12,284
Monsanto Co.
4.860% due 05/05/1999 10,854 10,804
4.820% due 05/10/1999 2,500 2,487
4.750% due 07/23/1999 8,000 7,881
Motorola, Inc.
4.800% due 05/28/1999 11,500 11,413
National Australia Funding
4.770% due 05/12/1999 11,500 11,438
National Rural Utilities Cooperative
4.830% due 07/08/1999 8,250 8,142
Nike, Inc.
4.850% due 04/29/1999 561 559
Oesterreich Kontrollbank
4.810% due 09/22/1999 12,000 11,721
Proctor & Gamble Co.
4.800% due 04/19/1999 2,100 2,095
4.740% due 04/21/1999 6,000 5,984
4.810% due 06/18/1999 10,000 9,896
Province of British Colombia
4.820% due 05/13/1999 3,800 3,779
4.820% due 08/18/1999 7,500 7,360
Shell Oil Co.
4.810% due 04/29/1999 21,500 21,419
St. Paul Cos., Inc.
4.830% due 04/23/1999 2,675 2,667
USAA Capital Corp.
4.830% due 04/22/1999 8,800 8,775
4.810% due 06/14/1999 10,000 9,901
Xerox Corp.
4.820% due 04/14/1999 10,490 10,472
------------
371,949
============
Repurchase Agreements 21.4%
State Street Bank
4.000% due 04/01/1999 1,616 1,616
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 10/31/1999 valued at $1,653,377.
Repurchase proceeds are $1,616,180.)
Merrill Lynch
4.850% due 04/01/1999 113,500 113,500
(Dated 03/31/1999. Collateralized by Cash
Management Bill 4.887% 04/19/1999 valued
at $115,766,368. Repurchase proceeds are
$113,515,291.)
------------
115,116
------------
Total Short-Term Instruments 487,065
(Cost $487,065) ------------
Total Investments 90.6% $ 487,065
(Cost $487,065)
Other Assets and Liabilities (Net) 9.4% 50,825
------------
Net Assets 100.0% $ 537,890
============
See accompanying notes 51
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS & NOTES 99.4%
Alabama 0.4%
Mobile, Alabama General Obligation Bonds,
(MBIA Insured), Series 1998,
0.000%, 02/15/2000 (b) $ 325 $ 221
-----------
Arizona 4.1%
Santa Cruz County, Arizona Utility Revenue Bonds,
Series 1997, 4.750%, 08/01/2020 100 102
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500%, 09/01/2004 1,130 1,266
Show Low, Arizona Industrial Development Authority
Hospital Revenue Bond, Series 1998,
5.500%, 12/01/2017 1,000 1,030
-----------
2,398
-----------
California 12.3%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000%, 09/02/2006 360 357
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000%, 09/01/2008 350 350
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000%, 08/01/2015 500 578
Irvine, California Special Assessment Bond,
Series 1998, 4.800%, 09/02/2004 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group One, 4.900%, 09/02/2005 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group Three, 4.900%, 09/02/2005 160 160
Irvine, California Special Assessment Bond,
Series 1998, 5.000%, 09/02/2006 150 150
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000%, 09/01/2006 350 350
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B,
6.500%, 07/01/2013 1,000 1,076
Los Angeles, California Convention & Exhibition
Center Authority Lease Revenue Bonds, (MBIA Insured),
Series 1993, 6.125%, 08/15/2011 1,000 1,155
Orange County, California Improvement Bond,
Series 1998 A, 4.900%, 09/02/2005 300 300
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900%, 09/02/2003 150 155
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000%, 09/02/2004 150 155
Riverside County, California Special Tax
Refunding Bonds, Series 1999, 4.200%, 09/01/2001 300 300
Riverside County, California Special Tax, Series 1999,
4.700%, 09/01/2005 170 169
Sacramento County, California Refunding Bonds,
Series 1998, 4.900%, 09/02/2005 300 299
San Jose, California Redevelopment Agency Tax
Allocation Bond, Series 1998, 5.000%, 08/01/2021 1,000 991
West Sacramento, California Refunding Bonds,
Series 1998, 5.000%, 09/02/2004 350 355
-----------
7,200
-----------
Colorado 4.9%
Colorado Public Highway Authority Revenue Bond,
Series 1997 A, 5.000%, 09/01/2026 1,500 1,472
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000%, 12/01/2009 1,390 1,406
-----------
2,878
-----------
Florida 5.9%
Dade County, Florida General Obligation Bonds,
(AMBAC Insured), Series 1988, 7.600%, 10/01/2006 1,690 2,070
Gainesville, Florida Revenue Bonds, Series 1979,
6.200%, 10/01/2002 300 312
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/2000),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750%, 10/01/2021 1,000 1,064
-----------
3,446
-----------
Georgia 0.2%
Dawson County, Georgia School District General
Obligation Bond, Series 1997, 4.900%, 04/01/2012 105 107
-----------
Illinois 3.6%
Chicago, Illinois Wastewater Transmission
Revenue Bond, Series 1998 A, 5.000%, 01/01/2019 1,000 984
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000%, 6/15/2012 1,000 1,125
-----------
2,109
-----------
Indiana 5.9%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992,
6.750%, 02/01/2014 1,000 1,204
Indiana Transportation Revenue Bonds, Series 1996,
6.000%, 11/01/2011 2,000 2,270
-----------
3,474
-----------
Louisiana 2.6%
Jefferson Parish, Louisiana Industrial Development
Board, Inc. Revenue Bonds, (Regions Bank Insured),
Series 1986, 2.632%, 12/01/2004 600 600
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500%, 12/01/2018 (b) 1,000 930
-----------
1,530
-----------
Massachusetts 0.5%
Massachusetts State Development Finance Agency,
Series 1998, 4.700%, 11/01/2007 210 210
Massachusetts State Development Finance Agency,
Series 1998, 4.800%, 11/01/2008 90 90
-----------
300
-----------
Michigan 2.3%
Michigan State Building Authority Revenue Bonds,
Series 1997, 5.000%, 10/15/2014 100 101
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250%, 11/01/2012 1,100 1,274
-----------
1,375
-----------
Minnesota 1.7%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500%, 08/01/2004 1,000 1,017
-----------
52 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Mississippi 0.3%
Mississippi State Department of Corrections,
Certificate Participation Bonds, (AMBAC Insured),
Series 1997, 4.600%, 01/01/2008 $ 150 $ 152
-----------
Missouri 0.3%
Kansas City Water Revenue Bonds, Series 1998 B,
4.750%, 12/01/2003 100 104
Missouri State Development Finance Board
Infrastructure Facility Revenue Bonds,
(Canadian Imperial Bank Insured), Series 1997,
2.650%, 12/01/2003 (b) 100 100
-----------
204
-----------
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A,
6.750%, 11/01/2011 1,000 1,159
-----------
New Jersey 1.8%
Essex County, New Jersey Utility Authority,
Series 1999, 0.000%, 04/01/2011 1,000 568
New Jersey Economic Development Authority,
Series 1998, 4.750%, 05/15/2002 365 364
New Jersey State Transportation Revenue Bonds,
(FSA Insured), Series 1997 A, 5.000%, 06/15/2018 150 150
-----------
1,082
-----------
New Mexico 2.7%
Bernalillo County, New Mexico General
Obligation Bonds, Series 1997, 4.750%, 12/01/2013 150 152
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000%, 07/01/2008 1,000 1,099
Santa Fe County, El Castillo Retirement Nursing
Home Bonds, Series 1998 A, 5.250%, 05/15/2007 315 311
-----------
1,562
-----------
New York 14.8%
New York City General Obligation Bonds,
Series 1995 B, 6.750%, 08/15/2003 1,000 1,109
New York City General Obligation Bonds,
Series 1996 A, 7.000%, 08/01/2007 1,000 1,170
New York Metropolitan Transit Authority Commuter
Revenue Bonds, Series 1997, 5.500%, 07/01/2021 1,000 1,033
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000%, 08/15/2005 1,850 2,029
New York State Dorm Authority Revenue Bonds,
Series 1998 B, 4.900%, 02/15/2009 100 102
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996,
5.125%, 04/01/2022 1,000 1,002
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996,
6.000%, 04/01/2005 1,000 1,103
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500%, 04/01/2015 1,000 1,046
-----------
8,594
-----------
North Carolina 3.6%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000%, 01/01/2008 1,000 1,116
North Carolina State School Improvement Bonds,
Series 1998, 4.750%, 04/01/2012 1,000 1,016
-----------
2,132
-----------
North Dakota 1.8%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900%, 02/01/2019 1,000 1,071
-----------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500%, 01/01/2021 1,000 1,085
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000%, 06/01/2005 1,000 1,106
-----------
2,191
-----------
Pennsylvania 3.8%
Delaware County, Pennsylvania Hospital Revenue Bonds,
Series 1998, 4.900%, 12/01/2008 100 101
Pennsylvania State Higher Educational Facilities
Health Services Revenue Bonds, Series 1994 B,
2.750%, 1/01/2024 (b) 100 100
Philadelphia Gas Revenue Bonds, (FSA Insured),
Series 1998 C, 4.600%, 07/01/2008 100 102
Philadelphia, Pennsylvania Authority for Industrial
Development, Series 1996, 3.200%, 12/01/2008 (b) 300 300
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A, 5.500%, 09/01/2014 1,525 1,645
-----------
2,248
-----------
South Carolina 1.8%
Piedmont Municipal Power Agency Electric
Revenue Bonds, (MBIA Insured), Series 1996 B,
5.250%, 01/01/2013 1,000 1,038
-----------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350%, 09/01/2012 1,000 1,041
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450%, 08/01/2007 1,000 1,001
-----------
2,042
-----------
Texas 12.8%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000%, 05/01/2035 2,190 312
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B,
6.750%, 08/15/2013 735 789
Houston, Texas Revenue Bonds, Series 1998,
0.000%, 09/15/2009. 175 109
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000%, 12/01/2018 2,000 2,002
Nueces County, Texas Health Facilities,
(BankOne Texas N.A. Insured), Series 1985,
2.700%, 07/01/2015 300 300
San Antonio, Texas Refunding Bonds, Series 1998,
5.000%, 02/01/2014 1,380 1,399
Texas Municipal Power Agency, Series 1993,
0.000%, 09/01/2015 3,000 1,320
University of Texas Revenue Bonds, Series 1996,
5.250%, 08/15/2007 1,000 1,071
Waco, Texas General Obligation Bonds, Series 1997,
4.800%, 02/01/2011 150 152
-----------
7,454
-----------
See accompanying notes 53
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Washington State 1.7%
Washington State Health Care Facility, Series 1985,
3.100%, 10/01/2005 (b) $ 400 $ 400
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000%, 07/01/2014 1,270 600
-----------
1,000
-----------
West Virginia 0.4%
Kanawha Putnam County Huntington Charleston
West Virginia Single family Mortgage, Series 1984 A,
0.000%, 12/01/2016 550 222
-----------
Total Municipal Bonds & Notes 58,206
(Cost $55,380) ===========
SHORT-TERM INSTRUMENTS 0.3%
State Street Global Advisors Tax Free Money Market
2.51% due 04/01/1999 171 171
-----------
Total Short-Term Instruments 171
(Cost $171) ===========
Total Investments (a) 99.7% $ 58,377
(Cost $55,551)
Other Assets and Liabilities (Net) 0.3% 181
-----------
Net Assets 100.0% $ 58,558
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $55,551 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 2,835
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9)
-----------
Unrealized appreciation-net $ 2,826
===========
(b) Variable rate security. The rate listed is as of March 31, 1999.
54 See accompanying notes
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1999
Principal
Amount Value
(000's) (000's)
CORPORATE BONDS & NOTES 23.6%
Banking & Finance 20.3%
Chase Manhattan Corp.
5.518% due 12/10/2001 (d) $ 500 $ 505
Ford Motor Credit Corp.
5.525% due 02/13/2003 (d) 350 349
General Motors Acceptance Corp.
5.707% due 11/09/2000 (d) 500 502
Heller Financial, Inc.
5.323% due 02/05/2001 400 401
HRPT Properties Trust
5.658% due 07/09/1999 250 249
J.P. Morgan & Co.
5.459% due 02/15/2012 700 620
Korean Export-Import Bank
6.500% due 10/06/1999 250 248
Lehman Brothers Holdings, Inc.
9.875% due 10/15/2000 250 264
5.900% due 04/01/2002 (d) 500 500
Merrill Lynch & Co.
5.348% due 02/08/2002 (d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.002% due 11/13/2000 (d) 250 251
Residential Reinsurance
9.180% due 06/01/1999 (d) 357 361
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 725 706
Toyota Motor Credit Corp.
4.659% due 02/15/2002 400 385
-----------
5,741
===========
Industrials 3.3%
Langdell
9.978% due 07/30/1999 (d) 200 201
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 500 466
Time Warner, Inc.
4.900% due 07/29/1999 250 250
-----------
917
-----------
Total Corporate Bonds & Notes 6,658
(Cost $6,695) ===========
U.S. GOVERNMENT AGENCIES (d) 29.6%
Federal Home Loan Bank
4.609% due 02/15/2002 2,985 2,912
Federal National Mortgage Assn.
5.328% due 03/13/2002 2,000 1,949
New York City
5.278% due 08/01/2002 196 194
Student Loan Marketing Assn.
4.129% due 02/20/2000 250 248
4.975% due 07/25/2004 131 130
5.008% due 10/25/2004 163 163
5.098% due 04/25/2006 2,323 2,315
5.208% due 01/25/2007 427 426
-----------
Total U.S. Government Agencies 8,337
(Cost $8,302) ===========
U.S. TREASURY OBLIGATIONS (g)(h) 95.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 5,442 5,408
3.375% due 01/15/2007 11,406 10,986
3.625% due 01/15/2008 6,813 6,657
3.625% due 04/15/2028 4,063 3,888
-----------
Total U.S. Treasury Obligations 26,939
(Cost $27,140) ===========
MORTGAGE-BACKED SECURITIES 6.5%
Collateralized Mortgage Obligations 1.8%
Comed Transitional Funding Trust
5.375% due 03/25/2002 400 397
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 97
-----------
494
===========
Federal Housing Administration 1.1%
7.430% due 12/01/2020 309 317
-----------
Federal National Mortgage Association 3.6%
6.500% due 06/25/2009 89 88
7.775% due 10/01/2024 (d) 918 938
-----------
1,026
-----------
Total Mortgage-Backed Securities 1,837
(Cost $1,836) ===========
ASSET-BACKED SECURITIES 20.0%
AFC Home Equity Loan Trust
5.157% due 03/25/2027 (d) 409 409
Capital Equipment Receivables Trust
6.030% due 02/15/2000 95 95
6.120% due 09/15/2000 600 604
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 500 500
EQCC Home Equity Loan Trust
5.202% due 03/20/2029 500 500
First Plus Home Loan Trust
6.450% due 02/10/2009 421 421
IMC Home Equity Loan Trust
5.075% due 05/21/2012 (d) 39 39
6.610% due 06/20/2013 500 504
NationsBank Auto Owner Trust
6.375% due 07/15/2000 25 25
Pacific Southwest Bank
6.060% due 06/15/2002 45 45
Premiere Auto Trust
6.150% due 03/06/2000 21 21
5.510% due 07/08/2001 500 500
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 500 498
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 729
WMC Mortgage Loan
5.168% due 03/20/2028 749 749
-----------
Total Asset-Backed Securities 5,639
(Cost $5,621) ===========
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 6.0%
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,300 704
Fuji International Finance Trust
0.250% due 12/31/2002 JY 12,000 59
Republic of France
3.000% due 07/25/2009 EC 379 409
Tokai Bank
2.750% due 10/04/2004 JY 16,000 104
United Mexican States
3.850% due 12/31/2019 35,000 246
6.630% due 12/31/2019 FF 1,500 185
-----------
Total Foreign Currency-Denominated Issues 1,707
(Cost $1,700) ===========
SHORT-TERM INSTRUMENTS 5.5%
Repurchase Agreement 2.1%
State Street Bank
4.000% due 04/01/1999 $ 579 579
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$591,239. Repurchase proceeds are $579,064.)
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Real Return Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. Treasury Bills (e)(f) 3.4%
4.493% due 05/27/1999-03/30/2000 $ 1,010 $ 965
-----------
Total Short-Term Instruments 1,544
(Cost $1,543) ===========
Total Investments (a) 186.7% $ 52,661
(Cost $52,837)
Other Assets and Liabilities (Net) (86.7%) (24,450)
-----------
Net Assets 100.0% $ 28,211
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax
purposes of $52,851 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 139
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value. (329)
-----------
Unrealized depreciation-net $ (190)
===========
(b) Foreign forward currency contracts outstanding at March 31, 1999:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell EC 570 11/1999 $ 52
Sell JY 10,272 05/1999 0
Sell 27,245 02/2000 9
Sell N$ 814 04/1999 (4)
Sell 503 05/1999 0
------------
$ 57
============
</TABLE>
(c) Principal amount denoted in indicated currency:
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Securities with an aggregate market value of $965
have been segregated with the custodian to cover margin
requirements for the following open futures
contracts at March 31, 1999:
Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
10 Year Euro-Bond EUX (06/1999) 3 $ 1
(f) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
56 See accompanying notes
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 26.8%
Banking & Finance 13.6%
BankBoston Corp.
6.125% due 03/15/2002 $ 1,000 $ 1,008
Bankers Trust Corp.
5.100% due 05/11/2003 (d) 11,000 11,054
Capital One Bank
6.740% due 05/31/1999 875 876
Caterpillar Financial Service Corp.
4.220% due 04/01/1999 (d) 2,000 2,000
Dean Witter Discover
5.222% due 02/13/2001 (d) 5,000 4,992
Donaldson, Lufkin & Jenrette
5.688% due 05/25/2026 (d) 437 437
Ford Motor Credit Corp.
5.104% due 08/27/2001 (d) 3,000 2,995
5.150% due 03/19/2002 4,295 4,290
General Motors Acceptance Corp.
8.400% due 10/15/1999 2,450 2,488
5.160% due 01/08/2002 (d) 1,000 1,001
5.100% due 08/18/2003 (d) 16,575 16,498
Goldman Sachs Group
5.030% due 07/31/2000 (d) 8,000 8,018
Heller Financial, Inc.
5.211% due 04/22/2002 (d) 15,000 15,008
Lehman Brothers, Inc.
4.590% due 09/01/1999 (d) 3,000 2,989
4.990% due 08/11/2000 (d) 3,000 2,989
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 1,002
Nacional Financiera Trust
8.356% due 03/31/1999 (d) 11 11
Residential Funding
7.254% due 12/01/2018 (d) 1,394 1,423
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,108 3,028
-------
82,107
=======
Industrials 8.1%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,903
Champion International Corp.
7.700% due 12/15/1999 10,000 10,145
COFIRI International, Inc.
5.267% due 10/27/2000 (d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,924
Maytag Corp.
8.875% due 07/15/1999 500 505
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,046
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000 (d) 20,000 19,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 3,016
-------
48,525
=======
Utilities 5.1%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,790
Niagara Mohawk Power
9.990% due 05/11/2004 1,500 1,518
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,126
System Energy Resources
7.625% due 04/01/1999 2,500 2,500
-------
30,934
-------
Total Corporate Bonds & Notes 161,566
(Cost $161,427) =======
U.S. GOVERNMENT AGENCIES 2.8%
Student Loan Marketing Assn.
5.070% due 04/25/2004 (d) 2,965 2,935
5.178% due 04/25/2007 (d) 13,612 13,614
-------
Total U.S. Government Agencies 16,549
(Cost $16,574) =======
U.S. TREASURY OBLIGATIONS 1.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) $ 5,129 $ 5,097
3.625% due 01/15/2008 (f)(g) 1,119 1,093
3.875% due 01/15/2009 (f)(g) 1,903 1,898
U.S. Treasury Notes
5.750% due 10/31/2000 1,000 1,011
-------
Total U.S. Treasury Obligations 9,099
(Cost $9,124) =======
MORTGAGE-BACKED SECURITIES 45.8%
Collateralized Mortgage Obligations 29.9%
CMC Securities Corp.
7.500% due 02/25/2023 7,337 7,410
Dime Savings
7.050% due 11/01/2018 (d) 356 327
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020 (d) 850 875
7.790% due 09/01/2021 (d) 47 47
6.946% due 06/25/2022 (d) 301 303
7.488% due 05/25/2023 (d) 281 284
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 3,553 3,557
6.000% due 03/15/2005 2,128 2,136
6.000% due 02/15/2007 1,375 1,382
6.500% due 10/25/2014 8,264 8,252
5.750% due 10/15/2016 154 155
Federal National Mortgage Assn.
6.500% due 10/18/2006 1,171 1,174
6.000% due 02/25/2008 1,893 1,889
5.358% due 07/25/2008 (d) 1,782 1,767
5.800% due 08/25/2015 720 719
6.000% due 08/18/2016 47,726 47,872
6.500% due 11/25/2017 8,337 8,337
5.875% due 03/25/2018 212 213
7.000% due 05/25/2018 5,901 5,917
5.850% due 05/25/2019 2,612 2,609
6.000% due 06/25/2020 417 416
6.000% due 08/25/2020 3,686 3,686
5.000% due 02/25/2022 248 244
6.500% due 09/18/2023 2,943 2,964
9.011% due 06/25/2032 13,657 14,906
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 5,021
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 9,164 9,251
Greenwich
7.634% due 04/25/2022 (d) 128 131
6.818% due 10/25/2022 (d) 91 92
Housing Securities, Inc.
6.000% due 02/25/2008 3,012 3,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,072
Prudential Bache
5.941% due 09/01/2018 (d) 31 30
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 231
Resolution Trust Corp.
6.733% due 06/25/2024 (d) 354 353
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 20,033 19,733
Structured Asset Securities Corp.
7.000% due 01/20/2021 3,102 3,120
5.439% due 10/25/2028 (d) 3,067 3,073
Structured Mortgage Asset Residential Trust
6.500% due 08/25/2021 164 164
TMA Mortgage Funding Trust 14,300 14,296
5.319% due 01/25/2029 -------
180,026
=======
Federal Home Loan Mortgage Corporation 1.1%
6.250% due 10/15/2016 827 826
7.500% due 11/01/2001 5,408 5,508
-------
6,334
=======
Federal National Mortgage Association 4.9%
6.000% due 12/18/2014 11,071 11,076
6.150% due 09/25/2016 10,163 10,186
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Short-Term Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
8.000% due 06/01/2027 $ 5,301 $ 5,518
8.500% due 01/01/2026 2,714 2,856
--------
29,636
========
Government National Mortgage Association 9.5%
6.125% due 11/20/2026 (d) 19,957 20,242
6.625% due 09/20/2023-08/20/2027 (d)(e) 11,783 11,987
6.875% due 02/20/2024-04/20/2025 (d)(e) 15,256 15,490
8.500% due 06/20/2027 9,368 9,823
--------
57,542
========
Other Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn.
1.000% due 06/25/2023 26 26
First Nationwide Trust
6.798% due 10/25/2018 (d) 13 13
Resolution Trust Corp.
6.609% due 05/25/2029 (d) 787 785
--------
824
========
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 6,973 697
Federal National Mortgage Assn. (IO)
7.000% due 07/25/2006 2,083 191
6.500% due 12/25/2006 4,610 253
6.500% due 06/25/2017 2,401 147
6.500% due 10/25/2023 2,095 285
--------
1,573
--------
Total Mortgage-Backed Securities 275,935
(Cost $275,240) ========
ASSET-BACKED SECURITIES 4.9%
Banc One Auto Grantor Trust
6.290% due 07/20/2004 4,362 4,410
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,985 1,997
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 13,046 13,159
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003 (d) 10,000 10,000
--------
Total Asset-Backed Securities 29,566
(Cost $29,454) ========
SOVEREIGN ISSUES 3.6%
Air Canada
5.613% due 07/31/2005 (d) 2,000 1,824
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,138
Republic of Argentina
7.700% due 08/15/1999 (d) 5,240 5,253
5.937% due 03/31/2005 (d) 4,724 4,046
United Mexican States
6.250% due 06/27/2002 (d) 9,000 8,580
--------
Total Sovereign Issues 21,841
(Cost $22,162) ========
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.6%
Banco Nacional de
Comercio Exterior, S.N.C.
8.750% due 09/28/2000 BP 3,000 4,863
Commonwealth of Canada
4.250% due 12/01/2026 C$ 2,292 1,544
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,926
--------
Total Foreign Currency-Denominated Issues 9,333
(Cost $10,040) ========
SHORT-TERM INSTRUMENTS 12.4%
Commercial Paper 10.2%
Abbott Laboratories
4.820% due 04/12/1999 12,000 11,982
American Express
4.840% due 04/06/1999 2,400 2,398
Coca-Cola Co.
4.770% due 04/08/1999 1,900 1,898
4.780% due 06/21/1999 8,600 8,507
Florida Power Corp.
4.840% due 04/21/1999 800 798
Ford Motor Credit Corp.
4.800% due 04/08/1999 6,200 6,194
General Motors Acceptance Corp.
4.810% due 04/06/1999 5,000 4,997
KFW International Finance, Inc.
4.830% due 04/06/1999 2,500 2,498
4.770% due 04/06/1999 3,400 3,398
4.790% due 06/24/1999 10,500 10,383
National Rural Utilities Cooperative
4.780% due 04/22/1999 1,600 1,596
4.820% due 06/10/1999 100 99
4.820% due 06/11/1999 5,600 5,546
Proctor & Gamble Co.
4.780% due 04/28/1999 900 897
--------
61,191
========
Repurchase Agreements 2.2%
State Street Bank
4.000% due 04/01/1999 8,396 8,396
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 5.500% 05/31/2000 valued
at $8,568,914. Repurchase proceeds are
$8,396,933.)
Daiwa Securities
4.920% due 04/01/1999 5,000 5,000
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 8.375% 08/15/2008 valued
at $5,120,991. Repurchase proceeds are
$5,000,683.)
--------
13,396
========
U.S. Treasury Bills 0.0%
4.310% due 05/27/1999 10 10
--------
Total Short-Term Instruments 74,597
(Cost $74,598) ========
Total Investments (a) 99.4% $598,486
(Cost $598,619)
Other Assets and Liabilities (Net) 0.6% 3,502
--------
Net Assets 100.0% $601,988
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $598,164 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 2,142
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (1,820)
--------
Unrealized appreciation-net $ 322
========
(b) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- -----------------------------------------------------------------------------
Sell BP 3,090 04/1999 $ (18)
Sell C$ 2,390 04/1999 (8)
Sell N$ 5,023 04/1999 20
Sell 381 05/1999 (2)
--------
$ (8)
========
(c) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Principal amount of the security is adjusted for inflation.
(g) Subject to a financing transaction.
58 See accompanying notes
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.9%
Banking & Finance 28.4%
AT&T Capital Corp.
6.920% due 04/29/1999 $ 5,725 $ 5,730
Bankers Trust Corp.
5.100% due 05/11/2003 (d) 20,000 20,099
Caterpillar Financial Service Corp.
4.220% due 04/01/1999 (d) 2,000 2,000
CIT Group, Inc.
6.200% due 10/20/2000 10,000 10,086
Edison Funding
6.000% due 09/20/1999 15,000 15,062
Finova Capital Corp.
5.250% due 06/18/2003 (d) 25,000 24,813
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,261
5.150% due 03/19/2002 590 589
5.525% due 02/13/2003 (d) 15,000 14,949
General Motors Acceptance Corp.
4.991% due 10/22/2001 (d) 1,600 1,601
5.375% due 12/17/2001 (d) 2,000 2,010
5.080% due 02/25/2002 (d) 1,000 1,002
5.100% due 08/18/2003 (d) 35,300 35,135
Goldman Sachs Group
5.490% due 01/16/2001 (d) 5,000 5,028
5.151% due 01/25/2001 (d) 10,000 10,024
5.530% due 02/19/2004 (d) 10,000 9,995
Heller Financial, Inc.
5.330% due 09/25/2000 15,500 15,534
Household Finance Corp.
5.120% due 06/22/2001 (d) 5,000 5,001
HRPT Properties Trust
5.658% due 07/09/1999 5,000 4,978
Lehman Brothers, Inc.
4.990% due 08/11/2000 (d) 9,400 9,366
MBNA America Bank NA
5.311% due 10/18/1999 (d) 10,000 9,999
MBNA Corp.
5.320% due 09/13/2001 (d) 4,000 3,986
Merrill Lynch & Co.
5.598% due 10/10/2000 (d) 3,000 3,014
5.750% due 11/20/2000 10,000 10,035
5.070% due 06/18/2001 (d) 10,000 10,010
5.508% due 01/11/2002 (d) 8,550 8,594
5.345% due 02/01/2002 (d) 24,500 24,569
5.174% due 02/04/2003 (d) 6,000 6,016
Nacional Financiera
8.649% due 12/01/2000 (d) 10,000 10,200
Residential Reinsurance
9.180% due 06/01/1999 (d) 4,500 4,551
Salomon, Inc.
4.704% due 04/05/1999 (d) 500 500
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 5,007
3.650% due 02/14/2002 2,072 2,019
5.220% due 04/01/2002 (d) 3,600 3,599
5.250% due 03/26/2003 5,000 4,973
Sanwa Business Credit
5.695% due 07/13/2001 (d) 10,000 10,016
Steers Securities
6.438% due 05/12/1999 (d) 20,000 20,000
-----------
341,351
===========
Industrials 8.4%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,474
Black & Decker
6.450% due 12/20/2001 (d) 7,250 7,303
COFIRI International, Inc.
5.267% due 10/27/2000 (d) 2,000 1,994
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,908
Delta Air Lines
6.034% due 06/29/1999 (d)(g) 5,000 5,002
Marlin Water Trust
7.090% due 12/15/2001 5,000 5,069
Merita
5.378% due 12/01/2005 (d) 1,000 987
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,629
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,047
RJR Nabisco
8.300% due 04/15/1999 2,300 2,301
8.000% due 07/15/2001 500 513
TCI Communications, Inc.
7.250% due 06/15/1999 30,000 30,138
5.640% due 04/03/2002 (d) 11,600 11,820
5.700% due 03/11/2003 (d) 4,000 4,090
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,499
Williams Co., Inc.
5.950% due 02/15/2000 (d) 4,200 4,204
-----------
100,978
===========
Utilities 3.1%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 2,279 2,325
Niagara Mohawk Power
7.000% due 10/01/2000 5,000 5,051
7.125% due 07/01/2001 9,000 9,149
North Atlantic Energy
9.050% due 06/01/2002 1,220 1,259
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 15,000 15,011
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,081
-----------
36,876
-----------
Total Corporate Bonds & Notes 479,205
(Cost $477,537) ===========
U.S. GOVERNMENT AGENCIES 1.4%
Student Loan Marketing Assn
5.038% due 10/25/2005 (d) 12,512 12,480
5.098% due 04/25/2006 (d) 4,491 4,476
-----------
Total U.S. Government Agencies 16,956
(Cost $16,915) ===========
U.S. TREASURY OBLIGATIONS 1.8%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (e) 21,850 21,713
-----------
Total U.S. Treasury Obligations 21,713
(Cost $21,776) ===========
MORTGAGE-BACKED SECURITIES 23.7%
Collateralized Mortgage Obligations 8.3%
Bank Mart
6.883% due 03/01/2019 (d)(g) 6,273 6,374
Citicorp Mortgage Securities, Inc.
7.044% due 09/25/2018 (d) 57 57
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,592
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020 (d) 241 248
Federal National Mortgage Association
8.005% due 04/25/2020 (d) 57 57
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 2,009
Greenwich
6.818% due 10/25/2022 (d) 23 23
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,633
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,305
PaineWebber Mortgage
6.503% due 02/25/2001 (d) 853 852
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 11,947 11,995
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Residential Asset Securitization Trust
6.500% due 03/25/2029 $ 6,000 $ 5,992
Residential Funding Mortgage Securities, Inc.
6.178% due 03/25/2018 (d) 2,294 2,283
Resolution Trust Corp.
8.000% due 07/25/2024 1,031 1,027
5.900% due 05/25/2029 (d) 292 293
Structured Asset Mortgage Investments, Inc.
8.992% due 06/25/2029 28,277 29,646
Structured Asset Securities Corp.
7.750% due 02/25/2028 679 686
5.439% due 10/25/2028 (d) 3,067 3,073
TMA Mortgage Funding Trust
5.319% due 01/25/2029 7,200 7,198
-----------
100,343
===========
Federal Home Loan Mortgage Corporation 4.8%
6.666% due 07/01/2019 (d) 1,654 1,681
7.163% due 12/01/2022 (d) 756 778
7.364% due 06/01/2022 (d) 546 558
7.500% due 11/01/2025-04/14/2029 (c) 53,018 54,496
8.500% due 04/01/2025-06/01/2025 (c) 264 278
-----------
57,791
===========
Federal National Mortgage Association 1.3%
5.904% due 07/01/2018 (d) 581 586
5.905% due 04/01/2018-05/01/2036 (c)(d) 1,157 1,164
5.909% due 08/01/2029 (d) 366 368
5.916% due 05/01/2036 (d) 6,312 6,354
5.940% due 05/01/2017 (d) 356 360
5.941% due 11/01/2018-11/01/2028 (c)(d) 5,330 5,362
5.946% due 11/01/2035 (d) 559 562
5.964% due 02/01/2031 (d) 112 113
7.337% due 05/01/2022 (d) 394 406
-----------
15,275
===========
Government National Mortgage Association 9.0%
6.125% due 12/20/2022-12/20/2027 (c)(d) 13,165 13,344
6.500% due 01/20/2028-05/24/2029 (c)(d) 53,505 53,354
6.625% due 07/20/2018-07/20/2023 (c)(d) 22,383 22,754
6.875% due 02/20/2026-04/20/2027 (c)(d) 18,745 19,031
-----------
108,483
===========
Other Mortgage-Backed Securities 0.2%
California Federal Savings & Loan
6.644% due 01/01/2019 (d) 37 37
Fund America
7.187% due 06/25/2023 (d) 155 159
Great Western Savings & Loan
6.389% due 01/25/2018 (d) 74 74
J.P. Morgan & Co.
6.937% due 01/25/2018 (d) 658 658
Resolution Trust Corp.
6.842% due 12/25/2023 (d) 27 27
Structured Asset Securities Corp.
6.811% due 09/25/2036 (d) 1,178 1,207
Western Federal Savings & Loan
6.312% due 10/25/2018 (d) 77 76
6.821% due 03/25/2019 (d) 37 37
6.403% due 06/25/2019 (d) 222 220
-----------
2,495
===========
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 3,896 267
992.576% due 07/15/2016 3 3
7.500% due 08/15/2019 2,282 97
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 456 21
7.000% due 07/25/2006 417 38
6.500% due 02/25/2021 (d) 4,237 375
7.000% due 07/25/2021 960 132
6.500% due 03/25/2023 5,778 729
-----------
1,662
-----------
Total Mortgage-Backed Securities 286,049
(Cost $285,442) ===========
ASSET-BACKED SECURITIES 0.4%
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 2,316 2,330
Green Tree Financial Corp.
6.220% due 02/15/2029 2,273 2,276
-----------
Total Asset-Backed Securities 4,606
(Cost $4,589) ===========
SOVEREIGN ISSUES 4.7%
Air Canada
5.613% due 07/31/2005 (d) 12,000 10,943
Cemex SA
10.750% due 07/15/2000 3,650 3,780
Hydro Quebec
5.187% due 09/29/2049 (d) 1,000 825
Republic of Argentina
5.937% due 03/31/2005 (d) 16,833 14,414
12.110% due 04/10/2005 (d) 7,000 6,475
Republic of Korea
7.562% due 04/07/1999 (d) 10,000 10,003
United Mexican States
6.250% due 06/27/2002 (d) 10,000 9,534
-----------
Total Sovereign Issues 55,974
(Cost $58,185) ===========
FOREIGN CURRENCY-DENOMINATED ISSUES (h)(i) 0.7%
Commonwealth of Canada
4.250% due 12/01/2026 C$ 5,210 3,510
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,283
Kingdom of Sweden
10.250% due 05/05/2000 (f) SK 1,000 131
-----------
Total Foreign Currency-Denominated Issues 8,924
(Cost $10,497) ===========
PURCHASED PUT OPTIONS 0.0%
Eurodollar June Futures (CME)
Strike @ 92.75 Exp. 06/14/1999 $ 3,463 17
Eurodollar December Futures (CME)
Strike @ 92.00 Exp. 12/13/1999 1,750 9
-----------
Total Purchased Put Options 26
(Cost $73) ===========
SHORT-TERM INSTRUMENTS 34.2%
Certificate of Deposit 0.4%
Nacional Financial
6.305% due 07/15/1999 5,000 4,975
-----------
Commercial Paper 27.0%
Abbott Laboratories
4.820% due 04/09/1999 11,400 11,388
4.820% due 04/12/1999 5,200 5,192
American Express
4.770% due 04/05/1999 20,000 19,989
4.790% due 04/06/1999 8,500 8,494
American Express Credit
4.830% due 04/19/1999 10,000 9,976
Ameritech Corp.
4.800% due 04/12/1999 36,700 36,646
Cemex SA
7.239% due 08/11/1999 15,000 14,733
Coca-Cola Co.
4.770% due 04/08/1999 8,700 8,692
4.810% due 05/27/1999 1,500 1,489
E.I. Du Pont de Nemours
4.770% due 04/05/1999 9,500 9,495
4.810% due 04/23/1999 20,400 20,340
4.800% due 06/07/1999 8,700 8,621
</TABLE>
60 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
Ford Motor Credit Corp.
4.800% due 04/06/1999 $ 20,000 $ 19,987
4.840% due 04/23/1999 4,700 4,686
General Electric Capital Corp.
4.860% due 04/16/1999 29,200 29,141
4.840% due 04/26/1999 5,000 4,983
4.840% due 04/30/1999 4,000 3,984
General Motors Acceptance Corp.
4.820% due 04/06/1999 5,000 4,997
IBM Corp.
4.810% due 04/21/1999 8,900 8,876
4.840% due 05/03/1999 10,500 10,455
Imperial Tobacco PLC
5.170% due 07/29/1999 20,000 19,679
KFW International Finance, Inc.
4.830% due 04/06/1999 3,200 3,198
National Rural Utilities Cooperative
4.810% due 05/25/1999 6,400 6,354
4.820% due 06/11/1999 20,800 20,599
4.820% due 06/17/1999 7,900 7,818
Proctor & Gamble Co.
4.820% due 04/19/1999 2,300 2,294
4.780% due 04/28/1999 6,000 5,978
Shell Oil Co.
4.790% due 06/04/1999 16,100 15,963
-----------
324,047
===========
Repurchase Agreements 2.0%
State Street Bank
4.000% due 04/01/1999 2,716 2,716
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 10/31/1999 valued at $2,773,069.
Repurchase proceeds are $2,716,302.)
Daiwa Securities
4.920% due 04/01/1999 21,000 21,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.545% 09/23/1999 valued at $21,445,448.
Repurchase proceeds are $21,002,870.)
-----------
23,716
===========
U.S. Treasury Bills (b)(c) 4.8%
4.404% due 04/29/1999-06/24/1999 58,060 57,715
-----------
Total Short-Term Instruments 410,453
(Cost $410,283) ===========
Total Investments (a) 106.8% $ 1,283,906
(Cost $1,285,297)
Written Options (l) (0.0%) (54)
(Premiums $53)
Other Assets and Liabilities (Net) (6.8%) (82,110)
-----------
Net Assets 100.0% $ 1,201,742
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,285,351 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 3,429
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,874)
-----------
Unrealized depreciation-net $ (1,445)
===========
</TABLE>
(b) Securities with an aggregate market value of
$57,715 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 308 $ (522)
Eurodollar September Futures (09/2000) 273 (488)
Eurodollar December Futures (12/2000) 100 (159)
S&P 500 Index (06/1999) 3,281 2,708
United Kingdom 90 Day LIBOR Futures (03/2000) 33 0
United Kingdom 90 Day LIBOR Futures (06/1999) 400 (4)
United Kingdom 90 Day LIBOR Futures (06/2000) 53 (14)
United Kingdom 90 Day LIBOR Futures (09/1999) 287 279
-------------
$ 1,800
=============
(c) Securities are grouped by coupon or range of coupons
and represent a range of maturities.
(d) Variable rate security. The rate listed is as of
March 31, 1999.
(e) Principal amount of the security is adjusted for
inflation.
(f) Financing transaction.
(g) Restricted security.
(h) Foreign forward currency contracts outstanding at
March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 5,404 04/1999 $ (19)
Sell N$ 8,043 04/1999 32
Sell 1,668 05/1999 (9)
Buy SK 1,843 04/1999 (1)
Sell 1,843 04/1999 15
Sell 1,843 05/1999 1
-------------
$ 19
=============
(i) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 06/30/1999 $ 50,000 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Morgan Stanley
Exp. 09/30/1999 54,785 0
-----------
$ 0
===========
(k) Principal amount of the security is adjusted for inflation.
(l) Premiums received on written options:
<TABLE>
<CAPTION>
Type Par Premium Value
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 $ 58,000 $ 20 $ 21
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 58,000 33 33
-----------------------------
$ 53 $ 54
=============================
</TABLE>
See accompanying notes 61
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 36.3%
Banking & Finance 23.2%
Abbey National PLC
6.625% due 05/23/2001 $ 240 $ 240
6.700% due 06/29/2049 5,000 4,888
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 156
Aetna, Inc.
7.250% due 08/15/2023 50 49
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 178
Allstate Corp.
6.750% due 05/15/2018 280 282
6.900% due 05/15/2038 60,400 59,830
American Express
8.500% due 08/15/2001 350 371
5.625% due 01/22/2004 3,700 3,655
American General Finance
7.250% due 04/15/2000 500 509
6.270% due 06/09/2000 800 808
5.875% due 07/01/2000 75 75
7.450% due 07/01/2002 200 209
6.250% due 12/18/2002 1,080 1,092
6.375% due 03/01/2003 350 356
AON Capital Trust `A'
8.205% due 01/01/2027 725 808
Associates Corp. of North America
7.250% due 09/01/1999 285 287
6.750% due 10/15/1999 90 91
7.850% due 10/20/1999 500 507
8.250% due 12/01/1999 200 204
7.250% due 12/17/1999 660 669
7.470% due 03/27/2000 1,000 1,020
6.000% due 06/15/2000 2,634 2,650
6.310% due 06/16/2000 500 506
6.250% due 09/15/2000 200 201
6.625% due 05/15/2001 300 306
6.700% due 05/29/2001 100 102
7.000% due 07/23/2001 500 515
5.104% due 08/27/2001 (d) 3,500 3,509
6.450% due 10/15/2001 23,600 24,063
7.500% due 04/15/2002 185 194
6.500% due 07/15/2002 750 767
5.750% due 11/01/2003 4,175 4,140
6.000% due 07/15/2005 60,365 59,571
AT&T Capital Corp.
5.438% due 04/01/1999 (d) 175,500 175,500
6.410% due 08/13/1999 4,000 4,015
6.580% due 09/03/1999 500 502
5.337% due 09/20/1999 (d) 9,000 8,995
6.230% due 10/15/1999 2,000 2,011
6.160% due 12/03/1999 1,000 1,005
5.405% due 03/21/2000 (d) 31,100 31,054
6.900% due 01/30/2002 1,000 1,025
6.750% due 02/04/2002 1,925 1,970
AVCO Financial Services
6.350% due 09/15/2000 100 101
7.375% due 08/15/2001 300 310
Banco Latino Americano SA
6.310% due 10/18/1999 850 854
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,609
Banesto Delaware
8.250% due 07/28/2002 28,900 30,639
BankAmerica Corp.
5.370% due 11/01/1999 (d) 3,000 3,008
5.240% due 03/05/2001 (d) 36,000 36,138
5.312% due 02/20/2002 (d) 35,180 35,091
8.125% due 06/15/2002 350 374
7.750% due 07/15/2002 360 380
7.200% due 09/15/2002 400 416
7.500% due 10/15/2002 1,000 1,050
6.850% due 03/01/2003 65 67
6.875% due 06/01/2003 100 103
8.950% due 11/15/2004 500 506
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 147
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,582
Bankers Trust Corp.
6.750% due 10/03/2001 500 508
8.125% due 05/15/2002 300 315
5.139% due 07/03/2002 (d) 10,000 9,766
7.125% due 07/31/2002 150 153
5.100% due 05/11/2003 (d) 82,800 83,209
6.000% due 10/15/2008 500 478
Banponce Corp.
6.164% due 12/15/1999 5,000 5,002
Bear Stearns Co., Inc.
7.625% due 09/15/1999 550 556
4.440% due 06/12/2000 (d) 8,700 8,708
4.520% due 06/20/2000 (d) 7,700 7,706
6.750% due 08/15/2000 50 51
5.100% due 08/25/2000 (d) 1,400 1,400
5.230% due 08/29/2000 (d) 39,800 39,858
5.821% due 02/06/2001 (d) 2,400 2,414
5.138% due 02/16/2001 (d) 2,000 1,996
5.139% due 03/02/2001 (d) 7,500 7,485
5.407% due 01/28/2002 (d) 11,250 11,226
5.280% due 04/05/2002 (d) 25,000 25,000
6.125% due 02/01/2003 25 25
6.750% due 04/15/2003 105 107
5.185% due 07/22/2003 (d) 19,000 18,840
8.750% due 03/15/2004 75 83
6.625% due 10/01/2004 250 253
5.601% due 03/18/2005 (d) 31,000 31,065
6.250% due 07/15/2005 25,000 24,711
Bell Atlantic Financial
5.750% due 04/01/2003 1,000 1,058
Beneficial Corp.
5.950% due 07/25/2000 5,000 4,995
5.360% due 11/27/2000 (d) 90,000 90,170
4.790% due 01/09/2001 (d) 9,000 8,988
5.115% due 01/09/2002 (d) 500 497
5.358% due 01/23/2002 (d) 5,000 5,012
5.451% due 03/01/2002 (d) 40,000 40,173
6.030% due 01/14/2003 320 317
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,864
BT Securities Corp.
5.290% due 08/16/1999 (d) 10,000 9,951
Capital One Bank
6.830% due 08/16/1999 275 276
Caterpillar Financial Service Corp.
5.370% due 06/08/2000 500 501
5.300% due 05/29/2001 (d) 10,000 9,988
6.480% due 12/12/2001 575 586
Central Hispano Financial Services
5.720% due 04/29/2005 (d) 5,000 5,018
Chase Manhattan Corp.
5.875% due 08/04/1999 400 400
8.500% due 02/15/2002 200 214
Chemical Banking Corp.
6.125% due 11/01/2008 400 400
Chrysler Financial Co. LLC
6.350% due 06/22/1999 8,000 8,020
8.460% due 01/19/2000 700 717
6.250% due 03/06/2000 14,735 14,884
4.250% due 07/28/2000 (d) 100 100
6.625% due 08/15/2000 300 305
5.860% due 01/16/2001 500 504
4.968% due 06/11/2001 (d) 6,000 6,003
5.690% due 11/15/2001 150 150
5.400% due 01/15/2002 15,250 15,103
5.080% due 07/17/2002 (d) 20,000 20,019
5.077% due 08/08/2002 (d) 34,000 34,057
5.118% due 02/03/2003 (d) 15,000 15,007
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ----------------------------------------------------------------
5.108% due 03/06/2003 (d) $ 5,000 $ 5,020
5.058% due 06/18/2003 35,000 35,038
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 104
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 33,656
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,235
6.750% due 05/14/2001 30,000 30,631
Citicorp
9.750% due 08/01/1999 2,200 2,231
5.619% due 10/20/1999 (d) 10,000 10,027
5.371% due 10/25/1999 (d) 11,000 11,031
5.230% due 05/23/2000 (d) 25,000 25,102
5.491% due 06/01/2000 5,000 5,021
5.500% due 11/28/2000 (d) 5,000 5,025
5.250% due 02/01/2001 (d) 10,000 10,056
5.375% due 05/24/2001 (d) 69,000 69,158
5.480% due 11/13/2001 (d) 10,000 10,022
5.300% due 06/27/2002 (d) 11,450 11,398
5.090% due 08/15/2002 (d) 11,500 11,543
5.527% due 11/12/2002 (d) 30,000 30,081
8.000% due 02/01/2003 250 266
7.125% due 09/01/2005 100 103
7.250% due 09/01/2008 500 527
Comerica, Inc.
7.250% due 06/15/2007 200 212
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 302
5.550% due 02/15/2001 1,300 1,298
8.250% due 11/01/2001 2,500 2,643
7.750% due 03/01/2005 550 589
Conseco Finance Trust
8.796% due 04/01/2027 125 117
Credit Asset Receivable
6.274% due 10/30/2003 49,343 50,345
Dean Witter Discover
5.584% due 06/27/2000 (d) 1,900 1,894
6.750% due 08/15/2000 100 102
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,203
Donaldson, Lufkin & Jenrette
5.470% due 09/18/2002 (d) 13,600 13,650
6.170% due 07/15/2003 20,000 19,902
Dow Capital BV
7.125% due 01/15/2003 100 104
Edison Funding
6.000% due 09/20/1999 5,000 5,021
6.000% due 12/20/1999 5,000 5,007
Exxon Capital Corp.
7.450% due 12/15/2001 250 261
First Chicago Corp.
5.614% due 02/10/2000 (d) 20,000 20,061
5.300% due 03/11/2002 (d) 10,000 10,063
5.547% due 02/18/2003 (d) 10,000 9,848
5.344% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (j) 181 188
First Union Corp.
6.375% due 01/15/2009 500 501
Fleet Financial Group
9.900% due 06/15/2001 200 216
Ford Holdings, Inc.
9.250% due 03/01/2000 9,190 9,490
Ford Motor Credit Corp.
8.875% due 06/15/1999 100 101
6.375% due 04/15/2000 250 253
6.950% due 05/15/2000 8,450 8,604
4.550% due 08/14/2000 (d) 75,800 76,050
6.850% due 08/15/2000 1,500 1,525
6.375% due 10/06/2000 1,000 1,013
7.020% due 10/10/2000 71,250 72,943
6.250% due 11/08/2000 750 759
5.250% due 03/05/2001 (d) 5,000 5,015
5.803% due 04/10/2001 (d) 10,850 10,850
7.020% due 06/07/2001 1,000 1,028
4.970% due 07/13/2001 (d) 36,500 36,680
5.104% due 08/27/2001 (d) 27,500 27,454
5.166% due 09/03/2001 (d) 11,000 11,008
7.000% due 09/25/2001 1,125 1,160
5.468% due 10/15/2001 (d) 13,000 13,014
5.130% due 01/17/2002 (d) 53,945 53,755
8.200% due 02/15/2002 11,600 12,315
6.500% due 02/28/2002 1,560 1,592
5.150% due 03/19/2002 28,208 28,175
5.382% due 04/29/2002 (d) 33,000 33,001
7.320% due 05/23/2002 14,000 14,032
5.425% due 06/04/2002 (d) 2,000 2,004
5.180% due 10/15/2002 (d) 4,000 3,989
7.750% due 11/15/2002 5,430 5,763
7.500% due 01/15/2003 250 263
5.109% due 02/03/2003 (d) 30,000 30,043
5.100% due 02/13/2003 (d) 100,000 100,159
5.525% due 02/13/2003 (d) 190,985 190,334
6.125% due 04/28/2003 580 585
6.625% due 06/30/2003 775 794
5.226% due 06/02/2004 (d) 1,500 1,504
8.250% due 02/23/2005 2,500 2,757
5.407% due 04/28/2005 (d) 50,000 49,677
6.125% due 01/09/2006 25 25
7.700% due 05/15/2097 450 489
General Electric Capital Corp.
8.375% due 03/01/2001 665 699
5.500% due 11/01/2001 50 50
6.210% due 12/09/2005 400 404
8.300% due 09/20/2009 150 176
General Motors Acceptance Corp.
8.400% due 10/15/1999 360 366
8.170% due 01/02/2000 312 320
6.500% due 01/17/2000 46,110 46,256
6.650% due 05/05/2000 6,500 6,578
6.875% due 06/01/2000 10,250 10,405
7.500% due 06/09/2000 1,000 1,024
5.699% due 11/20/2000 66,690 66,950
5.500% due 01/16/2001 15,000 14,984
8.625% due 01/18/2001 15,000 15,771
8.500% due 01/19/2001 3,675 3,858
5.800% due 04/09/2001 8,340 8,373
6.800% due 04/17/2001 4,800 4,909
5.950% due 04/20/2001 22,150 22,299
6.700% due 04/30/2001 3,000 3,064
7.125% due 05/01/2001 44,095 45,291
6.750% due 06/05/2001 880 900
4.991% due 10/22/2001 (d) 25,000 25,008
9.625% due 12/15/2001 5,650 6,191
5.375% due 12/17/2001 (d) 13,000 13,064
5.160% due 01/08/2002 (d) 3,000 3,004
6.625% due 01/10/2002 500 510
6.750% due 02/07/2002 1,590 1,632
5.180% due 03/15/2002 (d) 6,215 6,215
5.095% due 04/29/2002 (d) 168,184 167,864
7.000% due 09/15/2002 250 259
6.625% due 10/01/2002 5,000 5,118
5.100% due 11/12/2002 (d) 10,200 10,202
6.200% due 12/15/2002 500 508
6.000% due 01/15/2003 990 995
5.875% due 01/22/2003 30,500 30,503
6.750% due 03/15/2003 40,125 41,298
7.125% due 05/01/2003 36,000 37,492
5.100% due 08/18/2003 (d) 34,740 34,578
5.550% due 09/15/2003 32,000 31,495
6.625% due 10/20/2003 2,000 2,052
5.750% due 11/10/2003 1,000 992
8.950% due 07/02/2009 21,500 23,597
Golden State Holdings
6.750% due 08/01/2001 1,250 1,254
Goldman Sachs Group
5.030% due 07/31/2000 (d) 26,000 26,058
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.150% due 11/21/2000 (d) $ 20,000 $ 19,894
5.210% due 11/24/2000 (d) 108,000 108,305
6.200% due 12/15/2000 6,500 6,529
5.150% due 12/22/2000 (d) 17,000 17,089
5.237% due 01/09/2001 (d) 105,000 104,865
5.490% due 01/16/2001 (d) 14,000 14,078
5.151% due 01/25/2001 (d) 77,000 77,185
5.230% due 02/20/2001 (d) 3,000 3,002
5.431% due 04/16/2001 (d) 18,000 18,001
5.300% due 12/07/2001 (d) 25,000 25,105
5.250% due 12/24/2001 (d) 900 904
5.400% due 02/19/2002 (d) 2,300 2,300
Hartford Life
7.650% due 06/15/2027 15,000 16,281
Heller Financial, Inc.
5.103% due 04/01/1999 (d) 19,000 19,005
5.217% due 04/27/1999 (d) 20,000 20,008
6.640% due 05/13/1999 2,000 2,002
5.352% due 09/03/1999 (d) 4,000 4,003
6.405% due 10/15/1999 10,000 10,059
5.381% due 12/01/1999 (d) 25,000 25,030
6.520% due 12/06/1999 8,750 8,819
5.443% due 01/18/2000 2,000 2,002
5.625% due 03/15/2000 200 200
6.500% due 05/15/2000 12,000 12,113
5.280% due 07/07/2000 (d) 60,000 60,144
5.380% due 08/25/2000 (d) 11,000 11,004
5.330% due 09/25/2000 (d) 14,500 14,532
6.500% due 11/01/2001 250 254
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,027
5.310% due 07/07/2000 (d) 40,000 40,071
Household Bank
5.410% due 09/26/2001 (d) 9,000 9,011
5.159% due 10/22/2003 (d) 15,000 14,919
Household Capital Trust
5.600% due 06/26/2004 (d) 3,075 3,072
Household Finance Corp.
6.580% due 05/17/1999 165 165
5.369% due 08/01/2001 (d) 1,500 1,503
5.369% due 11/01/2001 (d) 5,000 5,012
5.096% due 05/07/2002 (d) 40,850 40,869
5.260% due 06/24/2003 (d) 31,000 31,149
5.500% due 06/24/2003 35,000 35,168
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,921
Inter-American Development Bank
8.875% due 06/01/2009 200 245
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 508
6.420% due 09/11/2000 500 505
5.930% due 07/15/2003 14,000 13,959
J.P. Morgan & Co.
6.250% due 12/15/2005 200 198
Key Bank NA
7.550% due 09/15/2006 350 375
Kimco Realty Corp.
6.500% due 10/01/2003 200 198
Korea Development Bank
6.250% due 05/01/2000 5,000 4,936
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 48
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 7,952
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,440
Lehman Brothers Holdings, Inc.
7.110% due 09/27/1999 20 20
4.990% due 08/11/2000 (d) 30,000 29,890
5.900% due 04/01/2002 (d) 56,850 56,850
Lehman Brothers, Inc.
7.410% due 05/25/1999 500 501
4.590% due 09/01/1999 (d) 10,000 9,965
7.140% due 09/24/1999 34 34
6.150% due 03/15/2000 7,700 7,702
5.376% due 04/03/2000 (d) 30,000 29,847
6.500% due 07/18/2000 3,000 3,011
6.650% due 07/27/2000 (d) 8,000 7,990
6.330% due 08/01/2000 666 667
6.400% due 08/30/2000 1,500 1,508
6.500% due 09/25/2000 11,200 11,278
5.390% due 09/26/2000 (d) 5,000 4,957
5.346% due 11/06/2000 (d) 30,910 30,933
5.702% due 12/01/2000 (d) 500 497
6.125% due 02/01/2001 2,000 1,992
5.750% due 02/20/2001 1,500 1,502
5.287% due 02/27/2001 (d) 76,400 75,978
5.164% due 06/01/2001 (d) 100,000 99,081
6.020% due 08/28/2002 (d) 6,500 6,452
5.577% due 09/03/2002 (d) 14,000 14,009
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 18,963
Marine Midland
5.375% due 12/20/2000 (d) 3,700 3,709
MBNA Corp.
5.661% due 12/01/1999 (d) 66,900 66,922
5.320% due 09/13/2001 (d) 1,000 996
6.990% due 05/24/2002 1,000 1,003
5.619% due 12/10/2002 2,100 2,057
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
6.300% due 04/02/2001 7,500 7,485
7.120% due 01/16/2004 7,500 7,601
Meditrust
7.375% due 07/15/2000 345 334
Mellon Bank Corp.
6.500% due 08/01/2005 75 76
Merrill Lynch & Co.
8.250% due 11/15/1999 250 254
6.620% due 06/06/2000 500 505
6.450% due 06/20/2000 350 355
6.250% due 07/25/2000 490 495
5.269% due 08/03/2000 (d) 5,000 5,013
5.300% due 09/25/2000 (d) 5,000 5,008
5.362% due 10/03/2000 (d) 20,000 20,002
5.440% due 12/05/2000 (d) 89,000 89,032
6.500% due 04/01/2001 400 406
6.750% due 04/30/2001 2,775 2,838
5.081% due 05/08/2001 54,900 55,006
5.204% due 05/30/2001 (d) 3,800 3,784
5.345% due 06/04/2001 (d) 30,000 29,963
7.050% due 06/04/2001 6,175 6,356
5.299% due 11/01/2001 (d) 30,000 30,004
5.457% due 11/09/2001 (d) 10,000 10,011
5.130% due 01/15/2002 (d) 17,000 17,024
5.345% due 02/01/2002 (d) 4,000 4,011
8.000% due 02/01/2002 400 421
7.375% due 08/17/2002 300 313
8.300% due 11/01/2002 200 214
6.000% due 02/12/2003 500 502
6.875% due 03/01/2003 140 144
5.400% due 06/24/2003 (d) 27,000 26,884
5.226% due 10/01/2003 (d) 5,000 5,001
7.000% due 03/15/2006 1,500 1,545
7.000% due 04/27/2008 100 104
6.375% due 10/15/2008 17,000 16,896
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,829
Mexico Credit Link
10.508% due 02/22/2002 (d) 29,500 30,527
MIC Financing Trust
8.375% due 02/01/2027 36,000 35,442
Morgan Stanley Group, Inc.
6.375% due 12/15/2003 150 152
Morgan Stanley, Dean Witter, Discover and Co.
5.657% due 02/06/2001 1,190 1,195
5.412% due 04/16/2001 (d) 25,000 24,998
6.700% due 05/01/2001 600 610
64 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
9.375% due 06/15/2001 $ 300 $ 322
5.150% due 12/19/2001 (d) 19,700 19,696
5.429% due 03/11/2003 (d) 10,000 9,950
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 22,545
6.000% due 01/15/2009 27,000 26,091
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
8.649% due 12/01/2000 (d) 25,250 25,755
NationsBank Corp.
6.750% due 02/26/2001 500 511
7.000% due 09/15/2001 1,500 1,543
5.650% due 06/17/2002 (d) 10,000 9,954
NCNB Corp.
7.750% due 08/01/2002 796 797
Norwest Financial, Inc.
7.000% due 01/15/2003 300 312
6.000% due 02/01/2004 50 50
Okobank
5.350% due 05/23/2006 (d) 10,000 9,882
Paccar Financial Corp.
6.740% due 09/15/2000 250 254
PaineWebber
5.520% due 10/04/1999 4,000 4,000
7.000% due 03/01/2000 200 202
6.950% due 03/31/2000 120 121
6.538% due 05/09/2000 (d) 5,000 5,010
5.470% due 02/18/2002 (d) 5,000 4,965
5.590% due 05/20/2002 (d) 1,000 988
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
Pitney Bowes Credit Corp.
6.540% due 07/15/1999 400 402
PNC Bank Corp.
4.913% due 06/01/2000 (d) 217,000 216,768
5.100% due 01/24/2002 (d) 49,000 48,657
5.001% due 08/15/2002 (d) 5,000 5,009
PNC Funding Corp.
6.875% due 03/01/2003 100 103
Popular, Inc
6.715% due 06/06/2000 20,000 20,069
6.625% due 01/15/2004 19,500 19,240
Prudential Insurance Co.
6.375% due 07/23/2006 15,000 14,938
Prudential Property Investment
6.625% due 04/01/2009 17,000 16,863
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,557
9.750% due 11/15/2003 10,000 10,388
Residential Reinsurance
9.180% due 06/01/1999 (d) 39,500 39,944
Safeco Corp.
7.260% due 08/12/2002 500 520
Salomon, Inc.
4.704% due 04/05/1999 (d) 5,500 5,500
7.000% due 05/15/1999 26,090 26,135
4.370% due 06/24/1999 (d) 9,000 8,992
7.590% due 01/28/2000 150 152
6.500% due 03/01/2000 18,350 18,540
6.625% due 11/30/2000 235 238
6.650% due 07/15/2001 600 611
7.000% due 03/04/2002 5,000 5,122
5.400% due 05/16/2002 (d) 23,000 23,026
Salomon, Smith Barney Holdings
7.980% due 03/01/2000 12,000 12,249
6.625% due 06/01/2000 95 96
5.875% due 02/01/2001 4,000 4,006
3.650% due 02/14/2002 17,610 17,158
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,010
5.695% due 07/13/2001 (d) 1,000 1,002
Sears Roebuck Acceptance
6.000% due 03/20/2003 149,750 149,968
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,326
Signet Bank Corp.
9.625% due 06/01/1999 6,500 6,540
Societe Generale
7.400% due 06/01/2006 1,500 1,576
Sparbanken Sverige AB
8.490% due 10/29/2049 (d) 12,670 12,670
Sumitomo
9.400% due 12/29/2049 (d) 19,500 18,330
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 263
Swedbank
7.531% due 10/29/2049 (d) 12,000 12,161
Textron Financial Corp.
5.100% due 11/24/1999 (d) 10,000 10,014
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 11,646
Toronto-Dominion Bank
7.875% due 08/15/2004 50 53
Toyota Motor Credit Corp.
4.659% due 02/15/2002 40,000 38,495
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,054
7.750% due 12/10/2008 10,000 9,767
Transamerica Corp.
4.703% due 04/20/1999 (d) 500 500
7.400% due 07/29/1999 2,000 2,012
5.469% due 09/17/2001 (d) 20,000 19,970
7.500% due 03/15/2004 270 285
6.750% due 11/15/2006 500 513
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 40,204
Trinet Corp. Realty Trust
6.750% due 03/01/2003 45 45
Trizec Finance Limited
10.875% due 10/15/2005 2,489 2,725
U.S. Bancorp
5.085% due 01/16/2002 (d) 49,000 49,040
Wachovia Corp.
6.700% due 04/14/1999 500 500
7.000% due 12/15/1999 100 101
Wells Fargo & Co.
5.625% due 02/05/2001 400 401
8.750% due 05/01/2002 100 108
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 4,083
6.050% due 01/15/2009 30,000 29,438
World Savings & Loan
9.900% due 07/01/2000 250 250
Xerox Corp.
7.010% due 04/30/1999 120 120
-----------
6,050,090
===========
Industrials 9.3%
AK Steel Corp.
10.750% due 04/01/2004 22,050 22,939
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,642
Albertson's, Inc.
6.375% due 06/01/2000 150 152
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 18,483
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,730
American Home Products Corp.
7.700% due 02/15/2000 550 561
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,808
AMR Corp.
9.750% due 03/15/2000 10,760 11,134
10.610% due 01/11/2001 4,000 4,305
10.570% due 01/15/2001 3,000 3,226
10.590% due 01/31/2001 3,000 3,231
10.000% due 02/01/2001 2,000 2,130
9.400% due 05/08/2001 3,000 3,195
9.500% due 05/15/2001 2,250 2,399
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
9.130% due 10/25/2001 $ 2,000 $ 2,133
8.470% due 02/20/2002 2,000 2,119
8.500% due 02/26/2002 1,000 1,061
10.210% due 01/01/2010 6,500 8,143
Baxter International, Inc.
9.500% due 06/15/2008 200 241
Bellat Racers
5.969% due 04/01/2003 20,000 20,000
BOC Group PLC
5.875% due 01/29/2001 250 251
Boeing Co.
8.375% due 02/15/2001 150 157
6.350% due 06/15/2003 750 761
Boise Cascade Co.
9.900% due 03/15/2000 275 282
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002 (d) 51,750 51,239
6.100% due 01/15/2003 6,000 5,676
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,314
CBS, Inc.
7.625% due 01/01/2002 100 103
Cemex SA
10.000% due 11/05/1999 1,000 1,018
8.500% due 08/31/2000 10,000 10,132
Centerior Fuel Corp.
9.540% due 08/02/1999 (j) 10,000 10,394
9.750% due 08/02/2000 (j) 8,000 8,585
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,150
0.000% due 03/15/2003 10,515 7,597
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,708
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,292
Coca-Cola Co.
6.375% due 08/01/2001 200 203
7.875% due 02/01/2002 600 633
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,488
Columbia/HCA Healthcare
8.020% due 08/05/2002 3,880 3,789
8.130% due 08/04/2003 7,000 6,824
6.630% due 07/15/2045 10,000 9,477
6.730% due 07/15/2045 14,760 14,030
Comverse Technology, Inc.
4.500% due 07/01/2005 2,000 2,913
Continental Airlines
6.954% due 02/02/2011 26,000 26,034
Continental Cablevision
11.000% due 06/01/2007 4,536 4,819
9.500% due 08/01/2013 27,000 32,204
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 22,003
Cumberland Farms
10.500% due 10/01/2003 2,711 2,697
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,068
Delta Air Lines, Inc.
9.875% due 05/15/2000 8,700 9,054
6.650% due 03/15/2004 13,500 13,508
10.140% due 08/14/2012 1,000 1,249
9.200% due 09/23/2014 6,000 7,053
Disney (Walt) Co.
6.375% due 03/30/2001 250 255
6.750% due 03/30/2006 100 104
DTE Capital Corp.
8.350% due 11/15/2003 (d) 48,000 47,660
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 104
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,735
Eli Lilly & Co.
8.125% due 02/07/2000 387 395
8.125% due 12/01/2001 500 533
Enron Corp.
5.557% due 11/18/1999 (d) 35,000 35,048
6.532% due 12/30/1999 (d) 29,419 29,419
6.532% due 12/30/1999 (d) 25,802 25,802
Flag Limited
6.900% due 12/15/2004 515 503
Ford Motor Co.
9.000% due 09/15/2001 880 945
6.625% due 10/01/2028 115,800 111,471
Fortune Brands
8.500% due 10/01/2003 500 557
Fred Meyer, Inc.
7.150% due 03/01/2003 6,000 6,168
7.375% due 03/01/2005 39,325 40,933
7.450% due 03/01/2008 300 317
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 558
7.100% due 03/15/2006 250 262
Gillette Co.
5.750% due 10/15/2005 1,500 1,497
Great Atlantic & Pac Tea
7.750% due 04/15/2007 150 149
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,385
9.625% due 07/01/2005 2,000 2,045
H.J. Heinz Co.
7.500% due 04/26/2000 150 153
Hollinger International Publishing
9.250% due 02/01/2006 3,000 3,135
Hyder PLC
6.500% due 12/15/2008 10,000 9,870
IBM Corp.
5.732% due 11/01/1999 (d) 35,000 34,956
7.250% due 11/01/2002 100 105
7.125% due 12/01/2096 2,500 2,599
Inco Limited
9.875% due 06/01/2019 5,000 5,226
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 298
Intermedia Communications, Inc.
0.000% due 05/15/2006 (i) 2,500 2,175
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,658
9.000% due 10/15/2003 5,000 5,125
ITT Corp.
6.250% due 11/15/2000 10,070 9,814
J. Seagram & Sons
6.250% due 12/15/2001 51,000 51,258
Jones International Networks Limited
11.750% due 07/01/2005 55 41
K-Mart Corp.
8.190% due 11/24/2003 5,000 5,039
K-III Communications Co.
8.500% due 02/01/2006 4,000 4,090
Kellogg
5.750% due 02/02/2001 74,850 74,894
Langdell
9.978% due 07/30/1999 (d) 9,800 9,861
Lenfest Communications
8.375% due 11/01/2005 5,000 5,350
Limited, Inc.
7.800% due 05/15/2002 500 524
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,188
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 10,000 9,971
Marlin Water Trust
7.090% due 12/15/2001 20,000 20,276
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j) 1,980 2,596
McDonald's Corp.
6.500% due 08/01/2007 250 257
66 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------
Mobil Corp.
8.375% due 02/12/2001 $ 340 $ 356
Motorola, Inc.
7.600% due 01/01/2007 200 218
Nabisco, Inc.
6.800% due 09/01/2001 3,000 3,052
6.125% due 02/01/2033 15,000 14,733
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,298
New York Times Co.
7.625% due 03/15/2005 1,000 1,082
News America Holdings Corp.
8.625% due 02/01/2003 750 814
News Corp. Limited
0.000% due 06/15/1999 (i) 900 845
Nike, Inc.
6.510% due 06/16/2000 1,000 1,017
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,747
Occidental Petroleum
6.400% due 04/01/2003 6,510 6,441
8.500% due 09/15/2004 5,000 5,023
Owens Corning
7.000% due 05/15/2000 200 201
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,665
7.150% due 05/15/2005 10,000 9,862
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,101
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000 (d) 376,000 375,846
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 32,500 30,266
Philip Morris Cos., Inc.
6.150% due 03/15/2000 20,000 20,109
9.000% due 01/01/2001 300 316
7.250% due 09/15/2001 70 72
7.500% due 01/15/2002 50 52
6.800% due 12/01/2003 48,345 49,513
7.000% due 07/15/2005 1,125 1,156
7.200% due 02/01/2007 32,000 33,416
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 30,894
7.000% due 03/30/2029 16,000 15,940
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 34,462
Qwest Communications International, Inc.
0.000% due 10/15/2007 (i) 2,507 2,000
R & B Falcon Corp.
6.500% due 04/15/2003 1,000 855
Racers
7.709% due 04/28/2003 (d) 30,000 27,713
Reliant Energy, Inc.
8.920% due 05/15/2001 6,500 6,860
6.375% due 11/01/2003 14,000 13,818
RJR Nabisco
8.000% due 01/15/2000 6,777 6,860
7.625% due 09/01/2000 6,000 6,104
8.000% due 07/15/2001 35,630 36,589
8.625% due 12/01/2002 10,920 11,353
7.625% due 09/15/2003 9,000 9,211
8.750% due 04/15/2004 23,800 25,538
8.250% due 07/01/2004 2,000 2,105
8.750% due 07/15/2007 25,000 27,212
Rogers Cablesystems Limited
10.000% due 12/01/2007 5,000 5,613
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 3,032
Saferco
9.460% due 05/31/1999 (j) 1,000 1,007
9.630% due 05/31/2000 (j) 6,500 6,833
9.590% due 05/31/2001 (j) 3,000 3,251
Safeway, Inc.
5.750% due 11/15/2000 150 150
6.850% due 09/15/2004 250 259
Sara Lee Corp.
6.300% due 11/07/2005 500 506
Sears Roebuck & Co.
6.800% due 05/07/2001 500 510
6.790% due 05/21/2001 500 510
9.400% due 08/02/2001 250 269
7.260% due 04/21/2003 3,000 3,123
6.250% due 01/15/2004 300 303
6.750% due 09/15/2005 785 804
Sears Roebuck Acceptance
5.155% due 06/27/2000 (d) 5,000 5,008
7.110% due 06/19/2001 1,000 1,026
6.120% due 12/13/2001 260 262
6.950% due 05/15/2002 300 309
7.140% due 05/02/2003 5,000 5,184
6.560% due 11/20/2003 1,178 1,198
6.700% due 11/15/2006 500 511
Shell Oil Co.
7.250% due 02/15/2002 50 50
Smithfield Foods
7.625% due 02/15/2008 2,000 1,935
Smithkline Beecham
7.375% due 04/15/2005 150 161
Solectron Corp.
0.000% due 01/27/2019 4,000 1,975
SUPERVALU, Inc.
6.500% due 10/06/2000 140 142
TCI Communications, Inc.
7.250% due 06/15/1999 4,800 4,822
6.375% due 09/15/1999 39,175 39,398
5.080% due 02/02/2000 (d) 50,000 49,951
5.395% due 09/11/2000 (d) 48,500 48,362
5.750% due 12/20/2000 (d) 10,000 10,034
6.375% due 05/01/2003 3,200 3,271
Telecommunications, Inc.
7.375% due 02/15/2000 12,000 12,213
8.250% due 01/15/2003 43,125 46,777
Telewest Communications
9.625% due 10/01/2006 5,000 5,313
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,228
7.625% due 06/01/2008 27,000 26,190
Texaco Capital
8.500% due 02/15/2003 700 767
6.000% due 06/15/2005 400 400
Time Warner, Inc.
7.550% due 02/01/2000 5,735 5,844
6.100% due 12/30/2001 1,375 1,382
7.975% due 08/15/2004 31,803 34,403
8.110% due 08/15/2006 80,929 89,539
8.180% due 08/15/2007 2,400 2,695
7.250% due 09/01/2008 125 134
Union Pacific Corp.
5.945% due 05/22/2000 (d) 60,000 59,963
6.930% due 06/01/2003 1,000 1,020
6.000% due 09/01/2003 8,000 7,901
6.120% due 02/01/2004 250 245
United Airlines
9.000% due 12/15/2003 1,000 1,092
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 23,628
USX Corp.
9.800% due 07/01/2001 300 324
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 100 105
8.625% due 04/01/2001 1,450 1,536
Waste Management, Inc.
6.250% due 04/01/1999 1,000 1,000
4.000% due 02/01/2002 3,000 3,536
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 8,220
Westvaco Corp.
9.650% due 03/01/2002 150 165
Williams Co.
5.250% due 01/30/2000 (d) 23,000 23,034
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------
WMX Technologies
6.700% due 05/01/2001 $ 10,000 $ 10,152
7.000% due 10/15/2006 500 521
Xerox Corp.
7.040% due 04/30/1999 770 771
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 503
7.410% due 05/15/2001 1,000 1,030
------------
2,426,041
============
Utilities 3.8%
AES Corp.
10.250% due 07/15/2006 4,500 4,770
Alabama Power Co.
5.350% due 11/15/2003 600 587
Appalachian Power Co.
6.350% due 03/01/2000 500 504
AT&T Corp.
7.125% due 01/15/2002 75 78
7.000% due 05/15/2005 200 211
Baltimore Gas & Electric
6.125% due 07/01/2003 150 152
Beaver Valley Funding Corp.
8.250% due 06/01/2003 779 795
8.625% due 06/01/2007 5,000 5,339
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 191
California Energy
9.500% due 09/15/2006 12,040 13,270
Calpine Corp.
9.250% due 02/01/2004 4,150 4,275
7.625% due 04/15/2006 7,000 7,035
7.875% due 04/01/2008 2,500 2,556
Central Maine Power Co.
6.350% due 09/20/1999 30,000 30,022
6.413% due 10/25/1999 39,000 39,195
6.463% due 11/01/1999 (d) 6,800 6,834
6.500% due 06/14/2000 5,500 5,492
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 481
8.000% due 10/15/2029 1,125 1,306
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,070
7.420% due 08/01/2001 10,000 10,280
9.500% due 05/15/2005 13,000 14,079
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,570
CMS Energy
7.375% due 11/15/2000 57,535 58,102
8.125% due 05/15/2002 5,000 5,140
7.000% due 01/15/2005 30,000 29,263
Coastal Corp.
8.750% due 05/15/1999 4,300 4,314
Commonwealth Edison
6.500% due 04/15/2000 6,185 6,248
5.060% due 06/15/2002 (d) 1,000 1,003
6.625% due 07/15/2003 1,000 1,024
9.875% due 06/15/2020 11,700 13,837
Connecticut Light & Power Co.
7.250% due 07/01/1999 4,485 4,487
5.750% due 07/01/2000 2,000 1,994
7.750% due 06/01/2002 5,000 5,183
8.590% due 06/05/2003 27,000 26,823
Consolidated Edison
7.600% due 01/15/2000 100 102
5.321% due 12/15/2001 (d) 10,000 9,974
Detroit Edison Co.
6.450% due 04/01/1999 10,500 10,500
Duke Energy Corp.
5.780% due 07/08/1999 500 501
8.000% due 11/01/1999 40 41
7.000% due 06/01/2000 700 713
6.750% due 08/01/2025 25 24
Eastern Edison Co.
7.780% due 07/30/2002 9,000 9,407
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,606
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 251
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 478
Indianapolis Power & Light
7.375% due 08/01/2007 225 245
Korea Electric Power
6.375% due 12/01/2003 170 160
Long Island Lighting Co.
7.300% due 07/15/1999 76,085 76,461
Louisiana Power & Light Co.
7.740% due 07/01/2002 1,900 1,934
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,262
MCI Worldcom, Inc.
8.875% due 01/15/2006 24,529 26,428
National Power Corp.
9.625% due 05/15/2028 16,000 14,185
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 49,853
Nevada Power Co.
6.200% due 04/15/2004 20,000 19,951
New Century Energies, Inc.
5.860% due 05/30/2000 15,000 14,986
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,320
New Jersey Bell Telephone
7.850% due 11/15/2029 70 79
New York Telephone Co.
6.250% due 02/15/2004 150 153
Niagara Mohawk Power
6.500% due 07/01/1999 25,000 25,032
7.000% due 10/01/2000 35,000 35,359
7.125% due 07/01/2001 27,250 27,702
7.250% due 10/01/2002 32,777 33,386
7.375% due 07/01/2003 28,000 29,356
7.375% due 08/01/2003 1,645 1,732
7.750% due 10/01/2008 25,200 27,057
North Atlantic Energy
9.050% due 06/01/2002 8,042 8,297
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,461
Northern Telecom Limited
8.750% due 06/12/2001 300 319
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 909
Ohio Edison
6.875% due 09/15/1999 5,750 5,781
Ohio Power Co.
6.875% due 06/01/2003 3,000 3,062
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,060
Pacific Northwest Bell
4.375% due 09/01/2002 50 48
Pennsylvania Power & Light
6.000% due 06/01/2000 500 503
Philadelphia Electric
5.625% due 11/01/2001 17,000 16,980
PP&L, Inc.
6.125% due 05/01/2001 (d) 5,000 5,049
Public Service Electric & Gas
8.750% due 07/01/1999 90 91
7.625% due 02/01/2000 150 153
6.500% due 06/01/2000 500 505
6.125% due 08/01/2002 1,000 1,014
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 10,000 10,007
5.780% due 11/22/2000 (d) 2,000 2,002
Queststar Pipeline
9.375% due 06/01/2021 200 225
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------
Reliant Energy, Inc.
8.750% due 03/01/2022 $ 10,000 $ 10,862
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 11,010
System Energy Resources
7.380% due 10/01/2000 5,000 5,081
7.710% due 08/01/2001 14,850 15,371
Tennessee Valley Authority
0.000% due 04/15/2042 (i) 855 360
Texas Utilities Co.
6.250% due 01/31/2000 6,000 6,033
6.270% due 02/01/2000 11,000 11,087
5.241% due 04/24/2000 (d) 54,700 54,804
6.370% due 08/16/2001 1,000 1,005
5.940% due 10/15/2001 3,000 3,001
6.500% due 08/16/2002 1,000 1,006
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,243
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,470
8.700% due 09/01/2002 10,000 10,488
7.850% due 03/31/2003 7,000 7,290
7.875% due 08/01/2004 500 520
Tuscon Electric Power
8.500% due 10/01/2009 454 468
U.S. West Communications, Inc.
6.625% due 09/15/2005 300 311
6.125% due 11/15/2005 400 405
United Air Lines
10.670% due 05/01/2004 2,050 2,388
United Telecom, Inc.
9.440% due 08/15/2001 10,000 10,738
Western Massachusetts Electric
6.875% due 01/01/2000 700 704
7.375% due 07/01/2001 7,000 7,085
Western Resources, Inc.
6.250% due 08/15/2003 8,500 8,534
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j) 991 1,142
WorldCom, Inc.
6.125% due 08/15/2001 250 252
6.400% due 08/15/2005 1,000 1,016
------------
995,938
------------
Total Corporate Bonds & Notes 9,472,069
(Cost $9,450,839) ============
U.S. GOVERNMENT AGENCIES 3.7%
A.I.D. Housing Guarantee
9.980% due 08/01/2008 1,045 1,137
Federal Home Loan Bank
6.400% due 09/10/2008 525 520
Federal Home Loan Mortgage Corp.
6.140% due 03/03/2003 500 502
6.000% due 11/18/2003 750 747
5.580% due 12/10/2003 500 494
7.030% due 04/05/2004 125 125
7.540% due 05/03/2004 20 20
5.500% due 12/21/2004 1,000 981
5.900% due 12/02/2005 1,300 1,282
6.375% due 09/25/2006 1,250 1,241
6.350% due 10/13/2006 1,000 992
6.350% due 11/28/2006 100 99
6.690% due 04/23/2008 1,250 1,246
6.220% due 06/24/2008 1,850 1,847
6.250% due 08/11/2008 1,000 987
6.300% due 09/10/2008 260 256
Federal National Mortgage Assn
9.050% due 04/10/2000 400 415
5.160% due 02/02/2001 800 795
5.125% due 02/13/2004 21,716 21,340
5.350% due 10/29/2004 1,000 971
5.750% due 10/28/2005 1,500 1,464
5.780% due 11/02/2005 500 489
6.000% due 11/24/2006 700 686
7.240% due 01/04/2007 255 257
6.490% due 08/27/2007 56,000 58,100
6.000% due 09/14/2007 200 195
6.470% due 02/22/2008 700 692
6.560% due 03/03/2008 250 248
6.125% due 08/28/2008 1,000 985
5.990% due 10/27/2008 125 121
Housing & Urban Development Corp.
8.810% due 08/01/2005 285 328
New York City
5.278% due 08/01/2002 (d) 35,487 35,330
Resolution Funing
0.000% due 01/15/2007 800 520
Student Loan Marketing Assn
4.129% due 02/20/2000 (d) 134,700 133,361
5.684% due 06/30/2000 (d) 63,700 63,584
5.248% due 01/25/2003 (d) 41,537 41,600
5.070% due 04/25/2004 (d) 20,459 20,255
4.988% due 10/25/2004 (d) 27,806 27,743
5.008% due 10/25/2004 (d) 50,033 49,946
4.958% due 10/25/2005 (d) 11,583 11,546
5.038% due 10/25/2005 (d) 36,723 36,629
5.098% due 04/25/2006 (d) 119,639 119,236
5.208% due 01/25/2007 (d) 114,483 114,439
5.178% due 04/25/2007 (d) 210,062 210,093
------------
Total U.S. Government Agencies 963,844
(Cost $966,749) ============
U.S. TREASURY OBLIGATIONS 12.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(l) 695,560 691,213
3.375% due 01/15/2007 (h)(l) 69,478 66,917
3.625% due 01/15/2008 (h) 248,671 242,998
3.875% due 01/15/2009 (h)(l) 114,600 114,278
3.625% due 04/15/2028 (h) 102,194 97,787
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,313
10.375% due 11/15/2012 10,820 14,272
12.000% due 08/15/2013 (l) 8,845 12,892
13.250% due 05/15/2014 16,500 26,070
9.250% due 02/15/2016 (l) 301,500 409,946
7.250% due 05/15/2016 107,450 123,333
8.750% due 05/15/2017 (l) 9,460 12,455
8.875% due 08/15/2017 (l) 544,900 726,420
9.125% due 05/15/2018 234,900 321,226
8.125% due 05/15/2021 225,000 285,891
8.000% due 11/15/2021 66,145 83,198
7.125% due 02/15/2023 1,650 1,906
6.500% due 11/15/2026 130 141
6.625% due 02/15/2027 3,165 3,486
6.375% due 08/15/2027 2,225 2,377
6.125% due 11/15/2027 1,650 1,710
U.S. Treasury Notes
7.750% due 11/30/1999 1,100 1,121
5.375% due 07/31/2000 20,000 20,106
4.500% due 01/31/2001 775 768
7.500% due 11/15/2001 1,350 1,428
6.250% due 02/15/2003 1,200 1,244
5.875% due 02/15/2004 1,200 1,236
4.750% due 11/15/2008 1,000 963
------------
Total U.S. Treasury Obligations 3,266,695
(Cost $3,389,678) ============
MORTGAGE-BACKED SECURITIES 52.7%
Collateralized Mortgage Obligations 18.4%
American Southwest Financial
0.000% due 06/04/2013 (i) 64,050 70,617
12.250% due 11/01/2014 57 59
12.500% due 04/01/2015 437 486
12.000% due 05/01/2015 892 932
11.400% due 09/01/2015 661 690
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------
Aspetuck Trust
5.151% due 08/02/1999 (d) $ 80,000 $ 79,975
BA Mortgage Securities, Inc.
6.250% due 08/25/2028 25,000 23,632
Bankers Trust Co.
8.625% due 04/01/2018 77 78
Bear Stearns Mortgage Securities, Inc.
5.688% due 10/25/2023 (d) 5,267 5,406
10.000% due 08/25/2024 7,463 7,824
7.000% due 03/25/2027 7,000 7,076
Cendant Mortgage Corp.
6.499% due 11/18/2028 (d) 5,400 4,860
6.499% due 11/18/2028 (d) 14,333 14,019
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 1,429 1,425
6.204% due 04/25/2025 (d) 29,846 30,273
6.550% due 08/25/2028 3,000 3,029
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 250 249
6.906% due 10/25/2022 (d) 13,664 13,698
6.250% due 04/25/2024 11,796 11,036
7.250% due 10/25/2027 20,462 20,823
CMC Securities Corp.
6.239% due 09/25/2023 (d) 6,859 6,922
7.440% due 04/25/2025 (d) 232 232
7.250% due 11/25/2027 9,453 9,678
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 467 489
8.000% due 09/20/2021 8,833 8,856
Collateralized Mortgage Securities Corp.
11.500% due 09/01/2015 34 36
11.450% due 11/01/2015 (d) 203 204
8.750% due 04/20/2019 687 693
Comm
6.145% due 02/15/2008 5,000 5,109
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,656
7.936% due 07/25/2024 (d) 6,892 6,991
6.750% due 11/25/2025 25,567 25,571
7.500% due 06/25/2027 12,364 12,695
7.250% due 12/25/2027 6,224 6,321
7.250% due 02/25/2028 57,846 58,790
6.050% due 04/25/2029 56,000 55,257
DLJ Mortgage Acceptance Corp.
7.413% due 08/01/2021 (d)(j) 5,325 5,395
7.807% due 12/25/2022 (d) 2,800 2,841
8.122% due 03/25/2024 (d) 813 824
6.500% due 04/25/2024 1 1
8.365% due 05/25/2024 (d) 192 195
6.850% due 12/17/2027 6,605 6,663
6.750% due 06/19/2028 128,425 128,412
Drexel Mortgage Funding
9.500% due 11/20/2017 1,153 1,175
8.600% due 03/01/2018 367 369
Federal Home Loan Mortgage Corp.
7.000% due 05/15/1999 11 11
6.500% due 03/15/2000 355 356
7.000% due 10/15/2003 4,974 5,077
7.500% due 11/01/2003 8,229 8,426
6.000% due 06/15/2005 9,904 9,949
6.500% due 07/25/2005 15,200 15,181
6.500% due 07/15/2006 1,075 1,088
6.500% due 08/15/2006 710 718
6.500% due 05/15/2008 1,000 1,012
6.200% due 12/15/2008 4,089 3,915
6.000% due 03/15/2009 265 266
8.500% due 08/15/2013 2,000 2,101
8.500% due 09/15/2013 5,941 6,240
11.000% due 11/30/2015 10,791 11,934
7.000% due 03/15/2016 33 33
5.400% due 05/25/2016 52,514 51,382
7.000% due 11/15/2016 9,540 9,617
6.210% due 08/15/2017 104 104
5.900% due 03/15/2018 10,961 10,203
6.350% due 03/25/2018 200 202
5.250% due 05/15/2018 635 634
6.500% due 12/15/2018 4,004 4,023
6.500% due 05/15/2019 615 618
6.250% due 07/15/2019 56,551 56,735
5.000% due 08/15/2019 178 176
9.125% due 06/15/2020 222 222
5.250% due 07/15/2020 598 594
5.500% due 10/15/2020 154 153
9.500% due 11/15/2020 6,338 6,701
9.000% due 12/15/2020 2,753 2,868
6.000% due 12/15/2020 413 411
9.000% due 12/15/2020 1,342 1,400
8.750% due 12/15/2020 1,265 1,310
6.250% due 01/15/2021 200 200
6.500% due 05/15/2021 159 160
6.500% due 05/17/2021 113 111
8.500% due 06/15/2021 36,377 37,764
6.950% due 07/15/2021 700 709
8.000% due 07/15/2021 10,375 10,682
9.500% due 07/15/2021 3,142 3,253
9.000% due 07/15/2021 2,551 2,689
6.950% due 08/15/2021 185 188
8.000% due 08/15/2021 23,472 24,289
6.200% due 08/15/2021 1,500 1,514
6.500% due 09/15/2021 1,543 1,549
8.000% due 09/15/2021 36 37
7.000% due 09/15/2021 423 426
7.000% due 10/15/2021 24 24
8.000% due 12/15/2021 16,222 17,023
6.850% due 01/15/2022 700 712
8.250% due 06/15/2022 5,000 5,228
7.000% due 07/15/2022 8,539 8,557
8.500% due 10/15/2022 11,001 11,395
7.500% due 01/15/2023 15,858 16,318
7.000% due 07/15/2023 244 239
7.250% due 07/15/2023 20 20
6.500% due 07/15/2023 107 107
7.500% due 01/20/2024 243 246
5.000% due 02/15/2024 116 104
6.500% due 02/15/2024 27 27
6.250% due 05/15/2024 12,165 11,193
7.250% due 08/15/2024 190 193
8.000% due 09/15/2024 16,250 17,292
7.000% due 11/17/2025 40 40
7.310% due 10/01/2026 (d) 4,113 4,202
7.500% due 01/15/2027 22,511 23,016
7.500% due 03/17/2027 20,000 20,444
7.500% due 06/20/2027 17,492 17,658
6.500% due 08/15/2027 14,193 12,405
6.500% due 10/15/2027 32,300 31,636
6.500% due 01/25/2028 8,691 8,442
7.000% due 02/15/2028 1,608 1,557
6.500% due 04/15/2028 155,706 152,411
6.500% due 05/15/2028 48,000 46,777
6.500% due 06/15/2028 53,308 48,508
6.500% due 06/20/2028 21,224 18,918
6.500% due 07/15/2028 27,365 25,308
6.500% due 08/15/2028 251,255 230,348
7.000% due 11/15/2028 9,000 9,146
6.000% due 12/15/2028 22,146 19,742
6.500% due 12/15/2028 6,403 5,804
6.500% due 01/15/2029 10,411 10,245
6.500% due 03/15/2029 11,221 10,504
6.181% due 08/15/2032 (d) 34,712 34,989
Federal Housing Administration
7.430% due 01/01/2024 1,044 1,094
Federal National Mortgage Assn
9.100% due 02/25/2002 3,074 3,129
7.500% due 05/25/2005 6,700 6,901
7.500% due 02/25/2006 375 387
6.500% due 05/01/2006 277 279
6.500% due 07/25/2006 75 76
8.000% due 11/25/2006 30 31
6.000% due 07/25/2007 300 301
70 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------
8.638% due 08/25/2007 (d) $ 42 $ 43
6.270% due 09/25/2007 3,000 3,002
7.000% due 10/25/2007 200 206
6.500% due 05/25/2008 500 509
10.500% due 08/25/2008 7,146 8,310
6.750% due 11/25/2010 1,300 1,311
7.000% due 01/25/2011 500 504
7.500% due 01/20/2012 8 8
9.670% due 01/25/2017 143 144
9.200% due 12/25/2017 107 107
9.300% due 05/25/2018 1,082 1,136
9.500% due 06/25/2018 579 628
5.488% due 06/25/2018 (d) 5 5
6.500% due 06/25/2018 2,557 2,557
5.500% due 07/25/2018 115 115
9.500% due 11/25/2018 15,513 16,111
6.000% due 12/25/2018 44 44
6.500% due 03/25/2019 885 890
6.250% due 04/18/2019 6,241 6,246
9.500% due 06/25/2019 2,149 2,268
5.650% due 07/25/2019 3,650 3,649
6.350% due 08/25/2019 435 436
8.000% due 10/25/2019 7,122 7,206
7.500% due 12/25/2019 115 118
9.000% due 12/25/2019 9,287 9,853
6.500% due 03/25/2020 3,965 3,980
7.500% due 05/25/2020 5,240 5,367
6.000% due 06/25/2020 4,167 4,164
9.000% due 09/25/2020 5,840 6,109
7.000% due 09/25/2020 25,000 25,285
8.000% due 12/25/2020 23,440 24,548
9.000% due 01/25/2021 8,602 9,012
8.750% due 01/25/2021 5,031 5,260
7.500% due 02/17/2021 196 197
9.000% due 03/25/2021 736 778
7.500% due 03/25/2021 18,805 18,987
7.000% due 05/25/2021 300 307
6.500% due 06/25/2021 5,355 5,339
7.500% due 06/25/2021 187 189
8.000% due 07/25/2021 24,214 24,963
8.500% due 09/25/2021 8,427 8,775
7.000% due 10/25/2021 8,390 8,454
8.000% due 10/25/2021 22,430 23,329
7.000% due 11/25/2021 24,015 24,212
6.000% due 12/25/2021 87 87
8.000% due 01/25/2022 21,700 22,408
8.000% due 03/25/2022 208 212
7.000% due 04/25/2022 17,091 17,203
10.000% due 05/01/2022 220 238
7.000% due 06/25/2022 1,928 1,957
8.000% due 06/25/2022 3,426 3,673
8.000% due 07/25/2022 25,524 26,646
7.000% due 07/25/2022 8,598 8,727
8.000% due 07/25/2022 28,757 29,826
7.800% due 10/25/2022 5,131 5,290
6.500% due 10/25/2022 3,673 3,473
6.500% due 12/25/2022 459 460
7.000% due 03/25/2023 26,170 26,225
6.500% due 05/18/2023 11,418 11,497
6.900% due 05/25/2023 143 143
7.000% due 06/25/2023 4,481 4,292
6.500% due 08/25/2023 64 65
6.000% due 08/25/2023 3,068 3,013
6.750% due 09/25/2023 3,590 3,518
1.000% due 09/25/2023 350 309
6.750% due 10/25/2023 540 519
7.500% due 10/25/2023 89 90
6.500% due 11/25/2023 170 170
6.500% due 12/25/2023 1,054 968
6.500% due 01/25/2024 2,410 2,287
7.250% due 02/25/2024 50 50
7.500% due 06/20/2024 120 122
7.000% due 02/18/2025 140 142
7.500% due 12/25/2025 120 124
7.000% due 02/15/2026 180 183
7.000% due 07/18/2026 210 208
7.000% due 12/18/2026 14,689 14,409
6.000% due 05/17/2027 5,470 5,127
6.500% due 03/01/2028 599 598
6.500% due 06/25/2028 3,400 3,316
6.500% due 07/18/2028 67,412 64,104
6.000% due 04/25/2029 9,881 8,104
First Commonwealth Savings & Loan
10.375% due 04/01/2005 19 20
First Union Residential Securitization, Inc.
6.750% due 08/25/2028 9,048 8,802
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,353 4,394
6.500% due 09/25/2023 1,175 1,110
6.500% due 02/25/2024 9 9
6.500% due 03/25/2024 53,964 52,601
6.500% due 04/25/2024 60,500 56,518
7.500% due 07/25/2027 10,329 10,467
7.000% due 11/25/2027 37,500 37,943
6.650% due 05/25/2028 9,064 9,146
6.750% due 05/25/2028 23,934 23,713
6.550% due 06/25/2028 23,450 23,597
6.750% due 06/25/2028 2,814 2,830
6.500% due 12/25/2028 19,500 18,993
General Motors Acceptance Corp.
6.700% due 03/15/2008 1,000 1,021
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (j) 9,948 9,941
Government National Mortgage Assn
7.500% due 07/20/2020 178 179
7.000% due 01/15/2024 500 510
8.000% due 05/16/2024 120 123
7.000% due 08/20/2026 150 147
7.500% due 02/16/2027 119 116
7.500% due 07/16/2027 26,744 27,280
6.500% due 06/20/2028 10,274 9,236
6.500% due 07/20/2028 35,502 32,590
6.500% due 09/20/2028 25,824 23,036
Greenwich
6.844% due 04/25/2022 (d) 1,104 1,118
6.840% due 07/25/2022 (d) 4,571 4,622
6.818% due 10/25/2022 (d) 159 161
6.892% due 04/25/2023 (d) 2,032 2,053
7.485% due 04/25/2024 (d) 2,538 2,614
8.040% due 06/25/2024 (d) 2,518 2,623
8.131% due 08/25/2024 (d) 4,087 4,117
8.733% due 11/25/2024 (d) 1,190 1,201
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 3,445 3,511
6.750% due 12/25/2028 59,468 59,344
6.650% due 02/25/2029 165,866 164,917
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 18,411
Imperial CMB Trust
5.320% due 09/25/2026 (d) 11,842 11,920
6.650% due 11/25/2029 1,702 1,725
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,722
7.784% due 11/25/2024 (d) 4,213 4,321
8.750% due 12/25/2024 30 31
7.978% due 01/25/2025 (d) 328 334
8.000% due 06/25/2025 75 76
6.569% due 07/25/2025 (d) 15,098 15,436
7.559% due 07/25/2025 (d) 11,679 11,920
International Mortgage Acceptance Corp.
12.500% due 03/01/2014 400 448
J.P. Morgan & Co.
9.000% due 10/20/2020 15,380 15,843
J.P. Morgan Commercial Mortgage Finance Corp.
6.533% due 01/15/2030 20,000 20,369
Kidder Peabody Acceptance Corp.
8.390% due 05/20/2018 277 280
7.927% due 09/25/2024 (d) 20,000 20,084
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Marine Midland
8.000% due 10/25/2023 $ 143 $ 142
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 22,100
Merrill Lynch Mortgage
7.428% due 06/15/2021 (d) 6,660 6,741
7.688% due 06/15/2021 (d) 6,248 6,381
8.339% due 06/25/2022 (d) 648 648
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 21,645 22,105
Morgan Stanley Mortgage Trust
8.250% due 07/01/2018 6,355 6,421
Mortgage Capital Funding, Inc.
7.008% due 09/20/2006 15,545 15,978
Mortgage Capital Trust V
8.875% due 04/01/2018 115 118
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,732
6.250% due 10/25/2028 1,000 950
Nomura Asset Securities Corp.
7.492% due 05/25/2024 (d) 6,606 6,790
Norwest Asset Securities Corp.
6.250% due 11/25/2013 45,716 45,414
6.350% due 04/25/2028 2,500 2,515
6.500% due 12/25/2028 20,000 19,476
6.500% due 02/25/2029 55,000 52,645
6.500% due 03/25/2029 12,200 11,828
5.950% due 03/30/2029 128,513 127,225
6.300% due 03/30/2029 11,419 11,414
5.950% due 04/30/2029 16,347 16,286
Norwest Mortgage
12.500% due 02/01/2014 794 848
12.250% due 04/01/2014 64 59
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,814
PNC Mortgage Securities Corp.
7.000% due 10/25/2027 36,616 36,983
6.500% due 02/25/2028 2,500 2,518
7.000% due 05/25/2028 10,144 10,260
6.750% due 07/25/2028 2,027 2,015
6.750% due 09/25/2028 4,000 3,975
6.200% due 04/30/2029 30,000 29,850
Prudential Bache
5.941% due 09/01/2018 (d) 320 316
8.400% due 03/20/2021 3,105 3,199
Prudential Home Mortgage Securities
6.400% due 04/25/2009 2,482 2,488
8.000% due 06/25/2022 1,668 1,663
6.950% due 11/25/2022 222 220
6.750% due 10/25/2023 8,688 8,114
7.995% due 11/25/2023 (d) 3,736 3,784
5.900% due 12/25/2023 11,816 11,813
6.050% due 04/25/2024 4,743 4,738
6.000% due 05/25/2024 13 13
6.450% due 11/25/2025 5,264 5,017
PSB Financial Corp.
11.050% due 12/01/2015 662 713
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 41,115 41,624
6.500% due 10/25/2028 17,928 17,838
Residential Asset Securities Corp.
7.000% due 03/25/2027 94 95
7.250% due 05/25/2027 162 163
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,260
7.000% due 10/25/2027 19,832 20,020
6.750% due 06/25/2028 32,549 32,764
6.500% due 12/25/2028 1,250 1,204
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 11,901 12,011
6.500% due 09/25/2008 7,000 7,047
6.250% due 10/25/2008 2,161 2,159
6.500% due 12/25/2012 19,016 19,068
6.500% due 01/25/2013 167,527 167,929
8.500% due 05/25/2017 65 68
7.750% due 09/25/2022 933 949
8.000% due 01/25/2023 5,489 5,592
7.400% due 09/25/2025 45 45
7.500% due 09/25/2025 18,183 18,507
7.500% due 12/25/2025 966 994
7.500% due 06/25/2027 51,535 52,836
7.500% due 07/25/2027 25,265 25,528
7.250% due 10/25/2027 24,000 24,377
7.000% due 11/25/2027 7,000 7,049
6.750% due 02/25/2028 4,572 4,598
6.750% due 05/25/2028 60,741 61,114
6.750% due 09/25/2028 61,993 61,561
6.500% due 10/25/2028 52,000 50,650
6.250% due 11/25/2028 3,000 2,863
6.500% due 01/25/2029 52,231 50,757
Resolution Trust Corp.
7.649% due 02/25/2020 (d) 143 143
6.671% due 09/25/2020 (d)(n) 12,307 2,831
6.925% due 09/25/2020 (d) 2,121 1,795
5.977% due 01/25/2021 (d) 799 797
8.417% due 06/25/2021 (d) 584 582
8.689% due 08/25/2021 (d) 9,244 9,285
8.694% due 08/25/2021 8,000 8,091
7.250% due 09/25/2021 (d) 2,301 2,291
6.000% due 10/25/2021 (d) 196 197
5.642% due 10/25/2021 (d) 159 157
8.625% due 10/25/2021 210 209
8.141% due 10/25/2021 (d) 207 207
7.632% due 03/25/2022 (d) 6,691 6,752
8.579% due 05/25/2022 (d) 2,073 2,151
7.625% due 08/25/2023 (d) 2,001 2,003
9.450% due 05/25/2024 19,693 19,695
7.100% due 12/25/2024 1,500 1,488
7.010% due 07/25/2028 (d) 14,001 13,946
7.189% due 10/25/2028 (d) 8,500 8,541
6.987% due 10/25/2028 (d) 19,546 19,646
7.068% due 05/25/2029 (d) 3,497 3,568
7.490% due 05/25/2029 (d) 4,660 4,654
Rural Housing Trust
3.330% due 10/01/2028 152 141
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 118 125
Ryland Acceptance Corp.
9.000% due 12/01/2016 614 627
11.500% due 12/25/2016 125 125
8.200% due 09/25/2022 70 71
14.000% due 11/25/2031 1,221 1,353
Ryland Mortgage Securities Corp.
7.381% due 08/25/2022 (d) 2,615 2,651
6.802% due 08/25/2029 (d) 4,489 4,615
6.803% due 10/25/2031 (d) 7,946 8,027
Salomon Brothers Mortgage Securities
6.899% due 11/25/2022 (d) 988 1,008
7.871% due 07/01/2024 (d) 8,064 8,225
5.178% due 06/25/2027 (d) 2,127 2,128
5.277% due 04/25/2029 (d) 37,223 37,206
Santa Barbara Savings
9.500% due 11/20/2018 3,107 3,109
Saxon Mortgage
7.370% due 08/25/2023 (d) 22,888 23,496
7.968% due 09/25/2024 (d) 10,508 10,882
Sears Mortgage
6.707% due 09/25/2022 (d) 1,523 1,550
Securitized Asset Sales, Inc.
7.027% due 10/25/2023 (d) 2,678 2,753
7.304% due 12/26/2023 (d) 1,937 1,966
7.410% due 09/25/2024 (d) 9,900 10,111
5.944% due 02/25/2028 3,200 3,199
Security Pacific National Bank
6.200% due 03/01/2018 (d) 106 105
Southern Pacific Secured Assets Corp.
5.107% due 06/25/2028 (d) 81,776 80,535
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 18,026 17,756
72 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.300% due 04/25/2024 $ 22,500 $ 22,386
6.917% due 06/25/2028 (d) 47,361 47,938
6.250% due 11/25/2028 9,878 9,530
6.750% due 01/25/2029 3,000 2,976
6.580% due 06/25/2029 (d) 32,620 32,996
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 5,214 5,224
TMA Mortgage Funding Trust
5.319% due 01/25/2029 47,500 47,485
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 4,023
6.800% due 01/25/2028 15,000 15,082
Vendee Mortgage Trust
7.000% due 02/15/2000 2,482 2,498
7.750% due 03/15/2016 600 610
7.750% due 05/15/2018 550 567
6.500% due 05/15/2020 26,086 25,721
Western Federal Savings & Loan
6.563% due 06/25/2021 (d) 6,270 5,896
-------------
4,807,440
=============
Federal Home Loan Mortgage Corporation 12.4%
5.000% due 04/01/1999 33 33
5.500% due 04/01/2001-05/15/2029 (g) 243,464 229,629
5.750% due 08/15/2020 300 299
6.000% due 12/01/2000-05/17/2029 (g) 2,277,099 2,224,480
6.171% due 12/01/2026 (d) 8,125 8,184
6.250% due 03/15/2028 38,700 37,502
6.500% due 07/01/2001-05/17/2029 (g) 488,256 484,540
6.625% due 01/01/2019 (d) 13 14
6.750% due 04/01/2017-01/17/2025 (d)(g) 17,222 17,346
6.775% due 11/01/2003 69 69
6.832% due 07/01/2023 (d) 2,607 2,682
6.991% due 01/01/2024 (d) 634 652
6.999% due 01/01/2024 (d) 646 662
7.000% due 01/01/2000-03/01/2026 (g) 17,163 17,399
7.210% due 05/01/2023-10/25/2023 (d)(g) 23,212 23,829
7.279% due 05/01/2027 (d) 1,709 1,742
7.296% due 07/01/2024 (d) 2,736 2,800
7.299% due 06/01/2024 (d) 1,532 1,578
7.321% due 04/01/2029 (d) 2,076 2,137
7.354% due 08/01/2023 (d) 13 14
7.356% due 07/01/2022 (d) 1,377 1,409
7.377% due 09/01/2023 (d) 15,417 15,704
7.427% due 04/01/2023 (d) 737 747
7.461% due 07/01/2023 (d) 801 818
7.470% due 11/01/2023 (d) 647 655
7.500% due 05/01/1999-04/14/2029 (g) 50,637 52,061
7.528% due 09/01/2023 (d) 2,147 2,185
7.545% due 08/01/2023 (d) 8,091 8,240
7.552% due 08/01/2023 (d) 1,464 1,517
7.567% due 10/01/2023 (d) 2,395 2,430
7.568% due 10/01/2023 (d) 1,514 1,536
7.569% due 05/01/2023 (d) 1,663 1,689
7.572% due 04/01/2024 (d) 9,631 9,884
7.602% due 09/01/2023 (d) 3,387 3,457
7.609% due 08/01/2024 (d) 377 382
7.610% due 09/01/2023 (d) 2,354 2,388
7.643% due 11/01/2023 (d) 874 893
7.659% due 08/01/2023 (d) 702 722
7.723% due 10/01/2023 (d) 2,521 2,563
7.735% due 11/01/2023 (d) 505 512
7.750% due 04/01/2007 42 43
7.821% due 10/01/2023 (d) 514 531
7.909% due 10/01/2023 (d) 1,462 1,517
8.000% due 10/01/2007-06/01/2026 (g) 5,138 5,351
8.250% due 08/01/2007-12/01/2009 (g) 273 283
8.500% due 09/01/2001-01/01/2028 (g) 36,816 38,734
8.750% due 02/01/2001-12/01/2010 (g) 228 234
8.900% due 11/15/2020 19,324 20,372
9.000% due 01/01/2002-09/15/2020 (g) 845 883
9.250% due 06/01/2009-11/01/2013 (g) 132 141
9.500% due 08/01/2001-06/01/2021 (g) 2,079 2,204
9.750% due 11/01/2004-05/01/2009 (g) 60 63
10.000% due 06/01/2004-11/15/2019 (g) 1,069 1,118
10.250% due 03/15/2009-05/01/2009 (g) 1,563 1,679
11.000% due 12/01/1999-07/01/2019 (g) 813 883
11.250% due 10/01/2009-09/01/2015 (g) 182 198
11.500% due 03/01/2000-05/01/2000 (g) 10 10
13.250% due 10/01/2013 82 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011 (g) 18 20
16.250% due 05/01/2011 3 3
-------------
3,239,771
=============
Federal Housing Administration 0.9%
6.000% due 03/20/2028 23,900 23,139
6.500% due 03/01/2040 5,000 4,915
6.875% due 11/01/2015 3,153 3,164
7.125% due 03/01/2034 4,458 4,581
7.211% due 12/01/2021 2,816 2,908
7.250% due 12/01/2021-04/30/2039 (g) 20,231 20,820
7.316% due 05/01/2019 4,978 5,131
7.375% due 03/01/2019-01/01/2024 (g) 16,093 16,651
7.400% due 02/01/2021 2,522 2,630
7.430% due 12/01/2016-05/01/2025 (g) 94,512 98,228
7.465% due 11/01/2019 42,238 43,650
7.500% due 04/30/2039 3,370 3,463
7.650% due 11/01/2018 135 129
-------------
229,409
=============
Federal National Mortgage Association 4.3%
5.500% due 04/14/2029-05/17/2029 (g) 213,000 200,835
5.650% due 04/25/2005 146 146
5.848% due 09/01/2017 (d) 6,009 6,022
5.889% due 08/01/2029 (d) 1,200 1,206
5.905% due 04/01/2018-05/01/2036 (d)(g) 5,471 5,511
5.906% due 05/01/2036 (d) 1,374 1,383
5.916% due 05/01/2036 (d) 64,398 64,835
5.940% due 07/01/2017-04/26/2029 (d)(g) 173,053 174,081
5.941% due 07/01/2027-10/01/2028 (d)(g) 23,368 23,492
5.944% due 10/01/2032 (d) 18,965 19,068
5.946% due 11/01/2035 (d) 56,686 57,000
5.950% due 05/01/2036 (d) 64,056 64,491
5.996% due 09/01/2024 (d) 3,282 3,306
6.000% due 12/01/2000-05/17/2029 (d)(g) 112,573 110,481
6.012% due 03/01/2033 (d) 47,264 47,562
6.200% due 04/25/2005 771 773
6.218% due 04/01/2027 (d) 199 201
6.250% due 07/25/2007 100 101
6.390% due 05/25/2036 16,606 14,382
6.406% due 12/01/2023 (d) 1,133 1,153
6.500% due 11/01/2003-05/18/2029 (g) 111,996 111,380
6.585% due 02/01/2026 (d) 728 749
6.600% due 09/25/2018 6,485 6,547
6.622% due 01/01/2024 (d) 551 568
6.690% due 01/01/2024 (d) 1,157 1,196
6.750% due 08/01/2003 468 478
6.805% due 09/01/2022 (d) 1,845 1,863
6.834% due 07/01/2003 68 70
6.909% due 01/01/2024 (d) 253 261
6.950% due 11/01/2023-03/25/2026 (d)(g) 469 477
6.983% due 03/01/2026 (d) 4,590 4,719
6.990% due 11/01/2025 (d) 2,932 3,014
7.000% due 07/01/2001-12/20/2027 (g) 60,264 61,090
7.001% due 03/01/2025 (d) 4,437 4,555
7.095% due 01/01/2024 (d) 3,008 3,092
7.134% due 09/01/2022 (d) 1,929 1,948
7.143% due 01/01/2026 (d) 1,803 1,848
7.190% due 09/01/2025 (d) 2,952 3,026
7.202% due 11/01/2023 (d) 1,159 1,190
7.250% due 05/01/2002-01/01/2023 (g) 11,284 11,536
7.252% due 11/01/2025 (d) 2,029 2,071
7.308% due 07/01/2024 (d) 7,334 7,551
7.310% due 12/01/2023 (d) 1,600 1,646
7.338% due 09/01/2024 (d) 2,169 2,219
7.410% due 11/01/2025 (d) 5,811 5,946
7.500% due 08/01/2003-07/01/2028n (g) 67,700 69,731
7.537% due 05/01/2026 (d) 978 996
7.582% due 09/01/2023 (d) 3,922 4,026
7.625% due 10/01/2023 (d) 478 488
7.726% due 05/01/2024 (d) 3,087 3,187
See accompanying notes 73
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.750% due 06/01/2009 $ 199 $ 209
8.000% due 09/01/2001-12/01/2026 (g) 6,897 7,173
8.250% due 10/01/2008-02/01/2017 (g) 684 718
8.500% due 07/01/1999-05/01/2027 (g) 3,662 3,836
9.000% due 10/01/2004-04/01/2017 (g) 1,334 1,396
9.250% due 10/01/2001 11 11
9.500% due 12/01/2006-07/01/2022 (g) 109 118
9.750% due 11/01/2008 83 88
10.000% due 09/01/2003-05/01/2022 (g) 735 791
10.500% due 12/01/2016-04/01/2022 (g) 702 762
10.750% due 03/01/2014 26 29
12.000% due 05/01/2016 14 16
13.000% due 09/01/2013 43 48
13.250% due 09/01/2011 17 19
14.500% due 11/01/2011-01/01/2013 (g) 66 74
14.750% due 08/01/2012-11/01/2012 (g) 234 275
15.500% due 10/01/2012-12/01/2012 (g) 24 28
15.750% due 12/01/2011-08/01/2012 (g) 140 168
16.000% due 09/01/2012 156 182
----------
1,129,438
==========
Government National Mortgage Association 16.1%
4.500% due 01/20/2024-06/20/2028 (d)(g) 69,382 70,012
5.000% due 04/20/2028-08/20/2028 (d)(g) 64,335 64,896
5.650% due 10/15/2012 12 12
6.000% due 10/15/2008-05/24/2029 (g) 542,357 528,412
6.125% due 12/20/2020-12/20/2027 (d)(g) 445,801 452,368
6.500% due 10/15/2008-09/15/2040 (g) 1,795,088 1,786,856
6.625% due 08/20/2020-01/15/2040 (d)(g) 517,273 525,268
6.750% due 06/20/2028 19,984 19,313
6.800% due 10/15/2040 3,000 3,057
6.820% due 10/15/2040 3,437 3,543
6.850% due 10/15/2038 13,685 13,718
6.875% due 06/20/2021-06/20/2027 (d)(g) 567,742 576,640
6.880% due 04/20/2027-06/20/2027 (d)(g) 78,458 79,591
7.000% due 07/15/2008-03/15/2028 (g) 17,315 17,641
7.125% due 08/20/2027 (d) 61 62
7.375% due 04/20/2023 505 512
7.500% due 04/15/2007-09/15/2028 (g) 34,230 35,335
8.000% due 05/15/2001-10/15/2025 (g) 2,413 2,522
8.250% due 08/15/2004-05/15/2022 (g) 606 639
8.500% due 06/15/2001-01/20/2027 (g) 10,189 10,685
8.750% due 03/15/2007-07/15/2007 (g) 120 125
9.000% due 06/15/2001-07/20/2022 (g) 6,028 6,475
9.250% due 10/15/2001-12/20/2016 (g) 342 359
9.500% due 04/15/2001-08/15/2023 (g) 5,392 5,825
9.750% due 09/15/2002-01/15/2021 (g) 182 193
10.000% due 04/15/2001-02/15/2025 (g) 4,617 5,095
10.250% due 10/15/1999-02/20/2019 (g) 33 36
10.500% due 06/15/2004 111 120
11.000% due 05/15/2004-03/15/2019 (g) 125 137
11.250% due 03/15/2001-12/20/2015 (g) 48 53
11.500% due 04/15/2013-05/15/2013 (g) 8 8
12.000% due 02/15/2000-01/15/2015 (g) 78 86
12.500% due 01/15/2011 1 2
13.000% due 12/15/2012-10/15/2014 (g) 37 43
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012 (g) 6 7
15.000% due 09/15/2012-10/15/2012 (g) 18 20
16.000% due 01/15/2012-04/15/2012 (g) 9 11
17.000% due 11/15/2011-12/15/2011 (g) 78 91
----------
4,209,791
==========
Other Mortgage-Backed Securities 0.5%
Aames Mortgage Trust
7.275% due 05/15/2020 116 116
Bank of America
9.000% due 03/01/2008 58 58
Citibank, NA
8.000% due 07/25/2018 69 70
DBL Mortgage Funding
9.500% due 08/01/2019 11 11
First Interstate Bancorp
9.125% due 01/01/2009 (j) 11 12
GE Capital Mortgage Services, Inc.
7.250% due 07/25/2011 8,821 8,886
General Electric Credit Corp.
8.000% due 03/01/2002 (j) 48 49
German American Capital Corp.
8.360% due 09/30/2002 2,415 2,504
6.581% due 07/01/2018 (d) 8,984 8,880
Great Western Savings & Loan
5.860% due 08/01/2017 (d) 152 150
Guardian
6.903% due 12/25/2018 (d) 216 189
Home Savings of America
8.464% due 08/01/2006 81 81
5.641% due 05/25/2027 (d) 2,856 2,791
6.393% due 08/20/2029 (d) 11,453 11,550
Imperial Savings & Loan
10.000% due 09/01/2016 (j) 142 149
8.219% due 01/25/2017 (d) 82 82
8.850% due 07/25/2017 (d) 317 316
LTC Commercial Corp.
7.100% due 11/28/2012 3,835 3,835
MDC Mortgage Funding
8.268% due 01/25/2025 (d) 420 437
Merrill Lynch Mortgage
9.250% due 12/15/2009 2 2
8.048% due 06/15/2021 (d) 1,387 1,416
Mid-State Trust
8.330% due 04/01/2030 71,276 74,945
Morgan Stanley Mortgage
8.150% due 07/20/2021 9 9
Resolution Trust Corp.
6.653% due 09/25/2020 (d) 456 392
7.039% due 05/25/2029 (d) 4,591 4,599
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 1,163 1,225
Sears Mortgage
12.000% due 02/25/2014 862 864
6.499% due 06/25/2022 (d) 534 540
7.217% due 10/25/2022 (d) 3,087 3,122
Western Federal Savings & Loan
6.512% due 11/25/2018 (d) 136 136
6.562% due 03/25/2019 (d) 800 800
----------
128,216
==========
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 548 34
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 581 31
6.500% due 11/15/2006 1,435 77
6.500% due 03/15/2007 2,028 95
5.750% due 09/15/2007 (d) 7,526 637
6.000% due 10/15/2007 585 42
6.000% due 01/15/2008 235 17
5.428% due 02/15/2008 (d) 748 76
6.400% due 10/15/2008 148 15
11.651% due 01/15/2016 11 0
6.500% due 08/15/2016 2,057 96
6.500% due 08/15/2017 431 23
7.000% due 04/15/2018 1,918 106
7.500% due 08/15/2018 163 7
9.993% due 11/15/2018 10 0
8.845% due 01/15/2021 295 60
9.000% due 05/15/2022 150 23
6.500% due 09/15/2023 450 64
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 30 1
7.000% due 06/25/2005 8 0
10.458% due 07/25/2005 (d) 98 2
6.500% due 07/25/2006 3,333 169
7.272% due 09/25/2006 4 46
6.500% due 02/25/2007 2,838 225
6.500% due 07/25/2007 1,156 64
6.500% due 09/25/2007 3,639 303
6.500% due 10/25/2007 1,393 97
0.100% due 03/25/2009 (d) 37,255 754
7.000% due 08/25/2015 1,607 43
74 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.000% due 08/25/2016 $ 478 $ 17
6.500% due 08/25/2020 2,666 411
10.070% due 01/25/2021 66 7
7.500% due 04/25/2021 2,222 320
9.032% due 08/25/2021 903 183
0.950% due 11/25/2021 (d) 37,145 546
6.500% due 10/25/2022 258 27
6.500% due 01/25/2023 3,632 672
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 972 872
0.000% due 02/25/2021 2,497 2,397
0.000% due 06/25/2022 1,585 1,479
0.000% due 08/25/2023 335 250
PaineWebber (IO)
13.595% due 08/01/2019 189 66
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 188,696 3,428
-----------
13,782
-----------
Total Mortgage-Backed Securities 13,757,847
(Cost $13,747,931) ===========
ASSET-BACKED SECURITIES 5.7%
AFC Home Equity Loan Trust
6.903% due 10/25/2026 (d) 5,329 5,424
America West Airlines
10.500% due 01/02/2004 (d) 24 23
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,540
American Stores
5.300% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 500 506
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 6,018 6,038
Aspetuck Trust
5.688% due 09/01/1999 (d) 100,000 100,094
Associates Manufactured Housing
7.000% due 03/15/2027 900 912
Auto Receivables Trust
6.500% due 04/16/2003 10,003 10,015
Bridgestone/Firestone Master Trust
6.170% due 07/01/2003 250 252
California Infrastructure
6.010% due 06/25/2001 5,422 5,431
6.150% due 06/25/2002 19,500 19,656
Capital Equipment Receivables Trust
6.030% due 02/15/2000 1,897 1,908
Case Equipment Loan Trust
6.150% due 09/15/2002 729 730
Charter Commercial Holdings LLC
7.750% due 03/31/2028 32,000 31,920
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 500 503
Chase Manhattan Grantor Trust
6.000% due 09/17/2001 1,164 1,167
5.900% due 11/15/2001 3,564 3,571
5.200% due 02/15/2002 575 576
6.610% due 09/15/2002 2,825 2,860
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 27,694
Citibank N.A
0.000% due 09/27/1999 20,000 18,913
Citicorp Mortgage Securities, Inc.
6.750% due 04/25/2028 16,297 16,308
CMC Securities Corporation IV
7.250% due 11/25/2027 1,234 1,261
Columbia/HCA Healthcare
6.807% due 09/30/2000 25,000 24,594
Community Program Loan Trust
4.500% due 10/01/2018 26,079 24,528
4.500% due 04/01/2029 26,000 21,912
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012 (d) 21,135 21,119
6.990% due 03/15/2021 350 359
5.079% due 06/15/2028 (d) 6,306 6,300
Copelco Capital Funding Corp.
6.340% due 07/20/2004 33 34
CPS Auto Trust
6.070% due 03/15/2003 103 103
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,877
Daimler-Benz Vehicle Trust
5.850% due 07/20/2003 9,252 9,278
6.050% due 03/31/2005 6,825 6,882
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (j) 10,099 10,876
10.500% due 01/02/2007 (j) 7,412 9,064
10.570% due 01/02/2007 (j) 15,881 20,262
9.550% due 01/02/2008 (j) 7,773 8,996
10.000% due 06/05/2013 10,828 13,561
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,589
5.314% due 10/16/2013 (d) 400 403
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 335
5.160% due 10/15/2027 (d) 1,697 1,684
Equivantage Home Equity Loan Trust
6.550% due 04/01/2027 129 130
Felco Funding LLC
5.980% due 09/15/2001 500 502
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,535
First Plus Home Loan Trust
6.230% due 06/10/2010 3,000 3,013
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,971 1,988
First Security Corp.
5.875% due 11/01/2003 9,000 8,884
First Union Master Credit Card Trust
5.760% due 09/15/2003 88,750 88,931
Flag Limited
6.900% due 12/15/2004 (d) 14,106 13,789
FMAC Loan Receivables Trust
6.830% due 09/15/2020 680 640
6.200% due 09/15/2020 358 353
6.500% due 09/15/2020 258 255
Ford Credit Auto Owner Trust
6.750% due 09/15/2000 1,611 1,621
5.800% due 10/15/2000 1,417 1,424
Ford Credit Grantor Trust
5.900% due 10/15/2000 3,947 3,954
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,300
Fred Meyer, Inc.
5.937% due 03/19/2003 (d) 111,918 110,938
General Motors Acceptance Corp.
6.500% due 04/15/2002 20,395 20,509
Green Tree Financial Corp.
7.150% due 07/15/2027 1,025 1,039
6.870% due 03/01/2028 1,105 1,113
6.660% due 05/01/2028 1,405 1,373
6.170% due 05/15/2029 450 451
IMC Home Equity Loan Trust
5.075% due 05/21/2012 (d) 7,107 7,110
7.352% due 07/25/2026 (d) 941 948
Indymac Home Equity Loan
5.207% due 10/25/2029 (d) 28,737 28,813
Integrated Health Services
6.750% due 12/31/2005 (d) 14,813 14,109
Ip Timberland Limited
5.229% due 11/13/1999 (d) 10,000 9,850
Korea National Housing
8.500% due 05/23/2001 65,000 64,513
Lyondell Petroleum
6.937% due 06/17/1999 20,000 19,750
6.937% due 06/17/2000 27,000 26,190
6.943% due 06/17/2003 (d) 4,005 3,985
See accompanying notes 75
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- ------------------------------------------------------------------
6.974% due 06/17/2003 $ 4,500 $ 4,478
7.219% due 06/17/2003 2,500 2,488
7.344% due 06/17/2003 7,500 7,463
MBNA Master Credit Card Trust
5.083% due 01/15/2002 73,635 73,725
6.050% due 11/15/2002 245 247
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 328
Money Store Home Equity Trust
6.520% due 08/15/2009 11,552 11,569
6.115% due 06/15/2010 3,000 3,005
7.550% due 02/15/2020 500 508
6.345% due 11/15/2021 (d) 3,625 3,648
5.069% due 05/15/2025 (d) 16,255 16,257
Morgan Stanley Capital
5.170% due 07/25/2027 (d) 2,573 2,564
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 10,000 9,712
Myra-United Mexican States
5.813% due 12/23/2006 22,388 19,502
National Medical Care
6.375% due 09/30/2003 (d) 58,333 57,487
NationsBank Auto Owner Trust
6.375% due 07/15/2000 167 167
NationsBank Corp.
5.850% due 06/15/2002 1,199 1,203
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 14 14
Norwest Asset Securities Corp.
6.500% due 04/25/2013 21,627 21,600
6.500% due 06/25/2013 11,204 11,187
7.500% due 03/25/2027 28,487 29,262
6.750% due 05/25/2028 27,707 27,577
6.750% due 07/25/2028 12,657 12,181
6.200% due 09/25/2028 19,077 19,145
Premiere Auto Trust
6.575% due 10/06/2000 1,662 1,672
Republic of Korea
8.063% due 04/08/2001 (d) 10,000 10,003
Residential Asset Securities Corp.
6.450% due 10/25/2012 3,341 3,333
8.000% due 10/25/2024 (d) 9,440 9,880
5.240% due 10/25/2027 (d) 5,816 5,774
6.750% due 03/25/2028 40,000 39,607
Saxon Asset Securities Trust
6.475% due 11/25/2020 144 145
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 507
7.000% due 07/15/2008 500 524
Stone Container Corp.
8.520% due 10/01/2003 (d) 5,749 5,763
Total Renal Care Holdings
6.813% due 03/31/2008 (d) 47,520 47,461
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,538
10.360% due 11/13/2012 7,000 8,666
10.020% due 03/22/2014 5,825 6,978
10.850% due 07/05/2014 34,111 44,124
10.125% due 03/22/2015 14,300 17,642
9.060% due 06/17/2015 5,000 5,483
9.210% due 01/21/2017 2,000 2,213
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 7,241 7,289
WFS Financial Owner Trust
6.050% due 07/20/2001 1,013 1,014
6.500% due 09/20/2001 4,468 4,501
Ziff-Davis, Inc.
7.437% due 03/31/2006 15,000 15,009
-----------
Total Asset-Backed Securities 1,486,286
(Cost $1,471,064) ===========
SOVEREIGN ISSUES 3.6%
Alcan Aluminum
5.875% due 04/01/2000 250 252
Cemex SA
10.750% due 07/15/2000 5,000 5,178
Central Bank Philippines
6.000% due 06/01/2008 (d) 12,240 10,526
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,638
Embotelladora Arica SA
9.875% due 03/15/2006 8,500 8,607
Hydro Quebec
5.030% due 04/15/1999 (d) 10,000 9,997
7.375% due 02/01/2003 150 158
9.400% due 02/01/2021 500 654
8.500% due 12/01/2029 5,085 6,154
9.375% due 04/15/2030 600 793
9.500% due 11/15/2030 2,370 3,205
Kingdom of Sweden
10.250% due 11/01/2015 500 678
Korea Development Bank
6.172% due 10/20/2000 11,000 10,892
6.500% due 11/15/2002 2,000 1,907
Korean Export-Import Bank
7.125% due 03/15/2007 10,000 9,815
Nacional Financiera
8.649% due 12/01/2000 (d) 510 514
9.750% due 03/12/2002 10,000 10,188
6.875% due 05/08/2003 (d) 4,750 4,168
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,005
9.375% due 12/02/2008 28,500 29,203
Providence of Newfoundland
9.000% due 06/01/2019 500 627
Province of Buenos Aires
12.500% due 03/15/2002 10,400 10,556
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,106
Province of Ontario
6.125% due 06/28/2000 50 51
7.750% due 06/04/2002 200 213
7.625% due 06/22/2004 1,000 1,085
7.000% due 08/04/2005 1,000 1,064
5.500% due 10/01/2008 10,000 9,685
Province of Quebec
5.340% due 06/21/1999 (d) 50,000 50,041
7.500% due 07/15/2002 6,000 6,285
8.800% due 04/15/2003 100 110
5.391% due 06/11/2004 (d) 15,500 15,426
7.125% due 02/09/2024 710 742
Republic of Argentina
8.099% due 08/15/1999 (d) 17,500 17,483
10.950% due 11/01/1999 4,075 4,162
5.288% due 04/01/2000 (d) 12,321 9,724
4.940% due 04/01/2001 (d) 57,501 53,160
14.250% due 11/30/2002 (d) 56,511 54,699
5.937% due 03/31/2005 (d) 209,204 179,142
12.110% due 04/10/2005 (d) 68,650 63,501
Republic of Columbia
8.750% due 10/06/1999 500 506
Republic of Korea
8.281% due 04/08/2000 (d) 31,044 31,160
7.813% due 04/08/2000 (d) 91,000 90,889
Republic of Philippines
5.885% due 01/05/2005 (d) 18,166 16,256
6.000% due 12/01/2007 3,438 2,890
6.500% due 12/01/2017 4,216 3,757
Republic of Poland
5.000% due 10/27/2014 25,000 23,063
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 14,916
State of Israel
6.200% due 06/14/2003 25 25
United Mexican States
5.560% due 04/07/2000 (m) 52,855 52,855
76 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
5.750% due 04/07/2000 (d) $ 26,945 $ 26,473
6.250% due 06/27/2002 (d) 84,250 80,243
------------
Total Sovereign Issues 940,427
(Cost $946,410) ============
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.2%
AXA
2.500% due 01/01/2014 EC 2,475 2,765
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,046
Commonwealth of Canada
6.500% due 06/01/2004 1,000 707
4.250% due 12/01/2026 (h) 95,856 64,584
Commonwealth of New Zealand
10.000% due 03/15/2002 (l) N$ 23,100 14,011
4.500% due 02/15/2016 23,000 12,462
France Telecom
2.000% due 01/01/2004 FF 9,761 1,820
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 18,635
Korea Development Bank
3.258% due 05/14/2001 (d) DM 50,000 26,280
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,875
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 36,149
3.011% due 04/01/2001 (d) AP 5,779 5,109
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 5,465
United Mexican States
3.100% due 04/24/2002 1,500,000 11,896
8.750% due 05/30/2002 BP 14,000 21,976
7.000% due 06/02/2003 C$ 30,000 18,310
3.850% due 12/31/2019 JY 9,145,000 64,323
------------
Total Foreign Currency-Denominated Issues 313,413
(Cost $320,042) ============
PURCHASED CALL OPTIONS 0.3%
U.S. Treasury Bond (OTC)
7.250% due 05/15/2016
Strike @ 121.641 Exp. 05/21/1999 $ 50,000 65
U.S. Treasury Note (OTC)
5.375% due 07/31/2000
Strike @ 98.453 Exp. 06/12/1999 100,000 1,924
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 140,000 7,221
6.625% due 06/30/2001
Strike @ 95.453 Exp. 04/19/1999 174,000 6,603
6.625% due 03/31/2002
Strike @ 98.500 Exp. 05/03/1999 242,000 13,308
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 48,800 2,672
5.750% due 11/30/2002
Strike @ 96.187 Exp. 05/24/1999 336,400 18,539
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 62,400 3,471
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 82,300 4,409
5.250% due 08/15/2003
Strike @ 99.469 Exp. 08/27/1999 380,000 5,681
5.250% due 08/15/2003
Strike @ 100.000 Exp. 08/20/1999 250,000 2,955
5.250% due 08/15/2003
Strike @ 99.289 Exp. 08/20/1999 127,000 2,007
4.750% due 02/15/2004
Strike @ 99.007 Exp. 08/20/1999 79,000 748
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 121,000 1,359
------------
Total Purchased Call Options 70,962
(Cost $76,655) ============
PURCHASED PUT OPTIONS 0.0%
U.S. Treasury Note (OTC)
5.250% due 08/15/2003
Strike @ 92.164 Exp. 08/20/1999 1,500,000 15
------------
Total Purchased Put Options 15
(Cost $469) ============
PREFERRED STOCK 0.1%
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266 7,171
Barclays Bank
2.875% due 01/01/2000 216 5,926
CSC Holdings, Inc.
11.125% due 01/02/2000 22 2,555
Fresenius Medical Care
7.875% due 01/02/2000 4 3,910
Home Ownership Funding
13.310% due 01/02/2000 1 1,029
TCI Communications, Inc.
2.500% due 01/02/2000 49 1,326
9.720% due 01/02/2000 623 17,042
Unocal Capital Trust
3.125% due 01/01/2000 0 22
------------
Total Preferred Stock 38,981
(Cost $39,214) ============
SHORT-TERM INSTRUMENTS 7.7%
Principal
Amount
(000s)
Commercial Paper 5.1%
American Express
4.840% due 04/06/1999 $ 300 300
BellSouth Telecommunications, Inc.
4.810% due 05/07/1999 25,000 24,880
4.810% due 05/10/1999 1,200 1,194
Caisse d'Amortissement
4.780% due 10/08/1999 10,000 9,710
Canadian Wheat Board
4.790% due 06/21/1999 12,000 11,868
Coca-Cola Co.
4.810% due 04/22/1999 2,300 2,294
4.750% due 04/28/1999 1,400 1,395
4.810% due 05/27/1999 11,700 11,612
4.790% due 05/28/1999 500 496
4.790% due 06/11/1999 800 792
4.780% due 06/21/1999 14,200 14,044
Commonwealth Bank of Australia
4.830% due 08/10/1999 6,000 5,894
E.I. Du Pont de Nemours
4.840% due 04/05/1999 1,500 1,499
4.860% due 04/05/1999 16,300 16,291
4.830% due 04/21/1999 100 100
4.820% due 04/23/1999 500 499
4.800% due 06/04/1999 1,000 991
4.810% due 06/07/1999 500 495
4.800% due 06/07/1999 18,600 18,431
Federal Home Loan Bank
4.760% due 04/21/1999 21,900 21,842
4.750% due 04/21/1999 3,100 3,092
Federal Home Loan Mortgage Corp.
4.780% due 04/09/1999 1,300 1,299
4.740% due 04/14/1999 36,000 35,938
4.760% due 04/14/1999 2,000 1,997
Federal National Mortgage Assn
4.750% due 04/08/1999 900 899
Florida Power Corp.
4.840% due 04/21/1999 16,000 15,957
Ford Motor Credit Corp.
4.850% due 04/08/1999 5,000 4,995
4.840% due 04/20/1999 146,100 145,727
4.840% due 04/23/1999 59,200 59,025
</TABLE>
See accompanying notes 77
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
4.840% due 04/26/1999 $ 123,600 $ 123,185
4.830% due 04/28/1999 7,000 6,975
General Electric Capital Corp.
4.850% due 04/26/1999 39,800 39,666
4.840% due 04/28/1999 9,100 9,067
4.840% due 04/30/1999 19,700 19,623
4.840% due 05/18/1999 285,000 283,199
General Motors Acceptance Corp.
4.810% due 04/06/1999 4,000 3,997
4.860% due 04/07/1999 400 400
4.840% due 04/08/1999 8,700 8,692
IBM Corp.
4.880% due 04/07/1999 13,800 13,789
4.830% due 04/09/1999 25,000 24,973
4.820% due 06/28/1999 14,000 13,833
Imperial Tobacco Financial
5.170% due 07/29/1999 105,000 103,313
KFW International Finance, Inc.
4.790% due 06/21/1999 6,100 6,033
4.790% due 06/23/1999 41,300 40,835
4.790% due 06/24/1999 15,900 15,719
Minnesota Mining & Manufacturing Co.
4.800% due 06/21/1999 41,200 40,748
National Rural Utilities Cooperative
4.810% due 05/25/1999 15,500 15,388
4.820% due 06/10/1999 6,000 5,943
4.820% due 06/11/1999 2,300 2,278
4.820% due 06/17/1999 300 297
Oesterreich Kontrollbank
4.870% due 04/06/1999 1,000 999
Pfizer, Inc.
4.820% due 05/17/1999 400 398
Proctor & Gamble Co.
4.810% due 05/10/1999 71,500 71,127
4.840% due 05/26/1999 800 794
Province of British Colombia
4.800% due 06/11/1999 8,097 8,019
4.820% due 08/18/1999 2,500 2,453
Shell Oil Co.
4.790% due 06/04/1999 1,900 1,883
4.780% due 06/22/1999 50,000 49,445
USAA Capital Corp.
4.810% due 05/17/1999 1,500 1,491
Wisconsin Electric Power & Light
4.850% due 05/07/1999 2,000 1,990
----------
1,330,108
==========
Repurchase Agreements 1.5%
State Street Bank
4.000% due 04/01/1999 120,000 120,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bond 8.500% 02/15/2020 valued at $20,401,063 and
U.S Treasury Note 5.500% 03/31/2000 valued at
$51,001,057 and U.S Treasury Note 6.000%
08/15/2000 valued at $51,000,774. Repurchase
proceeds are $120,013,334.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 68,200 68,200
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.875% 05/15/2006 valued at $70,296,192.
Repurchase proceeds are $68,209,283.)
Daiwa Securities
4.920% due 04/01/1999 195,700 195,700
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $200,343,986.
Repurchase proceeds are $195,726,746.)
----------
383,900
==========
U.S. Treasury Bills (b) 1.1%
4.438% due 04/29/1999-03/30/2000 (g) 310,710 300,693
----------
Total Short-Term Instruments 2,014,701
(Cost $2,014,599) ==========
Total Investments (a) 123.8% $32,325,240
(Cost $32,423,650)
Written Options (c) (0.1%) (25,999)
(Premiums $35,106)
Other Assets and Liabilities (Net) (23.7%) (6,174,737)
----------
Net Assets 100.0% $26,124,504
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $32,428,668 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 186,591
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (290,019)
-----------
Unrealized depreciation-net $ (103,428)
===========
(b) Securities with an aggregate market value of $287,131
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
</TABLE>
Unrealized
# of Appreciation/
Type Contracts Depreciation
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 2,804 $ (3,618)
Eurodollar March Futures (03/2001) 58 0
Eurodollar June Futures (06/2000) 2,804 (3,725)
Eurodollar June Futures (06/2001) 58 (2)
Eurodollar September Futures (09/2000) 3,854 (3,273)
Eurodollar September Futures (09/2001) 1,715 285
Eurodollar December Futures (12/1999) 2,804 (2,742)
Eurodollar December Futures (12/2000) 1,058 270
U.S. Treasury 10 Year Note (06/1999) 32,633 (2,046)
U.S. Treasury 30 Year Bond (06/1999) 23 29
Municipal Bond Index (06/1999) 1,250 (855)
Government of Japan 10 Year Note (06/1999) 100 (2,221)
United Kingdom 90 Day LIBOR (03/2000) 1,016 (26)
United Kingdom 90 Day LIBOR (06/2000) 1,099 (300)
United Kingdom 90 Day LIBOR (09/1999) 291 183
United Kingdom 90 Day LIBOR (12/1999) 877 2,707
----------
$(15,334)
==========
78 See accompanying notes
<PAGE>
================================================================================
(c) Premiums received on written options:
<TABLE>
<CAPTION>
Type Par Premium Value
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $1,192,900 $ 4,037 $ 932
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 632,800 3,994 3,955
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 632,800 1,836 198
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 1,923,600 9,787 5,110
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 939,500 2,870 1,615
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 130.00 Exp. 08/21/1999 149,200 552 420
Put - CBOT U.S. Treasury Bond September Futures
Strike @ 112.00 Exp. 08/21/1999 10,000 40 38
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 132.00 Exp. 08/21/1999 10,000 39 17
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.25 Exp. 08/20/1999 127,000 466 828
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.97 Exp. 08/20/1999 254,000 1,012 815
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 250,000 859 1,405
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.94 Exp. 08/27/1999 760,000 2,850 2,538
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 130,000 447 731
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 98.59 Exp. 08/20/1999 500,000 1,719 2,370
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.79 Exp. 08/20/1999 250,000 1,172 1,215
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 100.34 Exp. 08/20/1999 79,000 395 393
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.54 Exp. 08/20/1999 79,000 401 616
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 121,000 700 788
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 121,000 520 740
Put - CME Eurodollar September Futures
Strike @ 95.00 Exp. 09/13/1999 1,000,000 495 488
Put - CME Eurodollar September Futures
Strike @ 94.75 Exp. 09/13/1999 1,000,000 320 225
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 1,000,000 595 562
-------------------------
$ 35,106 $ 25,999
=========================
</TABLE>
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BP 26,299 04/1999 $ 251
Sell 26,299 04/1999 (334)
Sell 26,300 08/1999 (251)
Sell C$ 161,572 04/1999 670
Sell EC 24,267 04/1999 591
Buy JY 229,202 04/1999 (5)
Sell 2,607,903 04/1999 (101)
Buy 413,100 05/1999 (5)
Buy 1,331,429 02/2000 4
Sell 7,118,555 02/2000 2,388
Sell 229,202 04/2000 (16)
Sell 4,519,202 04/2001 (256)
Sell N$ 54,210 04/1999 713
Buy 7,970 05/1999 (3)
------------
$ 3,646
============
</TABLE>
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Swap agreements outstanding at March 31, 1999:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.340%
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 $ (9,299)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.295%
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 11,635,000 (3,640)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.305%
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 JY 7,563,000 (2,418)
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 1.495%
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 JY 7,000,000 2,204
Receive floating rate based on 6 month United
Mexican States and pay United Mexican States
fixed rate
Broker: Merrill Lynch
Exp. 04/07/2000 $ 52,855 (1,057)
------------
$ (14,210)
============
</TABLE>
(l) Subject to a financing transaction.
(m) Subject to an asset swap.
(n) Security is in default.
See accompanying notes 79
<PAGE>
Financial Highlights - A,B, and C Classes
<TABLE>
<CAPTION>
Net Realized / Dividends in
Net Asset Value Unrealized Gain Total Income Dividends from Excess of Net
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income Income
- ------------------------------ --------------- -------------- --------------- --------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Class A
03/31/1999 $ 9.67 $ 0.83 (a) $ (2.11) (a) $ (1.28) $ (0.83) $ 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
07/31/1997 - 03/31/1998 10.00 0.44 (a) (0.18) (a) 0.26 (0.44) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class B
03/31/1999 9.67 0.77 (a) (2.11) (a) (1.34) (0.77) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
07/31/1997 - 03/31/1998 10.00 0.40 (a) (0.20) (a) 0.20 (0.38) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class C
03/31/1999 9.67 0.77 (a) (2.11) (a) (1.34) (0.77) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
07/31/1997 - 03/31/1998 10.00 0.38 (a) (0.18) (a) 0.20 (0.38) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Foreign Bond Fund
Class A
03/31/1999 $ 10.74 $ 0.53 (a) $ 0.24 (a) $ 0.77 $ (0.53) $ 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.41 0.61 (a) 0.62 (a) 1.23 (0.59) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/20/1997 - 03/31/1997 10.59 0.59 (0.72) (0.13) (0.05) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class B
03/31/1999 10.74 0.46 (a) 0.24 (a) 0.70 (0.46) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.41 0.53 (a) 0.61 (a) 1.14 (0.50) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class C
03/31/1999 10.74 0.45 (a) 0.24 (a) 0.69 (0.45) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.41 0.52 (a) 0.62 (a) 1.14 (0.50) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/20/1997 - 03/31/1997 10.59 0.58 (0.72) (0.14) (0.04) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Global Bond Fund II
Class A
03/31/1999 $ 9.92 $ 0.48 (a) $ 0.06 (a) $ 0.54 $ (0.48) $ 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.84 0.64 (a) 0.51 (a) 1.15 0.00 (0.54)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
10/01/1996 - 03/31/1997 10.96 0.66 (0.16) 0.50 (0.22) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
09/30/1996 10.00 0.32 (b) 0.95 1.27 (0.31) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class B
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.84 0.66 (a) 0.41 (a) 1.07 0.00 (0.46)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
09/30/1996 10.00 0.30 (b) 0.92 1.22 (0.26) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class C
03/31/1999 9.92 0.41 (a) 0.06 (a) 0.47 (0.41) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 10.84 0.55 (a) 0.52 (a) 1.07 0.00 (0.46)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
10/01/1996 - 03/31/1997 10.96 0.62 (0.16) 0.46 (0.18) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
09/30/1996 10.00 0.30 (b) 0.92 1.22 (0.26) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
High Yield Fund
Class A
03/31/1999 $ 11.66 $ 0.91 (a) $ (0.43) (a) $ 0.48 $ (0.90) $ (0.01)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 11.10 0.93 (a) 0.66 (a) 1.59 (0.94) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/13/1997 - 03/31/1997 11.18 0.17 (0.05) 0.12 (0.20) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class B
03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81) (0.01)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 11.10 0.84 (a) 0.66 (a) 1.50 (0.85) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
Class C
03/31/1999 11.66 0.82 (a) (0.43) (a) 0.39 (0.81) (0.01)
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
03/31/1998 11.10 0.85 (a) 0.65 (a) 1.50 (0.85) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
01/13/1997 - 03/31/1997 11.18 0.15 (0.05) 0.10 (0.18) 0.00
- ------------------------------ ----------- ------------- --------------- ------------- ------------ ------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Reflects voluntary waiver of investment advisory fee of $12,041 (.01) per
share) by the Advisor.
(c) The Ratio of Expenses to Average Net Assets without the waiver would have
been 1.57%.
(d) The Ratio of Net Investment Income to Average Net Assets without the waiver
would have been 4.58%.
80 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions in
from Net Excess of Net
Selected Per Share Data for Realized Capital Realized Capital Tax Basis Return Total Net Asset Value
the Year or Period Ended: Gains Gains of Capital Distributions End of Period
- --------------------------- ---------------- ---------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Class A
03/31/1999 $ 0.00 $ (0.05) $ 0.00 $ (0.88) $ 7.51
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 (0.15) 0.00 0.00 (0.59) 9.67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 0.00 (0.05) 0.00 (0.82) 7.51
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 (0.15) 0.00 0.00 (0.53) 9.67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 0.00 (0.05) 0.00 (0.82) 7.51
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 (0.15) 0.00 0.00 (0.53) 9.67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Foreign Bond Fund
Class A
03/31/1999 $ (0.10) $ (0.25) $ 0.00 $ (0.88) $ 10.63
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (0.31) 0.00 0.00 (0.90) 10.74
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.05) 10.41
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 (0.10) (0.025) 0.00 (0.81) 10.63
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (0.31) 0.00 0.00 (0.81) 10.74
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.04) 10.41
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 (0.10) (0.25) 0.00 (0.80) 10.63
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (0.31) 0.00 0.00 (0.81) 10.74
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.04) 10.41
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Global Bond Fund II
Class A
03/31/1999 $ (0.01) $ (0.08) $ 0.00 $ (0.57) $ 9.89
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (1.53) 0.00 0.00 (2.07) 9.92
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 (0.40) 0.00 0.00 (0.62) 10.84
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 0.00 0.00 0.00 (0.31) 10.96
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 (0.01) (0.08) 0.00 (0.50) 9.89
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (1.53) 0.00 0.00 (1.99) 9.92
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 (0.40) 0.00 0.00 (0.58) 10.84
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 0.00 0.00 0.00 (0.26) 10.96
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 (0.01) (0.08) 0.00 (0.50) 9.89
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 (1.53) 0.00 0.00 (1.99) 9.92
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 (0.40) 0.00 0.00 (0.58) 10.84
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 0.00 0.00 0.00 (0.26) 10.96
- --------------------------------- ------------- ------------- ------------- ------------- -------------
High Yield Fund
Class A
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.91) $ 11.23
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 0.00 (0.09) 0.00 (1.03) 11.66
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.20) 11.10
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 0.00 0.00 0.00 (0.82) 11.23
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 0.00 (0.09) 0.00 (0.94) 11.66
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.18) 11.10
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 0.00 0.00 0.00 (0.82) 11.23
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 0.00 (0.09) 0.00 (0.94) 11.66
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.18) 11.10
- --------------------------------- ------------- ------------- ------------- ------------- -------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Selected Per Share Data for Net Assets End Average Net to Average Portfolio
the Year or Period Ended: Total Return of Period (000s) Assets Net Assets Turnover Rate
- --------------------------------- ------------- ---------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Emerging Markets Bond Fund
Class A
03/31/1999 (12.90)% $ 172 1.25% 10.26% 315%
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 2.84% 317 1.26+ 6.93+ 695
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 (13.58) 398 2.00 9.68 315
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 2.29 304 2.01+ 6.33+ 695
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 (13.57) 229 2.00 9.79 315
- --------------------------------- ------------- ------------- ------------- ------------- -------------
07/31/1997 - 03/31/1998 2.29 136 2.01+ 6.11+ 695
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Foreign Bond Fund
Class A
03/31/1999 7.43% $ 29,009 0.95% 4.87% 376%
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 12.14 9,582 0.95 5.88 280
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 (1.21) 704 0.97+ 4.95+ 984
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 6.69 21,256 1.70 4.14 376
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.29 10,631 1.70 5.13 280
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 (1.34) 1,221 1.75+ 3.73+ 984
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 6.63 29,584 1.70 4.16 376
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.29 17,080 1.70 5.13 280
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 (1.32) 1,788 1.76+ 4.09+ 984
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Global Bond Fund II
Class A
03/31/1999 5.65% $ 2,728 0.95% 5.07% 236%
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.21% 6,816 0.95 5.88 369
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 4.55 7,652 2.05+ 5.60+ 307
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 15.01 7,360 1.27 (c) 4.88 (d) 1,246
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 4.85 4,909 1.70 4.16 236
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.39 4,473 1.70 5.12 369
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 4.17 3,925 2.57+ 4.22+ 307
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 14.54 3,240 2.49 (c) 4.09 (d) 1,246
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 4.82 5,863 1.70 4.16 236
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.39 6,096 1.70 5.12 369
- --------------------------------- ------------- ------------- ------------- ------------- -------------
10/01/1996 - 03/31/1997 4.17 5,323 2.43+ 4.14+ 307
- --------------------------------- ------------- ------------- ------------- ------------- -------------
09/30/1996 14.54 3,459 2.49 (c) 4.09 (d) 1,246
- --------------------------------- ------------- ------------- ------------- ------------- -------------
High Yield Fund
Class A
03/31/1999 4.32% $ 155,466 0.90% 7.94% 39%
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 14.80 70,858 0.90 8.02 37
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 1.06 28,873 0.92+ 8.28+ 67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 3.54 286,198 1.65 7.21 39
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 13.94 156,099 1.65 7.27 37
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 0.86 60,269 1.67+ 7.52+ 67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 3.55 370,861 1.65 7.24 39
- --------------------------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 13.95 284,836 1.65 7.36 37
- --------------------------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 0.88 205,297 1.68+ 7.56+ 67
- --------------------------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
See accompanying notes 81
<PAGE>
Financial Highlights - A, B, and C Classes
<TABLE>
<CAPTION>
Net Realized /
Net Asset Unrealized Dividends in
Value Gain Total Income Dividends from Excess of Net
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income Income
------------ -------------- -------------- --------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/1999 $ 10.57 $ 0.59 (a) $ 0.20 (a) $ 0.79 $ (0.60) $ 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.39 0.48 (a) 1.34 (a) 1.82 (0.58) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/20/1997 - 03/31/1997 9.67 0.32 (0.47) (0.15) (0.13) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class B
03/31/1999 10.57 0.51 (a) 0.20 (a) 0.71 (0.52) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class C
03/31/1999 10.57 0.50 (a) 0.21 (a) 0.71 (0.52) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.39 0.39 (a) 1.35 (a) 1.74 (0.50) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/20/1997 - 03/31/1997 9.67 0.29 (0.47) (0.18) (0.10) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Low Duration Fund
Class A
03/31/1999 $ 10.18 $ 0.60 (a) $ (0.02) (a) $ 0.58 $ (0.60) $ 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.98 0.60 (a) 0.23 (a) 0.83 (0.58) (0.02)
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 10.02 0.12 (0.03) 0.09 (0.12) (0.01)
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class B
03/31/1999 10.18 0.52 (a) (0.02) (a) 0.50 (0.52) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.98 0.53 (a) 0.22 (a) 0.75 (0.50) (0.02)
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 10.02 0.10 (0.03) 0.07 (0.11) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class C
03/31/1999 10.18 0.55 (a) (0.02) (a) 0.53 (0.55) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 9.98 0.55 (a) 0.23 (a) 0.78 (0.53) (0.02)
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 10.02 0.11 (0.03) 0.08 (0.11) (0.01)
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Money Market Fund
Class A
03/31/1999 $ 1.00 $ 0.05 (a) $ (0.00) (a) $ 0.05 $ (0.05) $ 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class B
03/31/1999 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 1.00 0.04 (a) 0.00 (a) 0.04 (0.04) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class C
03/31/1999 1.00 0.05 (a) (0.00) (a) 0.05 (0.05) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
03/31/1998 1.00 0.05 (a) 0.00 (a) 0.05 (0.05) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
01/13/1997 - 03/31/1997 1.00 0.01 0.00 0.01 (0.01) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Municipal Bond Fund
Class A
03/31/1999 $ 9.97 $ 0.41 (a) $ 0.15 (a) $ 0.56 $ (0.41) $ 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class B
03/31/1999 9.97 0.34 (a) 0.14 (a) 0.48 (0.33) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
Class C
03/31/1999 9.97 0.36 (a) 0.15 (a) 0.51 (0.36) 0.00
- -------------------------------- ------------ -------------- -------------- ------------ ----------- ------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 0.90%.
(c) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 1.65%.
(d) Ratio of expenses to average net assets excluding interest expense on
reverse repurchase agreement is 1.65%.
82 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions Distributions in
from Net Excess of Net Tax Basis Net Asset
Selected Per Share Data for Realized Realized Return Total Value End Total
the Year or Period Ended: Capital Gains Capital Gains of Capital Distributions of Period Return
------------- ---------------- ---------- ------------- ------------- ------
<S> <C> <C> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/1999 $ 0.00 $ (0.46) $ 0.00 $ (1.06) $ 10.30 7.34%
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.06) 0.00 0.00 (0.64) 10.57 19.78
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.13) 9.39 (1.72)
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class B
03/31/1999 0.00 (0.46) 0.00 (0.98) 10.30 6.51
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.06) 0.00 0.00 (0.56) 10.57 18.85
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.10) 9.39 (1.92)
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class C
03/31/1999 0.00 (0.46) 0.00 (0.98) 10.30 6.52
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.06) 0.00 0.00 (0.56) 10.57 18.86
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.10) 9.39 (1.83)
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Low Duration Fund
Class A
03/31/1999 $ (0.01) $ (0.05) $ 0.00 $ (0.66) $ 10.10 5.86%
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.03) 0.00 0.00 (0.63) 10.18 8.49
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.13) 9.98 0.85
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class B
03/31/1999 (0.01) (0.05) 0.00 (0.58) 10.10 5.07
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.03) 0.00 0.00 (0.55) 10.18 7.68
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.11) 9.98 0.68
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class C
03/31/1999 (0.01) (0.05) 0.00 (0.61) 10.10 5.33
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 (0.03) 0.00 0.00 (0.58) 10.18 8.01
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 ( 0.12) 9.98 0.75
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Money Market Fund
Class A
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.05) $ 1.00 4.76%
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 0.00 0.00 0.00 (0.05) 1.00 5.10
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.01) 1.00 1.01
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class B
03/31/1999 0.00 0.00 0.00 (0.04) 1.00 4.03
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 0.00 0.00 0.00 (0.04) 1.00 4.21
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.01) 1.00 0.83
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class C
03/31/1999 0.00 0.00 0.00 (0.05) 1.00 4.85
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
03/31/1998 0.00 0.00 0.00 (0.05) 1.00 5.14
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.01) 1.00 1.02
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Municipal Bond Fund
Class A
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.41) $ 10.12 5.67%
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class B
03/31/1999 0.00 0.00 0.00 (0.33) 10.12 4.88
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
Class C
03/31/1999 0.00 0.00 0.00 (0.36) 10.12 5.13
- -------------------------------- ----------- ----------- ---------- ----------- ---------- --------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Selected Per Share Data for Net Assets End Average Net to Average Portfolio
the Year or Period Ended: of Period (000s) Assets Net Assets Turnover Rate
--------------- ----------- ------------ -------------
<S> <C> <C> <C> <C>
Long-Term U.S. Government Fund
Class A
03/31/1999 $ 29,809 1.34% (b) 5.33% 364%
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 6,161 0.91 4.49 177
- ------------------------------ ------------ ---------- ------------ ----------
01/20/1997 - 03/31/1997 1,204 1.12+ 6.91+ 402
- ------------------------------ ------------ ---------- ------------ ----------
Class B
03/31/1999 37,946 2.13 (c) 4.53 364
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 7,516 1.66 4.64 177
- ------------------------------ ------------ ---------- ------------ ----------
01/20/1997 - 03/31/1997 454 1.87+ 4.95+ 402
- ------------------------------ ------------ ---------- ------------ ----------
Class C
03/31/1999 31,653 2.16 (d) 4.50 364
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 7,258 1.66 4.64 177
- ------------------------------ ------------ ---------- ------------ ----------
01/20/1997 - 03/31/1997 275 1.88+ 5.52+ 402
- ------------------------------ ------------ ---------- ------------ ----------
Low Duration Fund
Class A
03/31/1999 $ 191,727 0.90% 5.85% 245
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 109,531 0.90 5.93 309
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 59,348 0.91+ 5.84+ 240
- ------------------------------ ------------ ---------- ------------ ----------
Class B
03/31/1999 65,160 1.65 5.03 245
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 17,624 1.65 5.16 309
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 5,296 1.67+ 5.03+ 240
- ------------------------------ ------------ ---------- ------------ ----------
Class C
03/31/1999 112,229 1.40 5.35 245
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 68,766 1.40 5.46 309
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 63,606 1.42+ 5.36+ 240
- ------------------------------ ------------ ---------- ------------ ----------
Money Market Fund
Class A
03/31/1999 $ 105,200 0.60% 4.78% N/A
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 41,375 0.60 5.02 N/A
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 43,589 0.57+ 4.44+ N/A
- ------------------------------ ------------ ---------- ------------ ----------
Class B
03/31/1999 14,968 1.50 3.79 N/A
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 2,937 1.50 4.15 N/A
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 3,143 1.41+ 3.62+ N/A
- ------------------------------ ------------ ---------- ------------ ----------
Class C
03/31/1999 86,159 0.60 4.79 N/A
- ------------------------------ ------------ ---------- ------------ ----------
03/31/1998 55,696 0.60 5.05 N/A
- ------------------------------ ------------ ---------- ------------ ----------
01/13/1997 - 03/31/1997 85,398 0.58+ 4.47+ N/A
- ------------------------------ ------------ ---------- ------------ ----------
Municipal Bond Fund
Class A
03/31/1999 $ 7,020 0.86% 4.10% 70%
- ------------------------------ ------------ ---------- ------------ ----------
Class B
03/31/1999 6,070 1.61 3.33 70
- ------------------------------ ------------ ---------- ------------ ----------
Class C
03/31/1999 37,913 1.35 3.60 70
- ------------------------------ ------------ ---------- ------------ ----------
</TABLE>
See accompanying notes 83
<PAGE>
Financial Highlights - A, B, and C Classes
<TABLE>
<CAPTION>
Net Realized /
Net Asset Unrealized Total Dividends in
Value Gain Income Dividends from Excess of Net
Selected Per Share Data for Beginning of Net Investment (Loss) on from Investment Net Investment Investment
the Year or Period Ended: Period Income (Loss) Investments Operations Income Income
------------- -------------- -------------- --------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
03/31/1999 $ 9.77 $ 0.43 (a) $ 0.14 (a) $ 0.57 $ (0.45) $ (0.06)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 9.93 0.40 (a) 0.03 (a) 0.43 (0.42) (0.03)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/29/1997 - 03/31/1997 10.00 0.11 (a) (0.10) (a) 0.01 (0.08) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 9.77 0.37 (a) 0.12 (a) 0.49 (0.38) (0.05)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 9.93 0.33 (a) 0.03 (a) 0.36 (0.36) (0.02)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 9.77 0.44 (a) 0.08 (a) 0.52 (0.40) (0.06)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 9.93 0.35 (a) 0.04 (a) 0.39 (0.38) (0.03)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/29/1997 - 03/31/1997 10.00 0.09 (0.10) (0.01) (0.06) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Short-Term Fund
Class A
03/31/1999 $ 10.06 $ 0.53 (a) $ (0.02) (a) $ 0.51 $ (0.53) $ 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.00 0.55 (a) 0.09 (a) 0.64 (0.56) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 10.04 0.10 (0.03) 0.07 (0.10) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 10.06 0.45 (a) (0.02) (a) 0.43 (0.45) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.00 0.50 (a) 0.08 (a) 0.58 (0.50) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 10.06 0.50 (a) (0.02) (a) 0.48 (0.50) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.00 0.54 (a) 0.07 (a) 0.61 (0.53) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 10.04 0.09 (0.03) 0.06 (0.10) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
StocksPLUS Fund
Class A
03/31/1999 $ 14.06 $ 0.93 (a) $ 1.29 (a) $ 2.22 $ (0.78) $ 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.46 1.66 (a) 3.41 (a) 5.07 (1.38) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 11.91 (0.10) (0.20) (0.30) (0.15) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 14.01 0.84 (a) 1.26 (a) 2.10 (0.69) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.44 1.61 (a) 3.35 (a) 4.96 (1.30) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 11.91 (0.13) (0.20) (0.33) (0.14) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 14.03 0.86 (a) 1.28 (a) 2.14 (0.72) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 11.45 1.64 (a) 3.35 (a) 4.99 (1.32) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/20/1997 - 03/31/1997 11.91 (0.12) (a) (0.20) (a) (0.32) (0.14) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Total Return Fund
Class A
03/31/1999 $ 10.62 $ 0.58 (a) $ 0.16 (a) $ 0.74 $ (0.58) $ 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.27 0.58 (a) 0.63 (a) 1.21 (0.57) (0.02)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 10.40 0.12 (0.12) 0.00 (0.13) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class B
03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.27 0.50 (a) 0.63 (a) 1.13 (0.50) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
Class C
03/31/1999 10.62 0.50 (a) 0.16 (a) 0.66 (0.50) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
03/31/1998 10.27 0.51 (a) 0.63 (a) 1.14 (0.51) (0.01)
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
01/13/1997 - 03/31/1997 10.40 0.11 (0.12) (0.01) (0.12) 0.00
- ------------------------------ ------------- ------------- ------------- ------------- ------------- -------------
</TABLE>
+ Annualized
(a) Per share amounts based on average number of shares outstanding during the
period.
84 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Distributions
from Net Distributions in
Realized Excess of Net Tax Basis
Selected Per Share Data for Capital Realized Capital Return Total Net Asset Value
the Year or Period Ended: Gains Gains of Capital Distributions End of Period Total Return
------------- ---------------- ------------ ------------- --------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Real Return Bond Fund
Class A
03/31/1999 $ 0.00 $ 0.00 $ 0.00 $ (0.51) $ 9.83 5.99%
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.14) 0.00 0.00 (0.59) 9.77 4.12
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/29/1997 - 03/31/1997 0.00 0.00 0.00 (0.08) 9.93 0.15
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class B
03/31/1999 0.00 0.00 0.00 (0.43) 9.83 5.19
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.14) 0.00 0.00 (0.52) 9.77 3.50
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/29/1997 - 03/31/1997 0.00 0.00 0.00 (0.06) 9.93 (0.08)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class C
03/31/1999 0.00 0.00 0.00 (0.46) 9.83 5.46
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.14) 0.00 0.00 (0.55) 9.77 3.73
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/29/1997 - 03/31/1997 0.00 0.00 0.00 (0.06) 9.93 (0.07)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Short-Term Fund
Class A
03/31/1999 $ 0.00 $ (0.01) $ 0.00 $ (0.54) $ 10.03 5.21%
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.01) 0.00 0.00 (0.58) 10.06 6.64
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.11) 10.00 0.66
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class B
03/31/1999 0.00 (0.01) 0.00 (0.46) 10.03 4.43
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.01) 0.00 0.00 (0.52) 10.06 5.96
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.10) 10.00 0.58
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class C
03/31/1999 0.00 (0.01) 0.00 (0.51) 10.03 4.91
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.01) 0.00 0.00 (0.55) 10.06 6.33
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.10) 10.00 0.63
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
StocksPLUS Fund
Class A
03/31/1999 $ (1.24) $ 0.00 $ 0.00 $ (2.02) $ 14.26 17.07%
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (1.09) 0.00 0.00 (2.47) 14.06 47.07%
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.15) 11.46 (2.59)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class B
03/31/1999 (1.24) 0.00 0.00 (1.93) 14.18 16.21
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (1.09) 0.00 0.00 (2.39) 14.01 46.11
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.14) 11.44 (2.81)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class C
03/31/1999 (1.24) 0.00 0.00 (1.96) 14.21 16.48
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (1.09) 0.00 0.00 (2.41) 14.03 46.38
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/20/1997 - 03/31/1997 0.00 0.00 0.00 (0.14) 11.45 (2.71)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Total Return Fund
Class A
03/31/1999 $ (0.24) $ (0.18) $ 0.00 $ (1.00) $ 10.36 7.09%
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.27) 0.00 0.00 (0.86) 10.62 12.11
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.13) 10.27 0.02
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class B
03/31/1999 (0.24) (0.18) 0.00 (0.92) 10.36 6.28
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.27) 0.00 0.00 (0.78) 10.62 11.26
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.12) 10.27 (0.10)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
Class C
03/31/1999 (0.24) (0.18) 0.00 (0.92) 10.36 6.29
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
03/31/1998 (0.27) 0.00 0.00 (0.79) 10.62 11.28
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
01/13/1997 - 03/31/1997 0.00 0.00 0.00 (0.12) 10.27 (0.11)
- ------------------------------ ------------- --------------- ------------ ------------- --------------- ------------
<CAPTION>
Ratio of Net
Ratio of Investment
Expenses to Income (Loss)
Selected Per Share Data for Net Assets End Average Net to Average Portfolio
the Year or Period Ended: of Period (000s) Assets Net Assets Turnover Rate
---------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Real Return Bond Fund
Class A
03/31/1999 $ 6,250 0.92% 4.40% 438%
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 370 0.92 4.06 967
- -------------------------------------- ---------------- ------------- -------------- --------------
01/29/1997 - 03/31/1997 1 0.90+ 6.14+ 160
- -------------------------------------- ---------------- ------------- -------------- --------------
Class B
03/31/1999 3,646 1.68 3.72 438
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 1,496 1.67 3.32 967
- -------------------------------------- ---------------- ------------- -------------- --------------
01/29/1997 - 03/31/1997 509 1.59+ 3.43+ 160
- -------------------------------------- ---------------- ------------- -------------- --------------
Class C
03/31/1999 2,534 1.43 4.49 438
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 490 1.42 3.56 967
- -------------------------------------- ---------------- ------------- -------------- --------------
01/29/1997 - 03/31/1997 148 1.62+ 5.13+ 160
- -------------------------------------- ---------------- ------------- -------------- --------------
Short-Term Fund
Class A
03/31/1999 $ 80,787 0.85% 5.15% 47%
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 24,182 0.85 5.48 48
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 2,533 0.86+ 5.07+ 77
- -------------------------------------- ---------------- ------------- -------------- --------------
Class B
03/31/1999 3,813 1.60 4.45 47
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 1,258 1.60 4.97 48
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 114 1.62+ 4.83+ 77
- -------------------------------------- ---------------- ------------- -------------- --------------
Class C
03/31/1999 15,589 1.15 4.92 47
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 6,763 1.15 5.33 48
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 1,359 1.14+ 4.78+ 77
- -------------------------------------- ---------------- ------------- -------------- --------------
StocksPLUS Fund
Class A
03/31/1999 $ 148,748 1.05% 6.66% 81%
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 62,970 1.05 13.34 30
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 5,790 1.10+ (10.69)+ 47
- -------------------------------------- ---------------- ------------- -------------- --------------
Class B
03/31/1999 281,930 1.80 6.05 81
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 99,039 1.80 12.60 30
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 8,281 1.88+ (15.13)+ 47
- -------------------------------------- ---------------- ------------- -------------- --------------
Class C
03/31/1999 245,088 1.55 6.19 81
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 96,960 1.55 12.85 30
- -------------------------------------- ---------------- ------------- -------------- --------------
01/20/1997 - 03/31/1997 11,254 1.65+ (12.79)+ 47
- -------------------------------------- ---------------- ------------- -------------- --------------
Total Return Fund
Class A
03/31/1999 $1,140,606 0.90% 5.37% 154%
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 533,893 0.90 5.46 206
- -------------------------------------- ---------------- ------------- -------------- --------------
01/13/1997 - 03/31/1997 115,742 0.91+ 6.08+ 173
- -------------------------------------- ---------------- ------------- -------------- --------------
Class B
03/31/1999 549,478 1.65 4.55 154
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 186,932 1.65 4.74 206
- -------------------------------------- ---------------- ------------- -------------- --------------
01/13/1997 - 03/31/1997 74,130 1.67+ 5.28+ 173
- -------------------------------------- ---------------- ------------- -------------- --------------
Class C
03/31/1999 715,201 1.65 4.63 154
- -------------------------------------- ---------------- ------------- -------------- --------------
03/31/1998 405,037 1.65 4.83 206
- -------------------------------------- ---------------- ------------- -------------- --------------
01/13/1997 - 03/31/1997 329,104 1.67+ 5.32+ 173
- -------------------------------------- ---------------- ------------- -------------- --------------
</TABLE>
See accompanying notes 85
<PAGE>
Statements of Assets and Liabilities
March 31, 1999
<TABLE>
<CAPTION>
Emerging
Markets Foreign Global Bond High
Amounts in thousands, except per share amounts Bond Fund Bond Fund Fund II Yield Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 5,254 $ 1,096,045 $ 64,634 $ 3,230,719
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Cash and foreign currency 16 0 128 10,312
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Receivable for investments and foreign currency sold 0 94,762 6,630 14,094
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Receivable for Fund shares sold 0 2,341 94 56,198
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Interest and dividends receivable 162 16,064 835 59,871
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Variation margin receivable 0 37 1 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Other assets 1 667 72 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
5,433 1,209,916 72,394 3,371,194
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Liabilities:
Payable for investments and foreign currency purchased $ 0 $ 50,075 $ 7,942 $ 138,749
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Payable for financing transactions 866 506,073 21,795 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Written options outstanding 0 90 6 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Payable for Fund shares redeemed 0 2,489 9 2,854
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Dividends payable 3 609 20 4,169
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued investment advisory fee 2 134 9 654
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued administration fee 2 149 13 758
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued distribution fee 0 33 7 466
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued servicing fee 0 19 3 173
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Variation margin payable 0 0 10 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Other liabilities 2 29,462 36 121
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
875 589,133 29,850 147,944
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets $ 4,558 $ 620,783 $ 42,544 $ 3,223,250
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets Consist of:
Paid in capital $ 5,681 $ 609,991 $ 42,939 $ 3,300,975
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Undistributed (overdistributed) net investment income 0 8,423 (41) (2,284)
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Accumulated undistributed net realized gain (loss) (560) (167) (137) (62,117)
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Net unrealized appreciation (depreciation) (563) 2,536 (217) (13,324)
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
$ 4,558 $ 620,783 $ 42,544 $ 3,223,250
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets:
Class A $ 172 $ 29,009 $ 2,728 $ 155,466
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 398 21,256 4,909 286,198
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 229 29,584 5,863 370,861
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Other Classes 3,759 540,934 29,044 2,410,725
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Shares Issued and Outstanding:
Class A 23 2,729 276 13,837
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 53 2,000 496 25,474
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 30 2,784 593 33,010
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 7.51 $ 10.63 $ 9.89 $ 11.23
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 7.51 10.63 9.89 11.23
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 7.51 10.63 9.89 11.23
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Cost of Investments Owned $ 5,818 $ 1,103,861 $ 65,240 $ 3,244,167
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
Cost of Foreign Currency Held $ 0 $ 0 $ 114 $ 0
- --------------------------------------------------------------- ------------ ------------ ------------ ------------
</TABLE>
*With respect to the Retail Classes, the redemption price varies by the length
of time the shares are held.
86 See accompanying notes
<PAGE>
Statements of Assets and Liabilities
March 31, 1999
<TABLE>
<CAPTION>
Long-Term Low
U.S. Gov't Duration Money Municipal
Amounts in thousands, except per share amounts Fund Fund Market Fund Bond Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 436,107 $ 4,596,321 $ 487,065 $ 58,377
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Cash and foreign currency 0 5,791 0 1
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Receivable for investments and foreign currency sold 4,199 314,260 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Receivable for Fund shares sold 1,411 16,140 57,604 15
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Interest and dividends receivable 5,945 40,659 67 745
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Variation margin receivable 0 67 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Other assets 0 6 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
447,662 4,973,244 544,736 59,138
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Liabilities:
Payable for investments and foreign currency purchased $ 59,857 $ 1,001,719 $ 498 $ 350
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Payable for financing transactions 101,488 82,292 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Written options outstanding 110 1,862 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Payable for Fund shares redeemed 2,745 10,235 6,044 104
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Dividends payable 305 3,941 95 64
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued investment advisory fee 61 847 63 13
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued administration fee 74 679 108 17
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued distribution fee 47 110 12 21
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Accrued servicing fee 21 80 18 11
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Variation margin payable 96 141 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Other liabilities 1,220 91 8 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
166,024 1,101,997 6,846 580
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets $ 281,638 $ 3,871,247 $ 537,890 $ 58,558
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets Consist of:
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Paid in capital $ 293,226 $ 3,873,297 $ 537,876 $ 55,741
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Undistributed (overdistributed) net investment income 100 (4,007) 14 (2)
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Accumulated undistributed net realized gain (loss) (7,256) (12,565) 0 (6)
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Net unrealized appreciation (depreciation) (4,432) 14,522 0 2,825
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
$ 281,638 $ 3,871,247 $ 537,890 $ 58,558
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Assets:
Class A $ 29,809 $ 191,727 $ 105,200 $ 7,020
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 37,946 65,160 14,968 6,070
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 31,653 112,229 86,159 37,913
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Other Classes 182,230 3,502,131 331,563 7,555
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Shares Issued and Outstanding:
Class A 2,894 18,973 105,201 694
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 3,683 6,449 14,968 600
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 3,073 11,105 86,160 3,747
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 10.30 $ 10.10 $ 1.00 $ 10.12
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class B 10.30 10.10 1.00 10.12
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Class C 10.30 10.10 1.00 10.12
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Cost of Investments Owned $ 440,663 $ 4,581,453 $ 487,065 $ 55,551
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
Cost of Foreign Currency Held $ 0 $ 5,433 0 0
- ---------------------------------------------------------------- ------------ ------------ ------------ ------------
<CAPTION>
Real Return Short-Term StocksPLUS Total
Amounts in thousands, except per share amounts Bond Fund Fund Fund Return Fund
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 52,661 $ 598,486 $ 1,283,906 $ 32,325,240
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Cash and foreign currency 888 342 3,180 48,286
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for investments and foreign currency sold 2,199 15,874 47,468 2,629,053
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Receivable for Fund shares sold 204 3,001 6,716 127,001
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Interest and dividends receivable 555 4,559 13,648 256,572
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin receivable 0 0 6 0
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Other assets 25 0 109 0
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
56,532 622,262 1,355,033 35,386,152
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Liabilities:
Payable for investments and foreign currency purchased $ 3,993 $ 15,177 $ 132,139 $ 8,369,974
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for financing transactions 24,194 2,928 130 762,558
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Written options outstanding 0 0 54 25,999
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Payable for Fund shares redeemed 60 1,393 1,319 40,546
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Dividends payable 46 498 0 26,551
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued investment advisory fee 6 131 407 5,593
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued administration fee 7 117 340 4,479
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued distribution fee 3 8 282 1,190
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Accrued servicing fee 3 22 142 518
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Variation margin payable 2 0 18,477 10,570
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Other liabilities 7 0 1 13,670
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
28,321 20,274 153,291 9,261,648
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Net Assets $ 28,211 $ 601,988 $ 1,201,742 $ 26,124,504
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Net Assets Consist of:
Paid in capital $ 28,342 $ 601,821 $ 1,089,543 $ 26,512,047
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Undistributed (overdistributed) net investment income (13) 343 54,973 (77,068)
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Accumulated undistributed net realized gain (loss) (1) (125) 56,780 (196,279)
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Net unrealized appreciation (depreciation) (117) (51) 446 (114,196)
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
$ 28,211 $ 601,988 $ 1,201,742 $ 26,124,504
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Net Assets:
Class A $ 6,250 $ 80,787 $ 148,748 $ 1,140,606
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class B 3,646 3,813 281,930 549,478
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class C 2,534 15,589 245,088 715,201
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Other Classes 15,781 501,799 525,976 23,719,219
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Shares Issued and Outstanding:
Class A 636 8,055 10,417 110,094
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class B 371 380 19,856 53,038
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class C 258 1,555 17,218 69,034
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Net Asset Value and Redemption Price* Per Share
(Net Assets Per Share Outstanding)
Class A $ 9.83 $ 10.03 $ 14.26 $ 10.36
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class B 9.83 10.03 14.18 10.36
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Class C 9.83 10.03 14.21 10.36
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Cost of Investments Owned $ 52,837 $ 598,619 $ 1,285,297 $ 32,423,650
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
Cost of Foreign Currency Held $ 10 $ 32 $ 2,358 $ 26,491
- ---------------------------------------------------------------- ------------- ------------- ------------- -------------
</TABLE>
See accompanying notes 87
<PAGE>
Statements of Operations
For the year ended March 31, 1999
<TABLE>
<CAPTION>
Emerging
Markets Foreign Global Bond High
Amounts in thousands Bond Fund Bond Fund Fund II Yield Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 507 $ 31,159 $ 2,500 $ 219,482
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Dividends 0 0 0 5,854
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total Income 507 31,159 2,500 225,336
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Expenses:
Investment advisory fees 19 1,326 107 6,324
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Administration fees 18 1,455 151 7,243
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class B 2 123 0 1,549
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class C 1 178 34 2,324
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class A 1 52 12 235
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class B 1 41 11 516
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class C 1 59 15 775
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution and/or servicing fees - Other Classes 0 12 45 343
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Trustees' fees 0 3 0 14
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Interest Expense 0 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Miscellaneous 0 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total expenses 43 3,249 375 19,323
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Investment Income (loss) 464 27,910 2,125 206,013
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (379) 23,467 717 (5,689)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on futures contracts and written options 14 2,176 849 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on foreign currency transactions 1 (20,570) (1,491) 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on investments (650) 1,246 (18) (88,818)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on futures
contracts and written options (1) (360) (37) 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies (1) 4,618 255 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Gain (Loss) (1,016) 10,577 275 (94,507)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Increase (Decrease) in Assets Resulting from Operations $ (552) $ 38,487 $ 2,400 $ 111,506
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
</TABLE>
88 See accompanying notes
<PAGE>
Statements of Operations
For the year ended March 31, 1999
<TABLE>
<CAPTION>
Long-Term Low
U.S. Gov't Duration Money Municipal
Amounts in thousands Fund Fund Market Fund Bond Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 11,253 $ 229,692 $ 12,980 $ 2,121
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Dividends 0 4,845 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total Income 11,253 234,537 12,980 2,121
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Expenses:
Investment advisory fees 420 8,637 364 107
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Administration fees 508 6,841 731 145
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class B 172 325 65 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class C 150 430 0 30
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class A 39 383 79 14
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class B 57 108 22 10
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class C 50 215 76 71
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution and/or servicing fees - Other Classes 16 304 10 141
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Trustees' fees 1 18 1 1
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Interest Expense 705 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Miscellaneous 0 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total expenses 2,118 17,261 1,348 519
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Investment Income (loss) 9,135 217,276 11,632 1,602
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (988) (15,308) 0 (6)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on futures contracts and written options 483 17,103 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on foreign currency transactions 0 2,354 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on investments (5,908) (9,961) 0 2,835
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on futures
contracts and written options 24 (2) 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies 0 (455) 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Gain (Loss) (6,389) (6,269) 0 2,829
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Increase (Decrease) in Assets Resulting from Operations $ 2,746 $ 211,007 $ 11,632 $ 4,431
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
<CAPTION>
Real Return Short-Term StocksPLUS Total
Amounts in thousands Bond Fund Fund Fund Return Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 831 $ 28,386 $ 65,914 $ 1,393,913
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Dividends 1 0 0 3,698
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total Income 832 28,386 65,914 1,397,611
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Expenses:
Investment advisory fees 37 1,163 3,433 55,230
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Administration fees 48 1,025 2,758 43,425
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class B 21 16 1,260 2,529
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution fees - Class C 11 33 732 3,982
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class A 6 123 233 1,981
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class B 7 5 420 843
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Servicing fees - Class C 5 28 366 1,327
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Distribution and/or servicing fees - Other Classes 0 19 15 2,849
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Trustees' fees 0 2 4 115
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Interest Expense 0 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Miscellaneous 2 0 0 0
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Total expenses 137 2,414 9,221 112,281
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Investment Income (loss) 695 25,972 56,693 1,285,330
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 134 (51) 553 395
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on futures contracts and written options 33 25 106,445 489,366
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net realized gain (loss) on foreign currency transactions (36) 243 478 (17,345)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on investments (56) (530) (1,549) (229,686)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on futures
contracts and written options (31) 2 (8,651) (3,574)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on translation
of assets and liabilities denominated in foreign currencies 41 (85) (210) (6,180)
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Gain (Loss) 85 (396) 97,066 232,976
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
Net Increase (Decrease) in Assets Resulting from Operations $ 780 $ 25,576 $ 153,759 $ 1,518,306
- ------------------------------------------------------------------- ------------ ------------ ------------ ------------
</TABLE>
See accompanying notes 89
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Emerging Markets
Amounts in thousands Bond Fund Foreign Bond Fund
-------------------------- --------------------------
Period From
Year Ended July 31, 1997 to Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 464 $ 183 $ 27,910 $ 20,326
- -------------------------------------------------------------------- --------------------------- --------------------------
Net realized gain (loss) (364) (108) 5,073 20,051
- -------------------------------------------------------------------- --------------------------- --------------------------
Net change in unrealized appreciation (depreciation) (652) 89 5,504 (2,005)
- -------------------------------------------------------------------- --------------------------- --------------------------
Net increase (decrease) resulting from operations (552) 164 38,487 38,372
- -------------------------------------------------------------------- --------------------------- --------------------------
Distributions to Shareholders:
From net investment income
Class A (21) (9) (1,018) (249)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B (29) (6) (681) (311)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C (19) (4) (992) (485)
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes (395) (165) (25,369) (18,761)
- -------------------------------------------------------------------- --------------------------- --------------------------
In excess of net investment income
Class A 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
From net realized capital gains
Class A 0 0 (231) (161)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B 0 0 (171) (238)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C 0 0 (239) (362)
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes 0 0 (4,368) (9,712)
- -------------------------------------------------------------------- --------------------------- --------------------------
In excess of net realized capital gains
Class A (1) (3) (578) 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B (2) (4) (429) 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C (1) (2) (598) 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes (24) (51) (10,932) 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Total Distributions (492) (244) (45,606) (30,279)
- -------------------------------------------------------------------- --------------------------- --------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 184 353 27,767 9,138
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B 502 294 12,228 9,586
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C 273 132 18,663 15,595
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes 895 3,907 301,244 230,423
- -------------------------------------------------------------------- --------------------------- --------------------------
Issued in reorganization
Class A 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes 0 0 0 0
- -------------------------------------------------------------------- --------------------------- --------------------------
Issued as reinvestment of distributions
Class A 16 9 1,435 373
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B 18 7 1,052 455
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C 11 6 1,625 771
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes 405 212 29,769 21,446
- -------------------------------------------------------------------- --------------------------- --------------------------
Cost of shares redeemed
Class A (295) (54) (9,441) (703)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class B (372) 0 (2,428) (702)
- -------------------------------------------------------------------- --------------------------- --------------------------
Class C (122) (3) (7,487) (1,194)
- -------------------------------------------------------------------- --------------------------- --------------------------
Other Classes (346) (350) (176,331) (102,098)
- -------------------------------------------------------------------- --------------------------- --------------------------
Net increase (decrease) resulting from Fund share transactions 1,169 4,513 198,096 183,090
- -------------------------------------------------------------------- --------------------------- --------------------------
Total Increase (Decrease) in Net Assets 125 4,433 190,977 191,183
- -------------------------------------------------------------------- --------------------------- --------------------------
Net Assets:
Beginning of period 4,433 0 429,806 238,623
- -------------------------------------------------------------------- --------------------------- --------------------------
End of period * $ 4,558 $ 4,433 $ 620,783 $ 429,806
- -------------------------------------------------------------------- --------------------------- --------------------------
*Including net undistributed (overdistributed) investment income of: $ 0 $ 27 $ 8,423 $ 20,944
- -------------------------------------------------------------------- --------------------------- --------------------------
<CAPTION>
Global Bond Fund II
-------------------------------
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998
<S> <C> <C>
Operations:
Net investment income (loss) $ 2,125 $ 1,124
- --------------------------------------------------------------------- -------------------------------
Net realized gain (loss) 75 1,252
- --------------------------------------------------------------------- -------------------------------
Net change in unrealized appreciation (depreciation) 200 (178)
- --------------------------------------------------------------------- -------------------------------
Net increase (decrease) resulting from operations 2,400 2,198
- --------------------------------------------------------------------- -------------------------------
Distributions to Shareholders:
From net investment income
Class A (245) (411)
- --------------------------------------------------------------------- -------------------------------
Class B (188) (182)
- --------------------------------------------------------------------- -------------------------------
Class C (250) (240)
- --------------------------------------------------------------------- -------------------------------
Other Classes (1,435) (100)
- --------------------------------------------------------------------- -------------------------------
In excess of net investment income
Class A 0 0
- --------------------------------------------------------------------- -------------------------------
Class B 0 0
- --------------------------------------------------------------------- -------------------------------
Class C 0 0
- --------------------------------------------------------------------- -------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- -------------------------------
From net realized capital gains
Class A (5) (856)
- --------------------------------------------------------------------- -------------------------------
Class B (6) (598)
- --------------------------------------------------------------------- -------------------------------
Class C (9) (783)
- --------------------------------------------------------------------- -------------------------------
Other Classes (42) 0
- --------------------------------------------------------------------- -------------------------------
In excess of net realized capital gains
Class A (26) 0
- --------------------------------------------------------------------- -------------------------------
Class B (34) 0
- --------------------------------------------------------------------- -------------------------------
Class C (47) 0
- --------------------------------------------------------------------- -------------------------------
Other Classes (220) 0
- --------------------------------------------------------------------- -------------------------------
Total Distributions (2,507) (3,170)
- --------------------------------------------------------------------- -------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 1,024 5,409
- --------------------------------------------------------------------- -------------------------------
Class B 1,843 1,255
- --------------------------------------------------------------------- -------------------------------
Class C 1,091 1,717
- --------------------------------------------------------------------- -------------------------------
Other Classes 4,100 24,247
- --------------------------------------------------------------------- -------------------------------
Issued in reorganization
Class A 0 0
- --------------------------------------------------------------------- -------------------------------
Class B 0 0
- --------------------------------------------------------------------- -------------------------------
Class C 0 0
- --------------------------------------------------------------------- -------------------------------
Other Classes 0 0
- --------------------------------------------------------------------- -------------------------------
Issued as reinvestment of distributions
Class A 218 1,055
- --------------------------------------------------------------------- -------------------------------
Class B 157 578
- --------------------------------------------------------------------- -------------------------------
Class C 266 942
- --------------------------------------------------------------------- -------------------------------
Other Classes 1,643 100
- --------------------------------------------------------------------- -------------------------------
Cost of shares redeemed
Class A (5,295) (6,982)
- --------------------------------------------------------------------- -------------------------------
Class B (1,535) (940)
- --------------------------------------------------------------------- -------------------------------
Class C (1,588) (1,407)
- --------------------------------------------------------------------- -------------------------------
Other Classes (1,175) 0
- --------------------------------------------------------------------- -------------------------------
Net increase (decrease) resulting from Fund share transactions 749 25,974
- --------------------------------------------------------------------- -------------------------------
Total Increase (Decrease) in Net Assets 642 25,002
- --------------------------------------------------------------------- -------------------------------
Net Assets:
Beginning of period 41,902 16,900
- --------------------------------------------------------------------- -------------------------------
End of period * $ 42,544 $ 41,902
- --------------------------------------------------------------------- -------------------------------
*Including net undistributed (overdistributed) investment income of: $ (41) $ 141
- --------------------------------------------------------------------- -------------------------------
</TABLE>
90 See accompanying notes
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands High Yield Fund Long-Term U.S. Gov't Fund
------------------------------ ------------------------------
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 206,013 $ 120,838 $ 9,135 $ 2,312
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net realized gain (loss) (5,689) 17,622 (505) 3,273
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net change in unrealized appreciation (depreciation) (88,818) 53,329 (5,884) 1,860
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from operations 111,506 191,789 2,746 7,445
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Distributions to Shareholders:
From net investment income
Class A (7,385) (3,926) (843) (183)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (14,721) (7,402) (1,044) (133)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (22,155) (17,859) (902) (127)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (159,223) (92,108) (6,348) (2,308)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
In excess of net investment income
Class A (95) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (190) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (286) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (2,059) 0 0 (1)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
From net realized capital gains
Class A 0 0 0 (27)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 0 (25)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 0 (26)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 0 (239)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
In excess of net realized capital gains
Class A 0 (500) (843) 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 0 (944) (1,298) 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 0 (1,935) (1,162) 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 (8,860) (4,295) 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Total Distributions (206,114) (133,534) (16,735) (3,069)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 137,501 64,633 36,432 6,175
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 182,999 101,900 37,608 8,001
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 258,132 131,535 39,974 8,501
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 1,410,720 1,055,297 196,867 53,037
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Issued in reorganization
Class A 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Issued as reinvestment of distributions
Class A 4,421 2,723 1,202 116
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 7,543 4,397 1,826 121
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 13,989 12,300 1,559 116
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 146,326 92,015 9,031 2,095
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Cost of shares redeemed
Class A (54,108) (27,260) (12,413) (1,612)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (53,670) (14,335) (6,867) (1,248)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (175,112) (75,236) (15,054) (1,794)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (771,543) (244,929) (68,977) (25,373)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from Fund share transactions 1,107,198 1,103,040 221,188 48,135
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Total Increase (Decrease) in Net Assets 1,012,590 1,161,295 207,199 52,511
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net Assets:
Beginning of period 2,210,660 1,049,365 74,439 21,928
- -------------------------------------------------------------------- ------------------------------ ------------------------------
End of period * $ 3,223,250 $ 2,210,660 $ 281,638 $ 74,439
- -------------------------------------------------------------------- ------------------------------ ------------------------------
*Including net undistributed (overdistributed) investment income of: $ (2,284) $ (2,529) $ 100 $ 488
- -------------------------------------------------------------------- ------------------------------ ------------------------------
<CAPTION>
Amounts in thousands Low Duration Fund Money Market Fund
------------------------------ ------------------------------
Year Ended Year Ended Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 217,276 $ 188,536 $ 11,632 $ 7,052
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net realized gain (loss) 4,149 25,424 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net change in unrealized appreciation (depreciation) (10,418) 38,823 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from operations 211,007 252,783 11,632 7,052
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Distributions to Shareholders:
From net investment income
Class A (8,976) (4,396) (3,793) (1,970)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (2,185) (474) (330) (115)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (4,608) (3,236) (3,648) (3,020)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (201,521) (173,398) (3,864) (1,947)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
In excess of net investment income
Class A 0 (154) 0 (1)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 0 (16) 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 0 (113) 0 (1)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 (6,077) 0 (1)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
From net realized capital gains
Class A (200) (280) 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (73) (34) 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (112) (182) 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (3,748) (7,963) 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
In excess of net realized capital gains
Class A (837) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (305) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (469) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (15,684) 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Total Distributions (238,718) (196,323) (11,635) (7,055)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 508,627 351,735 3,795,864 1,983,452
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 77,162 17,368 43,230 14,945
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 74,325 58,311 1,514,481 1,189,852
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 2,411,822 1,500,985 848,391 128,183
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Issued in reorganization
Class A 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 0 0
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Issued as reinvestment of distributions
Class A 8,716 4,564 2,190 1,226
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B 1,938 384 274 94
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C 4,065 2,754 2,811 2,314
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes 186,268 156,993 3,024 1,423
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Cost of shares redeemed
Class A (433,778) (307,185) (3,734,230) (1,986,890)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class B (31,051) (5,522) (31,473) (15,245)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Class C (34,148) (57,029) (1,486,828) (1,221,867)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Other Classes (1,876,626) (1,726,995) (575,933) (97,031)
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from Fund share transactions 897,320 (3,637) 381,801 456
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Total Increase (Decrease) in Net Assets 869,609 52,823 381,798 453
- -------------------------------------------------------------------- ------------------------------ ------------------------------
Net Assets:
Beginning of period 3,001,638 2,948,815 156,092 155,639
- -------------------------------------------------------------------- ------------------------------ ------------------------------
End of period * $ 3,871,247 $ 3,001,638 $ 537,890 $ 156,092
- -------------------------------------------------------------------- ------------------------------ ------------------------------
*Including net undistributed (overdistributed) investment income of: $ (4,007) $ 736 $ 14 $ 20
- -------------------------------------------------------------------- ------------------------------ ------------------------------
<CAPTION>
Amounts in thousands Municipal Bond Fund
------------------------------
Year Ended Year Ended
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998
<S> <C> <C>
Operations:
Net investment income (loss) $ 1,602 $ 33
- -------------------------------------------------------------------- ------------------------------
Net realized gain (loss) (6) (1)
- -------------------------------------------------------------------- ------------------------------
Net change in unrealized appreciation (depreciation) 2,835 (9)
- -------------------------------------------------------------------- ------------------------------
Net increase (decrease) resulting from operations 4,431 23
- -------------------------------------------------------------------- ------------------------------
Distributions to Shareholders:
From net investment income
Class A (231) 0
- -------------------------------------------------------------------- ------------------------------
Class B (135) 0
- -------------------------------------------------------------------- ------------------------------
Class C (1,016) 0
- -------------------------------------------------------------------- ------------------------------
Other Classes (220) (33)
- -------------------------------------------------------------------- ------------------------------
In excess of net investment income
Class A 0 0
- -------------------------------------------------------------------- ------------------------------
Class B 0 0
- -------------------------------------------------------------------- ------------------------------
Class C (2) 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ------------------------------
From net realized capital gains
Class A 0 0
- -------------------------------------------------------------------- ------------------------------
Class B 0 0
- -------------------------------------------------------------------- ------------------------------
Class C 0 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ------------------------------
In excess of net realized capital gains
Class A 0 0
- -------------------------------------------------------------------- ------------------------------
Class B 0 0
- -------------------------------------------------------------------- ------------------------------
Class C 0 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ------------------------------
Total Distributions (1,604) (33)
- -------------------------------------------------------------------- ------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 3,043 0
- -------------------------------------------------------------------- ------------------------------
Class B 2,929 0
- -------------------------------------------------------------------- ------------------------------
Class C 4,471 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 7,840 3,000
- -------------------------------------------------------------------- ------------------------------
Issued in reorganization
Class A 6,782 0
- -------------------------------------------------------------------- ------------------------------
Class B 3,958 0
- -------------------------------------------------------------------- ------------------------------
Class C 36,556 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 0 0
- -------------------------------------------------------------------- ------------------------------
Issued as reinvestment of distributions
Class A 140 0
- -------------------------------------------------------------------- ------------------------------
Class B 75 0
- -------------------------------------------------------------------- ------------------------------
Class C 732 0
- -------------------------------------------------------------------- ------------------------------
Other Classes 214 33
- -------------------------------------------------------------------- ------------------------------
Cost of shares redeemed
Class A (3,240) 0
- -------------------------------------------------------------------- ------------------------------
Class B (990) 0
- -------------------------------------------------------------------- ------------------------------
Class C (6,220) 0
- -------------------------------------------------------------------- ------------------------------
Other Classes (3,582) 0
- -------------------------------------------------------------------- ------------------------------
Net increase (decrease) resulting from Fund share transactions 52,708 3,033
- -------------------------------------------------------------------- ------------------------------
Total Increase (Decrease) in Net Assets 55,535 3,023
- -------------------------------------------------------------------- ------------------------------
Net Assets:
Beginning of period 3,023 0
- -------------------------------------------------------------------- ------------------------------
End of period * $ 58,558 $ 3,023
- -------------------------------------------------------------------- ------------------------------
*Including net undistributed (overdistributed) investment income of: $ (2) $ 0
- -------------------------------------------------------------------- ------------------------------
</TABLE>
See accompanying notes 91
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands Real Return Bond Fund Short-Term Fund
------------------------------ ------------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 695 $ 317 $ 25,972 $ 11,861
- ----------------------------------------------------- ------------------------------ ------------------------------
Net realized gain (loss) 131 52 217 922
- ----------------------------------------------------- ------------------------------ ------------------------------
Net change in unrealized appreciation (depreciation) (46) (21) (613) 455
- ----------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from operations 780 348 25,576 13,238
- ----------------------------------------------------- ------------------------------ ------------------------------
Distributions to Shareholders:
From net investment income
Class A (105) (18) (2,553) (498)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (109) (32) (95) (37)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (91) (21) (547) (216)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (363) (248) (22,783) (10,902)
- ----------------------------------------------------- ------------------------------ ------------------------------
In excess of net investment income
Class A (14) 1 0 (9)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (15) (2) 0 (1)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (13) (2) 0 (3)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (51) (18) 0 (196)
- ----------------------------------------------------- ------------------------------ ------------------------------
From net realized capital gains
Class A (2) (6) (16) (15)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (1) (14) (1) (1)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (1) (11) (4) (9)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (3) (68) (113) (258)
- ----------------------------------------------------- ------------------------------ ------------------------------
In excess of net realized capital gains
Class A 0 0 (62) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 (3) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 (14) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 (436) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Total Distributions (768) (441) (26,627) (12,145)
- ----------------------------------------------------- ------------------------------ ------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 6,141 1,170 100,568 38,492
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 3,210 1,292 6,850 6,129
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 3,626 1,136 47,252 9,964
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 11,792 4,626 890,437 315,947
- ----------------------------------------------------- ------------------------------ ------------------------------
Issued as reinvestment of distributions
Class A 115 24 2,329 474
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 98 34 55 14
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 33 33 441 193
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 361 333 16,533 9,124
- ----------------------------------------------------- ------------------------------ ------------------------------
Cost of shares redeemed
Class A (337) (818) (46,206) (17,369)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (1,174) (323) (4,346) (4,998)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (1,626) (812) (38,830) (4,767)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (1,922) (5,016) (582,240) (309,134)
- ----------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from
Fund share transactions 20,317 1,679 392,843 44,069
- ----------------------------------------------------- ------------------------------ ------------------------------
Total Increase (Decrease) in Net Assets 20,329 1,586 391,792 45,162
- ----------------------------------------------------- ------------------------------ ------------------------------
Net Assets:
Beginning of period 7,882 6,296 210,196 165,034
- ----------------------------------------------------- ------------------------------ ------------------------------
End of period * $ 28,211 $ 7,882 $ 601,988 $ 210,196
- ----------------------------------------------------- ------------------------------ ------------------------------
*Including net undistributed (overdistributed)
investment income of: $ (13) $ (25) $ 343 $ 741
- ----------------------------------------------------- ------------------------------ ------------------------------
<CAPTION>
Amounts in thousands StocksPLUS Fund Total Return Fund
------------------------------ ------------------------------
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 56,693 $ 64,898 $ 1,285,330 $ 920,708
- ----------------------------------------------------- ------------------------------ ------------------------------
Net realized gain (loss) 107,476 85,623 472,416 644,154
- ----------------------------------------------------- ------------------------------ ------------------------------
Net change in unrealized appreciation (depreciation) (10,410) 21,299 (239,440) 196,253
- ----------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from operations 153,759 171,820 1,518,306 1,761,115
- ----------------------------------------------------- ------------------------------ ------------------------------
Distributions to Shareholders:
From net investment income
Class A (5,558) (4,008) (42,630) (14,462)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (9,623) (5,278) (15,398) (5,314)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (8,506) (5,834) (24,602) (16,492)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (27,245) (35,403) (1,203,263) (859,162)
- ----------------------------------------------------- ------------------------------ ------------------------------
In excess of net investment income
Class A (14) 0 0 0 (397)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 0 (146)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 0 (453)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 0 (23,600)
- ----------------------------------------------------- ------------------------------ ------------------------------
From net realized capital gains
Class A (8,585) (3,306) (19,342) (8,102)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (16,378) (4,591) (9,103) (3,479)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (13,745) (4,963) (13,017) (9,011)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (38,167) (25,779) (471,102) (383,580)
- ----------------------------------------------------- ------------------------------ ------------------------------
In excess of net realized capital gains
Class A 0 0 (14,512) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 0 0 (6,829) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 0 0 (9,766) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 0 0 (353,438) 0
- ----------------------------------------------------- ------------------------------ ------------------------------
Total Distributions (127,807) (89,162) (2,183,002) (1,324,198)
- ----------------------------------------------------- ------------------------------ ------------------------------
Fund Share Transactions:
Receipts for shares sold
Class A 130,068 70,046 854,123 460,620
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 184,202 81,066 409,474 119,773
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 166,603 82,851 408,975 149,964
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 216,013 227,214 11,022,189 6,481,902
- ----------------------------------------------------- ------------------------------ ------------------------------
Issued as reinvestment of distributions
Class A 12,348 6,748 65,979 21,051
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B 22,233 9,234 23,537 6,517
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C 19,336 10,335 36,630 18,558
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes 62,137 54,528 1,701,985 1,055,758
- ----------------------------------------------------- ------------------------------ ------------------------------
Cost of shares redeemed
Class A (59,680) (23,650) (284,563) (65,456)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class B (29,175) (5,397) (54,809) (15,356)
- ----------------------------------------------------- ------------------------------ ------------------------------
Class C (41,951) (14,121) (116,385) (102,973)
- ----------------------------------------------------- ------------------------------ ------------------------------
Other Classes (184,056) (165,636) (5,369,646) (3,674,270)
- ----------------------------------------------------- ------------------------------ ------------------------------
Net increase (decrease) resulting from
Fund share transactions 498,078 333,218 8,697,489 4,456,088
- ----------------------------------------------------- ------------------------------ ------------------------------
Total Increase (Decrease) in Net Assets 524,030 415,876 8,032,793 4,893,005
- ----------------------------------------------------- ------------------------------ ------------------------------
Net Assets:
Beginning of period 677,712 261,836 18,091,711 13,198,706
- ----------------------------------------------------- ------------------------------ ------------------------------
End of period * $ 1,201,742 $ 677,712 $ 26,124,504 $ 18,091,711
- ----------------------------------------------------- ------------------------------ ------------------------------
*Including net undistributed (overdistributed)
investment income of: $ 54,973 $ 43,808 $ (77,068) $ 111,760
- ----------------------------------------------------- ------------------------------ ------------------------------
</TABLE>
92 See accompanying notes
<PAGE>
Statements of Cash Flows
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
Emerging Markets Foreign Global Bond Long-Term U.S.
Amounts in thousands Bond Fund Bond Fund Fund II Government Fund
---------------- ------------ ------------- ---------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 1,854 $ 361,271 $ 7,967 $ 309,820
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Redemptions of Fund shares (1,137) (193,788) (9,615) (100,796)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Cash distributions paid (41) (11,529) (213) (2,861)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Increase/(decrease) from financing transactions 866 193,593 (2,473) 65,093
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Net increase (decrease) from financing activities 1,542 349,547 (4,334) 271,256
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Operating Activities
Purchases of long-term securities and foreign currency (17,562) (3,160,063) (214,970) (1,397,805)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Proceeds from sales of long-term securities and foreign currency 14,996 2,556,532 193,890 1,119,820
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Purchases of short-term securities (net) 478 203,747 23,518 1,972
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Net investment income 464 27,910 2,125 9,135
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Change in other receivables/payables (net) (105) 20,460 (325) (4,401)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Net increase (decrease) from operating activities (1,729) (351,414) 4,238 (271,279)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Net Increase in Cash and Foreign Currency (187) (1,867) (96) (23)
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
Cash and Foreign Currency
Beginning of period 203 1,867 224 23
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
End of period $ 16 $ 0 $ 128 $ 0
- -------------------------------------------------------------------- ------------- --------------- -------------- --------------
<CAPTION>
Real Return
Amounts in thousands Bond Fund
-----------
<S> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 24,566
- ------------------------------------------------------------------ ------------
Redemptions of Fund shares (5,000)
- ------------------------------------------------------------------ ------------
Cash distributions paid (117)
- ------------------------------------------------------------------ ------------
Increase/(decrease) from financing transactions 24,194
- ------------------------------------------------------------------ ------------
Net increase (decrease) from financing activities 43,643
- ------------------------------------------------------------------ ------------
Operating Activities
Purchases of long-term securities and foreign currency (149,863)
- ------------------------------------------------------------------ ------------
Proceeds from sales of long-term securities and foreign currency 108,132
- ------------------------------------------------------------------ ------------
Purchases of short-term securities (net) (1,213)
- ------------------------------------------------------------------ ------------
Net investment income 695
- ------------------------------------------------------------------ ------------
Change in other receivables/payables (net) (508)
- ------------------------------------------------------------------ ------------
Net increase (decrease) from operating activities (42,757)
- ------------------------------------------------------------------ ------------
Net Increase in Cash and Foreign Currency 886
- ------------------------------------------------------------------ ------------
Cash and Foreign Currency
Beginning of period 2
- ------------------------------------------------------------------ ------------
End of period $ 888
- ------------------------------------------------------------------ ------------
</TABLE>
See accompanying notes 93
<PAGE>
Notes to Financial Statements
March 31, 1999
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 26 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). The Commercial
Mortgage Securities, Long Duration and StocksPLUS Short Strategy Funds had not
commenced operations as of March 31, 1999. Information presented in these
financial statements pertains to the A, B and C Classes (the "Retail Classes")
of the Trust. Certain detailed financial information for the Institutional,
Administrative and D Classes (the "Other Classes") is provided separately and is
available upon request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. 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.
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. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of each Fund, except the StocksPLUS Fund, are declared on each
day the Trust is open for business and are distributed to shareholders monthly.
Dividends from net investment income, if any, of the StocksPLUS Fund are
declared and distributed to shareholders quarterly. Net realized capital gains
earned by a Fund, if any, will be distributed no less frequently than once each
year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from 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 Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
94
<PAGE>
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the StocksPLUS Fund, are allocated daily to each class of shares
based on the relative value of settled shares. Income and non-class specific
expenses of the StocksPLUS Fund are allocated daily to each class of shares
based on the relative net assets of each class. Realized and unrealized capital
gains and losses of each Fund are allocated daily to each class of shares based
on the relative net assets of each class.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Financing Transactions. 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. If the
counterparty to whom the Fund sells the security becomes insolvent, a Fund's
right to repurchase the security may be restricted; the value of the security
may change over the term of the financing transaction and the return earned by a
Fund with the proceeds of a financing transaction may not exceed transaction
costs.
Futures and Options. Certain Funds are authorized to enter into futures
contracts and options. A Fund may use futures contracts and options to manage
its exposure to the securities markets or to movements in interest rates and
currency values. The primary risks associated with the use of futures contracts
and options are imperfect correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts and options, the
possibility of an illiquid market, and the inability of the counter-party to
meet the terms of the contract. Futures contracts and purchased options are
valued based upon their quoted daily settlement prices. The premium received for
a written option is recorded as an asset with an equal liability which is marked
to market based on the option's quoted daily settlement price. Fluctuations in
the value of such instruments are recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains and losses are
recognized.
Forward Currency Transactions. Certain Funds are authorized to enter into
forward foreign exchange contracts for the purpose of hedging against foreign
exchange risk arising from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. A Fund also may enter into these
contracts for purposes of increasing exposure to a foreign currency or to shift
exposure to foreign currency fluctuations from one country to another. All
commitments are marked to market daily at the applicable translation rates and
any resulting unrealized gains or losses are recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Stripped Mortgage Backed Securities (SMBS). SMBS represent a participation in,
or are secured by and payable from, mortgage loans on real property, and may be
structured in classes with rights to receive varying proportions of principal
and interest. SMBS include interest-only securities (IOs), which receive all of
the interest, and principal-only securities (POs), which receive all of the
principal. If the underlying mortgage assets experience greater than anticipated
payments of principal, a Fund may fail to recoup some or all of its initial
investment in these securities. The market value of these securities is highly
sensitive to changes in interest rates.
Swaps. Certain Funds are authorized to enter into interest rate, total return
and currency exchange swap agreements in order to obtain a desired return at a
lower cost than if the Fund had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statements of Operations. A Fund bears the risk of loss
of the amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a counterparty.
95
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
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.
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted according to the rate of
inflation. The interest rate on these bonds is generally fixed at issuance at a
rate lower than typical bonds. Over the life of an inflation-indexed bond,
however, interest will be paid based on a principal value which is adjusted for
inflation. Any increase in the principal amount of an inflation-indexed bond
will be considered interest income, even though principal is not received until
maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
Restricted Securities. Certain funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly-owned subsidiary partnership of PIMCO Advisors L.P. which serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.15% for the Money Market Fund, 0.40% for the
StocksPLUS Fund, 0.45% for the Emerging Markets Bond Fund and 0.25% for all
other Funds.
Administration Fee. PIMCO serves as administrator (the "Administrator"), and
provides administrative services to the Trust for which it receives from each
Fund a monthly administrative fee based on each share class's average daily net
assets. The Administration Fee for the Retail Classes is charged at the annual
rate of 0.35% for the Short-Term, Municipal Bond and Money Market Funds, 0.45%
for the Foreign Bond Fund, 0.55% for the Emerging Markets Bond Fund and 0.40%
for all other Funds. The Administration Fee for the Institutional and
Administrative Classes is charged at an annual rate of 0.18% for the 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, 0.40% for the Emerging
Markets Bond Fund and 0.25% for all other Funds. The Administration Fee for
Class D is charged at the annual rate of 0.25% for Short-Term, Total Return and
Low Duration Funds, 0.35% for Municipal Bond, 0.45% for Foreign Bond Fund, 0.40%
for all other Funds.
96
<PAGE>
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly
PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors
L.P., serves as the distributor of the Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class
assets of each Fund offering Administrative Class shares in an amount up to
0.25% on an annual basis of the average daily net assets of that class,
financial intermediaries that provide services in connection with the
distribution of shares or administration of plans or programs that use Fund
shares as their funding medium. The effective rate paid to PFD was 0.25% during
the current fiscal year.
Pursuant to the Distribution and Servicing Plans adopted by the Retail
and D Classes of the Trust, the Trust compensates PFD or an affiliate with
respect to Class D for services provided and expenses incurred in connection
with assistance rendered in the sale of shares and services rendered to
shareholders and for maintenance of shareholder accounts of the Retail and D
Classes. The Trust paid PFD distribution and servicing fees at an effective rate
as set forth below (calculated as a percentage of each Fund's average daily net
assets attributable to each class):
<TABLE>
<CAPTION>
Effective Rate Allowable Rate
-----------------------------------------------------------
Distribution Servicing Distribution Servicing
Fee (%) Fee(%) Fee (%) 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
Emerging Markets Bond, Foreign Bond,
Global Bond II, High Yield,
Long-Term U.S. Gov't., and
Total Return Funds 0.75 0.25 0.75 0.25
Real Return Bond and StocksPLUS Funds 0.50 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 0.25
Money Market Fund -- 0.10 -- 0.20
Short-Term Fund 0.30 0.25 0.75 0.25
Class D
Low Duration, Short-Term, and
Total Return Funds -- 0.25 -- 0.50
Foreign Bond Fund -- 0.25 -- 0.70
Municipal Bond Fund -- 0.25 -- 0.60
All other Funds -- 0.25 -- 0.65
</TABLE>
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of Retail Classes shares. For the period ended March 31,
1999, the funds were informed that PFD received $8,461,652 representing
commissions (sales charges) and contingent deferred sales charges.
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses, including
costs of litigation and indemnification expenses; (vii) expenses, such as
organizational expenses; and (viii) any expenses allocated or allocable to a
specific class of shares, which include service fees payable with respect to the
Administrative Class shares and may include certain other expenses as permitted
by the Trust's Multiple Class Plan adopted pursuant to Rule 18f-3 under the Act
and subject to review and approval by the Trustees. The ratio of expenses to
average net assets per share class, as disclosed in Financial Highlights, may
differ from the annual fund operating expenses per share class as disclosed in
the Prospectus for the reasons set forth above.
Each unaffiliated Trustee receives an annual retainer of $45,000, plus
$3,000 for each Board of Trustees meeting attended in person and $500 for each
meeting attended telephonically, plus reimbursement of related expenses. In
addition, each committee chair receives an annual retainer of $1,500. These
expenses are allocated to the Funds of the Trust according to their respective
net assets.
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended March 31, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
----------------------------------------------------------------
Purchases Sales Purchases Sales
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Emerging Markets Bond Fund $ 0 $ 0 $ 16,318 $ 14,580
Foreign Bond Fund 817,410 699,955 2,288,270 1,633,832
Global Bond Fund II 84,404 72,772 138,249 120,577
High Yield Fund 5,760 7,121 1,983,993 969,168
Long-Term U.S. Gov't Fund 1,260,249 1,018,870 192,085 58,678
Low Duration Fund 8,576,718 9,130,827 2,462,283 379,813
Municipal Bond Fund 0 0 83,000 30,386
Real Return Bond Fund 123,476 101,542 23,967 6,252
Short-Term Fund 305,288 47,698 411,299 159,576
StocksPLUS Fund 708,140 592,151 587,571 140,926
Total Return Fund 56,153,806 50,784,821 14,567,264 5,013,754
</TABLE>
97
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
5. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Emerging Markets Bond Fund
----------------------------------------------------------
Year Ended Period From
03/31/1999 07/31/1997 to 03/31/1998
Shares Amount Shares Amount
- --------------------------------------------------------- ----------------------------------------------------------
Receipts for shares sold
Class A 24 $ 184 37 $ 353
- --------------------------------------------------------- ----------------------------------------------------------
Class B 68 502 31 294
- --------------------------------------------------------- ----------------------------------------------------------
Class C 33 273 14 132
- --------------------------------------------------------- ----------------------------------------------------------
Other Classes 114 895 395 3,907
- --------------------------------------------------------- ----------------------------------------------------------
Issued as reinvestment of distributions
Class A 2 16 1 9
- --------------------------------------------------------- ----------------------------------------------------------
Class B 2 18 1 7
- --------------------------------------------------------- ----------------------------------------------------------
Class C 1 11 1 6
- --------------------------------------------------------- ----------------------------------------------------------
Other Classes 54 405 22 212
- --------------------------------------------------------- ----------------------------------------------------------
Cost of shares redeemed
Class A (37) (295) (6) (54)
- --------------------------------------------------------- ----------------------------------------------------------
Class B (48) (372) 0 0
- --------------------------------------------------------- ----------------------------------------------------------
Class C (18) (122) 0 (3)
- --------------------------------------------------------- ----------------------------------------------------------
Other Classes (47) (346) (37) (350)
- --------------------------------------------------------- ----------------------------------------------------------
Net increase resulting from Fund share transactions 148 $ 1,169 459 $ 4,513
========================================================= ==========================================================
<CAPTION>
Foreign Bond Fund
---------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ------------------------------------------------------------ ---------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 2,580 $ 27,767 855 $ 9,138
- ------------------------------------------------------------ ---------------------------------------------------------
Class B 1,138 12,228 896 9,586
- ------------------------------------------------------------ ---------------------------------------------------------
Class C 1,741 18,663 1,458 15,595
- ------------------------------------------------------------ ---------------------------------------------------------
Other Classes 28,018 301,244 21,559 230,423
- ------------------------------------------------------------ ---------------------------------------------------------
Issued as reinvestment of distributions
Class A 135 1,435 35 373
- ------------------------------------------------------------ ---------------------------------------------------------
Class B 99 1,052 43 455
- ------------------------------------------------------------ ---------------------------------------------------------
Class C 152 1,625 73 771
- ------------------------------------------------------------ ---------------------------------------------------------
Other Classes 2,788 29,769 2,019 21,446
- ------------------------------------------------------------ ---------------------------------------------------------
Cost of shares redeemed
Class A (878) (9,441) (66) (703)
- ------------------------------------------------------------ ---------------------------------------------------------
Class B (227) (2,428) (66) (702)
- ------------------------------------------------------------ ---------------------------------------------------------
Class C (700) (7,487) (112) (1,194)
- ------------------------------------------------------------ ---------------------------------------------------------
Other Classes (16,477) (176,331) (9,585) (102,098)
- ------------------------------------------------------------ ---------------------------------------------------------
Net increase resulting from Fund share transactions 18,369 $ 198,096 17,109 $ 183,090
============================================================ =========================================================
<CAPTION>
Money Market Fund
------------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ------------------------------------------------------- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 3,795,864 $ 3,795,864 1,983,452 $ 1,983,452
- ------------------------------------------------------- -------------------------------------------------------------------
Class B 43,230 43,230 14,945 14,945
- ------------------------------------------------------- -------------------------------------------------------------------
Class C 1,514,481 1,514,481 1,189,852 1,189,852
- ------------------------------------------------------- -------------------------------------------------------------------
Other Classes 848,391 848,391 128,183 128,183
- ------------------------------------------------------- -------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- ------------------------------------------------------- -------------------------------------------------------------------
Class B 0 0 0 0
- ------------------------------------------------------- -------------------------------------------------------------------
Class C 0 0 0 0
- ------------------------------------------------------- -------------------------------------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------- -------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 2,190 2,190 1,226 1,226
- ------------------------------------------------------- -------------------------------------------------------------------
Class B 274 274 94 94
- ------------------------------------------------------- -------------------------------------------------------------------
Class C 2,811 2,811 2,314 2,314
- ------------------------------------------------------- -------------------------------------------------------------------
Other Classes 3,024 3,024 1,423 1,423
- ------------------------------------------------------- -------------------------------------------------------------------
Cost of shares redeemed
Class A (3,734,230) (3,734,230) (1,986,890) (1,986,890)
- ------------------------------------------------------- -------------------------------------------------------------------
Class B (31,473) (31,473) (15,245) (15,245)
- ------------------------------------------------------- -------------------------------------------------------------------
Class C (1,486,828) (1,486,828) (1,221,867) (1,221,867)
- ------------------------------------------------------- -------------------------------------------------------------------
Other Classes (575,933) (575,933) (97,031) (97,031)
- ------------------------------------------------------- -------------------------------------------------------------------
Net increase resulting from Fund share transactions 381,801 $ 381,801 456 $ 456
======================================================= ===================================================================
<CAPTION>
Municipal Bond Fund
----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ------------------------------------------------------- ----------------------------------------------------------------
Receipts for shares sold
Class A 322 $ 3,043 0 $ 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class B 295 2,929 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class C 644 4,471 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Other Classes 772 7,840 300 3,000
- ------------------------------------------------------- ----------------------------------------------------------------
Shares issued in reorganization
Class A 676 6,782 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class B 395 3,958 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class C 3,645 36,556 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Issued as reinvestment of distributions
Class A 14 140 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class B 7 75 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class C 72 732 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Other Classes 22 214 3 33
- ------------------------------------------------------- ----------------------------------------------------------------
Cost of shares redeemed
Class A (318) (3,240) 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class B (97) (990) 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Class C (614) (6,220) 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Other Classes (351) (3,582) 0 0
- ------------------------------------------------------- ----------------------------------------------------------------
Net increase resulting from Fund share transactions 5,484 $ 52,708 303 $ 3,033
======================================================= ================================================================
</TABLE>
98
<PAGE>
<TABLE>
<CAPTION>
Global Bond Fund II
----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 103 $ 1,024 499 $ 5,409
- -------------------------------------------------------------------------------------------------------------------------------
Class B 186 1,843 117 1,255
- -------------------------------------------------------------------------------------------------------------------------------
Class C 110 1,091 158 1,717
- -------------------------------------------------------------------------------------------------------------------------------
Other Classes 418 4,100 2,462 24,247
- -------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 22 218 105 1,055
- -------------------------------------------------------------------------------------------------------------------------------
Class B 16 157 58 578
- -------------------------------------------------------------------------------------------------------------------------------
Class C 27 266 94 942
- -------------------------------------------------------------------------------------------------------------------------------
Other Classes 166 1,643 10 100
- -------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (537) (5,295) (623) (6,982)
- -------------------------------------------------------------------------------------------------------------------------------
Class B (155) (1,535) (88) (940)
- -------------------------------------------------------------------------------------------------------------------------------
Class C (160) (1,588) (128) (1,407)
- -------------------------------------------------------------------------------------------------------------------------------
Other Classes (119) (1,175) 0 0
- -------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 77 $ 749 2,664 $ 25,974
===============================================================================================================================
<CAPTION>
High Yield Fund
-----------------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 12,154 $ 137,501 5,603 $ 64,633
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 16,167 182,999 8,820 101,900
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 22,663 258,132 11,386 131,535
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 124,498 1,410,720 91,226 1,055,297
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 390 4,421 236 2,723
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 666 7,543 381 4,397
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 1,234 13,989 1,066 12,300
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 12,906 146,326 7,969 92,015
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (4,784) (54,108) (2,364) (27,260)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B (4,747) (53,670) (1,243) (14,335)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C (15,317) (175,112) (6,522) (75,236)
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes (68,522) (771,543) (21,515) (244,929)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 97,308 $ 1,107,198 95,043 $ 1,103,040
===============================================================================================================================
<CAPTION>
Long-Term U.S. Gov't Fund
----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 3,332 $ 36,432 597 $ 6,175
- ------------------------------------------------------------------------------------------------------------------------------
Class B 3,430 37,608 769 8,001
- ------------------------------------------------------------------------------------------------------------------------------
Class C 3,616 39,974 817 8,501
- ------------------------------------------------------------------------------------------------------------------------------
Other Classes 18,028 196,867 5,225 53,037
- ------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 111 1,202 11 116
- ------------------------------------------------------------------------------------------------------------------------------
Class B 168 1,826 12 121
- ------------------------------------------------------------------------------------------------------------------------------
Class C 144 1,559 11 116
- ------------------------------------------------------------------------------------------------------------------------------
Other Classes 834 9,031 203 2,095
- ------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (1,132) (12,413) (154) (1,612)
- ------------------------------------------------------------------------------------------------------------------------------
Class B (626) (6,867) (118) (1,248)
- ------------------------------------------------------------------------------------------------------------------------------
Class C (1,373) (15,054) (171) (1,794)
- ------------------------------------------------------------------------------------------------------------------------------
Other Classes (6,234) (68,977) (2,497) (25,373)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 20,298 $ 221,188 4,705 $ 48,135
===============================================================================================================================
<CAPTION>
Low Duration Fund
-----------------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 49,976 $ 508,627 34,531 $ 351,735
- ----------------------------------------------------------------------------------------------------------------------------------
Class B 7,581 77,162 1,705 17,368
- ----------------------------------------------------------------------------------------------------------------------------------
Class C 7,307 74,325 5,739 58,311
- ----------------------------------------------------------------------------------------------------------------------------------
Other Classes 237,127 2,411,822 147,614 1,500,985
- ----------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 857 8,716 448 4,564
- ----------------------------------------------------------------------------------------------------------------------------------
Class B 191 1,938 38 384
- ----------------------------------------------------------------------------------------------------------------------------------
Class C 400 4,065 271 2,754
- ----------------------------------------------------------------------------------------------------------------------------------
Other Classes 18,312 186,268 15,439 156,993
- ----------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (42,621) (433,778) (30,163) (307,185)
- ----------------------------------------------------------------------------------------------------------------------------------
Class B (3,055) (31,051) (542) (5,522)
- ----------------------------------------------------------------------------------------------------------------------------------
Class C (3,358) (34,148) (5,625) (57,029)
- ----------------------------------------------------------------------------------------------------------------------------------
Other Classes (184,542) (1,876,626) (169,949) (1,726,995)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 88,175 $ 897,320 (494) $ (3,637)
==================================================================================================================================
<CAPTION>
Real Return Bond Fund
----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 620 $ 6,141 118 $ 1,170
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 328 3,210 131 1,292
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 371 3,626 114 1,136
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 1,199 11,792 465 4,626
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 12 115 2 24
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 10 98 3 34
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 3 33 3 33
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 36 361 34 333
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (34) (337) (83) (818)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B (120) (1,174) (32) (323)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C (166) (1,626) (82) (812)
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes (195) (1,922) (501) (5,016)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 2,064 $ 20,317 172 $ 1,679
==================================================================================================================================
<CAPTION>
Short-Term Fund
----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 10,028 $ 100,568 3,832 $ 38,492
- --------------------------------------------------------------------------------------------------------------------------------
Class B 682 6,850 610 6,129
- --------------------------------------------------------------------------------------------------------------------------------
Class C 4,713 47,252 991 9,964
- --------------------------------------------------------------------------------------------------------------------------------
Other Classes 88,655 890,437 31,443 315,947
- --------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Other Classes 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 232 2,329 47 474
- --------------------------------------------------------------------------------------------------------------------------------
Class B 6 55 1 14
- --------------------------------------------------------------------------------------------------------------------------------
Class C 44 441 19 193
- --------------------------------------------------------------------------------------------------------------------------------
Other Classes 1,711 16,533 907 9,124
- --------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (4,608) (46,206) (1,729) (17,369)
- --------------------------------------------------------------------------------------------------------------------------------
Class B (433) (4,346) (497) (4,998)
- --------------------------------------------------------------------------------------------------------------------------------
Class C (3,874) (38,830) (474) (4,767)
- --------------------------------------------------------------------------------------------------------------------------------
Other Classes (58,021) (582,240) (30,761) (309,134)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 39,135 $ 392,843 4,389 $ 44,069
==================================================================================================================================
<CAPTION>
StocksPLUS Fund
-----------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 9,310 $ 130,068 5,189 $ 70,046
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 13,245 184,202 6,014 81,066
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 11,922 166,603 6,158 82,851
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 15,465 216,013 16,952 227,214
- ---------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 0 0 0 0
- ---------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 907 12,348 531 6,748
- ---------------------------------------------------------------------------------------------------------------------------------
Class B 1,644 22,233 731 9,234
- ---------------------------------------------------------------------------------------------------------------------------------
Class C 1,426 19,336 816 10,335
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes 4,549 62,137 4,264 54,528
- ---------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (4,278) (59,680) (1,748) (23,650)
- ---------------------------------------------------------------------------------------------------------------------------------
Class B (2,101) (29,175) (400) (5,397)
- ---------------------------------------------------------------------------------------------------------------------------------
Class C (3,039) (41,951) (1,049) (14,121)
- ---------------------------------------------------------------------------------------------------------------------------------
Other Classes (13,049) (184,056) (12,132) (165,636)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 36,001 $ 498,078 25,326 $ 333,218
==================================================================================================================================
<CAPTION>
Total Return Fund
-------------------------------------------------------------------------
Year Ended Year Ended
03/31/1999 03/31/1998
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Receipts for shares sold
Class A 80,262 $ 854,123 43,181 $ 460,620
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 38,344 409,474 11,221 119,773
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 38,335 408,975 14,063 149,964
- ------------------------------------------------------------------------------------------------------------------------------------
Other Classes 1,033,953 11,022,189 609,112 6,481,902
- ------------------------------------------------------------------------------------------------------------------------------------
Shares issued in reorganization
Class A 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Other Classes 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Issued as reinvestment of distributions
Class A 6,210 65,979 1,979 21,051
- ------------------------------------------------------------------------------------------------------------------------------------
Class B 2,219 23,537 613 6,517
- ------------------------------------------------------------------------------------------------------------------------------------
Class C 3,450 36,630 1,747 18,558
- ------------------------------------------------------------------------------------------------------------------------------------
Other Classes 160,191 1,701,985 99,374 1,055,758
- ------------------------------------------------------------------------------------------------------------------------------------
Cost of shares redeemed
Class A (26,665) (284,563) (6,141) (65,456)
- ------------------------------------------------------------------------------------------------------------------------------------
Class B (5,132) (54,809) (1,444) (15,356)
- ------------------------------------------------------------------------------------------------------------------------------------
Class C (10,902) (116,385) (9,698) (102,973)
- ------------------------------------------------------------------------------------------------------------------------------------
Other Classes (502,698) (5,369,646) (344,881) (3,674,270)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase resulting from Fund share transactions 817,567 $ 8,697,489 419,126 $ 4,456,088
==================================================================================================================================
</TABLE>
99
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
6. Reorganization
The 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 Total Net
Issued by Shares Issued Assets of Assets of
Acquiring by Acquiring Acquired Acquiring
Acquiring Fund Acquired Fund Date Fund Fund Fund Fund
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 4,716 $ 47,296 $ 47,296 $ 4,295
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Total
Net Assets Acquired
of Acquiring Fund's
Fund After Unrealized
Acquiring Fund Acquired Fund Date Acquisition Appreciation
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PIMCO Municipal Bond Fund PIMCO Tax Exempt Fund 06/26/1998 $ 51,591 $ 2,335
- --------------------------------------------------------------------------------------------------
</TABLE>
7. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows
(amounts in thousands):
<TABLE>
<CAPTION>
Foreign Global Bond Long-Term Low Duration Real Return Short-Term
Bond Fund Fund II U.S. Gov't. Fund Fund Fund Fund
--------------------------------------------------------------------------------------------------------
Premium
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balance at 04/01/98 $ 0 $ 0 $ 0 $ 0 $ 88 $ 0
Sales 126 9 224 2,878 0 25
Closing Buys 0 0 0 0 0 0
Expirations 0 0 0 (1,048) (25) (49)
Exercised 0 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Balance at 03/31/99 $ 126 $ 9 $ 224 $ 1,830 $ 0 $ 0
====================================================================================================================================
</TABLE>
StocksPLUS Total Return
Fund Fund
- ----------------------------------------------------------
Premium
- ----------------------------------------------------------
Balance at 04/01/98 $ 0 $ 3,653
Sales 102 57,683
Closing Buys 0 0
Expirations (49) (25,302)
Exercised 0 (928)
- ----------------------------------------------------------
Balance at 03/31/99 $ 53 $ 35,106
==========================================================
8. Federal Income Tax Matters
As of March 31, 1999, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the Emerging Markets, Foreign Bond, Global Bond II, High
Yield, Long-Term U.S. Government, Low Duration, Municipal Bond, Real Return
Bond, Short-Term, StocksPLUS and Total Return Funds realized capital losses
and/or foreign currency losses during the period November 1, 1998 through March
31, 1999 which the Fund elected to defer to the following fiscal year pursuant
to income tax regulations. The amounts are $364, $142,162, $86,050, $12,696,573,
$7,314,010, $13,422,023, $754, $5,552, $43,907, $133,965 and $261,458,467,
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
-----------------------------------------------------
Realized Acquired
Losses Losses Expiration
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Emerging Markets Bond Fund $ 420,637 $ 0 03/31/2007
High Yield Fund 0 48,559,227 03/31/2002
Municipal Bond Fund 5,734 0 03/31/2007
Short-Term Fund 109,956 0 03/31/2007
</TABLE>
100
<PAGE>
Report of Independent Accountants
To the Trustees and Class A, Class B and Class C 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, changes
in net assets and of cash flows and the financial highlights for the Class A,
Class B and Class C shares present fairly, in all material respects, the
financial position of the Emerging Markets Bond Fund, Foreign Bond Fund, Global
Bond Fund II, High Yield Fund, Long-Term U.S. Government Fund, Low Duration
Fund, Money Market Fund, Municipal Bond Fund, Real Return Bond Fund, Short-Term
Fund, StocksPLUS Fund and Total Return Fund (hereafter referred to as the
"Funds") at March 31, 1999, the results of each of their operations, the changes
in each of their net assets and cash flows for the Foreign Bond Fund, Global
Bond Fund II, Long-Term U.S. Government Fund, and Real Return Bond Fund and the
financial highlights for the Class A, Class B and Class C shares for each of the
periods indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with 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, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 19, 1999
101
<PAGE>
Federal Income Tax Information
(unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 1999)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 1999 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
High Yield Fund 2.91%
Low Duration Fund 1.97%
Total Return Fund 0.18%
For the benefit of shareholders of the Municipal Bond Fund, this is to inform
you that 99.00% of the dividends paid by the Fund during its fiscal year qualify
as exempt-interest dividends.
Shareholders are advised to consult their own tax advisor with respect to the
tax consequences of their investment in the Trust. In January 2000, you will be
advised on IRS Form 1099-DIV as to the federal tax status of the dividends and
distributions received by you in calendar year 1999.
102
<PAGE>
- --------------------------------------------------------------------------------
PIMCO Funds: Access to the highest standard
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages over $248 billion, including assets for 46 of the 100 largest
U.S. corporations. The firm's institutional heritage is reflected in the PIMCO
Funds, each seeking the highest caliber performance in a specific investment
style.
Manager
Pacific Investment Management Company, 840 Newport Center Drive, Suite 300,
Newport Beach, CA 92660
Distributor
PIMCO Funds Distributors LLC, 2187 Atlantic Street, Stamford, CT 06902
Custodian
Investors Fiduciary Trust Company, 801 Pennsylvania, Kansas City, MO 64105
Shareholder Servicing Agent and Transfer Agent
First Data Investor Services Group, Inc., P.O. Box 9688, Providence, RI
02940-9688
Independent Accountant
PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City, MO, 64105
Legal Counsel
Dechert Price & Rhoads, 1775 Eye Street, Washington, DC, 20006
For Account Information
For PIMCO Funds account information contact your financial advisor, or if you
receive account statements directly from PIMCO Funds, you can also call
1-800-426-0107. Telephone representatives are available Monday-Friday 8:30 am to
8:00 pm Eastern Time.
This is a copy of a report by PIMCO Funds to its shareholders. Distribution of
this report to persons other than shareholders of the Trust is authorized only
when accompanied by the Trust's Prospectus. This report does not offer for sale
or solicit orders to buy any securities.
This material is authorized for use only when preceded or accompanied by a
current PIMCO Funds prospectus, which describes in greater detail the investment
policies, management fees and other matters of interest to prospective
investors. Please read the prospectus carefully before you invest or send money.
- --------------------------------------------------------------------------------
--------------
BULK RATE
P I M C O U.S. POSTAGE
---------- PAID
FUNDS SMITHTOWN, NY
PERMIT NO. 700
--------------
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
<PAGE>
PIMCO Funds Shareholder Update
and Annual Report
This Update is published twice a year to provide PIMCO Funds shareholders with
general market commentary and fund information. It also includes the financial
report for the PIMCO Funds Pacific Investment Management Series.
March 31, 1999
Pacific
Investment
Management
Series
Share Class
D
Foreign Bond
High Yield
Low Duration
Municipal Bond
Real Return Bond
Short-Term
StocksPLUS
Strategic Balanced
Total Return
Total Return Mortgage
[GRAPHIC APPEARS HERE]
Before analyzing your PIMCO bond fund portfolio, refresh your knowledge of "Bond
Basics" on page 4.
Page 3 Morningstar Names Bill Gross and his Management Team
1998 Fixed-Income Manager of the Year
Page 4 Today's Investor
Bond Basics--a Quick Refresher Course for Investors
Page 6 Market Review
Page 7 Manager Spotlight
Q&A with Bill Gross
Page 8 Fund Spotlight
A More Responsible High Yield Investment
Page 9 In the News
Page 10 Service Update
Preparing for the Year 2000
Page 12 Overview: Comprehensive Fund Family
Page 13 PIMCO Funds Pacific Investment Management Series
Annual Report
[LOGO OF PIMCO FUNDS APPEARS HERE]
<PAGE>
Morningstar Names Bill Gross 1998 Fixed-Income Manager of
Bill Gross, Founder and Managing Director of PIMCO and Portfolio Manager of the
PIMCO Total Return and Low Duration Funds, and leader of the team that manages
the PIMCO Short-Term, StocksPLUS, Moderate Duration and Strategic Balanced Funds
has been named 1998 Fixed-Income Manager of the Year by Morningstar.
[GROUP PHOTO APPEARS HERE]
Bill Gross (seated at left) and his management team
2
<PAGE>
and his Management Team the Year
Overall Morningstar Ratings as of 3/31/99 for Bill Gross' Funds
<TABLE>
<S> <C> <C> <C>
Fund Name Objective Primary Portfolio Composition Morningstar Rating
PIMCO Total Return Fund Maximum total return Intermediate-term, investment-grade *****
bonds (3-6 year duration)
PIMCO Low Duration Fund Maximum total return Shorter-term, investment-grade bonds *****
(1-3 year duration)
PIMCO Short-Term Fund Maximum current income consistent with Money market securities and short-term *****
preservation of capital and daily liquidity bonds (up to 1 year duration)
PIMCO StocksPLUS Fund Total return exceeding the S&P 500 Index S&P 500 stock index futures *****
backed by a portfolio of short-term,
fixed-income securities
</TABLE>
Established in 1987, the Morningstar Fund Manager of the Year Award recognizes
portfolio managers who demonstrate excellent investment skill, the courage to
differ from consensus, and the commitment to shareholders necessary to deliver
outstanding long-term performance. The award is bestowed on fund managers in
only three categories: Domestic Equity, Fixed-Income, and International.
Morningstar (1/99) lauded Bill Gross for distinguishing PIMCO "by building a
fixed-income management process that blends discipline and flexibility."
Morningstar explained that PIMCO's investment committee, led by Bill Gross, was
able to aggressively take advantage of declining interest rates but was also
able to shelter shareholders from losses by taking a more defensive position
when needed.
Two of the PIMCO Funds managed by Bill Gross were highlighted by
Morningstar--PIMCO Total Return Fund, which has ranked in the top half of its
category for 11 consecutive years, and PIMCO Low Duration Fund, which has also
been a strong performer.
Morningstar (1/99) commended Gross for his acumen and independence: "Making
small, selective plays on undervalued sectors, such as foreign bonds, high-yield
and adjustable rate mortgages, PIMCO has gained an edge with its flexibility. In
contrast, many bond managers either limit returns by sticking with overly narrow
segments of the market or take on excessive risk by loading up on lower-quality
issues such as high-yield bonds."
Past performance is not indicative of future results.
PIMCO StocksPLUS Fund rated among 2,947 domestic equity funds. PIMCO Total
Return, Low Duration and Short-Term Funds rated among 1,521 taxable bond funds.
See page 9 for more details.
Morningstar rankings for the PIMCO Total Return Fund are based on the funds in
the Morningstar Intermediate-Term Bond category. It reflects funds tracked by
Morningstar that invest in intermediate-term bonds. It does not take into
account sales charges and is based on total return. Total Return Institutional
was ranked 14/522, 7/251 and 1/87 for the 1-, 5- and 10-year periods ended
3/31/99, respectively. Class A shares were ranked 20/522 for the 1-year period
ended 3/31/99. Since Class A shares were first offered in January 1997, they
have not yet been ranked for longer periods.
3
<PAGE>
The Bond Market
Bond Basics--a Quick Refresher Course for Investors
Today's Investor
[GRAPHIC APPEARS HERE]
Sometimes it may seem as if bonds inhabit a parallel universe, where good
economic news is bad news, where prices go up and yields go down, interest rates
rise and prices fall. But it's not as confusing as you might think. Once you
brush up on a few facts, you'll find the strange world of bonds actually starts
to make sense.
Here's a brief review of some of the basics so you'll be better informed about
your investments. Given the volatility of today's stock market, this just might
be the right time to take a fresh look at how bonds fit into your portfolio mix.
An IOU with interest
When a bond issuer borrows your money, it undertakes to pay you interest,
usually at specific intervals, and then to repay the original sum after a
predetermined period of time. In bond-lingo, the value of your bond as
originally issued is its principal, face value or par value. The interest you
receive is called the coupon or coupon rate, and the date on which a bond is
payable is called its maturity.
Never take a bond at face value
Face value and price are not necessarily the same. While face value won't vary,
a bond's price will change as general interest rates go up or down. Here's why:
Say you buy a $10,000 bond paying 5% interest with a maturity of 20 years. Five
years later, you decide to sell the bond, but now the interest rate for new
bonds is 7%. A bond paying 5% will be a hard sell when bonds paying 7% are
easily available. To sell your bond, you'll have to discount its asking price to
below face value. If, instead, interest rates have fallen when you decide to
sell, say to 3%, your 5% bond will look pretty good. You'll be able to sell it
at a premium (for more than its face value).
Interest Rates and Bond Prices Move in Opposite Directions
When interest rates fall, bond prices rise, and vice versa.
[GRAPHIC APPEARS HERE]
Yield, coupon rate and price
Yield, it's important to remember, is not the same as coupon rate, unless the
price you paid for a bond is the same as its face value. Yield, or current
yield, is the return you actually earn, based on the price you paid and the
interest rate you receive. Unlike the coupon rate, yield fluctuates with a
bond's price. As the price falls, the yield rises, and vice versa.
How To Calculate Current Yield
To figure out your bond's current yield, simply divide its coupon rate by its
price:
Coupon Rate / Purchase price = Current Yield
8% / $1,000 = 8%
8% / $ 500 = 16%
A bond's yield to maturity, however, is often considered a truer gauge of its
value. It tells you the entire return you'll receive if you keep your bond until
maturity, including all interest payments and any principal gains or losses.
Where bonds come from
Bonds are issued by a variety of institutions to raise capital for specific
undertakings. The federal government sells bonds through the Treasury to finance
national debt. Some U.S. government agencies sell bonds, such as the
mortgage-backed bonds issued by the Government National Mortgage Association
(Ginnie Mae) and the Federal National Mortgage Association (Fannie Mae). State
and municipal governments issue bonds (munis) to finance public projects, and
corporations sell them to pay for long-term enterprises, such as building
offices or buying equipment. Investors can also purchase bonds issued by foreign
governments and corporations.
How creditworthy is it?
A bond's quality, or credit risk, depends on who issues it and how likely they
will be to make interest payments and, ultimately, to repay the debt. U.S.
Treasury bonds are considered the highest quality--free of credit or default
risk--because they are backed by the "full faith and credit" of the U.S.
government. At the other end of the spectrum are high yield corporate bonds, so
4
<PAGE>
called because they offer higher returns to compensate investors for the greater
risks they entail. They are often called "junk bonds" because their issuers lack
long track records or have uncertain credit strength.
Most corporate bonds are rated on the basis of their credit risk by independent
bond rating agencies, such as Moody's and Standard & Poor's. The lower the
rating, the more risk and, generally speaking, the higher the return potential.
Bond Credit Ratings
Moody's Standard & Poor's
Rating Rating
Investment Grade Bonds
- --------------------------------------------------------------------------------
Highest quality Aaa AAA
High quality Aa AA
Good quality A A
Medium quality Baa BBB
High Yield Bonds
- --------------------------------------------------------------------------------
Less speculative Ba BB
Speculative B B
More speculative Caa CCC
Highly speculative Ca CC
In default - D
Not rated N N
Risk and maturity
Bonds are also classified by their maturities. Short-term bonds mature in less
than three years, long-term bonds in more than 10 years, and intermediate-term
bonds somewhere in between. In general, the longer the maturity, the greater the
risk, and the higher the coupon rate. We've already seen that longer maturities
increase interest rate risk. Another risk that increases over time is call risk.
Some bonds may be called by their issuer, i.e. redeemed before they mature. This
can happen when interest rates fall below the coupon rate. If a bond is called,
bond holders have to reinvest their money in a lower interest rate environment,
therefore reducing yield. Prepayment risk is similar, but relates to
mortgage-backed bonds such as Fannie Maes. As interest rates fall, many
homeowners will refinance and pay their mortgages off, which means the bonds
backing those mortgages will be paid off before maturity.
Longer-term bonds are also subject to inflation risk. Inflation is often the
result of a hyperactive economy, and can lead, in turn, to higher interest
rates. Because rising interest rates depress bond prices, the bond markets tend
to react negatively to news of a booming economy. That's why good news can be
bad news in the world of bonds.
Maturity is one way to assess a bond's price sensitivity to interest rate
changes. But maturity only measures time. Duration is considered by many to be a
more accurate tool for managing interest rate risk because it incorporates
yield, interest payments, final maturity and call features into one measurement.
Like maturity, duration is stated in terms of years. So if you're investing for
a specific purpose, you should look for a bond investment with a duration that
matches your time horizon.
Bonds or bond mutual funds?
Investing in a bond mutual fund rather than directly in bonds can help reduce
exposure to many of these risks. A bond fund offers instant diversification
which lessens the risks associated with holding a single investment. Bond funds
also offer the benefit of active, professional investment management and the
lower trading costs fund managers can often negotiate. Finally, shares in a bond
fund are simpler to buy and sell than individual bonds, and performance can be
easily tracked.
Don't forget total return
When assessing the value of your investment, whether an individual bond or a
bond mutual fund, make sure to consider total return. Total return is a more
accurate measure of value because it comprises both yield and capital
appreciation. By seeking income alone, you may limit your return potential and
even increase risk.
All of these factors will help you evaluate a bond investment and the degree to
which it fits with your financial objectives and your tolerance for risk. Bond
investments have an important role to play in a well-diversified portfolio.
Duration, Interest Rates and Price
Duration represents the approximate percentage change in a bond's price for a
100-basis point (1%) change in interest rates.
If a bond has a duration of 6 years
Interest rates drop 1% value rises 6%
Interest rates rise 1% value drops 6%
5
<PAGE>
Bond Market
Real Rates Remain High
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
30-Year U.S. Treasury Rates
---------------------------
<S> <C>
03/06/1998 6.02
03/13/1998 5.89
03/20/1998 5.89
03/27/1998 5.96
04/03/1998 5.80
04/10/1998 5.88
04/17/1998 5.88
04/24/1998 5.95
05/01/1998 5.93
05/08/1998 5.98
05/15/1998 5.97
05/22/1998 5.90
05/29/1998 5.80
06/05/1998 5.79
06/12/1998 5.66
06/19/1998 5.67
06/26/1998 5.63
07/03/1998 5.60
07/10/1998 5.63
07/17/1998 5.75
07/24/1998 5.69
07/31/1998 5.71
08/07/1998 5.63
08/14/1998 5.54
08/21/1998 5.43
08/28/1998 5.34
09/04/1998 5.29
09/11/1998 5.23
09/18/1998 5.15
09/25/1998 5.11
10/02/1998 4.84
10/09/1998 5.11
10/16/1998 4.98
10/23/1998 5.18
10/30/1998 5.16
11/06/1998 5.39
11/13/1998 5.25
11/20/1998 5.22
11/27/1998 5.16
12/04/1998 5.04
12/11/1998 5.02
12/18/1998 5.00
12/25/1998 5.22
01/01/1999 5.09
01/08/1999 5.27
01/15/1999 5.11
01/22/1999 5.08
01/29/1999 5.09
02/05/1999 5.35
02/12/1999 5.42
02/19/1999 5.39
02/26/1999 5.57
03/05/1999 5.59
03/12/1999 5.52
03/19/1999 5.56
03/26/1999 5.60
04/01/1999 5.59
Source : Bloomberg
</TABLE>
In our last annual report we projected that inflation would remain low and that
the real rate of return on bonds would remain high. Inflation over the past six
months has remained low. Even though bond prices fell over the past six months,
they remain a relatively attractive opportunity given the low inflation
scenario.
Last summer's flight to quality, started by Russia's collapse, reversed course
towards the end of the year as hopes for stability returned to the global
financial markets. In particular, Treasury securities lost appeal as a safe
haven as investors returned to other sectors of the bond market and to the stock
market. Brazil's surprise devaluation did not prompt the same flight to quality
that the market had previously experienced.
At the beginning of this year, stronger than expected economic growth and
concern that the Federal Reserve might reverse policy sent bond prices lower
again, as investors feared that higher inflation was on the horizon. While
Treasuries lagged, other sectors of the bond market outperformed. Investment
grade corporate and high yield bonds did better on hopes that domestic economic
strength would continue, and municipal bonds rose as investors took advantage of
their relatively attractive yields. Looking ahead, we see the current U.S.
economic expansion continuing, but at a slower rate as consumer spending
retreats from its currently unsustainable pace. The Federal Reserve will likely
maintain a neutral stance in the face of a moderating economy, subdued
inflation, and relatively calm global financial markets.
In this environment, the bond market is likely to remain stable, with interest
rates moving within a relatively tight range. Short-term, bond yields could move
to the lower end of this range as the bond market anticipates a slower economy.
Long-term, with the bull market for bonds relatively over, lower interest rate
volatility will make securities that provide incremental yield attractive to
bond investors.
Stock Market
The Bull Keeps Charging
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
S & P 500 Index
---------------
<S> <C>
03/06/1998 1,056
03/13/1998 1,069
03/20/1998 1,099
03/27/1998 1,095
04/03/1998 1,123
04/10/1998 1,111
04/17/1998 1,123
04/24/1998 1,108
05/01/1998 1,121
05/08/1998 1,108
05/15/1998 1,109
05/22/1998 1,110
05/29/1998 1,091
06/05/1998 1,114
06/12/1998 1,099
06/19/1998 1,101
06/26/1998 1,133
07/03/1998 1,146
07/10/1998 1,164
07/17/1998 1,187
07/24/1998 1,141
07/31/1998 1,121
08/07/1998 1,089
08/14/1998 1,063
08/21/1998 1,081
08/28/1998 1,027
09/04/1998 974
09/11/1998 1,010
09/18/1998 1,020
09/25/1998 1,045
10/02/1998 1,003
10/09/1998 984
10/16/1998 1,056
10/23/1998 1,071
10/30/1998 1,099
11/06/1998 1,141
11/13/1998 1,126
11/20/1998 1,164
11/27/1998 1,192
12/04/1998 1,177
12/11/1998 1,166
12/18/1998 1,188
12/25/1998 1,226
01/01/1999 1,229
01/08/1999 1,275
01/15/1999 1,243
01/22/1999 1,225
01/29/1999 1,280
02/05/1999 1,239
02/12/1999 1,230
02/19/1999 1,239
02/26/1999 1,238
03/05/1999 1,275
03/12/1999 1,295
03/19/1999 1,299
03/26/1999 1,283
04/01/1999 1,294
Source: Bloomberg
</TABLE>
The stock market has had a strong year, in spite of the fact that it hit a speed
bump in the third quarter of 1998. Interest rate cuts and a strong economy
ensured that the market continued to rise after this setback, with the Dow
reaching the historic 10,000 mark in the first quarter of 1999. For the year
ended March 31, 1999, the stock market, as measured by the S&P 500 Index, gained
18.5%.
However, these gains were not felt by all of the market. In fact, the market
this year was characterized by narrowness, as only the largest of the large-cap
growth stocks saw strong performance. In fact, the disparity in performance
between large-cap growth-oriented stocks and small-cap value-oriented stocks has
never been greater in the more than 20 years that Morningstar has tracked such
data.
The market was led in large part this year by technology issues. Despite
concerns about overvaluation, technology stocks--and especially Internet
stocks--continued their ascent to new highs. Many technology companies have been
expanding quickly and, in recent years, have offered investors enormous growth
opportunities, which explains their continued popularity. Positive earnings
outlooks and an increased need for technology have also fueled these advances.
Conversely, relatively undervalued issues--known as "value stocks" as well as
small-cap issues, did not partake in the stock market's record rise this year.
Investors ignored dividends in their quest for greater growth, and value stocks
suffered as a result. In addition, investors favored more liquid,
large-capitalization stocks, avoiding smaller, less liquid issues.
Looking ahead, we continue to be cautiously optimistic about the stock market.
While we believe there is a strong possibility of an earnings slow-down in the
coming year, we believe it will not push the market into negative territory but
only temper it. In such an atmosphere, stock selection will be of utmost
importance, and we believe that many attractive opportunities still exist.
6
<PAGE>
The Bond Market
Headline
[PHOTO APPEARS HERE]
Managing Director and Portfolio Manager
Q&A with Bill Gross
Manager
Spotlight
Bill Gross is a Managing Director and one of the founders of PIMCO. He is also
the portfolio manager of the PIMCO Total Return and Low Duration Funds, and is
leader of the team that manages a number of PIMCO Funds including
the Short-Term , StocksPLUS, and Strategic Balanced Funds. Mr. Gross' views on
the financial markets are regularly featured in The Wall Street Journal,
Barron's, Money magazine and The New York Times. We recently spoke with him
regarding his latest outlook for the economy and the bond market.
Q: The bond market backed up in the first quarter of 1999. What happened?
A: Interest rates rose across all maturities as evidence of U.S. economic
strength heightened concern that the Federal Reserve would raise interest rates
to forestall a resurgence in inflation. Investors reacted to surprisingly strong
economic news, including robust consumer spending and housing activity. Federal
Reserve Chairman Alan Greenspan added to the concern when he spoke of the need
to evaluate whether last year's three interest rate cuts remain "appropriate" in
light of the economy's performance.
In addition, the turmoil in Brazil, caused by their surprise decision to devalue
their currency in January, did not generate the same flight to quality rally
that the Treasury market experienced last summer when Russia collapsed. In fact,
since the end of September, other segments of the bond market, like municipals
and corporates, have done better than Treasuries as yield spreads began to
shrink back to historical norms.
Q: Is the bull market for bonds over?
A: Yes, I think the end of the historic 18-year bull run ended when long-term
Treasuries fell to 43/4% last fall. I don't see us entering a new bull market
phase anytime soon, although in the near-term yields could decline a bit as the
bond market anticipates a slower economy.
Q: Do you think the economy will remain strong in 1999?
A: I expect the current U.S. expansion to continue, albeit at a more moderate
pace than in the fourth quarter of 1998 or the past year as a whole. Consumer
and investment spending will remain positive for the economy, though growth of
each will slow from current high levels. Consumers, confident in the face of low
unemployment and stock market gains, have recently dipped into savings to
finance purchases. We believe this trend is not sustainable and that consumption
will slow as savings return to more normal levels. Investment spending will grow
at a slower pace because capacity utilization remains relatively low and
provides less incentive to make investments.
Q: What is your outlook for inflation?
A: Last year I was quite concerned about the risk of deflation, or falling
prices, here in the U.S. Although I think the risks of a dangerous deflationary
spiral in the U.S. have subsided, many parts of the world, including Japan, are
still fighting its effects on their economies.
Going forward, there is nothing on the horizon that suggests rising prices
anytime soon.
Q: Given your economic outlook, what will happen to interest rates?
A: The Federal Reserve will likely maintain a neutral stance in the face of
moderate growth, subdued inflation, and relatively calm global financial
markets. I think, given these circumstances, we may be entering a period where
interest rates remain stable and range-bound. In this environment interest rate
volatility will decline.
Q: Given this outlook, where do you see opportunities over the next six months?
A: Looking ahead, strategies and securities that provide incremental yield will
be very important to portfolio performance. Therefore, we will target duration
near the benchmark and focus on adding value by maximizing yield without adding
significant risk. We will continue to own mortgages as one prudent way of doing
this.
Past performance is no guarantee of future results. The views of Mr. Gross are
not indicative of the past or future performance of any PIMCO Fund.
7
<PAGE>
PIMCO High Yield Fund
A More Responsible High Yield Investment
Fund
Spotlight
At first glance, "responsible" and "high yield" may seem to be a contradiction
in terms. After all, high yield is synonymous with greater risk. However, there
is a high yield option that can offer the higher return potential you'd expect
from such an investment with less risk exposure--PIMCO High Yield Fund.
High yield performance
The Fund's 1998 performance confirmed that it's different from
most competitive funds. It returned +6.2% in contrast to the Lipper High Yield
Fund Average, which lost 0.4%. Nearly half of the 246 high yield funds tracked
by Lipper posted negative returns.
[GRAPHIC APPEARS HERE]
High Yield Fund's long-term record is equally strong. Since inception, its
average annual return is 11.3%, exceeding the overall high yield market (as
measured by the Lehman Intermediate BB rated Corporate Index). It has also
outperformed its peers over the 1-, 3-, 5- year and since inception periods
ended March 31, 1999. All of this has earned the Fund Morningstar's overall 5H
rating as of March 31, 1999 among 1,521 taxable bond funds. (See page 9 for more
details.)
Less relative risk
The Fund has produced these impressive returns with less relative risk than many
other high yield funds. In fact, for the 5-year period ended March 31, 1999
PIMCO High Yield Fund has the second lowest risk rating and the second highest
return rating among 96 similar funds tracked by Morningstar. (See page 27 for
more details.) Notably, since the Fund's inception, it has only had one of its
holdings default, compared to 198 defaults for the overall high yield market.
Attractive Risk/Reward Tradeoff
PIMCO High Yield Fund versus competitive funds average (3/94-3/99)
[GRAPHIC APPEARS HERE]
Past performance is no guarantee of future results. Results for other periods
may vary. "Competitive funds" are all high yield funds tracked by Morningstar.
Plot points represent Morningstar risk and return ratings for all high yield
funds (distinct portfolios only) tracked by Morningstar for the 5-year period
ended 3/31/99. See page 27 for footnotes, which contain additional information.
A proven investment process
The key to PIMCO High Yield Fund's outstanding performance record and relatively
lower risk has been its strict adherence to these principles:
. Focus on higher quality--PIMCO High Yield Fund attempts to control risk by
targeting the upper- and middle-tier credit qualities of the high yield market,
rather than the most speculative lower-tier.
. Diversification--The Fund further reduces risk by investing in a wide variety
of industries and issues. PIMCO's expertise across all sectors of the bond
market allows the Fund to invest in mortgage and international issues which are
not usually considered for high yield investments.
. Extensive research--The Fund manager and his research team conduct exhaustive
credit research, relying heavily on independent analysis, not just on rating
agencies.
. Total return philosophy--The Fund's emphasis on total return (income plus
capital appreciation) distinguishes it from its high yield peers, which tend to
concentrate on income alone. Capital appreciation has made up 18% of the Fund's
total return since inception.
Fixed-income expertise
The Fund is managed by Ben Trosky. Mr. Trosky is a PIMCO Managing Director and a
Chartered Financial Analyst with 18 years of investment experience.
By investing in PIMCO High Yield Fund rather than directly in bonds, you can
secure the benefits of high yield bonds with less relative risk. But all high
yield investments carry more credit risk than investment-grade bonds, so it's
important to view this Fund as a longer-term investment.
To learn more about PIMCO High Yield Fund, call 1-888-87-PIMCO or visit our Web
site at www.pimcofunds.com.
8
<PAGE>
In the News
Recent News on PIMCO Funds
The PIMCO Funds and their institutional portfolio managers are regularly
featured in the press. Here is a sample of some recent articles:
. The Baron of Bonds Bill Gross made the cover of the Barron's (2/8/99) Mutual
Fund Section where he was referred to as the "Baron of Bonds" and was described
as a "fixed income phenomenon" in recognition of his management of PIMCO Total
Return, Low Duration, Short-Term and StocksPLUS Funds.
In addition, The Wall Street Journal (2/9/99) described Bill Gross as "a rare
bond-fund star. He has consistently bet the right direction of interest rates in
recent years, leading to outperformance by his big PIMCO bond funds."
. PIMCO StocksPLUS Fund Makes Money The March issue of Money did a story on
enhanced index funds, citing PIMCO StocksPLUS as "having delivered, beating the
S&P 500 by an annual average of 0.8 percentage points over the past five years."
. The Risk Reward Continuum In a Los Angeles Times (1/26/99) story on the junk
bond market, PIMCO High Yield made the paper's short list of high yield bond
funds exhibiting a combination of high return and low risk based on their
screening parameters. The paper praised the Fund's manager, "Despite Ben
Trosky's play-it-safe approach--recently, 50% of the fund was in BB-rated debt
and 10% was in investment-grade bonds--this fund still beat more than 97% of
it's peers in 1998."
. An Innovative Story The PIMCO Innovation Fund and its portfolio manager,
Dennis McKechnie, have been highlighted recently in numerous print and
television medium. Research Magazine (2/99) and The Orange County Register
(3/99) featured Mr. McKechnie, his philosophy and the Fund's outstanding
performance. And, CNBC, Bloomberg TV and PBS' Dollar Signs have interviewed
Dennis regarding his outlook for the technology sector and how he works that
forecast into the Innovation Fund's portfolio strategy.
Morningstar Inc., an independent organization, provides investors with
information regarding a wide range of investment products. One service offered
by Morningstar is assigning star ratings to the mutual funds it tracks. Funds
begin to be rated once they have a three-year record. The highest Morningstar
rating is five-stars, and the lowest rating is one-star. Following are the PIMCO
Fund family's five- and four-star rated Funds as of March 31, 1999.
- --------------------------------------------------------------------------------
PIMCO STOCK FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------------------------
StocksPLUS ***** 5 5 -
Innovation ***** 5 - -
Capital Appreciation **** 4 4 -
Renaissance **** 4 4 3
- --------------------------------------------------------------------------------
BOND FUNDS Overall 3 Year 5 Year 10 Year
- --------------------------------------------------------------------------------
Short-Term ***** 5 5 4
Low Duration ***** 5 5 5
Total Return ***** 5 4 5
High Yield ***** 5 5 -
Foreign Bond ***** 5 5 -
The chart above is based on March 31, 1999 Morningstar ratings. Overall rating
is a weighted average of a fund's 3-, 5- and 10-year ratings (when applicable).
During the 3-, 5- and 10-year periods there were 2,947, 1,810 and 743 domestic
equity funds and 1,521, 1,048 and 371 taxable bond funds rated, respectively.
Morningstar proprietary ratings reflect historical risk-adjusted performance and
are subject to monthly changes. Therefore, past ratings are not a guarantee of
future results. Overall ratings are calculated from a fund's 3-, 5- and 10-year
(if applicable) average annual total returns in excess of 90-day Treasury bill
returns with appropriate fee adjustments and a risk factor that reflects fund
performance below 90-day T-bill returns. With the exception of Renaissance and
Innovation, ratings are based on institutional class shares. Class D shares,
which were initially offered on April 1998, have not yet been rated by
Morningstar. Had Class D shares been in existence for the same time period as
the institutional class shares, they may have received different ratings due to
Class D shares' higher expenses. Renaissance ratings are based on Class C
shares. Innovation rating based on Class A shares. Other ratings may vary.
5-star ratings are limited to the top 10% of funds in an investment category;
the next 22.5% earn 4 stars, and the next 35% earn 3 stars. Institutional class
shares generally have a $5 million minimum investment. Under special
circumstances, institutional shares may be available.
Call for details.
9
<PAGE>
Introducing: PIMCO Tax-Efficient Equity Fund
Service
Update
For the past several years, the press has trumpeted the positive aspects of
index funds. However, index funds lack active management, which can have
negative implications. PIMCO Tax-Efficient Equity Fund offers investors the
opportunity to invest in an enhanced index fund with an important plus: active
tax management.
Seeking to Outperform the Index
The Fund is managed by Dr. David Stein, a Ph.D. from Harvard in Applied
Mathematics. In an attempt to closely track the movement of the S&P 500 Index,
Dr. Stein employs his proprietary quantitative stock selection model--the same
model the manager uses to privately manage portfolios for endowments, trusts and
high net worth individuals. He also employs a number of enhanced tax managment
techniques, such as tax-lot accounting, tax-loss matching and harvesting, and
low turnover.
The Added Benefit of Tax Efficiency
It's easy to lose sight of investment taxes in a land of high annual returns.
But if the stock market slows down in 1999, as some experts predict, after-tax
perform-ance could become a major issue--and a sore spot for investors.
As its name implies, PIMCO Tax-Efficient Equity Fund is a tax-sensitive fund.
Every portfolio transaction is closely analyzed with an eye toward minimizing
taxes. The Fund uses a variety of techniques to achieve this goal.
. Low Turnover The manager seeks to hold securities for 5-10 years. This leads
to extremely low portfolio turnover and deferred capital gains.
. Low-Dividend Bias The manager favors low-dividend paying stocks and stocks
that do not pay any dividends.
. Tax-Loss Matching and Harvesting The manager attempts to match realized losses
with gains to effectively negate tax consequences. When practical, an
"inventory" of losses is maintained to offset gains in the portfolio. For
additional information on PIMCO Tax-Efficient Equity Fund, please call us at
1-888-87-PIMCO.
Preparing for the Year 2000
There has been much written about the potential pitfalls associated with the
Year 2000--or Y2K. We would like to take this opportunity to provide you with an
update on how PIMCO Funds Distributors LLC is addressing this issue.
The firm is implementing its Year 2000 preparedness plan. This plan has been
reviewed and approved by upper management and the firm's management board. The
plan includes awareness, inventory, assessment, implementation, testing and
contingency planning. This includes a compliance review of the Y2K preparedness
of all our major external business partners. Based on our review and analysis of
the situation, we believe we have allocated necessary staffing and funding for
the project.
We expect all our internal systems to be tested in advance of the Year 2000.
Portfolio Implications
Investment analysts and portfolio managers are aware of the Year 2000 risk.
Due to the pervasive and world-wide nature of the Year 2000 problem, PIMCO
cannot guarantee that its operations will be unaffected by Y2K or that no losses
will be incurred by clients. However, PIMCO believes that its Year 2000 efforts
are reasonably designed to meet these goals.
If you have any questions regarding our Year 2000 preparedness, please write to
us at PIMCO Advisors Y2K Project, 800 Newport Center Drive, Newport Beach, CA
92660. This is a Year 2000 readiness disclosure.
10
<PAGE>
What's new @ www.pimcofunds.com
Access Your PIMCO Funds Account On-line
If you've visited the PIMCO Funds Web site, you know that we provide "one-stop"
access to the most timely and complete information available on all of the PIMCO
Funds.
[GRAPHIC OF COMPUTER SCREEN APPEARS HERE]
Once you've received your Personal Identification Number (PIN), you can access
your account--simply, securely, whenever you want.
There's always room for improvement, however, and so we are pleased to announce
an enhancement to the site that will make it even more useful.
Now, access your account--securely--on-line. Shareholders with direct accounts
are now able to access their accounts on-line. A direct account is an account
where the shareholder receives statements directly from PIMCO Funds.
To access your account, click on "My PIMCO Funds Account" on the site's Home
page. This link brings you to a page where you will enter your PIN (Personal
Identification Number) and Social Security number.
*You may also elect to use the system if your browser supports 40-bit
encryption.
Your PIMCO Funds Customer Service Representative can provide you with a
temporary PIN over the phone. Call 1-888-87-PIMCO, Mon.-Fri., 8:00am-8:00pm ET.
We know how important your privacy is, so we've employed 128-bit encryption--the
highest level available on the Internet. If your Web browser does not support
this level of encryption, you will get a message indicating your browser needs
to be upgraded.* Simply follow the links provided for information on how to
download a browser that meets our security requirements.
Once you gain access to your account, you'll be able to:
. view your current account balance (both for individual funds and your account
total)
. check recent transactions
. see cumulative distributions for both the current and previous year (such as
dividends and capital gains)
. change your PIN.
Also, remember the site features "My Portfolio," which enables you to track the
market value of your entire investment portfolio--PIMCO Funds as well as other
funds, stocks, futures and options holdings.
If you have any comments or questions about the site, please call us today at
1-888-87-PIMCO. Or use the e-mail feature of the site to contact us.
[GRAPHIC OF COMPUTER SCREEN APPEARS HERE]
View your account balance, check recent transactions and see all your
distributions--all on the PIMCO Funds Web site.
11
<PAGE>
The PIMCO Funds Family
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages over $248 billion, including assets for 46 of the 100 largest
U.S. corporations.
The firm's institutional heritage is reflected in the PIMCO Funds, each seeking
the highest caliber performance in a specific investment style. To learn more
about any of the PIMCO Funds, please call us at 1-888-87-PIMCO.
<TABLE>
<CAPTION>
Fund Name Objective Primary Portfolio Composition
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Blend Capital Appreciation Growth of capital Stocks of larger-capitalized companies the manager
Stock Funds believes are reasonably priced
Mid-Cap Growth Growth of capital Stocks of medium-capitalized companies the manager
believes are reasonably priced
- ------------------------------------------------------------------------------------------------------------------------------------
Value Equity Income Current income and Stocks of companies with below-average P/Es
Stock Funds long-term growth and above-average dividends
Renaissance Long-term growth of Stocks with below-average valuations
capital and income
Value Long-term growth of Stocks of companies with below-average P/Es
capital and income
- ------------------------------------------------------------------------------------------------------------------------------------
Enhanced Index Tax-Efficient Equity Maximum after-tax Stocks of larger-capitalized companies
Funds growth of capital
StocksPLUS Total return exceeding the S&P 500 stock index futures backed by a portfolio of
S&P 500 Index short-term, fixed-income securities
Strategic Balanced Maximum total return Securities eligible for purchase by the PIMCO
StocksPLUS and Total Return Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Sector Related Innovation Capital appreciation Stocks of technology-related companies
Stock Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Short Duration Short-Term Maximum current income Money market securities and short-term bonds
Bond Funds consistent with (up to 1 year duration)
preservation of capital and
daily liquidity
Low Duration Maximum total return Shorter-term, investment-grade bonds (1-3 year
duration)
- ------------------------------------------------------------------------------------------------------------------------------------
Intermediate Total Return Maximum total return Intermediate-term, investment-grade bonds
Duration Bond Funds (3-6 year duration)
Total Return Mortgage Maximum total return Intermediate-term, investment-grade mortgage-related
securities
- ------------------------------------------------------------------------------------------------------------------------------------
International Foreign Bond Maximum total return Investment-grade foreign bonds (3-7 year duration)
Bond Funds
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond High Yield Maximum total return High-yield bonds (2-6 year duration)
Funds
- ------------------------------------------------------------------------------------------------------------------------------------
Tax Exempt Municipal Bond High current income exempt Investment-grade municipal bonds (3-10 year duration)
Bond Funds from federal taxes,
preservation of capital
- ------------------------------------------------------------------------------------------------------------------------------------
Inflation-Indexed Real Return Bond Maximum total return Inflation-adjusted government bonds
Bond Funds
</TABLE>
For more information on the risks associated with these Funds, see page 25.
12
<PAGE>
Pacific Investment Management Series
PIMCO Funds Annual Report
Dear Fellow Shareholder:
The past 12 months have been an eventful time. While domestic political tensions
have slowly diffused, on the international front the U.S. embarked with its NATO
allies on a difficult military mission in the Balkans. So far that situation has
had little impact on the markets, but all eyes are upon it.
Meanwhile, the U.S. economy has continued to expand while inflation has remained
exceptionally low. Against this backdrop, both stocks and bonds have done well.
The stock market maintained its upward momentum, even after the volatile third
quarter of 1998, with most of the major indices heading into record territory by
the end of the first quarter of this year. 1998 saw the U.S. bond markets
flourish, hitting record levels of activity in the primary markets.
On a more microcosmic level, the past 12 months have been eventful at PIMCO
Funds too. The Funds in our Pacific Investment Management Series have continued
to excel, with relative strong performance experienced in all of our domestic
and foreign portfolios. The year culminated with the news that Morningstar had
named Bill Gross and his team Fixed Income Manager of the Year. Another
milestone followed when Total Return Fund (managed by Mr. Gross) topped the $25
billion mark, making it the largest bond fund in the world, and the only bond
fund on the select list of the 25 biggest mutual funds in America (Source:
Bloomberg).
Within this Annual, you'll find detailed fund information and financial
highlights. As always, we appreciate the trust you have placed in us through
your investments. If you have any questions regarding your investment, contact
your financial advisor, or call us at 1-888-87-PIMCO. Or visit our Web site at
www.pimcofunds.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
April 23, 1999
13
<PAGE>
PIMCO Funds Financial Information
We are pleased to present an in-depth review of the PIMCO Funds: Pacific
Investment Management Series Funds as of March 31, 1999. In order to help
analyze, compare and contrast the Funds, the report is broken down into a number
of sections. Listed below is a table of contents and descriptions of the various
sections.
Pages 15-25 Fund Summaries
A summary of a Fund's performance record and portfolio composition, and a review
from the Fund's investment manager.
Pages 26-72 Schedule of Investments
The Schedule of Investments includes a listing of securities in the Fund's
portfolio as of March 31, 1999, including the number of shares or principal
amount and value as of that date.
Schedule of
Fund Name Fund Summary Investments
Foreign Bond Fund Page 15 Page 26
High Yield Fund Page 16 Page 30
Low Duration Fund Page 17 Page 35
Municipal Bond Fund Page 18 Page 41
Real Return Bond Fund Page 19 Page 44
Short-Term Fund Page 20 Page 46
StocksPLUS Fund Page 21 Page 48
Strategic Balanced Fund Page 22 Page 51
Total Return Fund Page 23 Page 54
Total Return Mortgage Fund Page 24 Page 72
Pages 73 Financial Highlights
This chart shows a per share breakdown of the factors that affect a Fund's NAV
for the current and past reporting periods. In addition to showing total
returns, the chart reports distributions, asset sizes, expense ratios and
portfolio turnover rates.
Pages 74-75 Statements of Assets and Liabilities
A "balance sheet" of a Fund as of the last day of the fiscal period. It includes
the Fund's class-level NAVs per share by dividing the Fund's class-level net
assets (assets minus liabilities) by the number of class-level shares
outstanding.
Pages 76-77 Statements of Operations
This statement lists a Fund's income, expenses, and gains and losses on
securities and currency transactions, and appreciation or depreciation from
portfolio holdings.
Pages 78-80 Statements of Changes in Net Assets
This reports the increase or decrease in a Fund's net assets during the
reporting period. Changes in net assets are due to a variety of factors,
including investment operations, dividends, distributions and capital share
transactions.
Pages 81 Statements of Cash Flow
For certain Funds that employ leveraging in the investment strategy, this
reports the increase or decrease in a Fund's cash balance during the reporting
period. Changes in cash balances are due to a variety of factors, including
investment operations, dividends, distributions and capital share transactions.
Pages 82-86 Notes to Financial Statements
A description of the significant accounting policies of the Funds, and more
detailed information about the schedules and tables that appear in the report.
14
<PAGE>
PIMCO Foreign Bond Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
PORTFOLIO:
Primarily investment grade foreign bonds.
DURATION RANGE:
3-7 years
FUND INCEPTION DATE:
12/3/92
TOTAL NET ASSETS:
$621 million
PORTFOLIO MANAGER:
Lee Thomas
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Intl. J.P. Morgan
Income Fund Non-U.S.
Average Index (Hedged)
- --------------------------------------------------------------------------------
1 year 7.5% 7.2% 10.6%
3 years 12.2% 5.6% 12.2%
5 years 10.9% 6.6% 10.7%
Inception 10.5% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
J.P. Morgan
MONTH PIMCO Non-U.S.
Foreign D Index
<S> <C> <C>
12/31/92 10,000 10,000
01/31/93 10,079 10,091
02/28/93 10,297 10,274
03/31/93 10,332 10,280
04/30/93 10,328 10,281
05/31/93 10,417 10,338
06/30/93 10,660 10,549
07/31/93 10,824 10,667
08/31/93 11,083 10,889
09/30/93 11,123 10,936
10/31/93 11,284 11,082
11/30/93 11,312 11,159
12/31/93 11,590 11,390
01/31/94 11,601 11,333
02/28/94 11,290 11,078
03/31/94 11,089 10,977
04/30/94 10,981 10,899
05/31/94 10,816 10,779
06/30/94 10,613 10,669
07/31/94 10,675 10,739
08/31/94 10,566 10,636
09/30/94 10,580 10,645
10/31/94 10,617 10,687
11/30/94 10,770 10,838
12/31/94 10,696 10,813
01/31/95 10,764 10,931
02/28/95 10,831 11,072
03/31/95 10,834 11,297
04/30/95 11,095 11,477
05/31/95 11,527 11,854
06/30/95 11,453 11,814
07/31/95 11,667 11,963
08/31/95 11,885 12,067
09/30/95 12,051 12,258
10/31/95 12,248 12,395
11/30/95 12,725 12,667
12/31/95 12,909 12,785
01/31/96 13,222 12,939
02/29/96 12,936 12,787
03/31/96 13,142 12,893
04/30/96 13,456 13,047
05/31/96 13,503 13,136
06/30/96 13,651 13,245
07/31/96 13,780 13,345
08/31/96 14,113 13,522
09/30/96 14,504 13,810
10/31/96 14,858 14,038
11/30/96 15,213 14,319
12/31/96 15,289 14,339
01/31/97 15,528 14,518
02/28/97 15,607 14,611
03/31/97 15,407 14,533
04/30/97 15,546 14,690
05/31/97 15,622 14,767
06/30/97 15,931 15,018
07/31/97 16,162 15,257
08/31/97 16,091 15,275
09/30/97 16,434 15,545
10/31/97 16,237 15,645
11/30/97 16,451 15,757
12/31/97 16,686 15,962
01/31/98 16,922 16,174
02/28/98 17,072 16,318
03/31/98 17,280 16,464
04/30/98 17,336 16,548
05/31/98 17,476 16,774
06/30/98 17,560 16,847
07/31/98 17,834 17,003
08/31/98 17,686 17,338
09/30/98 18,086 17,749
10/31/98 17,706 17,722
11/30/98 18,032 17,914
12/31/98 18,279 17,892
01/31/99 18,648 18,114
02/28/99 18,460 17,993
03/31/99 18,567 18,207
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. Foreign
investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 25 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 1%
- --------------------------------------------------------------------------------
1-5 years 41%
- --------------------------------------------------------------------------------
5-10 years 43%
- --------------------------------------------------------------------------------
10-20 years 2%
- --------------------------------------------------------------------------------
20-30 years 13%
- --------------------------------------------------------------------------------
Duration 5.9 years
- --------------------------------------------------------------------------------
Top 10 Countries
- --------------------------------------------------------------------------------
United States 34.4%
- --------------------------------------------------------------------------------
Japan 11.7%
- --------------------------------------------------------------------------------
United Kingdom 9.4%
- --------------------------------------------------------------------------------
Italy 7.5%
- --------------------------------------------------------------------------------
Germany 5.9%
- --------------------------------------------------------------------------------
Canada 5.0%
- --------------------------------------------------------------------------------
Supranational 4.7%
- --------------------------------------------------------------------------------
Sweden 3.4%
- --------------------------------------------------------------------------------
Denmark 3.0%
- --------------------------------------------------------------------------------
Spain 1.9%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 68.0%
- --------------------------------------------------------------------------------
AA 19.0%
- --------------------------------------------------------------------------------
A 4.3%
- --------------------------------------------------------------------------------
BBB 6.7%
- --------------------------------------------------------------------------------
BB 1.4%
- --------------------------------------------------------------------------------
B 0.6%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Foreign Bond Fund returned 7.5% for Class D shares for the one-year period
ended March 31, 1999, outperforming the Lipper International Income Fund
Average's 7.2% return for the period. The Fund also did well over longer
periods, outperforming the Lipper Average for the three- and five-year time
periods and since its inception.
Beginning in July of 1998, the heightened turmoil in the emerging markets,
in particular Russia's debt default, and the near collapse of Long Term Capital
Management sparked a wave of volatility and a subsequent flight to quality which
drove investors out of riskier asset classes and into safe-haven securities.
Natural resource based economies suffered as commodity prices, particularly oil,
fell. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects negatively influenced many other bond
markets.
However, there were several positive factors that helped to boost the
Fund's performance The turmoil of last summer created opportunities in the fall
as calm returned to the markets and investors regained confidence. As a result,
the Fund's bullish duration stance proved beneficial as yields in most developed
bond markets ended the year lower.
Country selection within the European bloc was also important to
performance. The Fund benefited from an overweight position in long-term German
bonds as low inflation data pushed bond prices higher. In addition, the Fund's
position in the Greek bond market contributed to performance as investors
responded positively to Greece's announcement of timely entry into the EMU.
Overweight positions in other second round EMU candidates, especially
Scandinavian countries, also enhanced returns as their yields converged on
German levels in response to successive interest rate cuts by their central
banks.
Our underweight exposure to the Japanese yen and government bonds was the
primary detractor from performance over the past year. Contrary to most
expectations the yen actually strengthened and, despite supply concerns at the
end of 1998, the Japanese bond market saw a sustained rally for most of the
year. In addition, the Fund's currency strategy in Europe detracted from returns
as the euro suffered a shaky debut.
Looking ahead, the manager currently sees further interest declines across
many of the world's major markets, especially Europe and Japan where
sub-potential economic growth should likely keep a downward bias on interest
rates. The Fund intends to continue to invest in high quality fixed-income
securities that the manager believes to be among the safest and most liquid
within the foreign bond market.
See page 26 for financial details. 15
<PAGE>
PIMCO High Yield Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily high yield bonds.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
12/16/92
TOTAL NET ASSETS:
$3,223 million
PORTFOLIO MANAGER:
Ben Trosky
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper High Lehman BB
Current Yield Int. Corp.
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 4.4% -1.9% 4.4%
3 years 10.2% 8.2% 8.9%
5 years 10.8% 8.2% 9.7%
Inception 11.3% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
Class D Book
PIMCO Lehman BB
MONTH High Int. Corp.
Yield D Index
<S> <C> <C>
12/31/92 10,000 10,000
01/31/93 10,224 10,211
02/28/93 10,409 10,361
03/31/93 10,616 10,478
04/30/93 10,726 10,566
05/31/93 10,801 10,644
06/30/93 11,091 10,870
07/31/93 11,167 10,980
08/31/93 11,288 11,107
09/30/93 11,341 11,188
10/31/93 11,642 11,338
11/30/93 11,728 11,368
12/31/93 11,825 11,465
01/31/94 12,074 11,657
02/28/94 12,068 11,644
03/31/94 11,703 11,288
04/30/94 11,598 11,221
05/31/94 11,679 11,231
06/30/94 11,692 11,265
07/31/94 11,798 11,402
08/31/94 11,894 11,523
09/30/94 11,972 11,544
10/31/94 11,975 11,571
11/30/94 11,923 11,492
12/31/94 12,063 11,563
01/31/95 12,177 11,749
02/28/95 12,507 12,106
03/31/95 12,686 12,220
04/30/95 12,959 12,465
05/31/95 13,331 12,831
06/30/95 13,436 12,944
07/31/95 13,612 13,062
08/31/95 13,713 13,138
09/30/95 13,901 13,280
10/31/95 14,100 13,384
11/30/95 14,267 13,553
12/31/95 14,504 13,767
01/31/96 14,735 13,990
02/29/96 14,747 13,940
03/31/96 14,626 13,867
04/30/96 14,686 13,862
05/31/96 14,731 13,881
06/30/96 14,787 14,031
07/31/96 14,914 14,107
08/31/96 15,153 14,221
09/30/96 15,502 14,527
10/31/96 15,652 14,729
11/30/96 15,987 15,026
12/31/96 16,142 15,059
01/31/97 16,303 15,203
02/28/97 16,550 15,386
03/31/97 16,328 15,203
04/30/97 16,498 15,392
05/31/97 16,869 15,655
06/30/97 17,113 15,857
07/31/97 17,550 16,330
08/31/97 17,539 16,174
09/30/97 17,830 16,428
10/31/97 17,843 16,484
11/30/97 18,009 16,600
12/31/97 18,209 16,752
01/31/98 18,516 16,953
02/28/98 18,611 17,031
03/31/98 18,752 17,140
04/30/98 18,795 17,228
05/31/98 18,888 17,340
06/30/98 19,022 17,446
07/31/98 19,218 17,536
08/31/98 18,441 17,052
09/30/98 18,670 17,414
10/31/98 18,479 17,191
11/30/98 19,254 17,603
12/31/98 19,331 17,714
01/31/99 19,582 17,897
02/28/99 19,416 17,764
03/31/99 19,571 17,892
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. The
investments made by the High Yield Fund may involve high risk and may have
speculative characteristics. See page 25 for Footnotes, which include additional
details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 11%
- --------------------------------------------------------------------------------
1-5 years 21%
- --------------------------------------------------------------------------------
5-10 years 58%
- --------------------------------------------------------------------------------
10-20 years 6%
- --------------------------------------------------------------------------------
20-30 years 4%
- --------------------------------------------------------------------------------
Duration 4.8 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 79.2%
- --------------------------------------------------------------------------------
Short-Term Instruments 7.6%
- --------------------------------------------------------------------------------
Asset-Backed Securities 6.1%
- --------------------------------------------------------------------------------
Other 7.1%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 7.6%
- --------------------------------------------------------------------------------
AA 0.8%
- --------------------------------------------------------------------------------
A 0.1%
- --------------------------------------------------------------------------------
BBB 8.0%
- --------------------------------------------------------------------------------
BB 51.1%
- --------------------------------------------------------------------------------
B 32.4%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
Despite a difficult year in the high yield market, the High Yield Fund posted
strong relative results. For the year ended March 31, 1999 the Fund returned
4.4% for Class D shares, comparing quite favorably to the Lipper High Current
Yield Average, which lost -1.9% for the period. The Fund also performed well
over the long term, outpacing its benchmark over the three- and five-year
periods, as well as since its inception.
The Fund's manager invests primarily in middle- and upper-tier quality,
high yield bonds in an effort to limit the portfolio's exposure to risks
associated with the lower-tier of the junk bond market. In the second and third
quarters of 1998 this strategy paid off handsomely, as much of the high yield
market suffered large losses as the corporate sector was hit by worries about
growing global turmoil and its possible effect on domestic corporate profits.
The Fund managed to avoid many of the problems that beset most of its peers
for several reasons. First, a defensive industry orientation, accomplished by a
large weight in more stable credit sectors such as utilities, telecommunications
and cable TV benefited the Fund, as these sectors were less prone to the
volatility created by the global turmoil. Second, the Fund avoided securities
issued by commodity producers who have been hurt by the deflationary
environment, which has kept commodity prices low. Third, purchasing out-of-favor
industries when calm returned to the financial markets after last year's global
turmoil enhanced performance. In particular, the energy sector, was a good buy
for the Fund. Finally, a small allocation to emerging market issues contributed
positively to results as they benefited from the calm after the storm.
The Fund was negatively impacted by its holdings of single B-rated credits,
which underperformed for the same reasons that the sectors mentioned above
outperformed. In response, over the past year the manager has trimmed the Fund's
exposure to single B-rated credits to 32.4% of the portfolio from 50% in the
first quarter of 1998.
Looking ahead, the manager currently expects to remain cautious, keeping
the portfolio solidly in the BB category, given the expectation that the economy
and corporate profits will slow. The Fund intends to underweight cyclical
credits, a sector that should have difficulty maintaining price levels as the
economy slows. And the Fund will remain overweight in defensive sectors,
focusing on industries with stable cash flow.
16 See page 30 for financial details.
<PAGE>
PIMCO Low Duration Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily shorter-term, investment grade bonds.
DURATION RANGE:
1-3 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$3,871 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Shrt. Inv. Merrill Lynch
Grade Debt Fund 1-3 yr. Tsy.
Average Index
- --------------------------------------------------------------------------------
1 year 6.0% 5.1% 6.1%
5 years 6.7% 5.7% 6.2%
10 years 7.9% 7.0% 7.3%
Inception 7.8% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO Merrill Lynch
MONTH Low 1-3 yr. Tsy.
Duration D Index
<S> <C> <C>
05/31/87 10,000 10,000
06/30/87 10,091 10,109
07/31/87 10,125 10,158
08/31/87 10,121 10,167
09/30/87 10,094 10,127
10/31/87 10,254 10,351
11/30/87 10,367 10,414
12/31/87 10,425 10,480
01/31/88 10,595 10,648
02/29/88 10,669 10,735
03/31/88 10,733 10,756
04/30/88 10,775 10,772
05/31/88 10,797 10,756
06/30/88 10,895 10,868
07/31/88 10,950 10,876
08/31/88 10,991 10,899
09/30/88 11,090 11,026
10/31/88 11,190 11,136
11/30/88 11,201 11,106
12/31/88 11,248 11,132
01/31/89 11,339 11,219
02/28/89 11,354 11,219
03/31/89 11,395 11,270
04/30/89 11,527 11,443
05/31/89 11,761 11,614
06/30/89 12,015 11,831
07/31/89 12,188 12,006
08/31/89 12,128 11,932
09/30/89 12,187 12,003
10/31/89 12,345 12,184
11/30/89 12,454 12,299
12/31/89 12,513 12,348
01/31/90 12,502 12,358
02/28/90 12,585 12,416
03/31/90 12,649 12,457
04/30/90 12,637 12,482
05/31/90 12,847 12,673
06/30/90 12,982 12,806
07/31/90 13,121 12,966
08/31/90 13,143 13,005
09/30/90 13,212 13,111
10/31/90 13,304 13,255
11/30/90 13,460 13,386
12/31/90 13,601 13,548
01/31/91 13,724 13,672
02/28/91 13,829 13,754
03/31/91 13,943 13,846
04/30/91 14,109 13,977
05/31/91 14,216 14,062
06/30/91 14,302 14,119
07/31/91 14,457 14,242
08/31/91 14,661 14,437
09/30/91 14,848 14,593
10/31/91 14,973 14,750
11/30/91 15,132 14,903
12/31/91 15,383 15,131
01/31/92 15,392 15,107
02/29/92 15,465 15,160
03/31/92 15,469 15,154
04/30/92 15,574 15,293
05/31/92 15,729 15,432
06/30/92 15,872 15,590
07/31/92 16,078 15,765
08/31/92 16,181 15,903
09/30/92 16,338 16,055
10/31/92 16,340 15,959
11/30/92 16,345 15,933
12/31/92 16,511 16,084
01/31/93 16,663 16,251
02/28/93 16,856 16,390
03/31/93 16,947 16,439
04/30/93 17,024 16,541
05/31/93 17,039 16,495
06/30/93 17,204 16,616
07/31/93 17,259 16,655
08/31/93 17,423 16,800
09/30/93 17,486 16,855
10/31/93 17,603 16,888
11/30/93 17,616 16,892
12/31/93 17,735 16,954
01/31/94 17,828 17,063
02/28/94 17,747 16,954
03/31/94 17,666 16,870
04/30/94 17,604 16,810
05/31/94 17,581 16,834
06/30/94 17,613 16,884
07/31/94 17,773 17,029
08/31/94 17,844 17,089
09/30/94 17,814 17,050
10/31/94 17,808 17,088
11/30/94 17,808 17,012
12/31/94 17,794 17,050
01/31/95 17,954 17,288
02/28/95 18,177 17,525
03/31/95 18,246 17,623
04/30/95 18,470 17,780
05/31/95 18,801 18,091
06/30/95 18,893 18,188
07/31/95 18,895 18,263
08/31/95 19,095 18,372
09/30/95 19,261 18,461
10/31/95 19,402 18,617
11/30/95 19,623 18,782
12/31/95 19,851 18,926
01/31/96 19,992 19,087
02/29/96 19,858 19,006
03/31/96 19,844 18,989
04/30/96 19,848 19,005
05/31/96 19,862 19,044
06/30/96 20,058 19,181
07/31/96 20,121 19,256
08/31/96 20,215 19,323
09/30/96 20,496 19,498
10/31/96 20,787 19,717
11/30/96 21,064 19,868
12/31/96 21,003 19,868
01/31/97 21,173 19,962
02/28/97 21,253 20,007
03/31/97 21,162 20,000
04/30/97 21,414 20,163
05/31/97 21,589 20,301
06/30/97 21,753 20,440
07/31/97 22,099 20,665
08/31/97 22,081 20,684
09/30/97 22,271 20,841
10/31/97 22,432 20,996
11/30/97 22,492 21,047
12/31/97 22,661 21,191
01/31/98 22,829 21,396
02/28/98 22,902 21,415
03/31/98 22,996 21,502
04/30/98 23,113 21,603
05/31/98 23,256 21,718
06/30/98 23,307 21,831
07/31/98 23,412 21,933
08/31/98 23,499 22,209
09/30/98 23,971 22,503
10/31/98 23,930 22,613
11/30/98 24,064 22,594
12/31/98 24,206 22,673
01/31/99 24,308 22,763
02/28/99 24,174 22,652
03/31/99 24,375 22,810
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. See page 25
for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 13%
- --------------------------------------------------------------------------------
1-5 years 72%
- --------------------------------------------------------------------------------
5-10 years 15%
- --------------------------------------------------------------------------------
10-20 years 0%
- --------------------------------------------------------------------------------
20-30 years 0%
- --------------------------------------------------------------------------------
Duration 2.6 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 53.5%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 31.4%
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 3.7%
- --------------------------------------------------------------------------------
Sovereign Issues 3.1%
- --------------------------------------------------------------------------------
Other 8.3%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 63.2%
- --------------------------------------------------------------------------------
AA 7.3%
- --------------------------------------------------------------------------------
A 11.7%
- --------------------------------------------------------------------------------
BBB 10.0%
- --------------------------------------------------------------------------------
BB 7.5%
- --------------------------------------------------------------------------------
B 0.3%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Low Duration Fund seeks to maximize total return in a method consistent with
the preservation of capital and prudent investment management. For the year
ended March 31, 1999, the Fund's Class D shares returned 6.0%, outperforming the
Lipper Short Investment Grade Fund Average, which returned 5.1% for the same
period. Over the longer-term, the Fund has outperformed the Lipper Average over
the three-, five-, and ten-year periods as well as since inception.
The Fund's above index duration (sensitivity to changes in interest rates)
increased returns as short- and intermediate-term interest rates fell during the
flight-to-quality rally that ensued after Russia's collapse in the third quarter
of 1998. Corporate sector holdings also helped returns in the fourth quarter of
1998 and first quarter of this year when yield premiums, the difference in yield
between corporate issues and like-maturity Treasuries, narrowed as market
uncertainty declined and the outlook for corporate profits improved.
The substantial allocation to mortgage-backed securities was neutral for
performance over the past year. As interest rates fell, the Fund's holdings in
this segment actually fell in price because of the increased prepayment risks.
However, the manager's choice of lower-coupon, less prepayment sensitive
mortgages faired better than the sector as a whole. The portfolio's
concentration in maturities longer than the benchmark hindered relative
performance as these yields declined less than other areas of the yield curve.
Looking ahead the manager anticipates that the U.S. economic expansion will
continue, albeit at a more moderate pace. With inflation still low the Federal
Reserve is likely to remain neutral. In this environment interest rates should
be stable and range-bound. The decreasing interest rate volatility will likely
require the manager to employ strategies that enhance yield in order to improve
performance. The manager anticipates that the target duration will be slightly
above the benchmark in order to capture the higher yield that the
longer-maturity securities provide and emphasize mortgage-backed securities as
high quality, yield-enhancing holdings.
See page 35 for financial details. 17
<PAGE>
PIMCO Municipal Bond Fund
OBJECTIVE:
High current income exempt from federal income tax, consistent with preservation
of capital.
PORTFOLIO:
Investment grade municipal bonds.
DURATION RANGE:
3-10 years
FUND INCEPTION DATE:
12/31/97
TOTAL NET ASSETS:
$59 million
PORTFOLIO MANAGER:
Ben Ehlert
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Lehman General
Gen. Municipal Municipal Bond
Bond Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 5.7% 4.9% 6.2%
Inception 5.1% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO Lehman Bros.
MONTH Municipal Muni Bond
Bond D Index
<S> <C> <C>
12/31/97 10,000 10,000
01/31/98 10,115 10,103
02/28/98 10,065 10,106
03/31/98 10,070 10,115
04/30/98 10,001 10,070
05/31/98 10,196 10,229
06/30/98 10,228 10,269
07/31/98 10,236 10,294
08/31/98 10,423 10,454
09/30/98 10,560 10,585
10/31/98 10,535 10,585
11/30/98 10,560 10,622
12/31/98 10,569 10,648
01/31/99 10,706 10,775
02/28/99 10,635 10,727
03/31/99 10,641 10,742
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. See page 25
for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------------------------------------------------
1 year or less 4%
- -------------------------------------------------------------------------------
1-5 years 12%
- -------------------------------------------------------------------------------
5-10 years 53%
- -------------------------------------------------------------------------------
10-20 years 27%
- -------------------------------------------------------------------------------
20-30 years 4%
- -------------------------------------------------------------------------------
Duration 7.5 years
- -------------------------------------------------------------------------------
Sector Breakdown
- -------------------------------------------------------------------------------
Municipal Bonds & Notes 99.7%
- -------------------------------------------------------------------------------
Other 0.3%
- -------------------------------------------------------------------------------
Quality Breakdown
- -------------------------------------------------------------------------------
AAA 56.0%
- -------------------------------------------------------------------------------
AA 17.6%
- -------------------------------------------------------------------------------
A 12.6%
- -------------------------------------------------------------------------------
BBB 10.8%
- -------------------------------------------------------------------------------
BB 3.0%
- -------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Municipal Bond Fund was launched on December 31, 1997. The Fund seeks high
current income exempt from federal taxes through investment in investment-grade
municipal securities. A secondary objective of the Fund is to seek capital
appreciation. The total return potential of this Fund sets it apart from many
other tax-exempt funds.
For the year ending March 31, 1999, the Fund returned 5.7% for its Class D
shares, outpacing the Lipper General Municipal Bond Fund Average, which returned
4.9% for the same period.
The global turmoil that effected other credit segments, such as foreign and
emerging markets, in the second and third quarter of 1998, positively impacted
the municipal bond market as their yields fell in sympathy with the drop in U.S.
Treasury yields. The Fund benefited from above benchmark duration (the
sensitivity to changes in interest rates) during this period. In addition, the
ratio of municipal yields to Treasury yields, for maturities above 10 years,
narrowed, meaning that on an after-tax basis Treasury yields were lower than
municipal yields. This enhanced performance on a relative basis. The Fund's
results were aided further by the manager's selection of insured and revenue
bond holdings, which performed better than the associated benchmark index
sectors.
Going forward, the manager currently intends to keep the duration of the
Fund closer to the benchmark as we enter a period where we believe interest
rates will remain within a tight range. As the benefits of investing in lower
quality municipal securities remain relatively marginal, it is anticipated that
the Fund will maintain an average quality of AA in order to maximize returns
while minimizing risk.
18 See page 41 for financial details.
<PAGE>
PIMCO Real Return Bond Fund
OBJECTIVE:
Maximum real return, consistent with preservation of real capital and prudent
investment management.
PORTFOLIO:
Primarily inflation-indexed bonds.
FUND INCEPTION DATE:
1/29/97
TOTAL NET ASSETS:
$28 million
PORTFOLIO MANAGER:
John Brynjolfsson
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Short Lehman Brothers
U.S. Govt. Inflation Linked
Fund Avg. Tsy. Index
- --------------------------------------------------------------------------------
1 year 6.0% 5.2% 4.0%
Inception 4.7% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO Lehman
MONTH Real Infl. Linked
Return D Tsy. Index
<S> <C> <C>
01/31/97 10,000 10,000
02/28/97 10,031 10,033
03/31/97 9,938 9,896
04/30/97 9,996 9,956
05/31/97 10,053 10,010
06/30/97 10,028 9,978
07/31/97 10,149 10,072
08/31/97 10,167 10,103
09/30/97 10,183 10,123
10/31/97 10,308 10,227
11/30/97 10,359 10,284
12/31/97 10,302 10,241
01/31/98 10,359 10,291
02/28/98 10,344 10,282
03/31/98 10,364 10,277
04/30/98 10,417 10,315
05/31/98 10,456 10,388
06/30/98 10,489 10,414
07/31/98 10,566 10,463
08/31/98 10,570 10,486
09/30/98 10,812 10,697
10/31/98 10,865 10,721
11/30/98 10,846 10,710
12/31/98 10,796 10,646
01/31/99 10,951 10,769
02/28/99 10,923 10,693
03/31/99 10,985 10,689
</TABLE>
*Past performance is no guarantee of future results. The Fund may invest in
foreign securities which involve potentially higher risks including foreign
currency fluctuations and political or economic uncertainty. See page 25 for
Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 4%
- --------------------------------------------------------------------------------
1-5 years 92%
- --------------------------------------------------------------------------------
5-10 years 1%
- --------------------------------------------------------------------------------
10-20 years 1%
- --------------------------------------------------------------------------------
20-30 years 2%
- --------------------------------------------------------------------------------
Duration 2.5 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 51.2%
- --------------------------------------------------------------------------------
U.S. Government Agencies 15.8%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 12.6%
- --------------------------------------------------------------------------------
Asset-Backed Securities 10.7%
- --------------------------------------------------------------------------------
Other 9.7%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 85.4%
- --------------------------------------------------------------------------------
AA 5.9%
- --------------------------------------------------------------------------------
A 4.2%
- --------------------------------------------------------------------------------
BBB 1.8%
- --------------------------------------------------------------------------------
BB 2.7%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
This Fund seeks to maximize real return, consistent with preservation of real
capital through investment in inflation-indexed bonds. Inflation-indexed
Treasury securities are offered by the U.S. government to provide protection
against the effects of inflation. Specifically, these bonds pay a fixed interest
rate, while the principal value fluctuates with changes in the inflation rate
(as measured by the Consumer Price Index). And if an investor holds the bonds to
maturity, the government guarantees the return of the inflation-adjusted initial
principal.
Over the past 12 months, the Fund returned 6.0% for its Class D shares,
beating it's benchmark, the Lehman Inflation-Linked Index, which returned 4.0%
for the same period.
Although the Fund may invest in securities that are not inflation-indexed,
the manager chose to limit the Fund's weight in this area, as U.S. real yields
remained at historically high levels. The Fund benefited from the narrowing in
the difference between the yields of inflation-indexed Treasuries and regular
Treasuries over the course of the year, which made the inflation-indexed yields
higher than regular yields adjusted for inflation.
The Fund's duration (sensitivity to changes in interest rates) management
also enhanced performance. During the third quarter of 1998, the
flight-to-quality rally caused by Russia's collapse led to lower interest rates
and enhanced returns as the portfolio's duration was targeted above the
benchmark. And in the first quarter of this year the duration was reduced to
lower the Fund's exposure to price erosion as interest rates rose.
Looking forward, with inflation sitting near historic lows, the manager
currently feels this is an opportune time to invest in inflation-indexed bonds.
By investing before prices start to climb, investors retain their purchasing
power and have the potential to take maximum advantage of the adjustment to
principal that will occur if prices do increase.
See page 44 for financial details. 19
<PAGE>
PIMCO Short-Term Fund
OBJECTIVE:
Maximum current income, consistent with preservation of capital and daily
liquidity.
PORTFOLIO:
Primarily short-term investment grade bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
10/7/87
TOTAL NET ASSETS:
$602 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Ultra- Lipper Money
Short Obligation Market
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 5.3% 5.2% 4.9%
5 years 6.2% 5.5% 5.0%
10 years 6.0% 5.9% 5.2%
Inception 6.2% -- --
Change in Value
$10,000 invested at the Fund's inception
<TABLE>
<CAPTION>
PIMCO Lipper
MONTH Short- Money
Term D Mkt. Index
<S> <C> <C>
10/31/87 10,000 10,000
11/30/87 10,056 10,056
12/31/87 10,114 10,114
01/31/88 10,181 10,171
02/29/88 10,222 10,223
03/31/88 10,276 10,277
04/30/88 10,330 10,327
05/31/88 10,386 10,382
06/30/88 10,443 10,439
07/31/88 10,495 10,500
08/31/88 10,560 10,566
09/30/88 10,627 10,632
10/31/88 10,718 10,701
11/30/88 10,787 10,768
12/31/88 10,849 10,842
01/31/89 10,925 10,920
02/28/89 11,000 10,993
03/31/89 11,093 11,078
04/30/89 11,176 11,161
05/31/89 11,275 11,250
06/30/89 11,358 11,335
07/31/89 11,452 11,419
08/31/89 11,511 11,500
09/30/89 11,588 11,578
10/31/89 11,695 11,659
11/30/89 11,771 11,736
12/31/89 11,837 11,815
01/31/90 11,892 11,895
02/28/90 11,964 11,966
03/31/90 12,042 12,044
04/30/90 12,090 12,122
05/31/90 12,202 12,204
06/30/90 12,280 12,281
07/31/90 12,364 12,362
08/31/90 12,428 12,442
09/30/90 12,509 12,517
10/31/90 12,603 12,598
11/30/90 12,702 12,676
12/31/90 12,803 12,756
01/31/91 12,893 12,834
02/28/91 12,962 12,899
03/31/91 13,020 12,966
04/30/91 13,100 13,031
05/31/91 13,172 13,095
06/30/91 13,219 13,153
07/31/91 13,296 13,216
08/31/91 13,379 13,276
09/30/91 13,452 13,334
10/31/91 13,528 13,392
11/30/91 13,561 13,446
12/31/91 13,615 13,501
01/31/92 13,665 13,551
02/29/92 13,691 13,593
03/31/92 13,716 13,636
04/30/92 13,772 13,679
05/31/92 13,814 13,720
06/30/92 13,868 13,759
07/31/92 13,923 13,799
08/31/92 13,958 13,835
09/30/92 13,994 13,868
10/31/92 14,008 13,902
11/30/92 14,025 13,934
12/31/92 14,066 13,969
01/31/93 14,112 14,002
02/28/93 14,149 14,031
03/31/93 14,214 14,064
04/30/93 14,262 14,095
05/31/93 14,318 14,124
06/30/93 14,374 14,155
07/31/93 14,425 14,187
08/31/93 14,463 14,219
09/30/93 14,499 14,250
10/31/93 14,550 14,282
11/30/93 14,604 14,313
12/31/93 14,672 14,346
01/31/94 14,697 14,379
02/28/94 14,713 14,409
03/31/94 14,690 14,444
04/30/94 14,713 14,480
05/31/94 14,724 14,521
06/30/94 14,791 14,563
07/31/94 14,861 14,608
08/31/94 14,919 14,657
09/30/94 14,935 14,707
10/31/94 14,974 14,762
11/30/94 14,986 14,818
12/31/94 15,050 14,882
01/31/95 15,126 14,948
02/28/95 15,265 15,011
03/31/95 15,298 15,082
04/30/95 15,462 15,150
05/31/95 15,618 15,222
06/30/95 15,670 15,292
07/31/95 15,764 15,363
08/31/95 15,836 15,432
09/30/95 15,984 15,500
10/31/95 16,099 15,570
11/30/95 16,248 15,637
12/31/95 16,386 15,705
01/31/96 16,465 15,774
02/29/96 16,495 15,836
03/31/96 16,548 15,899
04/30/96 16,625 15,963
05/31/96 16,712 16,028
06/30/96 16,804 16,091
07/31/96 16,851 16,158
08/31/96 16,957 16,226
09/30/96 17,120 16,290
10/31/96 17,257 16,356
11/30/96 17,412 16,422
12/31/96 17,480 16,491
01/31/97 17,583 16,560
02/28/97 17,662 16,621
03/31/97 17,671 16,689
04/30/97 17,772 16,758
05/31/97 17,900 16,830
06/30/97 18,018 16,901
07/31/97 18,158 16,973
08/31/97 18,213 17,046
09/30/97 18,335 17,118
10/31/97 18,377 17,191
11/30/97 18,460 17,264
12/31/97 18,563 17,340
01/31/98 18,673 17,416
02/28/98 18,738 17,484
03/31/98 18,863 17,559
04/30/98 18,950 17,631
05/31/98 19,036 17,707
06/30/98 19,100 17,779
07/31/98 19,215 17,856
08/31/98 19,223 17,933
09/30/98 19,351 18,006
10/31/98 19,425 18,078
11/30/98 19,491 18,149
12/31/98 19,573 18,219
01/31/99 19,649 18,291
02/28/99 19,730 18,353
03/31/99 19,870 18,422
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. See page 25
for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- --------------------------------------------------------------------------------
1 year or less 64%
- --------------------------------------------------------------------------------
1-5 years 36%
- --------------------------------------------------------------------------------
5-10 years 0%
- --------------------------------------------------------------------------------
10-20 years 0%
- --------------------------------------------------------------------------------
20-30 years 0%
- --------------------------------------------------------------------------------
Duration 0.5 years
- --------------------------------------------------------------------------------
Sector Breakdown
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 46.1%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 27.0%
- --------------------------------------------------------------------------------
Short-Term Instruments 12.5%
- --------------------------------------------------------------------------------
Asset-Backed Securities 4.9%
- --------------------------------------------------------------------------------
Other 9.5%
- --------------------------------------------------------------------------------
Quality Breakdown
- --------------------------------------------------------------------------------
AAA 64.3%
- --------------------------------------------------------------------------------
AA 4.4%
- --------------------------------------------------------------------------------
A 18.4%
- --------------------------------------------------------------------------------
BBB 5.1%
- --------------------------------------------------------------------------------
BB 7.8%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Short-Term Fund seeks maximum current income through investment in
short-term, investment grade bonds. For the year ended March 31, 1999, the Fund
returned 5.3% for Class D shares, outperforming the Lipper Ultra-Short
Obligations Fund, which returned 5.2%. Over the longer term the Fund
outperformed the Lipper Average for the three-, five- and ten-year periods as
well as since inception.
The Fund's standardized yield over the past year was 4.9%. This compares
favorably with the 7-day money market yield of 4.4% and the six-month CD yield
of 4.0%, according to Banxquote Money Market. Please keep in mind when comparing
these yields that money market funds attempt to keep a fixed share price and
that CDs are guaranteed. The Fund's shares, on the other hand, are not
guaranteed and its share price can fluctuate.
Asia's economic problems coupled with Russia's collapse in the third
quarter of 1998 led to a flight-to-quality rally for U.S. Treasuries. Despite
the continued strength of the U.S. economy, the Federal Reserve lowered interest
rates by three-quarters of a percentage point in a successful effort to restore
confidence and liquidity.
Holdings in mortgage-backed securities, the Fund's largest weight at the
end of the first quarter, helped returns over the past year. These bonds offered
a higher yield than government securities with similar duration (sensitivity to
changes in interest rates) without adding a significant amount of additional
risk. Short-maturity corporate bonds also added to performance, as the flight to
quality impact from the global financial crisis was not enough to offset the
higher yield offered by the higher quality corporate issues. The Fund's
above-index duration was a positive, as the decline in interest rates provided
greater price appreciation. Finally, the Fund's small allocation to
dollar-denominated Latin American issues detracted from performance as the asset
class was hit by the uncertainty surrounding the global turmoil.
Going forward, it is currently anticipated that the duration of the Fund
will be targeted near its benchmark as the manager anticipates a stable, range
bound interest rate environment with a slowing economy. Given this outlook, the
manager will likely add shorter-term BBB and fundamentally sound
below-investment grade securities to the portfolio in order to capture their
higher yields.
20 See page 46 for financial details.
<PAGE>
PIMCO StocksPLUS Fund
OBJECTIVE:
Total return which exceeds that of the S&P 500.
PORTFOLIO:
Primarily S&P 500 Index futures and short-term bonds.
DURATION RANGE:
0-1 year
FUND INCEPTION DATE:
5/14/93
TOTAL NET ASSETS:
$1,202 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Growth &
Index Fund S&P 500
Average Index
- --------------------------------------------------------------------------------
1 year 17.0% 5.5% 18.5%
3 years 27.0% 19.5% 28.1%
5 years 26.5% 19.5% 26.3%
Inception 22.9% -- --
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO S&P 500
MONTH Stocks Index
PLUS D
<S> <C> <C>
05/31/93 10,000 10,000
06/30/93 10,054 10,029
07/31/93 10,025 9,989
08/31/93 10,411 10,368
09/30/93 10,301 10,288
10/31/93 10,526 10,501
11/30/93 10,409 10,401
12/31/93 10,585 10,527
01/31/94 10,939 10,885
02/28/94 10,595 10,589
03/31/94 10,123 10,128
04/30/94 10,248 10,258
05/31/94 10,437 10,426
06/30/94 10,207 10,170
07/31/94 10,600 10,504
08/31/94 11,078 10,935
09/30/94 10,891 10,668
10/31/94 11,064 10,907
11/30/94 10,719 10,510
12/31/94 10,857 10,666
01/31/95 11,155 10,943
02/28/95 11,650 11,369
03/31/95 11,964 11,705
04/30/95 12,349 12,049
05/31/95 12,903 12,531
06/30/95 13,183 12,822
07/31/95 13,586 13,247
08/31/95 13,679 13,280
09/30/95 14,255 13,841
10/31/95 14,232 13,791
11/30/95 14,912 14,397
12/31/95 15,185 14,674
01/31/96 15,726 15,174
02/29/96 15,767 15,314
03/31/96 15,975 15,462
04/30/96 16,174 15,690
05/31/96 16,530 16,094
06/30/96 16,687 16,156
07/31/96 15,903 15,442
08/31/96 16,237 15,768
09/30/96 17,182 16,655
10/31/96 17,726 17,114
11/30/96 19,038 18,408
12/31/96 18,619 18,043
01/31/97 19,761 19,171
02/28/97 19,907 19,321
03/31/97 18,999 18,527
04/30/97 20,172 19,633
05/31/97 21,444 20,828
06/30/97 22,332 21,761
07/31/97 24,168 23,493
08/31/97 22,851 22,177
09/30/97 24,037 23,392
10/31/97 23,258 22,610
11/30/97 24,204 23,657
12/31/97 24,640 24,063
01/31/98 24,975 24,329
02/28/98 26,649 26,084
03/31/98 27,970 27,420
04/30/98 28,309 27,695
05/31/98 27,734 27,219
06/30/98 28,816 28,325
07/31/98 28,496 28,023
08/31/98 24,133 23,972
09/30/98 25,972 25,507
10/31/98 28,021 27,582
11/30/98 29,610 29,254
12/31/98 31,470 30,940
01/31/99 32,524 32,233
02/28/99 31,425 31,232
03/31/99 32,735 32,481
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. The Fund may
invest in foreign securities which involve potentially higher risks including
foreign currency fluctuations and political or economic uncertainty. See page 25
for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- ----------------------------------------
1 year or less 0%
- ----------------------------------------
1-5 years 99%
- ----------------------------------------
5-10 years 1%
- ----------------------------------------
10-20 years 0%
- ----------------------------------------
20-30 years 0%
- ----------------------------------------
Duration 0.8 years
- ----------------------------------------
Sector Breakdown
- ----------------------------------------
Corporate Bonds & Notes 37.2%
- ----------------------------------------
Short-Term Instruments 32.0%
- ----------------------------------------
Mortgage-Backed Securities 22.3%
- ----------------------------------------
Sovereign Issues 4.4%
- ----------------------------------------
Other 4.1%
- ----------------------------------------
Quality Breakdown
- ----------------------------------------
AAA 48.3%
- ----------------------------------------
AA 20.3%
- ----------------------------------------
A 15.6%
- ----------------------------------------
BBB 9.0%
- ----------------------------------------
BB 6.8%
- ----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
StocksPLUS is an innovative, enhanced index stock fund that seeks total return
in excess of the Standard & Poor's 500 index (S&P 500) in part through
investment in S&P 500 futures. These futures are purchased with a small
percentage of the Fund's assets, freeing the remaining assets for investment in
an actively managed portfolio of short-term, investment grade bonds that can add
incremental return beyond that of the S&P 500 Index.
The Fund produced strong relative returns for the year ended March 31,
1999, with Class D shares returning 17.0%. For the same time period the Lipper
Growth and Income Fund Average, returned 5.5% and the S&P 500 posted a gain of
18.5%.
The past year can be broken down into two halves. The first half was
dominated by global turmoil, emanating from Asia and Russia's default and
devaluation, which increased volatility in the financial markets. As investors
fled to safe-haven securities, such as Treasuries, the S&P 500 Index declined
significantly.
However, in response to the crisis the Federal Reserve cut interest rates
three times, setting the stage for a dramatic rebound in the stock market, which
made new highs in the fourth quarter of 1998. In the first quarter of 1999, the
S&P 500 extended its gains, fueled by a strong U.S. economy and a relatively
calm global backdrop.
Taken together, the Fund captured most of the stock market's gains over the
past four quarters. The bond portion of the Fund also did well as the
portfolio's extended duration (sensitivity to changes in interest rates) helped
performance as interest rates fell over the course of the year. However, the
Fund's allocation to corporate debt did relatively poorly as their yields did
not fall as much due to increased credit risk related to the global problems.
Mortgage-backed securities also underperformed as prepayment risk increased.
Looking ahead, the Fund's management anticipates that the economy will
continue to expand, but at a more moderate pace, and that the Federal Reserve
will maintain a neutral stance. In such circumstances interest rates would
likely to remain stable and range bound for the coming year. The manager
currently plans to attempt to enhance performance, seeking to outperform the S&P
500, by adding higher yielding corporate and mortgage issues to the Funds bond
portfolio.
See page 48 for financial details. 21
<PAGE>
PIMCO Strategic Balanced Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital.
PORTFOLIO:
S&P Index futures and short-and-intermediate term investment grade bonds.
FUND INCEPTION DATE:
6/28/96
TOTAL NET ASSETS:
$98 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares 60% S&P 500 Index Lipper Lipper
40% Lehman Brothers Agg. Balanced Balanced
Bond Index Index Fund Avg.
- --------------------------------------------------------------------------------
1 year 11.9% 14.2% 8.3% 6.5%
Inception 20.2% -- -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO Lipper
MONTH Strategic Balanced
Balanced D Index
<S> <C> <C>
06/30/96 10,000 10,000
07/31/96 9,732 9,743
08/31/96 9,881 9,896
09/30/96 10,348 10,262
10/31/96 10,626 10,480
11/30/96 11,213 10,968
12/31/96 11,007 10,834
01/31/97 11,467 11,165
02/28/97 11,532 11,206
03/31/97 11,156 10,880
04/30/97 11,661 11,208
05/31/97 12,145 11,666
06/30/97 12,504 12,041
07/31/97 13,267 12,726
08/31/97 12,798 12,322
09/30/97 13,255 12,814
10/31/97 13,068 12,581
11/30/97 13,409 12,811
12/31/97 13,611 13,001
01/31/98 13,798 13,092
02/28/98 14,345 13,611
03/31/98 14,823 14,028
04/30/98 14,952 14,125
05/31/98 14,787 13,982
06/30/98 15,216 14,235
07/31/98 15,122 14,068
08/31/98 13,711 12,856
09/30/98 14,513 13,411
10/31/98 15,155 13,913
11/30/98 15,631 14,422
12/31/98 16,218 14,954
01/31/99 16,608 15,193
02/28/99 16,063 14,829
03/31/99 16,585 15,195
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted for
Class D expenses. Class D shares were first offered in April 1998. Foreign
investing involves potentially higher risks including foreign currency
fluctuations and political or economic uncertainty. See page 25 for Footnotes,
which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------------
1 year or less 14%
- -----------------------------------------
1-5 years 26%
- -----------------------------------------
5-10 years 43%
- -----------------------------------------
10-20 years 17%
- -----------------------------------------
20-30 years 0%
- -----------------------------------------
Duration 2.0 years
- -----------------------------------------
Sector Breakdown
- -----------------------------------------
Mortgage-Backed Securities 35.0%
- -----------------------------------------
Short-Term Instruments 34.1%
- -----------------------------------------
Corporate Bonds & Notes 19.6%
- -----------------------------------------
Asset-Backed Securities 5.2%
- -----------------------------------------
Other 6.1%
- -----------------------------------------
Quality Breakdown
- -----------------------------------------
AAA 72.8%
- -----------------------------------------
AA 8.3%
- -----------------------------------------
A 9.3%
- -----------------------------------------
BBB 6.4%
- -----------------------------------------
BB 3.2%
- -----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Strategic Balanced Fund returned 11.9% for Class D shares versus 6.5% return
for the Lipper Balanced Fund Average for the one-year period ended March 31,
1999. The equity portion of the portfolio returned 17.0%, outperforming the
Lipper Growth and Income Fund Average, which returned 5.5%, but slightly
underperforming the Standard & Poors 500 Index (S&P 500), which rose 18.5%
during the period. The fixed income portion outperformed its benchmark, the
Lehman Aggregate Bond Index, returning 7.3% versus 6.5% for the Index.
The equity portion of the portfolio seeks total return in excess of the S&P
500. This exposure, primarily utilizing futures contracts, is sought through an
enhanced index strategy. These futures are purchased with a small percentage of
the portfolio's assets, enabling the manager to invest the remaining assets in
an actively managed portfolio of short-term, investment grade bonds. The equity
portfolio performance relative to the S&P 500 was adversely affected by limited
U.S. high yield and emerging market debt positions, which suffered losses during
the global financial market's crisis in the later part of 1998.
The fixed income portfolio surpassed its benchmark with a cautiously
bullish stance in the second and third quarters of 1998, enjoying a favorable
interest rate environment while remaining wary of the global economic turmoil.
This strategy proved prudent, as the Fund benefited from a combination of
declining interest rates, and successful allocation strategies. The Fund's
above-index duration (sensitivity to changes in interest rates) boosted returns,
as yields fell. The portfolio's focus on higher quality securities helped
performance as the global financial crisis deepened and economic problems spread
around the globe, pushing nervous investors into higher-quality bonds. Our
underweight position in corporate bonds also helped the Fund as that sector
under-performed for much of the year, due to investors' fears that the U.S.
economy and corporate earnings would slow as a result of the global crisis.
During the fourth quarter of 1998 and the first quarter of this year, the global
turmoil settled down, and the Fund suffered due to an overweight position in
intermediate maturity issues, the portion of the yield curve that experienced
the largest increase in interest rates.
Looking ahead, the Fund's management anticipates that the economy will
continue to expand, but at a more moderate pace, and that the Federal Reserve
will maintain a neutral stance. In such circumstances interest rates would
likely remain stable and range bound for the coming year. With this in mind, the
manager currently plans to attempt to enhance performance by employing
strategies and securities that add incremental yield.
22 See page 51 for financial details.
<PAGE>
PIMCO Total Return Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Primarily an intermediate-term portfolio of investment grade bonds.
DURATION RANGE:
3-6 years
FUND INCEPTION DATE:
5/11/87
TOTAL NET ASSETS:
$26,125 million
PORTFOLIO MANAGER:
Bill Gross
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper Inter. Lehman
Inv. Grade Debt Agg. Bond
Fund Avg. Index
- --------------------------------------------------------------------------------
1 year 7.3% 5.2% 6.5%
5 years 8.1% 6.9% 7.8%
10 years 9.8% 8.2% 9.1%
Inception 9.3% -- --
Change in Value
$10,000 invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO Lehman
MONTH Total Agg. Bond
Return D Index
<S> <C> <C>
05/31/87 10,000 10,000
06/30/87 10,125 10,138
07/31/87 10,098 10,130
08/31/87 10,072 10,076
09/30/87 9,819 9,861
10/31/87 10,129 10,212
11/30/87 10,201 10,294
12/31/87 10,291 10,434
01/31/88 10,708 10,801
02/29/88 10,828 10,929
03/31/88 10,729 10,827
04/30/88 10,671 10,768
05/31/88 10,615 10,696
06/30/88 10,867 10,954
07/31/88 10,849 10,897
08/31/88 10,899 10,925
09/30/88 11,103 11,172
10/31/88 11,275 11,383
11/30/88 11,172 11,244
12/31/88 11,218 11,257
01/31/89 11,354 11,419
02/28/89 11,279 11,336
03/31/89 11,330 11,385
04/30/89 11,580 11,624
05/31/89 11,859 11,929
06/30/89 12,256 12,292
07/31/89 12,512 12,554
08/31/89 12,293 12,368
09/30/89 12,352 12,431
10/31/89 12,645 12,737
11/30/89 12,752 12,858
12/31/89 12,775 12,893
01/31/90 12,558 12,740
02/28/90 12,588 12,781
03/31/90 12,575 12,790
04/30/90 12,394 12,673
05/31/90 12,797 13,048
06/30/90 13,011 13,258
07/31/90 13,219 13,441
08/31/90 13,007 13,261
09/30/90 13,018 13,371
10/31/90 13,195 13,541
11/30/90 13,525 13,832
12/31/90 13,759 14,048
01/31/91 13,892 14,222
02/28/91 14,083 14,343
03/31/91 14,257 14,442
04/30/91 14,487 14,598
05/31/91 14,591 14,684
06/30/91 14,610 14,676
07/31/91 14,817 14,880
08/31/91 15,216 15,202
09/30/91 15,572 15,510
10/31/91 15,728 15,682
11/30/91 15,860 15,826
12/31/91 16,396 16,296
01/31/92 16,258 16,074
02/29/92 16,398 16,179
03/31/92 16,331 16,088
04/30/92 16,412 16,204
05/31/92 16,749 16,510
06/30/92 16,957 16,737
07/31/92 17,367 17,078
08/31/92 17,511 17,251
09/30/92 17,784 17,456
10/31/92 17,624 17,224
11/30/92 17,635 17,228
12/31/92 17,940 17,502
01/31/93 18,266 17,838
02/28/93 18,670 18,150
03/31/93 18,775 18,226
04/30/93 18,934 18,353
05/31/93 18,974 18,376
06/30/93 19,382 18,709
07/31/93 19,496 18,815
08/31/93 19,935 19,145
09/30/93 20,011 19,197
10/31/93 20,149 19,269
11/30/93 19,967 19,105
12/31/93 20,129 19,209
01/31/94 20,369 19,468
02/28/94 20,000 19,130
03/31/94 19,572 18,658
04/30/94 19,374 18,509
05/31/94 19,277 18,507
06/30/94 19,202 18,466
07/31/94 19,592 18,832
08/31/94 19,643 18,856
09/30/94 19,390 18,578
10/31/94 19,362 18,562
11/30/94 19,361 18,521
12/31/94 19,349 18,648
01/31/95 19,691 19,017
02/28/95 20,148 19,470
03/31/95 20,336 19,589
04/30/95 20,687 19,863
05/31/95 21,337 20,631
06/30/95 21,320 20,783
07/31/95 21,326 20,736
08/31/95 21,651 20,986
09/30/95 21,917 21,191
10/31/95 22,243 21,466
11/30/95 22,719 21,788
12/31/95 23,106 22,094
01/31/96 23,290 22,240
02/29/96 22,718 21,854
03/31/96 22,536 21,702
04/30/96 22,437 21,580
05/31/96 22,372 21,536
06/30/96 22,725 21,825
07/31/96 22,780 21,885
08/31/96 22,754 21,848
09/30/96 23,271 22,229
10/31/96 23,869 22,721
11/30/96 24,428 23,111
12/31/96 24,117 22,896
01/31/97 24,202 22,966
02/28/97 24,250 23,023
03/31/97 23,950 22,768
04/30/97 24,376 23,109
05/31/97 24,620 23,327
06/30/97 24,903 23,604
07/31/97 25,592 24,240
08/31/97 25,365 24,034
09/30/97 25,771 24,388
10/31/97 26,075 24,742
11/30/97 26,189 24,856
12/31/97 26,491 25,106
01/31/98 26,896 25,428
02/28/98 26,815 25,408
03/31/98 26,898 25,497
04/30/98 26,998 25,630
05/31/98 27,306 25,873
06/30/98 27,565 26,092
07/31/98 27,650 26,148
08/31/98 28,085 26,573
09/30/98 28,919 27,196
10/31/98 28,716 27,052
11/30/98 28,817 27,205
12/31/98 28,987 27,287
01/31/99 29,155 27,482
02/28/99 28,613 27,002
03/31/99 28,850 27,152
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares,s adjusted
for Class D expenses. Class D shares were first offered in April 1998. The Fund
may invest in foreign securities which involve potentially higher risks
including foreign currency fluctuations and political or economic uncertainty.
See page 25 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -----------------------------------------
1 year or less 13%
- -----------------------------------------
1-5 years 40%
- -----------------------------------------
5-10 years 21%
- -----------------------------------------
10-20 years 22%
- -----------------------------------------
20-30 years 4%
- -----------------------------------------
Duration 4.7 years
- -----------------------------------------
Sector Breakdown
- -----------------------------------------
Mortgage-Backed Securities 42.6%
- -----------------------------------------
Corporate Bonds & Notes 29.3%
- -----------------------------------------
U.S. Treasury Obligations 10.1%
- -----------------------------------------
Short-Term Instruments 6.2%
- -----------------------------------------
Asset-Backed Securities 4.6%
- -----------------------------------------
Other 7.2%
- -----------------------------------------
Quality Breakdown
- -----------------------------------------
AAA 62.3%
- -----------------------------------------
AA 7.0%
- -----------------------------------------
A 18.0%
- -----------------------------------------
BBB 6.0%
- -----------------------------------------
BB 6.6%
- -----------------------------------------
B 0.1%
- -----------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Fund continues to deliver solid returns for shareholders. For
the year ended March 31, 1999, the Fund's Class D shares returned 7.3%,
exceeding the Lipper Intermediate Investment Grade Debt Fund Average of 5.2% for
the same time period. In addition, the Fund has outperformed the Lipper Average
for the three-, five- and ten-year periods as well as since the Fund's
inception.
The Fund's manager was cautiously bullish in the second and third quarters
of 1998, enjoying a favorable interest rate environment while remaining wary of
the global economic turmoil. This strategy proved prudent, as the Fund benefited
from a combination of declining interest rates, and successful allocation
strategies. The Fund's above-index duration (sensitivity to changes in interest
rates) boosted returns, as yields fell. The portfolio's focus on higher quality
securities helped performance as the global financial crisis deepened and
economic problems spread around the globe, pushing nervous investors into
higher-quality bonds. Our underweight position in corporate bonds also helped
the Fund as that sector underperformed for much of the year, due to investors'
fear that the U.S. economy and corporate earnings would slow due to the global
crisis.
Some of the strategies that contributed to performance in the second and
third quarters of last year detracted from returns in the fourth quarter of 1998
and the first quarter of 1999. As the global financial markets settled down,
investors returned to other segments of the bond market. Treasury prices
declined as interest rates picked up on news that the U.S. economy continued to
grow faster than expected. The portfolio's concentration in
intermediate-maturity securities was modestly negative for returns, as interest
rates picked up most in that portion of the yield curve. One strategy that did
help results in the first quarter was an overweighting in mortgage-backed
securities which allowed the manager to enhance the portfolio's yield without
undertaking a large amount of additional risk.
Looking ahead, the manager currently sees the U.S. economic expansion
continuing, but at a more moderate pace, as consumer and investment spending
cool off later this year. The Federal Reserve would likely maintain a neutral
stance in such an environment, and interest rates would likely to remain stable
and range bound. If interest rate volatility declines, strategies and securities
that add incremental yield will be used to enhance performance.
See page 54 for financial details. 23
<PAGE>
PIMCO Total Return Mortgage Fund
OBJECTIVE:
Maximum total return, consistent with preservation of capital and prudent
investment management.
PORTFOLIO:
Intermediate-term mortgage-related securities.
DURATION RANGE:
2-6 years
FUND INCEPTION DATE:
7/31/97
TOTAL NET ASSETS:
$4 million
PORTFOLIO MANAGER:
Pasi Hamaleinen
- --------------------------------------------------------------------------------
PERFORMANCE*
- --------------------------------------------------------------------------------
Average Annual Total Return For periods ended 3/31/99
D Shares Lipper U.S. Mortgage Lehman Mortgage
Fund Average Index
- --------------------------------------------------------------------------------
1 year 5.9% 5.2% 6.3%
Inception 7.4% -- --
Change in Value of $10,000
Invested at the Fund's inception
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PIMCO Lehman
MONTH Total Return Mortgage
Mortgage D Index
<S> <C> <C>
07/31/97 10,000 10,000
08/31/97 10,007 9,976
09/30/97 10,162 10,103
10/31/97 10,310 10,215
11/30/97 10,356 10,248
12/31/97 10,475 10,342
01/31/98 10,587 10,445
02/28/98 10,604 10,467
03/31/98 10,641 10,511
04/30/98 10,711 10,570
05/31/98 10,801 10,641
06/30/98 10,869 10,691
07/31/98 10,910 10,746
08/31/98 11,038 10,843
09/30/98 11,160 10,974
10/31/98 11,113 10,960
11/30/98 11,159 11,015
12/31/98 11,187 11,061
01/31/99 11,253 11,140
02/28/99 11,192 11,096
03/31/99 11,262 11,170
</TABLE>
*Past performance is no guarantee of future results. These returns represent the
blended performance of the Fund's Class D shares (for the period from 4/8/98)
and the prior performance of the Fund's institutional class shares, adjusted
for Class D expenses. Class D shares were first offered in April 1998. See page
25 for Footnotes, which include additional details.
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
- --------------------------------------------------------------------------------
Maturity Profile
- -------------------------------------------
1 year or less 15%
- -------------------------------------------
1-5 years 70%
- -------------------------------------------
5-10 years 13%
- -------------------------------------------
10-20 years 2%
- -------------------------------------------
20-30 years 0%
- -------------------------------------------
Duration 2.2 years
- -------------------------------------------
Sector Breakdown
- -------------------------------------------
Mortgage-Backed Securities 70.2%
- -------------------------------------------
U.S. Treasury Obligations 19.6%
- -------------------------------------------
Short-Term Instruments 10.2%
- -------------------------------------------
Quality Breakdown
- -------------------------------------------
AAA 91.9%
- -------------------------------------------
AA 8.1%
- -------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
The Total Return Mortgage Fund outperformed the Lipper U.S. Mortgage Fund
Average for the one-year period ended March 31, 1999. The Fund's Class D shares
returned 5.9% versus 5.2% for the Lipper Average.
Asia's economic problems coupled with Russia's collapse in the third
quarter of 1998 led to a flight-to-quality rally for U.S. Treasuries. Despite
the continued strength of the U.S. economy, the Federal Reserve lowered interest
rates by three-quarters of a percentage point in a successful effort to restore
confidence and liquidity to the credit markets.
The Fund benefited from a capital appreciation standpoint as interest rates
declined in response to the global turmoil. The Fund's above-index duration
(sensitivity to changes in interest rates) helped performance as a result.
Another strategy that benefited the Fund was an overweight position of less
prepayment-sensitive lower-coupon mortgages. This allocation minimized the
exposure to prepayment risk created by borrowers refinancing in the wake of
lower interest rates.
In the second half of the past year, as interest rates bounced modestly
higher, the Fund's concentration in mortgage-backed securities helped
performance by enhancing yield without undertaking a large amount of additional
risk.
A longer maturity mix relative to the index dragged down results slightly
as the yield curve steepened, forcing long-term bond prices lower. The Fund's
use of adjustable rate mortgages also detracted slightly from performance for
the year, as borrowers used the lower interest rate environment to refinance at
a fixed rate.
Looking ahead, the manager currently anticipates the U.S. economic
expansion continuing, but at a more moderate pace, as consumer and investment
spending cool off later this year. The Federal Reserve would likely maintain a
neutral stance in such an environment, and interest rates would remain stable
and range bound. If interest rate volatility declines, strategies and securities
that add incremental yield would be used to enhance performance.
24 See page 72 for financial details.
<PAGE>
- --------------------------------------------------------------------------------
FOOTNOTES
- --------------------------------------------------------------------------------
A few notes and definitions are needed for a complete understanding of the
performance figures.
Past performance is no indication of future results. Investment return will
fluctuate and the value of an investor's shares will fluctuate and may be worth
more or less than original cost when redeemed. Total return measures
performance, assuming that all dividends and capital gains distributions were
reinvested.
+Yield is calculated in accordance with current Securities and Exchange
Commission regulations and is based on the one-month period ended March 31,
1999.
Duration is a measurement of a Fund's price sensitivity expressed in years.
Line graphs have been included so an investor can compare a Fund's
historical performance to that of an appropriate broad-based index. Each index
reflects a group of unmanaged securities, and it is not possible to directly
invest in an unmanaged index. The J.P. Morgan Non-U.S. Index (Hedged) is an
index of currency-hedged foreign government bonds. The Lehman BB Intermediate
Corporate Index is an index of intermediate-term bonds with a BB rating. The
Merrill Lynch 1-3 Year Treasury Index is an index made up of U.S. Treasury
issues with maturities from one to three years. The Lehman Inflation Linked
Treasury Index is an index of inflation liked Treasury bonds. The Lehman
Aggregate Bond Index is an index of a variety of bonds. The Lipper Money Market
Index is an index of money market funds. The Standard & Poor's 500 Index is an
index of stocks of companies with large-capitalization stocks.
Lipper averages are calculated by Lipper, Inc., a nationally recognized
mutual fund performance evaluation firm. They are performance averages of those
funds that are tracked by Lipper, with the investment objective noted. Lipper
rankings are based on total returns, not adjusted for sales charges.
Morningstar's risk rating is a statistic that evaluates a fund's downside
volatility relative to that of others in its investment class. To calculate it,
Morningstar concentrates on those months during which a fund underperformed the
average return of a 3-month Treasury bill. It does not take sales charges into
account. For the 3-year period ended 3/31/99, PIMCO High Yield Fund's risk
rating was the 3rd lowest among 146 funds.
Morningstar's return rating is a statistic that compares a fund's excess
return, adjusted for maximum front-end loads, applicable deferred fees, and
redemption fees, over the risk-free rate (as measured by Treasury bills) to the
average excess return for the investment class. For the 3-year period ended
3/31/99, PIMCO High Yield Fund had the 11th highest return rating among 146
funds.
PIMCO Stocks Funds and PIMCO Bond Funds (excluding Municipal Bond) can
invest a portion of their assets in foreign securities, which can entail special
risks due to foreign economic and political developments. These risks can be
enhanced when investing in emerging markets. The Innovation Fund concentrates
its portfolios, making it more volatile than the overall stock market. PIMCO
Bond Funds can invest in lower-rated bonds, which entail special risks such as
less liquidity and possibility of default.
An investment in the Money Market Fund is not insured or guaranteed by the
Federal Deposit Insurance Company or any other government agency. Although the
Fund seeks to preserve the value of your investment at $1.00 per share, it is
possible to lose money by investing in the Fund.
For additional information on the PIMCO equity funds, contact your
financial advisor to receive a prospectus that contains more complete
information, including charges and expenses. Or contact PIMCO Funds Distributors
LLC at 2187 Atlantic Street, Stamford, CT 06902, www.pimcofunds.com,
1-800-227-7337. Please read the prospectus carefully before you invest or send
money.
25
<PAGE>
Schedule of Investments
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
ARGENTINA (e)(f) 2.6%
Republic of Argentina
2.687% due 04/01/2001 (d) AP 12,136 $ 10,738
5.000% due 12/20/2002 JY 219,000 1,727
12.110% due 04/10/2005 (d) $ 4,240 3,922
----------
Total Argentina 16,387
(Cost $17,066) ==========
BELGIUM (e)(f) 0.9%
Kingdom of Belgium
9.000% due 03/28/2003 EC 5 6
5.100% due 11/21/2004 (d) BF 183,200 5,648
----------
Total Belgium 5,654
(Cost $6,075) ==========
CANADA (e)(f) 8.8%
Commonwealth of Canada
5.250% due 09/01/2003 (j) C$ 31,200 20,924
6.625% due 10/03/2007 N$ 20,830 11,233
6.000% due 06/01/2008 (j) C$ 18,000 12,751
Hydro-Quebec
3.526% due 04/25/2000 DM 5,000 2,756
Providence of Manitoba
11.000% due 08/15/2000 C$ 5,000 3,574
Province of Quebec
3.352% due 02/09/2000 (d) DM 5,000 2,760
Sears Canada
11.700% due 07/10/2000 C$ 1,000 712
----------
Total Canada 54,710
(Cost $55,270) ==========
CAYMAN ISLANDS (e)(f) 0.3%
Banco Nacional de Comercio Exterior, S.N.C
5.300% due 09/21/2000 JY 200,000 1,722
----------
Total Cayman Islands 1,722
(Cost $1,728) ==========
COLOMBIA (e)(f) 0.2%
Republic of Colombia
3.000% due 12/22/2000 JY 150,000 1,163
----------
Total Colombia 1,163
(Cost $1,160) ==========
DENMARK (e)(f) 5.4%
Kingdom of Denmark
6.000% due 11/15/2002 DK 53,500 8,392
7.000% due 11/15/2007 61,200 10,586
Unikredit Mortgage
5.000% due 10/01/2029 27,150 3,643
Nykredit Mortgage
5.000% due 10/01/2029 59,370 7,972
Realkredit Mortgage
5.000% due 10/01/2029 19,200 2,581
----------
Total Denmark 33,174
(Cost $33,463) ==========
FRANCE (e)(f) 1.4%
Caisse Autonome de Refinancement
7.750% due 12/06/1999 1,100 187
Republic of France
7.750% due 10/25/2005 (j) FF 2,800 3,727
3.000% due 07/25/2009 (h) EC 4,151 4,477
----------
Total France 8,391
(Cost $8,835) ==========
GERMANY (e)(f) 10.4%
Allgemeine Hypobank AG
3.250% due 07/02/1999 DM 15,000 16,189
Barclays Capital Corp.
3.246% due 12/20/2000 2,000 1,101
Depfa Pfandbriefbank
2.964% due 03/26/2001 (d) EC 16,480 17,764
Dresdner Finance BV
3.179% due 01/11/2000 (d) DM 1,000 551
Republic of Germany
6.500% due 07/04/2027 (j) EC 21,379 28,154
5.625% due 01/04/2028 350 411
----------
Total Germany 64,170
(Cost $63,332) ==========
GREECE (e)(f) 1.7%
Hellenic Republic
11.200% due 05/19/2003 (d) GD 100,000 341
11.100% due 06/17/2003 (d) 107,400 365
11.000% due 10/23/2003 (d) 376,000 1,294
8.600% due 03/26/2008 (j) 2,140,300 8,364
----------
Total Greece 10,364
(Cost $10,797) ==========
IRELAND (f) 0.1%
Republic of Ireland
7.250% due 06/22/1999 DM 1,500 835
----------
Total Ireland 835
(Cost $851) ==========
ITALY (e)(f) 13.2%
Republic of Italy
6.000% due 02/15/2000 EC 50,000 55,344
5.500% due 09/15/2000 (j) 360 402
4.750% due 05/01/2003 0 0
7.250% due 11/01/2026 (j) 6,321 8,873
6.500% due 11/01/2027 (j) 13,430 17,316
----------
Total Italy 81,935
(Cost $82,977) ==========
JAPAN (e)(f) 20.7%
Government of Japan
4.100% due 12/22/2003 (j) JY 4,063,000 39,290
4.500% due 12/20/2004 (j) 1,294,300 12,882
4.600% due 03/21/2005 (j) 1,940,500 19,589
4.000% due 06/20/2005 (j) 1,078,300 10,599
3.400% due 06/20/2005 (j) 1,078,300 10,272
3.000% due 09/20/2005 (j) 1,775,600 16,571
0.900% due 12/22/2008 (j) 1,192,700 9,257
2.000% due 03/20/2009 (j) 1,136,600 9,852
----------
Total Japan 128,312
(Cost $132,128) ==========
MEXICO (f) 1.7%
United Mexican States
5.560% due 04/07/2000 (l) $ 5,804 5,804
8.750% due 05/30/2002 270 427
10.375% due 01/29/2003 DM 2,575 1,542
8.750% due 04/07/2004 (d) $ 3,100 3,065
----------
Total Mexico 10,838
(Cost $10,855) ==========
NETHERLANDS (f) 1.3%
GMAC International Finance BV
7.125% due 02/10/2000 $ 744 1,217
Kingdom of Netherlands
5.750% due 01/15/2004 DG 2,214 2,631
LBW Finance NV
7.000% due 03/08/2000 4,985 2,851
26 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
TPSA Finance BV
7.750% due 12/10/2008 $ 1,470 $ 1,436
----------
Total Netherlands 8,135
(Cost $8,221) ==========
NEW ZEALAND (e)(f) 1.4%
Commonwealth of New Zealand
4.500% due 02/15/2016 (j) N$ 16,500 8,940
----------
Total New Zealand 8,940
(Cost $9,440) ==========
NORWAY (f) 0.8%
Norwegian Government
5.500% due 05/15/2009 (j) NK 37,200 5,056
----------
Total Norway 5,056
(Cost $5,024) ==========
SINGAPORE (e)(f) 1.3%
Singapore Government
4.375% due 10/15/2005 S$ 13,300 7,875
----------
Total Singapore 7,875
(Cost $7,867) ==========
SOUTH KOREA (f) 1.0%
Korea Development Bank
3.258% due 05/14/2001 (d) DM 7,310 3,842
Korean Export-Import Bank
7.250% due 06/25/2001 $ 1,945 1,901
6.500% due 02/10/2002 800 769
----------
Total South Korea 6,512
(Cost $6,515) ==========
SPAIN (e)(f) 3.4%
Kingdom of Spain
6.000% due 01/31/2008 (j) EC 0 0
6.000% due 01/31/2029 17,260 20,818
----------
Total Spain 20,818
(Cost $22,223) ==========
SUPRANATIONAL (e)(f) 8.4%
Eurofima
5.625% due 11/25/1999 FF 1,000 167
European Investment Bank
6.250% due 07/28/1999 3,000 499
12.750% due 02/15/2000 IL 1,262,000 761
7.000% due 12/08/2003 BP 6,300 10,892
International Bank for Reconstruction & Development
7.250% due 10/13/1999 DM 20,870 11,793
6.875% due 07/14/2000 BP 2,500 4,113
7.000% due 09/18/2000 N$ 6,400 3,516
7.250% due 04/09/2001 6,400 3,547
7.000% due 06/07/2002 BP 1,100 1,862
7.250% due 05/27/2003 N$ 10,670 5,991
International Finance Corp.
6.340% due 02/17/2000 BP 4,965 8,079
World Bank
10.250% due 04/11/2002 PP 31,000 729
----------
Total Supranational 51,949
(Cost $52,615) ==========
SWEDEN (e)(f) 6.0%
Kingdom of Sweden
13.000% due 06/15/2001 SK 11,200 1,638
5.500% due 04/12/2002 (j) 6,100 788
6.500% due 05/05/2008 (j) 248,600 35,057
----------
Total Sweden 37,483
(Cost $37,234) ==========
UNITED KINGDOM (e)(f) 17.5%
FCE Bank PLC
7.500% due 12/08/1999 DM 9,808 5,564
Polestar Corp. PLC
10.500% due 05/30/2008 BP 4,300 7,056
SCCR Series 1 Limited
4.838% due 05/15/2000 (d) IL 15,380,000 8,566
United Kingdom Gilt
8.000% due 06/10/2003 (j) BP 17,735 32,479
8.500% due 12/07/2005 (j) 9,656 18,999
7.250% due 12/07/2007 (j) 18,949 36,208
----------
Total United Kingdom 108,872
(Cost $108,262) ==========
UNITED STATES (e)(f) 60.8%
Corporate Bonds & Notes 19.5%
Associates Corp. of North America
5.104% due 08/27/2001 (d) $ 5,000 5,013
AT&T Capital Corp.
5.438% due 04/01/1999 (d) 7,800 7,800
6.410% due 08/13/1999 4,310 4,327
Capital One Bank
6.420% due 11/12/1999 (i) 12,080 12,148
CSFP Credit
6.199% due 11/19/2004 (i) 19,000 18,953
Delta Air Lines
6.034% due 06/29/1999 1,910 1,911
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 8,055
General Electric Capital Corp.
6.750% due 12/30/1999 BP 1,029 1,676
9.000% due 02/14/2000 1,157 1,920
General Motors Acceptance Corp.
5.100% due 12/10/2001-11/12/2002 (d)(g) $ 7,100 7,103
5.250% due 04/05/2004 (d) 12,200 12,179
J.P. Morgan & Co.
5.459% due 02/15/2012 5,500 4,869
Lehman Brothers, Inc.
5.287% due 02/27/2001 (d) 4,900 4,873
Merrill Lynch & Co.
5.299% due 11/01/2001 (d) 6,830 6,831
Occidental Petroleum
8.500% due 09/15/2004 1,800 1,808
Residential Reinsurance
9.180% due 06/01/1999 (d) 2,250 2,275
RJR Nabisco
8.625% due 12/01/2002 4,100 4,263
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 12,555 12,232
Toyota Motor Credit
7.250% due 02/23/2000 DM 5,090 2,905
----------
121,141
==========
U.S. Government Agencies 11.0%
Federal Home Loan Bank
4.609% due 02/15/2002 (d) $ 14,000 13,655
Federal National Mortgage Assn.
6.875% due 06/07/2002 (j) BP 10,230 17,315
7.250% due 06/20/2002 N$ 14,850 8,299
6.500% due 07/10/2002 (j) A$ 7,900 5,189
Student Loan Marketing Assn.
5.248% due 01/25/2003 (d) $ 6,353 6,362
5.070% due 04/25/2004 (d) 504 499
5.008% due 10/25/2004 (d) 1,047 1,045
5.098% due 04/25/2006 (d) 6,466 6,444
5.178% due 04/25/2007 (d) 9,710 9,711
----------
68,519
==========
U.S. Treasury Obligations 13.0%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(j) 66,780 66,362
3.625% due 07/15/2002 (h) 14,310 14,220
----------
80,582
==========
</TABLE>
See accompanying notes 27
<PAGE>
Schedule of Investments (Cont.)
Foreign Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 8.8%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 $ 3,360 $ 3,392
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 3,980 4,014
Federal Home Loan Mortgage Corp.
6.000% due 03/15/2008 1,220 1,223
9.050% due 06/15/2019 92 98
7.441% due 06/01/2022 (d) 1,714 1,745
7.500% due 08/01/2022 (d) 1,060 1,086
6.500% due 09/15/2022 287 287
6.000% due 05/17/2029 2,000 1,944
Federal National Mortgage Assn.
5.500% due 02/25/2005 523 522
7.531% due 07/01/2021 (d) 1,311 1,339
7.060% due 11/01/2022 (d) 1,362 1,400
6.561% due 01/01/2023 (d) 1,775 1,820
6.613% due 01/01/2023 (d) 2,398 2,457
7.329% due 08/01/2023 (d) 1,431 1,470
Government National Mortgage Assn.
6.125% due 11/20/2021 (d) 739 752
6.875% due 05/20/2022 (d) 67 68
6.625% due 07/20/2022-09/20/2022 (d)(g) 1,269 1,291
6.875% due 05/20/2023 (d) 734 747
6.625% due 07/20/2023-09/20/2023 (d)(g) 4,517 4,592
6.125% due 10/20/2023-10/20/2024 (d)(g) 4,495 4,564
6.875% due 04/20/2025 (d) 259 263
6.625% due 07/20/2025-09/20/2025 (d)(g) 8,712 8,845
6.125% due 12/20/2025 (d) 434 440
6.625% due 09/20/2026 (d) 977 990
6.125% due 11/20/2026-12/20/2026 (d)(g) 2,305 2,343
6.880% due 04/20/2027 (d) 2,580 2,620
Independent National Mortgage Corp.
8.107% due 11/25/2024 (d) 82 84
Morgan Stanley Mortgage
8.150% due 07/20/2021 3 3
Sears Mortgage
6.499% due 06/25/2022 (d) 107 108
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 3,300 3,338
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 882 883
----------
54,728
==========
Asset-Backed Securities 8.5%
AFC Home Equity Loan Trust
5.157% due 03/25/2027 (d) 1,566 1,566
Banc One Auto Grantor Trust
6.270% due 11/20/2003 891 901
6.290% due 07/20/2004 1,183 1,196
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 706 715
Citibank Credit Card Master Trust
4.946% due 05/15/2002 1,200 1,200
Comed Transitional Funding Trust
5.380% due 03/25/2002 1,318 1,321
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012 (d) 3,337 3,335
6.020% due 12/25/2013 17,000 16,995
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 2,880 2,881
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 2,494 2,504
EQCC Home Equity Loan Trust
5.770% due 03/20/2029 5,000 5,001
5.202% due 03/20/2029 (d) 1,000 1,000
First Security Auto Owner Trust
5.311% due 04/15/2002 2,000 2,005
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 1,140 1,144
MBNA Master Credit Card Trust
6.050% due 11/15/2002 2,070 2,090
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 4,581 4,578
Premier Auto Trust
6.250% due 08/06/2001 2,277 2,290
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 1,955 1,968
----------
52,690
----------
Total United States 377,660
(Cost $376,841) ==========
PURCHASED CALL OPTIONS 0.0%
U.S. Treasury Note (OTC)
Strike @ 101.188 Exp. 06/14/1999
7.250% due 05/15/2004 3,400 249
----------
Total Purchased Call Options 249
(Cost $255) ==========
SHORT-TERM INSTRUMENTS 7.2%
Commercial Paper 5.2%
Bank of Tokyo
5.928% due 07/30/1999 5,940 5,955
E.I. Du Pont de Nemours
4.860% due 04/23/1999 2,300 2,293
4.800% due 06/07/1999 2,700 2,675
Ford Motor Credit Corp.
4.840% due 04/23/1999 9,500 9,472
National Rural Utilities Cooperative
4.820% due 06/17/1999 1,800 1,781
Pfizer, Inc.
4.820% due 05/17/1999 8,000 7,951
Proctor & Gamble Co.
4.810% due 05/26/1999 1,900 1,886
Shell Oil Co.
4.790% due 06/04/1999 400 397
----------
32,410
==========
Repurchase Agreement 2.0%
State Street Bank
4.000% due 04/01/1999 12,158 12,158
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 5.375% 01/31/2000 valued at
$12,402,018. Repurchase proceeds are
$12,159,351.)
U.S. Treasury Bills (b)(g) 0.0%
4.402% due 06/24/1999 275 273
----------
Total Short-Term Instruments 44,841
(Cost $44,827) ==========
Total Investments (a) 176.5% $1,096,045
(Cost $1,103,861)
Written Options (c) (0.0%) (90)
(Premiums $126)
Other Assets and Liabilities (Net) (76.5%) (475,172)
----------
Net Assets 100.0% $ 620,783
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $1,097,543 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 8,571
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (16,493)
----------
Unrealized depreciation-net $ (7,922)
==========
28 See accompanying notes
<PAGE>
(b) Securities with an aggregate market value of $273 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 19 $ 13
Eurodollar September Futures (09/2000) 34 16
Eurodollar December Futures (12/2000) 19 10
U.S. Treasury 30 Year Bond (06/1999) 40 (41)
United Kingdom 90 Day LIBOR (12/2000) 287 (114)
---------
$ (116)
=========
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Japanese Yen vs US Dollar
Strike 115.00 Exp. 04/22/1999 JY 6,110 $ 79 $ 43
Call - OTC Government of Japan
2,000% due 03/20/2009
Strike 102.50 Exp. 04/23/1999 972,800 47 47
---------------------
$ 126 $ 90
=====================
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 7,130 04/1999 $ (9)
Sell 7,139 04/1999 35
Buy AP 6,455 04/1999 158
Buy 3,410 05/1999 102
Buy BP 2,086 04/1999 (8)
Sell 51,501 04/1999 308
Sell 790 05/1999 0
Buy C$ 8,318 04/1999 17
Sell 15,201 04/1999 62
Buy DK 28,442 04/1999 5
Sell 141,782 04/1999 1,453
Buy 26,966 05/1999 (58)
Sell 81,015 05/1999 60
Buy EC 50,872 04/1999 (2,293)
Sell 137,087 04/1999 3,062
Buy 3,880 05/1999 (3)
Sell GD 596,882 04/1999 73
Buy JY 39,539 04/1999 11
Sell 138,795 04/1999 4
Sell 2,185,916 05/1999 49
Buy N$ 40,847 04/1999 (109)
Sell 36,088 04/1999 174
Sell 82,083 05/1999 (477)
Buy S$ 45 04/1999 (1)
Sell 13,805 06/1999 (6)
Buy SF 19,457 04/1999 (186)
Sell 19,799 04/1999 124
Buy SK 335,632 04/1999 (1,753)
Sell 374,274 04/1999 1,747
---------
$ 2,541
=========
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar
AP - Argentine Peso
BF - Belgian Franc
BP - British Pound
C$ - Canadian Dollar
DK - Danish Krone
DM - German Mark
EC - European Currency Unit
FF - French Franc
FM - Finnish Markka
GD - Greek Drachma
IL - Italian Lira
JY - Japanese Yen
N$ - New Zealand Dollar
NK - Norwegian Kroner
S$ - Singapore Dollar
SF - Swiss Franc
SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Restricted security.
(j) Subject to a financing transaction.
(k) Swap agreements outstanding at March 31, 1999
Notional Unrealized
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month United Mexican States and
pay United Mexican States fixed rate.
Broker: Merrill Lynch $ 5,804 $ (116)
Exp. 04/07/2000
(l) Subject to an asset swap.
See accompanying notes 29
<PAGE>
Schedule of Investments
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------
CORPORATE BONDS & NOTES 79.4%
Banking & Finance 5.2%
Arvin Capital
9.500% due 02/01/2027 $ 19,000 $ 19,517
Bay View Capital Corp.
9.125% due 08/15/2007 8,000 7,800
Charter Commercial Holdings LLC
8.250% due 04/01/2007 7,600 7,809
Circus Circus Enterprise
9.250% due 12/01/2005 8,100 8,485
Forest City Enterprises
8.500% due 03/15/2008 12,350 12,473
Fuji Bank
9.870% due 12/31/2049 (d) 26,000 20,386
General Motors Acceptance Corp.
5.095% due 04/29/2002 (d) 800 798
Golden State Holdings
7.000% due 08/01/2003 205 206
7.125% due 08/01/2005 870 877
Presidential Life Insurance Corp.
7.875% due 02/15/2009 12,750 12,503
Sumitomo
9.400% due 12/29/2049 (d) 29,800 28,012
TPSA Finance BV
7.750% due 12/10/2008 13,950 13,624
Trizec Finance Limited
10.875% due 10/15/2005 18,751 20,532
Willis Corroon Corp.
9.000% due 02/01/2009 14,200 14,449
--------
167,471
========
Industrials 60.8%
Aaf-Mcquay, Inc.
8.875% due 02/15/2003 1,000 955
Abbey Healthcare Group
9.500% due 11/01/2002 15,195 14,891
Advanced Lighting
8.000% due 03/15/2008 15,675 13,912
AEI Holding Co.
10.500% due 12/15/2005 11,130 11,241
Agriculuture Minerals & Chemicals
10.750% due 09/30/2003 3,000 3,060
Airtrust
0.000% due 06/01/2013 (c) 12,942 5,032
Allied Waste North America, Inc.
7.375% due 01/01/2004 15,100 14,760
7.625% due 01/01/2006 25,975 25,354
American Airlines
10.610% due 03/04/2010 650 836
American Axle & Manufacturing, Inc.
9.750% due 03/01/2009 9,550 9,813
American Standard, Inc.
7.125% due 02/15/2003 300 296
7.375% due 02/01/2008 10,800 10,611
9.250% due 12/01/2016 6,084 6,213
Amerigas Partners LP
10.125% due 04/15/2007 4,200 4,389
Amphenol Corp.
9.875% due 05/15/2007 7,100 7,420
Applied Power, Inc.
8.750% due 04/01/2009 14,200 14,413
Avalon Cable
9.375% due 12/01/2008 1,600 1,686
Ball Corp.
7.750% due 08/01/2006 10,500 10,894
8.250% due 08/01/2008 9,600 9,960
Beckman Instruments, Inc.
7.100% due 03/04/2003 4,475 4,481
7.450% due 03/04/2008 10,625 10,649
Benedek Broadcasting Corp.
11.875% due 03/01/2005 24,940 26,935
Benedek Communications Corp.
0.000% due 05/15/2006 (c) 1,500 1,148
Beverly Enterprises, Inc.
9.000% due 02/15/2006 12,700 12,509
Bresnan Communications
8.000% due 02/01/2009 1,000 1,032
Buckeye Technologies, Inc.
8.000% due 10/15/2010 14,100 14,206
Building Materials Corp.
7.750% due 07/15/2005 18,450 18,035
8.625% due 12/15/2006 1,235 1,261
8.000% due 10/15/2007 4,050 3,999
8.000% due 12/01/2008 17,600 17,424
Caesars World
8.875% due 08/15/2002 1,250 1,253
Call-Net Enterprises, Inc.
8.000% due 08/15/2008 6,900 6,900
Canadian Forest Oil Limited
8.750% due 09/15/2007 4,100 3,977
Century Communications Corp.
9.500% due 08/15/2000 600 615
0.000% due 03/15/2003 15,400 11,126
9.500% due 03/01/2005 2,000 2,140
8.750% due 10/01/2007 6,000 6,285
0.000% due 01/15/2008 5,000 2,363
CF Cable TV, Inc.
9.125% due 07/15/2007 9,000 9,610
Chattem, Inc.
8.875% due 04/01/2008 4,950 5,000
Circus Circus Enterprises
6.750% due 07/15/2003 17,400 16,597
Clark R & M, Inc.
8.625% due 08/15/2008 4,000 3,600
Clark R&M Holdings
8.375% due 11/15/2007 5,000 4,481
Coltec Industries, Inc.
7.500% due 04/15/2008 38,750 39,525
Columbia/HCA Healthcare
6.125% due 12/15/2000 2,000 1,949
7.000% due 07/01/2007 3,350 3,018
6.730% due 07/15/2045 9,000 8,555
Columbus McKinnon
8.500% due 04/01/2008 16,500 16,046
Comcast Corp.
9.500% due 01/15/2008 6,837 7,256
Container Corp. of America
11.250% due 05/01/2004 12,020 12,741
Continental Cablevision
9.500% due 08/01/2013 10,000 11,927
Cross Timbers Oil Co.
9.250% due 04/01/2007 4,750 4,631
8.750% due 11/01/2009 6,000 5,790
CSC Holdings, Inc.
9.875% due 05/15/2006 850 918
9.875% due 02/15/2013 2,000 2,212
10.500% due 05/15/2016 11,000 13,200
7.875% due 02/15/2018 10,000 10,175
9.875% due 04/01/2023 9,000 10,102
Cumberland Farms
10.500% due 10/01/2003 4,175 4,154
Decision One
7.890% due 08/07/2003 (d) 4,513 2,031
8.040% due 08/07/2003 (d) 516 232
Delta Air Lines
10.790% due 03/26/2014 2,264 3,006
Dial Call Communications
10.250% due 12/15/2005 (d) 3,772 3,781
Diamond Cable Communication Co.
0.000% due 09/30/2004 2,000 2,055
0.000% due 12/15/2005 (d) 5,000 4,444
Echostar DBS Corp.
9.250% due 02/01/2006 33,150 34,435
9.375% due 02/01/2009 2,000 2,087
Emmis Communications Corp.
8.125% due 03/15/2009 7,150 7,224
Envirosource, Inc.
9.750% due 06/15/2003 12,068 11,473
Extended Stay America
9.150% due 03/15/2008 11,500 11,212
30 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------
Extendicare Health Services
9.350% due 12/15/2007 $ 7,750 $ 6,200
EZ Communication, Inc.
9.750% due 12/01/2005 2,500 2,691
Falcon Holding Group LP
0.000% due 04/15/2010 (c) 11,700 8,161
8.375% due 04/15/2010 7,150 7,221
Federal-Mogul Corp.
7.500% due 07/01/2004 24,000 24,070
7.375% due 01/15/2006 250 246
7.750% due 07/01/2006 9,100 9,133
Ferrellgas Partners LP
9.375% due 06/15/2006 125 125
Fisher Scientific International
7.125% due 12/15/2005 6,500 5,784
9.000% due 02/01/2008 30,075 30,376
Foamex LP
9.875% due 06/15/2007 700 669
Fred Meyer, Inc.
7.450% due 03/01/2008 400 423
Furon Co.
8.125% due 03/01/2008 1,400 1,379
Garden State Newspapers
8.750% due 10/01/2009 24,155 24,517
8.625% due 07/01/2011 6,900 6,969
Globalstar LP
11.375% due 02/15/2004 8,350 5,302
11.250% due 06/15/2004 5,500 3,465
10.750% due 11/01/2004 3,106 1,864
Golden Northwest Aluminum
12.000% due 12/15/2006 4,850 4,874
Goss Graphic Systems, Inc.
12.000% due 10/15/2006 6,450 2,290
Grupo Televisa SA
11.375% due 05/15/2003 1,300 1,319
0.000% due 05/15/2008 (c) 6,475 5,455
Gulf Canada Resources
9.250% due 01/15/2004 12,575 12,809
9.625% due 07/01/2005 1,680 1,718
8.375% due 11/15/2005 4,000 4,000
Harnischfeger Industrial, Inc.
8.900% due 03/01/2022 6,300 5,608
7.250% due 12/15/2025 9,500 7,084
Harrahs Operating Co., Inc
7.875% due 12/15/2005 4,900 4,957
7.500% due 01/15/2009 20,675 20,941
Henry Co.
10.000% due 04/15/2008 2,000 1,990
HMH Properties, Inc.
7.875% due 08/01/2005 20,650 20,289
8.450% due 12/08/2006 6,350 6,350
Hollinger International Publishing
8.625% due 03/15/2005 4,200 4,378
9.250% due 02/01/2006 2,800 2,926
Holmes Products Corp.
9.875% due 11/15/2007 5,200 4,966
Host Marriott LP
8.375% due 02/15/2006 5,000 5,056
Huntsman Corp.
9.500% due 07/01/2007 12,350 12,227
Huntsman Packaging Corp.
9.125% due 10/01/2007 11,050 11,105
Impsat Corp.
12.375% due 06/15/2008 10,900 9,756
Integrated Health Services
7.312% due 12/31/2005 (d) 9,875 9,505
9.500% due 09/15/2007 2,950 1,962
Intermedia Communications, Inc.
0.000% due 05/15/2006 (c) 30,735 26,739
8.500% due 01/15/2008 4,950 4,962
9.500% due 03/01/2009 800 842
ISP Holdings, Inc.
9.750% due 02/15/2002 250 259
9.000% due 10/15/2003 23,370 23,954
ITC Deltacom, Inc.
11.000% due 06/01/2007 3,250 3,591
IXC Communications, Inc.
9.000% due 04/15/2008 8,500 8,904
J.Q. Hammons Hotels
8.875% due 02/15/2004 8,500 7,916
Jones Intercable, Inc.
8.875% due 04/01/2007 10,060 11,016
Jupiters Limited
8.500% due 03/01/2006 10,100 10,201
K-Mart Corp.
12.350% due 01/01/2008 (b) 4,127 4,581
8.800% due 07/01/2010 1,250 1,296
9.350% due 01/02/2020 15,374 15,375
9.780% due 01/05/2020 9,575 9,950
K-III Communications Co.
8.500% due 02/01/2006 18,190 18,599
L-3 Communications Corp.
10.375% due 05/01/2007 5,750 6,354
Lenfest Communications
8.375% due 11/01/2005 13,650 14,605
10.500% due 06/15/2006 525 609
Level 3 Communications, Inc.
9.125% due 05/01/2008 30,200 30,275
Lin Holdings Corp.
0.000% due 03/01/2008 (d) 18,750 13,313
Lin Television Corp.
8.375% due 03/01/2008 8,800 8,833
Magnum Hunter Resources, Inc.
10.000% due 06/01/2007 3,900 3,451
Mail-Well, Inc.
8.750% due 12/15/2008 (d) 16,100 16,583
Market Hub Partners
8.250% due 03/01/2008 7,700 7,816
Marsh Supermarkets, Inc.
8.875% due 08/01/2007 4,000 4,200
McLeodUSA, Inc.
0.000% due 03/01/2007 (c) 27,475 22,049
8.375% due 03/15/2008 300 303
9.500% due 11/01/2008 13,625 14,681
8.125% due 02/15/2009 9,050 9,073
MJD Communications, Inc.
9.500% due 05/01/2008 6,525 6,623
Navistar International Corp.
8.000% due 02/01/2008 8,000 8,280
Newpark Resources, Inc.
8.625% due 12/15/2007 5,050 4,823
Newsquest Capital
11.000% due 05/01/2006 2,550 2,818
NTL, Inc.
10.000% due 02/15/2007 2,000 2,125
11.500% due 10/01/2008 10,900 12,344
Occidental Petroleum
6.400% due 04/01/2003 2,500 2,474
Ocean Rig Norway
10.250% due 06/01/2008 6,325 4,459
Octel Developments PLC
10.000% due 05/01/2006 2,100 2,179
Optel, Inc.
13.000% due 02/15/2005 1,500 1,519
11.500% due 07/01/2008 5,300 4,770
Orion Network Systems, Inc.
0.000% due 01/15/2007 (c) 20,350 11,396
11.250% due 01/15/2007 16,375 14,656
Owens & Minor, Inc.
10.875% due 06/01/2006 950 1,030
P&L Coal Holdings
8.875% due 05/15/2008 29,550 30,991
Packaging Corp. of America
9.625% due 04/01/2009 11,025 11,025
Packard Bioscience Co.
9.375% due 03/01/2007 2,950 2,869
Perkins Family Restaurants
10.125% due 12/15/2007 3,450 3,709
See accompanying notes 31
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------
Perry-Judd
10.625% due 12/15/2007 $ 6,445 $ 6,735
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 8,600 8,009
Phar-Mor, Inc.
11.720% due 09/11/2002 8,005 8,445
Pharmerica, Inc.
8.375% due 04/01/2008 15,650 16,667
Physician Sales and Service, Inc.
8.500% due 10/01/2007 10,250 10,404
Piedmont Aviation
10.250% due 03/28/2005 821 883
Pioneer Natonal Resources
8.875% due 04/15/2005 17,000 16,402
6.500% due 01/15/2008 6,950 5,744
Polymer Group, Inc.
9.000% due 07/01/2007 20,805 21,169
8.750% due 03/01/2008 6,200 6,371
Pool Energy Co.
8.625% due 04/01/2008 11,750 11,838
Pride International, Inc.
9.375% due 05/01/2007 3,400 3,264
Primedia, Inc.
7.625% due 04/01/2008 8,250 8,209
Printpack, Inc.
9.875% due 08/15/2004 2,325 2,293
Qwest Communications International, Inc.
0.000% due 10/15/2007 (c) 13,040 10,432
0.000% due 02/01/2008 (c) 10,550 8,203
7.250% due 11/01/2008 1,200 1,233
R & B Falcon Corp.
9.500% due 12/15/2008 3,200 2,896
R.H. Donnelly, Inc.
9.125% due 06/01/2008 4,600 4,876
Racers
8.375% due 10/01/2007 21,417 20,794
Regal Cinemas, Inc.
9.500% due 06/01/2008 12,150 12,484
8.875% due 12/15/2010 7,475 7,344
Renaissance Media Group
0.000% due 04/15/2008 (c) 21,250 14,769
Revlon Consumer Products
8.125% due 02/01/2006 1,375 1,327
Riviera Holdings Corp.
10.000% due 08/15/2004 1,850 1,647
RJR Nabisco
8.625% due 12/01/2002 14,500 15,075
Rogers Cablesystems Limited
10.000% due 03/15/2005 7,500 8,494
Rogers Cantel, Inc.
8.300% due 10/01/2007 16,385 17,122
9.375% due 06/01/2008 15,500 17,089
Safety-Kleen Services
9.250% due 06/01/2008 25,500 26,775
Salem Communications
9.500% due 10/01/2007 5,400 5,724
Satelites Mexicanos
9.060% due 06/30/2004 (d) 8,882 7,416
SC International Services, Inc.
9.250% due 09/01/2007 11,200 12,152
Scotsman Group, Inc.
8.625% due 12/15/2007 4,000 4,020
Silgan Holdings, Inc.
9.000% due 06/01/2009 23,160 23,913
Smith's Food & Drug Centers, Inc.
8.640% due 07/02/2012 9,575 10,102
9.200% due 07/02/2018 15,750 17,212
Smithfield Foods
7.625% due 02/15/2008 5,950 5,757
Station Casinos, Inc.
9.750% due 04/15/2007 8,600 9,116
8.875% due 12/01/2008 3,000 3,090
Stone Container Corp.
9.875% due 02/01/2001 2,000 2,040
10.750% due 10/01/2002 3,802 3,978
11.500% due 10/01/2004 2,000 2,130
Sun Healthcare Group, Inc.
9.500% due 07/01/2007 1,550 318
9.375% due 05/01/2008 5,300 1,087
Supercanal Holdings
11.500% due 05/15/2005 4,800 1,920
Superior Telecom, Inc.
9.312% due 11/27/2006 16,000 15,840
Synthetic Industries, Inc.
9.250% due 02/15/2007 12,000 12,420
Telewest Communications
9.625% due 10/01/2006 12,750 13,547
Tenet Healthcare Corp.
7.875% due 01/15/2003 1,000 999
8.625% due 12/01/2003 1,600 1,638
8.000% due 01/15/2005 5,300 5,267
8.625% due 01/15/2007 3,500 3,518
7.625% due 06/01/2008 20,000 19,400
TFM SA de CV
0.000% due 06/15/2009 (c) 7,800 4,641
Trans-Resources, Inc.
10.750% due 03/15/2008 14,650 14,650
0.000% due 03/15/2008 (c) 1,750 919
TV Guide, Inc.
8.125% due 03/01/2009 18,400 18,768
Unisys Corp.
12.000% due 04/15/2003 8,900 9,812
7.875% due 04/01/2008 4,000 4,210
United Defense Industry, Inc.
8.750% due 11/15/2007 9,000 9,090
United Refining Co.
10.750% due 06/15/2007 1,650 1,163
US Air, Inc.
9.625% due 09/01/2003 18,083 19,025
9.330% due 01/01/2006 6,443 6,669
Vectura Group, Inc.
10.250% due 06/30/2008 7,150 7,382
Vintage Petroleum
9.000% due 12/15/2005 10,490 10,490
9.750% due 06/30/2009 7,850 8,066
Westpoint Stevens, Inc.
7.875% due 06/15/2005 2,500 2,569
7.875% due 06/15/2008 17,450 17,930
World Color Press, Inc.
8.375% due 11/15/2008 15,650 16,120
Young Broadcasting, Inc.
9.000% due 01/15/2006 11,000 11,605
8.750% due 06/15/2007 4,510 4,645
-----------
1,961,472
===========
Utilities 13.4%
AES Corp.
10.250% due 07/15/2006 12,735 13,499
8.375% due 08/15/2007 1,000 985
8.500% due 11/01/2007 6,300 6,206
Beaver Valley Funding Corp.
9.000% due 06/01/2017 32,000 35,610
Bridas Corp.
12.500% due 11/15/1999 4,500 4,590
California Energy
9.500% due 09/15/2006 10,000 11,021
Calpine Corp.
9.250% due 02/01/2004 15,250 15,707
15.000% due 03/15/2004 (b) 10,000 11,751
7.625% due 04/15/2006 4,500 4,523
8.750% due 07/15/2007 14,950 15,259
7.875% due 04/01/2008 11,000 11,248
CMS Energy
8.125% due 05/15/2002 9,500 9,767
7.000% due 01/15/2005 12,000 11,705
32 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------
Flag Limited
8.250% due 01/30/2008 $ 39,575 $ 38,388
GST Network
0.000% due 05/01/2008 (c) 8,000 4,240
Intermedia Communications
0.000% due 07/15/2007 (c) 6,250 4,766
ITC Deltacom, Inc.
8.875% due 03/01/2008 12,300 12,484
9.750% due 11/15/2008 1,750 1,859
Mastec, Inc.
7.750% due 02/01/2008 7,250 7,069
Metromedia Fiber Network, Inc.
10.000% due 11/15/2008 9,725 10,479
Metronet Communications
0.000% due 06/15/2008 (c) 8,975 6,978
10.625% due 11/01/2008 9,600 11,232
MJD Communications, Inc.
9.160% due 05/01/2008 (d) 6,000 5,848
Nextel Communications, Inc.
9.750% due 08/15/2004 10,000 10,413
8.500% due 03/31/2007 4,000 3,880
0.000% due 02/15/2008 (c) 38,750 27,367
Nextel Partners, Inc.
0.000% due 02/01/2009 (c) 17,750 10,295
Niagara Mohawk Power
9.990% due 05/11/2004 2,500 2,530
7.625% due 10/01/2005 8,400 8,658
7.750% due 05/15/2006 1,100 1,192
7.750% due 10/01/2008 27,000 28,990
9.500% due 03/01/2021 2,500 2,652
7.875% due 04/01/2024 7,500 7,907
North Atlantic Energy
9.050% due 06/01/2002 5,265 5,432
Orange PLC
8.000% due 08/01/2008 40,550 41,969
Rural Cellular Corp.
9.625% due 05/15/2008 11,800 12,355
Telewest Communications PLC
0.000% due 10/01/2007 (d) 2,500 2,212
11.250% due 11/01/2008 1,000 1,170
Wilmington Trust Co. - Tucson Electric
10.211% due 01/01/2009 (b) 500 552
10.732% due 01/01/2013 (b) 6,993 8,055
------------
430,843
------------
Total Corporate Bonds & Notes 2,559,786
(Cost $2,564,972) ============
U.S. TREASURY OBLIGATIONS 0.2%
U.S. Treasury Strips
0.000% due 08/15/2026 29,700 6,046
------------
Total U.S. Treasury Obligations 6,046
(Cost $6,048) ============
MORTGAGE-BACKED SECURITIES 1.7%
Collateralized Mortgage Obligations 1.4%
Asset Securitization Corp.
7.384% due 08/13/2029 1,500 1,464
Federal Deposit Insurance Corp.
6.187% due 11/25/2026 (d) 400 373
Green Tree Financial Corp.
8.000% due 07/15/2018 7,000 6,821
LTC Commercial Corp.
7.970% due 04/15/2028 5,062 5,058
NationsBanc Mortgage Capital Corp.
8.051% due 05/25/2028 (d) 3,835 2,877
NationsLink Funding Corp.
7.105% due 01/20/2013 10,500 8,005
Red Mountain Funding Corp.
9.150% due 11/28/2027 5,727 5,562
Resolution Trust Corp.
9.250% due 06/25/2023 1,931 2,020
9.050% due 08/25/2023 568 566
6.900% due 02/25/2027 7,164 6,752
7.000% due 05/25/2027 5,759 5,762
------------
45,260
============
Other Mortgage-Backed Securities 0.2%
LTC Commercial Corp.
9.200% due 08/04/2023 3,235 3,215
Resolution Trust Corp.
6.653% due 09/25/2020 (d) 444 382
9.500% due 05/25/2024 28 28
Structured Asset Securities Corp.
7.050% due 11/25/2007 4,000 3,535
------------
7,160
============
Stripped Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 821 31
7.000% due 07/25/2008 4,289 551
6.500% due 06/25/2017 1,336 82
7.000% due 04/25/2019 12,000 1,562
7.000% due 12/25/2021 7,591 797
Fund America (Ioette)
9.590% due 10/20/2021 10 25
------------
3,048
------------
Total Mortgage-Backed Securities 55,468
(Cost $56,557) ============
ASSET-BACKED SECURITIES 6.1%
Airplanes Pass Through Trust
10.875% due 03/15/2019 27,570 27,460
Apria Healthcare Group
7.938% due 08/09/2001 1,356 1,343
8.438% due 08/09/2001 6,148 5,971
BCP SA
11.280% due 03/31/2006 10,000 8,500
Charter Commercial Holdings LLC
7.750% due 03/31/2028 15,000 14,962
Columbia/HCA Healthcare
6.807% due 09/30/1999 13,750 13,526
6.807% due 09/30/2000 13,750 13,526
Decision One
7.890% due 08/07/2003 5,641 2,538
Huntsman Corp.
8.812% due 03/20/2007 (d) 3,500 3,500
Jefferson Smurfit
8.250% due 03/31/2006 18,905 18,076
Lyondell Petroleum
6.937% due 06/17/1999 7,675 7,579
6.937% due 06/17/2000 22,325 21,655
Morgan Stanley Aircraft Finance
8.700% due 03/15/2023 21,750 19,646
NTL, Inc.
0.000% due 02/01/2006 6,000 5,250
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003 (d) 15,000 15,000
Stone Container Corp.
8.500% due 04/01/2000 (d) 8,185 8,216
TFM SA de CV
6.190% due 06/30/2003 (d) 4,000 3,760
Varig SA
9.651% due 06/02/2005 5,847 4,385
8.777% due 06/02/2005 1,732 1,299
------------
Total Asset-Backed Securities 196,192
(Cost $206,937) ============
See accompanying notes 33
<PAGE>
Schedule of Investments (Cont.)
High Yield Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
SOVEREIGN ISSUES 2.2%
Embotelladora Arica SA
9.875% due 03/15/2006 $ 22,000 $ 22,277
Petroleos Mexicanos
9.375% due 12/02/2008 8,000 8,200
Republic of Argentina
5.937% due 03/31/2005 (d) 5,650 4,838
5.750% due 03/31/2023 (d) 9,000 6,255
Republic of Korea
8.875% due 04/15/2008 28,550 30,607
-----------
Total Sovereign Issues 72,177
(Cost $65,865) ===========
PREFERRED STOCK 3.0%
Shares
CSC Holdings, Inc.
12.738% due 01/02/2000 169 19,358
Fresenius Medical Care
7.875% due 01/02/2000 28 27,468
9.000% due 12/01/2006 27 27,511
Newscorp Overseas Limited
2.156% due 01/02/2000 133 3,330
Primedia, Inc.
8.624% due 01/02/2000 50 4,763
9.200% due 12/01/2006 70 7,193
Sig Capital Trust
9.500% due 08/15/2027 7 5,479
-----------
Total Preferred Stock 95,102
(Cost $97,840) ===========
SHORT-TERM INSTRUMENTS 7.6%
Principal
Amount
(000s)
Commercial Paper 6.4%
Abbott Laboratories
4.840% due 04/09/1999 $ 4,500 4,495
Coca-Cola Co.
4.770% due 04/08/1999 22,600 22,579
4.810% due 04/22/1999 2,100 2,094
4.780% due 06/21/1999 6,200 6,133
E.I. Du Pont de Nemours
4.800% due 06/04/1999 12,500 12,393
Ford Motor Credit Corp.
4.850% due 04/09/1999 14,100 14,085
4.840% due 04/23/1999 3,500 3,490
General Electric Capital Corp.
4.840% due 04/28/1999 300 299
4.840% due 04/30/1999 24,100 24,006
4.810% due 05/05/1999 800 796
IBM Corp.
4.810% due 04/21/1999 7,200 7,181
KFW International Finance, Inc.
4.760% due 04/06/1999 2,900 2,898
National Rural Utilities Cooperative
4.810% due 05/17/1999 35,000 34,785
4.820% due 06/10/1999 3,400 3,368
Shell Oil Co.
4.790% due 05/27/1999 17,100 16,973
4.780% due 06/22/1999 50,000 49,456
-----------
205,031
===========
Repurchase Agreements 1.2%
State Street Bank
4.000% due 04/01/1999 4,217 4,217
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 7.500% 10/31/1999
valued at $4,306,105. Repurchase
proceeds are $4,217,469.)
Daiwa Securities
4.920% due 04/01/1999 13,600 13,600
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 8.375% 08/15/2008
valued at $13,927,080. Repurchase
proceeds are $13,601,859.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 23,100 23,100
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 12.000% 08/15/2013
valued at $23,511,616. Repurchase
proceeds are $23,103,144.)
-----------
40,917
-----------
Total Short-Term Instruments 245,948
(Cost $245,948) ===========
Total Investments (a) 100.2% $ 3,230,719
(Cost $3,244,167)
Other Assets and Liabilities (Net) (0.2%) (7,469)
===========
Net Assets 100.0% $ 3,223,250
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $3,244,633 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 66,233
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (80,147)
-----------
Unrealized depreciation-net $ (13,914)
===========
(b) Restricted security.
(c) Security becomes interest bearing at a future date.
(d) Variable rate security. The rate listed is as of March 31, 1999.
34 See accompanying notes
<PAGE>
Schedule of Investments
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 37.3%
Banking & Finance 19.4%
Associates Corp. of North America
5.104% due 08/27/2001 (d) $ 1,000 $ 1,003
6.875% due 06/20/2002 20,000 20,515
6.950% due 08/01/2002 1,000 1,035
AT&T Capital Corp.
6.490% due 05/17/1999 10,000 10,011
Banc One Corp.
7.250% due 08/01/2002 500 521
BankAmerica Corp.
7.200% due 09/15/2002 100 104
7.875% due 12/01/2002 100 106
Bear Stearns Co., Inc.
5.230% due 08/29/2000 (d) 21,000 21,031
5.821% due 02/06/2001 (d) 8,600 8,649
Beneficial Corp.
9.220% due 06/15/1999 1,000 1,008
6.650% due 09/12/2002 5,000 5,056
6.575% due 12/16/2002 5,440 5,487
Boeing Capital Services Corp.
6.480% due 11/10/1999 10,750 10,798
Bombardier Capital, Inc.
6.000% due 01/15/2002 10,000 9,951
Case Credit Corp.
5.850% due 02/20/2001 (d) 63,000 62,911
5.157% due 08/01/2001 (d) 4,750 4,667
Chase Manhattan Corp.
5.500% due 02/15/2001 1,000 997
Chrysler Financial Co. LLC
5.850% due 01/26/2001 5,000 5,028
5.077% due 08/08/2002 (d) 8,000 8,013
CIT Group, Inc.
6.200% due 10/20/2000 50,000 50,429
5.875% due 06/18/2001 10,000 10,037
Citicorp
9.750% due 08/01/1999 100 101
5.371% due 10/25/1999 (d) 5,000 5,014
Credit Asset Receivable
6.274% due 10/30/2003 44,709 45,618
Ford Motor Credit Corp.
7.500% due 11/15/1999 100 101
5.280% due 03/21/2001 (d) 3,000 3,006
5.150% due 03/19/2002 3,107 3,103
6.520% due 08/12/2002 13,000 13,272
General Motors Acceptance Corp.
7.125% due 05/01/2001 15,000 15,407
5.020% due 09/19/2001 (d) 5,000 4,996
5.100% due 12/10/2001 (d) 5,300 5,306
5.095% due 04/29/2002 (d) 2,000 1,996
5.100% due 11/12/2002 (d) 17,400 17,403
5.875% due 01/22/2003 500 500
Goldman Sachs Group
6.200% due 12/15/2000 1,000 1,004
Great Western Financial
8.600% due 02/01/2002 4,000 4,263
Hitachi Credit America
6.100% due 04/24/2001 25,000 24,949
Household Finance Corp.
6.490% due 04/09/2001 20,000 20,308
6.125% due 07/15/2002 10,000 10,068
7.625% due 01/15/2003 10,849 11,444
Lehman Brothers Holdings, Inc.
5.370% due 05/14/1999 (d) 5,000 4,998
7.625% due 07/15/1999 (d) 50 50
7.110% due 09/27/1999 45 45
8.150% due 05/15/2000 13,900 14,192
4.990% due 08/11/2000 (d) 7,900 7,871
5.900% due 04/01/2002 (d) 2,000 2,000
Merrill Lynch & Co.
6.250% due 07/25/2000 2,150 2,170
6.000% due 01/15/2001 1,336 1,343
5.604% due 11/26/2001 (d) $115,000 $116,621
5.348% due 02/08/2002 (d) 25,000 24,985
6.130% due 04/07/2003 7,770 7,837
Morgan Stanley Group, Inc.
5.070% due 04/15/1999 5,000 5,001
New England Educational Loan Marketing
5.104% due 11/30/1999 (d) 20,000 20,040
Okobank
6.510% due 10/29/2049 (d) 750 749
PaineWebber
7.000% due 03/01/2000 50 51
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
PNC Bank Corp.
5.100% due 01/24/2002 (d) 20,000 19,860
Rothmans Holdings
6.500% due 05/06/2003 14,000 13,704
Salomon, Inc.
7.125% due 08/01/1999 1,050 1,056
7.750% due 05/15/2000 19,000 19,441
7.500% due 02/01/2003 3,000 3,146
Salomon, Smith Barney Holdings
7.875% due 10/01/1999 100 101
Security Pacific Corp.
11.500% due 11/15/2000 3,850 4,164
SGE Associates
8.070% due 07/20/2000 (j) 9,373 9,562
Toyota Motor Credit Corp.
4.659% due 02/15/2002 (d) 11,600 11,163
Transamerica Financial Corp.
6.125% due 11/01/2001 5,000 5,040
Travelers Group, Inc.
7.300% due 05/15/2002 15,000 15,549
Wells Fargo Co.
6.750% due 05/12/2000 1,000 1,014
--------
751,861
========
Industrials 10.1%
AK Steel Corp.
10.750% due 04/01/2004 10,650 11,079
Allied Waste North America
7.375% due 01/01/2004 5,000 4,875
American Home Products Corp.
7.700% due 02/15/2000 100 102
AMR Corp.
9.750% due 03/15/2000 5,000 5,174
9.910% due 03/01/2001 2,500 2,669
9.440% due 05/15/2001 5,000 5,318
9.125% due 10/24/2001 1,000 1,066
Building Materials Corp.
0.000% due 07/01/2004 (i) 4,700 4,853
Century Communications Corp.
0.000% due 03/15/2003 5,250 3,793
Container Corp. of America
11.250% due 05/01/2004 2,500 2,650
Delta Air Lines
9.800% due 12/16/2000 250 263
8.500% due 09/15/2001 205 216
10.430% due 01/02/2011 850 1,053
Federal-Mogul Corp.
7.500% due 07/01/2004 28,600 28,684
Ford Motor Co.
9.000% due 09/15/2001 500 537
Fred Meyer, Inc.
7.150% due 03/01/2003 10,500 10,794
Hertz Corp.
6.625% due 07/15/2000 100 101
IBM Corp.
6.375% due 06/15/2000 100 101
ISP Holdings, Inc.
9.750% due 02/15/2002 3,000 3,105
J Seagram & Sons
6.250% due 12/15/2001 52,000 52,263
Langdell
9.978% due 07/30/1999 (d) 5,000 5,031
See accompanying notes 35
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Nabisco, Inc.
6.000% due 02/15/2001 (d) $ 20,000 $ 20,012
Noranda, Inc.
5.750% due 08/18/2000 (d) 1,000 1,009
Occidental Petroleum
10.125% due 11/15/2001 5,000 5,412
6.400% due 04/01/2003 15,945 15,776
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 5,000 4,656
Philip Morris Cos., Inc.
9.000% due 01/01/2001 7,000 7,365
7.500% due 01/15/2002 200 209
RJR Nabisco
8.000% due 07/15/2001 10,135 10,408
8.625% due 12/01/2002 4,500 4,679
Stater Brothers Holdings
11.000% due 03/01/2001 3,875 3,972
TCI Communications, Inc.
5.700% due 03/11/2003 (d) 3,000 3,068
Tenet Healthcare Corp.
7.875% due 01/15/2003 4,300 4,295
8.625% due 12/01/2003 1,700 1,740
Time Warner, Inc.
4.900% due 07/29/1999 3,000 2,994
7.975% due 08/15/2004 21,247 22,984
8.110% due 08/15/2006 42,495 47,017
8.180% due 08/15/2007 42,495 47,727
Xerox Capital
5.875% due 06/01/2000 3,000 3,013
Yorkshire Power
6.154% due 02/25/2003 40,000 39,857
----------
389,920
==========
Utilities 7.8%
Central Maine Power Co.
5.263% due 07/30/1999 (d) 10,000 10,008
6.463% due 11/01/1999 (d) 18,200 18,291
6.380% due 02/24/2000 10,000 10,073
Cleveland Electric Illuminating Co.
9.300% due 07/26/1999 1,500 1,517
8.550% due 11/15/2001 2,075 2,183
7.850% due 07/30/2002 3,500 3,646
CMS Energy
7.375% due 11/15/2000 15,150 15,299
8.125% due 05/15/2002 1,750 1,799
7.625% due 11/15/2004 14,500 14,718
Connecticut Light & Power
7.875% due 06/01/2001 500 511
7.750% due 06/01/2002 11,700 12,127
8.590% due 06/05/2003 10,000 9,934
Consolidated Natural Gas Co.
8.750% due 06/01/1999 400 402
Flag Limited
8.250% due 01/30/2008 2,000 1,940
Illinois Power Co.
6.250% due 07/15/2002 10,000 10,038
6.000% due 09/15/2003 12,500 12,509
Long Island Lighting Co.
7.300% due 07/15/1999 4,500 4,522
Louisiana Power & Light Co.
7.740% due 07/01/2002 10,500 10,685
MCI Worldcom, Inc.
8.875% due 01/15/2006 5,170 5,570
New Centuries Energies
5.860% due 05/28/2000 12,100 12,078
New Orleans Public Service
8.000% due 03/01/2006 400 412
Niagara Mohawk Power
7.000% due 10/01/2000 27,400 27,682
7.125% due 07/01/2001 2,000 2,033
7.250% due 10/01/2002 21,300 21,697
9.500% due 03/01/2021 1,725 1,830
North Atlantic Energy
9.050% due 06/01/2002 4,930 5,086
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 10,000 10,007
Puget Sound Energy, Inc.
6.500% due 09/14/1999 2,000 2,011
Southwestern Bell Communication Capital Corp.
6.125% due 03/12/2001 2,000 2,017
Texas Utilities Co.
6.750% due 04/01/2003 3,875 4,011
Union Electric Co.
8.000% due 12/15/2022 1,000 1,077
US West, Inc.
5.650% due 11/01/2004 4,250 4,201
Western Massachusetts Electric
7.375% due 07/01/2001 5,250 5,314
7.750% due 12/01/2002 10,300 10,508
WorldCom, Inc.
6.125% due 08/15/2001 45,000 45,448
----------
301,184
----------
Total Corporate Bonds & Notes 1,442,965
(Cost $1,426,940) ==========
MUNICIPAL BONDS & NOTES 0.3%
New York City Refunding Bonds, Series 1998 B
5.900% due 08/01/2000 13,000 13,108
----------
Total Municipal Bonds & Notes 13,108
(Cost $12,997) ==========
U.S. GOVERNMENT AGENCIES 2.6%
Federal Home Loan Bank
4.350% due 04/19/1999 (d) 3,000 2,998
Small Business Administration
7.000% due 01/25/2013 (d) 273 281
6.500% due 02/25/2014 (d) 849 868
Student Loan Marketing Assn.
5.684% due 06/30/2000 (d) 46,000 45,917
5.098% due 04/25/2006 (d) 4,441 4,426
5.178% due 04/25/2007 (d) 45,374 45,381
----------
Total U.S. Government Agencies 99,871
(Cost $99,900) ==========
U.S. TREASURY OBLIGATIONS 4.4%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(k) 95,400 94,804
3.625% due 01/15/2008 (h) 7,627 7,453
3.875% due 01/15/2009 (h)(k) 12,522 12,486
U.S. Treasury Notes
5.375% due 07/31/2000 (k) 55,000 55,293
----------
Total U.S. Treasury Obligations 170,036
(Cost $169,795) ==========
MORTGAGE-BACKED SECURITIES 63.4%
Collateralized Mortgage Obligations 16.2%
American Southwest Financial
5.500% due 06/02/1999 2,334 2,314
Asset Securitization Corp.
7.320% due 01/13/2030 116 122
Chase Commercial Mortgage Securities Corp.
7.600% due 12/18/2005 233 248
6.900% due 09/19/2006 135 140
Chase Mortgage Finance Corp.
10.000% due 11/25/2009 525 538
6.204% due 04/25/2025 (d) 5,236 5,311
Citicorp Mortgage Securities, Inc.
9.500% due 10/25/2015 131 131
Collateralized Mortgage Obligation Trust
6.062% due 01/20/2003 (d) 13 13
9.500% due 06/25/2020 413 422
Countrywide Funding Corp.
6.000% due 01/25/2035 (d) 5,910 5,923
36 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Countrywide Home Loans
6.250% due 07/25/2009 $ 1,400 $ 1,407
6.900% due 12/25/2027 18,168 18,033
6.750% due 06/25/2028 15,103 14,390
6.050% due 04/25/2029 56,626 55,875
Criimi Mae Financial Corp.
7.000% due 01/01/2033 10,029 10,174
CS First Boston Mortgage Securities Corp.
6.400% due 02/17/2004 163 165
6.520% due 07/17/2007 145 147
Dime Savings
7.050% due 11/01/2018 (d) 2,285 2,097
DLJ Mortgage Acceptance Corp.
11.000% due 08/01/2019 1,114 1,232
8.365% due 05/25/2024 (d) 1,802 1,832
6.850% due 12/17/2027 165 166
Enterprise Mortgage Acceptance Co.
6.110% due 07/15/2003 144 141
Federal Home Loan Mortgage Corp.
6.000% due 07/15/2006 3,200 3,213
10.000% due 09/15/2009 9 9
6.375% due 08/15/2011 6,120 6,156
6.500% due 08/15/2011 22,726 22,788
12.500% due 09/30/2013 809 886
6.250% due 07/15/2014 3,072 3,079
11.000% due 11/30/2015 6,744 7,459
10.000% due 07/15/2019 373 403
9.000% due 11/15/2019 1,284 1,326
8.000% due 04/15/2020 430 432
7.500% due 04/15/2020 2,900 2,927
10.000% due 05/15/2020 256 270
9.000% due 12/15/2020 4,964 5,167
7.500% due 12/15/2020 2,000 2,033
9.500% due 01/15/2021 1,633 1,725
8.000% due 04/15/2021 1,793 1,847
9.000% due 05/15/2021 320 334
7.500% due 01/20/2024 10,826 10,955
Federal National Mortgage Assn.
8.950% due 05/25/2003 58 60
9.400% due 07/25/2003 97 101
9.000% due 07/25/2003 442 454
6.875% due 06/25/2009 2,407 2,427
5.750% due 04/25/2016 167 167
9.300% due 05/25/2019 1 1
8.750% due 05/25/2019 70 71
9.000% due 07/25/2019 200 202
9.500% due 03/25/2020 3,211 3,540
9.500% due 05/25/2020 1,450 1,590
9.000% due 03/25/2021 5,050 5,343
9.000% due 04/25/2021 173 182
8.000% due 03/25/2022 83 85
7.100% due 12/25/2023 6,769 6,878
5.000% due 01/25/2024 239 237
8.500% due 04/01/2025 4,635 4,878
6.464% due 02/01/2028 (d) 9,464 9,715
First Plus Home Loan Trust
6.060% due 09/10/2011 500 502
Fleet Mortgage
7.200% due 10/25/2023 198 200
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,582 4,626
6.500% due 02/25/2024 18 18
Glendale Federal Savings & Loan
6.305% due 03/25/2030 (d) 1,658 1,680
Greenwich
8.733% due 11/25/2024 (d) 923 932
Homestead Mortgage Acceptance Corp.
11.450% due 09/01/2015 874 931
Independent National Mortgage Corp.
8.107% due 11/25/2024 (d) 1,646 1,677
J.P. Morgan Commercial Mortgage Finance Corp.
7.069% due 09/15/2029 185 194
6.373% due 01/15/2030 147 149
LB Commercial Conduit Mortgage Trust
6.330% due 11/18/2004 144 145
Lehman Large Loan
6.790% due 06/12/2004 165 170
Mellon Residential Funding Corp.
6.400% due 06/26/2028 2,661 2,677
Merrill Lynch Mortgage Investors, Inc.
6.310% due 11/15/2026 265 267
Morgan Stanley Capital
6.860% due 07/15/2005 130 130
7.227% due 01/16/2006 230 240
6.220% due 06/03/2030 230 232
Mortgage Capital Funding, Inc.
6.325% due 10/18/2007 23,843 24,117
Nomura Asset Securities Corp.
6.625% due 01/25/2009 1,974 1,986
Norwest Asset Securities Corp.
6.250% due 11/25/2013 18,196 18,076
7.000% due 01/25/2028 42,677 43,050
Norwest Mortgage
12.375% due 01/01/2014 155 160
12.500% due 02/01/2014 438 468
12.250% due 04/01/2014 255 237
PNC Mortgage Securities Corp.
6.500% due 02/25/2028 11,969 12,055
6.750% due 05/25/2028 7,149 7,195
Prudential Bache
5.941% due 09/01/2018 (d) 32 32
8.400% due 03/20/2021 5,175 5,331
Prudential Home Mortgage Securities
7.500% due 10/25/2007 878 899
7.000% due 11/25/2007 56 56
7.000% due 01/25/2008 10,000 10,126
7.000% due 06/25/2023 3,014 3,028
6.050% due 04/25/2024 267 267
6.000% due 05/25/2024 28 28
Resecuritization Mortgage Trust
5.189% due 04/26/2021 (d) 21,748 21,299
Residential Accredit Loans, Inc.
6.500% due 02/25/2029 31,201 31,152
Residential Funding Mortgage Securities, Inc.
6.500% due 06/25/2008 2,006 2,014
6.500% due 04/25/2009 66 66
5.913% due 07/01/2019 (d) 998 973
7.036% due 09/01/2019 (d) 141 140
7.250% due 10/25/2027 19,500 19,771
Resolution Trust Corp.
6.786% due 09/25/2019 (d) 1,335 1,325
5.977% due 01/25/2021 (d) 160 159
8.625% due 10/25/2021 16,777 16,732
7.006% due 10/25/2021 (d) 142 141
6.948% due 10/25/2021 (d) 812 810
6.900% due 02/25/2027 4,911 4,629
6.134% due 09/27/2027 (d) 1,926 1,896
9.000% due 09/25/2028 197 198
7.482% due 10/25/2028 (d) 121 126
RMF Commercial Mortgage Securities, Inc.
6.715% due 01/15/2019 235 238
Ryland Acceptance Corp.
9.450% due 10/01/2016 145 144
8.000% due 03/01/2018 2,403 2,450
Salomon Brothers Mortgage Securities
6.974% due 12/25/2017 (d) 2,133 2,135
9.504% due 10/25/2018 (d) 944 980
7.518% due 03/25/2024 (d) 2,058 2,099
Sears Mortgage
7.572% due 08/25/2023 (d) 335 343
Securitized Asset Sales, Inc.
6.750% due 08/25/2025 4,547 4,556
Shearson Lehma
9.600% due 03/25/2021 558 557
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 40,058 39,459
8.992% due 06/25/2029 12,939 13,566
6.580% due 06/25/2029 (d) 32,620 32,997
6.750% due 05/02/2030 5,000 4,972
See accompanying notes 37
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Structured Asset Notes Transactions Limited
6.650% due 08/30/2005 $ 26,153 $ 25,892
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 4,601 4,609
TMA Mortgage Funding Trust
5.319% due 01/25/2029 (d) 16,700 16,695
Union Planters Mortgage Finance Corp.
6.450% due 01/25/2028 6,000 6,007
-----------
628,772
===========
Federal Home Loan Mortgage Corporation 15.6%
4.750% due 06/01/2001 8 8
5.500% due 04/01/2007-05/15/2029 (g) 30,001 28,285
5.750% due 01/15/2008 7,096 7,114
5.900% due 01/01/2017-06/01/2017 (d)(g) 585 588
5.905% due 09/01/2015-06/01/2030 (d)(g) 3,859 3,872
5.928% due 01/01/2020 (d) 660 663
5.941% due 02/01/2015-08/01/2019 (d)(g) 2,024 2,031
5.955% due 05/01/2017 (d) 177 177
5.985% due 02/01/2016 (d) 90 90
6.000% due 03/01/2011-05/17/2029 (d)(g) 319,098 310,218
6.012% due 01/01/2030-12/01/2030 (d)(g) 3,428 3,446
6.031% due 10/01/2030 (d) 359 361
6.125% due 01/01/2020 (d) 234 236
6.132% due 11/01/2014 (d) 62 62
6.500% due 04/01/2000-05/17/2029 (g) 82,896 82,706
6.750% due 03/01/2017 (d) 267 269
6.778% due 03/01/2024 (d) 130 134
6.991% due 01/01/2024 (d) 1,266 1,302
6.999% due 01/01/2024 (d) 2,593 2,660
7.021% due 11/01/2022 (d) 2,094 2,149
7.046% due 02/01/2020 (d) 3,105 3,182
7.299% due 06/01/2024 (d) 958 986
7.484% due 11/01/2023 (d) 1,056 1,082
7.496% due 07/01/2018 (d) 536 549
7.500% due 09/01/2006 110 112
7.567% due 10/01/2023 (d) 1,561 1,584
7.591% due 12/01/2022 (d) 1,107 1,123
7.619% due 09/01/2023 (d) 401 408
8.000% due 07/01/2006-06/01/2027 (g) 121,316 126,452
8.250% due 10/01/2007-11/01/2007 (g) 39 40
8.500% due 07/01/2001-11/01/2025 (g) 20,273 21,353
8.750% due 02/01/2001-04/01/2002 (g) 43 44
9.000% due 05/01/2002-07/01/2004 (g) 56 58
9.250% due 07/01/2001 4 4
9.500% due 03/01/2001-12/01/2004 (g) 90 93
9.750% due 03/01/2001-11/01/2008 (g) 895 941
10.000% due 04/01/2001-04/01/2015 (g) 16 16
10.500% due 07/01/2000-02/01/2016 (g) 67 70
10.750% due 10/01/2000-08/01/2011 (g) 423 454
11.500% due 10/01/2015 2 2
11.750% due 11/01/2010-08/01/2015 (g) 15 16
14.000% due 09/01/2012-04/01/2016 (g) 13 14
14.500% due 12/01/2010 5 6
15.000% due 08/01/2011-12/01/2011 (g) 4 5
15.500% due 11/01/2011 0 1
-----------
604,966
===========
Federal Housing Administration 0.4%
6.950% due 04/01/2014 2,207 2,113
7.400% due 02/01/2019 129 134
7.421% due 11/01/2019 701 725
7.430% due 10/01/2019-12/01/2021 (g) 11,618 12,073
-----------
15,045
===========
Federal National Mortgage Association 9.6%
5.538% due 04/25/2022 (d) 289 292
5.858% due 06/01/2021 (d) 79 79
5.889% due 08/01/2029 (d) 802 807
5.905% due 04/01/2019-05/01/2031 (d)(g) 12,159 12,255
5.910% due 06/01/2014 (d) 307 310
5.916% due 05/01/2036 (d) 1,377 1,386
5.940% due 11/01/2016-04/26/2029 (d)(g) 7,464 7,521
5.941% due 11/01/2018-10/01/2028 (d)(g) 9,852 9,911
5.942% due 01/01/2027-04/01/2028 (d)(g) 1,175 1,181
5.944% due 07/01/2024 (d) 1,373 1,384
5.948% due 02/01/2024 (d) 1,021 1,029
5.987% due 06/01/2024 (d) 49 49
5.999% due 07/01/2020 (d) 901 909
6.000% due 05/01/2011-12/25/2020 (g) 507 507
6.012% due 07/01/2014 (d) 1,165 1,172
6.042% due 04/01/2018 (d) 7,470 7,522
6.050% due 08/01/2023 (d) 1,127 1,133
6.331% due 07/01/2017 (d) 724 742
6.500% due 06/01/2008-01/25/2024 (g) 39,160 38,042
6.505% due 01/01/2021 (d) 590 597
6.602% due 11/01/2017 (d) 421 426
6.724% due 11/01/2018 (d) 240 246
6.909% due 01/01/2024 (d) 63 65
6.923% due 01/01/2024 (d) 3,082 3,164
7.000% due 04/01/2002-09/01/2007 (g) 180 183
7.016% due 04/01/2024 (d) 2,953 3,032
7.478% due 07/01/2023 (d) 2,029 2,088
7.500% due 04/01/2024-05/01/2024 (g) 12,058 12,420
7.998% due 10/01/2024 (d) 5,625 5,785
8.000% due 03/01/2004-12/01/2025 (g) 8,989 9,390
8.500% due 03/01/2008-08/01/2026 (g) 232,874 244,943
10.000% due 02/01/2004-06/01/2019 (g) 1,748 1,865
10.500% due 06/01/2005-11/01/2005 (g) 239 250
11.000% due 09/01/2000 8 8
11.250% due 12/01/2010-10/01/2015 (g) 175 191
11.750% due 02/01/2016 38 42
12.000% due 01/01/2015-10/01/2015 (g) 10 10
12.750% due 03/01/2014-11/01/2014 (g) 74 83
13.000% due 07/01/2015 8 9
13.250% due 09/01/2011 18 21
13.500% due 04/01/2014 3 4
14.500% due 08/01/2014 41 46
15.500% due 10/01/2012-12/01/2012 (g) 73 85
15.750% due 12/01/2011 37 44
16.000% due 09/01/2012-12/01/2012 (g) 21 23
-----------
371,251
===========
Government National Mortgage Association 20.1%
6.125% due 10/20/2023-10/20/2025 (d)(g) 64,128 65,092
6.500% due 05/15/2023-05/24/2029 (d)(g) 317,706 316,099
6.550% due 11/15/2013 21 21
6.625% due 08/20/2022-07/20/2027 (d)(g) 111,688 113,335
6.875% due 04/20/2016-05/20/2027 (d)(g) 58,470 59,303
6.880% due 06/20/2027 (d) 4,233 4,290
7.000% due 03/15/2011-04/15/2026 (g) 78,522 80,017
7.500% due 02/15/2022-01/15/2027 (g) 97,005 100,156
8.000% due 07/15/2004-05/15/2025 (g) 36,530 38,466
8.500% due 04/15/2022 15 16
9.750% due 07/15/2013-02/15/2020 (g) 964 1,050
11.250% due 10/15/2000 3 3
11.750% due 07/15/2013-08/15/2015 (g) 100 110
12.000% due 06/20/2015 16 18
12.250% due 01/15/2014-03/15/2014 (g) 276 311
13.000% due 10/15/2013 6 7
13.500% due 05/15/2011-11/15/2012 (g) 29 33
16.000% due 12/15/2011-04/15/2012 (g) 38 46
-----------
778,373
===========
Other Mortgage-Backed Securities 1.0%
First Boston Mortgage Securities Corp.
8.300% due 08/20/2009 150 151
Glendale Federal Savings & Loan
11.000% due 03/01/2010 20 21
Goldman Sachs Mortgage Securities Corp.
7.750% due 05/19/2027 13,409 13,895
Great Western Savings & Loan
5.960% due 12/01/2017 (d) 417 413
Home Savings of America
5.641% due 05/25/2027 (d) 1,607 1,570
5.682% due 09/25/2028 (d) 1,180 1,175
38 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
Imperial Savings & Loan
8.850% due 07/25/2017 (d) $ 44 $ 44
9.900% due 02/25/2018 528 540
MDC Mortgage Funding
8.268% due 01/25/2025 (d) 440 458
Resolution Trust Corp.
7.068% due 05/25/2019 (d) 4,252 4,255
7.300% due 08/25/2019 (d) 4,387 4,389
10.279% due 08/25/2021 (d) 657 668
9.500% due 05/25/2024 114 113
5.887% due 10/25/2028 (d) 2,488 2,518
7.035% due 05/25/2029 (d) 2,733 2,781
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 582 612
7.581% due 12/25/2017 (d) 228 224
Sears Mortgage
12.000% due 02/25/2014 91 91
7.217% due 10/25/2022 (d) 2,964 2,997
Western Federal Savings & Loan
6.386% due 06/25/2018 (d) 2 2
6.512% due 11/25/2018 (d) 109 109
10.069% due 02/01/2020 (d)(j) 42 42
----------
37,068
==========
Stripped Mortgage-Backed Securities 0.5%
Federal Home Loan Mortgage Corp. (IO)
6.250% due 09/15/2004 1,154 18
6.000% due 02/15/2006 1,442 81
9.982% due 07/15/2006 34 274
10.195% due 08/15/2006 10 104
11.944% due 12/15/2006 23 292
6.000% due 10/15/2007 1,460 90
6.000% due 02/15/2008 4,395 303
6.500% due 08/25/2013 537 4
7.000% due 08/15/2018 7,321 801
7.500% due 12/15/2018 1,582 52
7.000% due 04/15/2019 1,727 103
6.500% due 05/15/2019 8,601 772
6.500% due 06/15/2019 7,345 503
10.496% due 04/15/2021 19 344
6.500% due 04/15/2022 5,390 592
7.000% due 05/15/2023 532 77
4.000% due 01/15/2024 20,919 4,943
Federal National Mortgage Assn. (IO)
6.000% due 07/25/2005 1,062 40
7.272% due 09/25/2006 52 602
6.000% due 02/25/2008 5,756 410
256.000% due 11/01/2008 34 160
6.500% due 03/25/2009 7,490 850
0.100% due 03/25/2009 (d) 24,961 505
6.500% due 03/25/2009 2,720 312
8.815% due 06/25/2016 28 108
9.987% due 12/25/2018 5 15
7.500% due 03/25/2019 4,880 341
6.500% due 05/25/2019 10,000 1,415
6.500% due 04/25/2020 15,299 1,305
7.000% due 05/25/2021 8,348 822
8.598% due 02/25/2022 35 530
6.500% due 03/25/2023 5,953 751
4.875% due 03/25/2024 (d) 9,627 408
Federal National Mortgage Assn. (PO)
0.000% due 07/25/2022 1,485 1,451
0.000% due 09/25/2022 46 41
Prudential Home Mortgage Securities (IO)
0.300% due 04/25/2009 (d) 69,776 378
Resolution Trust Corp. (PO)
0.000% due 09/25/2000 388 389
----------
20,186
----------
Total Mortgage-Backed Securities 2,455,661
(Cost $2,448,484) ==========
ASSET-BACKED SECURITIES 1.9%
Capital Asset Research Funding LP
6.400% due 12/15/2004 122 122
Citicorp Mortgage Securities, Inc.
6.750% due 05/25/2028 6,266 6,227
CMC Securities Corporation IV
7.250% due 11/25/2027 8,884 9,081
Contimortgage Home Equity Loan Trust
5.116% due 04/15/2028 (d) 1,024 1,020
Delta Air Lines Equipment Trust
10.430% due 01/02/2011 960 1,189
Empire Funding Home Loan Owner Trust
6.590% due 05/25/2014 30,000 30,097
IMC Home Equity Loan Trust
5.152% due 10/20/2027 (d) 11,006 10,989
Stone Container Corp.
8.500% due 04/01/2000 (d) 6,566 6,590
8.520% due 10/01/2003 (d) 5,000 5,013
United Air Lines Equipment Trust
10.850% due 02/19/2015 1,500 1,878
----------
Total Asset-Backed Securities 72,206
(Cost $71,983) ==========
SOVEREIGN ISSUES 3.7%
Hydro Quebec
9.000% due 03/07/2001 10,000 10,597
Korea Development Bank
7.125% due 09/17/2001 5,000 4,921
Nacional Financiera
10.625% due 11/22/2001 7,500 7,774
Petroleos Mexicanos
9.375% due 12/02/2008 1,500 1,538
Province of Quebec
5.563% due 10/26/2001 (d) 250 248
7.125% due 02/09/2024 200 209
Republic of Argentina
5.288% due 04/01/2000 (d) 616 486
14.250% due 11/30/2002 (d) 3,000 2,904
5.937% due 03/31/2005 (d) 48,825 41,809
12.110% due 04/10/2005 (d) 5,000 4,625
Republic of Korea
7.562% due 04/07/1999 (d) 40,000 40,010
7.813% due 04/08/2000 (d) 8,500 8,489
Republic of Philippines
6.000% due 12/01/2007 3,000 2,522
United Mexican States
5.820% due 06/28/2001 10,500 10,147
6.250% due 06/27/2002 (d) 9,000 8,438
----------
Total Sovereign Issues 144,717
(Cost $147,590) ==========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.1%
Commonwealth of Canada
8.750% due 12/01/2005 C$ 1,150 920
4.250% due 12/01/2026 52,096 35,100
United Mexican States
8.750% due 05/30/2002 BP 3,000 4,709
----------
Total Foreign Currency-Denominated Issues 40,729
(Cost $45,820) ==========
PURCHASED CALL OPTIONS 0.0%
U.S. Treasury Note (OTC)
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 $ 45,000 505
----------
Total Purchased Call Options 505
(Cost $480) ==========
See accompanying notes 39
<PAGE>
Schedule of Investments (Cont.)
Low Duration Fund
March 31, 1999
PREFERRED STOCK 2.1% Value
Shares (000s)
Home Ownership Funding
133.310% due 01/02/2000 3 $ 2,745
Rhone-Poulenc SA
2.031% due 01/02/2000 13 338
SI Financing Trust
2.375% due 01/02/2000 807 21,375
TCI Communications, Inc.
2.500% due 01/02/2000 800 21,658
2.430% due 01/02/2000 225 6,151
2.180% due 01/02/2000 1,170 30,569
----------
Total Preferred Stock 82,836
(Cost $83,777) ==========
SHORT-TERM INSTRUMENTS 1.9%
Principal
Amount
(000s)
Repurchase Agreements 1.8%
State Street Bank
4.000% due 04/01/1999 $ 4,926 4,926
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 7.500% 10/31/1999
valued at $5,028,149. Repurchase
proceeds are $4,926,547.)
Daiwa Securities
4.920% due 04/01/1999 64,000 64,000
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 8.375% 08/15/2008
valued at $21,700,072 and U.S. Treasury
Bill 4.545% 09/23/1999 valued at
$43,715,721. Repurchase proceeds are
$64,008,747.)
----------
68,926
==========
U.S. Treasury Bills (b)(g) 0.1%
4.383% due 05/13/1999-06/24/1999 4,805 4,761
==========
Total Short-Term Instruments 73,731 73,687
(Cost $73,687) ==========
Total Investments (a) 118.7% $4,596,321
(Cost $4,581,453)
Written Options (c) (0.0%) (1,862)
(Premiums $1,830)
Other Assets and Liabilities (Net) (18.7%) (723,212)
----------
Net Assets 100.0% $3,871,247
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $4,584,759 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 36,300
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (24,738)
----------
Unrealized appreciation-net $ 11,562
==========
(b) Securities with an aggregate market value of
$4,761 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 330 $ (439)
Eurodollar December Futures (12/1999) 330 (431)
Eurodollar December Futures (12/2000) 1,380 542
United Kingdom 90 Day LIBOR (03/2000) 314 14
United Kingdom 90 Day LIBOR (06/2000) 686 (190)
----------
$ (504)
==========
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 $ 45,000 $ 260 $ 293
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 45,000 193 275
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 500,000 200 169
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 2,000,000 1,177 1,125
-------------------------
$ 1,830 $ 1,862
=========================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month (Depreciation)
- -------------------------------------------------------------------------------
Sell BP 6,183 08/1999 $ (70)
Sell C$ 55,662 04/1999 (196)
------------
$ (266)
============
(f) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Subject to a financing transaction.
40 See accompanying notes
<PAGE>
Schedule of Investments
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
MUNICIPAL BONDS & NOTES 99.4%
Alabama 0.4%
Mobile, Alabama General Obligation Bonds,
(MBIA Insured), Series 1998,
0.000%, 02/15/2000 (b) $ 325 $ 221
--------
Arizona 4.1%
Santa Cruz County, Arizona Utility Revenue Bonds,
Series 1997, 4.750%, 08/01/2020 100 102
Scottsdale, Arizona Industrial Development Authority
Hospital Revenue Bonds, (AMBAC Insured),
Series 1997 A, 6.500%, 09/01/2004 1,130 1,266
Show Low, Arizona Industrial Development Authority
Hospital Revenue Bond, Series 1998,
5.500%, 12/01/2017 1,000 1,030
--------
2,398
========
California 12.3%
Alameda, California Harbor Bay Business Pk Assmt
Revenue Bonds, Series 1998, 5.000%, 09/02/2006 360 357
Capistrano, California Unified School District
Special Tax, Series 1999, 5.000%, 09/01/2008 350 350
City of San Jose Redevelopment Agency Merged
Area Project, Tax Allocation Bonds, (MBIA Insured),
Series 1993, 6.000%, 08/01/2015 500 578
Irvine, California Special Assessment Bond,
Series 1998, 4.800%, 09/02/2004 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group One, 4.900%, 09/02/2005 150 150
Irvine, California Special Assessment Bond,
Series 1998, Group Three, 4.900%, 09/02/2005 160 160
Irvine, California Special Assessment Bond,
Series 1998, 5.000%, 09/02/2006 150 150
Lake Elsinore California School Refunding Bonds,
Series 1998, 5.000%, 09/01/2006 350 350
Los Angeles County Transportation Commission,
Sales Tax Revenue Refunding Bonds, Series 1991 B,
6.500%, 07/01/2013 1,000 1,076
Los Angeles, California Convention & Exhibition
Center Authority Lease Revenue Bonds, (MBIA Insured),
Series 1993, 6.125%, 08/15/2011 1,000 1,155
Orange County, California Improvement Bond,
Series 1998 A, 4.900%, 09/02/2005 300 300
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 4.900%, 09/02/2003 150 155
Pittsburg, California Infrastructure Refunding Bonds,
Series 1998 A, 5.000%, 09/02/2004 150 155
Riverside County, California Special Tax
Refunding Bonds, Series 1999, 4.200%, 09/01/2001 300 300
Riverside County, California Special Tax, Series 1999,
4.700%, 09/01/2005 170 169
Sacramento County, California Refunding Bonds,
Series 1998, 4.900%, 09/02/2005 300 299
San Jose, California Redevelopment Agency Tax
Allocation Bond, Series 1998, 5.000%, 08/01/2021 1,000 991
West Sacramento, California Refunding Bonds,
Series 1998, 5.000%, 09/02/2004 350 355
--------
7,200
========
Colorado 4.9%
Colorado Public Highway Authority Revenue Bond,
Series 1997 A, 5.000%, 09/01/2026 1,500 1,472
Denver, Colorado Health & Hospital Revenue Bonds,
Series 1998 A, 5.000%, 12/01/2009 1,390 1,406
--------
2,878
========
Florida 5.9%
Dade County, Florida General Obligation Bonds,
(AMBAC Insured), Series 1988, 7.600%, 10/01/2006 1,690 2,070
Gainesville, Florida Revenue Bonds, Series 1979,
6.200%, 10/01/2002 300 312
Jacksonville Electric Authority, Bulk Power Supply
System Revenue Bonds, (Prerefunded 10/01/2000),
Scherer 4-1-A Project, Issue One, Series 1991,
6.750%, 10/01/2021 1,000 1,064
--------
3,446
========
Georgia 0.2%
Dawson County, Georgia School District General
Obligation Bond, Series 1997, 4.900%, 04/01/2012 105 107
--------
Illinois 3.6%
Chicago, Illinois Wastewater Transmission
Revenue Bond, Series 1998 A, 5.000%, 01/01/2019 1,000 984
State of Illinois, Sales Tax Revenue Refunding Bonds,
Series 1992 Q, 6.000%, 6/15/2012 1,000 1,125
--------
2,109
========
Indiana 5.9%
Indiana Local Public Improvement Bonds Bank,
Transportation Revenue Bonds, Series 1992,
6.750%, 02/01/2014 1,000 1,204
Indiana Transportation Revenue Bonds, Series 1996,
6.000%, 11/01/2011 2,000 2,270
--------
3,474
========
Louisiana 2.6%
Jefferson Parish, Louisiana Industrial Development
Board, Inc. Revenue Bonds, (Regions Bank Insured),
Series 1986, 2.632%, 12/01/2004 600 600
Louisiana Local Government Environment Facility
Community Development Authority Revenue Bonds,
(AMBAC Insured), Series 1999, 4.500%, 12/01/2018 (b) 1,000 930
--------
1,530
========
Massachusetts 0.5%
Massachusetts State Development Finance Agency,
Series 1998, 4.700%, 11/01/2007 210 210
Massachusetts State Development Finance Agency,
Series 1998, 4.800%, 11/01/2008 90 90
--------
300
========
Michigan 2.3%
Michigan State Building Authority Revenue Bonds,
Series 1997, 5.000%, 10/15/2014 100 101
Michigan State Environmental Protection General
Obligation Bonds, Series 1992, 6.250%, 11/01/2012 1,100 1,274
--------
1,375
========
Minnesota 1.7%
New Richland, Minnesota Revenue Bond,
Series 1998, 4.500%, 08/01/2004 1,000 1,017
--------
See accompanying notes 41
<PAGE>
Schedule of Investments (Cont.)
Municipal Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Mississippi 0.3%
Mississippi State Department of Corrections,
Certificate Participation Bonds, (AMBAC Insured),
Series 1997, 4.600%, 01/01/2008 $ 150 $ 152
--------
Missouri 0.3%
Kansas City Water Revenue Bonds, Series 1998 B,
4.750%, 12/01/2003 100 104
Missouri State Development Finance Board
Infrastructure Facility Revenue Bonds,
(Canadian Imperial Bank Insured), Series 1997,
2.650%, 12/01/2003 (b) 100 100
--------
204
========
New Hampshire 2.0%
New Hampshire Turnpike System, Refunding
Revenue Bonds, (FGIC Insured), Series 1991 A,
6.750%, 11/01/2011 1,000 1,159
--------
New Jersey 1.8%
Essex County, New Jersey Utility Authority,
Series 1999, 0.000%, 04/01/2011 1,000 568
New Jersey Economic Development Authority,
Series 1998, 4.750%, 05/15/2002 365 364
New Jersey State Tranportation Revenue Bonds,
(FSA Insured), Series 1997 A, 5.000%, 06/15/2018 150 150
--------
1,082
========
New Mexico 2.7%
Bernalillo County, New Mexico General
Obligation Bonds, Series 1997, 4.750%, 12/01/2013 150 152
Los Alamos County, Utility Revenue Bonds,
Series 1994 A, 6.000%, 07/01/2008 1,000 1,099
Santa Fe County, El Castillo Retirement Nursing
Home Bonds, Series 1998 A, 5.250%, 05/15/2007 315 311
--------
1,562
========
New York 14.8%
New York City General Obligation Bonds,
Series 1995 B, 6.750%, 08/15/2003 1,000 1,109
New York City General Obligation Bonds,
Series 1996 A, 7.000%, 08/01/2007 1,000 1,170
New York Metropolitan Transit Authority Commuter
Revenue Bonds, Series 1997, 5.500%, 07/01/2021 1,000 1,033
New York State Dorm Authority Mental Health Services
Revenue Bonds, Series 1997 B, 6.000%, 08/15/2005 1,850 2,029
New York State Dorm Authority Revenue Bonds,
Series 1998 B, 4.900%, 02/15/2009 100 102
New York State Environmental Facilities Special
Obligation Revenue Bonds, Series 1996,
5.125%, 04/01/2022 1,000 1,002
State of New York Thruway Authority Revenue Bonds,
(AMBAC-TCRS Insured), Series 1996,
6.000%, 04/01/2005 1,000 1,103
State of New York Thruway Authority Revenue Bonds,
(MBIA Insured), Series 1995 A, 5.500%, 04/01/2015 1,000 1,046
--------
8,594
========
North Carolina 3.6%
North Carolina Municipal Power Agency, Catawaba
Electric Revenue Bonds, (AMBAC Insured),
Series 1992, 6.000%, 01/01/2008 1,000 1,116
North Carolina State School Improvement Bonds,
Series 1998, 4.750%, 04/01/2012 1,000 1,016
--------
2,132
========
North Dakota 1.8%
Mercer County Pollution Control Revenue Bonds,
Series 1991, 6.900%, 02/01/2019 1,000 1,071
--------
Ohio 3.7%
Cleveland Water and Sewer Refunding and
Improvement Revenue Bonds, (MBIA Insured),
Series 1993 G, Number 1, 5.500%, 01/01/2021 1,000 1,085
Ohio State Water Development Authority Pollution
Control Revenue Bonds, (MBIA Insured),
Series 1995, 6.000%, 06/01/2005 1,000 1,106
--------
2,191
========
Pennsylvania 3.8%
Delaware County, Pennsylvania Hospital Revenue Bonds,
Series 1998, 4.900%, 12/01/2008 100 101
Pennsylvania State Higher Educational Facilities
Health Services Revenue Bonds, Series 1994 B,
2.750%, 1/01/2024 (b) 100 100
Philadelphia Gas Revenue Bonds, (FSA Insured),
Series 1998 C, 4.600%, 07/01/2008 100 102
Philadelphia, Pennsylvania Authority for Industrial
Development, Series 1996, 3.200%, 12/01/2008 (b) 300 300
Pittsburgh, Pennsylvania General Obligation Bonds,
(AMBAC Insured), Series 1993 A, 5.500%, 09/01/2014 1,525 1,645
--------
2,248
========
South Carolina 1.8%
Piedmont Municipal Power Agency Electric
Revenue Bonds, (MBIA Insured), Series 1996 B,
5.250%, 01/01/2013 1,000 1,038
--------
Tennessee 3.5%
Memphis-Shelby County Tennessee Airport Authority
Special Facilities and Project Revenue Bonds,
Series 1997, 5.350%, 09/01/2012 1,000 1,041
Nashville & Davidson County, Tennessee
Revenue Bonds, Series 1998, 4.450%, 08/01/2007 1,000 1,001
--------
2,042
========
Texas 12.8%
Bexar, Texas Metro Water District Waterworks
System Revenue Bonds, (MBIA Insured),
Series 1998, 0.000%, 05/01/2035 2,190 312
Board of Regents of the University of Texas System,
Revenue Financing System Refunding Bonds,
Prefunded and Unrefunded Series 1991 B,
6.750%, 08/15/2013 735 789
Houston, Texas Revenue Bonds, Series 1998,
0.000%, 09/15/2009 175 109
Houston, Texas, Water & Sewer System Revenue
Bonds, Series 1993 B, 5.000%, 12/01/2018 2,000 2,002
Nueces County, Texas Health Facilities,
(BankOne Texas N.A. Insured), Series 1985,
2.700%, 07/01/2015 300 300
San Antonio, Texas Refunding Bonds, Series 1998,
5.000%, 02/01/2014 1,380 1,399
Texas Municipal Power Agency, Series 1993,
0.000%, 09/01/2015 3,000 1,320
University of Texas Revenue Bonds, Series 1996,
5.250%, 08/15/2007 1,000 1,071
Waco, Texas General Obligation Bonds, Series 1997,
4.800%, 02/01/2011 150 152
--------
7,454
========
42 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Washington State 1.7%
Washington State Health Care Facility, Series 1985,
3.100%, 10/01/2005 (b) $ 400 $ 400
Washington State Public Power Supply System
Nuclear Project Revenue Bonds, (BIG Insured),
Series 1989, 0.000%, 07/01/2014 1,270 600
--------
1,000
========
West Virginia 0.4%
Kanawha Putnam County Huntington Charleston
West Virginia Single family Mortgage, Series 1984 A,
0.000%, 12/01/2016 550 222
--------
Total Municipal Bonds & Notes 58,206
(Cost $55,380) ========
SHORT-TERM INSTRUMENTS 0.3%
State Street Global Advisors Tax Free Money Market
2.51% due 04/01/1999 171 171
--------
Total Short-Term Instruments 171
(Cost $171) ========
Total Investments (a) 99.7% $ 58,377
(Cost $55,551)
Other Assets and Liabilities (Net) 0.3% 181
--------
Net Assets 100.0% $ 58,558
========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $55,551 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 2,835
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (9)
--------
Unrealized appreciation-net $ 2,826
========
(b) Variable rate security. The rate listed is as of March 31, 1999.
See accompanying notes 43
<PAGE>
Schedule of Investments
Real Return Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
CORPORATE BONDS & NOTES 23.6%
Banking & Finance 20.3%
Chase Manhattan Corp.
5.518% due 12/10/2001(d) $ 500 $ 505
Ford Motor Credit Corp.
5.525% due 02/13/2003(d) 350 349
General Motors Acceptance Corp.
5.707% due 11/09/2000(d) 500 502
Heller Financial, Inc.
5.323% due 02/05/2001 400 401
HRPT Properties Trust
5.658% due 07/09/1999 250 249
J.P. Morgan & Co.
5.459% due 02/15/2012 700 620
Korean Export-Import Bank
6.500% due 10/06/1999 250 248
Lehman Brothers Holdings, Inc.
9.875% due 10/15/2000 250 264
5.900% due 04/01/2002(d) 500 500
Merrill Lynch & Co.
5.348% due 02/08/2002(d) 400 400
Morgan Stanley, Dean Witter, Discover and Co.
6.002% due 11/13/2000(d) 250 251
Residential Reinsurance
9.180% due 06/01/1999(d) 357 361
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 725 706
Toyota Motor Credit Corp.
4.659% due 02/15/2002 400 385
-----------
5,741
===========
Industrials 3.3%
Langdell
9.978% due 07/30/1999(d) 200 201
Petroleos Mexicanos
9.857% due 07/15/2005(d) 500 466
Time Warner, Inc.
4.900% due 07/29/1999 250 250
-----------
917
-----------
Total Corporate Bonds & Notes 6,658
(Cost $6,695) ===========
U.S. GOVERNMENT AGENCIES (d) 29.6%
Federal Home Loan Bank
4.609% due 02/15/2002 2,985 2,912
Federal National Mortgage Assn.
5.328% due 03/13/2002 2,000 1,949
New York City
5.278% due 08/01/2002 196 194
Student Loan Marketing Assn.
4.129% due 02/20/2000 250 248
4.975% due 07/25/2004 131 130
5.008% due 10/25/2004 163 163
5.098% due 04/25/2006 2,323 2,315
5.208% due 01/25/2007 427 426
-----------
Total U.S. Government Agencies 8,337
(Cost $8,302) ===========
U.S. TREASURY OBLIGATIONS (g)(h) 95.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 5,442 5,408
3.375% due 01/15/2007 11,406 10,986
3.625% due 01/15/2008 6,813 6,657
3.625% due 04/15/2028 4,063 3,888
-----------
Total U.S. Treasury Obligations 26,939
(Cost $27,140) ===========
MORTGAGE-BACKED SECURITIES 6.5%
Collateralized Mortgage Obligations 1.8%
Comed Transitional Funding Trust
5.375% due 03/25/2002 400 397
Federal Home Loan Mortgage Corp.
6.500% due 01/25/2028 100 97
-----------
494
===========
Federal Housing Administration 1.1%
7.430% due 12/01/2020 309 317
-----------
Federal National Mortgage Association 3.6%
6.500% due 06/25/2009 89 88
7.775% due 10/01/2024(d) 918 938
-----------
1,026
-----------
Total Mortgage-Backed Securities 1,837
(Cost $1,836) ===========
ASSET-BACKED SECURITIES 20.0%
AFC Home Equity Loan Trust
5.157% due 03/25/2027(d) 409 409
Capital Equipment Receivables Trust
6.030% due 02/15/2000 95 95
6.120% due 09/15/2000 600 604
Conti Mortgage Home Equity Loan Trust
6.020% due 01/25/2014 500 500
EQCC Home Equity Loan Trust
5.202% due 03/20/2029 500 500
First Plus Home Loan Trust
6.450% due 02/10/2009 421 421
IMC Home Equity Loan Trust
5.075% due 05/21/2012(d) 39 39
6.610% due 06/20/2013 500 504
NationsBank Auto Owner Trust
6.375% due 07/15/2000 25 25
Pacific Southwest Bank
6.060% due 06/15/2002 45 45
Premiere Auto Trust
6.150% due 03/06/2000 21 21
5.510% due 07/08/2001 500 500
Residential Funding Mortgage Securities, Inc.
5.460% due 07/25/2029 500 498
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 724 729
WMC Mortgage Loan
5.168% due 03/20/2028 749 749
-----------
Total Asset-Backed Securities 5,639
(Cost $5,621) ===========
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 6.0%
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 1,300 704
Fuji International Finance Trust
0.250% due 12/31/2002 JY 12,000 59
Republic of France
3.000% due 07/25/2009 EC 379 409
Tokai Bank
2.750% due 10/04/2004 JY 16,000 104
United Mexican States
3.850% due 12/31/2019 35,000 246
6.630% due 12/31/2019 FF 1,500 185
-----------
Total Foreign Currency-Denominated Issues 1,707
(Cost $1,700) ===========
SHORT-TERM INSTRUMENTS 5.5%
Repurchase Agreement 2.1%
State Street Bank
4.000% due 04/01/1999 $ 579 579
(Dated 03/31/1999. Collateralized by U.S.
Treasury Note 7.500% 10/31/1999 valued at
$591,239. Repurchase proceeds are $579,064.)
44 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. Treasury Bills (e)(f) 3.4%
4.493% due 05/27/1999-03/30/2000 $ 1,010 $ 965
-----------
Total Short-Term Instruments 1,544
(Cost $1,543) ===========
Total Investments (a) 186.7% $ 52,661
(Cost $52,837)
Other Assets and Liabilities (Net) (86.7%) (24,450)
-----------
Net Assets 100.0% $ 28,211
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $52,851 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 139
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (329)
-----------
Unrealized depreciation-net $ (190)
===========
(b) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell EC 570 11/1999 $ 52
Sell JY 10,272 05/1999 0
Sell 27,245 02/2000 9
Sell N$ 814 04/1999 (4)
Sell 503 05/1999 0
-----------
$ 57
===========
(c) Principal amount denoted in indicated currency:
EC - European Currency Unit
FF- French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Securities with an aggregate market value of $965
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
10 Year Euro-Bond EUX (06/1999) 3 $ 1
(f) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(g) Principal amount of the security is adjusted for inflation.
(h) Subject to a financing transaction.
See accompanying notes 45
<PAGE>
Schedule of Investments
Short-Term Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 26.8%
Banking & Finance 13.6%
BankBoston Corp.
6.125% due 03/15/2002 $ 1,000 $ 1,008
Bankers Trust Corp.
5.100% due 05/11/2003 (d) 11,000 11,054
Capital One Bank
6.740% due 05/31/1999 875 876
Caterpillar Financial Service Corp.
4.220% due 04/01/1999 (d) 2,000 2,000
Dean Witter Discover
5.222% due 02/13/2001 (d) 5,000 4,992
Donaldson, Lufkin & Jenrette
5.688% due 05/25/2026 (d) 437 437
Ford Motor Credit Corp.
5.104% due 08/27/2001 (d) 3,000 2,995
5.150% due 03/19/2002 4,295 4,290
General Motors Acceptance Corp.
8.400% due 10/15/1999 2,450 2,488
5.160% due 01/08/2002 (d) 1,000 1,001
5.100% due 08/18/2003 (d) 16,575 16,498
Goldman Sachs Group
5.030% due 07/31/2000 (d) 8,000 8,018
Heller Financial, Inc.
5.211% due 04/22/2002 (d) 15,000 15,008
Lehman Brothers, Inc.
4.590% due 09/01/1999 (d) 3,000 2,989
4.990% due 08/11/2000 (d) 3,000 2,989
Mid-Amercian Funding LLC
5.850% due 03/01/2001 1,000 1,002
Nacional Financiera Trust
8.356% due 03/31/1999 (d) 11 11
Residential Funding
7.254% due 12/01/2018 (d) 1,394 1,423
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 3,108 3,028
-----------
82,107
===========
Industrials 8.1%
Amerco, Inc.
6.890% due 10/15/2000 5,000 4,903
Champion International Corp.
7.700% due 12/15/1999 10,000 10,145
COFIRI International, Inc.
5.267% due 10/27/2000 (d) 2,000 1,994
ITT Corp.
6.250% due 11/15/2000 3,000 2,924
Maytag Corp.
8.875% due 07/15/1999 500 505
Occidental Petroleum
7.650% due 12/01/1999 5,000 5,046
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000 (d) 20,000 19,992
Time Warner, Inc.
6.100% due 12/30/2001 3,000 3,016
-----------
48,525
===========
Utilities 5.1%
Central Maine Power Co.
6.500% due 06/14/2000 7,800 7,790
Niagara Mohawk Power
9.990% due 05/11/2004 1,500 1,518
Pennsylvania Power & Light
6.000% due 06/01/2000 19,000 19,126
System Energy Resources
7.625% due 04/01/1999 2,500 2,500
-----------
30,934
-----------
Total Corporate Bonds & Notes 161,566
(Cost $161,427) ===========
U.S. GOVERNMENT AGENCIES 2.8%
Student Loan Marketing Assn.
5.070% due 04/25/2004 (d) 2,965 2,935
5.178% due 04/25/2007 (d) 13,612 13,614
-----------
Total U.S. Government Agencies 16,549
(Cost $16,574) ===========
U.S. TREASURY OBLIGATIONS 1.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (f) 5,129 5,097
3.625% due 01/15/2008 (f)(g) 1,119 1,093
3.875% due 01/15/2009 (f)(g) 1,903 1,898
U.S. Treasury Notes
5.750% due 10/31/2000 1,000 1,011
-----------
Total U.S. Treasury Obligations 9,099
(Cost $9,124) ===========
MORTGAGE-BACKED SECURITIES 45.8%
Collateralized Mortgage Obligations 29.9%
CMC Securities Corp.
7.500% due 02/25/2023 7,337 7,410
Dime Savings
7.050% due 11/01/2018 (d) 356 327
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020 (d) 850 875
7.790% due 09/01/2021 (d) 47 47
6.946% due 06/25/2022 (d) 301 303
7.488% due 05/25/2023 (d) 281 284
Federal Home Loan Mortgage Corp.
6.210% due 02/25/2000 3,553 3,557
6.000% due 03/15/2005 2,128 2,136
6.000% due 02/15/2007 1,375 1,382
6.500% due 10/25/2014 8,264 8,252
5.750% due 10/15/2016 154 155
Federal National Mortgage Assn.
6.500% due 10/18/2006 1,171 1,174
6.000% due 02/25/2008 1,893 1,889
5.358% due 07/25/2008 (d) 1,782 1,767
5.800% due 08/25/2015 720 719
6.000% due 08/18/2016 47,726 47,872
6.500% due 11/25/2017 8,337 8,337
5.875% due 03/25/2018 212 213
7.000% due 05/25/2018 5,901 5,917
5.850% due 05/25/2019 2,612 2,609
6.000% due 06/25/2020 417 416
6.000% due 08/25/2020 3,686 3,686
5.000% due 02/25/2022 248 244
6.500% due 09/18/2023 2,943 2,964
9.011% due 06/25/2032 13,657 14,906
First Plus Home Loan Trust
6.060% due 09/10/2011 5,000 5,021
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 9,164 9,251
Greenwich
7.634% due 04/25/2022 (d) 128 131
6.818% due 10/25/2022 (d) 91 92
Housing Securities, Inc.
6.000% due 02/25/2008 3,012 3,018
Independent National Mortgage Corp.
7.250% due 11/25/2010 4,000 4,072
Prudential Bache
5.941% due 09/01/2018 (d) 31 30
Prudential Home Mortgage Securities
6.950% due 11/25/2022 233 231
Resolution Trust Corp.
6.733% due 06/25/2024 (d) 354 353
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 20,033 19,733
Structured Asset Securities Corp.
7.000% due 01/20/2021 3,102 3,120
5.439% due 10/25/2028 (d) 3,067 3,073
Structured Mortgage Asset Residential Trust
6.500% due 08/25/2021 164 164
TMA Mortgage Funding Trust
5.319% due 01/25/2029 14,300 14,296
-----------
180,026
===========
Federal Home Loan Mortgage Corporation 1.1%
6.250% due 10/15/2016 827 826
7.500% due 11/01/2001 5,408 5,508
-----------
6,334
===========
Federal National Mortgage Association 4.9%
6.000% due 12/18/2014 11,071 11,076
6.150% due 09/25/2016 10,163 10,186
46 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
8.000% due 06/01/2027 $ 5,301 $ 5,518
8.500% due 01/01/2026 2,714 2,856
-----------
29,636
===========
Government National Mortgage Association 9.5%
6.125% due 11/20/2026 (d) 19,957 20,242
6.625% due 09/20/2023-08/20/2027 (d)(e) 11,783 11,987
6.875% due 02/20/2024-04/20/2025 (d)(e) 15,256 15,490
8.500% due 06/20/2027 9,368 9,823
-----------
57,542
===========
Other Mortgage-Backed Securities 0.1%
Federal National Mortgage Assn.
1.000% due 06/25/2023 26 26
First Nationwide Trust
6.798% due 10/25/2018 (d) 13 13
Resolution Trust Corp.
6.609% due 05/25/2029 (d) 787 785
-----------
824
===========
Stripped Mortgage-Backed Securities 0.3%
Federal Home Loan Mortgage Corp. (IO)
7.000% due 06/15/2019 6,973 697
Federal National Mortgage Assn. (IO)
7.000% due 07/25/2006 2,083 191
6.500% due 12/25/2006 4,610 253
6.500% due 06/25/2017 2,401 147
6.500% due 10/25/2023 2,095 285
-----------
1,573
-----------
Total Mortgage-Backed Securities 275,935
(Cost $275,240) ===========
ASSET-BACKED SECURITIES 4.9%
Banc One Auto Grantor Trust
6.290% due 07/20/2004 4,362 4,410
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 1,985 1,997
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 13,046 13,159
Starwood Hotels & Resorts Worldwide, Inc.
8.687% due 02/23/2003 (d) 10,000 10,000
-----------
Total Asset-Backed Securities 29,566
(Cost $29,454) ===========
SOVEREIGN ISSUES 3.6%
Air Canada
5.613% due 07/31/2005 (d) 2,000 1,824
Korean Export-Import Bank
6.500% due 05/15/2000 2,170 2,138
Republic of Argentina
7.700% due 08/15/1999 (d) 5,240 5,253
5.937% due 03/31/2005 (d) 4,724 4,046
United Mexican States
6.250% due 06/27/2002 (d) 9,000 8,580
-----------
Total Sovereign Issues 21,841
(Cost $22,162) ===========
FOREIGN CURRENCY-DENOMINATED ISSUES (b)(c) 1.6%
Banco Nacional de Comercio Exterior, S.N.C
8.750% due 09/28/2000 BP 3,000 4,863
Commonwealth of Canada
4.250% due 12/01/2026 C$ 2,292 1,544
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 5,400 2,926
-----------
Total Foreign Currency-Denominated Issues 9,333
(Cost $10,040) ===========
SHORT-TERM INSTRUMENTS 12.4%
Commercial Paper 10.2%
Abbott Laboratories
4.820% due 04/12/1999 12,000 11,982
American Express
4.840% due 04/06/1999 2,400 2,398
Coca-Cola Co.
4.770% due 04/08/1999 1,900 1,898
4.780% due 06/21/1999 8,600 8,507
Florida Power Corp.
4.840% due 04/21/1999 800 798
Ford Motor Credit Corp.
4.800% due 04/08/1999 6,200 6,194
General Motors Acceptance Corp.
4.810% due 04/06/1999 5,000 4,997
KFW International Finance, Inc.
4.830% due 04/06/1999 2,500 2,498
4.770% due 04/06/1999 3,400 3,398
4.790% due 06/24/1999 10,500 10,383
National Rural Utilities Cooperative
4.780% due 04/22/1999 1,600 1,596
4.820% due 06/10/1999 100 99
4.820% due 06/11/1999 5,600 5,546
Proctor & Gamble Co.
4.780% due 04/28/1999 900 897
-----------
61,191
===========
Repurchase Agreements 2.2%
State Street Bank
4.000% due 04/01/1999 8,396 8,396
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 5.500% 05/31/2000 valued at $8,568,914.
Repurchase proceeds are $8,396,933.)
Daiwa Securities
4.920% due 04/01/1999 5,000 5,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $5,120,991.
Repurchase proceeds are $5,000,683.) -----------
13,396
===========
U.S. Treasury Bills 0.0%
4.310% due 05/27/1999 10 10
-----------
Total Short-Term Instruments 74,597
(Cost $74,598) ===========
Total Investments (a) 99.4% $ 598,486
(Cost $598,619)
Other Assets and Liabilities (Net) 0.6% 3,502
-----------
Net Assets 100.0% $ 601,988
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal income
tax purposes of $598,164 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost. $ 2,142
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value. (1,820)
-----------
Unrealized appreciation-net $ 322
===========
</TABLE>
(b) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell BP 3,090 04/1999 $ (18)
Sell C$ 2,390 04/1999 (8)
Sell N$ 5,023 04/1999 20
Sell 381 05/1999 (2)
-----------
$ (8)
===========
(c) Principal amount denoted in indicated currency:
BP - British Pound
C$ - Canadian Dollar
N$ - New Zealand Dollar
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(f) Principal amount of the security is adjusted for inflation.
(g) Subject to a financing transaction.
See accompanying notes 47
<PAGE>
Schedule of Investments
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- -------------------------------------------------------------------------
CORPORATE BONDS & NOTES 39.9%
Banking & Finance 28.4%
AT&T Capital Corp.
6.920% due 04/29/1999 $ 5,725 $ 5,730
Bankers Trust Corp.
5.100% due 05/11/2003 (d) 20,000 20,099
Caterpillar Financial Service Corp.
4.220% due 04/01/1999 (d) 2,000 2,000
CIT Group, Inc.
6.200% due 10/20/2000 10,000 10,086
Edison Funding
6.000% due 09/20/1999 15,000 15,062
Finova Capital Corp.
5.250% due 06/18/2003 (d) 25,000 24,813
Ford Motor Credit Corp.
7.020% due 10/10/2000 11,000 11,261
5.150% due 03/19/2002 590 589
5.525% due 02/13/2003 (d) 15,000 14,949
General Motors Acceptance Corp.
4.991% due 10/22/2001 (d) 1,600 1,601
5.375% due 12/17/2001 (d) 2,000 2,010
5.080% due 02/25/2002 (d) 1,000 1,002
5.100% due 08/18/2003 (d) 35,300 35,135
Goldman Sachs Group
5.490% due 01/16/2001 (d) 5,000 5,028
5.151% due 01/25/2001 (d) 10,000 10,024
5.530% due 02/19/2004 (d) 10,000 9,995
Heller Financial, Inc.
5.330% due 09/25/2000 15,500 15,534
Household Finance Corp.
5.120% due 06/22/2001 (d) 5,000 5,001
HRPT Properties Trust
5.658% due 07/09/1999 5,000 4,978
Lehman Brothers, Inc.
4.990% due 08/11/2000 (d) 9,400 9,366
MBNA America Bank NA
5.311% due 10/18/1999 (d) 10,000 9,999
MBNA Corp.
5.320% due 09/13/2001 (d) 4,000 3,986
Merrill Lynch & Co.
5.598% due 10/10/2000 (d) 3,000 3,014
5.750% due 11/20/2000 10,000 10,035
5.070% due 06/18/2001 (d) 10,000 10,010
5.508% due 01/11/2002 (d) 8,550 8,594
5.345% due 02/01/2002 (d) 24,500 24,569
5.174% due 02/04/2003 (d) 6,000 6,016
Nacional Financiera
8.649% due 12/01/2000 (d) 10,000 10,200
Residential Reinsurance
9.180% due 06/01/1999 (d) 4,500 4,551
Salomon, Inc.
4.704% due 04/05/1999 (d) 500 500
Salomon, Smith Barney Holdings
5.875% due 02/01/2001 5,000 5,007
3.650% due 02/14/2002 2,072 2,019
5.220% due 04/01/2002 (d) 3,600 3,599
5.250% due 03/26/2003 5,000 4,973
Sanwa Business Credit
5.695% due 07/13/2001 (d) 10,000 10,016
Steers Securities
6.438% due 05/12/1999 (d) 20,000 20,000
-----------
341,351
===========
Industrials 8.4%
Amerco, Inc.
6.890% due 10/15/2000 16,800 16,474
Black & Decker
6.450% due 12/20/2001 (d) 7,250 7,303
COFIRI International, Inc.
5.267% due 10/27/2000 (d) 2,000 1,994
Columbia/HCA Healthcare
6.410% due 06/15/2000 5,000 4,908
Delta Air Lines
6.034% due 06/29/1999 (d)(g) 5,000 5,002
Marlin Water Trust
7.090% due 12/15/2001 5,000 5,069
Merita
5.378% due 12/01/2005 (d) 1,000 987
Norfolk Southern Corp.
6.700% due 05/01/2000 2,600 2,629
Petroleos Mexicanos
7.600% due 06/15/2000 2,050 2,047
RJR Nabisco
8.300% due 04/15/1999 2,300 2,301
8.000% due 07/15/2001 500 513
TCI Communications, Inc.
7.250% due 06/15/1999 30,000 30,138
5.640% due 04/03/2002 (d) 11,600 11,820
5.700% due 03/11/2003 (d) 4,000 4,090
Tenneco, Inc.
10.075% due 02/01/2001 1,400 1,499
Williams Co., Inc.
5.950% due 02/15/2000 (d) 4,200 4,204
-----------
100,978
===========
Utilities 3.1%
Beaver Valley Funding Corp.
8.250% due 06/01/2003 2,279 2,325
Niagara Mohawk Power
7.000% due 10/01/2000 5,000 5,051
7.125% due 07/01/2001 9,000 9,149
North Atlantic Energy
9.050% due 06/01/2002 1,220 1,259
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 15,000 15,011
Western Massachusetts Electric
7.750% due 12/01/2002 4,000 4,081
-----------
36,876
-----------
Total Corporate Bonds & Notes 479,205
(Cost $477,537) ===========
U.S. GOVERNMENT AGENCIES 1.4%
Student Loan Marketing Assn
5.038% due 10/25/2005 (d) 12,512 12,480
5.098% due 04/25/2006 (d) 4,491 4,476
-----------
Total U.S. Government Agencies 16,956
(Cost $16,915) ===========
U.S. TREASURY OBLIGATIONS 1.8%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (e) 21,850 21,713
-----------
Total U.S. Treasury Obligations 21,713
(Cost $21,776) ===========
MORTGAGE-BACKED SECURITIES 23.7%
Collateralized Mortgage Obligations 8.3%
Bank Mart
6.883% due 03/01/2019 (d)(g) 6,273 6,374
Citicorp Mortgage Securities, Inc.
7.044% due 09/25/2018 (d) 57 57
Countrywide Home Loans
6.050% due 04/25/2029 6,600 6,592
Donaldson, Lufkin & Jenrette
6.510% due 10/17/2020 (d) 241 248
Federal National Mortgage Association
8.005% due 04/25/2020 (d) 57 57
GE Capital Mortgage Services, Inc.
6.300% due 09/25/2023 2,000 2,009
Greenwich
6.818% due 10/25/2022 (d) 23 23
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2027 10,456 10,633
ICI Funding Corp. Secured Assets Corp.
7.650% due 07/25/2028 11,146 11,305
PaineWebber Mortgage
6.503% due 02/25/2001 (d) 853 852
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 11,947 11,995
48 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Principal
Amount Value
(000s) (000s)
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Residential Asset Securitization Trust
6.500% due 03/25/2029 $ 6,000 $ 5,992
Residential Funding Mortgage Securities, Inc.
6.178% due 03/25/2018 (d) 2,294 2,283
Resolution Trust Corp.
8.000% due 07/25/2024 1,031 1,027
5.900% due 05/25/2029 (d) 292 293
Structured Asset Mortgage Investments, Inc.
8.992% due 06/25/2029 28,277 29,646
Structured Asset Securities Corp.
7.750% due 02/25/2028 679 686
5.439% due 10/25/2028 (d) 3,067 3,073
TMA Mortgage Funding Trust
5.319% due 01/25/2029 7,200 7,198
------------
100,343
============
Federal Home Loan Mortgage Corporation 4.8%
6.666% due 07/01/2019 (d) 1,654 1,681
7.163% due 12/01/2022 (d) 756 778
7.364% due 06/01/2022 (d) 546 558
7.500% due 11/01/2025-04/14/2029 (c) 53,018 54,496
8.500% due 04/01/2025-06/01/2025 (c) 264 278
------------
57,791
============
Federal National Mortgage Association 1.3%
5.904% due 07/01/2018 (d) 581 586
5.905% due 04/01/2018-05/01/2036 (c)(d) 1,157 1,164
5.909% due 08/01/2029 (d) 366 368
5.916% due 05/01/2036 (d) 6,312 6,354
5.940% due 05/01/2017 (d) 356 360
5.941% due 11/01/2018-11/01/2028 (c)(d) 5,330 5,362
5.946% due 11/01/2035 (d) 559 562
5.964% due 02/01/2031 (d) 112 113
7.337% due 05/01/2022 (d) 394 406
------------
15,275
============
Government National Mortgage Association 9.0%
6.125% due 12/20/2022-12/20/2027 (c)(d) 13,165 13,344
6.500% due 01/20/2028-05/24/2029 (c)(d) 53,505 53,354
6.625% due 07/20/2018-07/20/2023 (c)(d) 22,383 22,754
6.875% due 02/20/2026-04/20/2027 (c)(d) 18,745 19,031
------------
108,483
============
Other Mortgage-Backed Securities 0.2%
California Federal Savings & Loan
6.644% due 01/01/2019 (d) 37 37
Fund America
7.187% due 06/25/2023 (d) 155 159
Great Western Savings & Loan
6.389% due 01/25/2018 (d) 74 74
J.P. Morgan & Co.
6.937% due 01/25/2018 (d) 658 658
Resolution Trust Corp.
6.842% due 12/25/2023 (d) 27 27
Structured Asset Securities Corp.
6.811% due 09/25/2036 (d) 1,178 1,207
Western Federal Savings & Loan
6.312% due 10/25/2018 (d) 77 76
6.821% due 03/25/2019 (d) 37 37
6.403% due 06/25/2019 (d) 222 220
------------
2,495
============
Stripped Mortgage-Backed Securities 0.1%
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 3,896 267
992.576% due 07/15/2016 3 3
7.500% due 08/15/2019 2,282 97
Federal National Mortgage Assn. (IO)
6.000% due 11/25/2000 456 21
7.000% due 07/25/2006 417 38
6.500% due 02/25/2021 (d) 4,237 375
7.000% due 07/25/2021 960 132
6.500% due 03/25/2023 5,778 729
------------
1,662
------------
Total Mortgage-Backed Securities 286,049
(Cost $285,442) ============
ASSET-BACKED SECURITIES 0.4%
Community Trust Bancorp, Inc.
6.500% due 09/15/2003 2,316 2,330
Green Tree Financial Corp.
6.220% due 02/15/2029 2,273 2,276
------------
Total Asset-Backed Securities 4,606
(Cost $4,589) ============
SOVEREIGN ISSUES 4.7%
Air Canada
5.613% due 07/31/2005 (d) 12,000 10,943
Cemex SA
10.750% due 07/15/2000 3,650 3,780
Hydro Quebec
5.187% due 09/29/2049 (d) 1,000 825
Republic of Argentina
5.937% due 03/31/2005 (d) 16,833 14,414
12.110% due 04/10/2005 (d) 7,000 6,475
Republic of Korea
7.562% due 04/07/1999 (d) 10,000 10,003
United Mexican States
6.250% due 06/27/2002 (d) 10,000 9,534
------------
Total Sovereign Issues 55,974
(Cost $58,185) ============
FOREIGN CURRENCY-DENOMINATED ISSUES (h)(i) 0.7%
Commonwealth of Canada
4.250% due 12/01/2026 C$ 5,210 3,510
Commonwealth of New Zealand
4.500% due 02/15/2016 N$ 9,750 5,283
Kingdom of Sweden
10.250% due 05/05/2000 (f) SK 1,000 131
------------
Total Foreign Currency-Denominated Issues 8,924
(Cost $10,497) ============
PURCHASED PUT OPTIONS 0.0%
Eurodollar June Futures (CME)
Strike @ 92.75 Exp. 06/14/1999 $ 3,463 17
Eurodollar December Futures (CME)
Strike @ 92.00 Exp. 12/13/1999 1,750 9
------------
Total Purchased Put Options 26
(Cost $73) ============
SHORT-TERM INSTRUMENTS 34.2%
Certificate of Deposit 0.4%
Nacional Financial
6.305% due 07/15/1999 5,000 4,975
------------
Commercial Paper 27.0%
Abbott Laboratories
4.820% due 04/09/1999 11,400 11,388
4.820% due 04/12/1999 5,200 5,192
American Express
4.770% due 04/05/1999 20,000 19,989
4.790% due 04/06/1999 8,500 8,494
American Express Credit
4.830% due 04/19/1999 10,000 9,976
Ameritech Corp.
4.800% due 04/12/1999 36,700 36,646
Cemex SA
7.239% due 08/11/1999 15,000 14,733
Coca-Cola Co.
4.770% due 04/08/1999 8,700 8,692
4.810% due 05/27/1999 1,500 1,489
E.I. Du Pont de Nemours
4.770% due 04/05/1999 9,500 9,495
4.810% due 04/23/1999 20,400 20,340
4.800% due 06/07/1999 8,700 8,621
</TABLE>
See accompanying notes 49
<PAGE>
Schedule of Investments (Cont.)
StocksPLUS Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Ford Motor Credit Corp.
4.800% due 04/06/1999 $ 20,000 $ 19,987
4.840% due 04/23/1999 4,700 4,686
General Electric Capital Corp.
4.860% due 04/16/1999 29,200 29,141
4.840% due 04/26/1999 5,000 4,983
4.840% due 04/30/1999 4,000 3,984
General Motors Acceptance Corp.
4.820% due 04/06/1999 5,000 4,997
IBM Corp.
4.810% due 04/21/1999 8,900 8,876
4.840% due 05/03/1999 10,500 10,455
Imperial Tobacco PLC
5.170% due 07/29/1999 20,000 19,679
KFW International Finance, Inc.
4.830% due 04/06/1999 3,200 3,198
National Rural Utilities Cooperative
4.810% due 05/25/1999 6,400 6,354
4.820% due 06/11/1999 20,800 20,599
4.820% due 06/17/1999 7,900 7,818
Proctor & Gamble Co.
4.820% due 04/19/1999 2,300 2,294
4.780% due 04/28/1999 6,000 5,978
Shell Oil Co.
4.790% due 06/04/1999 16,100 15,963
------------
324,047
============
Repurchase Agreements 2.0%
State Street Bank
4.000% due 04/01/1999 2,716 2,716
(Dated 03/31/1999. Collateralized by
U.S. Treasury Note 7.500% 10/31/1999
valued at $2,773,069. Repurchase proceeds
are $2,716,302.)
Daiwa Securities
4.920% due 04/01/1999 21,000 21,000
(Dated 03/31/1999. Collateralized by
U.S. Treasury Bill 4.545% 09/23/1999
valued at $21,445,448. Repurchase
proceeds are $21,002,870.)
------------
23,716
============
U.S. Treasury Bills (b)(c) 4.8%
4.404% due 04/29/1999-06/24/1999 58,060 57,715
------------
Total Short-Term Instruments 410,453
(Cost $410,283) ============
Total Investments (a) 106.8% $ 1,283,906
(Cost $1,285,297)
Written Options (l) (0.0%) (54)
(Premiums $53)
Other Assets and Liabilities (Net) (6.8%) (82,110)
------------
Net Assets 100.0% $ 1,201,742
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $1,285,351 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 3,429
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4,874)
=============
Unrealized depreciation-net $ (1,445)
=============
(b) Securities with an aggregate market value of $57,715
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 308 $ (522)
Eurodollar September Futures (09/2000) 273 (488)
Eurodollar December Futures (12/2000) 100 (159)
S&P 500 Index (06/1999) 3,281 2,708
United Kingdom 90 Day LIBOR Futures (03/2000) 33 0
United Kingdom 90 Day LIBOR Futures (06/1999) 400 (4)
United Kingdom 90 Day LIBOR Futures (06/2000) 53 (14)
United Kingdom 90 Day LIBOR Futures (09/1999) 287 279
-------------
$ 1,800
=============
(c) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Principal amount of the security is adjusted for inflation.
(f) Financing transaction.
(g) Restricted security.
(h) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 5,404 04/1999 $ (19)
Sell N$ 8,043 04/1999 32
Sell 1,668 05/1999 (9)
Buy SK 1,843 04/1999 (1)
Sell 1,843 04/1999 15
Sell 1,843 05/1999 1
-------------
$ 19
=============
(i) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
N$ - New Zealand Dollar
SK - Swedish Krona
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 06/30/1999 $ 50,000 $ 0
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Morgan Stanley
Exp. 09/30/1999 54,785 0
-------------
$ 0
=============
(k) Principal amount of the security is adjusted for inflation.
(l) Premiums received on written options:
Type Par Premium Value
- -------------------------------------------------------------------------------
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 $ 58,000 $ 20 $ 21
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 58,000 33 33
----------------------
$ 53 $ 54
======================
50 See accompanying notes
<PAGE>
Schedule of Investments
Strategic Balanced Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 23.2%
Banking & Finance 15.2%
AT&T Capital Corp.
6.580% due 09/03/1999 $ 300 $ 301
Edison Funding
6.050% due 12/17/1999 1,000 1,006
Finova Capital Corp.
5.250% due 06/18/2003 (d) 2,000 1,985
Ford Motor Credit Corp.
5.280% due 03/21/2001 (d) 500 501
General Motors Acceptance Corp.
4.991% due 10/22/2001 (d) 100 100
Hyatt Equities LLC
6.800% due 05/15/2000 2,695 2,729
Lehman Brothers, Inc.
6.330% due 08/01/2000 305 306
Merrill Lynch & Co.
5.226% due 10/01/2003 (d) 2,000 2,000
5.400% due 03/17/2004 (d) 100 100
Nacional Financiera
8.649% due 12/01/2000 (d) 500 510
NationsBank Corp.
7.033% due 02/18/2002 (d) 100 96
Okobank
6.750% due 09/27/2049 (d) 500 503
Republic New York Corp.
5.279% due 10/28/2002 (d) 100 99
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 1,119 1,090
5.220% due 04/01/2002 (d) 200 200
Sparbanken Sverige AB
8.490% due 10/29/2049 (d) 500 500
Westdeutsche Landesbank
6.050% due 01/15/2009 3,000 2,944
-----------
14,970
===========
Industrials 3.7%
DTE Capital Corp.
8.350% due 11/15/2003 (d) 1,000 993
Gulf Canada Resources
9.000% due 08/15/1999 300 300
Norfolk Southern Corp.
6.700% due 05/01/2000 100 101
Occidental Petroleum
5.776% due 04/03/2000 (d) 600 600
Reliant Energy, Inc.
6.375% due 11/01/2003 1,000 987
RJR Nabisco
8.625% due 12/01/2002 100 104
Sequa Corp.
9.625% due 10/15/1999 300 300
Williams Co., Inc.
5.950% due 02/15/2000 (d) 200 200
-----------
3,585
===========
Utilities 4.3%
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 500 504
Florida Gas Transmission
8.140% due 11/01/1999 1,000 1,015
New Century Energies, Inc.
5.860% due 05/30/2000 1,000 999
System Energy Resources
7.710% due 08/01/2001 650 673
Texas Utilities Co.
6.410% due 11/21/2001 1,000 1,012
-----------
4,203
===========
Total Corporate Bonds & Notes 22,758
(Cost $22,772) ===========
U.S. GOVERNMENT AGENCIES 0.9%
Student Loan Marketing Assn.
5.684% due 06/30/2000 (d) 900 898
-----------
Total U.S. Government Agencies 898
(Cost $899) ===========
U.S. TREASURY OBLIGATIONS 3.2%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 410 408
3.625% due 07/15/2002 (g)(h) 1,846 1,835
U.S. Treasury Bonds
8.875% due 08/15/2017 700 933
-----------
Total U.S. Treasury Obligations 3,176
(Cost $3,222) ===========
MORTGAGE-BACKED SECURITIES 41.4%
Collateralized Mortgage Obligations 20.5%
Countrywide Home Loans
6.050% due 04/25/2029 300 300
Federal Home Loan Mortgage Corp.
6.500% due 11/15/2000 172 172
6.500% due 01/15/2004 134 134
5.500% due 07/15/2005 360 360
7.000% due 05/15/2023 1,618 1,670
6.500% due 08/15/2023 187 189
6.500% due 03/15/2024 290 278
Federal National Mortgage Assn
6.500% due 10/25/2004 239 239
5.700% due 06/25/2017 2,035 2,037
6.500% due 06/25/2021 202 201
4.000% due 01/25/2022 126 115
5.000% due 04/25/2022 48 45
7.000% due 06/25/2023 254 252
6.500% due 12/25/2023 138 127
GE Capital Mortgage Services, Inc.
6.250% due 12/25/2028 1,496 1,448
Greenwich
6.844% due 04/25/2022 (d) 583 591
Independent National Mortgage Corp.
8.350% due 06/25/2025 749 757
Norwest Asset Securities Corp.
7.000% due 01/25/2028 2,954 2,980
6.500% due 02/25/2029 2,000 1,914
PNC Mortgage Securities Corp.
6.625% due 03/25/2028 484 486
6.500% due 11/25/2029 1,000 974
Resecuritization Mortgage Trust
5.189% due 04/26/2021 (d) 791 774
Residential Asset Securitization Trust
6.500% due 03/25/2029 300 300
Residential Funding Mortgage Securities, Inc.
6.500% due 11/25/2023 3,000 2,914
Resolution Trust Corp.
8.000% due 06/25/2026 848 874
-----------
20,131
===========
Federal Home Loan Mortgage Corporation 11.5%
7.500% due 04/14/2029 11,000 11,305
-----------
11,305
===========
Federal Housing Administration 1.8%
7.430% due 01/25/2023 1,759 1,798
-----------
1,798
===========
Federal National Mortgage Association 0.4%
6.130% due 03/01/2029 (d) 398 401
-----------
401
===========
Government National Mortgage Association 6.8%
6.000% due 04/22/2029 3,000 2,915
6.500% due 05/24/2029 1,000 995
6.625% due 07/20/2023-08/20/2026 (d)(i) 833 844
6.875% due 01/15/2001-02/01/2040 (i) 1,000 1,013
6.880% due 06/20/2027 (d) 903 915
7.000% due 01/20/2027 (d) 45 45
-----------
6,727
===========
See accompanying notes 51
<PAGE>
Schedule of Investments (Cont.)
Strategic Balanced Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Stripped Mortgage-Backed Securities 0.3%
Collateralized Mortgage Obligation Trust (PO)
0.000% due 04/23/2017 $ 18 $ 17
Federal Home Loan Mortgage Corp. (IO)
7.000% due 05/15/2004 202 2
6.500% due 08/15/2016 654 31
7.000% due 02/15/2017 560 19
Federal National Mortgage Assn. (IO)
6.500% due 05/25/2005 972 131
6.500% due 09/25/2008 550 53
----------
253
----------
Total Mortgage-Backed Securities 40,615
(Cost $40,486) ==========
ASSET-BACKED SECURITIES 6.1%
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012 (d) 779 778
Empire Funding Home Loan Owner Trust
7.160% due 05/25/2012 870 877
First Plus Home Loan Trust
6.450% due 02/10/2009 842 842
Green Tree Financial Corp.
6.220% due 02/15/2029 40 40
Money Store Home Equity Trust
6.550% due 09/15/2021 2,000 2,015
WMC Mortgage Loan
5.168% due 03/20/2028 (d) 1,497 1,497
----------
Total Asset-Backed Securities 6,049
(Cost $6,027) ==========
SOVEREIGN ISSUES 3.0%
Hydro Quebec
5.187% due 09/29/2049 (d) 200 165
Republic of Argentina
4.940% due 04/01/2001 (d) 693 641
5.937% due 03/31/2005 (d) 1,302 1,115
Republic of Korea
8.281% due 04/08/2000 (d) 1,000 1,004
----------
Total Sovereign Issues 2,925
(Cost $3,035) ==========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 0.1%
Commonwealth of Canada
4.250% due 12/01/2026 C$ 104 70
----------
Total Foreign Currency-Denominated Issues 70
(Cost $70) ==========
SHORT-TERM INSTRUMENTS 40.4%
Commercial Paper 22.4%
BellSouth Telecommunications, Inc.
4.810% due 05/10/1999 $ 4,000 3,979
Coca-Cola Co.
4.770% due 04/08/1999 2,000 1,998
Ford Motor Credit Corp.
4.840% due 04/23/1999 1,600 1,595
General Electric Capital Corp.
4.860% due 05/05/1999 1,100 1,095
KFW International Finance, Inc.
4.830% due 04/06/1999 1,200 1,199
4.790% due 06/24/1999 2,200 2,176
National Rural Utilities Cooperative
4.820% due 06/10/1999 4,500 4,458
Proctor & Gamble Co.
4.780% due 04/28/1999 1,100 1,096
Sara Lee Credit Corp.
4.840% due 04/28/1999 4,400 4,384
----------
21,980
==========
Repurchase Agreements 14.7%
State Street Bank
4.000% due 04/01/1999 898 898
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.125% 07/31/2000 valued at $917,080.
Repurchase proceeds are $898,100.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 12,500 12,500
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 13.125% 05/15/2001 valued at $9,982,000 and
U.S. Treasury Note 12.000% 08/15/2013 valued at $2,855,245.
Repurchase proceeds are $12,501,701.)
Daiwa Securities
4.920% due 04/01/1999 1,000 1,000
(Dated 03/31/1999. Collateralized by U.S.
Treasury Bill 4.545% 09/23/1999 valued at
$1,021,491. Repurchase proceeds are
$1,000,137.)
==========
14,398
==========
U.S. Treasury Bills (b)(i) 3.3%
4.417% due 04/29/1999-06/24/1999 3,278 3,249
----------
Total Short-Term Instruments 39,627
(Cost $39,627) ==========
Total Investments (a) 118.3% $ 116,118
(Cost $116,138)
Written Options (c) (0.0%) (13)
(Premiums $21)
Other Assets and Liabilities (Net) (18.3%) (17,987)
----------
Net Assets 100.0% $ 98,118
==========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $116,120 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 409
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (411)
----------
Unrealized depreciation-net $ (2)
==========
52 See accompanying notes
<PAGE>
(b) Securities with an aggregate market value of $3,249
have been segregated with the custodian to cover margin
requirements for the following open futures contracts at
March 31, 1999:
Unrealized
Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 3 $ (4)
Eurodollar March Futures (03/2001) 1 0
Eurodollar June Futures (06/2000) 3 (4)
Eurodollar June Futures (06/2001) 1 0
Eurodollar September Futures (09/2000) 4 (3)
Eurodollar September Futures (09/2001) 4 (1)
Eurodollar December Futures (12/1999) 3 (4)
Eurodollar December Futures (12/2000) 1 0
Mini S&P 500 Index (06/1999) 1 0
S&P 500 Index (06/1999) 173 419
U.S. Treasury 10 Year Note (06/1999) 42 (8)
United Kingdom 90 Day LIBOR Futures (03/2000) 2 (0)
United Kingdom 90 Day LIBOR Futures (06/2000) 2 (1)
---------
$ 394
=========
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $ 700 $ 2 $ 1
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 700 4 4
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 700 2 0
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 1,100 6 3
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 400 2 1
Put - CME Eurodollar December Futures
Strike @ 94.25 Exp. 12/13/1999 5,000 2 1
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 5,000 3 3
----------------------------
$ 21 $ 13
============================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Sell C$ 109 04/1999 $ (0)
(f) Principal amount denoted in indicated currency:
C$ - Canadian Dollar
(g) Subject to a financing transaction.
(h) Principal amount of the security adjusted for inflation.
(i) Securities are grouped by coupon or range of coupons and
represent a range of maturities.
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Appreciation
- --------------------------------------------------------------------------------
Receive total return on S&P 500 Index and
pay floating rate based on 1 month LIBOR.
Broker: Lehman Brothers
Exp. 07/31/1999 $ 6,335 $ 0
See accompanying notes 53
<PAGE>
Schedule of Investments
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
CORPORATE BONDS & NOTES 36.3%
Banking & Finance 23.2%
Abbey National PLC
6.625% due 05/23/2001 $ 240 $ 240
6.700% due 06/29/2049 5,000 4,888
ABN-AMRO Bank NV
7.250% due 05/31/2005 150 156
Aetna, Inc.
7.250% due 08/15/2023 50 49
Ahmanson (H.F.) & Co.
7.650% due 04/15/2000 175 178
Allstate Corp.
6.750% due 05/15/2018 280 282
6.900% due 05/15/2038 60,400 59,830
American Express
8.500% due 08/15/2001 350 371
5.625% due 01/22/2004 3,700 3,655
American General Finance
7.250% due 04/15/2000 500 509
6.270% due 06/09/2000 800 808
5.875% due 07/01/2000 75 75
7.450% due 07/01/2002 200 209
6.250% due 12/18/2002 1,080 1,092
6.375% due 03/01/2003 350 356
AON Capital Trust 'A'
8.205% due 01/01/2027 725 808
Associates Corp. of North America
7.250% due 09/01/1999 285 287
6.750% due 10/15/1999 90 91
7.850% due 10/20/1999 500 507
8.250% due 12/01/1999 200 204
7.250% due 12/17/1999 660 669
7.470% due 03/27/2000 1,000 1,020
6.000% due 06/15/2000 2,634 2,650
6.310% due 06/16/2000 500 506
6.250% due 09/15/2000 200 201
6.625% due 05/15/2001 300 306
6.700% due 05/29/2001 100 102
7.000% due 07/23/2001 500 515
5.104% due 08/27/2001 (d) 3,500 3,509
6.450% due 10/15/2001 23,600 24,063
7.500% due 04/15/2002 185 194
6.500% due 07/15/2002 750 767
5.750% due 11/01/2003 4,175 4,140
6.000% due 07/15/2005 60,365 59,571
AT&T Capital Corp.
5.438% due 04/01/1999 (d) 175,500 175,500
6.410% due 08/13/1999 4,000 4,015
6.580% due 09/03/1999 500 502
5.337% due 09/20/1999 (d) 9,000 8,995
6.230% due 10/15/1999 2,000 2,011
6.160% due 12/03/1999 1,000 1,005
5.405% due 03/21/2000 (d) 31,100 31,054
6.900% due 01/30/2002 1,000 1,025
6.750% due 02/04/2002 1,925 1,970
AVCO Financial Services
6.350% due 09/15/2000 100 101
7.375% due 08/15/2001 300 310
Banco Latino Americano SA
6.310% due 10/18/1999 850 854
Banco Nacional de Comercio Exterior
8.000% due 04/14/2000 4,600 4,609
Banesto Delaware
8.250% due 07/28/2002 28,900 30,639
BankAmerica Corp.
5.370% due 11/01/1999 (d) 3,000 3,008
5.240% due 03/05/2001 (d) 36,000 36,138
5.312% due 02/20/2002 (d) 35,180 35,091
8.125% due 06/15/2002 350 374
7.750% due 07/15/2002 360 380
7.200% due 09/15/2002 400 416
7.500% due 10/15/2002 1,000 1,050
6.850% due 03/01/2003 65 67
6.875% due 06/01/2003 100 103
8.950% due 11/15/2004 500 506
8.375% due 05/01/2007 2 2
8.570% due 11/15/2024 125 147
BankBoston Corp.
6.125% due 03/15/2002 12,500 12,582
Bankers Trust Corp.
6.750% due 10/03/2001 500 508
8.125% due 05/15/2002 300 315
5.139% due 07/03/2002 (d) 10,000 9,766
7.125% due 07/31/2002 150 153
5.100% due 05/11/2003 (d) 82,800 83,209
6.000% due 10/15/2008 500 478
Banponce Corp.
6.164% due 12/15/1999 5,000 5,002
Bear Stearns Co., Inc.
7.625% due 09/15/1999 550 556
4.440% due 06/12/2000 (d) 8,700 8,708
4.520% due 06/20/2000 (d) 7,700 7,706
6.750% due 08/15/2000 50 51
5.100% due 08/25/2000 (d) 1,400 1,400
5.230% due 08/29/2000 (d) 39,800 39,858
5.821% due 02/06/2001 (d) 2,400 2,414
5.138% due 02/16/2001 (d) 2,000 1,996
5.139% due 03/02/2001 (d) 7,500 7,485
5.407% due 01/28/2002 (d) 11,250 11,226
5.280% due 04/05/2002 (d) 25,000 25,000
6.125% due 02/01/2003 25 25
6.750% due 04/15/2003 105 107
5.185% due 07/22/2003 (d) 19,000 18,840
8.750% due 03/15/2004 75 83
6.625% due 10/01/2004 250 253
5.601% due 03/18/2005 (d) 31,000 31,065
6.250% due 07/15/2005 25,000 24,711
Bell Atlantic Financial
5.750% due 04/01/2003 1,000 1,058
Beneficial Corp.
5.950% due 07/25/2000 5,000 4,995
5.360% due 11/27/2000 (d) 90,000 90,170
4.790% due 01/09/2001 (d) 9,000 8,988
5.115% due 01/09/2002 (d) 500 497
5.358% due 01/23/2002 (d) 5,000 5,012
5.451% due 03/01/2002 (d) 40,000 40,173
6.030% due 01/14/2003 320 317
Bombardier Capital, Inc.
6.000% due 01/15/2002 28,000 27,864
BT Securities Corp.
5.290% due 08/16/1999 (d) 10,000 9,951
Capital One Bank
6.830% due 08/16/1999 275 276
Caterpillar Financial Service Corp.
5.370% due 06/08/2000 500 501
5.300% due 05/29/2001 (d) 10,000 9,988
6.480% due 12/12/2001 575 586
Central Hispano Financial Services
5.720% due 04/29/2005 (d) 5,000 5,018
Chase Manhattan Corp.
5.875% due 08/04/1999 400 400
8.500% due 02/15/2002 200 214
Chemical Banking Corp.
6.125% due 11/01/2008 400 400
Chrysler Financial Co. LLC
6.350% due 06/22/1999 8,000 8,020
8.460% due 01/19/2000 700 717
6.250% due 03/06/2000 14,735 14,884
4.250% due 07/28/2000 (d) 100 100
6.625% due 08/15/2000 300 305
5.860% due 01/16/2001 500 504
4.968% due 06/11/2001 (d) 6,000 6,003
5.690% due 11/15/2001 150 150
5.400% due 01/15/2002 15,250 15,103
5.080% due 07/17/2002 (d) 20,000 20,019
5.077% due 08/08/2002 (d) 34,000 34,057
5.118% due 02/03/2003 (d) 15,000 15,007
54 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.108% due 03/06/2003 (d) $ 5,000 $ 5,020
5.058% due 06/18/2003 35,000 35,038
Chubb Capital Corp.
8.750% due 11/15/1999 40 40
6.875% due 02/01/2003 100 104
Cincinnati Financial Corp.
6.900% due 05/15/2028 34,125 33,656
CIT Group, Inc.
6.200% due 10/20/2000 1,225 1,235
6.750% due 05/14/2001 30,000 30,631
Citicorp
9.750% due 08/01/1999 2,200 2,231
5.619% due 10/20/1999 (d) 10,000 10,027
5.371% due 10/25/1999 (d) 11,000 11,031
5.230% due 05/23/2000 (d) 25,000 25,102
5.491% due 06/01/2000 5,000 5,021
5.500% due 11/28/2000 (d) 5,000 5,025
5.250% due 02/01/2001 (d) 10,000 10,056
5.375% due 05/24/2001 (d) 69,000 69,158
5.480% due 11/13/2001 (d) 10,000 10,022
5.300% due 06/27/2002 (d) 11,450 11,398
5.090% due 08/15/2002 (d) 11,500 11,543
5.527% due 11/12/2002 (d) 30,000 30,081
8.000% due 02/01/2003 250 266
7.125% due 09/01/2005 100 103
7.250% due 09/01/2008 500 527
Comerica, Inc.
7.250% due 06/15/2007 200 212
Commercial Credit Co.
6.750% due 05/15/2000 100 101
6.000% due 06/15/2000 300 302
5.550% due 02/15/2001 1,300 1,298
8.250% due 11/01/2001 2,500 2,643
7.750% due 03/01/2005 550 589
Conseco Finance Trust
8.796% due 04/01/2027 125 117
Credit Asset Receivable
6.274% due 10/30/2003 49,343 50,345
Dean Witter Discover
5.584% due 06/27/2000 (d) 1,900 1,894
6.750% due 08/15/2000 100 102
Deutsche Bank Financial
7.500% due 04/25/2009 3,000 3,203
Donaldson, Lufkin & Jenrette
5.470% due 09/18/2002 (d) 13,600 13,650
6.170% due 07/15/2003 20,000 19,902
Dow Capital BV
7.125% due 01/15/2003 100 104
Edison Funding
6.000% due 09/20/1999 5,000 5,021
6.000% due 12/20/1999 5,000 5,007
Exxon Capital Corp.
7.450% due 12/15/2001 250 261
First Chicago Corp.
5.614% due 02/10/2000 (d) 20,000 20,061
5.300% due 03/11/2002 (d) 10,000 10,063
5.547% due 02/18/2003 (d) 10,000 9,848
5.344% due 07/28/2003 (d) 50 50
First Interstate Bancorp
8.875% due 01/01/2009 (j) 181 188
First Union Corp.
6.375% due 01/15/2009 500 501
Fleet Financial Group
9.900% due 06/15/2001 200 216
Ford Holdings, Inc.
9.250% due 03/01/2000 9,190 9,490
Ford Motor Credit Corp.
8.875% due 06/15/1999 100 101
6.375% due 04/15/2000 250 253
6.950% due 05/15/2000 8,450 8,604
4.550% due 08/14/2000 (d) 75,800 76,050
6.850% due 08/15/2000 1,500 1,525
6.375% due 10/06/2000 1,000 1,013
7.020% due 10/10/2000 71,250 72,943
6.250% due 11/08/2000 750 759
5.250% due 03/05/2001 (d) 5,000 5,015
5.803% due 04/10/2001 (d) 10,850 10,850
7.020% due 06/07/2001 1,000 1,028
4.970% due 07/13/2001 (d) 36,500 36,680
5.104% due 08/27/2001 (d) 27,500 27,454
5.166% due 09/03/2001 (d) 11,000 11,008
7.000% due 09/25/2001 1,125 1,160
5.468% due 10/15/2001 (d) 13,000 13,014
5.130% due 01/17/2002 (d) 53,945 53,755
8.200% due 02/15/2002 11,600 12,315
6.500% due 02/28/2002 1,560 1,592
5.150% due 03/19/2002 28,208 28,175
5.382% due 04/29/2002 (d) 33,000 33,001
7.320% due 05/23/2002 14,000 14,032
5.425% due 06/04/2002 (d) 2,000 2,004
5.180% due 10/15/2002 (d) 4,000 3,989
7.750% due 11/15/2002 5,430 5,763
7.500% due 01/15/2003 250 263
5.109% due 02/03/2003 (d) 30,000 30,043
5.100% due 02/13/2003 (d) 100,000 100,159
5.525% due 02/13/2003 (d) 190,985 190,334
6.125% due 04/28/2003 580 585
6.625% due 06/30/2003 775 794
5.226% due 06/02/2004 (d) 1,500 1,504
8.250% due 02/23/2005 2,500 2,757
5.407% due 04/28/2005 (d) 50,000 49,677
6.125% due 01/09/2006 25 25
7.700% due 05/15/2097 450 489
General Electric Capital Corp.
8.375% due 03/01/2001 665 699
5.500% due 11/01/2001 50 50
6.210% due 12/09/2005 400 404
8.300% due 09/20/2009 150 176
General Motors Acceptance Corp.
8.400% due 10/15/1999 360 366
8.170% due 01/02/2000 312 320
6.500% due 01/17/2000 46,110 46,256
6.650% due 05/05/2000 6,500 6,578
6.875% due 06/01/2000 10,250 10,405
7.500% due 06/09/2000 1,000 1,024
5.699% due 11/20/2000 66,690 66,950
5.500% due 01/16/2001 15,000 14,984
8.625% due 01/18/2001 15,000 15,771
8.500% due 01/19/2001 3,675 3,858
5.800% due 04/09/2001 8,340 8,373
6.800% due 04/17/2001 4,800 4,909
5.950% due 04/20/2001 22,150 22,299
6.700% due 04/30/2001 3,000 3,064
7.125% due 05/01/2001 44,095 45,291
6.750% due 06/05/2001 880 900
4.991% due 10/22/2001 (d) 25,000 25,008
9.625% due 12/15/2001 5,650 6,191
5.375% due 12/17/2001 (d) 13,000 13,064
5.160% due 01/08/2002 (d) 3,000 3,004
6.625% due 01/10/2002 500 510
6.750% due 02/07/2002 1,590 1,632
5.180% due 03/15/2002 (d) 6,215 6,215
5.095% due 04/29/2002 (d) 168,184 167,864
7.000% due 09/15/2002 250 259
6.625% due 10/01/2002 5,000 5,118
5.100% due 11/12/2002 (d) 10,200 10,202
6.200% due 12/15/2002 500 508
6.000% due 01/15/2003 990 995
5.875% due 01/22/2003 30,500 30,503
6.750% due 03/15/2003 40,125 41,298
7.125% due 05/01/2003 36,000 37,492
5.100% due 08/18/2003 (d) 34,740 34,578
5.550% due 09/15/2003 32,000 31,495
6.625% due 10/20/2003 2,000 2,052
5.750% due 11/10/2003 1,000 992
8.950% due 07/02/2009 21,500 23,597
Golden State Holdings
6.750% due 08/01/2001 1,250 1,254
Goldman Sachs Group
5.030% due 07/31/2000 (d) 26,000 26,058
See accompanying notes 55
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.150% due 11/21/2000 (d) $ 20,000 $ 19,894
5.210% due 11/24/2000 (d) 108,000 108,305
6.200% due 12/15/2000 6,500 6,529
5.150% due 12/22/2000 (d) 17,000 17,089
5.237% due 01/09/2001 (d) 105,000 104,865
5.490% due 01/16/2001 (d) 14,000 14,078
5.151% due 01/25/2001 (d) 77,000 77,185
5.230% due 02/20/2001 (d) 3,000 3,002
5.431% due 04/16/2001 (d) 18,000 18,001
5.300% due 12/07/2001 (d) 25,000 25,105
5.250% due 12/24/2001 (d) 900 904
5.400% due 02/19/2002 (d) 2,300 2,300
Hartford Life
7.650% due 06/15/2027 15,000 16,281
Heller Financial, Inc.
5.103% due 04/01/1999 (d) 19,000 19,005
5.217% due 04/27/1999 (d) 20,000 20,008
6.640% due 05/13/1999 2,000 2,002
5.352% due 09/03/1999 (d) 4,000 4,003
6.405% due 10/15/1999 10,000 10,059
5.381% due 12/01/1999 (d) 25,000 25,030
6.520% due 12/06/1999 8,750 8,819
5.443% due 01/18/2000 2,000 2,002
5.625% due 03/15/2000 200 200
6.500% due 05/15/2000 12,000 12,113
5.280% due 07/07/2000 (d) 60,000 60,144
5.380% due 08/25/2000 (d) 11,000 11,004
5.330% due 09/25/2000 (d) 14,500 14,532
6.500% due 11/01/2001 250 254
Hitachi Credit America
5.125% due 05/15/2000 25,000 25,027
5.310% due 07/07/2000 (d) 40,000 40,071
Household Bank
5.410% due 09/26/2001 (d) 9,000 9,011
5.159% due 10/22/2003 (d) 15,000 14,919
Household Capital Trust
5.600% due 06/26/2004 (d) 3,075 3,072
Household Finance Corp.
6.580% due 05/17/1999 165 165
5.369% due 08/01/2001 (d) 1,500 1,503
5.369% due 11/01/2001 (d) 5,000 5,012
5.096% due 05/07/2002 (d) 40,850 40,869
5.260% due 06/24/2003 (d) 31,000 31,149
5.500% due 06/24/2003 35,000 35,168
Household Netherlands BV
6.125% due 03/01/2003 18,100 17,921
Inter-American Development Bank
8.875% due 06/01/2009 200 245
International Lease Finance
5.750% due 12/15/1999 50 50
7.000% due 05/15/2000 500 508
6.420% due 09/11/2000 500 505
5.930% due 07/15/2003 14,000 13,959
J.P. Morgan & Co.
6.250% due 12/15/2005 200 198
Key Bank NA
7.550% due 09/15/2006 350 375
Kimco Realty Corp.
6.500% due 10/01/2003 200 198
Korea Development Bank
6.250% due 05/01/2000 5,000 4,936
6.750% due 12/01/2005 55 51
7.250% due 05/15/2006 50 48
Korean Export-Import Bank
6.500% due 10/06/1999 8,000 7,952
LB Rheinland - PFALZ
5.000% due 02/23/2028 3,400 3,440
Lehman Brothers Holdings, Inc.
7.110% due 09/27/1999 20 20
4.990% due 08/11/2000 (d) 30,000 29,890
5.900% due 04/01/2002 (d) 56,850 56,850
Lehman Brothers, Inc.
7.410% due 05/25/1999 500 501
4.590% due 09/01/1999 (d) 10,000 9,965
7.140% due 09/24/1999 34 34
6.150% due 03/15/2000 7,700 7,702
5.376% due 04/03/2000 (d) 30,000 29,847
6.500% due 07/18/2000 3,000 3,011
6.650% due 07/27/2000 (d) 8,000 7,990
6.330% due 08/01/2000 666 667
6.400% due 08/30/2000 1,500 1,508
6.500% due 09/25/2000 11,200 11,278
5.390% due 09/26/2000 (d) 5,000 4,957
5.346% due 11/06/2000 (d) 30,910 30,933
5.702% due 12/01/2000 (d) 500 497
6.125% due 02/01/2001 2,000 1,992
5.750% due 02/20/2001 1,500 1,502
5.287% due 02/27/2001 (d) 76,400 75,978
5.164% due 06/01/2001 (d) 100,000 99,081
6.020% due 08/28/2002 (d) 6,500 6,452
5.577% due 09/03/2002 (d) 14,000 14,009
Liberty Mutual Insurance
8.200% due 05/04/2007 17,510 18,963
Marine Midland
5.375% due 12/20/2000 (d) 3,700 3,709
MBNA Corp.
5.661% due 12/01/1999 (d) 66,900 66,922
5.320% due 09/13/2001 (d) 1,000 996
6.990% due 05/24/2002 1,000 1,003
5.619% due 12/10/2002 2,100 2,057
MCN Investment Corp.
6.030% due 02/01/2001 6,850 6,766
6.300% due 04/02/2001 7,500 7,485
7.120% due 01/16/2004 7,500 7,601
Meditrust
7.375% due 07/15/2000 345 334
Mellon Bank Corp.
6.500% due 08/01/2005 75 76
Merrill Lynch & Co.
8.250% due 11/15/1999 250 254
6.620% due 06/06/2000 500 505
6.450% due 06/20/2000 350 355
6.250% due 07/25/2000 490 495
5.269% due 08/03/2000 (d) 5,000 5,013
5.300% due 09/25/2000 (d) 5,000 5,008
5.362% due 10/03/2000 (d) 20,000 20,002
5.440% due 12/05/2000 (d) 89,000 89,032
6.500% due 04/01/2001 400 406
6.750% due 04/30/2001 2,775 2,838
5.081% due 05/08/2001 54,900 55,006
5.204% due 05/30/2001 (d) 3,800 3,784
5.345% due 06/04/2001 (d) 30,000 29,963
7.050% due 06/04/2001 6,175 6,356
5.299% due 11/01/2001 (d) 30,000 30,004
5.457% due 11/09/2001 (d) 10,000 10,011
5.130% due 01/15/2002 (d) 17,000 17,024
5.345% due 02/01/2002 (d) 4,000 4,011
8.000% due 02/01/2002 400 421
7.375% due 08/17/2002 300 313
8.300% due 11/01/2002 200 214
6.000% due 02/12/2003 500 502
6.875% due 03/01/2003 140 144
5.400% due 06/24/2003 (d) 27,000 26,884
5.226% due 10/01/2003 (d) 5,000 5,001
7.000% due 03/15/2006 1,500 1,545
7.000% due 04/27/2008 100 104
6.375% due 10/15/2008 17,000 16,896
Metropolitan Life Insurance Co.
6.300% due 11/01/2003 6,800 6,829
Mexico Credit Link
10.508% due 02/22/2002 (d) 29,500 30,527
MIC Financing Trust
8.375% due 02/01/2027 36,000 35,442
Morgan Stanley Group, Inc.
6.375% due 12/15/2003 150 152
Morgan Stanley, Dean Witter, Discover and Co.
5.657% due 02/06/2001 1,190 1,195
5.412% due 04/16/2001 (d) 25,000 24,998
6.700% due 05/01/2001 600 610
56 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
9.375% due 06/15/2001 $ 300 $ 322
5.150% due 12/19/2001 (d) 19,700 19,696
5.429% due 03/11/2003 (d) 10,000 9,950
Morgan, J.P. & Co., Inc.
5.750% due 02/25/2004 22,800 22,545
6.000% due 01/15/2009 27,000 26,091
Nacional Financiera
8.000% due 06/19/2000 4,500 4,496
8.649% due 12/01/2000 (d) 25,250 25,755
NationsBank Corp.
6.750% due 02/26/2001 500 511
7.000% due 09/15/2001 1,500 1,543
5.650% due 06/17/2002 (d) 10,000 9,954
NCNB Corp.
7.750% due 08/01/2002 796 797
Norwest Financial, Inc.
7.000% due 01/15/2003 300 312
6.000% due 02/01/2004 50 50
Okobank
5.350% due 05/23/2006 (d) 10,000 9,882
Paccar Financial Corp.
6.740% due 09/15/2000 250 254
PaineWebber
5.520% due 10/04/1999 4,000 4,000
7.000% due 03/01/2000 200 202
6.950% due 03/31/2000 120 121
6.538% due 05/09/2000 (d) 5,000 5,010
5.470% due 02/18/2002 (d) 5,000 4,965
5.590% due 05/20/2002 (d) 1,000 988
Pemex Finance Limited
6.125% due 11/15/2003 15,000 14,892
Pitney Bowes Credit Corp.
6.540% due 07/15/1999 400 402
PNC Bank Corp.
4.913% due 06/01/2000 (d) 217,000 216,768
5.100% due 01/24/2002 (d) 49,000 48,657
5.001% due 08/15/2002 (d) 5,000 5,009
PNC Funding Corp.
6.875% due 03/01/2003 100 103
Popular, Inc
6.715% due 06/06/2000 20,000 20,069
6.625% due 01/15/2004 19,500 19,240
Prudential Insurance Co.
6.375% due 07/23/2006 15,000 14,938
Prudential Property Investment
6.625% due 04/01/2009 17,000 16,863
Reliance Group Holdings
9.000% due 11/15/2000 19,000 19,557
9.750% due 11/15/2003 10,000 10,388
Residential Reinsurance
9.180% due 06/01/1999 (d) 39,500 39,944
Safeco Corp.
7.260% due 08/12/2002 500 520
Salomon, Inc.
4.704% due 04/05/1999 (d) 5,500 5,500
7.000% due 05/15/1999 26,090 26,135
4.370% due 06/24/1999 (d) 9,000 8,992
7.590% due 01/28/2000 150 152
6.500% due 03/01/2000 18,350 18,540
6.625% due 11/30/2000 235 238
6.650% due 07/15/2001 600 611
7.000% due 03/04/2002 5,000 5,122
5.400% due 05/16/2002 (d) 23,000 23,026
Salomon, Smith Barney Holdings
7.980% due 03/01/2000 12,000 12,249
6.625% due 06/01/2000 95 96
5.875% due 02/01/2001 4,000 4,006
3.650% due 02/14/2002 17,610 17,158
Sanwa Business Credit
6.540% due 06/20/2000 1,000 1,010
5.695% due 07/13/2001 (d) 1,000 1,002
Sears Roebuck Acceptance
6.000% due 03/20/2003 149,750 149,968
Security Pacific Corp.
6.000% due 05/01/2000 600 600
11.500% due 11/15/2000 4,000 4,326
Signet Bank Corp.
9.625% due 06/01/1999 6,500 6,540
Societe Generale
7.400% due 06/01/2006 1,500 1,576
Sparbanken Sverige AB
8.490% due 10/29/2049 (d) 12,670 12,670
Sumitomo
9.400% due 12/29/2049 (d) 19,500 18,330
Sun Life of Canada (U.S.)
8.526% due 05/29/2049 250 263
Swedbank
7.531% due 10/29/2049 (d) 12,000 12,161
Textron Financial Corp.
5.100% due 11/24/1999 (d) 10,000 10,014
Tokai Capital Corp.
9.980% due 12/29/2049 (d) 13,050 11,646
Toronto-Dominion Bank
7.875% due 08/15/2004 50 53
Toyota Motor Credit Corp.
4.659% due 02/15/2002 40,000 38,495
TPSA Finance BV
7.125% due 12/10/2003 12,200 12,054
7.750% due 12/10/2008 10,000 9,767
Transamerica Corp.
4.703% due 04/20/1999 (d) 500 500
7.400% due 07/29/1999 2,000 2,012
5.469% due 09/17/2001 (d) 20,000 19,970
7.500% due 03/15/2004 270 285
6.750% due 11/15/2006 500 513
Travelers Group, Inc.
7.200% due 02/01/2004 38,480 40,204
Trinet Corp. Realty Trust
6.750% due 03/01/2003 45 45
Trizec Finance Limited
10.875% due 10/15/2005 2,489 2,725
U.S. Bancorp
5.085% due 01/16/2002 (d) 49,000 49,040
Wachovia Corp.
6.700% due 04/14/1999 500 500
7.000% due 12/15/1999 100 101
Wells Fargo & Co.
5.625% due 02/05/2001 400 401
8.750% due 05/01/2002 100 108
Westdeutsche Landesbank
6.750% due 06/15/2005 4,000 4,083
6.050% due 01/15/2009 30,000 29,438
World Savings & Loan
9.900% due 07/01/2000 250 250
Xerox Corp.
7.010% due 04/30/1999 120 120
-----------
6,050,090
===========
Industrials 9.3%
AK Steel Corp.
10.750% due 04/01/2004 22,050 22,939
Akzo Nobel, Inc.
6.000% due 11/15/2003 32,000 31,642
Albertson's, Inc.
6.375% due 06/01/2000 150 152
Allied Waste North America, Inc.
7.375% due 01/01/2004 18,925 18,483
Amerco, Inc.
7.135% due 10/15/2002 15,000 14,730
American Home Products Corp.
7.700% due02/15/2000 550 561
Amerigas Partners LP
10.125% due 04/15/2007 1,730 1,808
AMR Corp.
9.750% due 03/15/2000 10,760 11,134
10.610% due 01/11/2001 4,000 4,305
10.570% due 01/15/2001 3,000 3,226
10.590% due 01/31/2001 3,000 3,231
10.000% due 02/01/2001 2,000 2,130
9.400% due 05/08/2001 3,000 3,195
9.500% due 05/15/2001 2,250 2,399
See accompanying notes 57
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
9.130% due 10/25/2001 $ 2,000 $ 2,133
8.470% due 02/20/2002 2,000 2,119
8.500% due 02/26/2002 1,000 1,061
10.210% due 01/01/2010 6,500 8,143
Baxter International, Inc.
9.500% due 06/15/2008 200 241
Bellat Racers
5.969% due 04/01/2003 20,000 20,000
BOC Group PLC
5.875% due 01/29/2001 250 251
Boeing Co.
8.375% due 02/15/2001 150 157
6.350% due 06/15/2003 750 761
Boise Cascade Co.
9.900% due 03/15/2000 275 282
Browning-Ferris Industries, Inc.
6.080% due 01/18/2002 (d) 51,750 51,239
6.100% due 01/15/2003 6,000 5,676
Canadian Pacific Limited
9.450% due 08/01/2021 2,750 3,314
CBS, Inc.
7.625% due 01/01/2002 100 103
Cemex SA
10.000% due 11/05/1999 1,000 1,018
8.500% due 08/31/2000 10,000 10,132
Centerior Fuel Corp.
9.540% due 08/02/1999 (j) 10,000 10,394
9.750% due 08/02/2000 (j) 8,000 8,585
Century Communications Corp.
9.500% due 08/15/2000 6,000 6,150
0.000% due 03/15/2003 10,515 7,597
CF Cable TV, Inc.
9.125% due 07/15/2007 1,600 1,708
Circus Circus Enterprises
6.750% due 07/15/2003 4,500 4,292
Coca-Cola Co.
6.375% due 08/01/2001 200 203
7.875% due 02/01/2002 600 633
Coltec Industries, Inc.
7.500% due 04/15/2008 4,400 4,488
Columbia/HCA Healthcare
8.020% due 08/05/2002 3,880 3,789
8.130% due 08/04/2003 7,000 6,824
6.630% due 07/15/2045 10,000 9,477
6.730% due 07/15/2045 14,760 14,030
Comverse Technology, Inc.
4.500% due 07/01/2005 2,000 2,913
Continental Airlines
6.954% due 02/02/2011 26,000 26,034
Continental Cablevision
11.000% due 06/01/2007 4,536 4,819
9.500% due 08/01/2013 27,000 32,204
CSC Holdings, Inc
7.625% due 07/15/2018 22,000 22,003
Cumberland Farms
10.500% due 10/01/2003 2,711 2,697
Dayton Hudson Corp.
10.000% due 12/01/2000 1,000 1,068
Delta Air Lines, Inc.
9.875% due 05/15/2000 8,700 9,054
6.650% due 03/15/2004 13,500 13,508
10.140% due 08/14/2012 1,000 1,249
9.200% due 09/23/2014 6,000 7,053
Disney (Walt) Co.
6.375% due 03/30/2001 250 255
6.750% due 03/30/2006 100 104
DTE Capital Corp.
8.350% due 11/15/2003 (d) 48,000 47,660
E.I. Du Pont de Nemours
9.150% due 04/15/2000 100 104
Eastman Chemical Co.
6.375% due 01/15/2004 5,750 5,735
Eli Lilly & Co.
8.125% due 02/07/2000 387 395
8.125% due 12/01/2001 500 533
Enron Corp.
5.557% due 11/18/1999 (d) 35,000 35,048
6.532% due 12/30/1999 (d) 29,419 29,419
6.532% due 12/30/1999 (d) 25,802 25,802
Flag Limited
6.900% due 12/15/2004 515 503
Ford Motor Co.
9.000% due 09/15/2001 880 945
6.625% due 10/01/2028 115,800 111,471
Fortune Brands
8.500% due 10/01/2003 500 557
Fred Meyer, Inc.
7.150% due 03/01/2003 6,000 6,168
7.375% due 03/01/2005 39,325 40,933
7.450% due 03/01/2008 300 317
General Motors Acceptance Corp.
9.625% due 12/01/2000 525 558
7.100% due 03/15/2006 250 262
Gillette Co.
5.750% due 10/15/2005 1,500 1,497
Great Atlantic & Pac Tea
7.750% due 04/15/2007 150 149
Gulf Canada Resources
9.250% due 01/15/2004 7,250 7,385
9.625% due 07/01/2005 2,000 2,045
H.J. Heinz Co.
7.500% due 04/26/2000 150 153
Hollinger International Publishing
9.250% due 02/01/2006 3,000 3,135
Hyder PLC
6.500% due 12/15/2008 10,000 9,870
IBM Corp.
5.732% due 11/01/1999 (d) 35,000 34,956
7.250% due 11/01/2002 100 105
7.125% due 12/01/2096 2,500 2,599
Inco Limited
9.875% due 06/01/2019 5,000 5,226
Ingersoll-Rand Co.
6.255% due 02/15/2001 295 298
Intermedia Communications, Inc.
0.000% due 05/15/2006 (i) 2,500 2,175
ISP Holdings, Inc.
9.750% due 02/15/2002 4,500 4,658
9.000% due 10/15/2003 5,000 5,125
ITT Corp.
6.250% due 11/15/2000 10,070 9,814
J. Seagram & Sons
6.250% due 12/15/2001 51,000 51,258
Jones International Networks Limited
11.750% due 07/01/2005 55 41
K-Mart Corp.
8.190% due 11/24/2003 5,000 5,039
K-III Communications Co.
8.500% due 02/01/2006 4,000 4,090
Kellogg
5.750% due 02/02/2001 74,850 74,894
Langdell
9.978% due 07/30/1999 (d) 9,800 9,861
Lenfest Communications
8.375% due 11/01/2005 5,000 5,350
Limited, Inc.
7.800% due 05/15/2002 500 524
Loyola University of Chicago
6.030% due 06/15/2000 (d) 16,100 16,188
Mallinckrodt, Inc.
6.300% due 03/15/2011 (d) 10,000 9,971
Marlin Water Trust
7.090% due 12/15/2001 20,000 20,276
Mazda Manufacturing Corp.
10.500% due 07/01/2008 (j) 1,980 2,596
McDonald's Corp.
6.500% due 08/01/2007 250 257
58 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Mobil Corp.
8.375% due 02/12/2001 $ 340 $ 356
Motorola, Inc.
7.600% due 01/01/2007 200 218
Nabisco, Inc.
6.800% due 09/01/2001 3,000 3,052
6.125% due 02/01/2033 15,000 14,733
Nabors Industries, Inc.
6.800% due 04/15/2004 9,250 9,298
New York Times Co.
7.625% due 03/15/2005 1,000 1,082
News America Holdings Corp.
8.625% due 02/01/2003 750 814
News Corp. Limited
0.000% due 06/15/1999 (i) 900 845
Nike, Inc.
6.510% due 06/16/2000 1,000 1,017
Noranda, Inc.
7.000% due 07/15/2005 1,800 1,747
Occidental Petroleum
6.400% due 04/01/2003 6,510 6,441
8.500% due 09/15/2004 5,000 5,023
Owens Corning
7.000% due 05/15/2000 200 201
Owens-Illinois, Inc.
7.850% due 05/15/2004 2,600 2,665
7.150% due 05/15/2005 10,000 9,862
Pennzoil Co.
9.625% due 11/15/1999 5,000 5,101
Pepsi Bottling Group, Inc.
5.250% due 03/06/2000 (d) 376,000 375,846
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 32,500 30,266
Philip Morris Cos., Inc.
6.150% due 03/15/2000 20,000 20,109
9.000% due 01/01/2001 300 316
7.250% due 09/15/2001 70 72
7.500% due 01/15/2002 50 52
6.800% due 12/01/2003 48,345 49,513
7.000% due 07/15/2005 1,125 1,156
7.200% due 02/01/2007 32,000 33,416
Phillips Petroleum Co.
6.375% due 03/30/2009 31,000 30,894
7.000% due 03/30/2029 16,000 15,940
Procter & Gamble Co.
5.250% due 09/15/2003 35,000 34,462
Qwest Communications International, Inc.
0.000% due 10/15/2007 (i) 2,507 2,000
R & B Falcon Corp.
6.500% due 04/15/2003 1,000 855
Racers
7.709% due 04/28/2003 (d) 30,000 27,713
Reliant Energy, Inc.
8.920% due 05/15/2001 6,500 6,860
6.375% due 11/01/2003 14,000 13,818
RJR Nabisco
8.000% due 01/15/2000 6,777 6,860
7.625% due 09/01/2000 6,000 6,104
8.000% due 07/15/2001 35,630 36,589
8.625% due 12/01/2002 10,920 11,353
7.625% due 09/15/2003 9,000 9,211
8.750% due 04/15/2004 23,800 25,538
8.250% due 07/01/2004 2,000 2,105
8.750% due 07/15/2007 25,000 27,212
Rogers Cablesystems Limited
10.000% due 12/01/2007 5,000 5,613
Rogers Cantel Mobile Communications, Inc.
9.375% due 06/01/2008 2,750 3,032
Saferco
9.460% due 05/31/1999 (j) 1,000 1,007
9.630% due 05/31/2000 (j) 6,500 6,833
9.590% due 05/31/2001 (j) 3,000 3,251
Safeway, Inc.
5.750% due 11/15/2000 150 150
6.850% due 09/15/2004 250 259
Sara Lee Corp.
6.300% due 11/07/2005 500 506
Sears Roebuck & Co.
6.800% due 05/07/2001 500 510
6.790% due 05/21/2001 500 510
9.400% due 08/02/2001 250 269
7.260% due 04/21/2003 3,000 3,123
6.250% due 01/15/2004 300 303
6.750% due 09/15/2005 785 804
Sears Roebuck Acceptance
5.155% due 06/27/2000 (d) 5,000 5,008
7.110% due 06/19/2001 1,000 1,026
6.120% due 12/13/2001 260 262
6.950% due 05/15/2002 300 309
7.140% due 05/02/2003 5,000 5,184
6.560% due 11/20/2003 1,178 1,198
6.700% due 11/15/2006 500 511
Shell Oil Co.
7.250% due 02/15/2002 50 50
Smithfield Foods
7.625% due 02/15/2008 2,000 1,935
Smithkline Beecham
7.375% due 04/15/2005 150 161
Solectron Corp.
0.000% due 01/27/2019 4,000 1,975
SUPERVALU, Inc.
6.500% due 10/06/2000 140 142
TCI Communications, Inc.
7.250% due 06/15/1999 4,800 4,822
6.375% due 09/15/1999 39,175 39,398
5.080% due 02/02/2000 (d) 50,000 49,951
5.395% due 09/11/2000 (d) 48,500 48,362
5.750% due 12/20/2000 (d) 10,000 10,034
6.375% due 05/01/2003 3,200 3,271
Telecommunications, Inc.
7.375% due 02/15/2000 12,000 12,213
8.250% due 01/15/2003 43,125 46,777
Telewest Communications
9.625% due 10/01/2006 5,000 5,313
Tenet Healthcare Corp.
8.625% due 12/01/2003 1,200 1,228
7.625% due 06/01/2008 27,000 26,190
Texaco Capital
8.500% due 02/15/2003 700 767
6.000% due 06/15/2005 400 400
Time Warner, Inc.
7.550% due 02/01/2000 5,735 5,844
6.100% due 12/30/2001 1,375 1,382
7.975% due 08/15/2004 31,803 34,403
8.110% due 08/15/2006 80,929 89,539
8.180% due 08/15/2007 2,400 2,695
7.250% due 09/01/2008 125 134
Union Pacific Corp.
5.945% due 05/22/2000 (d) 60,000 59,963
6.930% due 06/01/2003 1,000 1,020
6.000% due 09/01/2003 8,000 7,901
6.120% due 02/01/2004 250 245
United Airlines
9.000% due 12/15/2003 1,000 1,092
USA Waste Services, Inc.
6.125% due 07/15/2001 23,500 23,628
USX Corp.
9.800% due 07/01/2001 300 324
Wal-Mart Stores, Inc.
9.100% due 07/15/2000 100 105
8.625% due 04/01/2001 1,450 1,536
Waste Management, Inc.
6.250% due 04/01/1999 1,000 1,000
4.000% due 02/01/2002 3,000 3,536
Westpoint Stevens, Inc.
7.875% due 06/15/2005 8,000 8,220
Westvaco Corp.
9.650% due 03/01/2002 150 165
Williams Co.
5.250% due 01/30/2000 (d) 23,000 23,034
See accompanying notes 59
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
WMX Technologies
6.700% due 05/01/2001 $ 10,000 $ 10,152
7.000% due 10/15/2006 500 521
Xerox Corp.
7.040% due 04/30/1999 770 771
6.500% due 06/29/2000 280 285
5.750% due 07/21/2000 500 503
7.410% due 05/15/2001 1,000 1,030
----------
2,426,041
==========
Utilities 3.8%
AES Corp.
10.250% due 07/15/2006 4,500 4,770
Alabama Power Co.
5.350% due 11/15/2003 600 587
Appalachian Power Co.
6.350% due 03/01/2000 500 504
AT&T Corp.
7.125% due 01/15/2002 75 78
7.000% due 05/15/2005 200 211
Baltimore Gas & Electric
6.125% due 07/01/2003 150 152
Beaver Valley Funding Corp.
8.250% due 06/01/2003 779 795
8.625% due 06/01/2007 5,000 5,339
BellSouth Telecommunications, Inc.
7.500% due 06/15/2033 185 191
California Energy
9.500% due 09/15/2006 12,040 13,270
Calpine Corp.
9.250% due 02/01/2004 4,150 4,275
7.625% due 04/15/2006 7,000 7,035
7.875% due 04/01/2008 2,500 2,556
Central Maine Power Co.
6.350% due 09/20/1999 30,000 30,022
6.413% due 10/25/1999 39,000 39,195
6.463% due 11/01/1999 (d) 6,800 6,834
6.500% due 06/14/2000 5,500 5,492
Chesapeake & Potomac Telephone
5.625% due 03/01/2007 500 481
8.000% due 10/15/2029 1,125 1,306
Cleveland Electric Illuminating Co.
7.850% due 11/01/1999 6,000 6,070
7.420% due 08/01/2001 10,000 10,280
9.500% due 05/15/2005 13,000 14,079
Cleveland Electric/Toledo Edison
7.190% due 07/01/2000 20,400 20,570
CMS Energy
7.375% due 11/15/2000 57,535 58,102
8.125% due 05/15/2002 5,000 5,140
7.000% due 01/15/2005 30,000 29,263
Coastal Corp.
8.750% due 05/15/1999 4,300 4,314
Commonwealth Edison
6.500% due 04/15/2000 6,185 6,248
5.060% due 06/15/2002 (d) 1,000 1,003
6.625% due 07/15/2003 1,000 1,024
9.875% due 06/15/2020 11,700 13,837
Connecticut Light & Power Co.
7.250% due 07/01/1999 4,485 4,487
5.750% due 07/01/2000 2,000 1,994
7.750% due 06/01/2002 5,000 5,183
8.590% due 06/05/2003 27,000 26,823
Consolidated Edison
7.600% due 01/15/2000 100 102
5.321% due 12/15/2001 (d) 10,000 9,974
Detroit Edison Co.
6.450% due 04/01/1999 10,500 10,500
Duke Energy Corp.
5.780% due 07/08/1999 500 501
8.000% due 11/01/1999 40 41
7.000% due 06/01/2000 700 713
6.750% due 08/01/2025 25 24
Eastern Edison Co.
7.780% due 07/30/2002 9,000 9,407
El Paso Electric Co.
9.400% due 05/01/2011 7,455 8,606
Houston Lighting & Power Co.
6.100% due 03/01/2000 250 251
Indiana Bell Telephone Co., Inc.
5.500% due 04/01/2007 500 478
Indianapolis Power & Light
7.375% due 08/01/2007 225 245
Korea Electric Power
6.375% due 12/01/2003 170 160
Long Island Lighting Co.
7.300% due 07/15/1999 76,085 76,461
Louisiana Power & Light Co.
7.740% due 07/01/2002 1,900 1,934
MCI Communications Corp.
6.125% due 04/15/2002 1,250 1,262
MCI Worldcom, Inc.
8.875% due 01/15/2006 24,529 26,428
National Power Corp.
9.625% due 05/15/2028 16,000 14,185
National Rural Utilities Cooperative
6.250% due 04/15/2003 50,000 49,853
Nevada Power Co.
6.200% due 04/15/2004 20,000 19,951
New Century Energies, Inc.
5.860% due 05/30/2000 15,000 14,986
New England Telephone & Telegraph Co.
6.375% due 09/01/2008 1,350 1,320
New Jersey Bell Telephone
7.850% due 11/15/2029 70 79
New York Telephone Co.
6.250% due 02/15/2004 150 153
Niagara Mohawk Power
6.500% due 07/01/1999 25,000 25,032
7.000% due 10/01/2000 35,000 35,359
7.125% due 07/01/2001 27,250 27,702
7.250% due 10/01/2002 32,777 33,386
7.375% due 07/01/2003 28,000 29,356
7.375% due 08/01/2003 1,645 1,732
7.750% due 10/01/2008 25,200 27,057
North Atlantic Energy
9.050% due 06/01/2002 8,042 8,297
Northern Illinois Gas Co.
6.450% due 08/01/2001 1,450 1,461
Northern Telecom Limited
8.750% due 06/12/2001 300 319
Ohio Bell Telephone Co.
5.375% due 03/01/2007 950 909
Ohio Edison
6.875% due 09/15/1999 5,750 5,781
Ohio Power Co.
6.875% due 06/01/2003 3,000 3,062
Pacific Gas & Electric Co.
6.750% due 12/01/2000 3,049 3,060
Pacific Northwest Bell
4.375% due 09/01/2002 50 48
Pennsylvania Power & Light
6.000% due 06/01/2000 500 503
Philadelphia Electric
5.625% due 11/01/2001 17,000 16,980
PP&L, Inc.
6.125% due 05/01/2001 (d) 5,000 5,049
Public Service Electric & Gas
8.750% due 07/01/1999 90 91
7.625% due 02/01/2000 150 153
6.500% due 06/01/2000 500 505
6.125% due 08/01/2002 1,000 1,014
Public Service Enterprise Group, Inc.
5.750% due 11/22/2000 (d) 10,000 10,007
5.780% due 11/22/2000 (d) 2,000 2,002
Queststar Pipeline
9.375% due 06/01/2021 200 225
60 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Reliant Energy, Inc.
8.750% due 03/01/2022 $ 10,000 $ 10,862
Southwestern Bell Telephone Co.
6.125% due 03/01/2000 50 50
Sprint Corp.
8.125% due 07/15/2002 10,378 11,010
System Energy Resources
7.380% due 10/01/2000 5,000 5,081
7.710% due 08/01/2001 14,850 15,371
Tennessee Valley Authority
0.000% due 04/15/2042 (i) 855 360
Texas Utilities Co.
6.250% due 01/31/2000 6,000 6,033
6.270% due 02/01/2000 11,000 11,087
5.241% due 04/24/2000 (d) 54,700 54,804
6.370% due 08/16/2001 1,000 1,005
5.940% due 10/15/2001 3,000 3,001
6.500% due 08/16/2002 1,000 1,006
Texas-New Mexico Power
10.750% due 09/15/2003 4,950 5,243
Toledo Edison Co.
8.180% due 07/30/2002 1,400 1,470
8.700% due 09/01/2002 10,000 10,488
7.850% due 03/31/2003 7,000 7,290
7.875% due 08/01/2004 500 520
Tuscon Electric Power
8.500% due 10/01/2009 454 468
U.S. West Communications, Inc.
6.625% due 09/15/2005 300 311
6.125% due 11/15/2005 400 405
United Air Lines
10.670% due 05/01/2004 2,050 2,388
United Telecom, Inc.
9.440% due 08/15/2001 10,000 10,738
Western Massachusetts Electric
6.875% due 01/01/2000 700 704
7.375% due 07/01/2001 7,000 7,085
Western Resources, Inc.
6.250% due 08/15/2003 8,500 8,534
Wilmington Trust Co. - Tucson Electric
10.732% due 01/01/2013 (j) 991 1,142
WorldCom, Inc.
6.125% due 08/15/2001 250 252
6.400% due 08/15/2005 1,000 1,016
----------
995,938
----------
Total Corporate Bonds & Notes 9,472,069
(Cost $9,450,839) ==========
U.S. GOVERNMENT AGENCIES 3.7%
A.I.D. Housing Guarantee
9.980% due 08/01/2008 1,045 1,137
Federal Home Loan Bank
6.400% due 09/10/2008 525 520
Federal Home Loan Mortgage Corp.
6.140% due 03/03/2003 500 502
6.000% due 11/18/2003 750 747
5.580% due 12/10/2003 500 494
7.030% due 04/05/2004 125 125
7.540% due 05/03/2004 20 20
5.500% due 12/21/2004 1,000 981
5.900% due 12/02/2005 1,300 1,282
6.375% due 09/25/2006 1,250 1,241
6.350% due 10/13/2006 1,000 992
6.350% due 11/28/2006 100 99
6.690% due 04/23/2008 1,250 1,246
6.220% due 06/24/2008 1,850 1,847
6.250% due 08/11/2008 1,000 987
6.300% due 09/10/2008 260 256
Federal National Mortgage Assn.
9.050% due 04/10/2000 400 415
5.160% due 02/02/2001 800 795
5.125% due 02/13/2004 21,716 21,340
5.350% due 10/29/2004 1,000 971
5.750% due 10/28/2005 1,500 1,464
5.780% due 11/02/2005 500 489
6.000% due 11/24/2006 700 686
7.240% due 01/04/2007 255 257
6.490% due 08/27/2007 56,000 58,100
6.000% due 09/14/2007 200 195
6.470% due 02/22/2008 700 692
6.560% due 03/03/2008 250 248
6.125% due 08/28/2008 1,000 985
5.990% due 10/27/2008 125 121
Housing & Urban Development Corp.
8.810% due 08/01/2005 285 328
New York City
5.278% due 08/01/2002 (d) 35,487 35,330
Resolution Funding
0.000% due 01/15/2007 800 520
Student Loan Marketing Assn.
4.129% due 02/20/2000 (d) 134,700 133,361
5.684% due 06/30/2000 (d) 63,700 63,584
5.248% due 01/25/2003 (d) 41,537 41,600
5.070% due 04/25/2004 (d) 20,459 20,255
4.988% due 10/25/2004 (d) 27,806 27,743
5.008% due 10/25/2004 (d) 50,033 49,946
4.958% due 10/25/2005 (d) 11,583 11,546
5.038% due 10/25/2005 (d) 36,723 36,629
5.098% due 04/25/2006 (d) 119,639 119,236
5.208% due 01/25/2007 (d) 114,483 114,439
5.178% due 04/25/2007 (d) 210,062 210,093
----------
Total U.S. Government Agencies 963,844
(Cost $966,749) ==========
U.S. TREASURY OBLIGATIONS 12.5%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h)(l) 695,560 691,213
3.375% due 01/15/2007 (h)(l) 69,478 66,917
3.625% due 01/15/2008 (h) 248,671 242,998
3.875% due 01/15/2009 (h)(l) 114,600 114,278
3.625% due 04/15/2028 (h) 102,194 97,787
U.S. Treasury Bonds
12.375% due 05/15/2004 1,000 1,313
10.375% due 11/15/2012 10,820 14,272
12.000% due 08/15/2013 (l) 8,845 12,892
13.250% due 05/15/2014 16,500 26,070
9.250% due 02/15/2016 (l) 301,500 409,946
7.250% due 05/15/2016 107,450 123,333
8.750% due 05/15/2017 (l) 9,460 12,455
8.875% due 08/15/2017 (l) 544,900 726,420
9.125% due 05/15/2018 234,900 321,226
8.125% due 05/15/2021 225,000 285,891
8.000% due 11/15/2021 66,145 83,198
7.125% due 02/15/2023 1,650 1,906
6.500% due 11/15/2026 130 141
6.625% due 02/15/2027 3,165 3,486
6.375% due 08/15/2027 2,225 2,377
6.125% due 11/15/2027 1,650 1,710
U.S. Treasury Notes
7.750% due 11/30/1999 1,100 1,121
5.375% due 07/31/2000 20,000 20,106
4.500% due 01/31/2001 775 768
7.500% due 11/15/2001 1,350 1,428
6.250% due 02/15/2003 1,200 1,244
5.875% due 02/15/2004 1,200 1,236
4.750% due 11/15/2008 1,000 963
----------
Total U.S. Treasury Obligations 3,266,695
(Cost $3,389,678) ==========
MORTGAGE-BACKED SECURITIES 52.7%
Collateralized Mortgage Obligations 18.4%
American Southwest Financial
0.000% due 06/04/2013 (i) 64,050 70,617
12.250% due 11/01/2014 57 59
12.500% due 04/01/2015 437 486
12.000% due 05/01/2015 892 932
11.400% due 09/01/2015 661 690
See accompanying notes 61
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Aspetuck Trust
5.151% due 08/02/1999 (d) $ 80,000 $ 79,975
BA Mortgage Securities, Inc.
6.250% due 08/25/2028 25,000 23,632
Bankers Trust Co.
8.625% due 04/01/2018 77 78
Bear Stearns Mortgage Securities, Inc.
5.688% due 10/25/2023 (d) 5,267 5,406
10.000% due 08/25/2024 7,463 7,824
7.000% due 03/25/2027 7,000 7,076
Cendant Mortgage Corp.
6.499% due 11/18/2028 (d) 5,400 4,860
6.499% due 11/18/2028 (d) 14,333 14,019
Chase Mortgage Finance Corp.
8.250% due 10/25/2010 1,429 1,425
6.204% due 04/25/2025 (d) 29,846 30,273
6.550% due 08/25/2028 3,000 3,029
Citicorp Mortgage Securities, Inc.
9.500% due 09/25/2019 250 249
6.906% due 10/25/2022 (d) 13,664 13,698
6.250% due 04/25/2024 11,796 11,036
7.250% due 10/25/2027 20,462 20,823
CMC Securities Corp.
6.239% due 09/25/2023 (d) 6,859 6,922
7.440% due 04/25/2025 (d) 232 232
7.250% due 11/25/2027 9,453 9,678
Collateralized Mortgage Obligation Trust
10.200% due 02/01/2016 467 489
8.000% due 09/20/2021 8,833 8,856
Collateralized Mortgage Securities Corp.
11.500% due 09/01/2015 34 36
11.450% due 11/01/2015 (d) 203 204
8.750% due 04/20/2019 687 693
Comm
6.145% due 02/15/2008 5,000 5,109
Countrywide Home Loans
6.500% due 07/25/2013 5,676 5,656
7.936% due 07/25/2024 (d) 6,892 6,991
6.750% due 11/25/2025 25,567 25,571
7.500% due 06/25/2027 12,364 12,695
7.250% due 12/25/2027 6,224 6,321
7.250% due 02/25/2028 57,846 58,790
6.050% due 04/25/2029 56,000 55,257
DLJ Mortgage Acceptance Corp.
7.413% due 08/01/2021 (d)(j) 5,325 5,395
7.807% due 12/25/2022 (d) 2,800 2,841
8.122% due 03/25/2024 (d) 813 824
6.500% due 04/25/2024 1 1
8.365% due 05/25/2024 (d) 192 195
6.850% due 12/17/2027 6,605 6,663
6.750% due 06/19/2028 128,425 128,412
Drexel Mortgage Funding
9.500% due 11/20/2017 1,153 1,175
8.600% due 03/01/2018 367 369
Federal Home Loan Mortgage Corp.
7.000% due 05/15/1999 11 11
6.500% due 03/15/2000 355 356
7.000% due 10/15/2003 4,974 5,077
7.500% due 11/01/2003 8,229 8,426
6.000% due 06/15/2005 9,904 9,949
6.500% due 07/25/2005 15,200 15,181
6.500% due 07/15/2006 1,075 1,088
6.500% due 08/15/2006 710 718
6.500% due 05/15/2008 1,000 1,012
6.200% due 12/15/2008 4,089 3,915
6.000% due 03/15/2009 265 266
8.500% due 08/15/2013 2,000 2,101
8.500% due 09/15/2013 5,941 6,240
11.000% due 11/30/2015 10,791 11,934
7.000% due 03/15/2016 33 33
5.400% due 05/25/2016 52,514 51,382
7.000% due 11/15/2016 9,540 9,617
6.210% due 08/15/2017 104 104
5.900% due 03/15/2018 10,961 10,203
6.350% due 03/25/2018 200 202
5.250% due 05/15/2018 635 634
6.500% due 12/15/2018 4,004 4,023
6.500% due 05/15/2019 615 618
6.250% due 07/15/2019 56,551 56,735
5.000% due 08/15/2019 178 176
9.125% due 06/15/2020 222 222
5.250% due 07/15/2020 598 594
5.500% due 10/15/2020 154 153
9.500% due 11/15/2020 6,338 6,701
9.000% due 12/15/2020 2,753 2,868
6.000% due 12/15/2020 413 411
9.000% due 12/15/2020 1,342 1,400
8.750% due 12/15/2020 1,265 1,310
6.250% due 01/15/2021 200 200
6.500% due 05/15/2021 159 160
6.500% due 05/17/2021 113 111
8.500% due 06/15/2021 36,377 37,764
6.950% due 07/15/2021 700 709
8.000% due 07/15/2021 10,375 10,682
9.500% due 07/15/2021 3,142 3,253
9.000% due 07/15/2021 2,551 2,689
6.950% due 08/15/2021 185 188
8.000% due 08/15/2021 23,472 24,289
6.200% due 08/15/2021 1,500 1,514
6.500% due 09/15/2021 1,543 1,549
8.000% due 09/15/2021 36 37
7.000% due 09/15/2021 423 426
7.000% due 10/15/2021 24 24
8.000% due 12/15/2021 16,222 17,023
6.850% due 01/15/2022 700 712
8.250% due 06/15/2022 5,000 5,228
7.000% due 07/15/2022 8,539 8,557
8.500% due 10/15/2022 11,001 11,395
7.500% due 01/15/2023 15,858 16,318
7.000% due 07/15/2023 244 239
7.250% due 07/15/2023 20 20
6.500% due 07/15/2023 107 107
7.500% due 01/20/2024 243 246
5.000% due 02/15/2024 116 104
6.500% due 02/15/2024 27 27
6.250% due 05/15/2024 12,165 11,193
7.250% due 08/15/2024 190 193
8.000% due 09/15/2024 16,250 17,292
7.000% due 11/17/2025 40 40
7.310% due 10/01/2026 (d) 4,113 4,202
7.500% due 01/15/2027 22,511 23,016
7.500% due 03/17/2027 20,000 20,444
7.500% due 06/20/2027 17,492 17,658
6.500% due 08/15/2027 14,193 12,405
6.500% due 10/15/2027 32,300 31,636
6.500% due 01/25/2028 8,691 8,442
7.000% due 02/15/2028 1,608 1,557
6.500% due 04/15/2028 155,706 152,411
6.500% due 05/15/2028 48,000 46,777
6.500% due 06/15/2028 53,308 48,508
6.500% due 06/20/2028 21,224 18,918
6.500% due 07/15/2028 27,365 25,308
6.500% due 08/15/2028 251,255 230,348
7.000% due 11/15/2028 9,000 9,146
6.000% due 12/15/2028 22,146 19,742
6.500% due 12/15/2028 6,403 5,804
6.500% due 01/15/2029 10,411 10,245
6.500% due 03/15/2029 11,221 10,504
6.181% due 08/15/2032 (d) 34,712 34,989
Federal Housing Administration
7.430% due 01/01/2024 1,044 1,094
Federal National Mortgage Assn.
9.100% due 02/25/2002 3,074 3,129
7.500% due 05/25/2005 6,700 6,901
7.500% due 02/25/2006 375 387
6.500% due 05/01/2006 277 279
6.500% due 07/25/2006 75 76
8.000% due 11/25/2006 30 31
6.000% due 07/25/2007 300 301
62 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
8.638% due 08/25/2007 (d) $ 42 $ 43
6.270% due 09/25/2007 3,000 3,002
7.000% due 10/25/2007 200 206
6.500% due 05/25/2008 500 509
10.500% due 08/25/2008 7,146 8,310
6.750% due 11/25/2010 1,300 1,311
7.000% due 01/25/2011 500 504
7.500% due 01/20/2012 8 8
9.670% due 01/25/2017 143 144
9.200% due 12/25/2017 107 107
9.300% due 05/25/2018 1,082 1,136
9.500% due 06/25/2018 579 628
5.488% due 06/25/2018 (d) 5 5
6.500% due 06/25/2018 2,557 2,557
5.500% due 07/25/2018 115 115
9.500% due 11/25/2018 15,513 16,111
6.000% due 12/25/2018 44 44
6.500% due 03/25/2019 885 890
6.250% due 04/18/2019 6,241 6,246
9.500% due 06/25/2019 2,149 2,268
5.650% due 07/25/2019 3,650 3,649
6.350% due 08/25/2019 435 436
8.000% due 10/25/2019 7,122 7,206
7.500% due 12/25/2019 115 118
9.000% due 12/25/2019 9,287 9,853
6.500% due 03/25/2020 3,965 3,980
7.500% due 05/25/2020 5,240 5,367
6.000% due 06/25/2020 4,167 4,164
9.000% due 09/25/2020 5,840 6,109
7.000% due 09/25/2020 25,000 25,285
8.000% due 12/25/2020 23,440 24,548
9.000% due 01/25/2021 8,602 9,012
8.750% due 01/25/2021 5,031 5,260
7.500% due 02/17/2021 196 197
9.000% due 03/25/2021 736 778
7.500% due 03/25/2021 18,805 18,987
7.000% due 05/25/2021 300 307
6.500% due 06/25/2021 5,355 5,339
7.500% due 06/25/2021 187 189
8.000% due 07/25/2021 24,214 24,963
8.500% due 09/25/2021 8,427 8,775
7.000% due 10/25/2021 8,390 8,454
8.000% due 10/25/2021 22,430 23,329
7.000% due 11/25/2021 24,015 24,212
6.000% due 12/25/2021 87 87
8.000% due 01/25/2022 21,700 22,408
8.000% due 03/25/2022 208 212
7.000% due 04/25/2022 17,091 17,203
10.000% due 05/01/2022 220 238
7.000% due 06/25/2022 1,928 1,957
8.000% due 06/25/2022 3,426 3,673
8.000% due 07/25/2022 25,524 26,646
7.000% due 07/25/2022 8,598 8,727
8.000% due 07/25/2022 28,757 29,826
7.800% due 10/25/2022 5,131 5,290
6.500% due 10/25/2022 3,673 3,473
6.500% due 12/25/2022 459 460
7.000% due 03/25/2023 26,170 26,225
6.500% due 05/18/2023 11,418 11,497
6.900% due 05/25/2023 143 143
7.000% due 06/25/2023 4,481 4,292
6.500% due 08/25/2023 64 65
6.000% due 08/25/2023 3,068 3,013
6.750% due 09/25/2023 3,590 3,518
1.000% due 09/25/2023 350 309
6.750% due 10/25/2023 540 519
7.500% due 10/25/2023 89 90
6.500% due 11/25/2023 170 170
6.500% due 12/25/2023 1,054 968
6.500% due 01/25/2024 2,410 2,287
7.250% due 02/25/2024 50 50
7.500% due 06/20/2024 120 122
7.000% due 02/18/2025 140 142
7.500% due 12/25/2025 120 124
7.000% due 02/15/2026 180 183
7.000% due 07/18/2026 210 208
7.000% due 12/18/2026 14,689 14,409
6.000% due 05/17/2027 5,470 5,127
6.500% due 03/01/2028 599 598
6.500% due 06/25/2028 3,400 3,316
6.500% due 07/18/2028 67,412 64,104
6.000% due 04/25/2029 9,881 8,104
First Commonwealth Savings & Loan
10.375% due 04/01/2005 19 20
First Union Residential Securitization, Inc.
6.750% due 08/25/2028 9,048 8,802
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 4,353 4,394
6.500% due 09/25/2023 1,175 1,110
6.500% due 02/25/2024 9 9
6.500% due 03/25/2024 53,964 52,601
6.500% due 04/25/2024 60,500 56,518
7.500% due 07/25/2027 10,329 10,467
7.000% due 11/25/2027 37,500 37,943
6.650% due 05/25/2028 9,064 9,146
6.750% due 05/25/2028 23,934 23,713
6.550% due 06/25/2028 23,450 23,597
6.750% due 06/25/2028 2,814 2,830
6.500% due 12/25/2028 19,500 18,993
General Motors Acceptance Corp.
6.700% due 03/15/2008 1,000 1,021
Goldman Sachs Mortgage Corp.
6.000% due 12/31/2007 (j) 9,948 9,941
Government National Mortgage Assn.
7.500% due 07/20/2020 178 179
7.000% due 01/15/2024 500 510
8.000% due 05/16/2024 120 123
7.000% due 08/20/2026 150 147
7.500% due 02/16/2027 119 116
7.500% due 07/16/2027 26,744 27,280
6.500% due 06/20/2028 10,274 9,236
6.500% due 07/20/2028 35,502 32,590
6.500% due 09/20/2028 25,824 23,036
Greenwich
6.844% due 04/25/2022 (d) 1,104 1,118
6.840% due 07/25/2022 (d) 4,571 4,622
6.818% due 10/25/2022 (d) 159 161
6.892% due 04/25/2023 (d) 2,032 2,053
7.485% due 04/25/2024 (d) 2,538 2,614
8.040% due 06/25/2024 (d) 2,518 2,623
8.131% due 08/25/2024 (d) 4,087 4,117
8.733% due 11/25/2024 (d) 1,190 1,201
Headlands Mortgage Securities, Inc.
7.250% due 11/25/2012 3,445 3,511
6.750% due 12/25/2028 59,468 59,344
6.650% due 02/25/2029 165,866 164,917
ICI Funding Corp. Secured Assets Corp.
7.250% due 09/25/2027 18,068 18,411
Imperial CMB Trust
5.320% due 09/25/2026 (d) 11,842 11,920
6.650% due 11/25/2029 1,702 1,725
Independent National Mortgage Corp.
6.650% due 10/25/2024 2,723 2,722
7.784% due 11/25/2024 (d) 4,213 4,321
8.750% due 12/25/2024 30 31
7.978% due 01/25/2025 (d) 328 334
8.000% due 06/25/2025 75 76
6.569% due 07/25/2025 (d) 15,098 15,436
7.559% due 07/25/2025 (d) 11,679 11,920
International Mortgage Acceptance Corp.
12.500% due 03/01/2014 400 448
J.P. Morgan & Co.
9.000% due 10/20/2020 15,380 15,843
J.P. Morgan Commercial Mortgage Finance Corp.
6.533% due 01/15/2030 20,000 20,369
Kidder Peabody Acceptance Corp.
8.390% due 05/20/2018 277 280
7.927% due 09/25/2024 (d) 20,000 20,084
See accompanying notes 63
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
Marine Midland
8.000% due 10/25/2023 $ 143 $ 142
Mellon Residential Funding Corp.
6.350% due 06/25/2028 22,000 22,100
Merrill Lynch Mortgage
7.428% due 06/15/2021 (d) 6,660 6,741
7.688% due 06/15/2021 (d) 6,248 6,381
8.339% due 06/25/2022 (d) 648 648
Midland Realty Acceptance Corp.
7.020% due 01/25/2029 21,645 22,105
Morgan Stanley Mortgage Trust
8.250% due 07/01/2018 6,355 6,421
Mortgage Capital Funding, Inc.
7.008% due 09/20/2006 15,545 15,978
Mortgage Capital Trust V
8.875% due 04/01/2018 115 118
NationsBanc Montgomery Funding Corp.
6.500% due 07/25/2028 9,000 8,732
6.250% due 10/25/2028 1,000 950
Nomura Asset Securities Corp.
7.492% due 05/25/2024 (d) 6,606 6,790
Norwest Asset Securities Corp.
6.250% due 11/25/2013 45,716 45,414
6.350% due 04/25/2028 2,500 2,515
6.500% due 12/25/2028 20,000 19,476
6.500% due 02/25/2029 55,000 52,645
6.500% due 03/25/2029 12,200 11,828
5.950% due 03/30/2029 128,513 127,225
6.300% due 03/30/2029 11,419 11,414
5.950% due 04/30/2029 16,347 16,286
Norwest Mortgage
12.500% due 02/01/2014 794 848
12.250% due 04/01/2014 64 59
PaineWebber Mortgage
6.000% due 04/25/2009 11,951 11,814
PNC Mortgage Securities Corp.
7.000% due 10/25/2027 36,616 36,983
6.500% due 02/25/2028 2,500 2,518
7.000% due 05/25/2028 10,144 10,260
6.750% due 07/25/2028 2,027 2,015
6.750% due 09/25/2028 4,000 3,975
6.200% due 04/30/2029 30,000 29,850
Prudential Bache
5.941% due 09/01/2018 (d) 320 316
8.400% due 03/20/2021 3,105 3,199
Prudential Home Mortgage Securities
6.400% due 04/25/2009 2,482 2,488
8.000% due 06/25/2022 1,668 1,663
6.950% due 11/25/2022 222 220
6.750% due 10/25/2023 8,688 8,114
7.995% due 11/25/2023 (d) 3,736 3,784
5.900% due 12/25/2023 11,816 11,813
6.050% due 04/25/2024 4,743 4,738
6.000% due 05/25/2024 13 13
6.450% due 11/25/2025 5,264 5,017
PSB Financial Corp.
11.050% due 12/01/2015 662 713
Residential Accredit Loans, Inc.
7.000% due 02/25/2028 41,115 41,624
6.500% due 10/25/2028 17,928 17,838
Residential Asset Securities Corp.
7.000% due 03/25/2027 94 95
7.250% due 05/25/2027 162 163
Residential Asset Securitization Trust
7.375% due 03/25/2027 5,142 5,260
7.000% due 10/25/2027 19,832 20,020
6.750% due 06/25/2028 32,549 32,764
6.500% due 12/25/2028 1,250 1,204
Residential Funding Mortgage Securities, Inc.
7.000% due 08/25/2008 11,901 12,011
6.500% due 09/25/2008 7,000 7,047
6.250% due 10/25/2008 2,161 2,159
6.500% due 12/25/2012 19,016 19,068
6.500% due 01/25/2013 167,527 167,929
8.500% due 05/25/2017 65 68
7.750% due 09/25/2022 933 949
8.000% due 01/25/2023 5,489 5,592
7.400% due 09/25/2025 45 45
7.500% due 09/25/2025 18,183 18,507
7.500% due 12/25/2025 966 994
7.500% due 06/25/2027 51,535 52,836
7.500% due 07/25/2027 25,265 25,528
7.250% due 10/25/2027 24,000 24,377
7.000% due 11/25/2027 7,000 7,049
6.750% due 02/25/2028 4,572 4,598
6.750% due 05/25/2028 60,741 61,114
6.750% due 09/25/2028 61,993 61,561
6.500% due 10/25/2028 52,000 50,650
6.250% due 11/25/2028 3,000 2,863
6.500% due 01/25/2029 52,231 50,757
Resolution Trust Corp.
7.649% due 02/25/2020 (d) 143 143
6.671% due 09/25/2020 (d)(n) 12,307 2,831
6.925% due 09/25/2020 (d) 2,121 1,795
5.977% due 01/25/2021 (d) 799 797
8.417% due 06/25/2021 (d) 584 582
8.689% due 08/25/2021 (d) 9,244 9,285
8.694% due 08/25/2021 8,000 8,091
7.250% due 09/25/2021 (d) 2,301 2,291
6.000% due 10/25/2021 (d) 196 197
5.642% due 10/25/2021 (d) 159 157
8.625% due 10/25/2021 210 209
8.141% due 10/25/2021 (d) 207 207
7.632% due 03/25/2022 (d) 6,691 6,752
8.579% due 05/25/2022 (d) 2,073 2,151
7.625% due 08/25/2023 (d) 2,001 2,003
9.450% due 05/25/2024 19,693 19,695
7.100% due 12/25/2024 1,500 1,488
7.010% due 07/25/2028 (d) 14,001 13,946
7.189% due 10/25/2028 (d) 8,500 8,541
6.987% due 10/25/2028 (d) 19,546 19,646
7.068% due 05/25/2029 (d) 3,497 3,568
7.490% due 05/25/2029 (d) 4,660 4,654
Rural Housing Trust
3.330% due 10/01/2028 152 141
Ryan Mortgage Acceptance Corp.
9.450% due 10/01/2016 118 125
Ryland Acceptance Corp.
9.000% due 12/01/2016 614 627
11.500% due 12/25/2016 125 125
8.200% due 09/25/2022 70 71
14.000% due 11/25/2031 1,221 1,353
Ryland Mortgage Securities Corp.
7.381% due 08/25/2022 (d) 2,615 2,651
6.802% due 08/25/2029 (d) 4,489 4,615
6.803% due 10/25/2031 (d) 7,946 8,027
Salomon Brothers Mortgage Securities
6.899% due 11/25/2022 (d) 988 1,008
7.871% due 07/01/2024 (d) 8,064 8,225
5.178% due 06/25/2027 (d) 2,127 2,128
5.277% due 04/25/2029 (d) 37,223 37,206
Santa Barbara Savings
9.500% due 11/20/2018 3,107 3,109
Saxon Mortgage
7.370% due 08/25/2023 (d) 22,888 23,496
7.968% due 09/25/2024 (d) 10,508 10,882
Sears Mortgage
6.707% due 09/25/2022 (d) 1,523 1,550
Securitized Asset Sales, Inc.
7.027% due 10/25/2023 (d) 2,678 2,753
7.304% due 12/26/2023 (d) 1,937 1,966
7.410% due 09/25/2024 (d) 9,900 10,111
5.944% due 02/25/2028 3,200 3,199
Security Pacific National Bank
6.200% due 03/01/2018 (d) 106 105
Southern Pacific Secured Assets Corp.
5.107% due 06/25/2028 (d) 81,776 80,535
Structured Asset Mortgage Investments, Inc.
6.125% due 11/25/2013 18,026 17,756
64 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.300% due 04/25/2024 $ 22,500 $ 22,386
6.917% due 06/25/2028 (d) 47,361 47,938
6.250% due 11/25/2028 9,878 9,530
6.750% due 01/25/2029 3,000 2,976
6.580% due 06/25/2029 (d) 32,620 32,996
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 5,214 5,224
TMA Mortgage Funding Trust
5.319% due 01/25/2029 47,500 47,485
Union Planters Mortgage Finance Corp.
6.750% due 01/25/2028 4,000 4,023
6.800% due 01/25/2028 15,000 15,082
Vendee Mortgage Trust
7.000% due 02/15/2000 2,482 2,498
7.750% due 03/15/2016 600 610
7.750% due 05/15/2018 550 567
6.500% due 05/15/2020 26,086 25,721
Western Federal Savings & Loan
6.563% due 06/25/2021 (d) 6,270 5,896
----------
4,807,440
==========
Federal Home Loan Mortgage Corporation 12.4%
5.000% due 04/01/1999 33 33
5.500% due 04/01/2001-05/15/2029 (g) 243,464 229,629
5.750% due 08/15/2020 300 299
6.000% due 12/01/2000-05/17/2029 (g) 2,277,099 2,224,480
6.171% due 12/01/2026 (d) 8,125 8,184
6.250% due 03/15/2028 38,700 37,502
6.500% due 07/01/2001-05/17/2029 (g) 488,256 484,540
6.625% due 01/01/2019 (d) 13 14
6.750% due 04/01/2017-01/17/2025 (d)(g) 17,222 17,346
6.775% due 11/01/2003 69 69
6.832% due 07/01/2023 (d) 2,607 2,682
6.991% due 01/01/2024 (d) 634 652
6.999% due 01/01/2024 (d) 646 662
7.000% due 01/01/2000-03/01/2026 (g) 17,163 17,399
7.210% due 05/01/2023-10/25/2023 (d)(g) 23,212 23,829
7.279% due 05/01/2027 (d) 1,709 1,742
7.296% due 07/01/2024 (d) 2,736 2,800
7.299% due 06/01/2024 (d) 1,532 1,578
7.321% due 04/01/2029 (d) 2,076 2,137
7.354% due 08/01/2023 (d) 13 14
7.356% due 07/01/2022 (d) 1,377 1,409
7.377% due 09/01/2023 (d) 15,417 15,704
7.427% due 04/01/2023 (d) 737 747
7.461% due 07/01/2023 (d) 801 818
7.470% due 11/01/2023 (d) 647 655
7.500% due 05/01/1999-04/14/2029 (g) 50,637 52,061
7.528% due 09/01/2023 (d) 2,147 2,185
7.545% due 08/01/2023 (d) 8,091 8,240
7.552% due 08/01/2023 (d) 1,464 1,517
7.567% due 10/01/2023 (d) 2,395 2,430
7.568% due 10/01/2023 (d) 1,514 1,536
7.569% due 05/01/2023 (d) 1,663 1,689
7.572% due 04/01/2024 (d) 9,631 9,884
7.602% due 09/01/2023 (d) 3,387 3,457
7.609% due 08/01/2024 (d) 377 382
7.610% due 09/01/2023 (d) 2,354 2,388
7.643% due 11/01/2023 (d) 874 893
7.659% due 08/01/2023 (d) 702 722
7.723% due 10/01/2023 (d) 2,521 2,563
7.735% due 11/01/2023 (d) 505 512
7.750% due 04/01/2007 42 43
7.821% due 10/01/2023 (d) 514 531
7.909% due 10/01/2023 (d) 1,462 1,517
8.000% due 10/01/2007-06/01/2026 (g) 5,138 5,351
8.250% due 08/01/2007-12/01/2009 (g) 273 283
8.500% due 09/01/2001-01/01/2028 (g) 36,816 38,734
8.750% due 02/01/2001-12/01/2010 (g) 228 234
8.900% due 11/15/2020 19,324 20,372
9.000% due 01/01/2002-09/15/2020 (g) 845 883
9.250% due 06/01/2009-11/01/2013 (g) 132 141
9.500% due 08/01/2001-06/01/2021 (g) 2,079 2,204
9.750% due 11/01/2004-05/01/2009 (g) 60 63
10.000% due 06/01/2004-11/15/2019 (g) 1,069 1,118
10.250% due 03/15/2009-05/01/2009 (g) 1,563 1,679
11.000% due 12/01/1999-07/01/2019 (g) 813 883
11.250% due 10/01/2009-09/01/2015 (g) 182 198
11.500% due 03/01/2000-05/01/2000 (g) 10 10
13.250% due 10/01/2013 82 93
14.000% due 04/01/2016 24 28
15.500% due 08/01/2011-11/01/2011 (g) 18 20
16.250% due 05/01/2011 3 3
----------
3,239,771
==========
Federal Housing Administration 0.9%
6.000% due 03/20/2028 23,900 23,139
6.500% due 03/01/2040 5,000 4,915
6.875% due 11/01/2015 3,153 3,164
7.125% due 03/01/2034 4,458 4,581
7.211% due 12/01/2021 2,816 2,908
7.250% due 12/01/2021-04/30/2039 (g) 20,231 20,820
7.316% due 05/01/2019 4,978 5,131
7.375% due 03/01/2019-01/01/2024 (g) 16,093 16,651
7.400% due 02/01/2021 2,522 2,630
7.430% due 12/01/2016-05/01/2025 (g) 94,512 98,228
7.465% due 11/01/2019 42,238 43,650
7.500% due 04/30/2039 3,370 3,463
7.650% due 11/01/2018 135 129
----------
229,409
==========
Federal National Mortgage Association 4.3%
5.500% due 04/14/2029-05/17/2029 (g) 213,000 200,835
5.650% due 04/25/2005 146 146
5.848% due 09/01/2017 (d) 6,009 6,022
5.889% due 08/01/2029 (d) 1,200 1,206
5.905% due 04/01/2018-05/01/2036 (d)(g) 5,471 5,511
5.906% due 05/01/2036 (d) 1,374 1,383
5.916% due 05/01/2036 (d) 64,398 64,835
5.940% due 07/01/2017-04/26/2029 (d)(g) 173,053 174,081
5.941% due 07/01/2027-10/01/2028 (d)(g) 23,368 23,492
5.944% due 10/01/2032 (d) 18,965 19,068
5.946% due 11/01/2035 (d) 56,686 57,000
5.950% due 05/01/2036 (d) 64,056 64,491
5.996% due 09/01/2024 (d) 3,282 3,306
6.000% due 12/01/2000-05/17/2029 (d)(g) 112,573 110,481
6.012% due 03/01/2033 (d) 47,264 47,562
6.200% due 04/25/2005 771 773
6.218% due 04/01/2027 (d) 199 201
6.250% due 07/25/2007 100 101
6.390% due 05/25/2036 16,606 14,382
6.406% due 12/01/2023 (d) 1,133 1,153
6.500% due 11/01/2003-05/18/2029 (g) 111,996 111,380
6.585% due 02/01/2026 (d) 728 749
6.600% due 09/25/2018 6,485 6,547
6.622% due 01/01/2024 (d) 551 568
6.690% due 01/01/2024 (d) 1,157 1,196
6.750% due 08/01/2003 468 478
6.805% due 09/01/2022 (d) 1,845 1,863
6.834% due 07/01/2003 68 70
6.909% due 01/01/2024 (d) 253 261
6.950% due 11/01/2023-03/25/2026 (d)(g) 469 477
6.983% due 03/01/2026 (d) 4,590 4,719
6.990% due 11/01/2025 (d) 2,932 3,014
7.000% due 07/01/2001-12/20/2027 (g) 60,264 61,090
7.001% due 03/01/2025 (d) 4,437 4,555
7.095% due 01/01/2024 (d) 3,008 3,092
7.134% due 09/01/2022 (d) 1,929 1,948
7.143% due 01/01/2026 (d) 1,803 1,848
7.190% due 09/01/2025 (d) 2,952 3,026
7.202% due 11/01/2023 (d) 1,159 1,190
7.250% due 05/01/2002-01/01/2023 (g) 11,284 11,536
7.252% due 11/01/2025 (d) 2,029 2,071
7.308% due 07/01/2024 (d) 7,334 7,551
7.310% due 12/01/2023 (d) 1,600 1,646
7.338% due 09/01/2024 (d) 2,169 2,219
7.410% due 11/01/2025 (d) 5,811 5,946
7.500% due 08/01/2003-07/01/2028 (g) 67,700 69,731
7.537% due 05/01/2026 (d) 978 996
7.582% due 09/01/2023 (d) 3,922 4,026
7.625% due 10/01/2023 (d) 478 488
7.726% due 05/01/2024 (d) 3,087 3,187
See accompanying notes 65
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.750% due 06/01/2009 $ 199 $ 209
8.000% due 09/01/2001-12/01/2026 (g) 6,897 7,173
8.250% due 10/01/2008-02/01/2017 (g) 684 718
8.500% due 07/01/1999-05/01/2027 (g) 3,662 3,836
9.000% due 10/01/2004-04/01/2017 (g) 1,334 1,396
9.250% due 10/01/2001 11 11
9.500% due 12/01/2006-07/01/2022 (g) 109 118
9.750% due 11/01/2008 83 88
10.000% due 09/01/2003-05/01/2022 (g) 735 791
10.500% due 12/01/2016-04/01/2022 (g) 702 762
10.750% due 03/01/2014 26 29
12.000% due 05/01/2016 14 16
13.000% due 09/01/2013 43 48
13.250% due 09/01/2011 17 19
14.500% due 11/01/2011-01/01/2013 (g) 66 74
14.750% due 08/01/2012-11/01/2012 (g) 234 275
15.500% due 10/01/2012-12/01/2012 (g) 24 28
15.750% due 12/01/2011-08/01/2012 (g) 140 168
16.000% due 09/01/2012 156 182
----------
1,129,438
==========
Government National Mortgage Association 16.1%
4.500% due 01/20/2024-06/20/2028 (d)(g) 69,382 70,012
5.000% due 04/20/2028-08/20/2028 (d)(g) 64,335 64,896
5.650% due 10/15/2012 12 12
6.000% due 10/15/2008-05/24/2029 (g) 542,357 528,412
6.125% due 12/20/2020-12/20/2027 (d)(g) 445,801 452,368
6.500% due 10/15/2008-09/15/2040 (g) 1,795,088 1,786,856
6.625% due 08/20/2020-01/15/2040 (d)(g) 517,273 525,268
6.750% due 06/20/2028 19,984 19,313
6.800% due 10/15/2040 3,000 3,057
6.820% due 10/15/2040 3,437 3,543
6.850% due 10/15/2038 13,685 13,718
6.875% due 06/20/2021-06/20/2027 (d)(g) 567,742 576,640
6.880% due 04/20/2027-06/20/2027 (d)(g) 78,458 79,591
7.000% due 07/15/2008-03/15/2028 (g) 17,315 17,641
7.125% due 08/20/2027 (d) 61 62
7.375% due 04/20/2023 505 512
7.500% due 04/15/2007-09/15/2028 (g) 34,230 35,335
8.000% due 05/15/2001-10/15/2025 (g) 2,413 2,522
8.250% due 08/15/2004-05/15/2022 (g) 606 639
8.500% due 06/15/2001-01/20/2027 (g) 10,189 10,685
8.750% due 03/15/2007-07/15/2007 (g) 120 125
9.000% due 06/15/2001-07/20/2022 (g) 6,028 6,475
9.250% due 10/15/2001-12/20/2016 (g) 342 359
9.500% due 04/15/2001-08/15/2023 (g) 5,392 5,825
9.750% due 09/15/2002-01/15/2021 (g) 182 193
10.000% due 04/15/2001-02/15/2025 (g) 4,617 5,095
10.250% due 10/15/1999-02/20/2019 (g) 33 36
10.500% due 06/15/2004 111 120
11.000% due 05/15/2004-03/15/2019 (g) 125 137
11.250% due 03/15/2001-12/20/2015 (g) 48 53
11.500% due 04/15/2013-05/15/2013 (g) 8 8
12.000% due 02/15/2000-01/15/2015 (g) 78 86
12.500% due 01/15/2011 1 2
13.000% due 12/15/2012-10/15/2014 (g) 37 43
13.250% due 10/20/2014 20 23
13.500% due 11/15/2012-12/15/2012 (g) 6 7
15.000% due 09/15/2012-10/15/2012 (g) 18 20
16.000% due 01/15/2012-04/15/2012 (g) 9 11
17.000% due 11/15/2011-12/15/2011 (g) 78 91
-----------
4,209,791
===========
Other Mortgage-Backed Securities 0.5%
Aames Mortgage Trust
7.275% due 05/15/2020 116 116
Bank of America
9.000% due 03/01/2008 58 58
Citibank, NA
8.000% due 07/25/2018 69 70
DBL Mortgage Funding
9.500% due 08/01/2019 11 11
First Interstate Bancorp
9.125% due 01/01/2009 (j) 11 12
GE Capital Mortgage Services, Inc.
7.250% due 07/25/2011 8,821 8,886
General Electric Credit Corp.
8.000% due 03/01/2002 (j) 48 49
German American Capital Corp.
8.360% due 09/30/2002 2,415 2,504
6.581% due 07/01/2018 (d) 8,984 8,880
Great Western Savings & Loan
5.860% due 08/01/2017 (d) 152 150
Guardian
6.903% due 12/25/2018 (d) 216 189
Home Savings of America
8.464% due 08/01/2006 81 81
5.641% due 05/25/2027 (d) 2,856 2,791
6.393% due 08/20/2029 (d) 11,453 11,550
Imperial Savings & Loan
10.000% due 09/01/2016 (j) 142 149
8.219% due 01/25/2017 (d) 82 82
8.850% due 07/25/2017 (d) 317 316
LTC Commercial Corp.
7.100% due 11/28/2012 3,835 3,835
MDC Mortgage Funding
8.268% due 01/25/2025 (d) 420 437
Merrill Lynch Mortgage
9.250% due 12/15/2009 2 2
8.048% due 06/15/2021 (d) 1,387 1,416
Mid-State Trust
8.330% due 04/01/2030 71,276 74,945
Morgan Stanley Mortgage
8.150% due 07/20/2021 9 9
Resolution Trust Corp.
6.653% due 09/25/2020 (d) 456 392
7.039% due 05/25/2029 (d) 4,591 4,599
Salomon Brothers Mortgage Securities
11.500% due 09/01/2015 1,163 1,225
Sears Mortgage
12.000% due 02/25/2014 862 864
6.499% due 06/25/2022 (d) 534 540
7.217% due 10/25/2022 (d) 3,087 3,122
Western Federal Savings & Loan
6.512% due 11/25/2018 (d) 136 136
6.562% due 03/25/2019 (d) 800 800
-----------
128,216
===========
Stripped Mortgage-Backed Securities 0.1%
Bear Stearns Mortgage Securities, Inc. (IO)
7.200% due 07/25/2024 548 34
Federal Home Loan Mortgage Corp. (IO)
6.500% due 08/15/2006 581 31
6.500% due 11/15/2006 1,435 77
6.500% due 03/15/2007 2,028 95
5.750% due 09/15/2007 (d) 7,526 637
6.000% due 10/15/2007 585 42
6.000% due 01/15/2008 235 17
5.428% due 02/15/2008 (d) 748 76
6.400% due 10/15/2008 148 15
11.651% due 01/15/2016 11 0
6.500% due 08/15/2016 2,057 96
6.500% due 08/15/2017 431 23
7.000% due 04/15/2018 1,918 106
7.500% due 08/15/2018 163 7
9.993% due 11/15/2018 10 0
8.845% due 01/15/2021 295 60
9.000% due 05/15/2022 150 23
6.500% due 09/15/2023 450 64
Federal National Mortgage Association (IO)
6.750% due 09/25/2004 30 1
7.000% due 06/25/2005 8 0
10.458% due 07/25/2005 (d) 98 2
6.500% due 07/25/2006 3,333 169
7.272% due 09/25/2006 4 46
6.500% due 02/25/2007 2,838 225
6.500% due 07/25/2007 1,156 64
6.500% due 09/25/2007 3,639 303
6.500% due 10/25/2007 1,393 97
0.100% due 03/25/2009 (d) 37,255 754
7.000% due 08/25/2015 1,607 43
66 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
7.000% due 08/25/2016 $ 478 $ 17
6.500% due 08/25/2020 2,666 411
10.070% due 01/25/2021 66 7
7.500% due 04/25/2021 2,222 320
9.032% due 08/25/2021 903 183
0.950% due 11/25/2021 (d) 37,145 546
6.500% due 10/25/2022 258 27
6.500% due 01/25/2023 3,632 672
Federal National Mortgage Association (PO)
0.000% due 09/01/2007 972 872
0.000% due 02/25/2021 2,497 2,397
0.000% due 06/25/2022 1,585 1,479
0.000% due 08/25/2023 335 250
PaineWebber (IO)
13.595% due 08/01/2019 189 66
Vendee Mortgage Trust (IO)
0.542% due 06/15/2023 (d) 188,696 3,428
-----------
13,782
-----------
Total Mortgage-Backed Securities 13,757,847
(Cost $13,747,931) ===========
ASSET-BACKED SECURITIES 5.7%
AFC Home Equity Loan Trust
6.903% due 10/25/2026 (d) 5,329 5,424
America West Airlines
10.500% due 01/02/2004 (d) 24 23
American Express Credit Account Master Trust
6.800% due 12/15/2003 1,500 1,540
American Stores
5.300% due 08/30/2004 20,000 19,775
Americredit Automobile Receivable Trust
6.540% due 05/12/2001 500 506
Arcadia Automobile Receivables Trust
6.300% due 07/16/2001 6,018 6,038
Aspetuck Trust
5.688% due 09/01/1999 (d) 100,000 100,094
Associates Manufactured Housing
7.000% due 03/15/2027 900 912
Auto Receivables Trust
6.500% due 04/16/2003 10,003 10,015
Bridgestone/Firestone Master Trust
6.170% due 07/01/2003 250 252
California Infrastructure
6.010% due 06/25/2001 5,422 5,431
6.150% due 06/25/2002 19,500 19,656
Capital Equipment Receivables Trust
6.030% due 02/15/2000 1,897 1,908
Case Equipment Loan Trust
6.150% due 09/15/2002 729 730
Charter Commercial Holdings LLC
7.750% due 03/31/2028 32,000 31,920
Chase Manhattan Auto Owner Trust
5.750% due 10/15/2001 500 503
Chase Manhattan Grantor Trust
6.000% due 09/17/2001 1,164 1,167
5.900% due 11/15/2001 3,564 3,571
5.200% due 02/15/2002 575 576
6.610% due 09/15/2002 2,825 2,860
Chase Mortgage Finance Corp.
6.750% due 10/25/2028 30,000 27,694
Citibank N.A
0.000% due 09/27/1999 20,000 18,913
Citicorp Mortgage Securities, Inc.
6.750% due 04/25/2028 16,297 16,308
CMC Securities Corporation IV
7.250% due 11/25/2027 1,234 1,261
Columbia/HCA Healthcare
6.807% due 09/30/2000 25,000 24,594
Community Program Loan Trust
4.500% due 10/01/2018 26,079 24,528
4.500% due 04/01/2029 26,000 21,912
Conti Mortgage Home Equity Loan Trust
5.106% due 10/15/2012 (d) 21,135 21,119
6.990% due 03/15/2021 350 359
5.079% due 06/15/2028 (d) 6,306 6,300
Copelco Capital Funding Corp.
6.340% due 07/20/2004 33 34
CPS Auto Trust
6.070% due 03/15/2003 103 103
CS First Boston Mortgage Securities Corp.
6.750% due 09/25/2028 6,960 6,877
Daimler-Benz Vehicle Trust
5.850% due 07/20/2003 9,252 9,278
6.050% due 03/31/2005 6,825 6,882
Delta Air Lines Equipment Trust
9.230% due 07/02/2002 (j) 10,099 10,876
10.500% due 01/02/2007 (j) 7,412 9,064
10.570% due 01/02/2007 (j) 15,881 20,262
9.550% due 01/02/2008 (j) 7,773 8,996
10.000% due 06/05/2013 10,828 13,561
Discover Card Master Trust
5.600% due 05/16/2006 1,600 1,589
5.314% due 10/16/2013 (d) 400 403
EQCC Home Equity Loan Trust
6.710% due 07/15/2011 330 335
5.160% due 10/15/2027 (d) 1,697 1,684
Equivantage Home Equity Loan Trust
6.550% due 04/01/2027 129 130
Felco Funding LLC
5.980% due 09/15/2001 500 502
First Omni Bank
6.650% due 09/15/2003 (d) 1,500 1,535
First Plus Home Loan Trust
6.230% due 06/10/2010 3,000 3,013
First Security Auto Grantor Trust
6.100% due 04/15/2003 1,971 1,988
First Security Corp.
5.875% due 11/01/2003 9,000 8,884
First Union Master Credit Card Trust
5.760% due 09/15/2003 88,750 88,931
Flag Limited
6.900% due 12/15/2004 (d) 14,106 13,789
FMAC Loan Receivables Trust
6.830% due 09/15/2020 680 640
6.200% due 09/15/2020 358 353
6.500% due 09/15/2020 258 255
Ford Credit Auto Owner Trust
6.750% due 09/15/2000 1,611 1,621
5.800% due 10/15/2000 1,417 1,424
Ford Credit Grantor Trust
5.900% due 10/15/2000 3,947 3,954
Ford Motor Credit Corp.
5.500% due 02/15/2003 5,300 5,300
Fred Meyer, Inc.
5.937% due 03/19/2003 (d) 111,918 110,938
General Motors Acceptance Corp.
6.500% due 04/15/2002 20,395 20,509
Green Tree Financial Corp.
7.150% due 07/15/2027 1,025 1,039
6.870% due 03/01/2028 1,105 1,113
6.660% due 05/01/2028 1,405 1,373
6.170% due 05/15/2029 450 451
IMC Home Equity Loan Trust
5.075% due 05/21/2012 (d) 7,107 7,110
7.352% due 07/25/2026 (d) 941 948
Indymac Home Equity Loan
5.207% due 10/25/2029 (d) 28,737 28,813
Integrated Health Services
6.750% due 12/31/2005 (d) 14,813 14,109
Ip Timberland Limited
5.229% due 11/13/1999 (d) 10,000 9,850
Korea National Housing
8.500% due 05/23/2001 65,000 64,513
Lyondell Petroleum
6.937% due 06/17/1999 20,000 19,750
6.937% due 06/17/2000 27,000 26,190
6.943% due 06/17/2003 (d) 4,005 3,985
See accompanying notes 67
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
6.974% due 06/17/2003 $ 4,500 $ 4,478
7.219% due 06/17/2003 2,500 2,488
7.344% due 06/17/2003 7,500 7,463
MBNA Master Credit Card Trust
5.083% due 01/15/2002 73,635 73,725
6.050% due 11/15/2002 245 247
Metlife Capital Equipment Loan Trust
6.850% due 05/20/2008 (d) 320 328
Money Store Home Equity Trust
6.520% due 08/15/2009 11,552 11,569
6.115% due 06/15/2010 3,000 3,005
7.550% due 02/15/2020 500 508
6.345% due 11/15/2021 (d) 3,625 3,648
5.069% due 05/15/2025 (d) 16,255 16,257
Morgan Stanley Capital
5.170% due 07/25/2027 (d) 2,573 2,564
MPC Natural Gas Funding Trust
6.200% due 03/15/2013 10,000 9,712
Myra-United Mexican States
5.813% due 12/23/2006 22,388 19,502
National Medical Care
6.375% due 09/30/2003 (d) 58,333 57,487
NationsBank Auto Owner Trust
6.375% due 07/15/2000 167 167
NationsBank Corp.
5.850% due 06/15/2002 1,199 1,203
Newcourt Receivable Asset Trust
6.240% due 12/20/2004 14 14
Norwest Asset Securities Corp.
6.500% due 04/25/2013 21,627 21,600
6.500% due 06/25/2013 11,204 11,187
7.500% due 03/25/2027 28,487 29,262
6.750% due 05/25/2028 27,707 27,577
6.750% due 07/25/2028 12,657 12,181
6.200% due 09/25/2028 19,077 19,145
Premiere Auto Trust
6.575% due 10/06/2000 1,662 1,672
Republic of Korea
8.063% due 04/08/2001 (d) 10,000 10,003
Residential Asset Securities Corp.
6.450% due 10/25/2012 3,341 3,333
8.000% due 10/25/2024 (d) 9,440 9,880
5.240% due 10/25/2027 (d) 5,816 5,774
6.750% due 03/25/2028 40,000 39,607
Saxon Asset Securities Trust
6.475% due 11/25/2020 144 145
Sears Credit Account Master Trust
6.050% due 01/16/2008 500 507
7.000% due 07/15/2008 500 524
Stone Container Corp.
8.520% due 10/01/2003 (d) 5,749 5,763
Total Renal Care Holdings
6.813% due 03/31/2008 (d) 47,520 47,461
United Air Lines Equipment Trust
9.200% due 03/22/2008 4,137 4,538
10.360% due 11/13/2012 7,000 8,666
10.020% due 03/22/2014 5,825 6,978
10.850% due 07/05/2014 34,111 44,124
10.125% due 03/22/2015 14,300 17,642
9.060% due 06/17/2015 5,000 5,483
9.210% due 01/21/2017 2,000 2,213
USAA Auto Loan Grantor Trust
5.800% due 01/15/2005 7,241 7,289
WFS Financial Owner Trust
6.050% due 07/20/2001 1,013 1,014
6.500% due 09/20/2001 4,468 4,501
Ziff-Davis, Inc.
7.437% due 03/31/2006 15,000 15,009
----------
Total Asset-Backed Securities 1,486,286
(Cost $1,471,064) ==========
SOVEREIGN ISSUES 3.6%
Alcan Aluminum
5.875% due 04/01/2000 250 252
Cemex SA
10.750% due 07/15/2000 5,000 5,178
Central Bank Philippines
6.000% due 06/01/2008 (d) 12,240 10,526
City of Buenos Aires
11.250% due 04/11/2007 5,000 4,638
Embotelladora Arica SA
9.875% due 03/15/2006 8,500 8,607
Hydro Quebec
5.030% due 04/15/1999 (d) 10,000 9,997
7.375% due 02/01/2003 150 158
9.400% due 02/01/2021 500 654
8.500% due 12/01/2029 5,085 6,154
9.375% due 04/15/2030 600 793
9.500% due 11/15/2030 2,370 3,205
Kingdom of Sweden
10.250% due 11/01/2015 500 678
Korea Development Bank
6.172% due 10/20/2000 11,000 10,892
6.500% due 11/15/2002 2,000 1,907
Korean Export-Import Bank
7.125% due 03/15/2007 10,000 9,815
Nacional Financiera
8.649% due 12/01/2000 (d) 510 514
9.750% due 03/12/2002 10,000 10,188
6.875% due 05/08/2003 (d) 4,750 4,168
Petroleos Mexicanos
7.750% due 10/29/1999 1,000 1,005
9.375% due 12/02/2008 28,500 29,203
Providence of Newfoundland
9.000% due 06/01/2019 500 627
Province of Buenos Aires
12.500% due 03/15/2002 10,400 10,556
Province of Nova Scotia
9.375% due 07/15/2002 1,000 1,106
Province of Ontario
6.125% due 06/28/2000 50 51
7.750% due 06/04/2002 200 213
7.625% due 06/22/2004 1,000 1,085
7.000% due 08/04/2005 1,000 1,064
5.500% due 10/01/2008 10,000 9,685
Province of Quebec
5.340% due 06/21/1999 (d) 50,000 50,041
7.500% due 07/15/2002 6,000 6,285
8.800% due 04/15/2003 100 110
5.391% due 06/11/2004 (d) 15,500 15,426
7.125% due 02/09/2024 710 742
Republic of Argentina
8.099% due 08/15/1999 (d) 17,500 17,483
10.950% due 11/01/1999 4,075 4,162
5.288% due 04/01/2000 (d) 12,321 9,724
4.940% due 04/01/2001 (d) 57,501 53,160
14.250% due 11/30/2002 (d) 56,511 54,699
5.937% due 03/31/2005 (d) 209,204 179,142
12.110% due 04/10/2005 (d) 68,650 63,501
Republic of Columbia
8.750% due 10/06/1999 500 506
Republic of Korea
8.281% due 04/08/2000 (d) 31,044 31,160
7.813% due 04/08/2000 (d) 91,000 90,889
Republic of Philippines
5.885% due 01/05/2005 (d) 18,166 16,256
6.000% due 12/01/2007 3,438 2,890
6.500% due 12/01/2017 4,216 3,757
Republic of Poland
5.000% due 10/27/2014 25,000 23,063
Royal Bank of Scotland Group PLC
6.400% due 04/01/2009 15,000 14,916
State of Israel
6.200% due 06/14/2003 25 25
United Mexican States
5.560% due 04/07/2000 (m) 52,855 52,855
68 See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
5.750% due 04/07/2000 (d) $ 26,945 $ 26,473
6.250% due 06/27/2002 (d) 84,250 80,243
----------
Total Sovereign Issues 940,427
(Cost $946,410) ==========
FOREIGN CURRENCY-DENOMINATED ISSUES (e)(f) 1.2%
AXA
2.500% due 01/01/2014 EC 2,475 2,765
City of Montreal
11.500% due 09/20/2000 C$ 7,000 5,046
Commonwealth of Canada
6.500% due 06/01/2004 1,000 707
4.250% due 12/01/2026 (h) 95,856 64,584
Commonwealth of New Zealand
10.000% due 03/15/2002 (l) N$ 23,100 14,011
4.500% due 02/15/2016 23,000 12,462
France Telecom
2.000% due 01/01/2004 FF 9,761 1,820
Interamerican Development Bank
5.750% due 04/15/2004 N$ 35,400 18,635
Korea Development Bank
3.258% due 05/14/2001 (d) DM 50,000 26,280
Province of Saskatchewan
9.125% due 02/15/2021 $ 3,000 3,875
Republic of Argentina
5.500% due 03/27/2001 JY 4,290,000 36,149
3.011% due 04/01/2001 (d) AP 5,779 5,109
Reynolds, R.J
6.875% due 11/22/2000 DM 9,500 5,465
United Mexican States
3.100% due 04/24/2002 1,500,000 11,896
8.750% due 05/30/2002 BP 14,000 21,976
7.000% due 06/02/2003 C$ 30,000 18,310
3.850% due 12/31/2019 JY 9,145,000 64,323
----------
Total Foreign Currency-Denominated Issues 313,413
(Cost $320,042) ==========
PURCHASED CALL OPTIONS 0.3%
U.S. Treasury Bond (OTC)
7.250% due 05/15/2016
Strike @ 121.641 Exp. 05/21/1999 $ 50,000 65
U.S. Treasury Note (OTC)
5.375% due 07/31/2000
Strike @ 98.453 Exp. 06/12/1999 100,000 1,924
5.375% due 02/15/2001
Strike @ 95.468 Exp. 04/19/1999 140,000 7,221
6.625% due 06/30/2001
Strike @ 95.453 Exp. 04/19/1999 174,000 6,603
6.625% due 03/31/2002
Strike @ 98.500 Exp. 05/03/1999 242,000 13,308
6.375% due 08/15/2002
Strike @ 98.187 Exp. 04/12/1999 48,800 2,672
5.750% due 11/30/2002
Strike @ 96.187 Exp. 05/24/1999 336,400 18,539
5.750% due 11/30/2002
Strike @ 96.156 Exp. 05/17/1999 62,400 3,471
5.500% due 05/31/2003
Strike @ 95.625 Exp. 05/17/1999 82,300 4,409
5.250% due 08/15/2003
Strike @ 99.469 Exp. 08/27/1999 380,000 5,681
5.250% due 08/15/2003
Strike @ 100.000 Exp. 08/20/1999 250,000 2,955
5.250% due 08/15/2003
Strike @ 99.289 Exp. 08/20/1999 127,000 2,007
4.750% due 02/15/2004
Strike @ 99.007 Exp. 08/20/1999 79,000 748
4.750% due 02/15/2004
Strike @ 98.609 Exp. 08/20/1999 121,000 1,359
----------
Total Purchased Call Options 70,962
(Cost $76,655) ==========
PURCHASED PUT OPTIONS 0.0%
U.S. Treasury Note (OTC)
5.250% due 08/15/2003
Strike @ 92.164 Exp. 08/20/1999 1,500,000 15
----------
Total Purchased Put Options 15
(Cost $469) ==========
PREFERRED STOCK 0.1%
Shares
Banco Bilbao Vizcaya International
2.438% due 01/02/2000 266 7,171
Barclays Bank
2.875% due 01/01/2000 216 5,926
CSC Holdings, Inc.
11.125% due 01/02/2000 22 2,555
Fresenius Medical Care
7.875% due 01/02/2000 4 3,910
Home Ownership Funding
13.310% due 01/02/2000 1 1,029
TCI Communications, Inc.
2.500% due 01/02/2000 49 1,326
9.720% due 01/02/2000 623 17,042
Unocal Capital Trust
3.125% due 01/01/2000 0 22
----------
Total Preferred Stock 38,981
(Cost $39,214) ==========
SHORT-TERM INSTRUMENTS 7.7%
Principal
Amount
(000s)
Commercial Paper 5.1%
American Express
4.840% due 04/06/1999 $ 300 300
BellSouth Telecommunications, Inc.
4.810% due 05/07/1999 25,000 24,880
4.810% due 05/10/1999 1,200 1,194
Caisse d'Amortissement
4.780% due 10/08/1999 10,000 9,710
Canadian Wheat Board
4.790% due 06/21/1999 12,000 11,868
Coca-Cola Co.
4.810% due 04/22/1999 2,300 2,294
4.750% due 04/28/1999 1,400 1,395
4.810% due 05/27/1999 11,700 11,612
4.790% due 05/28/1999 500 496
4.790% due 06/11/1999 800 792
4.780% due 06/21/1999 14,200 14,044
Commonwealth Bank of Australia
4.830% due 08/10/1999 6,000 5,894
E.I. Du Pont de Nemours
4.840% due 04/05/1999 1,500 1,499
4.860% due 04/05/1999 16,300 16,291
4.830% due 04/21/1999 100 100
4.820% due 04/23/1999 500 499
4.800% due 06/04/1999 1,000 991
4.810% due 06/07/1999 500 495
4.800% due 06/07/1999 18,600 18,431
Federal Home Loan Bank
4.760% due 04/21/1999 21,900 21,842
4.750% due 04/21/1999 3,100 3,092
Federal Home Loan Mortgage Corp.
4.780% due 04/09/1999 1,300 1,299
4.740% due 04/14/1999 36,000 35,938
4.760% due 04/14/1999 2,000 1,997
Federal National Mortgage Assn.
4.750% due 04/08/1999 900 899
Florida Power Corp.
4.840% due 04/21/1999 16,000 15,957
Ford Motor Credit Corp.
4.850% due 04/08/1999 5,000 4,995
4.840% due 04/20/1999 146,100 145,727
4.840% due 04/23/1999 59,200 59,025
See accompanying notes 69
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
4.840% due 04/26/1999 $ 123,600 $ 123,185
4.830% due 04/28/1999 7,000 6,975
General Electric Capital Corp.
4.850% due 04/26/1999 39,800 39,666
4.840% due 04/28/1999 9,100 9,067
4.840% due 04/30/1999 19,700 19,623
4.840% due 05/18/1999 285,000 283,199
General Motors Acceptance Corp.
4.810% due 04/06/1999 4,000 3,997
4.860% due 04/07/1999 400 400
4.840% due 04/08/1999 8,700 8,692
IBM Corp.
4.880% due 04/07/1999 13,800 13,789
4.830% due 04/09/1999 25,000 24,973
4.820% due 06/28/1999 14,000 13,833
Imperial Tobacco Financial
5.170% due 07/29/1999 105,000 103,313
KFW International Finance, Inc.
4.790% due 06/21/1999 6,100 6,033
4.790% due 06/23/1999 41,300 40,835
4.790% due 06/24/1999 15,900 15,719
Minnesota Mining & Manufacturing Co.
4.800% due 06/21/1999 41,200 40,748
National Rural Utilities Cooperative
4.810% due 05/25/1999 15,500 15,388
4.820% due 06/10/1999 6,000 5,943
4.820% due 06/11/1999 2,300 2,278
4.820% due 06/17/1999 300 297
Oesterreich Kontrollbank
4.870% due 04/06/1999 1,000 999
Pfizer, Inc.
4.820% due 05/17/1999 400 398
Proctor & Gamble Co.
4.810% due 05/10/1999 71,500 71,127
4.840% due 05/26/1999 800 794
Province of British Colombia
4.800% due 06/11/1999 8,097 8,019
4.820% due 08/18/1999 2,500 2,453
Shell Oil Co.
4.790% due 06/04/1999 1,900 1,883
4.780% due 06/22/1999 50,000 49,445
USAA Capital Corp.
4.810% due 05/17/1999 1,500 1,491
Wisconsin Electric Power & Light
4.850% due 05/07/1999 2,000 1,990
------------
1,330,108
============
Repurchase Agreements 1.5%
State Street Bank
4.000% due 04/01/1999 120,000 120,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bond 8.500% 02/15/2020 valued at $20,401,063 and U.S Treasury
Note 5.500% 03/31/2000 valued at $51,001,057 and U.S Treasury
Note 6.000% 08/15/2000 valued at $51,000,774.
Repurchase proceeds are $120,013,334.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 68,200 68,200
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.875% 05/15/2006 valued at $70,296,192.
Repurchase proceeds are $68,209,283.)
Daiwa Securities
4.920% due 04/01/1999 195,700 195,700
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 8.375% 08/15/2008 valued at $200,343,986.
Repurchase proceeds are $195,726,746.)
-----------
383,900
===========
U.S. Treasury Bills (b) 1.1%
4.438% due 04/29/1999-03/30/2000(g) 310,710 300,693
-----------
Total Short-Term Instruments 2,014,701
===========
(Cost $2,014,599)
Total Investments (a) 123.8% $32,325,240
(Cost $32,423,650)
Written Options (c) (0.1%) (25,999)
(Premiums $35,106)
Other Assets and Liabilities (Net) (23.7%) (6,174,737)
-----------
Net Assets 100.0% $26,124,504
===========
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized appreciation
(depreciation) of investments based on cost for federal
income tax purposes of $32,428,668 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost. $ 186,591
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (290,019)
------------
Unrealized depreciation-net $ (103,428)
============
(b) Securities with an aggregate market value of $287,131
have been segregated with the custodian to cover margin
requirements for the following open futures contracts
at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts Depreciation
- --------------------------------------------------------------------------------
Eurodollar March Futures (03/2000) 2,804 $ (3,618)
Eurodollar March Futures (03/2001) 58 0
Eurodollar June Futures (06/2000) 2,804 (3,725)
Eurodollar June Futures (06/2001) 58 (2)
Eurodollar September Futures (09/2000) 3,854 (3,273)
Eurodollar September Futures (09/2001) 1,715 285
Eurodollar December Futures (12/1999) 2,804 (2,742)
Eurodollar December Futures (12/2000) 1,058 270
U.S.Treasury 10 Year Note (06/1999) 32,633 (2,046)
U.S.Treasury 30 Year Bond (06/1999) 23 29
Municipal Bond Index (06/1999) 1,250 (855)
Government of Japan 10 Year Note (06/1999) 100 (2,221)
United Kingdom 90 Day LIBOR (03/2000) 1,016 (26)
United Kingdom 90 Day LIBOR (06/2000) 1,099 (300)
United Kingdom 90 Day LIBOR (09/1999) 291 183
United Kingdom 90 Day LIBOR (12/1999) 877 2,707
------------
$ (15,334)
============
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
- --------------------------------------------------------------------------------
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 128.00 Exp. 05/22/1999 $1,192,900 $ 4,037 $ 932
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 118.00 Exp. 05/22/1999 632,800 3,994 3,955
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 130.00 Exp. 05/22/1999 632,800 1,836 198
Put - CBOT U.S. Treasury Bond June Futures
Strike @ 116.00 Exp. 05/22/1999 1,923,600 9,787 5,110
Call - CBOT U.S. Treasury Bond June Futures
Strike @ 126.00 Exp. 05/22/1999 939,500 2,870 1,615
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 130.00 Exp. 08/21/1999 149,200 552 420
Put - CBOT U.S. Treasury Bond September Futures
Strike @ 112.00 Exp. 08/21/1999 10,000 40 38
Call - CBOT U.S. Treasury Bond September Futures
Strike @ 132.00 Exp. 08/21/1999 10,000 39 17
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.25 Exp. 08/20/1999 127,000 466 828
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.97 Exp. 08/20/1999 254,000 1,012 815
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 250,000 859 1,405
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 97.94 Exp. 08/27/1999 760,000 2,850 2,538
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.60 Exp. 08/27/1999 130,000 447 731
Put - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 98.59 Exp. 08/20/1999 500,000 1,719 2,370
Call - OTC U.S. Treasury Note
5.250% due 08/2003
Strike @ 101.79 Exp. 08/20/1999 250,000 1,172 1,215
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 100.34 Exp. 08/20/1999 79,000 395 393
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.54 Exp. 08/20/1999 79,000 401 616
Call - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 99.81 Exp. 08/20/1999 121,000 700 788
Put - OTC U.S. Treasury Note
4.750% due 02/2004
Strike @ 97.05 Exp. 08/20/1999 121,000 520 740
Put - CME Eurodollar September Futures
Strike @ 95.00 Exp. 09/13/1999 1,000,000 495 488
Put - CME Eurodollar September Futures
Strike @ 94.75 Exp. 09/13/1999 1,000,000 320 225
Put - CME Eurodollar December Futures
Strike @ 94.50 Exp. 12/13/1999 1,000,000 595 562
--------------------------
$ 35,106 $ 25,999
==========================
(d) Variable rate security. The rate listed is as of March 31,1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
<TABLE>
<CAPTION>
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy BP 26,299 04/1999 $ 251
Sell 26,299 04/1999 (334)
Sell 26,300 08/1999 (251)
Sell C$ 161,572 04/1999 670
Sell EC 24,267 04/1999 591
Buy JY 229,202 04/1999 (5)
Sell 2,607,903 04/1999 (101)
Buy 413,100 05/1999 (5)
Buy 1,331,429 02/2000 4
Sell 7,118,555 02/2000 2,388
Sell 229,202 04/2000 (16)
Sell 4,519,202 04/2001 (256)
Sell N$ 54,210 04/1999 713
Buy 7,970 05/1999 (3)
------------
$ 3,646
============
</TABLE>
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
EC - European Currency Unit
FF - French Franc
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
(h) Principal amount of the security is adjusted for
inflation.
(i) Security becomes interest bearing at a future date.
(j) Restricted security.
(k) Swap agreements outstanding at March 31, 1999:
Unrealized
Notional Appreciation/
Type Amount (Depreciation)
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month JY-LIBOR and
pay fixed rate equal to 2.340%
Broker: Deutsche Bank AG New York
Exp. 10/08/2007 JY 24,500,000 $ (9,299)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.295%.
Broker: Deutsche Bank AG New York
Exp. 04/14/2008 JY 11,635,000 (3,640)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 2.305%.
Broker: Deutsche Bank AG New York
Exp. 04/15/2008 JY 7,563,000 (2,418)
Receive floating rate based on 6 month JY-LIBOR
and pay fixed rate equal to 1.495%.
Broker: Deutsche Bank AG New York
Exp. 09/16/2008 JY 7,000,000 2,204
Receive floating rate based on 6 month United
Mexican States and pay United Mexican States
fixed rate.
Broker: Merrill Lynch
Exp. 04/07/2000 $ 52,855 (1,057)
------------
$ (14,210)
============
(l) Subject to a financing transaction.
(m) Subject to an asset swap.
(n) Security is in default.
See accompanying notes 71
<PAGE>
Schedule of Investments (Cont.)
Total Return Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS 22.5%
U.S. Treasury Notes
6.750% due 04/30/2000 $ 700 $ 713
6.250% due 08/31/2002 250 258
------------
Total U.S. Treasury Obligations 971
(Cost $968) ============
MORTGAGE-BACKED SECURITIES 80.5%
Collateralized Mortgage Obligations 26.8%
Countrywide Alternative Loan Trust
6.750% due 08/25/2028 132 133
Countrywide Home Loans
6.750% due 11/25/2027 70 71
Donaldson, Lufkin & Jenrette
6.500% due 04/25/2024 2 2
Federal Home Loan Mortgage Corp.
5.941% due 02/01/2018 (b) 216 218
4.500% due 03/15/2021 83 78
3.500% due 12/15/2022 13 10
6.500% due 05/15/2023 102 99
6.500% due 03/15/2024 97 93
8.000% due 06/15/2026 62 66
Federal National Mortgage Assn.
5.600% due 11/25/2016 145 145
5.000% due 04/25/2020 4 4
7.500% due 11/25/2020 12 12
7.500% due 03/25/2023 86 88
5.969% due 04/25/2023 (b) 25 25
6.500% due 09/25/2023 33 31
6.750% due 09/25/2023 48 47
Vendee Mortgage Trust
7.750% due 05/15/2022 34 35
------------
1,157
============
Federal Home Loan Mortgage Corporation 7.9%
6.000% due 10/01/2024 182 178
7.000% due 02/01/2027 160 162
------------
340
============
Federal National Mortgage Association 8.6%
6.490% due 11/01/2018 61 62
7.661% due 05/01/2023 205 208
8.500% due 09/01/2026 95 100
------------
370
============
Government National Mortgage Association 36.7%
6.125% due 12/20/2021-11/20/2026(b)(c) 151 154
6.625% due 07/20/2025 57 57
6.875% due 03/20/2016-03/20/2027(b)(c) 258 263
6.880% due 02/20/2018 68 69
7.000% due 04/22/2029 600 609
7.500% due 05/15/2027-08/15/2027(c) 418 431
------------
1,583
============
Stripped Mortgage-Backed Securities 0.5%
Federal National Mortgage Assn. (IO)
6.500% due 07/25/2007 315 17
7.000% due 12/25/2016 197 6
------------
23
------------
Total Mortgage-Backed Securities 3,473
(Cost $3,422) ============
SHORT-TERM INSTRUMENTS 11.8%
Commercial Paper 7.0%
Abbott Laboratories
4.840% due 04/09/1999 100 100
Ford Motor Credit Corp.
4.820% due 04/08/1999 100 100
4.850% due 04/09/1999 100 100
------------
300
============
Repurchase Agreement 4.8%
State Street Bank
4.000% due 04/01/1999 207 207
(Dated 03/31/1999. Collateralized by U.S. ------------
Treasury Note 8.500% 02/15/2000 valued
at $213,428. Repurchase proceeds are $207,023.)
Total Short-Term Instruments 507
(Cost $506) ============
Total Investments (a) 114.8% $ 4,951
(Cost $4,896)
Other Assets and Liabilities (Net) (14.8%) (640)
------------
Net Assets 100.0% $ 4,311
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments based
on cost for federal income tax of $4,893
purposes was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 62
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value. (4)
------------
Unrealized appreciation-net $ 58
============
(b) Variable rate security. The rate listed is
as of March 31,1999.
(c) Securities are grouped by coupon or range of
coupons and represent a range of maturities.
72 See accompanying notes
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Selected per share data for the Foreign Bond High Yield Low Duration
period ended March 31, 1999 Fund (a) Fund (a) Fund (a)
<S> <C> <C> <C>
Net Asset Value Beginning of Period $ 10.83 $ 11.68 $ 10.19
Net Investment Income (b) 0.53 0.89 0.60
Net Realized and Unrealized Gain (Loss) (b) 0.15 (0.45) (0.03)
Total Income (Loss) from Investment Operations 0.68 0.44 0.57
Dividends from Net Investment Income (0.53) (0.88) (0.60)
Dividends in Excess of Net Investment Income 0.00 (0.01) 0.00
Distributions from Net Realized Capital Gains (0.10) 0.00 (0.01)
Distributions in Excess of Net Realized Capital Gains (0.25) 0.00 (0.05)
Total Distributions (0.88) (0.89) (0.66)
Net Asset Value End of Period $ 10.63 $ 11.23 $ 10.10
Total Return 6.46% 4.00% 5.77%
Net Assets End of Period (000s) $ 8,513 $ 9,065 $ 6,481
Ratio of Expenses to Average Net Assets (+) 0.95% 0.90% 0.75%
Ratio of Net Investment Income to Average Net Assets 4.82% 8.07% 5.81%
Portfolio Turnover Rate 376% 39% 245%
<CAPTION>
Selected per share data for the Municipal Bond Real Return
period ended March 31, 1999 Fund (a) Bond Fund (a)
<S> <C> <C>
Net Asset Value Beginning of Period $ 9.98 $ 9.77
Net Investment Income (b) 0.40 0.47
Net Realized and Unrealized Gain (Loss) (b) 0.14 0.09
Total Income (Loss) from Investment Operations 0.54 0.56
Dividends from Net Investment Income (0.40) (0.44)
Dividends in Excess of Net Investment Income 0.00 (0.06)
Distributions from Net Realized Capital Gains 0.00 0.00
Distributions in Excess of Net Realized Capital Gains 0.00 0.00
Total Distributions (0.40) (0.50)
Net Asset Value End of Period $ 10.12 $ 9.83
Total Return 5.47% 5.89%
Net Assets End of Period (000s) $ 242 $ 193
Ratio of Expenses to Average Net Assets (+) 0.85% 0.92%
Ratio of Net Investment Income to Average Net Assets 3.99% 4.75%
Portfolio Turnover Rate 70% 438%
<CAPTION>
Selected per share data for the Short-Term StocksPLUS Strategic
period ended March 31, 1999 Fund (a) Fund (a) Balanced Fund (a)
<S> <C> <C> <C>
Net Asset Value Beginning of Period $ 10.07 $ 14.13 $ 12.65
Net Investment Income (b) 0.53 0.79 0.79
Net Realized and Unrealized Gain (Loss) (b) (0.03) 1.38 0.60
Total Income (Loss) from Investment Operations 0.50 2.17 1.39
Dividends from Net Investment Income (0.53) (0.79) (0.62)
Dividends in Excess of Net Investment Income 0.00 0.00 0.00
Distributions from Net Realized Capital Gains 0.00 (1.24) (0.67)
Distributions in Excess of Net Realized Capital Gains (0.01) 0.00 0.00
Total Distributions (0.54) (2.03) (1.29)
Net Asset Value End of Period $ 10.03 $ 14.27 $ 12.75
Total Return 5.10% 16.69% 11.45%
Net Assets End of Period (000s) $ 2,278 $ 1,721 $ 173
Ratio of Expenses to Average Net Assets (+) 0.75% 1.05% 1.05%
Ratio of Net Investment Income to Average Net Assets 5.05% 8.12% 6.41%
Portfolio Turnover Rate 47% 81% 82%
<CAPTION>
Selected per share data for the Total Return Total Return
period ended March 31, 1999 Fund (a) Mortgage Fund (a)
<S> <C> <C>
Net Asset Value Beginning of Period $ 10.66 $ 10.27
Net Investment Income (b) 0.59 0.53
Net Realized and Unrealized Gain (Loss) (b) 0.12 0.02
Total Income (Loss) from Investment Operations 0.71 0.55
Dividends from Net Investment Income (0.59) (0.53)
Dividends in Excess of Net Investment Income 0.00 0.00
Distributions from Net Realized Capital Gains (0.24) (0.03)
Distributions in Excess of Net Realized Capital Gains (0.18) (0.07)
Total Distributions (1.01) (0.63)
Net Asset Value End of Period $ 10.36 $ 10.19
Total Return 6.73% 5.41%
Net Assets End of Period (000s) $ 34,839 $ 183
Ratio of Expenses to Average Net Assets (+) 0.75% 0.90%
Ratio of Net Investment Income to Average Net Assets 5.21% 5.15%
Portfolio Turnover Rate 154% 158%
</TABLE>
(a) Commenced operations on April 8, 1998.
(b) Per share amounts based on average number of shares outstanding during the
period.
(+) Annualized
See accompanying notes 73
<PAGE>
Statements of Assets and Liabilities
March 31, 1999
<TABLE>
<CAPTION>
Amounts in thousands, except per share amounts Foreign Bond High Yield Low Duration Municipal Bond
Fund Fund Fund Fund
<S> <C> <C> <C> <C>
Assets:
Investments, at value $ 1,096,045 $ 3,230,719 $ 4,596,321 $ 58,377
Cash and foreign currency 0 10,312 5,791 1
Receivable for investments and foreign currency sold 94,762 14,094 314,260 0
Receivable for Fund shares sold 2,341 56,198 16,140 15
Variation margin receivable 37 0 67 0
Interest and dividends receivable 16,064 59,871 40,659 745
Other assets 667 0 6 0
1,209,916 3,371,194 4,973,244 59,138
Liabilities:
Payable for investments and foreign currency purchased $ 50,075 $ 138,749 $ 1,001,719 $ 350
Payable for financing transactions 506,073 0 82,292 0
Written options outstanding 90 0 1,862 0
Payable for Fund shares redeemed 2,489 2,854 10,235 104
Dividends payable 609 4,169 3,941 64
Accrued investment advisory fee 134 654 847 13
Accrued administration fee 149 758 679 17
Accrued distribution fee 33 466 110 21
Accrued servicing fee 19 173 80 11
Variation margin payable 0 0 141 0
Other liabilities 29,462 121 91 0
589,133 147,944 1,101,997 580
Net Assets $ 620,783 $ 3,223,250 $ 3,871,247 $ 58,558
Net Assets Consist of:
Paid in capital $ 609,991 $ 3,300,975 $ 3,873,297 $ 55,741
Undistributed (overdistributed) net investment income 8,423 (2,284) (4,007) (2)
Accumulated undistributed net realized gain (loss) (167) (62,117) (12,565) (6)
Net unrealized appreciation (depreciation) 2,536 (13,324) 14,522 2,825
$ 620,783 $ 3,223,250 $ 3,871,247 $ 58,558
Net Assets:
Class D $ 8,513 $ 9,065 $ 6,481 $ 242
Other Classes 612,270 3,214,185 3,864,766 58,316
Shares Issued and Outstanding:
Class D 801 807 641 24
(Net Assets Per Share Outstanding)
Class D $ 10.63 $ 11.23 $ 10.10 $ 10.12
Cost of Investments Owned $ 1,103,861 $ 3,244,167 $ 4,581,453 $ 55,551
Cost of Foreign Currency Held $ 0 $ 0 $ 5,433 $ 0
</TABLE>
74 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Real Return Bond Fund Short-Term Fund StocksPLUS Fund
<S> <C> <C> <C>
Assets:
Investments, at value $ 52,661 $ 598,486 $ 1,283,906
Cash and foreign currency 888 342 3,180
Receivable for investments and foreign currency sold 2,199 15,874 47,468
Receivable for Fund shares sold 204 3,001 6,716
Variation margin receivable 0 0 6
Interest and dividends receivable 555 4,559 13,648
Other assets 25 0 109
56,532 622,262 1,355,033
Liabilities:
Payable for investments and foreign currency purchased $ 3,993 $ 15,177 $ 132,139
Payable for financing transactions 24,194 2,928 130
Written options outstanding 0 0 54
Payable for Fund shares redeemed 60 1,393 1,319
Dividends payable 46 498 0
Accrued investment advisory fee 6 131 407
Accrued administration fee 7 117 340
Accrued distribution fee 3 8 282
Accrued servicing fee 3 22 142
Variation margin payable 2 0 18,477
Other liabilities 7 0 1
28,321 20,274 153,291
Net Assets $ 28,211 $ 601,988 $ 1,201,742
Net Assets Consist of:
Paid in capital $ 28,342 $ 601,821 $ 1,089,543
Undistributed (overdistributed) net investment income (13) 343 54,973
Accumulated undistributed net realized gain (loss) (1) (125) 56,780
Net unrealized appreciation (depreciation) (117) (51) 446
$ 28,211 $ 601,988 $ 1,201,742
Net Assets:
Class D $ 193 $ 2,278 $ 1,721
Other Classes 28,018 599,710 1,200,021
Shares Issued and Outstanding:
Class D 20 227 120
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Class D $ 9.83 $ 10.03 $ 14.27
Cost of Investments Owned $ 52,837 $ 598,619 $ 1,285,297
Cost of Foreign Currency Held $ 10 $ 32 $ 2,358
<CAPTION>
Total Return
Strategic Balanced Fund Total Return Fund Mortgage Fund
<S> <C> <C> <C>
Assets:
Investments, at value $ 116,118 $ 32,325,240 $ 4,951
Cash and foreign currency 3,631 48,286 0
Receivable for investments and foreign currency sold 17 2,629,053 9
Receivable for Fund shares sold 0 127,001 0
Variation margin receivable 0 0 0
Interest and dividends receivable 919 256,572 38
Other assets 0 0 1
120,685 35,386,152 4,999
Liabilities:
Payable for investments and foreign currency purchased $ 21,527 $ 8,369,974 $ 686
Payable for financing transactions 0 762,558 0
Written options outstanding 13 25,999 0
Payable for Fund shares redeemed 0 40,546 0
Dividends payable 0 26,551 0
Accrued investment advisory fee 27 5,593 1
Accrued administration fee 17 4,479 1
Accrued distribution fee 0 1,190 0
Accrued servicing fee 0 518 0
Variation margin payable 983 10,570 0
Other liabilities 0 13,670 0
22,567 9,261,648 688
Net Assets $ 98,118 $ 26,124,504 $ 4,311
Net Assets Consist of:
Paid in capital $ 93,483 $ 26,512,047 $ 4,252
Undistributed (overdistributed) net investment income 2,185 (77,068) 2
Accumulated undistributed net realized gain (loss) 2,055 (196,279) 0
Net unrealized appreciation (depreciation) 395 (114,196) 57
$ 98,118 $ 26,124,504 $ 4,311
Net Assets:
Class D $ 173 $ 34,839 $ 183
Other Classes 97,945 26,089,665 4,128
Shares Issued and Outstanding:
Class D 14 3,363 18
Net Asset Value and Redemption Price Per Share
(Net Assets Per Share Outstanding)
Class D $ 12.75 $ 10.36 $ 10.19
Cost of Investments Owned $ 116,138 $ 32,423,650 $ 4,896
Cost of Foreign Currency Held $ 23 $ 26,491 $ 0
</TABLE>
See accompanying notes 75
<PAGE>
Statements of Operations
For the year ended March 31, 1999
<TABLE>
<CAPTION>
Foreign Bond High Yield Low Duration Municipal Bond
Amounts in thousands Fund Fund Fund Fund
<S> <C> <C> <C> <C>
Investment Income:
Interest $ 31,159 $ 219,482 $ 229,692 $ 2,121
Dividends 0 5,854 4,845 0
Total Income 31,159 225,336 234,537 2,121
Expenses:
Investment advisory fees 1,326 6,324 8,637 107
Administration fees 1,455 7,243 6,841 145
Servicing fees - Class D 9 6 6 0
Distribution and/or servicing fees - Other Classes 456 5,736 1,759 266
Trustees' fees 3 14 18 1
Miscellaneous 0 0 0 0
Total Expenses 3,249 19,323 17,261 519
Net Investment Income 27,910 206,013 217,276 1,602
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 23,467 (5,689) (15,308) (6)
Net realized gain (loss) on
futures contracts and written options 2,176 0 17,103 0
Net realized gain (loss) on foreign currency transactions (20,570) 0 2,354 0
Net change in unrealized appreciation
(depreciation) on investments 1,246 (88,818) (9,961) 2,835
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (360) 0 (2) 0
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 4,618 0 (455) 0
Net Gain (Loss) 10,577 (94,507) (6,269) 2,829
Net Increase in Assets Resulting from Operations $ 38,487 $ 111,506 $ 211,007 $ 4,431
</TABLE>
76 See accompanying notes
<PAGE>
<TABLE>
<CAPTION>
Statements of Operations
For the year ended March 31, 1999
Real Return
Amounts in thousands Bond Fund Short-Term Fund StocksPLUS Fund
<S> <C> <C> <C>
Investment Income:
Interest $ 831 $ 28,386 $ 65,914
Dividends 1 0 0
Total Income 832 28,386 65,914
Expenses:
Investment advisory fees 37 1,163 3,433
Administration fees 48 1,025 2,758
Servicing fees - Class D 0 2 2
Distribution and/or servicing fees - Other Classes 50 222 3,024
Trustees' fees 0 2 4
Miscellaneous 2 0 0
Total Expenses 137 2,414 9,221
Net Investment Income 695 25,972 56,693
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 134 (51) 553
Net realized gain (loss) on
futures contracts and written options 33 25 106,445
Net realized gain (loss) on foreign currency transactions (36) 243 478
Net change in unrealized appreciation
(depreciation) on investments (56) (530) (1,549)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options (31) 2 (8,651)
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies 41 (85) (210)
Net Gain (Loss) 85 (396) 97,066
Net Increase in Assets Resulting from Operations $ 780 $ 25,576 $ 153,759
<CAPTION>
Statements of Operations
For the year ended March 31, 1999
Strategic Total Return
Amounts in thousands Balanced Fund Total Return Fund Mortgage Fund
<S> <C> <C> <C>
Investment Income:
Interest $ 3,859 $ 1,393,913 $ 241
Dividends 0 3,698 0
Total Income 3,859 1,397,611 241
Expenses:
Investment advisory fees 202 55,230 10
Administration fees 126 43,425 10
Servicing fees - Class D 0 23 0
Distribution and/or servicing fees - Other Classes 0 13,488 0
Trustees' fees 0 115 0
Miscellaneous 0 0 0
Total Expenses 328 112,281 20
Net Investment Income 3,531 1,285,330 221
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments (369) 395 17
Net realized gain (loss) on
futures contracts and written options 3,964 489,366 0
Net realized gain (loss) on foreign currency transactions 4 (17,345) 0
Net change in unrealized appreciation
(depreciation) on investments (183) (229,686) (4)
Net change in unrealized appreciation
(depreciation) on futures contracts and written options 153 (3,574) 0
Net change in unrealized appreciation
(depreciation) on translation of assets and liabilities
denominated in foreign currencies (1) (6,180) 0
Net Gain (Loss) 3,568 232,976 13
Net Increase in Assets Resulting from Operations $ 7,099 $ 1,518,306 $ 234
</TABLE>
See accompanying notes 77
<PAGE>
Statements of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
Foreign Bond Fund High Yield Fund Low Duration Fund
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1999 1998 1999 1998 1999 1998
Operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income $ 27,910 $ 20,326 $ 206,013 $ 120,838 $ 217,276 $ 188,536
Net realized gain (loss) 5,073 20,051 (5,689) 17,622 4,149 25,424
Net change in unrealized appreciation (depreciation) 5,504 (2,005) (88,818) 53,329 (10,418) 38,823
Net increase (decrease) resulting from operations 38,487 38,372 111,506 191,789 211,007 252,783
Distributions to Shareholders:
From net investment income
Class D (175) 0 (189) 0 (137) 0
Other Classes (27,885) (19,806) (203,295) (121,295) (217,153) (181,504)
In excess of net investment income
Class D 0 0 (2) 0 0 0
Other Classes 0 0 (2,628) 0 0 (6,360)
From net realized capital gains
Class D (45) 0 0 0 (4) 0
Other Classes (4,964) (10,473) 0 (12,239) (4,129) (8,459)
In excess of net realized capital gains
Class D (111) 0 0 0 (16) 0
Other Classes (12,426) 0 0 0 (17,279) 0
Total Distributions (45,606) (30,279) (206,114) (133,534) (238,718) (196,323)
Fund Share Transactions:
Receipts for shares sold
Class D 9,232 0 10,561 0 7,014 0
Other Classes 350,670 264,742 1,978,791 1,353,365 3,064,922 1,928,399
Issued in reorganization
Class D 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0
Issued as reinvestment of distributions
Class D 331 0 189 0 153 0
Other Classes 33,550 23,045 172,090 111,435 200,834 164,695
Cost of shares redeemed
Class D (980) 0 (1,705) 0 (644) 0
Other Classes (194,707) (104,697) (1,052,728) (361,760) (2,374,959) (2,096,731)
Net increase (decrease) resulting from
Fund share transactions 198,096 183,090 1,107,198 1,103,040 897,320 (3,637)
Total Increase (Decrease) in Net Assets 190,977 191,183 1,012,590 1,161,295 869,609 52,823
Net Assets:
Beginning of period 429,806 238,623 2,210,660 1,049,365 3,001,638 2,948,815
End of period * $ 620,783 $ 429,806 $ 3,223,250 $ 2,210,660 $ 3,871,247 $ 3,001,638
*Including net undistributed (overdistributed)
investment income of: $ 8,423 $ 20,944 $ (2,284) $ (2,529) $ (4,007) $ 736
</TABLE>
78 See accompanying notes
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Amounts in thousands
Municipal Bond Fund Real Return Bond Fund
Increase (Decrease) in Net Assets from: Year Ended Period From Year Ended Year Ended
March 31, December 31, March 31, March 31,
1999 1997 to March 1999 1998
31, 1998
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 1,602 $ 33 $ 695 $ 317
Net realized gain (loss) (6) (1) 131 52
Net change in unrealized appreciation (depreciation) 2,835 (9) (46) (21)
Net increase (decrease) resulting from operations 4,431 23 780 348
Distributions to Shareholders:
From net investment income
Class D (7) 0 (5) 0
Other Classes (1,595) (33) (663) (319)
In excess of net investment income
Class D 0 0 (1) 0
Other Classes (2) 0 (92) (23)
From net realized capital gains
Class D 0 0 0 0
Other Classes 0 0 (7) (99)
In excess of net realized capital gains
Class D 0 0 0 0
Other Classes 0 0 0 0
Total Distributions (1,604) (33) (768) (441)
Fund Share Transactions:
Receipts for shares sold
Class D 340 0 186 0
Other Classes 17,943 3,000 24,583 8,224
Issued in reorganization
Class D 0 0 0 0
Other Classes 47,296 0 0 0
Issued as reinvestment of distributions
Class D 6 0 7 0
Other Classes 1,155 33 600 424
Cost of shares redeemed
Class D (105) 0 (1) 0
Other Classes (13,927) 0 (5,058) (6,969)
Net increase (decrease) resulting from Fund share transactions 52,708 3,033 20,317 1,679
Total Increase (Decrease) in Net Assets 55,535 3,023 20,329 1,586
Net Assets:
Beginning of period 3,023 0 7,882 6,296
End of period * $ 58,558 $ 3,023 $ 28,211 $ 7,882
*Including net undistributed (overdistributed) investment income of: $ (2) $ 0 $ (13) $ (25)
<CAPTION>
Amounts in thousands
Short-Term Fund StocksPLUS Fund
Increase (Decrease) in Net Assets from: Year Ended Year Ended Year Ended Year Ended
March 31, March 31, March 31, March 31,
1999 1998 1999 1998
<S> <C> <C> <C> <C>
Net investment income $ 25,972 $ 11,861 $ 56,693 $ 64,898
Net realized gain (loss) 217 922 107,476 85,623
Net change in unrealized appreciation (depreciation) (613) 455 (10,410) 21,299
Net increase (decrease) resulting from operations 25,576 13,238 153,759 171,820
Distributions to Shareholders:
From net investment income
Class D (33) 0 (60) 0
Other Classes (25,945) (11,653) (50,872) (50,523)
In excess of net investment income
Class D 0 0 0 0
Other Classes 0 (209) 0 0
From net realized capital gains
Class D 0 0 (99) 0
Other Classes (134) (283) (76,776) (38,639)
In excess of net realized capital gains
Class D (1) 0 0 0
Other Classes (514) 0 0 0
Total Distributions (26,627) (12,145) (127,807) (89,162)
Fund Share Transactions:
Receipts for shares sold
Class D 2,535 0 1,948 0
Other Classes 1,042,572 370,532 694,938 461,177
Issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 34 0 159 0
Other Classes 19,324 9,805 115,895 80,845
Cost of shares redeemed
Class D (294) 0 (430) 0
Other Classes (671,328) (336,268) (314,432) (208,804)
Net increase (decrease) resulting from Fund share transactions 392,843 44,069 498,078 333,218
Total Increase (Decrease) in Net Assets 391,792 45,162 524,030 415,876
Net Assets:
Beginning of period 210,196 165,034 677,712 261,836
End of period * $ 601,988 $ 210,196 $ 1,201,742 $ 677,712
*Including net undistributed (overdistributed) investment income of: $ 343 $ 741 $ 54,973 $ 43,808
</TABLE>
See accompanying notes 79
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets
Amounts in thousands Strategic Balanced Fund Total Return Fund Total Return Mortgage Fund
Period from
Year Ended Year Ended Year Ended Year Ended Year Ended July 31, 1997
March 31, 1999 March 31, 1998 March 31, 1999 March 31, 1998 March 31, 1999 to March 31, 1998
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in
Net Assets from:
Operations:
Net investment income $ 3,531 $ 3,200 $ 1,285,330 $ 920,708 $ 221 $ 140
Net realized gain (loss) 3,599 3,171 472,416 644,154 17 22
Net change in unrealized
appreciation (depreciation) (31) 630 (239,440) 196,253 (4) 61
Net increase (decrease)
resulting from operations 7,099 7,001 1,518,306 1,761,115 234 223
Distributions to Shareholders:
From net investment income
Class D (7) 0 (500) 0 (6) 0
Other Classes (3,137) (2,495) (1,285,393) (895,430) (215) (140)
In excess of net
investment income
Class D 0 0 0 0 0 0
Other Classes 0 0 0 (24,596) 0 0
From net realized capital gains
Class D (7) 0 (254) 0 (0) 0
Other Classes (3,351) (811) (512,310) (404,172) (12) (2)
In excess of net realized
capital gains
Class D 0 0 (190) 0 (1) 0
Other Classes 0 0 (384,355) 0 (23) 0
Total Distributions (6,502) (3,306) (2,183,002) (1,324,198) (257) (142)
Fund Share Transactions:
Receipts for shares sold
Class D 164 0 37,112 0 178 0
Other Classes 55,153 29,336 12,657,649 7,212,259 313 3,365
Issued in reorganization
Class D 0 0 0 0 0 0
Other Classes 0 0 0 0 0 0
Issued as reinvestment of
distributions
Class D 14 0 944 0 7 0
Other Classes 4,030 617 1,827,187 1,101,884 249 142
Cost of shares redeemed
Class D (6) 0 (2,472) 0 0 0
Other Classes (640) (5,202) (5,822,931) (3,858,055) (1) 0
Net increase (decrease)
resulting from Fund
share transactions 58,715 24,751 8,697,489 4,456,088 746 3,507
Total Increase (Decrease)
in Net Assets 59,312 28,446 8,032,793 4,893,005 723 3,588
Net Assets:
Beginning of period 38,806 10,360 18,091,711 13,198,706 3,588 0
End of period * $ 98,118 $ 38,806 $ 26,124,504 $ 18,091,711 $ 4,311 $ 3,588
*Including net undistributed
(overdistributed)
investment income of: $ 2,185 $ 2,019 $ (77,068) $ 111,760 $ 2 $ 25
</TABLE>
80 See accompanying notes
<PAGE>
Statement of Cash Flows
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
Amounts in thousands Foreign Bond Fund Real Return Bond Fund
------------------ ---------------------
<S> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 361,271 $ 24,566
Redemptions of Fund shares (193,788) (5,000)
Cash distributions paid (11,529) (117)
Increase/(decrease) from financing transactions 193,593 24,194
Net increase (decrease) from financing activities 349,547 43,643
Operating Activities
Purchases of long-term securities and foreign currency (3,160,063) (149,863)
Proceeds from sales of long-term securities and foreign currency 2,556,532 108,132
Purchases of short-term securities (net) 203,747 (1,213)
Net investment income 27,910 695
Change in other receivables/payables (net) 20,460 (508)
Net increase (decrease) from operating activities (351,414) (42,757)
Net Increase in Cash and Foreign Currency (1,867) 886
Cash and Foreign Currency
Beginning of period 1,867 2
End of period $ 0 $ 888
</TABLE>
See accompanying notes 81
<PAGE>
Notes to Financial Statements
March 31, 1999
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 26 separate
investment funds (the "Funds"). The Trust may offer up to six classes of shares:
Institutional, Administrative, A, B, C and D. Each share class has identical
voting rights (except that shareholders of a class have exclusive voting rights
regarding any matter relating solely to that class of shares). The Commercial
Mortgage Securities, Long Duration and StocksPLUS Short Strategy Funds had not
commenced operations as of March 31,1999. Information presented in these
financial statements pertains to the Class D shares of the Trust. Certain
detailed financial information for the Institutional, Administrative, A, B, and
C Classes (the "Other Classes") is provided separately and is available upon
request.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. 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.
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. Short-term investments which mature in 60 days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not readily available may be valued,
pursuant to guidelines established by the Board of Trustees, with reference to
fixed income securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, 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, if
any, of the StocksPLUS and Strategic Balanced Funds are declared and distributed
to shareholders quarterly. Net realized capital gains earned by a Fund, if any,
will be distributed no less frequently than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from 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 Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
82
<PAGE>
Multiclass Operations. Each class offered by the Trust has equal rights as to
assets and voting privileges. Income and non-class specific expenses of each
Fund, except the StocksPLUS and Strategic Balanced Funds, are allocated daily to
each class of shares based on the relative value of settled shares. Income and
non-class specific expenses of the StocksPLUS and Strategic Balanced Funds are
allocated daily to each class of shares based on the relative net assets of each
class. Realized and unrealized capital gains and losses of each Fund are
allocated daily to each class of shares based on the relative net assets of each
class.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Financing Transactions. 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. If the
counterparty to whom the Fund sells the security becomes insolvent, a Fund's
right to repurchase the security may be restricted; the value of the security
may change over the term of the financing transaction and the return earned by a
Fund with the proceeds of a financing transaction may not exceed transaction
costs.
Futures and Options. Certain Funds are authorized to enter into futures
contracts and options. A Fund may use futures contracts and options to manage
its exposure to the securities markets or to movements in interest rates and
currency values. The primary risks associated with the use of futures contracts
and options are imperfect correlation between the change in market value of the
securities held by a Fund and the prices of futures contracts and options, the
possibility of an illiquid market, and the inability of the counterparty to meet
the terms of the contract. Futures contracts and purchased options are valued
based upon their quoted daily settlement prices. The premium received for a
written option is recorded as an asset with an equal liability which is marked
to market based on the option's quoted daily settlement price. Fluctuations in
the value of such instruments are recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains and losses are
recognized.
Forward Currency Transactions. Certain Funds are authorized to enter into
forward foreign exchange contracts for the purpose of hedging against foreign
exchange risk arising from the Fund's investment or anticipated investment in
securities denominated in foreign currencies. A Fund also may enter into these
contracts for purposes of increasing exposure to a foreign currency or to shift
exposure to foreign currency fluctuations from one country to another. All
commitments are marked to market daily at the applicable translation rates and
any resulting unrealized gains or losses are recorded. Realized gains or losses
are recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Swaps. Certain Funds are authorized to enter into interest rate, total return
and currency exchange swap agreements in order to obtain a desired return at a
lower cost than if the Fund had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statements of Operations. A Fund bears the risk of loss
of the amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a counterparty.
Stripped Mortgage-Backed Securities (SMBS). SMBS represent a participation in,
or are secured by and payable from, mortgage loans on real property, and may be
structured in classes with rights to receive varying proportions of principal
and interest. SMBS include interest-only securities (IOs), which receive all of
the interest, and principal-only securities (POs), which receive all of the
principal. If the underlying mortgage assets experience greater than anticipated
payments of principal, a Fund may fail to recoup some or all of its initial
investment in these securities. The market value of these securities is highly
sensitive to changes in interest rates.
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,
83
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
and takes such fluctuations into account when determining its net asset value. A
Fund may dispose of or renegotiate a delayed delivery transaction after it is
entered into, and may sell when-issued securities before they are delivered,
which may result in a capital gain or loss. When the Fund has sold a security on
a delayed delivery basis, the Fund does not participate in future gains and
losses with respect to the security. Forward sales commitments are accounted for
by the Fund in the same manner as forward currency contracts discussed above.
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though principal is not received until maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
Reverse Repurchase Agreements. Certain Funds are authorized to enter into
reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells
to a financial institution a security that it holds with an agreement to
repurchase the same security at an agreed-upon price and date. A reverse
repurchase agreement involves the risk that the market value of the security
sold by the Fund may decline below the repurchase price of the security.
Restricted Securities. Certain funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly-owned subsidiary partnership of PIMCO Advisors L.P. which serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at an annual rate of 0.40% for the StocksPLUS and Strategic Balanced
Funds and 0.25% for all other Funds.
Administration Fee. Pacific Investment Management Company (PIMCO) is a wholly
owned subsidiary partnership of PIMCO Advisors L.P. which also serves as
administrator (the "Administrator"), and provides administrative services to the
Trust for which it receives from each Fund a monthly administrative fee based on
each share class's average daily net assets. The Administration Fee for Class D
is charged at the annual rate of 0.25% for the Low Duration, Short-Term, and
Total Return Funds, 0.35% for the Municipal Bond, 0.45% for the Foreign Bond and
0.40% for all other Funds. The Administration Fee for the Institutional and
Administrative Classes is charged at the annual rate of 0.18% for the Low
Duration and Total Return Funds, 0.20% for the Short-Term Fund and 0.25% for all
other Funds. The Administration Fee for the A, B and C Classes is charged at an
annual rate of 0.35% for the Municipal Bond and Short-Term Funds, 0.45% for the
Foreign Bond Fund and 0.40% for all other Funds.
Distribution and Servicing Fees. PIMCO Funds Distributors LLC, ("PFD"), formerly
PIMCO Funds Distribution Company, a wholly-owned subsidiary of PIMCO Advisors
L.P., serves as the distributor of the Trust's shares.
The Trust is permitted to reimburse, out of the Administrative Class
assets of each Fund offering Administrative Class shares in an amount up to
0.25% on an annual basis of the average daily net assets of that class,
financial intermediaries that provide services in connection with the
distribution of shares or administration of plans or programs that use Fund
shares as their funding medium. The effective rate paid to PFD was 0.25% during
current fiscal year.
84
<PAGE>
Pursuant to the Distribution and Servicing Plans adopted by the A, B, C
and D Classes of the Trust, the Trust compensates PFD or an affiliate with
respect to Class D for services provided and expenses incurred in connection
with assistance rendered in the sale of shares and services rendered to
shareholders and for maintenance of shareholder accounts of the A, B, C and D
Classes. The Trust paid PFD distribution and servicing fees at an effective rate
as set forth below (calculated as a percentage of each Fund's average daily net
assets attributable to each class):
Effective Rate Allowable Rate
-------------------------------------------------
Distribution Servicing Distribution Servicing
Fee (%) Fee (%) Fee (%) Fee (%)
- --------------------------------------------------------------------------------
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
Foreign Bond, High Yield
and Total Return Funds 0.75 0.25 0.75 0.25
Municipal Bond, Real Return Bond
and StocksPLUS Funds 0.50 0.25 0.75 0.25
Low Duration Fund 0.50 0.25 0.50 0.25
Short-Term Fund 0.30 0.25 0.75 0.25
Money Market Fund -- 0.10 -- 0.20
Class D
Low Duration, Short-Term, and
Total Return Funds -- 0.25 -- 0.50
Municipal Bond Fund -- 0.25 -- 0.60
Foreign Bond Fund -- 0.25 -- 0.70
All other Funds -- 0.25 -- 0.65
PFD also receives the proceeds of the initial sales charges paid by the
shareholders upon the purchase of Class A shares, except for the Money Market
Fund, and the contingent deferred sales charges paid by the shareholders upon
certain redemptions of A, B and C Class shares. For the period ended March 31,
1999, PFD received $7,393,062 representing commissions (sales charges) and
contingent deferred sales charges.
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expense; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any counsel
retained exclusively for their benefit; (vi) extraordinary expenses; and (vii)
any expenses allocated or allocable to a specific class of shares, which include
service fees payable with respect to the Administrative Class shares and may
include certain other expenses as permitted by the Trust's Multiple Class Plan
adopted pursuant to Rule 18f-3 under the Act and subject to review and approval
by the Trustees. The ratio of expenses to average net assets per share class, as
disclosed in Financial Highlights, may differ from the annual fund operating
expenses per share class as disclosed in the Prospectus for the reasons set
forth above. Each unaffiliated Trustee receives an annual retainer of $45,000,
plus $3,000 for each Board of Trustees meeting attended in person and $500 for
each meeting attended telephonically, plus reimbursement of related expenses. In
addition, each committee chair receives an annual retainer of $1,500. These
expenses are allocated to the Funds of the Trust according to their respective
net assets.
4. Purchases and Sales of Securities
Purchases and sales of securities (excluding short-term investments) for the
period ended March 31, 1999 were as follows (amounts in thousands):
U.S. Government/Agency All Other
------------------------------------------------------
Purchases Sales Purchases Sales
- --------------------------------------------------------------------------------
Foreign Bond Fund $ 817,410 $ 699,955 $ 2,288,270 $ 1,633,832
High Yield Fund 5,760 7,121 1,983,993 969,168
Low Duration Fund 8,576,718 9,130,827 2,462,283 379,813
Municipal Bond Fund 0 0 83,000 30,386
Real Return Bond Fund 123,476 101,542 23,967 6,252
Short-Term Fund 305,288 47,698 411,299 159,576
StocksPLUS Fund 708,140 592,151 587,571 140,926
Strategic Balanced Fund 45,898 29,876 48,819 6,414
Total Return Fund 56,153,806 50,784,821 14,567,264 5,013,754
Total Return Mortgage Fund 7,655 6,412 304 0
5. Reorganization
The 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>
Total
Shares Value of Total Net Net Assets Acquired
Issued by Shares Issued Assets of Total Net of Acquiring Fund's
Acquiring by Acquiring Acquired Assets of Fund After Unrealized
Acquiring Fund Acquired Fund(s) Date Fund Fund Fund Acquiring Fund Acquisition Appreciation
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PIMCO PIMCO
Municipal Bond Fund Tax Exempt Fund 06/26/1998 4,716 $ 47,296 $ 47,296 $ 4,295 $ 51,591 $ 2,335
</TABLE>
85
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
6. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Foreign Bond Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 862 $ 9,232 0 $ 0
Other Classes 32,615 350,670 24,768 264,742
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 31 331 0 0
Other Classes 3,143 33,550 2,170 23,045
Cost of shares redeemed
Class D (92) (980) 0 0
Other Classes (18,190) (194,707) (9,829) (104,697)
Net increase resulting from Fund share transactions 18,369 $ 198,096 17,109 $ 183,090
</TABLE>
<TABLE>
<CAPTION>
High Yield Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 940 $ 10,561 0 $ 0
Other Classes 174,542 1,978,791 117,035 1,353,365
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 17 189 0 0
Other Classes 15,179 172,090 9,652 111,435
Cost of shares redeemed
Class D (150) (1,705) 0 0
Other Classes (93,220) (1,052,728) (31,644) (361,760)
Net increase resulting from Fund share transactions 97,308 $ 1,107,198 95,043 $ 1,103,040
<CAPTION>
Short-Term Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 253 $ 2,535 0 $ 0
Other Classes 103,825 1,042,572 36,876 370,532
Issued as reinvestment of distributions
Class D 3 34 0 0
Other Classes 1,990 19,324 974 9,805
Cost of shares redeemed
Class D (29) (294) 0 0
Other Classes (66,907) (671,328) (33,461) (336,268)
Net increase resulting from Fund share transactions 39,135 $ 392,843 4,389 $ 44,069
<CAPTION>
StocksPLUS Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 140 $ 1,948 0 $ 0
Other Classes 49,802 694,938 34,313 461,177
Issued as reinvestment of distributions
Class D 11 159 0 0
Other Classes 8,515 115,895 6,342 80,845
Cost of shares redeemed
Class D (31) (430) 0 0
Other Classes (22,436) (314,432) (15,329) (208,804)
Net increase resulting from Fund share transactions 36,001 $ 498,078 25,326 $ 333,218
</TABLE>
7. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
<TABLE>
<CAPTION>
Strategic
Foreign Low Real Short StocksPLUS Balanced Total
Bond Fund Duration Fund Return Fund Term Fund Fund Fund Return Fund
-----------------------------------------------------------------------------------------------------
-------------------------------------------- Premium ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Balance at 04/01/1998 $ 0 $ 0 $ 88 $ 0 $ 0 $ 0 $ 3,653
Sales 126 2,878 0 25 102 21 57,683
Closing Buys 0 0 0 0 0 0 0
Expirations 0 (1,048) (88) (25) (49) 0 (25,302)
Exercised 0 0 0 0 0 0 (928)
- ---------------------------------------------------------------------------------------------------------------------------------
Balance at 03/31/1999 $ 126 $ 1,830 $ 0 $ 0 $ 53 $ 21 $ 35,106
=====================================================================================================
</TABLE>
86
<PAGE>
<TABLE>
<CAPTION>
Low Duration Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 690 $ 7,014 0 $ 0
Other Classes 301,301 3,064,922 189,589 1,928,399
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 15 153 0 0
Other Classes 19,745 200,834 16,196 164,695
Cost of shares redeemed
Class D (64) (644) 0 0
Other Classes (233,512) (2,374,959) (206,279) (2,096,731)
Net increase resulting from Fund share transactions 88,175 $ 897,320 (494) $ (3,637)
<CAPTION>
Municipal Bond Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 33 $ 340 0 $ 0
Other Classes 2,000 17,943 300 3,000
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 4,716 47,296 0 0
Issued as reinvestment of distributions
Class D 1 6 0 0
Other Classes 114 1,155 3 33
Cost of shares redeemed
Class D (10) (105) 0 0
Other Classes (1,370) (13,927) 0 0
Net increase resulting from Fund share transactions 5,484 $ 52,708 303 $ 3,033
<CAPTION>
Real Return Bond Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 19 $ 186 0 $ 0
Other Classes 2,499 24,583 828 8,224
Shares issued in reorganization
Class D 0 0 0 0
Other Classes 0 0 0 0
Issued as reinvestment of distributions
Class D 1 7 0 0
Other Classes 60 600 42 424
Cost of shares redeemed
Class D 0 (1) 0 0
Other Classes (515) (5,058) (698) (6,969)
Net increase resulting from Fund share transactions 2,064 $ 20,317 172 $ 1,679
<CAPTION>
Strategic Balanced Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 13 $ 164 0 $ 0
Other Classes 4,322 55,153 2,472 29,336
Issued as reinvestment of distributions
Class D 1 14 0 0
Other Classes 322 4,030 53 617
Cost of shares redeemed
Class D 0 (6) 0 0
Other Classes (50) (640) (448) (5,202)
Net increase resulting from Fund share transactions 4,608 $ 58,715 2,077 $ 24,751
<CAPTION>
Total Return Fund
Year Ended 03/31/1999 Year Ended 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 3,508 $ 37,112 0 $ 0
Other Classes 1,187,386 12,657,649 677,577 7,212,259
Issued as reinvestment of distributions
Class D 90 944 0 0
Other Classes 171,980 1,827,187 103,713 1,101,884
Cost of shares redeemed
Class D (235) (2,472) 0 0
Other Classes (545,162) (5,822,931) (362,164) (3,858,055)
Net increase resulting from Fund share transactions 817,567 $ 8,697,489 419,126 $ 4,456,088
<CAPTION>
Total Return Mortgage Fund
Period from
Year Ended 03/31/1999 07/31/1997 to 03/31/1998
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
Receipts for shares sold
Class D 17 $ 178 0 $ 0
Other Classes 31 313 336 3,365
Issued as reinvestment of distributions
Class D 1 7 0 0
Other Classes 24 249 14 142
Cost of shares redeemed
Class D 0 0 0 0
Other Classes 0 (1) 0 0
Net increase resulting from Fund share transactions 73 $ 746 350 $ 3,507
</TABLE>
8. Federal Income Tax Matters
As of March 31, 1999, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, Foreign Bond, High Yield, Low Duration, Municipal Bond, Real
Return Bond, Short-Term, Strategic Balanced and Total Return Funds realized
capital losses and/or foreign currency losses during the period November 1, 1998
through March 31, 1999 which the Fund elected to defer to the following fiscal
year pursuant to income tax regulations. The amounts are $142,162, $12,696,573,
$13,422,023, $754, $439,907, $5,552, $1,971 and $261,459,467, 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
-----------------------------------------------------------------------------
Realized Losses Acquired Losses Expiration
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
High Yield Fund $ 0 $ 48,559,227 03/31/2002
Municipal Bond Fund 5,734 0 03/31/2007
Short-Term Fund 109,956 0 03/31/2007
</TABLE>
87
<PAGE>
Report of Independent Accountants
To the Trustees and the Class D 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, changes
in net assets and of cash flows and the financial highlights for the Class D
shares present fairly, in all material respects, the financial position of the
Foreign Bond Fund, High Yield Fund, Low Duration Fund, Municipal Bond Fund, Real
Return Bond Fund, Short-Term Fund, StocksPLUS Fund, Strategic Balanced Fund,
Total Return Fund, and Total Return Mortgage Fund (hereafter referred to as the
"Funds") at March 31, 1999, the results of each of their operations, the changes
in each of their net assets and cash flows for the Foreign Bond Fund and Real
Return Bond Fund and the financial highlights for the Class D shares for each of
the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with 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 support 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, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 19, 1999
88
<PAGE>
Federal Income Tax Information
(unaudited)
As required by the Internal Revenue Code regulations, shareholders must be
notified within 60 days of the Trust's fiscal year end (March 31, 1999)
regarding the status of the dividend received deduction for corporations.
Dividend Received Deduction. Corporate shareholders are generally entitled to
take the dividend received deduction on the portion of a Fund's dividend
distribution that qualifies under tax law. The percentage of the following
Fund's fiscal 1999 ordinary income dividends that qualifies for the corporate
dividend received deduction is set forth below:
High Yield Fund 2.91%
Low Duration Fund 1.97%
Strategic Balanced Fund 0.05%
Total Return Fund 0.18%
For the benefit of shareholders of the Municipal Bond Fund, this is to inform
you that 99.00% of the dividends paid by the Fund during its fiscal year qualify
as exempt-interest dividends.
Shareholders are advised to consult their own tax advisor with respect to the
tax consequences of their investment in the Trust. In January 2000, you will be
advised on IRS Form 1099-DIV as to the federal tax status of the dividends and
distributions received by you in calendar year 1999.
89
<PAGE>
PIMCO Funds: Access to the highest standard
PIMCO Funds offers unique access to the investment expertise of PIMCO Advisors
L.P. PIMCO manages over $248 billion, including assets for 46 of the 100 largest
U.S. corporations. The firm's institutional heritage is reflected in the PIMCO
Funds, each seeking the highest caliber performance in a specific investment
style.
Manager Pacific Investment Management Company, 840 Newport
Center Drive, Suite 300, Newport Beach, CA 92660
Distributor PIMCO Funds Distributors LLC, 2187 Atlantic Street,
Stamford, CT 06902
Custodian Investors Fiduciary Trust Company, 801 Pennsylvania,
Kansas City, MO 64105
Shareholder First Data Investor Services Group, Inc., P.O. Box
Servicing Agent and 9688, Providence, RI 02940-9688
Transfer Agent
Independent PricewaterhouseCoopers LLP, 1055 Broadway, Kansas City,
Accountant MO, 64105
Legal Counsel Dechert Price & Rhoads, 1775 Eye Street, Washington,
DC, 20006
For Account For PIMCO Funds account information contact your
Information financial advisor, or if you receive account statements
directly from PIMCO Funds, you can also call
1-800-426-0107. Telephone representatives are available
Monday-Friday 8:30 am to 8:00 pm Eastern Time.
This is a copy of a report by PIMCO Funds to its shareholders. Distribution of
this report to persons other than shareholders of the Trust is authorized only
when accompanied by the Trust's Prospectus. This report does not offer for sale
or solicit orders to buy any securities.
This material is authorized for use only when preceded or accompanied by a
current PIMCO Funds prospectus, which describes in greater detail the investment
policies, management fees and other matters of interest to prospective
investors. Please read the prospectus carefully before you invest or send money.
[LOGO OF PIMCO FUNDS APPEARS HERE]
PIMCO Funds
Distributors LLC
2187 Atlantic Street
Stamford, CT 06902
<PAGE>
P I M C O
-----------
FUNDS
INTERNATIONAL BOND FUND
AND EMERGING MARKETS BOND FUND II
ANNUAL REPORT
March 31, 1999
<PAGE>
Chairman's Letter
Dear PIMCO Funds Shareholder:
The past 12 months have been an eventful time. Domestic political tensions
evident this past year have slowly diffused. On the international front, the
U.S. embarked with its NATO allies on a difficult military mission in the
Balkans. Pimco's team of investment professionals are attentive to developments,
though the situation has had little impact on the markets thus far.
Meanwhile, the U.S. economy has continued to expand while inflation has remained
exceptionally low. Investors' concerns over global economic and political
turmoil that permeated international capital markets during the third quarter of
1998 were calmed during the fourth quarter after the Federal Reserve cut
interest rates by 0.75% and other central banks followed suit. The stock market
resumed its upward momentum with most of the major indices heading into record
territory by the end of the first quarter of this year.
The U.S. bond markets flourished during 1998 as well, hitting record levels of
activity in the primary markets. Despite a recent rise in interest rates, yields
declined across the maturity spectrum over the course of the fiscal year ended
March 31, 1999 with yields on 1-year and 30-year U.S. Treasuries down 0.68% and
0.31%, respectively. Interest rates rose during the first quarter of this year
as continued evidence of strong U.S. economic growth heightened concern that the
Federal Reserve would boost rates to keep inflation subdued. Despite the
domestic economy's rapid growth, there were few signs that inflation was
actually increasing, which allowed the Fed to remain on the sidelines. The Fed
was also unlikely to curtail growth in the U.S. with many of the world's
economies in or near recession.
On the following pages you will find an analysis of the stock and bond markets
and specific details as to each Fund's portfolio and total return investment
performance.
As always, we appreciate the trust you have placed in us through your
investments. If you have any questions regarding your PIMCO Funds investment,
please contact your account manager, or call one of our shareholder associates
at 1-800-927-4648. We also invite you to visit our Web site at www.pimco.com.
Sincerely,
/s/ Brent R. Harris
Brent R. Harris
Chairman of the Board
April 30, 1999
1999 Annual Report 1
<PAGE>
PIMCO International Bond Fund
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management (non-U.S.).
Portfolio:
Primarily investment grade foreign bonds.
Duration:
4.71 years
Total Net Assets:
$720 million
[PIE CHARTS APPEAR HERE]
Sector Breakdown:*
United States 32.1%
Canada 5.6%
Short-term Instruments 35.3%
Other 27.0%
Quality Breakdown:*
AAA 64.3%
AA 19.0%
A 9.7%
BBB 7.0%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Salomon Brothers World
Inst'l Class Government Bond Index Lehman Brothers
(Incep. 12/13/1989) (Currency Hedged) Aggregate Bond Index
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 Year 5.71% 9.02% 6.49%
3 Years* 10.94% 11.28% 7.75%
5 Years* 9.18% 10.49% 7.79%
Since Inception* 9.03% -- --
</TABLE>
* Annualized
[LINE GRAPH APPEARS HERE]
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
Salomon Lehman
Brothers Brothers
Intl. World Aggregate
Month Bond Gov't Bond
Fund Bond Index
Index
<S> <C> <C> <C>
12/31/89 5,000,000 5,000,000 5,000,000
01/31/90 4,944,945 4,900,984 4,940,584
02/28/90 4,859,860 4,827,959 4,956,571
03/31/90 4,924,925 4,825,552 4,960,222
04/30/90 4,894,711 4,821,681 4,914,778
05/31/90 4,980,318 4,942,718 5,060,297
06/30/90 5,060,889 4,968,415 5,141,490
07/31/90 5,189,338 4,987,802 5,212,613
08/31/90 5,101,993 4,920,469 5,143,001
09/30/90 5,096,855 4,892,917 5,185,549
10/31/90 5,191,047 5,033,341 5,251,385
11/30/90 5,295,705 5,115,898 5,364,426
12/31/90 5,353,791 5,167,065 5,448,011
01/31/91 5,461,621 5,265,238 5,515,358
02/28/91 5,537,103 5,342,635 5,562,437
03/31/91 5,493,971 5,345,843 5,600,705
04/30/91 5,571,350 5,372,037 5,661,380
05/31/91 5,598,986 5,403,733 5,694,486
06/30/91 5,576,878 5,374,552 5,691,591
07/31/91 5,627,372 5,423,461 5,770,519
08/31/91 5,756,415 5,493,423 5,895,393
09/30/91 5,868,626 5,582,966 6,014,854
10/31/91 5,919,955 5,622,605 6,081,823
11/30/91 5,937,064 5,640,596 6,137,588
12/31/91 6,117,563 5,741,001 6,319,864
01/31/92 6,123,555 5,789,224 6,233,887
02/29/92 6,153,514 5,808,328 6,274,421
03/31/92 6,096,592 5,775,221 6,239,048
04/30/92 6,127,014 5,793,124 6,284,114
05/31/92 6,212,196 5,855,689 6,402,694
06/30/92 6,193,943 5,879,698 6,490,811
07/31/92 6,193,943 5,920,856 6,623,238
08/31/92 6,193,943 5,939,803 6,690,332
09/30/92 6,298,508 6,037,215 6,769,637
10/31/92 6,465,397 6,136,225 6,679,884
11/30/92 6,465,397 6,128,249 6,681,395
12/31/92 6,545,751 6,190,758 6,787,638
01/31/93 6,570,432 6,252,048 6,917,800
02/28/93 6,704,914 6,386,467 7,038,897
03/31/93 6,743,338 6,366,030 7,068,228
04/30/93 6,717,722 6,350,114 7,117,447
05/31/93 6,763,200 6,361,544 7,126,511
06/30/93 6,912,627 6,470,328 7,255,665
07/31/93 6,997,086 6,542,794 7,296,702
08/31/93 7,128,240 6,662,527 7,424,597
09/30/93 7,141,356 6,719,825 7,444,990
10/31/93 7,252,837 6,806,510 7,472,810
11/30/93 7,292,542 6,890,230 7,409,240
12/31/93 7,480,184 7,002,540 7,449,396
01/31/94 7,466,522 6,923,412 7,549,975
02/28/94 7,271,176 6,796,715 7,418,807
03/31/94 7,184,356 6,746,420 7,235,901
04/30/94 7,133,711 6,711,339 7,178,122
05/31/94 6,943,674 6,671,742 7,177,115
06/30/94 6,768,255 6,605,690 7,161,254
07/31/94 6,804,801 6,669,764 7,303,499
08/31/94 6,723,527 6,615,738 7,312,563
09/30/94 6,686,585 6,626,323 7,204,935
10/31/94 6,716,139 6,641,563 7,198,515
11/30/94 6,775,247 6,733,217 7,182,528
12/31/94 6,768,742 6,742,644 7,232,125
01/31/95 6,845,010 6,814,791 7,375,252
02/28/95 6,940,344 6,919,737 7,550,604
03/31/95 7,092,879 7,113,491 7,596,928
04/30/95 7,226,348 7,225,173 7,703,046
05/31/95 7,283,548 7,465,048 8,001,133
06/30/95 7,216,814 7,458,328 8,059,794
07/31/95 7,359,816 7,530,674 8,041,793
08/31/95 7,512,351 7,572,092 8,138,847
09/30/95 7,579,085 7,709,146 8,218,026
10/31/95 7,741,153 7,789,322 8,324,899
11/30/95 8,028,929 7,953,677 8,449,648
12/31/95 8,172,816 7,999,014 8,568,228
01/31/96 8,323,303 8,066,205 8,625,126
02/29/96 8,071,081 7,968,604 8,475,201
03/31/96 8,162,452 8,061,039 8,416,289
04/30/96 8,314,737 8,102,151 8,368,958
05/31/96 8,294,432 8,165,347 8,351,964
06/30/96 8,406,606 8,224,955 8,464,124
07/31/96 8,518,966 8,289,930 8,487,286
08/31/96 8,682,399 8,414,282 8,473,061
09/30/96 8,938,478 8,547,224 8,620,720
10/31/96 9,277,524 8,690,820 8,811,682
11/30/96 9,585,748 8,836,826 8,962,613
12/31/96 9,541,698 8,831,524 8,879,280
01/31/97 9,589,950 8,948,098 8,906,470
02/28/97 9,650,264 9,032,213 8,928,625
03/31/97 9,456,645 9,006,922 8,829,683
04/30/97 9,529,482 9,099,692 8,961,858
05/31/97 9,711,574 9,149,740 9,046,576
06/30/97 9,917,871 9,293,391 9,153,953
07/31/97 10,149,939 9,445,802 9,400,806
08/31/97 10,027,798 9,476,973 9,320,619
09/30/97 10,224,042 9,619,128 9,458,082
10/31/97 10,088,868 9,738,405 9,595,292
11/30/97 10,150,311 9,786,124 9,639,476
12/31/97 10,134,127 9,895,728 9,736,531
01/31/98 10,367,431 10,011,508 9,861,531
02/28/98 10,323,686 10,098,609 9,853,663
03/31/98 10,542,817 10,189,496 9,887,966
04/30/98 10,601,551 10,254,708 9,939,577
05/31/98 10,807,121 10,404,426 10,033,862
06/30/98 10,940,178 10,469,973 10,118,958
07/31/98 10,940,178 10,530,700 10,140,483
08/31/98 10,688,849 10,772,908 10,305,514
09/30/98 10,956,920 11,053,001 10,546,828
10/31/98 10,778,275 11,032,001 10,491,062
11/30/98 10,867,598 11,084,954 10,550,604
12/31/98 11,270,457 11,026,205 10,582,326
01/31/99 11,396,384 11,134,263 10,657,855
02/28/99 11,097,307 10,997,310 10,471,803
03/31/99 11,144,530 11,108,384 10,529,834
</TABLE>
Past performance is not an indication of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 1/1/1990, the first full month following the Fund's
Institutional Class inception on 12/13/1989, compared to the Salomon Brothers
World Government Bond Index (Currency Hedged) and the Lehman Brothers Aggregate
Bond Index, each an unmanaged market index . Foreign investing involves
potentially higher risks including foreign currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the fiscal year ended March 31, 1999, the International Bond Fund
posted a return of 5.71%, underperforming the 6.49% return of the benchmark
Lehman Brothers Aggregate Bond Index.
. Heightened turmoil in the emerging markets beginning in July 1998,
particularly Russia's debt default, sparked a wave of volatility and a
subsequent flight to quality which hurt performance in all peripheral
markets.
. The hedge fund crisis meant that technical factors drove the markets as
investors scurried out of riskier asset classes into safe-haven trades.
. Commodity based economies suffered severely as oil prices declined and as
commodity prices fell.
. Although the Fund had no exposure to Russia and only modest exposure to
select emerging markets, contagion effects and an underweight government
bond and currency position in Japan were the primary factors limiting
relative returns.
. A bullish duration stance added to performance as yields in most developed
bond markets fell year on year.
. Country selection within the European bloc was a slight positive for
returns.
. The Fund's currency strategy detracted from both absolute and relative
performance, particularly the Fund's initial overweighting of the Norwegian
krone versus the Deutschemark and overweighting the euro against the U.S.
dollar and Japanese yen.
2 PIMCO Funds
<PAGE>
PIMCO Emerging Markets Bond Fund II
- --------------------------------------------------------------------------------
FUND CHARACTERISTICS
- --------------------------------------------------------------------------------
Objective:
Maximum total return, consistent with preservation of capital and prudent
investment management.
Portfolio:
Primarily emerging market bonds.
Duration:
4.19 years
Total Net Assets:
$146 million
[PIE CHARTS APPEAR HERE]
Sector Breakdown:*
Mexico 24.0%
South Korea 18.9%
Argentina 18.6%
Philippines 5.5%
United States 5.0%
Netherlands 4.7%
Poland 4.2%
Short-Term Instruments 14.6%
Other 4.5%
Quality Breakdown:*
AAA 16.6%
AA 0.8%
A 2.0%
BBB 33.8%
BB 46.8%
*% of Total Investments as of March 31, 1999
- --------------------------------------------------------------------------------
PERFORMANCE
- --------------------------------------------------------------------------------
TOTAL RETURN INVESTMENT PERFORMANCE For the Period Ended March 31, 1999
<TABLE>
<CAPTION>
Inst'l Class J.P. Morgan Emerging Lehman Brothers
(Incep. 4/3/1998) Markets Plus Index Aggregate Bond Index
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
11 Months 5.93% -14.67% 5.94%
Since Inception 5.49% -- --
</TABLE>
[LINE GRAPH APPEARS HERE]
CUMULATIVE RETURNS THROUGH MARCH 31, 1999
$5,000,000 invested at inception
<TABLE>
<CAPTION>
J.P.
Morgan Lehman
Emerging Emerging Brothers
Month Markets Markets Aggregate
Bond Plus Bond
Fund II Index Index
<S> <C> <C> <C>
04/30/98 5,000,000 5,000,000 5,000,000
05/31/98 4,944,400 4,829,347 5,047,429
06/30/98 4,891,710 4,689,782 5,090,236
07/31/98 5,001,037 4,722,141 5,101,064
08/31/98 4,265,043 3,364,998 5,184,081
09/30/98 4,536,231 3,694,095 5,305,471
10/31/98 4,749,812 3,933,103 5,277,419
11/30/98 5,137,475 4,164,761 5,307,371
12/31/98 5,122,302 4,060,642 5,323,328
01/31/99 5,110,595 3,909,994 5,361,322
02/28/99 5,142,926 3,966,297 5,267,730
03/31/99 5,296,664 4,266,545 5,296,922
</TABLE>
Past performance is not an indication of future results. Investment return and
principal value will fluctuate so that fund shares, when redeemed, may be worth
more or less than their original cost. The line graph above assumes the
investment of $5,000,000 on 5/1/1998, the first full month following the Fund's
Institutional Class inception date on 4/3/1998, compared to the J.P. Morgan
Emerging Markets Plus Index and the Lehman Brothers Aggregate Bond Index, each
an unmanaged market index. The Fund may invest in foreign securities which
involve potentially higher risks including currency fluctuations and political
or economic uncertainty.
- --------------------------------------------------------------------------------
PORTFOLIO INSIGHTS
- --------------------------------------------------------------------------------
. For the eleven-month period ended March 31, 1999, the Emerging Markets Bond
Fund II returned 5.93%, modestly underperforming the 5.94% return of the
Lehman Brothers Aggregate Bond Index.
. Above-Index duration detracted from relative returns in an environment
where yield premiums widened.
. South Korea boosted performance as economic reform led to a credit upgrade
of "investment grade."
. Within Latin America, concentrations in higher-quality credits such as
Mexico and Argentina added to returns.
. The Fund's holdings of Polish bonds enhanced returns as Poland was the best
emerging market performer over the past 12 months.
. The Fund did not hold Russian debt, which was positive for performance.
1999 Annual Report 3
<PAGE>
Financial Highlights
International Bond Fund
<TABLE>
<CAPTION>
Selected Per Share Data for the Year or Period Ended: 03/31/1999 03/31/1998 03/31/1997 03/31/1996 03/31/1995
------------- ------------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value Beginning of Period $ 7.18 $ 7.79 $ 8.04 $ 7.44 $ 9.93
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Net Investment Income 0.29 (a) 0.64 (a) 0.84 0.63 2.18
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Net Realized and Unrealized Gain (Loss) 0.11 (a) 0.19 (a) 0.42 0.49 (2.41)
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Total Income (Loss) from Investment Operations 0.40 0.83 1.26 1.12 (0.23)
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Dividends from Net Investment Income (0.30) (0.25) (0.50) (0.39) (2.26)
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Dividends in Excess of Net Investment Income 0.00 0.00 0.00 (0.13) 0.00
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Distributions from Net Realized Capital Gains 0.00 (0.24) (1.01) 0.00 0.00
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Distributions in Excess of Net Realized Capital Gains (0.20) (0.95) 0.00 0.00 0.00
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Total Distributions (0.50) (1.44) (1.51) (0.52) (2.26)
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Net Asset Value End of Period $ 7.08 $ 7.18 $ 7.79 $ 8.04 $ 7.44
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Total Return 5.71% 11.49% 15.86% 15.08% (1.27)%
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Net Assets End of Period (000s) $ 720,025 $ 730,622 $ 957,950 $ 2,271,940 $ 45,950
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Ratio of Expenses to Average Net Assets 0.50% 0.51% 0.50% 0.50% 0.43%
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Ratio of Net Investment Income to Average Net Assets 4.04% 8.17% 7.17% 6.09% 5.90%
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
Portfolio Turnover Rate 406% 255% 875% 1046% 674%
- -------------------------------------------------------- ------------- ------------- ----------- ------------ -----------
<CAPTION>
Emerging Markets Bond Fund II
Selected Per Share Data for the Period Ended: 03/31/1999 (b)
----------------
<S> <C>
Net Asset Value Beginning of Period $ 10.00
- -------------------------------------------------------------- ----------------
Net Investment Income 0.87 (a)
- -------------------------------------------------------------- ----------------
Net Realized and Unrealized Gain (Loss) (0.39)(a)
- -------------------------------------------------------------- ----------------
Total Income (Loss) from Investment Operations 0.48
- -------------------------------------------------------------- ----------------
Dividends from Net Investment Income (0.85)
- -------------------------------------------------------------- ----------------
Total Distributions (0.85)
- -------------------------------------------------------------- ----------------
Net Asset Value End of Period $ 9.63
- -------------------------------------------------------------- ----------------
Total Return 5.49%
- -------------------------------------------------------------- ----------------
Net Assets End of Period (000s) $ 145,530
- -------------------------------------------------------------- ----------------
Ratio of Expenses to Average Net Assets 0.85%
- -------------------------------------------------------------- ----------------
Ratio of Net Investment Income to Average Net Assets 9.43%
- -------------------------------------------------------------- ----------------
Portfolio Turnover Rate 199%
- -------------------------------------------------------------- ----------------
</TABLE>
(a) Per share amounts based on average number of shares outstanding during the
period.
(b) Commenced operations on April 3, 1998.
4 PIMCO Funds See accompanying notes
<PAGE>
Statements of Assets and Liabilities
March 31, 1999
<TABLE>
<CAPTION>
International Emerging Markets
Amounts in thousands, except per share amounts Bond Fund Bond Fund II
------------- ----------------
Assets:
<S> <C> <C>
Investments, at value $ 859,049 $ 154,051
- -------------------------------------------------------------------------------------------- ------------- ------------
Cash and foreign currency 5,165 884
- -------------------------------------------------------------------------------------------- ------------- ------------
Receivable for investments and foreign currency sold 25,329 1,072
- -------------------------------------------------------------------------------------------- ------------- ------------
Receivable for Fund shares sold 30,000 0
- -------------------------------------------------------------------------------------------- ------------- ------------
Interest and dividends receivable 10,420 1,912
- -------------------------------------------------------------------------------------------- ------------- ------------
Other assets 4,178 21
- -------------------------------------------------------------------------------------------- ------------- ------------
934,141 157,940
- -------------------------------------------------------------------------------------------- ------------- ------------
Liabilities:
Payable for investments and foreign currency purchased $ 104,137 $ 5,798
- -------------------------------------------------------------------------------------------- ------------- ------------
Payable for financing transactions 108,539 6,450
- -------------------------------------------------------------------------------------------- ------------- ------------
Written options outstanding 25 0
- -------------------------------------------------------------------------------------------- ------------- ------------
Dividends payable 0 25
- -------------------------------------------------------------------------------------------- ------------- ------------
Accrued investment advisory fee 95 50
- -------------------------------------------------------------------------------------------- ------------- ------------
Accrued administration fee 95 45
- -------------------------------------------------------------------------------------------- ------------- ------------
Variation margin payable 998 29
- -------------------------------------------------------------------------------------------- ------------- ------------
Other liabilities 227 13
- -------------------------------------------------------------------------------------------- ------------- ------------
214,116 12,410
- -------------------------------------------------------------------------------------------- ------------- ------------
Net Assets $ 720,025 $ 145,530
============================================================================================ ============= ============
Net Assets Consist of:
Paid in capital $ 729,908 $ 149,230
- -------------------------------------------------------------------------------------------- ------------- ------------
Undistributed (overdistributed) net investment income (1,908) (26)
- -------------------------------------------------------------------------------------------- ------------- ------------
Accumulated undistributed net realized (loss) 115 (6,772)
- -------------------------------------------------------------------------------------------- ------------- ------------
Net unrealized appreciation (depreciation) (8,090) 3,098
- -------------------------------------------------------------------------------------------- ------------- ------------
$ 720,025 $ 145,530
- -------------------------------------------------------------------------------------------- ------------- ------------
Shares Issued and Outstanding: 101,685 15,107
- -------------------------------------------------------------------------------------------- ------------- ------------
Net Asset Value and Redemption Price Per Share (Net Assets Per Share Outstanding) $ 7.08 $ 9.63
- -------------------------------------------------------------------------------------------- ------------- ------------
Cost of Investments Owned $ 871,813 $ 150,957
- -------------------------------------------------------------------------------------------- ------------- ------------
Cost of Foreign Currency Held $ 4,140 $ 0
- -------------------------------------------------------------------------------------------- ------------- ------------
</TABLE>
1999 Annual Report See accompanying notes 5
<PAGE>
Statements of Operations
For the year ended March 31, 1999
<TABLE>
<CAPTION>
International Emerging Markets
Amounts in thousands Bond Fund Bond Fund II (a)
------------- ----------------
<S> <C> <C>
Investment Income:
Interest $ 23,345 $ 6,789
======================================================================================= ============= ================
Expenses:
Investment advisory fees 1,283 298
- --------------------------------------------------------------------------------------- ------------- ----------------
Administration fees 1,283 265
- --------------------------------------------------------------------------------------- ------------- ----------------
Trustees fees 4 1
- --------------------------------------------------------------------------------------- ------------- ----------------
Total Expenses 2,570 564
- --------------------------------------------------------------------------------------- ------------- ----------------
Net Investment Income 20,775 6,225
======================================================================================= ============= ================
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments 8,698 (7,177)
- --------------------------------------------------------------------------------------- ------------- ----------------
Net realized gain on futures contracts and written options 4,830 384
- --------------------------------------------------------------------------------------- ------------- ----------------
Net realized (loss) on foreign currency transactions (30,742) (2)
- --------------------------------------------------------------------------------------- ------------- ----------------
Net change in unrealized appreciation on investments 43,412 3,093
- --------------------------------------------------------------------------------------- ------------- ----------------
Net change in unrealized (depreciation) on futures contracts and written options (1,879) (42)
- --------------------------------------------------------------------------------------- ------------- ----------------
Net change in unrealized appreciation (depreciation) on translation of assets
and liabilities denominated in foreign currencies (16,602) 47
- --------------------------------------------------------------------------------------- ------------- ----------------
Net Gain (Loss) 7,717 (3,697)
- --------------------------------------------------------------------------------------- ------------- ----------------
Net Increase in Assets Resulting from Operations $ 28,492 $ 2,528
======================================================================================= ============= ================
</TABLE>
(a) Commenced operations on April 3, 1998.
6 PIMCO Funds See accompanying notes
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Emerging Markets
Amounts in thousands International Bond Fund Bond Fund II
------------------------------------ ---------------------
Period from
Year Ended Year Ended April 3, 1998
Increase (Decrease) in Net Assets from: March 31, 1999 March 31, 1998 to March 31, 1999
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 20,775 $ 66,819 $ 6,225
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Net realized gain (loss) (17,214) 51,653 (6,795)
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Net change in unrealized appreciation (depreciation) 24,931 (24,242) 3,098
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Net increase (decrease) resulting from operations 28,492 94,230 2,528
=================================================================== ==================================== =====================
Distributions to Shareholders:
From net investment income (21,310) (25,130) (6,225)
- ------------------------------------------------------------------- ------------------------------------ ---------------------
In excess of net investment income 0 0 (3)
- ------------------------------------------------------------------- ------------------------------------ ---------------------
From net realized capital gains 0 (21,601) 0
- ------------------------------------------------------------------- ------------------------------------ ---------------------
In excess of net realized capital gains (13,429) (84,291) 0
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Total Distributions (34,739) (131,022) (6,228)
=================================================================== ==================================== =====================
Fund Share Transactions:
Receipts for shares sold 432,838 254,766 210,500
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Issued as reinvestment of distributions 34,207 129,047 5,755
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Cost of shares redeemed (471,395) (574,349) (67,025)
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Net increase (decrease) resulting from Fund share transactions (4,350) (190,536) 149,230
- ------------------------------------------------------------------- ------------------------------------ ---------------------
Total Increase (Decrease) in Net Assets (10,597) (227,328) 145,530
=================================================================== ==================================== =====================
Net Assets:
Beginning of period 730,622 957,950 0
- ------------------------------------------------------------------- ------------------------------------ ---------------------
End of period * $ 720,025 $ 730,622 $ 145,530
- ------------------------------------------------------------------- ------------------------------------ ---------------------
*Including net undistributed (overdistributed) investment income of: $ (1,908) $ 24,481 (26)
- ------------------------------------------------------------------- ------------------------------------ ---------------------
</TABLE>
1999 Annual Report See accompanying notes 7
<PAGE>
Statements of Cash Flows
For the year or period ended March 31, 1999
<TABLE>
<CAPTION>
International Emerging Markets
Amounts in thousands Bond Fund Bond Fund II
--------------- -----------------
<S> <C> <C>
Increase (Decrease) in Cash and Foreign Currency from:
Financing Activities
Sales of Fund shares $ 405,338 $ 210,500
- ------------------------------------------------------------------------- --------------- -----------------
Redemptions of Fund shares (546,395) (67,025)
- ------------------------------------------------------------------------- --------------- -----------------
Cash distributions paid (532) (473)
- ------------------------------------------------------------------------- --------------- -----------------
Increase/(decrease) from financing transactions (312,203) 6,450
- ------------------------------------------------------------------------- --------------- -----------------
Net increase (decrease) from financing activities (453,792) 149,452
- ------------------------------------------------------------------------- --------------- -----------------
Operating Activities
Purchases of long-term securities and foreign currency (2,901,174) (269,498)
- ------------------------------------------------------------------------- --------------- -----------------
Proceeds from sales of long-term securities and foreign currency 3,383,855 138,941
- ------------------------------------------------------------------------- --------------- -----------------
Purchases of short-term securities (net) (58,684) (22,428)
- ------------------------------------------------------------------------- --------------- -----------------
Net investment income 20,775 6,225
- ------------------------------------------------------------------------- --------------- -----------------
Change in other receivables/payables (net) 8,671 (1,808)
- ------------------------------------------------------------------------- --------------- -----------------
Net increase (decrease) from operating activities 453,443 (148,568)
- ------------------------------------------------------------------------- --------------- -----------------
Net Increase in Cash and Foreign Currency (349) 884
========================================================================= =============== =================
Cash and Foreign Currency
Beginning of period 5,514 0
- ------------------------------------------------------------------------- --------------- -----------------
End of period $ 5,165 $ 884
========================================================================= =============== =================
</TABLE>
8 PIMCO Funds See accompanying notes
<PAGE>
Schedule of Investments
International Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e)(f) 3.3%
- --------------------------------------------------------------------------------
Republic of Argentina
2.687% due 04/01/2001 (d) AP 26,866 $ 23,770
----------
Total Argentina 23,770
(Cost $24,724) ==========
- --------------------------------------------------------------------------------
CANADA (e)(f) 6.7%
- --------------------------------------------------------------------------------
Commonwealth of Canada
8.500% due 03/01/2000 C$ 20,000 13,675
Province of Alberta
8.000% due 03/01/2000 10,000 6,805
Province of Quebec
10.000% due 04/26/2000 40,000 27,860
----------
Total Canada 48,340
(Cost $48,289) ==========
- --------------------------------------------------------------------------------
DENMARK (e)(f) 1.9%
- --------------------------------------------------------------------------------
Kingdom of Denmark
7.000% due 11/15/2007 (i) DK 34,000 5,881
Nykredit Mortgage
5.000% due 10/01/2029 41,770 5,608
Realkredit Danmark Mortgage
5.000% due 10/01/2029 8,800 1,183
Unikredit Mortgage
5.000% due 10/01/2029 8,800 1,181
----------
Total Denmark 13,853
(Cost $14,191) ==========
- --------------------------------------------------------------------------------
FRANCE (e)(f) 0.6%
- --------------------------------------------------------------------------------
Republic of France
3.000% due 07/25/2009 EC 3,702 3,992
----------
Total France 3,992
(Cost $4,246) ==========
- --------------------------------------------------------------------------------
GERMANY (e)(f) 4.2%
- --------------------------------------------------------------------------------
Depfa Pfandbriefbank
2.964% due 03/26/2001 (d) EC 19,820 21,363
Hypothekenbank in Essen AG
3.221% due 01/03/2000 (d) 2,340 2,525
Republic of Germany
6.500% due 07/04/2027 (i) 745 981
5.625% due 01/04/2028 (i) 4,761 5,595
----------
Total Germany 30,464
(Cost $31,343) ==========
- --------------------------------------------------------------------------------
GREECE (e)(f) 2.8%
- --------------------------------------------------------------------------------
Hellenic Republic
11.200% due 05/19/2003 (d) GD 1,100,000 3,747
11.100% due 06/17/2003 (d) 1,611,700 5,477
11.000% due 10/23/2003 (d) 710,400 2,444
8.600% due 03/26/2008 (i) 2,094,300 8,126
----------
Total Greece 19,794
(Cost $21,479) ==========
- --------------------------------------------------------------------------------
ITALY (e)(f) 3.8%
- --------------------------------------------------------------------------------
Republic of Italy
6.000% due 02/15/2000 EC 25,000 27,671
----------
Total Italy 27,672
(Cost $28,855) ==========
- --------------------------------------------------------------------------------
NETHERLANDS 0.2%
- --------------------------------------------------------------------------------
TPSA Finance BV
7.750% due 12/10/2008 $ 1,350 1,318
----------
Total Netherlands 1,318
(Cost $1,341) ==========
- --------------------------------------------------------------------------------
NEW ZEALAND (e)(f) 4.0%
- --------------------------------------------------------------------------------
Commonwealth of New Zealand
4.500% due 02/15/2016 (i) N$ 53,670 $ 29,079
----------
Total New Zealand 29,079
(Cost $33,132) ==========
- --------------------------------------------------------------------------------
NORWAY (f) 0.5%
- --------------------------------------------------------------------------------
Norwegian Government
5.500% due 05/15/2009 (i) NK 27,080 3,681
----------
Total Norway 3,681
(Cost $3,656) ==========
- --------------------------------------------------------------------------------
PORTUGAL (e)(f) 3.1%
- --------------------------------------------------------------------------------
Obrig Do Tes Medio Prazo
5.375% due 03/23/2000 EC 20,000 22,071
----------
Total Portugal 22,071
(Cost $23,010) ==========
- --------------------------------------------------------------------------------
SINGAPORE (e)(f) 0.5%
- --------------------------------------------------------------------------------
Singapore Government
4.375% due 10/15/2005 S$ 6,200 3,671
----------
Total Singapore 3,671
(Cost $3,667) ==========
- --------------------------------------------------------------------------------
SOUTH KOREA (f) 0.6%
- --------------------------------------------------------------------------------
Korea Development Bank
8.650% due 01/26/2000 $ 2,010 2,025
3.258% due 05/14/2001 (d) DM 4,540 2,386
----------
Total South Korea 4,411
(Cost $4,445) ==========
- --------------------------------------------------------------------------------
SUPRANATIONAL (e)(f) 3.6%
- --------------------------------------------------------------------------------
International Bank for Reconstruction & Development (World Bank)
6.875% due 07/14/2000 BP 2,600 4,278
7.000% due 09/18/2000 N$ 14,200 7,802
7.250% due 04/09/2001 12,890 7,145
10.250% due 04/11/2002 PP 155,000 3,647
7.000% due 06/07/2002 BP 2,000 3,385
----------
Total Supranational 26,257
(Cost $27,646) ==========
- --------------------------------------------------------------------------------
SWEDEN (e)(f) 2.5%
- --------------------------------------------------------------------------------
Kingdom of Sweden
10.250% due 05/05/2000 (i) SK 28,000 3,658
6.500% due 05/05/2008 (i) 100,000 14,102
----------
Total Sweden 17,760
(Cost $17,957) ==========
- --------------------------------------------------------------------------------
UNITED KINGDOM (e)(f) 0.6%
- --------------------------------------------------------------------------------
SCCR Series 1 Limited
4.838% due 05/15/2000 (d) IL 200,000 111
United Kingdom Gilt
7.250% due 12/07/2007 (i) BP 2,060 3,939
----------
Total United Kingdom 4,050
(Cost $4,281) ==========
- --------------------------------------------------------------------------------
UNITED STATES (e)(f) 38.3%
- --------------------------------------------------------------------------------
Asset-Backed Securities 2.2%
Banc One Auto Grantor Trust
6.270% due 11/20/2003 $ 767 776
Champion Home Equity Loan Trust
8.284% due 02/25/2028 (d) 3,826 3,904
Chase Manhattan Grantor Trust
6.610% due 09/15/2002 678 686
1999 Annual Report See accompanying notes 9
<PAGE>
Schedule of Investments (Cont.)
International Bond Fund
March 31, 1999
Principal
Amount Value
(000s) (000s)
================================================================================
Comed Transitional Funding Trust
5.380% due 03/25/2002 $ 1,216 $ 1,219
Daimler-Benz Vehicle Trust
5.230% due 06/10/2000 2,650 2,651
Emergent Home Equity Loan Trust
6.745% due 05/15/2012 2,570 2,580
Illinois Power Special Purpose Trust
5.390% due 06/25/2002 1,050 1,053
Nissan Auto Receivables Grantor Trust
5.450% due 04/15/2004 1,788 1,787
Pacific Southwest Bank
6.060% due 06/15/2002 1,429 1,430
----------
16,086
==========
Corporate Bonds & Notes 12.2%
CSFP Credit
6.199% due 11/19/2004 (k) 28,450 28,379
Delta Air Lines
6.034% due 06/29/1999 (k) 1,740 1,741
Ford Credit Auto Owner Trust
5.810% due 03/15/2002 8,000 8,055
General Motors Acceptance Corp.
5.250% due 04/05/2004 (d) 21,300 21,263
J.P. Morgan & Co.
5.459% due 02/15/2012 (h) 570 505
Lehman Brothers, Inc.
6.150% due 03/15/2000 15,600 15,643
Salomon, Smith Barney Holdings
3.650% due 02/14/2002 (h) 12,637 12,313
----------
87,899
==========
Mortgage-Backed Securities 3.0%
Chase Mortgage Finance Corp.
6.550% due 08/25/2028 2,540 2,564
Citicorp Mortgage Securities, Inc.
6.500% due 07/25/2028 2,530 2,552
Federal Home Loan Mortgage Corp.
6.000% due01/01/2029-01/15/2029 (g) 12,178 10,701
Federal National Mortgage Association
5.500% due 02/25/2005 506 505
Resolution Trust Corp.
6.682% due 06/25/2021 (d) 2,114 2,092
Structured Asset Mortgage Investments, Inc.
6.580% due 06/25/2029 (d) 1,929 1,952
Structured Asset Securities Corp.
5.439% due 10/25/2028 (d) 728 730
----------
21,096
==========
U.S. Government Agencies 13.7%
Federal Home Loan Bank
4.609% due 02/15/2002 (d)(h) 31,480 30,704
Federal National Mortgage Association
6.875% due 06/07/2002 (i) BP 25,000 42,315
7.250% due 06/20/2002 N$ 9,750 5,449
Student Loan Marketing Assn
4.129% due 02/20/2000 (d)(h) $ 1,750 1,733
5.008% due 10/25/2004 (d) 1,898 1,895
5.098% due 04/25/2006 (d) 13,782 13,001
5.245% due 10/25/2007 (d) 3,500 3,498
----------
98,595
==========
U.S. Treasury Obligations 7.2%
Treasury Inflation Protected Securities
3.625% due 07/15/2002 (h) 7,868 7,819
3.625% due 07/15/2002 (h) 36,139 35,912
3.375% due 01/15/2007 (h) 4,666 4,494
U.S. Treasury Notes
7.250% due 05/15/2004 (i) 3,330 3,629
----------
51,854
----------
Total United States 275,530
(Cost $276,224) ==========
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS 0.0%
- --------------------------------------------------------------------------------
U.S. Treasury 10 Year Note June Futures (CBOT)
Strike @ 105.00 Exp. 05/22/1999 30,500 5
U.S. Treasury Note (OTC)
7.250% due 05/15/2004
Strike @ 101.19 Exp. 06/14/1999 3,300 241
----------
Total Purchased Call Options 246
(Cost $254) ==========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 42.1%
- --------------------------------------------------------------------------------
Certificates of Deposit 0.8%
Bank of Tokyo
5.937% due 07/20/1999 500 501
5.459% due 07/30/1999 5,050 5,062
----------
5,563
==========
Commercial Paper 20.5%
Abbott Laboratories
4.840% due 04/09/1999 1,700 1,698
American Express Credit
4.870% due 04/08/1999 29,500 29,472
General Electric Capital Corp.
4.850% due 04/29/1999 34,000 33,871
4.860% due 05/05/1999 300 299
IBM Corp.
4.810% due 04/08/1999 14,200 14,187
Federal Home Loan Mortgage Corp.
4.720% due 05/14/1999 34,000 33,809
Ford Motor Credit Corp.
4.840% due 04/19/1999 34,000 33,918
----------
147,254
==========
Repurchase Agreements 19.9%
State Street Bank
4.000% due 04/01/1999 434 434
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.750% 01/31/2000 valued at $445,308
Repurchase proceeds are $434,048.)
Morgan Stanley & Co.
4.930% due 04/01/1999 34,000 34,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.875% 03/31/2000 valued at $34,673,517
Repurchase proceeds are $34,004,656.)
Goldman Sachs
4.800% due 04/01/1999 34,000 34,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 11.750% 02/15/2010 valued at $34,906,627
Repurchase proceeds are $34,004,533.)
First Boston
4.800% due 04/01/1999 34,000 34,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.558% 09/09/1999 valued at $34,927,659
Repurchase proceeds are $34,004,533.)
Lehman Brothers, Inc.
4.900% due 04/01/1999 34,000 34,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 6.000% 08/15/1999 valued at $35,004,486
Repurchase proceeds are $34,004,628.)
Daiwa Securities
4.920% due 04/01/1999 7,000 7,000
(Dated 03/31/1999. Collateralized by U.S. Treasury
Bill 4.545% 09/23/1999 valued at $7,148,483
Repurchase proceeds are $7,000,957.)
----------
143,434
==========
10 PIMCO Funds See accompanying notes
<PAGE>
Principal
Amount Value
(000s) (000s)
================================================================================
U.S. Treasury Bills (b)(g) 0.9%
4.436% due 06/24/1999 $ 6,909 $ 6,839
------------
Total Short-Term Instruments 303,090
(Cost $303,073) ============
Total Investments (a) 119.3% $ 859,049
(Cost $871,813) ============
Written Options (c) (0.0%) (25)
(Premiums $46) ------------
Other Assets and Liabilities (Net) (19.3%) (138,999)
------------
Net Assets 100.0% $ 720,025
============
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $872,302 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost. $ 1,751
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (15,004)
------------
Unrealized depreciation-net $ (13,253)
============
(b) Securities with an aggregate market value of
$6,839 have been segregated with the custodian to
cover margin requirements for the following open
futures contracts at March 31, 1999:
Unrealized
# of Appreciation/
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
Eurodollar June Futures (06/2000) 13 $ 9
Eurodollar September Futures (09/2000) 24 14
Eurodollar December Futures (12/2000) 13 7
Canadian 10 Year Bond (MSE) (06/1999) 340 374
U.S. Treasury 10 Year Note (06/1999) 2856 (868)
10 Year Euro-Bond (06/1999) 590 (153)
Government of Japan 10 Year Note (06/1999) 20 (293)
------------
$ (910)
============
(c) Premiums received on written options:
Type Par Premium Value
- --------------------------------------------------------------------------------
Call - OTC Japanese Yen vs US Dollar
Strike 115.00 Exp. 04/22/1999 $3,570 $46 $ 25
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount Unrealized
Covered by Settlement Appreciation/
Type Currency Contract Month (Depreciation)
- --------------------------------------------------------------------------------
Buy A$ 615 04/1999 $ (3)
Sell 683 04/1999 3
Buy AP 4,150 04/1999 101
Buy 1,600 05/1999 47
Buy BP 56 03/1999 0
Buy 1,655 04/1999 (7)
Sell 18,866 04/1999 91
Sell 7,155 05/1999 3
Buy C$ 64,920 04/1999 (49)
Sell 66,161 04/1999 271
Buy DK 10 03/1999 0
Sell 11,019 04/1999 70
Sell 44,249 05/1999 37
Buy EC 35,057 04/1999 (1,561)
Sell 62,541 04/1999 917
Buy 16,860 05/1999 (15)
Sell GD 3,789,320 04/1999 466
Buy JY 177,160 04/1999 17
Sell 90,001 04/1999 (19)
Sell 1,346,739 05/1999 17
Buy N$ 160 04/1999 (2)
Sell 69,057 04/1999 190
Sell 23,761 05/1999 (109)
Sell S$ 6,440 06/1999 (7)
Buy SF 2 03/1999 0
Buy 16,382 04/1999 (157)
Sell 16,640 04/1999 105
Buy SK 153,878 04/1999 (1,029)
Sell 130,630 04/1999 729
Sell 23,420 05/1999 9
----------
$ 115
==========
(f) Principal amount denoted in indicated currency:
A$ - Australian Dollar IL - Italian Lira
AP - Argentine Peso JY - Japanese Yen
BP - British Pound N$ - New Zealand Dollar
C$ - Canadian Dollar NK - Norwegian Kron
DK - Danish Krone PP - Philippines Peso
DM - German Mark S$ - Singapore Dollar
EC - European Currency Unit SF - Swiss Franc
GD - Greek Drachma SK - Swedish Krona
(g) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(h) Principal amount of the security is adjusted for inflation.
(i) Financing transaction.
(j) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive fixed rate equal to 6.032% and pay
floating rate based on 3 month LIBOR.
Broker: Merrill Lynch
Exp. 04/01/2009 A$ 176,150 $ (59)
Receive fixed rate equal to 5.948% and pay
floating rate based on 3 month LIBOR.
Broker: Merrill Lynch
Exp. 03/26/2009 $ 45,000 (292)
-----------
$ (351)
===========
(k) Restricted security.
1999 Annual Report See accompanying notes 11
<PAGE>
Schedule of Investments
Emerging Markets Bond Fund II
March 31, 1999
Principal
Amount Value
(000s) (000s)
- --------------------------------------------------------------------------------
ARGENTINA (e)(f) 19.7%
- --------------------------------------------------------------------------------
Province of Buenos Aires
12.500% due 03/15/2002 $ 3,000 $ 3,045
Republic of Argentina
8.750% due 07/10/2002 AP 2,500 2,157
3.048% due 09/01/2002 (d) 3,315 2,752
5.937% due 03/31/2005 (d) $ 12,090 10,354
12.110% due 04/10/2005 (d) 5,000 4,625
11.750% due 02/12/2007 AP 2,000 1,766
5.750% due 03/31/2023 (d) $ 2,000 1,390
6.062% due 03/31/2023 (d) 3,500 2,572
---------
Total Argentina 28,661
(Cost $28,923) =========
- --------------------------------------------------------------------------------
CAYMAN ISLANDS 3.0%
- --------------------------------------------------------------------------------
Nacional Financiera SNC
6.875% due 05/08/2003 (d) $ 5,000 4,387
---------
Total Cayman Islands 4,387
(Cost $4,414) =========
- --------------------------------------------------------------------------------
CHILE 1.7%
- --------------------------------------------------------------------------------
Embotelladora Arica SA
9.875% due 03/15/2006 $ 2,500 2,531
---------
Total Chile 2,531
(Cost $2,485) =========
- --------------------------------------------------------------------------------
MEXICO (e)(f) 25.4%
- --------------------------------------------------------------------------------
Banco Nacional de Comercio Exterior
7.250% due 02/02/2004 $ 4,000 3,650
Petroleos Mexicanos
9.857% due 07/15/2005 (d) 6,000 5,587
9.375% due 12/02/2008 2,500 2,567
United Mexican States
5.560% due 04/07/2000 (i) 967 967
3.100% due 04/24/2002 JY 300,000 2,379
8.750% due 04/07/2004 (d) $ 5,000 4,944
8.625% due 03/12/2008 3,000 2,828
8.625% due 09/15/2016 2,500 2,701
6.250% due 12/31/2019 14,500 11,392
---------
Total Mexico 37,015
(Cost $35,871) =========
- --------------------------------------------------------------------------------
NETHERLANDS 5.0%
- --------------------------------------------------------------------------------
TPSA Finance BV
7.750% due 12/10/2008 $ 7,360 7,188
---------
Total Netherlands 7,188
(Cost $7,227) =========
- --------------------------------------------------------------------------------
PHILIPPINES 5.9%
- --------------------------------------------------------------------------------
Central Bank Philippines
6.000% due 06/01/2008 (d) $ 2,500 2,150
Republic of Philippines
6.000% due 12/01/2007 3,000 2,522
8.875% due 04/15/2008 3,000 2,970
6.500% due 12/01/2017 1,000 891
---------
Total Philippines 8,533
(Cost $8,458) =========
- --------------------------------------------------------------------------------
POLAND 4.5%
- --------------------------------------------------------------------------------
Republic of Poland
5.000% due 10/27/2014 $ 4,000 3,690
3.000% due 10/27/2024 (d) 2,000 1,290
4.000% due 10/27/2024 2,250 1,552
---------
Total Poland 6,532
(Cost $6,436) =========
- --------------------------------------------------------------------------------
SOUTH KOREA 20.0%
- --------------------------------------------------------------------------------
Korea Development Bank
7.375% due 09/17/2004 $ 7,000 6,842
Korean Export-Import Bank
7.100% due 03/15/2007 7,000 6,841
Republic of Korea
7.813% due 04/08/2000 (d) 2,000 1,998
8.875% due 04/15/2008 (h) 12,500 13,401
---------
Total South Korea 29,082
(Cost $27,045) =========
- --------------------------------------------------------------------------------
UNITED STATES 5.3%
- --------------------------------------------------------------------------------
Corporate Bonds & Notes 2.8%
Ford Motor Credit Corp.
5.104% due 08/27/2001 (d) $ 2,100 2,097
Heller Financial, Inc.
5.330% due 09/25/2000 1,000 1,002
National Power Corp.
7.625% due 11/15/2000 1,000 993
---------
4,092
=========
Mortgage-Backed Securities 1.9%
GE Capital Mortgage Services, Inc.
6.750% due 12/25/2012 2,291 2,313
Government National Mortgage Association
6.880% due 04/20/2027 (d) 469 476
---------
2,789
=========
Asset-Backed Securities 0.6%
Conti Mortgage Home Equity Loan Trust
5.079% due 06/15/2028 (d) 819 815
---------
Total United States 7,696
(Cost $7,670) =========
- --------------------------------------------------------------------------------
SHORT-TERM INSTRUMENTS 15.4%
- --------------------------------------------------------------------------------
Commercial Paper 14.7%
Emerson Electric Co.
4.940% due 04/16/1999 $ 1,000 998
Federal Home Loan Bank
4.760% due 04/21/1999 5,000 4,986
General Electric Capital Corp.
4.850% due 04/26/1999 2,700 2,691
National Rural Utilities Cooperative
4.860% due 04/22/1999 200 199
4.820% due 06/10/1999 5,700 5,647
Shell Oil Co.
4.790% due 06/04/1999 7,000 6,939
---------
21,460
=========
Repurchase Agreement 0.6%
State Street Bank
4.000% due 04/01/1999 807 807
---------
(Dated 03/31/1999. Collateralized by U.S. Treasury
Note 7.500% 10/31/1999 valued at $826,688
Repurchase proceeds are $807,090.)
U.S. Treasury Bills (b)(c) 0.1%
4.341% due 05/13/1999-06/24/1999 160 159
---------
Total Short-Term Instruments 22,426
(Cost $22,428) =========
Total Investments (a) 105.9% $ 154,051
(Cost $150,957)
Other Assets and Liabilities (Net) (5.9%) (8,521)
---------
Net Assets 100.0% $ 145,530
=========
12 PIMCO Funds See accompanying notes
<PAGE>
===============================================================================
Notes to Schedule of Investments (amounts in thousands):
(a) At March 31, 1999, the net unrealized
appreciation (depreciation) of investments
based on cost for federal income tax purposes
of $151,088 was as follows:
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost. $ 4,249
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value. (1,286)
--------------
Unrealized appreciation-net $ 2,963
==============
(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, 1999:
Unrealized
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
U.S. Treasury 10 Year Note (06/1999) 104 $ (42)
(c) Securities are grouped by coupon or range of coupons and represent a range
of maturities.
(d) Variable rate security. The rate listed is as of March 31, 1999.
(e) Foreign forward currency contracts outstanding at March 31, 1999:
Principal
Amount
Covered by Settlement Unrealized
Type Currency Contract Month Appreciation
- --------------------------------------------------------------------------------
Sell JY 290,100 04/1999 $ 15
-------------
$ 15
=============
(f) Principal amount denoted in indicated currency:
AP - Argentine Peso
JY - Japanese Yen
N$ - New Zealand Dollar
(g) Swap agreements outstanding at March 31, 1999:
Notional Unrealized
Type Amount Depreciation
- --------------------------------------------------------------------------------
Receive floating rate based on 6 month United Mexican States and pay United
Mexican States fixed rate.
Broker: Merrill Lynch $ 967 $ (19)
Exp. 04/07/2000
(h) Subject to a financing transaction.
(i) Subject to an asset swap.
1999 Annual Report See accompanying notes 13
<PAGE>
Notes to Financial Statements
March 31, 1999
1. Organization
PIMCO Funds: Pacific Investment Management Series (the "Trust") was established
as a Massachusetts business trust on February 19, 1987. The Trust is registered
under the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
investment management company. The Trust currently consists of 26 separate
investment funds. The International Bond and Emerging Market Bond II Funds (the
"Funds") are a series of the Trust.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements in
conformity with generally accepted accounting principles. 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.
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 (other than
obligations having a maturity of sixty days or less), are normally valued on the
basis of quotes obtained from brokers and dealers or pricing services.
Short-term investments having a maturity of sixty days or less are valued at
amortized cost, which approximates market value. Certain fixed income securities
for which daily market quotations are not available may be valued, pursuant to
guidelines established by the Board of Trustees, with reference to fixed income
securities whose prices are more readily obtainable.
Securities Transactions and Investment Income. Securities transactions are
recorded as of the trade date. Securities purchased or sold on a when-issued or
delayed-delivery basis may be settled a month or more after the trade date.
Realized gains and losses from securities sold are recorded on the identified
cost basis. Dividend income is recorded on the ex-dividend date, except certain
dividends from foreign securities where the ex-dividend date may have passed,
are recorded as soon as the Fund is informed of the ex-dividend date. Interest
income, adjusted for the accretion of discounts and amortization of premiums, is
recorded on the accrual basis.
14 PIMCO Funds
<PAGE>
Dividends and Distributions to Shareholders. Dividends from net investment
income, if any, of Emerging Market Bond Fund II, are declared on each day the
Trust is open for business and are distributed to shareholders monthly.
International Bond Fund declares and distributes dividends representing
substantially all net investment income on a quarterly basis. Net realized
capital gains earned by a Fund, if any, will be distributed no less frequently
than once each year.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from 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 Statements of Changes in Net Assets have been reclassified to paid
in capital. In addition, other amounts have been reclassified between
undistributed net investment income, accumulated undistributed net realized
gains or losses and paid in capital to more appropriately conform financial
accounting to tax characterizations of dividend and distributions.
Foreign Currency. Foreign currencies, investments, and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and expenses are translated
on the respective dates of such transactions. The effect of changes in foreign
currency exchange rates on investments in securities are not segregated in the
Statements of Operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on investment securities.
Federal Income Taxes. Each Fund intends to qualify as a regulated investment
company and distribute all of its taxable income and net realized gains, if
applicable, to shareholders. Accordingly, no provision for Federal income taxes
has been made.
Financing Transactions. 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. If the
counterparty to whom the Fund sells the security becomes insolvent, a Fund's
right to repurchase the security may be restricted; the value of the security
may change over the term of the financing transaction; and the return earned by
a Fund with the proceeds of a financing transaction may not exceed transaction
costs.
Futures and Options. The Funds are authorized to enter into futures contracts
and options. A Fund may use futures contracts and options to manage its exposure
to the securities markets or to movements in interest rates and currency values.
The primary risks associated with the use of futures contracts and options are
imperfect correlation between the change in market value of the securities held
by a Fund and the prices of futures contracts and options, the possibility of an
illiquid market, and the inability of the counterparty to meet the terms of the
contract. Futures contracts and purchased options are valued based upon their
quoted daily settlement prices. The premium received for a written option is
recorded as an asset with an equal liability which is marked to market based on
the option's quoted daily settlement price. Fluctuations in the value of such
instruments are recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains and losses are recognized.
1999 Annual Report 15
<PAGE>
Notes to Financial Statements (Cont.)
March 31, 1999
Forward Currency Contracts. The Funds are authorized to enter into forward
foreign exchange contracts for the purpose of hedging against foreign exchange
risk arising from the Fund's investment or anticipated investment in securities
denominated in foreign currencies. A Fund also may enter into these contracts
for purposes of increasing exposure to a foreign currency or to shift exposure
to foreign currency fluctuations from one country to another. All commitments
are marked to market daily at the applicable translation rates and any
resulting unrealized gains or losses are recorded. Realized gains or losses are
recorded at the time the forward contract matures or by delivery of the
currency. Risks may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
Swaps. The Funds are authorized to enter into interest rate, total return and
currency exchange swap agreements in order to obtain a desired return at a lower
cost than if the Fund had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as unrealized
gains or losses in the Statements of Operations. A Fund bears the risk of loss
of the amount expected to be received under a swap agreement in the event of the
default or bankruptcy of a counterparty.
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.
Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities
whose principal value is periodically adjusted to the rate of inflation. The
interest rate on these bonds is generally fixed at issuance at a rate lower than
typical bonds. Over the life of an inflation-indexed bond, however, interest
will be paid based on a principal value which is adjusted for inflation. Any
increase in the principal amount of an inflation-indexed bond will be considered
interest income, even though principal is not received until maturity.
Repurchase Agreements. Each Fund may engage in repurchase transactions. Under
the terms of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price and time. The
market value of the collateral must be equal at all times to the total amount of
the repurchase obligations, including interest. Generally, in the event of
counterparty default, the Fund has the right to use the collateral to offset
losses incurred.
16 PIMCO Funds
<PAGE>
Restricted Securities. Certain funds are permitted to invest in securities that
are subject to legal or contractual restrictions on resale. These securities
generally may be resold in transactions exempt from registration or to the
public if the securities are registered. Disposal of these securities may
involve time-consuming negotiations and expense, and prompt sale at an
acceptable price may be difficult.
3. Fees, Expenses, and Related Party Transactions
Investment Advisory Fee. Pacific Investment Management Company (PIMCO) is a
wholly owned subsidiary partnership of PIMCO Advisors L.P. which serves as
investment adviser (the "Adviser") to the Trust, pursuant to an investment
advisory contract. The Adviser receives a monthly fee from each Fund at an
annual rate based on average daily net assets of the Fund. The Advisory Fee is
charged at the annual rate of 0.25% for the International Bond Fund and 0.45%
for the Emerging Market Bond Fund II.
Administration Fee. PIMCO serves as administrator (the "Administrator"), and
provides administrative services to the Trust for which it receives from each
Fund a monthly administrative fee based on each Fund's average daily net assets.
The Administration Fee is charged at the annual rate of 0.25% for the
International Bond Fund and 0.40% for the Emerging Markets Bond Fund II.
Expenses. The Trust is responsible for the following expenses: (i) salaries and
other compensation of any of the Trust's executive officers and employees who
are not officers, directors, stockholders or employees of PIMCO or its
subsidiaries or affiliates; (ii) taxes and governmental fees; (iii) brokerage
fees and commissions and other portfolio transaction expenses; (iv) the costs of
borrowing money, including interest expenses; (v) fees and expenses of the
Trustees who are not "interested persons" of PIMCO or the Trust, and any
counsel retained exclusively for their benefit; (vi) extraordinary expenses,
including costs of litigation and indemnification expenses; and (vii) expenses,
such as organizational expenses. Each unaffiliated Trustee receives an annual
retainer of $45,000, plus $3,000 for each Board of Trustees meeting attended in
person and $500 for each meeting attended telephonically, plus reimbursement of
related expenses. In addition, each committee chair receives an annual retainer
of $1,500. These expenses are allocated to the Funds of the Trust according to
their respective net assets.
Distributor. PIMCO Funds Distributors LLC, ("PFD"), formerly PIMCO Funds
Distribution Company a wholly-owned subsidiary of PIMCO Advisors L.P., serves as
the distributor of the Funds' shares.
4. Purchases and Sales of Securities
Purchases and sales of investment securities (excluding short-term instruments)
for the period ended March 31, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. Government/Agency All Other
-------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
International Bond Fund $ 1,207,461 $ 1,258,960 $ 1,667,616 $ 1,905,289
Emerging Markets Bond Fund II 12,297 11,554 263,097 126,092
</TABLE>
1999 Annual Report 17
<PAGE>
Notes to Financial Statements
March 31, 1999
5. Transactions in Written Call and Put Options
Transactions in written call and put options were as follows (amounts in
thousands):
International Bond
------------------
Premium
------------------
Balance at 04/01/98 $ 0
- ------------------------------------------------------- ------------------
Sales 46
- ------------------------------------------------------- ------------------
Closing Buys 0
- ------------------------------------------------------- ------------------
Expirations 0
- ------------------------------------------------------- ------------------
Exercised 0
- ------------------------------------------------------- ------------------
Balance at 03/31/99 $ (46)
======================================================= ==================
6. Shares of Beneficial Interest
The Trust may issue an unlimited number of shares of beneficial interest with a
$.0001 par value. Changes in shares of beneficial interest were as follows
(shares and amounts in thousands):
<TABLE>
<CAPTION>
Emerging Markets
International Bond Fund Bond Fund II
----------------------------------------------------- -----------------------
Year Ended 03/31/1999 Year Ended 03/31/1998 Year Ended 03/31/1999
Shares Amount Shares Amount Shares Amount
- ------------------------------------------- ----------------------------------------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
Receipts for shares sold 50,859 $ 432,838 33,657 $ 254,766 21,960 $ 210,500
- ------------------------------------------- ----------------------------------------------------- -----------------------
Issued as reinvestment of distributions 4,333 34,207 18,333 129,047 622 5,755
- ------------------------------------------- ----------------------------------------------------- -----------------------
Cost of shares redeemed (55,223) (471,395) (73,282) (574,349) (7,475) (67,025)
- ------------------------------------------- ----------------------------------------------------- -----------------------
Net increase (decrease) resulting from
Fund share transactions (31) $ (4,350) (21,292) $(190,536) 15,107 $ 149,230
=========================================== ===================================================== =======================
</TABLE>
7. Federal Income Tax Matters
As of March 31, 1999, the Funds listed in the table below had remaining capital
loss carryforwards that were realized or acquired in prior years. Use of the
acquired capital loss carryforwards may be limited under current tax laws.
Additionally, the International Bond and Emerging Markets Bond II Funds realized
capital losses and/or foreign currency losses during the period November 1, 1998
through March 31, 1999 which the Fund elected to defer to the following fiscal
year pursuant to income tax regulations. The amounts are $494,814 and $15,859
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
----------------------------------------------------
Realized Losses Acquired Losses Expiration
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Emerging Markets Bond Fund II $ 6,667,933 $ 0 03/31/07
</TABLE>
18 PIMCO Funds
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of the International Bond Fund and the Emerging
Market Bond Fund II: (two of the funds comprising 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 of cash flows and the financial highlights present
fairly, in all material respects, the financial position of the International
Bond Fund and Emerging Market Bond Fund II (hereafter referred to as the
"Funds") at March 31, 1999, the results of each of their operations, the changes
in each of their net assets and cash flows and the financial highlights for each
of the periods indicated, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with 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, 1999 by correspondence with the
custodian and brokers provide, a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
Kansas City, Missouri
May 19, 1999
1999 Annual Report 19
<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 $165 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 Holdings L.P., the nation's fourth largest publicly
traded investment management concern with combined assets under management in
excess of $248 billion. Widely recognized for providing consistent performance
and high-quality client service, the six affiliated firms are:
Pacific Investment Management Company/Newport Beach, California
Oppenheimer Capital/New York, New York
Columbus Circle Investors/Stamford, Connecticut
Cadence Capital Management/Boston, Massachusetts
NFJ Investment Group/Dallas, Texas
Parametric Portfolio Associates/Seattle, Washington
Units of PIMCO Advisors Holdings L.P. trade on the New York Stock Exchange under
the ticker symbol "PA."
Trustees and Officers
Brent R. Harris Chairman and Trustee
R. Wesley Burns President and Trustee
Guilford C. Babcock Trustee
Vern O. Curtis Trustee
Thomas P. Kemp Trustee
William J. Popejoy Trustee
Garlin G. Flynn Secretary
John P. Hardaway Treasurer
Investment Adviser and Administrator
Pacific Investment Management Company
840 Newport Center Drive, Suite 300
Newport Beach, California 92660
Custodian
Investors Fiduciary Trust Company
801 Pennsylvania
Kansas City, Missouri 64105
Transfer Agent
National Financial Data Services
330 W. 9th Street, 4th Floor
Kansas City, MO 64105
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Independent Accountants
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, Missouri 64105
<PAGE>
[LOGO OF PIMCO FUNDS APPEARS HERE]
840 NEWPORT CENTER DRIVE, SUITE 300
NEWPORT BEACH, CA 92660
800.927.4648
This report is submitted for the general information of the shareholders of the
PIMCO International Bond Fund and PIMCO Emerging Markets Bond Fund II. 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.
PIMCO Funds Distributors LLC
2187 Atlantic Street, Stamford, CT 06902
